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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)
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| ☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended SeptemberJune 30, 20172020
OR
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| ☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
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Delaware | | | | 52-1568099 |
| (State or other jurisdiction of incorporation or organization) | | 52-1568099
| | (I.R.S. Employer Identification No.) |
388 Greenwich Street, | New York | NY | | 10013 |
(Address of principal executive offices)
| | 10013
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(212) 559-1000
(Registrant's telephone number, including area code)
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(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. Yes x☒ No o☐
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x☒ No o☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act. |
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Large accelerated filerx | ☒ | Accelerated filero | ☐ | Non-accelerated filero (Do not check if a smaller reporting company)
| ☐ | Smaller reporting companyo | ☐ |
| | | | | | 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: 2,644,001,9992020: 2,081,864,894
Available on the web at www.citigroup.com
CITIGROUP’S THIRD QUARTER 2017—FORM 10-Q
CITIGROUP’S SECOND QUARTER 2020—FORM 10-Q
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| OVERVIEW | |
MANAGEMENT'SMANAGEMENT’S DISCUSSION AND
ANALYSIS OF FINANCIAL CONDITION AND
RESULTS OF OPERATIONS
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| Executive Summary | |
| COVID-19 Pandemic Overview | |
| RISK FACTORS | |
| Summary of Selected Financial Data | |
SEGMENT AND BUSINESS—INCOME (LOSS)
AND REVENUES
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| SEGMENT BALANCE SHEET | |
| Global Consumer Banking (GCB) | |
| North America GCB | |
| Latin America GCB | |
| Asia GCB | |
| Institutional Clients Group | |
| Corporate/Other | |
OFF-BALANCE SHEET ARRANGEMENTS | |
| CAPITAL RESOURCES | |
MANAGING GLOBAL RISK TABLE OF
CONTENTS
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| MANAGING GLOBAL RISK | |
INCOME TAXESSIGNIFICANT ACCOUNTING POLICIES AND
SIGNIFICANT ESTIMATES | |
DISCLOSURE CONTROLS AND
PROCEDURES
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DISCLOSURE PURSUANT TO SECTION 219 OF
THE IRAN THREAT REDUCTION AND SYRIA
HUMAN RIGHTS ACT | |
| FORWARD-LOOKING STATEMENTS | |
FINANCIAL STATEMENTS AND NOTES
TABLE OF CONTENTS
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| CONSOLIDATED FINANCIAL STATEMENTS | |
NOTES TO CONSOLIDATED FINANCIAL
STATEMENTS (UNAUDITED)
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UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASES
REPURCHASES OF EQUITY SECURITIES AND
DIVIDENDS | |
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 (20162019 (2019 Annual Report on Form 10-K), and Citigroup’s Quarterly ReportsReport on Form 10-Q for the quartersquarter ended March 31, 20172020 (First Quarter of 2017 Form 10-Q) and June 30, 2017 (Second Quarter of 20172020 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” pagetab and selecting “All SEC Filings.“SEC Filings,” then “Citigroup Inc.” The SEC’s website also contains current reports on Form 8-K and other information regarding Citi at www.sec.gov.
Certain reclassifications, including a realignment of certain businesses, have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information on certain recent reclassifications, see Note 1 to the Consolidated Financial Statements below and Notes 1 and 3 to the Consolidated Financial Statements in Citi’s 20162019 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.
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
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(1) | Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
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(2) | North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.
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(1) Latin America GCB consists of Citi’s consumer banking businessin Mexico.
(2) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(3) North America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and Asia includes Japan.
MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS
EXECUTIVE SUMMARY
ThirdSecond Quarter of 2017—Balanced Growth Across Citi’s Franchise2020—Results Demonstrated Continued Financial Strength and Operational Resilience in a Challenging Environment
As described further throughout this Executive Summary, during the second quarter of 2020, Citi reported balanceddemonstrated continued financial strength and operational resilience, despite a significant further deterioration in economic conditions during the quarter due to the COVID-19 pandemic:
•Citi’s earnings were substantially reduced by a higher allowance for credit loss (ACL) build (approximately $5.6 billion) during the quarter (see “Cost of Credit” below).
•Despite the challenging environment, Citi had solid revenue growth, as significantly higher revenues in Institutional Clients Group (ICG), primarily reflecting strong performance in fixed income markets and investment banking, were partially offset by lower revenues in Global Consumer Banking (GCB), reflecting lower loan volumes and lower interest rates.
•Citi demonstrated good expense discipline, resulting in a 1% decrease in expenses versus the prior year, as well as positive operating resultsleverage and a 13% improvement in operating margin, while Citi continued to invest in its infrastructure and controls as well as digital capabilities.
•Citi maintained its focus on risk management, while continuing to support clients.
•Citi had broad-based deposit growth across ICG and GCB, reflecting strong client engagement, while also strengthening Citi’s available liquidity.
•Citi returned $1.1 billion of capital to its common shareholders in the form of dividends.
•Citi continues to support its employees, customers and clients as well as the broader economy during this challenging time (see “COVID-19 Pandemic Overview” below) and maintained strong regulatory capital and liquidity metrics.
•During the quarter, the Federal Reserve Board communicated that Citi’s interim Stress Capital Buffer (SCB) requirement would be 2.5% for the four-quarter window of fourth quarter of 2020 to third quarter of 2021 (the 2020 CCAR cycle). Consistent with the regulatory capital framework, Citi declared common dividends of $0.51 per share for the third quarter of 2017, reflecting2020 on July 23, 2020, and intends to maintain its planned capital actions, which include common dividends of $0.51 per share in the four quarterscovered by the 2020CCAR cycle, subject to approval of Citi’s Board of Directors and the latest financial and macroeconomic conditions. For information on Citi’s interim and capital plan resubmission, see “Capital Resources—Stress Capital Buffer” and “—Capital Plan Resubmission and Related Limitations on Capital Distributions” below.
As a result of the pandemic, the economic outlook for 2020 has been lowered substantially, and continued momentum acrossuncertainties around the pandemic, including, among others, the duration and severity of the economic and public health impacts, have created a much more volatile operating environment that will likely continue to negatively impact Citi’s businesses and geographies, notably manyfuture results during the remainder of those where Citi has been making investments. During the quarter, Citi had revenue2020.
For a discussion of risks and loan growth in both Global Consumer Banking (GCB) and the Institutional Clients Group (ICG) compareduncertainties related to the prior-year quarter, while continuing to wind-down legacy assets in Corporate/Other. Results during the quarter also includedpandemic, see “COVID-19 Pandemic Overview,” “Risk Factors” and each respective business’s results of operations below. For a $580 million pretax ($355 million after-tax) gain on the salediscussion 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 bankingadditional risks and uncertainties that could affect Citi, retail servicessee “ Forward-Looking Statements” below as well as strong expense discipline. North America GCB’seach respective business’s results also included higher cost of credit, largely reflecting volume growth, seasoningoperations and additional cards-related loan loss reserve builds. International GCB generated positive operating leverage“Managing Global Risk” and “Risk Factors” in Citi’s 2019 Annual Report on Form 10-K.
Second Quarter of 2020 Results Summary
Citigroup
Citigroup reported net income of $1.3 billion, or $0.50 per share, compared to net income of $4.8 billion, or $1.95 per share, in the prior-year period. Net income declined 73%, driven by year-over-year revenue growththe substantially higher ACL builds, partially offset by the higher revenues and a lower tax rate (see “Significant Accounting Policies and Significant Estimates—Income Taxes” below). Earnings per share decreased 74%, driven by the decline in both Latin America net income.
Citigroup revenues of $19.8 billion in the second quarter of 2020 increased 5% from the prior-year period, primarily reflecting the higher revenues in ICG,including the higher revenues in fixed income markets and Asia investment banking, partially offset by the lower revenues across regions in GCB, excluding.
Citigroup’s end-of-period loans were largely unchanged at $685 billion. Excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation). ICG had a strong quarter, Citigroup’s end-of-period loans grew 1%, with revenue5% growth across all Banking businesses, as well as in equity markets and securities services, partially offset by a decline in fixed income markets revenues. These increases in revenues wereICG partially offset by lower revenuesloans in Corporate/OtherGCB,mostlyreflecting the impact of lower spend activity and the continued wind-down of legacy non-core assets.
Citi’s regulatory capital declined slightly during the quarter, as earnings growth was more than offset by the return of approximately $6.4 billion to its common shareholdersassets in the form of common stock repurchases and dividends. Citi repurchased approximately 81 million common shares in the third quarter of 2017, as outstanding common shares declined 3% from the prior quarter and 7% from the prior-year period. Despite this capital return, each of Citigroup’s key regulatory capital metrics remained strong as of the end of the third quarter of 2017 (see “Capital” below)Corporate/Other. 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 be various economic, political and other risks and uncertainties that could impact Citi’s businesses and future results. For a more detailed discussion of these risks and uncertainties, see each respective business’s results of operations and “Forward-Looking Statements” below, as well as each respective business’s results of operations and the “Managing Global Risk” and “Risk Factors” sections in Citi’s 2016 Annual Report on Form 10-K.
Third Quarter of 2017 Summary Results
Citigroup
Citigroup reported net income of $4.1 billion, or $1.42 per share, compared to $3.8 billion, or $1.24 per share, in the prior-year period. The 8% increase in net income included the gain on sale, which contributed $0.13 to earnings per share. Excluding the gain, net income declined 2%, reflecting higher cost of credit, while earnings per share increased 4%, largely due to a 7% reduction in average shares outstanding. (Citi’s results of operations excluding the gain on sale are non-GAAP financial measures.)
Citigroup revenues of $18.2 billion in the third quarter of 2017 increased 2%, driven by the gain on sale as well as 3% aggregate growth in ICG and GCB, partially offset by a 55% decrease in Corporate/Other due primarily to the continued wind-down of legacy non-core assets.
Citigroup’s end-of-period loansdeposits increased 2%18% to $653 billion versus the prior-year period.$1.2 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period loans also grew 2%deposits increased 20%, as 5%primarily driven by 22% growth in ICG and 3%15% 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% to $964 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s deposits were up 2%, driven by a 3% increase 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 $10.4 billion decreased 2% to $10.2 billion1% versus the prior-year period, as the impact of higher volume-related expensesefficiency savings and ongoing investments werelower marketing and other discretionary spend more than offset by efficiency savingshigher compensation costs, investments and the wind-down of legacy assets.pandemic-related expenses. Year-over-year, ICG operating expenses were up 5%, while GCB operating expenses were largely unchanged and Corporate/Other operating expenses declined 36%10% and 2%, respectively, while ICG expenses increased 7%.
Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $2.0$7.9 billion, increased 15% from the prior-year period. The increase was driven by an increase in net credit losses of $252 million, primarily in North America GCB, and a net loan loss reserve build of $194 million, compared to a net build of $176 million$2.1 billion in the prior-year period. Theperiod, reflect the ACL build and higher net loan loss reservecredit losses. Citi’s ACL build increased to $5.6 billion, primarily reflecting a deterioration in Citi’s view of the currentmacroeconomic outlook since the end of the first quarter included roughly $100 million of loan loss reserves related to2020 under the potential impact of hurricane and earthquake events, recorded in North America GCB and Latin America GCB,Current Expected Credit losses (CECL) standard, as well as downgrades in the legacycorporate loan portfolio, in Corporate/Other.both cases driven by the continued impact of the pandemic. The reserve build also included an additional qualitative management adjustment to reflect the potential for a higher level of stress and/or a somewhat slower economic recovery. For further information on the drivers of Citi’s ACL build, see “Significant Accounting Policies and Significant Estimates—Allowance for Credit Losses” below.
Net credit losses of $1.8$2.2 billion increased 17% versus the prior-year period.12%. Consumer net credit losses of $1.7$1.9 billion
increased 17%, primarily were largely unchanged, 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 overall volume growth and seasoning in cards. The increase in consumerhigher net credit losses was partiallyin GCB, primarily reflecting seasoning in the North America branded cards portfolio, as GCB had not yet incurred significant net credit losses related to the pandemic, offset by the continued wind-down of legacy assetslower net credit losses in Corporate/Other. Corporate net credit losses increased 2%to $324 million from $89 million in the prior-year period, to $43 million.primarily reflecting write-offs across various sectors in both North America and EMEA.
For additional information on Citi’s consumer and corporate credit costs and allowance for loan losses,ACL, also see each respective business’s results of operations and “Credit Risk” below.
Capital
Citigroup’s Common Equity Tier 1 Capital and Tier 1 Capital ratios, on a fully implemented basis, were 13.0% and 14.6%ratio was 11.6% as of SeptemberJune 30, 2017 (based2020, based on the Basel III Advanced Approaches framework for determining risk-weighted assets, compared to 11.9% as of June 30, 2019, based on the Basel III Standardized Approach for determining risk-weighted assets)assets. The decline in the ratio primarily reflected an increase in risk-weighted assets.
Incorporating Citi’s interim SCB of 2.5%, respectively, comparedand a GSIB surcharge of 3%, results in a minimum regulatory requirement of 10% for both Standardized (using SCB) and Advanced (using the Capital Conservation Buffer (CCB)) Approaches, relative to 12.6% and 14.2%Citi’s Common Equity Tier 1 ratio of 11.6% using Advanced Approaches as of September 30, 2016 (based on the Basel III Advanced Approaches for determining risk-weighted assets). second quarter of 2020.
Citigroup’s Supplementary Leverage ratio as of SeptemberJune 30, 2017, on a fully implemented basis,2020 was 7.1%6.7%, primarily reflecting the benefit of temporary relief granted by the Federal Reserve Board, compared to 7.4%6.4% as of SeptemberJune 30, 2016.2019. 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 loss of $0.4 billion compared to net income decreased 6% to $1.2of $1.3 billion as higher revenues were more than offset byin the prior-year period, reflecting significantly higher cost of credit whileand lower revenues, partially offset by lower expenses. GCB operating expenses were unchanged. Operating expenses were $4.4of $4.0 billion down 1% excluding the impact of FX translation, as higher volume-related expenses and continued investments were more than offset by ongoing efficiency savings.
GCB revenues of $8.4 billion increased 3% versus the prior-year period.decreased 10%. Excluding the impact of FX translation, expenses decreased 8%, as efficiency savings, lower volume-related expenses and reductions in marketing and other discretionary
spending were partially offset by increases in pandemic-related expenses.
GCBrevenues increased 2%of $7.3 billion decreased 10%. Excluding the impact of FX translation, revenues decreased 7%, driven by growthas lower loan volumes and lower interest rates across all regions. regions more than offset strong deposit growth, each reflecting the continued impact of the pandemic. North America GCB revenues increased 1% to $5.2of $4.7 billion decreased 5%, as higher revenues in Citi-branded cards were more than offset by lower revenues in Citi retail services and retail banking were partially offset by lower revenues in Citi-branded cards.banking. Citi-branded cards revenues of $2.2 billion increased 1%, as lower purchase sales and lower average loans were more than offset by a favorable mix shift toward interest earning balances, which supported net interest revenues. Citi retail servicesrevenues of $1.4 billion decreased 1% versus the prior-year period,13%, reflecting higher partner payments and lower average loans. Retail banking revenues of $1.1 billion decreased 3%, as the benefit of growthstronger deposit volumes and improvement 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 higher interest rates. Citi retail services revenues of $1.7 billion increased 2% versus the prior-year period, reflecting continued loan growth. Retail banking revenues of $1.4 billion increased 1% from the prior-year period. Excluding mortgage revenues retail banking revenues were up 12% from the prior-year period, drivenmore than offset by continued growth in loans and assets under management, as well as a benefit from higher interest rates.lower deposit spreads.
North America GCB average deposits of $184$173 billion were unchanged versus the prior-year period,increased 14% year-over-year, average retail banking loans of $56$52 billion grew 1%increased 9% year-over-year and assets under management of $59$69 billion grew 10%increased 2%. Average brandedCiti-branded card loans of $85$83 billion increased 8%, while brandeddecreased 7% and Citi-branded card purchase sales of $80$74 billion increased 10% versusdecreased 21%, both driven by reduced customer activity related to the prior-year period.pandemic. Average Citi retail services loans of $46 billion were up 5%, while
decreased 6% and Citi retail services purchase sales of $20$17 billion were up 2%.decreased 25%, both driven by reduced customer activity and partner store closures related to the pandemic. For additional information on the results of operations of North America GCB for the thirdsecond quarter of 2017,2020, 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)) increased 8% to $3.2, of $2.6 billion declined 18% versus the prior-year period. Excluding the impact of FX translation, international GCB revenues increased 5% versusdeclined 12%, largely reflecting the prior-year period. impact of the pandemic. On this basis, Latin America GCB revenues increased 4% versus the prior-year period,decreased 7%, driven by growthlower card purchase sales, a decline in loansloan volumes and lower deposit volumes. Asia GCB revenues increased 5% versus the prior-year period, driven by improvement in wealth management and cards revenues,spreads, partially offset by deposit growth. Asia GCB revenues decreased 15%, reflecting lower retail lending revenues.card purchase sales, insurance volumes and deposit spreads, even as deposit growth remained strong. For additional information on the results of operations of Latin America GCB and Asia GCB for the thirdsecond quarter of 2017,2020, 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$129 billion increased 10%, average retail banking loans of $70 billion increased 4%, assets under management of $118 billion increased 4%, average retail loans of $89 billion were roughly flat, assets under management of $100 billion increased 10%, average card loans of $24$21 billion increased 6%decreased 9% and card purchase sales of $25$18 billion increased 7%decreased 30%, all excluding the impact of FX translation.
Institutional Clients Group
ICG net income of $3.0$1.9 billion increased 15%decreased 45%, primarily driven by significantly higher revenues, including the $580 million ($355 million after-tax) gain on the sale of a fixed income analytics business, and a higher benefit from cost of credit and higher expenses, partially offset by higher operating expenses. revenues. ICG operating expenses increased 5%7% to $4.9$5.9 billion, asreflecting higher compensation costs, continued investments and volume-related expenses werevolume-driven growth, partially offset by efficiency savings.
ICG revenues were $9.2of $12.1 billion in the third quarter of 2017, up 9% from the prior-year period, driven byincreased 21%, reflecting a 16%48% increase in Banking revenues and a 3% increase in Markets and securities servicesrevenues, including the gain on sale.partially offset by a 3% decline in Banking revenues. The increasedecrease in Bankingrevenues included the impact of $48$431 million of losses on loan hedges withinrelated to corporate lending and the private bank, compared to losses of $218$75 million related to corporate lending in the prior-year period.
Bankingrevenues of $4.7$5.7 billion (excluding the impact of losses on loan hedges within corporate lending)hedges) increased 11% compared to the prior-year period, driven by significant growth4%, as increases in investment banking and the private bank as well as continued solid performancewere partially offset by declines in treasury and trade solutions and corporate lending. Investment banking revenues of $1.2$1.8 billion increased 14% versus the prior-year period, reflecting continued wallet share gains across all products. Equity37%, as strong growth in debt and equity underwriting was partially offset by modestly lower advisory revenues. Advisory revenues decreased 1% to $229 million, equity underwriting revenues increased 99%56% to $290$491 million and debt underwriting revenues increased 1%41% to $704 million while advisory$1.0 billion.
Treasury and trade solutions revenues decreased 1% to $237 million, all versusof $2.3 billion declined 11%, and 7% excluding the prior-year period.
impact of FX translation, as strong client engagement and growth in deposits were more than offset by the impact of lower interest rates and reduced commercial card spend. Private bank revenues of $956 million increased 15% versus10% (excluding the prior-year period to $785 million,impact of losses on loan hedges), driven by growth in clients, loans, investmentincreased capital markets activity and deposits, as well as improved spreads.higher lending and deposit volumes, partially offset by lower deposit spreads, reflecting the impact of lower rates. Corporate lending revenues increased $233of $232 million to $454 million.decreased 64%. Excluding the impact of losses on loan hedges, corporate lending revenues increased 14% to $502 million
versus the prior-year period, reflectingdecreased 11%, as higher loan volumes were more than offset by lower hedging costs and improved loan sale activity. Treasury and trade solutions revenues increased 8% to $2.1 billion versus the prior-year period, reflecting continued volume growth and improved deposit spreads.
Markets and securities services revenues of $6.9 billion increased 3% to $4.6 billion versus the prior-year period, as a decline in fixed48%.Fixed income marketsrevenues of $5.6 billion increased 68%, reflecting strength in rates and currencies, spread products and commodities. Equity markets revenues of $770 million decreased 3%, as solid performance in cash equities was more than offset by higherlower revenues in equity markets, securities services 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.finance, reflecting a more challenging environment. Securities services revenues increased 12% to $599of $619 million versusdecreased 9%, and 5% excluding the prior-year period, drivenimpact of FX translation, as higher deposit volumes were more than offset by growth in client volumes across the custody business, along with higherlower spreads, given lower interest revenue.rates. For additional information on the results of operations of ICG for the thirdsecond quarter of 2017,2020, see “Institutional Clients Group” below.
Corporate/Other
Corporate/Other net loss was $87$163 million in the thirdsecond quarter of 2017,2020, compared to a net lossincome of $48$84 million in the prior-year period, reflectingdriven by lower revenues and higher cost of credit, reflecting ACL builds under the CECL standard on Citi’s residual legacy portfolio, partially offset by lower operating expenses and lower cost of credit.a decrease in expenses. Operating expenses of $822$469 million declined 36% from2%, reflecting the prior-year period,continued wind-down of legacy assets, partially offset by higher infrastructure costs as well as incremental costs associated with the pandemic. Corporate/Other revenues of $290 million declined 49%, reflecting the wind-down of legacy assets and lower legal expenses.
Corporate/Other revenues were $509 million, down 55% from the prior-year period, reflecting the wind-down of legacy assets, divestitures and the impact of hedging activities.
Corporate/Other end-of-period assets decreased 4% to $100 billion fromlower interest rates, partially offset by available-for-sale (AFS) investment securities gains as well as positive marks on legacy securities, as spreads tightened during the prior-year period, as Citi continued to wind-down legacy assets.quarter. For additional information on the results of operations of Corporate/Other for the second quarter of 2020, see “Corporate/Other” below.
COVID-19 PANDEMIC OVERVIEW
In addition to the widespread public health implications, the emergence of the COVID-19 pandemic has had an extraordinary impact on macroeconomic conditions in the U.S. and around the world. As discussed below and elsewhere throughout this Form 10-Q, Citi’s businesses, results of operations and financial condition have been impacted by economic dislocations caused by the pandemic. Citi had builds to its allowance for credit losses (ACL) of approximately $10.5 billion during the first six months of 2020, bringing its ACL to approximately $28.5 billion at June 30, 2020, with an Allowance for credit losses on loans (ACLL) reserve ratio of 3.89% on funded loans. For additional information, see “Covid-19 Pandemic Overview—Impact of CECL on Citi’s Allowance for Credit Losses” below.
Despite these impacts, Citi has remained well positioned from a capital and liquidity perspective, and has maintained strong business operations. At quarter end, Citi had a CET1 Capital ratio of 11.6%, a Supplementary Leverage ratio of 6.7% and a Liquidity Coverage ratio of 117%, each well above regulatory minimums, with $900 billion of available liquidity resources (see “Managing Global Risk—Liquidity Risk” below).
Governments and central banks globally have taken a series of aggressive actions to support the economy and mitigate the systemic impacts of the pandemic, and Citi continues to proactively assess and utilize these measures where appropriate. For additional information on Citi’s pandemic response and other pandemic-related information, see Citi’s First Quarter of 2020 Form 10-Q.
Citi’s COVID-19 Pandemic Response—Supporting Employees, Customers and Communities
The health and safety of Citi’s employees and their families, as well as Citi’s customers, clients and communities it serves, are of the utmost importance. As the public health crisis has unfolded, Citi has continued to take proactive measures to preserve their well-being while maintaining its ability to serve customers and clients.
Citi Employees
•The majority of Citi employees around the world are working remotely.
•Citi is pursuing a slow and measured reentry to its sites and a rapid retreat where necessary based on medical data and local conditions.
•Citi is offering enhanced flexibility and paid time off for colleagues directly and indirectly impacted by the pandemic.
•Citi is providing additional health and well-being resources for colleagues.
•In the first quarter of 2020, Citi provided more than 75,000 colleagues globally with extra compensation, including a $1,000 special payment to eligible colleagues in the U.S.
•Citi is delivering a virtual summer internship program globally and has guaranteed full-time employmentoffers for those interns meeting minimum requirements in hub locations.
•Extra cleaning protocols and protective supplies have been put in place at Citi sites, branches and ATMs, and staff has been educated on preventive measures.
Citi Communities
Citi, the Citi Foundation and Citi colleagues are supporting those immediately impacted by the crisis through a variety of efforts. To date, Citi and the Citi Foundation have committed over $100 million in support of pandemic community relief efforts. As part of this commitment, Citi is donating the net profits earned through its participation in the Paycheck Protection Program to the Citi Foundation. Initial proceeds of $25 million have been donated to the Citi Foundation and will be used to expand its pandemic U.S. Small Business Relief Program to support efforts by Community Development Financial Institutions to serve small, diverse entrepreneurs who may not fully qualify for federal government stimulus funding.
Citi Consumer Loan Relief Programs
As previously disclosed, Citi was one of the first banks in the U.S. to announce assistance measures for pandemic-impacted customers. Citi has offered a wide array of programs for different types of products, providing short- and medium-term relief to customers as a result of the pandemic. The relief provided has been primarily in the form of payment deferrals and fee waivers. These consumer relief programs have primarily been provided to GCB customers, with a small portion of customers reported within Corporate/Other. For further information on Citi’s measures to support its customers and clients in response to the pandemic, see “COVID-19 Overview” in the First Quarter of 2020 10-Q.
The table below provides information on the number of loan modifications and the associated balances at enrollment for Citi’s pandemic consumer relief programs for the three months ended June 30, 2020, excluding troubled debt restructurings (see “Troubled Debt Restructuring (TDR) Relief” below).
| | | | | | | | | | | | | | | | | |
| For the three months ended June 30, 2020 | | | | |
In millions of dollars,
except number of loans modified | Number of loans modified | Enrollment balance(1)(2) | % of total loan portfolio(3) | | Program details |
| North America | | | | | |
| Credit cards | 1,909,296 | | $ | 6,920 | | 5 | % | | Waivers on late fees and deferral of minimum payments for two payment cycles |
Residential first mortgages(4) | 6,866 | | 3,044 | | 6 | | | Extending existing payment deferral options and suspending foreclosures into the third quarter of 2020 |
Home equity loans(4) | 4,289 | | 536 | | 6 | | | Extending existing payment deferral options |
Personal, small business and other(5) | 16,626 | | 259 | | 5 | | | Waivers on fees including non-Citi ATM fees and monthly service fees as well as minimum payment deferrals for up to two months |
| Total North America | 1,937,077 | | $ | 10,759 | | 6 | % | | |
| International | | | | | |
| Asia | | | | | |
| Credit cards | 859,696 | | $ | 1,601 | | 10 | % | | Payment deferrals for up to three months, interest and fee waivers and reductions in minimum due payments |
| Residential first mortgages | 44,947 | | 3,334 | | 10 | | | Payment deferrals for up to 12 months, interest and fee waivers and reductions in minimum due payments |
| Personal, small business and other | 169,162 | | 1,368 | | 5 | | | Payment deferrals for up to three months for revolving products and overdrafts or up to 12 months for installment loans, interest and fee waivers and reductions in minimum due payments |
| Latin America | | | | | |
| Credit cards | 640,912 | | 1,089 | | 26 | | | Minimum payment deferrals for up to six months, temporary interest rate reductions and waivers on certain fees |
| Residential first mortgages | 19,363 | | 716 | | 21 | | | Minimum payment deferrals for up to six months, temporary interest rate reductions and waivers on certain fees |
| Personal, small business and other | 177,838 | | 1,165 | | 21 | | | Minimum payment deferrals for up to six months, temporary interest rate reductions and waivers on certain fees |
| Total international | 1,911,918 | | $ | 9,273 | | 10 | % | | |
| Total Consumer | 3,848,995 | | $ | 20,032 | | 7 | % | | |
(1) Reserves for these loans are calculated in accordance with the CECL standard.
(2) Enrollment balances represent the aggregate amounts enrolled during the second quarter of 2020. Ending balances as of June 30, 2020 may be lower.
(3) The percentage denominator is the total ending period loans balance for the respective product and region at June 30, 2020.
(4) Includes $183 million of residential first mortgage loans and $369 million of home equity loans reported in Corporate/Other.
(5) Includes $55 million of student loans reported in Corporate/Other.
As set forth in the table above, during the second quarter of 2020, consumer relief programs had more than 3.8 million loan modifications with approximately $20.0 billion of associated enrollment balances, excluding TDRs, representing approximately 7% of Citi’s total consumer loan balances.
In North America, credit card programs represented the largest volume of enrollments and loan balances. In the second quarter of 2020, approximately 45% of credit card customers made at least one payment during the time they were enrolled in the programs. In addition, Citi observed re-enrollment rates of 14% under these programs. As these credit card relief programs offered a deferral of minimum payments for two payment cycles, certain customers were able to complete the program before June 30, 2020. End-of-period loan balances for active enrolled customers as of June 30, 2020, were approximately $2.6 billion.
In Asia, auto-enrollment relief programs mandated by governments or regulators in Malaysia, Philippines and India programs represented the largest volume of enrollments and
loan balances. These programs accounted for approximately 67% of total enrollments during the second quarter.
Approximately 43% of credit cards, personal installment loans and mortgage customers made at least one payment during the time they were enrolled in the programs.
In Mexico, Citi participated in a government-sponsored debt relief program that was available until May 15, 2020. The program provided customers with a payment deferral for principal and interest for a period of four to six months on various products. Eligible customers included those who were current (less than 30 days past due) as of February 28, 2020, and given there was no proof of hardship required to apply for the program the application process was made frictionless. As a result, most major banks experienced high enrollment rates associated with the program. Specifically, during the second quarter Citi received a large number of applications and associated enrollment balances that represented approximately 22% of Citi`s consumer lending portfolio in Mexico. Customer payment behavior under the program was largely
driven by product type. Approximately 57% of customers enrolled in credit card programs made at least one payment during the month of June 2020.
Citi Corporate Loan Relief Programs
Citi has modified the contractual terms of corporate loans to certain borrowers impacted by the pandemic. These modifications consist primarily of deferrals in the payment of principal and/or interest that Citi has provided during the second quarter of 2020 in response to borrower requests, as well as those provided pursuant to government-mandated relief programs.
The table below shows Citi’s corporate loan modifications, excluding TDRs:
| | | | | | | | | | | |
| June 30, 2020 | | |
| In millions of dollars | Total credit exposure | Funded | Unfunded |
| Corporate loans | $ | 3,781 | | $ | 3,085 | | $ | 696 | |
| Private bank loans | 2,193 | | 2,190 | | 3 | |
| Total Corporate | $ | 5,974 | | $ | 5,275 | | $ | 699 | |
Citi’s Management of COVID-19 Pandemic Risks
Citi’s dedicated continuity of business and crisis management groups are managing Citi’s protocols in response to the pandemic. Among other things, the protocols address the prioritization of critical processing; ability of staff and third parties to support these processes from remote work locations; deployment of new hardware to support technology needs; and ongoing monitoring to assess controls and service levels. For additional information about Citi’s management of pandemic-related risks, see Citi’s First Quarter of 2020 Form 10-Q.
Citi expects that overall revenues in the near term, including GCB and ICG revenues, will likely continue to be adversely impacted by the lower interest rate environment as well as challenging macroeconomic and market conditions, including the effects related to the severity and duration of the pandemic as well as the responses of governments, customers and clients. In particular, each GCB region should continue to experience the adverse impacts from the pandemic on customer behavior, including lower purchase sales and loan volumes, while Latin America GCB is also likely to experience a more pronounced impact from macroeconomic weakness in Mexico. Citi also expects that ICG Markets and investment banking revenues should continue to reflect overall market conditions, including a normalization of business trends compared to the first half of 2020.
Citi’s operating expenses may be impacted by uncertainties related to the pandemic, including, among other things, the continued efforts to protect and support Citigroup’s employees and to support Citi’s customers and clients digitally.
Moreover, Citi, including GCB and ICG, expects to experience higher net credit losses on its existing portfolios going forward due to the pandemic. If Citi’s second quarter 2020 macro-economic forecast assumptions are realized, Citi does not expect significant additional reserve builds in the near term; however the overall level of reserves remains dependent on the evolving economic environment relative to
this forecast, with a deterioration potentially having a significant impact on the movement of the ACL going forward. For additional information about significant risks to Citi from the pandemic, see “Risk Factors” below.
Balance Sheet and Other Items Related to the COVID-19 Pandemic
Balance Sheet Trends
As of June 30, 2020, Citi’s end-of-period balance sheet grew 12% from the prior-year period (14% excluding the impact of FX translation) and 1% sequentially (largely unchanged excluding the impact of FX translation), as it continued to support both its consumer and institutional clients. Loans were unchanged from the prior-year period (up 1% excluding the impact of FX translation), while deposits grew 18% (20% excluding the impact of FX translation), reflecting significant deposit growth in both GCB and ICG driven by the continued impact of the pandemic. For additional information, see “Liquidity Risk” below.
Impact of CECL on Citi’s Allowance for Credit Losses (ACL)
The table below shows the impact of Citi’s adoption of CECL as of January 1, 2020 and the ACL during the first and second quarters of 2020. For information on the drivers of Citi’s ACL build in the second quarter, see “Significant Account Policies and Significant Estimates—Allowance for Credit Losses” below. For additional information on Citi’s accounting policy on accounting for credit losses under CECL, see Note 14 to the Consolidated Financial Statements and Note 1 in Citi’s First Quarter of 2020 Form 10-Q.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Allowance for credit losses (ACL) | | | | | | | | |
| In millions of dollars | Balance December 31, 2019 | CECL transition impact | Build
in first quarter of 2020 | FX/Other in first quarter of 2020 | Balance March 31, 2020 | Build
in second quarter of 2020 | FX/Other in second quarter of 2020 | Balance June 30, 2020 | ACLL/EOP loans June 30, 2020(1) |
Cards(1) | $ | 8,419 | | $ | 4,456 | | $ | 2,420 | | $ | (215) | | $ | 15,080 | | $ | 1,572 | | $ | 50 | | $ | 16,702 | | 11.21 | % |
All other GCB | 1,200 | | 566 | | 413 | | (217) | | 1,962 | | 388 | | 36 | | 2,386 | | |
| Global Consumer Banking | $ | 9,619 | | $ | 5,022 | | $ | 2,833 | | $ | (432) | | $ | 17,042 | | $ | 1,960 | | $ | 86 | | $ | 19,088 | | 7.00 | % |
| Institutional Clients Group | 2,886 | | (717) | | 1,316 | | (34) | | 3,451 | | 3,370 | | 3 | | 6,824 | | 1.71 | |
| Corporate/Other | 278 | | (104) | | 187 | | (13) | | 348 | | 160 | | — | | 508 | | |
| Allowance for credit losses on loans (ACLL) | $ | 12,783 | | $ | 4,201 | | $ | 4,336 | | $ | (479) | | $ | 20,841 | | $ | 5,490 | | $ | 89 | | $ | 26,420 | | 3.89 | % |
| Allowance for credit losses on unfunded lending commitments | 1,456 | | (194) | | 557 | | (6) | | 1,813 | | 113 | | (67) | | 1,859 | | |
| Other | — | | 96 | | 2 | | 32 | | 130 | | 79 | | 8 | | 217 | | |
| Total allowance for credit losses (ACL) | $ | 14,239 | | $ | 4,103 | | $ | 4,895 | | $ | (453) | | $ | 22,784 | | $ | 5,682 | | $ | 30 | | $ | 28,496 | | |
(1) As of June 30, 2020, in North America GCB, Citi-branded cards ACLL/EOP loans was 10.1% and Citi retail services ACLL/EOP loans was 14.0%.
Accumulated Other Comprehensive Income (AOCI)
In the second quarter of 2020, Citi’s AOCI was a net after-tax loss of $0.8 billion, driven primarily by Citi’s own credit spreads narrowing, resulting in a $2.2 billion (after-tax) DVA loss on Citi’s debt accounted for under the fair value option. Net unrealized gains on AFS investment securities increased by $0.8 billion, driven by continued declines in interest rates. Currency fluctuations resulted in a $0.6 billion currency translation adjustment gain, driven by the weakening of the U.S. dollar against most currencies. The DVA loss does not have an impact on regulatory capital. For additional information on the components of Citi’s AOCI, see Note 17 to the Consolidated Financial Statements.
Common Stock Repurchases
As previously disclosed, on March 15, 2020, Citi joined other major U.S. banks in suspending stock repurchases to further bolster Citi’s capital and liquidity positions, in order to allow additional capacity to support clients in light of the pandemic. For additional information, see “Equity Security Repurchases” below.
Principal Transactions Revenues
Global trading markets experienced continued increases in volatility, trading volumes and movements in the second quarter of 2020. Citi’s principal transactions revenues, recorded in ICG, were $3.9 billion in the current quarter, an increase of $2.0 billion from the prior-year period. For additional information on Citi’s trading results, see “Institutional Clients Group” and Note 6 to the Consolidated Financial Statements.
Capital Plan Resubmission and Related Limitations on Capital Distributions
In June 2020, the Federal Reserve Board (FRB) determined that changes in financial markets and macroeconomic outlooks related to the COVID-19 pandemic could have a material effect on the risk profile and financial condition of each firm subject to its capital plan rule, and therefore require updated capital plans. Accordingly, the FRB is requiring each firm, including Citi, to update and resubmit its capital plan within 45 days after the FRB provides updated scenarios. The FRB also established temporary limitations on capital distributions during the third quarter of 2020, which may be extended by the FRB. Citi declared common dividends of $0.51 per share
for the third quarter of 2017,2020 on July 23, 2020, which would not be impacted by the Federal Reserve Board’s temporary limitations on capital distributions. For additional information about the capital plan resubmission and related limitations on capital distributions, see “Corporate/Other”“Capital Resources” below.
Certain Key Government Actions in Support of the Economy
U.S. Government-Sponsored Liquidity Programs
During the first quarter of 2020, the FRB introduced several liquidity facilities in response to the funding market volatility caused by the pandemic. Citi has participated in several of the U.S. government-sponsored liquidity programs, including the Money Market Mutual Fund Liquidity Facility (MMLF), the Primary Dealer Credit Facility (PDCF) and Discount Window (DW) in order to facilitate client activity and support the FRB actions to provide additional liquidity into the market. Citi has also participated in the Paycheck Protection Program Lending Facility (PPPLF), which was established to facilitate lendingunder the SBA’s Paycheck Protection Program (see “Small Business Administration’s Paycheck Protection Program” below). The amounts Citi sourced from these facilities were not significant to Citi’s overall liquidity profile during the second quarter, which remains strong and highly liquid. For additional information about Citi’s liquidity resources, see “Managing Global Risk—Liquidity Risk” below.
U.S. Banking Agencies Regulatory Capital Relief
In response to the pandemic, during the first and second quarters of 2020, the U.S. banking agencies issued several interim final rules revising the current regulatory capital standards, to provide banking organizations with additional flexibility to support consumers and businesses. Those rules applicable to Citi include:
•Easing of capital distribution limits in the event of regulatory capital buffer breaches, which provides some flexibility to continue distributing capital under certain circumstances.
•Modification of the CECL transition provision to defer the January 1, 2020 capital impact to January 1, 2022 and to provide additional capital relief for ongoing increases in credit reserves. Citi’s reported Common Equity Tier 1 Capital ratio at June 30, 2020, reflecting the modified CECL transition provision, was 44 basis points higher than Citi’s Common Equity Tier 1 Capital ratio, reflecting the full impact of CECL on regulatory capital.
•Temporary Supplementary Leverage ratio (SLR) relief for bank holding companies, commencing in the second quarter of 2020, allowing Citigroup to temporarily expand its balance sheet by excluding U.S. Treasury securities and deposits with the FRB from the SLR denominator. Citigroup’s reported Supplementary Leverage ratio of 6.66% benefited 94 basis points during the second quarter of 2020 as a result of the temporary relief. Excluding the temporary relief, Citigroup’s Supplementary Leverage ratio would have been 5.72%, compared with a 5.0% effective minimum requirement.
•Assigning a 0% risk weight to loans originated under the
Paycheck Protection Program.
For additional information about regulatory capital relief provided by the U.S. banking agencies, see “Capital Resources” below.
Troubled Debt Restructuring (TDR) Relief
Under U.S. GAAP, banks are required to assess modifications to a loan’s terms for potential classification as a TDR. A loan to a borrower experiencing financial difficulty is classified as a TDR when a lender grants a concession that it would otherwise not consider, such as a payment deferral or interest concession. In order to encourage banks to work with impacted borrowers, the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) and U.S. banking agencies have provided relief from TDR accounting. The main benefits of TDR relief include a capital benefit in the form of reduced risk-weighted assets, as TDRs are more heavily risk-weighted for capital purposes; aging of the loans is frozen, i.e., they will continue to be reported in the same delinquency bucket they were in at the time of modification; and the loans are generally not reported as non-accrual during the modification period. The loans included in the modification programs are included in Citi’s reserving process under the CECL standard.
Small Business Administration’s Paycheck Protection Program
The Paycheck Protection Program (the Program) authorizes the origination of forgivable loans to small businesses to pay their employees during the pandemic. Loan terms are the same for all businesses. Among other programs, Citi is participating in the Payment Protection Program and has funded approximately $3.8 billion in loans as of June 30, 2020. Citi remains committed to supporting small businesses. The processing of loan forgiveness requests under the Program is expected to begin in the third quarter of 2020 and the timing for processing will determine whether there is significant forgiveness in the second half of 2020.
RISK FACTORS
Macroeconomic and Other Challenges and Uncertainties Related to the COVID-19 Pandemic Will Likely Continue to Have Negative Impacts on Citi’s Businesses and Results of Operations and Financial Condition.
The COVID-19 pandemic has spread globally, affecting all of the countries and jurisdictions where Citi operates. The pandemic has had, and will likely continue to have, negative impacts on Citi’s businesses, revenues, expenses, credit costs and overall results of operations and financial condition, which could be material. The pandemic and responses to it have had, and will likely continue to have, a severe impact on global economic conditions, although the impacts will likely vary from time to time by country, state or region, largely depending upon the duration and severity of the public health consequences and availability of any effective therapeutic or vaccine. These impacts to global economic conditions include, among others:
•sharply reduced U.S. and global economic output and employment, resulting in loss of employment and lower consumer spending, cards purchase sales and loan volumes;
•disruption of global supply chains;
•significant disruption and volatility in financial markets;
•temporary closures, reduced activity and failures of many businesses, leading to loss of revenues and net losses; and
•the institution of social distancing and restrictions on movement in and among the United States and other countries.
The extent of the pandemic’s impact on Citi’s financial performance and operations, including its ability to execute its business initiatives and strategies, will continue to depend on future developments in the U.S. and globally, which are uncertain and cannot be predicted, including the duration and further spread of the disease, as well as the severity of the economic downturn or any delay or weakness in the economic recovery. The impact will in part be dependent on government and other actions taken to lessen the health and economic repercussions, such as medical investments and advances, restrictions on movement of people, transportation and businesses, and the effectiveness of past and any future fiscal, monetary and other governmental actions. Ongoing legislative and regulatory changes in the U.S. and globally to address the economic impact from the pandemic, such as consumer and corporate relief measures, could further affect Citi’s businesses, credit costs and results. Citi could also face challenges, including legal and reputational, and scrutiny in its implementation of and ongoing efforts to provide these relief measures. Such implementations and efforts have resulted in, and may continue to result in, litigation, including class actions, or regulatory and government actions and proceedings. Such actions may result in judgments, settlements, penalties and fines adverse to Citi. In addition, the different types of government actions could vary in scale and duration across jurisdictions and regions with varying degrees of effectiveness.
The impact of the pandemic on Citi’s consumer and corporate borrowers will also vary by region, sector or industry, with some borrowers experiencing greater stress levels, which could lead to increased pressure on the results of operations and financial condition of such borrowers, increased borrowings or credit ratings downgrades, thus likely leading to higher credit costs. In addition, stress levels ultimately experienced by Citi’s borrowers may be different from and more intense than assumptions made in earlier estimates or models used by Citi during or prior to the emergence of the pandemic, resulting in a further increase in Citi’s allowance for credit losses or net credit losses.
The pandemic may not be sufficiently contained for an extended period of time, due to a further emergence or re-emergence of widespread infections. A prolonged health crisis could continue to reduce economic activity in the U.S. and other countries, resulting in a further decline in employment and business and consumer confidence. These factors could further negatively impact global economic activity and Citi’s consumer customers and corporate clients; cause a continued decline in Citi’s revenues and the demand for its products and services; lead to a prolonged period of lower interest rates; and further increase Citi’s credit and other costs. These factors could also cause a continued increase in Citi’s balance sheet, risk-weighted assets and allowance for credit loss reserves, resulting in a decline in regulatory capital ratios or liquidity measures, as well as regulatory demands for higher capital levels and/or reductions in capital distributions. Moreover, any disruption or failure of Citi’s performance of, or its ability to perform, key business functions, as a result of the continued spread of COVID-19 or otherwise, could adversely affect Citi’s operations.
Any disruption to, breaches of or attacks on Citi’s information technology systems, including from cyber incidents, could have adverse effects on Citi’s businesses. These systems are supporting a substantial portion of Citi’s employees who have been affected by local pandemic restrictions and have been forced to work remotely. In addition, these systems interface with and depend on third-party systems, and Citi could experience service denials or disruptions if demand for such systems were to exceed capacity or if a third-party system fails or experiences any interruptions. Citi has also taken measures to maintain the health and safety of its employees; however, these measures could result in increased expenses, and widespread illness could negatively affect staffing within certain functions, businesses or geographies. In addition, Citi’s ability to recruit, hire and onboard employees in key areas could be negatively impacted by global pandemic restrictions.
Further, it is unclear how the macroeconomic business environment or societal norms may be impacted after the pandemic. The post-pandemic environment may undergo unexpected developments or changes in financial markets, the fiscal, tax and regulatory environments and consumer customer and corporate client behavior. These developments and changes could have an adverse impact on Citi’s results of operations and financial condition. Ongoing business and regulatory uncertainties and changes may make Citi’s longer-
term business, balance sheet and budget planning more difficult or costly. Citi, its management and its businesses may also experience increased or different competitive and other challenges in this environment. To the extent that it is not able to adapt or compete effectively, Citi could experience loss of business and its results of operations and financial condition could suffer.
For additional information about trends, uncertainties and risks related to the pandemic, as well as Citi’s management of pandemic-related risks, see “COVID-19 Pandemic Overview” above.
For information about the other most significant risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition, which could be exacerbated or realized by the pandemic-related risks discussed above, see “Risk Factors” in Citi’s 2019 Annual Report on Form 10-K.
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RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | | Six Months | | |
| In millions of dollars, except per share amounts | 2020 | 2019 | % Change | 2020 | 2019 | % Change |
| Net interest revenue | $ | 11,080 | | $ | 11,950 | | (7) | % | $ | 22,572 | | $ | 23,709 | | (5) | % |
| Non-interest revenue | 8,686 | | 6,808 | | 28 | | 17,925 | | 13,625 | | 32 | |
| Revenues, net of interest expense | $ | 19,766 | | $ | 18,758 | | 5 | % | $ | 40,497 | | $ | 37,334 | | 8 | % |
| Operating expenses | 10,415 | | 10,500 | | (1) | | 21,009 | | 21,084 | | — | |
| Provisions for credit losses and for benefits and claims | 7,903 | | 2,093 | | NM | 14,930 | | 4,073 | | NM |
| Income (loss) from continuing operations before income taxes | $ | 1,448 | | $ | 6,165 | | (77) | % | $ | 4,558 | | $ | 12,177 | | (63) | % |
| Income taxes | 131 | | 1,373 | | (90) | | 707 | | 2,648 | | (73) | |
| Income from continuing operations | $ | 1,317 | | $ | 4,792 | | (73) | % | $ | 3,851 | | $ | 9,529 | | (60) | % |
| Income (loss) from discontinued operations, net of taxes | (1) | | 17 | | NM | (19) | | 15 | | NM |
| Net income before attribution of noncontrolling interests | $ | 1,316 | | $ | 4,809 | | (73) | % | $ | 3,832 | | $ | 9,544 | | (60) | % |
| Net income attributable to noncontrolling interests | — | | 10 | | (100) | | (6) | | 35 | | NM |
| Citigroup’s net income | $ | 1,316 | | $ | 4,799 | | (73) | % | $ | 3,838 | | $ | 9,509 | | (60) | % |
| Earnings per share | | | | | | |
| Basic | | | | | | |
| Income from continuing operations | $ | 0.51 | | $ | 1.94 | | (74) | % | $ | 1.57 | | $ | 3.81 | | (59) | % |
| Net income | 0.51 | | 1.95 | | (74) | | 1.56 | | 3.82 | | (59) | |
| Diluted | | | | | | |
| Income from continuing operations | $ | 0.51 | | $ | 1.94 | | (74) | % | $ | 1.57 | | $ | 3.81 | | (59) | % |
| Net income | 0.50 | | 1.95 | | (74) | | 1.56 | | 3.82 | | (59) | |
| Dividends declared per common share | 0.51 | | 0.45 | | 13 | | 1.02 | | 0.90 | | 13 | |
| Common dividends | $ | 1,071 | | $ | 1,041 | | 3 | % | $ | 2,152 | | $ | 2,116 | | 2 | % |
Preferred dividends(1) | 253 | | 296 | | (15) | | 544 | | 558 | | (3) | |
| Common share repurchases | — | | 3,575 | | (100) | | 2,925 | | 7,630 | | (62) | |
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | |
| In millions of dollars, except per-share amounts and ratios | 2017 | 2016 | % Change | 2017 | 2016 | % Change |
| Net interest revenue | $ | 11,442 |
| $ | 11,479 |
| — | % | $ | 33,464 |
| $ | 33,942 |
| (1 | )% |
| Non-interest revenue | 6,731 |
| 6,281 |
| 7 |
| 20,730 |
| 18,921 |
| 10 |
|
| Revenues, net of interest expense | $ | 18,173 |
| $ | 17,760 |
| 2 | % | $ | 54,194 |
| $ | 52,863 |
| 3 | % |
| Operating expenses | 10,171 |
| 10,404 |
| (2 | ) | 31,154 |
| 31,296 |
| — |
|
| Provisions for credit losses and for benefits and claims | 1,999 |
| 1,736 |
| 15 |
| 5,378 |
| 5,190 |
| 4 |
|
| Income from continuing operations before income taxes | $ | 6,003 |
| $ | 5,620 |
| 7 | % | $ | 17,662 |
| $ | 16,377 |
| 8 | % |
| Income taxes | 1,866 |
| 1,733 |
| 8 |
| 5,524 |
| 4,935 |
| 12 |
|
| Income from continuing operations | $ | 4,137 |
| $ | 3,887 |
| 6 | % | $ | 12,138 |
| $ | 11,442 |
| 6 | % |
Income (loss) from discontinued operations, net of taxes(1) | (5 | ) | (30 | ) | 83 |
| (2 | ) | (55 | ) | 96 |
|
Net income before attribution of noncontrolling interests | $ | 4,132 |
| $ | 3,857 |
| 7 | % | $ | 12,136 |
| $ | 11,387 |
| 7 | % |
| Net income attributable to noncontrolling interests | (1 | ) | 17 |
| NM |
| 41 |
| 48 |
| (15 | ) |
| Citigroup’s net income | $ | 4,133 |
| $ | 3,840 |
| 8 | % | $ | 12,095 |
| $ | 11,339 |
| 7 | % |
| Less: | | |
|
| | | |
| Preferred dividends—Basic | $ | 272 |
| $ | 225 |
| 21 | % | $ | 893 |
| $ | 757 |
| 18 | % |
| Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS | 53 |
| 53 |
| — |
| 156 |
| 145 |
| 8 |
|
Income allocated to unrestricted common shareholders for basic and diluted EPS | $ | 3,808 |
| $ | 3,562 |
| 7 | % | $ | 11,046 |
| $ | 10,437 |
| 6 | % |
| Earnings per share | | |
|
| | |
| |
| Basic | | |
|
| | |
| |
| Income from continuing operations | 1.42 |
| 1.25 |
| 14 |
| 4.05 |
| 3.60 |
| 13 |
|
| Net income | 1.42 |
| 1.24 |
| 15 |
| 4.05 |
| 3.58 |
| 13 |
|
| Diluted | | |
|
| | | |
| Income from continuing operations | $ | 1.42 |
| $ | 1.25 |
| 14 | % | $ | 4.05 |
| $ | 3.60 |
| 13 | % |
| Net income | 1.42 |
| 1.24 |
| 15 |
| 4.05 |
| 3.58 |
| 13 |
|
| Dividends declared per common share | 0.32 |
| 0.16 |
| 100 |
| 0.64 |
| 0.26 |
| NM |
|
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 | | |
In millions of dollars, except per-share amounts, ratios and direct staff | 2017 | 2016 | % Change | 2017 | 2016 | % Change | |
| At September 30: | | | | | |
| In millions of dollars, except per share amounts, ratios and direct staff | | In millions of dollars, except per share amounts, ratios and direct staff | Second Quarter | | | Six Months | | |
| | 2020 | 2019 | % Change | 2020 | 2019 | % Change |
| At June 30: | | At June 30: | | | |
| Total assets | $ | 1,889,133 |
| $ | 1,818,117 |
| 4 | % | | | Total assets | $ | 2,232,715 | | $ | 1,988,226 | | 12 | % | | |
| Total deposits | 964,038 |
| 940,252 |
| 3 |
| | | Total deposits | 1,233,660 | | 1,045,607 | | 18 | | | |
| Long-term debt | 232,673 |
| 209,051 |
| 11 |
| | | Long-term debt | 279,775 | | 252,189 | | 11 | | | |
| Citigroup common stockholders’ equity | 208,381 |
| 212,322 |
| (2 | ) | | | Citigroup common stockholders’ equity | 173,642 | | 179,379 | | (3) | | | |
| Total Citigroup stockholders’ equity | 227,634 |
| 231,575 |
| (2 | ) | | | Total Citigroup stockholders’ equity | 191,622 | | 197,359 | | (3) | | | |
| Average assets | | Average assets | 2,266,610 | | 1,979,124 | | 15 | | 2,173,165 | | $ | 1,959,271 | | 11 | % |
Direct staff (in thousands) | 213 |
| 220 |
| (3 | ) | | | Direct staff (in thousands) | 204 | | 200 | | 2 | | | |
| Performance metrics | |
|
| | | Performance metrics | | | |
| Return on average assets | 0.87 | % | 0.83 | % |
|
| 0.87 | % | 0.84 | % | | Return on average assets | 0.23 | % | 0.97 | % | | 0.36 | % | 0.98 | % | |
Return on average common stockholders’ equity(2) | 7.3 |
| 6.8 |
|
|
| 7.2 |
| 6.7 |
| | Return on average common stockholders’ equity(2) | 2.4 | | 10.1 | | | 3.8 | | 10.2 | | |
Return on average total stockholders’ equity(2) | 7.2 |
| 6.6 |
|
|
| 7.1 |
| 6.6 |
| | Return on average total stockholders’ equity(2) | 2.7 | | 9.8 | | | 4.0 | | 9.8 | | |
| Efficiency ratio (Total operating expenses/Total revenues) | 56 |
| 59 |
|
|
| 57 |
| 59 |
| | |
| Basel III ratios—full implementation | | | | | |
Return on tangible common equity (RoTCE)(3) | | Return on tangible common equity (RoTCE)(3) | 2.9 | | 11.9 | | | 4.5 | | 11.9 | | |
| Efficiency ratio (total operating expenses/total revenues) | | Efficiency ratio (total operating expenses/total revenues) | 52.7 | | 56.0 | | | 51.9 | | 56.5 | | |
| Basel III ratios | | Basel III ratios | | | |
Common Equity Tier 1 Capital(3)(4) | 12.98 | % | 12.63 | % | | | | 11.59 | % | 11.89 | % | | | |
Tier 1 Capital(3)(4) | 14.61 |
| 14.23 |
| | | | 13.08 | | 13.40 | | | | |
Total Capital(3)(4) | 16.95 |
| 16.34 |
| | | | 15.56 | | 16.33 | | | | |
Supplementary Leverage ratio(4) | 7.11 |
| 7.40 |
| | | | 6.66 | | 6.36 | | | | |
| Citigroup common stockholders’ equity to assets | 11.03 | % | 11.68 | % | |
|
| | | Citigroup common stockholders’ equity to assets | 7.78 | % | 9.02 | % | | | |
| Total Citigroup stockholders’ equity to assets | 12.05 |
| 12.74 |
| |
|
| | | Total Citigroup stockholders’ equity to assets | 8.58 | | 9.93 | | | | |
Dividend payout ratio(5) | 22.5 |
| 12.9 |
| | 15.8 | % | 7.3 | % | | Dividend payout ratio(5) | 100.8 | | 23.1 | | | 65.4 | % | 23.6 | % | |
Total payout ratio(6) | 165 |
| 83 |
| | 96 |
| 56 |
| | Total payout ratio(6) | 100.8 | | 102.5 | | | 154.1 | | 108.9 | | |
| Book value per common share | $ | 78.81 |
| $ | 74.51 |
| 6 | % |
|
| | | Book value per common share | $ | 83.41 | | $ | 79.40 | | 5 | % | | |
Tangible book value (TBV) per share(7)(3) | 68.55 |
| 64.71 |
| 6 |
| | | 71.15 | | 67.64 | | 5 | | | |
| Ratio of earnings to fixed charges and preferred stock dividends | 2.27x |
| 2.61x |
| | 2.34x |
| 2.60x |
| | |
| |
(1) | See Note 2 to the Consolidated Financial Statements for additional information on Citi’s discontinued operations. |
| |
(2) | The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity. |
| |
(3) | Citi’s reportable Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios were the lower derived under the U.S. Basel III Standardized Approach at September 30, 2017, and U.S. Basel III Advanced Approaches at September 30, 2016. Citi’s reportable Total Capital ratios were derived under the U.S. Basel III Advanced Approaches for both periods presented. This reflects the U.S. Basel III requirement to report the lower of risk-based capital ratios under both the Standardized Approach and Advanced Approaches in accordance with the Collins Amendment of the Dodd-Frank Act. |
| |
(4) | Citi’s Supplementary Leverage ratio reflects full implementation of the U.S. Basel III rules. |
| |
(5) | Dividends declared per common share as a percentage of net income per diluted share. |
| |
(6) | Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders. See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details. |
| |
(7) | For information on TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below. |
(1) Certain series of preferred stock have semi-annual payment dates. See Note 9 to the Consolidated Financial Statements.
(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) For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.
(4) Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of June 30, 2020 and the Basel III Standardized Approach as of June 30, 2019, whereas Citi’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework for all periods presented. This reflects the U.S. Basel III requirement to report the lower of risk-based capital ratios under both the Standardized Approach and Advanced Approaches in accordance with the Collins Amendment of the Dodd-Frank Act.
(5) Dividends declared per common share as a percentage of net income per diluted share.
(6) Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders (Net income, less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
NM Not meaningful
SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | | Six Months | | |
| In millions of dollars | 2020 | 2019 | % Change | 2020 | 2019 | % Change |
| Income (loss) from continuing operations | | | | | | |
| Global Consumer Banking | | | | | | |
| North America | $ | (459) | | $ | 663 | | NM | $ | (1,369) | | $ | 1,370 | | NM |
| Latin America | 18 | | 234 | | (92) | % | (18) | | 450 | | NM |
Asia(1) | 43 | | 404 | | (89) | | 234 | | 801 | | (71) | % |
| Total | $ | (398) | | $ | 1,301 | | NM | $ | (1,153) | | $ | 2,621 | | NM |
| Institutional Clients Group | | | | | | |
| North America | $ | 660 | | $ | 1,050 | | (37) | % | $ | 1,556 | | $ | 1,798 | | (13) | % |
| EMEA | 493 | | 1,005 | | (51) | | 1,528 | | 2,130 | | (28) | |
| Latin America | (194) | | 519 | | NM | 332 | | 1,059 | | (69) | |
| Asia | 921 | | 851 | | 8 | | 2,090 | | 1,850 | | 13 | |
| Total | $ | 1,880 | | $ | 3,425 | | (45) | % | $ | 5,506 | | $ | 6,837 | | (19) | % |
| Corporate/Other | (165) | | 66 | | NM | (502) | | 71 | | NM |
| Income from continuing operations | $ | 1,317 | | $ | 4,792 | | (73) | % | $ | 3,851 | | $ | 9,529 | | (60) | % |
| Discontinued operations | $ | (1) | | $ | 17 | | NM | $ | (19) | | $ | 15 | | NM |
| Less: Net income attributable to noncontrolling interests | — | | 10 | | (100) | % | (6) | | 35 | | NM |
| Citigroup’s net income | $ | 1,316 | | $ | 4,799 | | (73) | % | $ | 3,838 | | $ | 9,509 | | (60) | % |
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | |
| In millions of dollars | 2017 | 2016 | % Change | 2017 | 2016 | % Change |
| Income from continuing operations | | | | | | |
| Global Consumer Banking | | | | | | |
| North America | $ | 655 |
| $ | 780 |
| (16 | )% | $ | 1,952 |
| $ | 2,428 |
| (20 | )% |
| Latin America | 164 |
| 160 |
| 3 |
| 430 |
| 479 |
| (10 | ) |
Asia(1) | 355 |
| 310 |
| 15 |
| 924 |
| 822 |
| 12 |
|
| Total | $ | 1,174 |
| $ | 1,250 |
| (6 | )% | $ | 3,306 |
| $ | 3,729 |
| (11 | )% |
| Institutional Clients Group |
|
| |
|
|
|
| |
|
|
| North America | $ | 1,322 |
| $ | 1,067 |
| 24 | % | $ | 3,534 |
| $ | 2,618 |
| 35 | % |
| EMEA | 746 |
| 649 |
| 15 |
| 2,380 |
| 1,718 |
| 39 |
|
| Latin America | 380 |
| 389 |
| (2 | ) | 1,188 |
| 1,111 |
| 7 |
|
| Asia | 614 |
| 555 |
| 11 |
| 1,751 |
| 1,697 |
| 3 |
|
| Total | $ | 3,062 |
| $ | 2,660 |
| 15 | % | $ | 8,853 |
| $ | 7,144 |
| 24 | % |
| Corporate/Other | (99 | ) | (23 | ) | NM |
| (21 | ) | 569 |
| NM |
|
| Income from continuing operations | $ | 4,137 |
| $ | 3,887 |
| 6 | % | $ | 12,138 |
| $ | 11,442 |
| 6 | % |
| Discontinued operations | $ | (5 | ) | $ | (30 | ) | 83 | % | $ | (2 | ) | $ | (55 | ) | 96 | % |
| Net income attributable to noncontrolling interests | (1 | ) | 17 |
| NM |
| 41 |
| 48 |
| (15 | ) |
| Citigroup’s net income | $ | 4,133 |
| $ | 3,840 |
| 8 | % | $ | 12,095 |
| $ | 11,339 |
| 7 | % |
(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
| |
(1) | Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
|
NM Not meaningful
CITIGROUP REVENUES
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | | Six Months | | |
| In millions of dollars | 2020 | 2019 | % Change | 2020 | 2019 | % Change |
| Global Consumer Banking | | | | | | |
| North America | $ | 4,742 | | $ | 4,966 | | (5) | % | $ | 9,966 | | $ | 9,966 | | — | % |
| Latin America | 1,050 | | 1,320 | | (20) | | 2,249 | | 2,592 | | (13) | |
Asia(1) | 1,547 | | 1,847 | | (16) | | 3,298 | | 3,665 | | (10) | |
| Total | $ | 7,339 | | $ | 8,133 | | (10) | % | $ | 15,513 | | $ | 16,223 | | (4) | % |
| Institutional Clients Group | | | | | | |
| North America | $ | 4,987 | | $ | 3,632 | | 37 | % | $ | 9,934 | | $ | 6,901 | | 44 | % |
| EMEA | 3,392 | | 2,960 | | 15 | | 6,862 | | 6,130 | | 12 | |
| Latin America | 1,207 | | 1,307 | | (8) | | 2,625 | | 2,575 | | 2 | |
| Asia | 2,551 | | 2,156 | | 18 | | 5,200 | | 4,467 | | 16 | |
| Total | $ | 12,137 | | $ | 10,055 | | 21 | % | $ | 24,621 | | $ | 20,073 | | 23 | % |
| Corporate/Other | 290 | | 570 | | (49) | | 363 | | 1,038 | | (65) | |
| Total Citigroup net revenues | $ | 19,766 | | $ | 18,758 | | 5 | % | $ | 40,497 | | $ | 37,334 | | 8 | % |
(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | |
| In millions of dollars | 2017 | 2016 | % Change | 2017 | 2016 | % Change |
| Global Consumer Banking | | | | | | |
| North America | $ | 5,194 |
| $ | 5,161 |
| 1 | % | $ | 15,082 |
| $ | 14,700 |
| 3 | % |
| Latin America | 1,370 |
| 1,245 |
| 10 |
| 3,811 |
| 3,710 |
| 3 |
|
Asia(1) | 1,869 |
| 1,758 |
| 6 |
| 5,392 |
| 5,142 |
| 5 |
|
| Total | $ | 8,433 |
| $ | 8,164 |
| 3 | % | $ | 24,285 |
| $ | 23,552 |
| 3 | % |
| Institutional Clients Group |
|
| |
|
| | |
|
|
| North America | $ | 3,638 |
| $ | 3,191 |
| 14 | % | $ | 10,661 |
| $ | 9,564 |
| 11 | % |
| EMEA | 2,655 |
| 2,506 |
| 6 |
| 8,299 |
| 7,250 |
| 14 |
|
| Latin America | 1,059 |
| 999 |
| 6 |
| 3,228 |
| 2,983 |
| 8 |
|
| Asia | 1,879 |
| 1,763 |
| 7 |
| 5,382 |
| 5,246 |
| 3 |
|
| Total | $ | 9,231 |
| $ | 8,459 |
| 9 | % | $ | 27,570 |
| $ | 25,043 |
| 10 | % |
| Corporate/Other | 509 |
| 1,137 |
| (55 | ) | 2,339 |
| 4,268 |
| (45 | ) |
| Total Citigroup net revenues | $ | 18,173 |
| $ | 17,760 |
| 2 | % | $ | 54,194 |
| $ | 52,863 |
| 3 | % |
| |
(1) | Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
|
SEGMENT BALANCE SHEET(1)—JUNE 30, 2020
| | | | | | | | | | | | | | | | | |
| In millions of dollars | Global
Consumer
Banking | Institutional
Clients
Group | Corporate/Other and consolidating eliminations(2) | Citigroup parent company- issued long-term debt and stockholders’ equity(3) | Total
Citigroup
consolidated |
| Assets | | | | | |
| Cash and deposits with banks, net of allowance | $ | 6,516 | | $ | 77,945 | | $ | 225,312 | | $ | — | | $ | 309,773 | |
| Securities borrowed and purchased under agreements to resell, net of allowance | 131 | | 282,489 | | 297 | | — | | 282,917 | |
| Trading account assets | 2,505 | | 348,212 | | 11,594 | | — | | 362,311 | |
| Investments, net of allowance | 991 | | 132,393 | | 299,869 | | — | | 433,253 | |
Loans, net of unearned income and allowance
for credit losses on loans | 253,512 | | 397,376 | | 7,984 | | — | | 658,872 | |
| Other assets, net of allowance | 36,593 | | 108,587 | | 40,409 | | — | | 185,589 | |
Net inter-segment liquid assets(4) | 122,633 | | 369,317 | | (491,950) | | — | | — | |
| Total assets | $ | 422,881 | | $ | 1,716,319 | | $ | 93,515 | | $ | — | | $ | 2,232,715 | |
| Liabilities and equity | | | | | |
| Total deposits | $ | 314,501 | | $ | 908,361 | | $ | 10,798 | | $ | — | | $ | 1,233,660 | |
Securities loaned and sold under agreements
to repurchase | 609 | | 215,108 | | 5 | | — | | 215,722 | |
| Trading account liabilities | 1,848 | | 147,013 | | 403 | | — | | 149,264 | |
| Short-term borrowings | 291 | | 27,866 | | 11,999 | | — | | 40,156 | |
Long-term debt(3) | 1,326 | | 70,658 | | 38,755 | | 169,036 | | 279,775 | |
| Other liabilities, net of allowance | 17,593 | | 81,612 | | 22,631 | | — | | 121,836 | |
Net inter-segment funding (lending)(3) | 86,713 | | 265,701 | | 8,244 | | (360,658) | | — | |
| Total liabilities | $ | 422,881 | | $ | 1,716,319 | | $ | 92,835 | | $ | (191,622) | | $ | 2,040,413 | |
Total stockholders’ equity(5) | — | | — | | 680 | | 191,622 | | 192,302 | |
| Total liabilities and equity | $ | 422,881 | | $ | 1,716,319 | | $ | 93,515 | | $ | — | | $ | 2,232,715 | |
(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of June 30, 2020. 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 on the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage ratio (LCR) assumptions.
(5)Corporate/Other equity represents noncontrolling interests.
|
| | | | | | | | | | | | | | | |
| In millions of dollars | Global Consumer Banking | Institutional Clients Group | Corporate/Other and consolidating eliminations(2) | Citigroup Parent company- issued long-term debt and stockholders’ equity(3) | Total Citigroup consolidated |
| Assets | | | | | |
| Cash and deposits with banks | $ | 9,963 |
| $ | 64,994 |
| $ | 111,152 |
| $ | — |
| $ | 186,109 |
|
Federal funds sold and securities borrowed or purchased under agreements to resell | 327 |
| 251,787 |
| 494 |
| — |
| 252,608 |
|
| Trading account assets | 6,366 |
| 250,104 |
| 2,437 |
| — |
| 258,907 |
|
| Investments | 10,143 |
| 110,627 |
| 233,904 |
| — |
| 354,674 |
|
Loans, net of unearned income and allowance for loan losses
| 291,785 |
| 325,055 |
| 23,977 |
| — |
| 640,817 |
|
| Other assets | 38,306 |
| 101,387 |
| 56,325 |
| — |
| 196,018 |
|
Liquidity assets(4) | 62,265 |
| 266,523 |
| (328,788 | ) | — |
| — |
|
| Total assets | $ | 419,155 |
| $ | 1,370,477 |
| $ | 99,501 |
| $ | — |
| $ | 1,889,133 |
|
| Liabilities and equity | | | | | |
| Total deposits | $ | 310,048 |
| $ | 639,554 |
| $ | 14,436 |
| $ | — |
| $ | 964,038 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase | 4,199 |
| 157,076 |
| 7 |
| — |
| 161,282 |
|
| Trading account liabilities | 9 |
| 138,253 |
| 558 |
| — |
| 138,820 |
|
| Short-term borrowings | 798 |
| 20,806 |
| 16,545 |
| — |
| 38,149 |
|
Long-term debt(3) | 1,109 |
| 35,498 |
| 44,152 |
| 151,914 |
| 232,673 |
|
| Other liabilities | 19,377 |
| 86,477 |
| 19,695 |
| — |
| 125,549 |
|
Net inter-segment funding (lending)(3) | 83,615 |
| 292,813 |
| 3,120 |
| (379,548 | ) | — |
|
| Total liabilities | $ | 419,155 |
| $ | 1,370,477 |
| $ | 98,513 |
| $ | (227,634 | ) | $ | 1,660,511 |
|
Total equity(5) | — |
| — |
| 988 |
| 227,634 |
| 228,622 |
|
| Total liabilities and equity | $ | 419,155 |
| $ | 1,370,477 |
| $ | 99,501 |
| $ | — |
| $ | 1,889,133 |
|
| |
(1) | The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of September 30, 2017. The respective segment information depicts the assets and liabilities managed by each segment as of such date. |
| |
(2) | Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
|
| |
(3) | The total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company Balance Sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above. |
| |
(4) | Represents the attribution of Citigroup’s liquidity assets (primarily consisting of cash and available-for-sale securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions. |
| |
(5) | Corporate/Other equity represents noncontrolling interests.
|
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GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,4742,327 branches in 19 countries and jurisdictions as of SeptemberJune 30, 2017.2020. At SeptemberJune 30, 2017, 2020, GCB had approximately $419$423 billion in assets and $310$315 billion in retail banking 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, Citi serves customers in a somewhat broader set of segments and geographies.
| | | | | | | | | | | | | | | | Second Quarter | | | Six Months | | |
| | Third Quarter | | Nine Months | | |
| In millions of dollars except as otherwise noted | 2017 | 2016 | % Change | 2017 | 2016 | % Change | |
| In millions of dollars, except as otherwise noted | | In millions of dollars, except as otherwise noted | 2020 | 2019 | % Change | 2020 | 2019 | % Change |
| Net interest revenue | $ | 7,010 |
| $ | 6,709 |
| 4 | % | $ | 20,231 |
| $ | 19,369 |
| 4 | % | Net interest revenue | $ | 6,534 | | $ | 6,957 | | (6) | % | $ | 13,606 | | $ | 13,897 | | (2) | % |
| Non-interest revenue | 1,423 |
| 1,455 |
| (2 | )% | 4,054 |
| 4,183 |
| (3 | )% | Non-interest revenue | 805 | | 1,176 | | (32) | | 1,907 | | 2,326 | | (18) | |
| Total revenues, net of interest expense | $ | 8,433 |
| $ | 8,164 |
| 3 | % | $ | 24,285 |
| $ | 23,552 |
| 3 | % | Total revenues, net of interest expense | $ | 7,339 | | $ | 8,133 | | (10) | % | $ | 15,513 | | $ | 16,223 | | (4) | % |
| Total operating expenses | $ | 4,410 |
| $ | 4,429 |
| — | % | $ | 13,322 |
| $ | 13,127 |
| 1 | % | Total operating expenses | $ | 4,013 | | $ | 4,471 | | (10) | % | $ | 8,381 | | $ | 8,887 | | (6) | % |
| Net credit losses | $ | 1,704 |
| $ | 1,349 |
| 26 | % | $ | 4,922 |
| $ | 4,094 |
| 20 | % | |
| Credit reserve build (release) | 486 |
| 436 |
| 11 | % | 788 |
| 544 |
| 45 | % | |
| Provision (release) for unfunded lending commitments | (5 | ) | (3 | ) | (67 | )% | — |
| 6 |
| (100 | )% | |
| Provision for benefits and claims | 28 |
| 26 |
| 8 | % | 80 |
| 74 |
| 8 | % | |
| Provisions for credit losses and for benefits and claims (LLR & PBC) | $ | 2,213 |
| $ | 1,808 |
| 22 | % | $ | 5,790 |
| $ | 4,718 |
| 23 | % | |
| Income from continuing operations before taxes | $ | 1,810 |
| $ | 1,927 |
| (6 | )% | $ | 5,173 |
| $ | 5,707 |
| (9 | )% | |
| Income taxes | 636 |
| 677 |
| (6 | ) | 1,867 |
| 1,978 |
| (6 | ) | |
| Income from continuing operations | $ | 1,174 |
| $ | 1,250 |
| (6 | )% | $ | 3,306 |
| $ | 3,729 |
| (11 | )% | |
| Net credit losses on loans | | Net credit losses on loans | $ | 1,887 | | $ | 1,870 | | 1 | % | $ | 3,870 | | $ | 3,738 | | 4 | % |
| Credit reserve build (release) for loans | | Credit reserve build (release) for loans | 1,960 | | 94 | | NM | 4,789 | | 190 | | NM |
| Provision (release) for credit losses on unfunded lending commitments | | Provision (release) for credit losses on unfunded lending commitments | — | | — | | — | | (1) | | (3) | | 67 | |
| Provisions for benefits and claims, HTM debt securities and other assets | | Provisions for benefits and claims, HTM debt securities and other assets | 38 | | 19 | | 100 | | 58 | | 31 | | 87 | |
| Provisions for credit losses and for benefits and claims (PBC) | | Provisions for credit losses and for benefits and claims (PBC) | $ | 3,885 | | $ | 1,983 | | 96 | % | $ | 8,716 | | $ | 3,956 | | NM |
| Income (loss) from continuing operations before taxes | | Income (loss) from continuing operations before taxes | $ | (559) | | $ | 1,679 | | NM | $ | (1,584) | | $ | 3,380 | | NM |
| Income taxes (benefits) | | Income taxes (benefits) | (161) | | 378 | | NM | (431) | | 759 | | NM |
| Income (loss) from continuing operations | | Income (loss) from continuing operations | $ | (398) | | $ | 1,301 | | NM | $ | (1,153) | | $ | 2,621 | | NM |
| Noncontrolling interests | 2 |
| 3 |
| (33 | )% | 7 |
| 6 |
| 17 |
| Noncontrolling interests | (2) | | 1 | | NM | (3) | | 1 | | NM |
| Net income | $ | 1,172 |
| $ | 1,247 |
| (6 | )% | $ | 3,299 |
| $ | 3,723 |
| (11 | )% | |
Balance Sheet data (in billions of dollars) |
|
| |
|
| |
|
| |
| Total EOP assets | $ | 419 |
| $ | 411 |
| 2 | % | |
|
| |
| Net income (loss) | | Net income (loss) | $ | (396) | | $ | 1,300 | | NM | $ | (1,150) | | $ | 2,620 | | NM |
Balance Sheet data and ratios (in billions of dollars) | | Balance Sheet data and ratios (in billions of dollars) | | | |
| EOP assets | | EOP assets | $ | 423 | | $ | 390 | | 8 | % | | |
| Average assets | 421 |
| 409 |
| 3 |
| $ | 415 |
| $ | 391 |
| 6 | % | Average assets | 418 | | 384 | | 9 | | $ | 412 | | $ | 382 | | 8 | % |
| Return on average assets | 1.10 | % | 1.21 | % |
|
| 1.06 | % | 1.27 | % |
|
| Return on average assets | (0.38) | % | 1.36 | % | | (0.56) | % | 1.38 | % | |
| Efficiency ratio | 52 | % | 54 | % |
|
| 55 | % | 56 | % |
|
| Efficiency ratio | 55 | | 55 | | | 54 | | 55 | | |
| Average deposits | $ | 308 |
| $ | 301 |
| 2 | % | $ | 306 |
| $ | 298 |
| 3 | % | |
| Average retail banking deposits | | Average retail banking deposits | $ | 301.9 | | $ | 275.2 | | 10 | | $ | 296.0 | | $ | 273.0 | | 8 | |
| Net credit losses as a percentage of average loans | 2.26 | % | 1.87 | % |
|
| 2.24 | % | 1.97 | % |
|
| Net credit losses as a percentage of average loans | 2.80 | % | 2.68 | % | | 2.77 | % | 2.69 | % | |
| Revenue by business |
|
| |
|
| |
|
| Revenue by business | | | |
| Retail banking | $ | 3,493 |
| $ | 3,330 |
| 5 | % | $ | 9,947 |
| $ | 9,759 |
| 2 | % | Retail banking | $ | 2,836 | | $ | 3,202 | | (11) | % | $ | 5,882 | | $ | 6,308 | | (7) | % |
Cards(1) | 4,940 |
| 4,834 |
| 2 |
| 14,338 |
| 13,793 |
| 4 |
| Cards(1) | 4,503 | | 4,931 | | (9) | | 9,631 | | 9,915 | | (3) | |
| Total | $ | 8,433 |
| $ | 8,164 |
| 3 | % | $ | 24,285 |
| $ | 23,552 |
| 3 | % | Total | $ | 7,339 | | $ | 8,133 | | (10) | % | $ | 15,513 | | $ | 16,223 | | (4) | % |
| Income from continuing operations by business |
|
| |
|
| |
|
| |
| Income (loss) from continuing operations by business | | Income (loss) from continuing operations by business | | | |
| Retail banking | $ | 550 |
| $ | 461 |
| 19 | % | $ | 1,309 |
| $ | 1,231 |
| 6 | % | Retail banking | $ | 71 | | $ | 517 | | (86) | % | $ | 191 | | $ | 926 | | (79) | % |
Cards(1) | 624 |
| 789 |
| (21 | ) | 1,997 |
| 2,498 |
| (20 | ) | Cards(1) | (469) | | 784 | | NM | (1,344) | | 1,695 | | NM |
| Total | $ | 1,174 |
| $ | 1,250 |
| (6 | )% | $ | 3,306 |
| $ | 3,729 |
| (11 | )% | Total | $ | (398) | | $ | 1,301 | | NM | $ | (1,153) | | $ | 2,621 | | NM |
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 | % |
Impact of FX translation(2) | — |
| 89 |
|
|
| — |
| (39 | ) |
|
|
Total revenues—ex-FX(3) | $ | 8,433 |
| $ | 8,253 |
| 2 | % | $ | 24,285 |
| $ | 23,513 |
| 3 | % |
| Total operating expenses—as reported | $ | 4,410 |
| $ | 4,429 |
| — | % | $ | 13,322 |
| $ | 13,127 |
| 1 | % |
Impact of FX translation(2) | — |
| 43 |
|
|
| — |
| (10 | ) |
|
|
Total operating expenses—ex-FX(3) | $ | 4,410 |
| $ | 4,472 |
| (1 | )% | $ | 13,322 |
| $ | 13,117 |
| 2 | % |
| Total provisions for LLR & PBC—as reported | $ | 2,213 |
| $ | 1,808 |
| 22 | % | $ | 5,790 |
| $ | 4,718 |
| 23 | % |
Impact of FX translation(2) | — |
| 20 |
|
|
| — |
| (20 | ) |
|
|
Total provisions for LLR & PBC—ex-FX(3) | $ | 2,213 |
| $ | 1,828 |
| 21 | % | $ | 5,790 |
| $ | 4,698 |
| 23 | % |
| Net income—as reported | $ | 1,172 |
| $ | 1,247 |
| (6 | )% | $ | 3,299 |
| $ | 3,723 |
| (11 | )% |
Impact of FX translation(2) | — |
| 17 |
|
|
| — |
| (10 | ) |
|
|
Net income—ex-FX(3) | $ | 1,172 |
| $ | 1,264 |
| (7 | )% | $ | 3,299 |
| $ | 3,713 |
| (11 | )% |
| |
(1) | Includes both Citi-branded cards and Citi retail services. |
| |
(2) | Reflects the impact of FX translation into U.S. dollars at the third quarter of 2017 and year-to-date 2017 average exchange rates for all periods presented. |
| |
(3) | Presentation of this metric excluding FX translation is a non-GAAP financial measure. |
| | | | | | | | | | | | | | | | | | | | |
| Foreign currency (FX) translation impact | | | | | | |
| Total revenue—as reported | $ | 7,339 | | $ | 8,133 | | (10) | % | $ | 15,513 | | $ | 16,223 | | (4) | % |
Impact of FX translation(2) | — | | (228) | | | — | | (343) | | |
Total revenues—ex-FX(3) | $ | 7,339 | | $ | 7,905 | | (7) | % | $ | 15,513 | | $ | 15,880 | | (2) | % |
| Total operating expenses—as reported | $ | 4,013 | | $ | 4,471 | | (10) | % | $ | 8,381 | | $ | 8,887 | | (6) | % |
Impact of FX translation(2) | — | | (121) | | | — | | (186) | | |
Total operating expenses—ex-FX(3) | $ | 4,013 | | $ | 4,350 | | (8) | % | $ | 8,381 | | $ | 8,701 | | (4) | % |
| Total provisions for credit losses and PBC—as reported | $ | 3,885 | | $ | 1,983 | | 96 | % | $ | 8,716 | | $ | 3,956 | | NM |
Impact of FX translation(2) | — | | (57) | | | — | | (83) | | |
Total provisions for credit losses and PBC—ex-FX(3) | $ | 3,885 | | $ | 1,926 | | NM | $ | 8,716 | | $ | 3,873 | | NM |
| Net income—as reported | $ | (396) | | $ | 1,300 | | NM | $ | (1,150) | | $ | 2,620 | | NM |
Impact of FX translation(2) | — | | (33) | | | — | | (49) | | |
Net income—ex-FX(3) | $ | (396) | | $ | 1,267 | | NM | $ | (1,150) | | $ | 2,571 | | NM |
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the second quarter of 2020 and year-to-date 2020 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
Note: For information on the impact of Citi’s January 1, 2020 adoption of the new accounting standard on credit losses (CECL), see Note 1 to the Consolidated Financial Statements.
NM Not meaningful
NORTH AMERICA GCB
North America GCB provides traditional retail banking including commercial banking, and its Citi-branded cards and Citi retail services card products to retail customers and small- to mid-size businesses, as applicable,small business customers 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 SeptemberAt June 30, 2017, 2020, North America GCB’s 695had 687 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, 2020, North America GCB had approximately 9.4 million retail banking customer accounts, $55.7$53.1 billion in retail banking loans and $185.1$180.5 billion in retail banking deposits. In addition, North America GCB had approximately 120 million Citi-branded and Citi retail services credit card accounts with $132.2$128.0 billion in outstanding card loan balances.
| | | | Third Quarter | | Nine Months | | | Second Quarter | | | Six Months | | |
| In millions of dollars, except as otherwise noted | 2017 | 2016 | % Change | 2017 | 2016 | % Change | In millions of dollars, except as otherwise noted | 2020 | 2019 | % Change | 2020 | 2019 | % Change |
| Net interest revenue | $ | 4,825 |
| $ | 4,696 |
| 3 | % | $ | 14,075 |
| $ | 13,425 |
| 5 | % | Net interest revenue | $ | 4,707 | | $ | 4,869 | | (3) | % | $ | 9,743 | | $ | 9,766 | | — | % |
| Non-interest revenue | 369 |
| 465 |
| (21 | ) | 1,007 |
| 1,275 |
| (21 | ) | Non-interest revenue | 35 | | 97 | | (64) | | 223 | | 200 | | 12 | |
| Total revenues, net of interest expense | $ | 5,194 |
| $ | 5,161 |
| 1 | % | $ | 15,082 |
| $ | 14,700 |
| 3 | % | Total revenues, net of interest expense | $ | 4,742 | | $ | 4,966 | | (5) | % | $ | 9,966 | | $ | 9,966 | | — | % |
| Total operating expenses | $ | 2,460 |
| $ | 2,595 |
| (5 | )% | $ | 7,613 |
| $ | 7,521 |
| 1 | % | Total operating expenses | $ | 2,346 | | $ | 2,621 | | (10) | % | $ | 4,882 | | $ | 5,193 | | (6) | % |
| Net credit losses | $ | 1,239 |
| $ | 927 |
| 34 | % | $ | 3,610 |
| $ | 2,814 |
| 28 | % | |
| Credit reserve build (release) | 463 |
| 408 |
| 13 | % | 716 |
| 536 |
| 34 |
| |
| Provision for unfunded lending commitments | (3 | ) | — |
| NM |
| 6 |
| 7 |
| (14 | ) | |
| Provisions for benefits and claims | 9 |
| 8 |
| 13 | % | 23 |
| 25 |
| (8 | ) | |
| Net credit losses on loans | | Net credit losses on loans | $ | 1,484 | | $ | 1,417 | | 5 | % | $ | 3,010 | | $ | 2,825 | | 7 | % |
| Credit reserve build for loans | | Credit reserve build for loans | 1,499 | | 81 | | NM | 3,861 | | 199 | | NM |
| Provision (release) for credit losses on unfunded lending commitments | | Provision (release) for credit losses on unfunded lending commitments | — | | — | | — | | (1) | | (3) | | 67 | |
| Provisions for benefits and claims, HTM debt securities and other assets | | Provisions for benefits and claims, HTM debt securities and other assets | 19 | | 6 | | NM | 24 | | 12 | | 100 | |
| Provisions for credit losses and for benefits and claims | $ | 1,708 |
| $ | 1,343 |
| 27 | % | $ | 4,355 |
| $ | 3,382 |
| 29 | % | Provisions for credit losses and for benefits and claims | $ | 3,002 | | $ | 1,504 | | 100 | % | $ | 6,894 | | $ | 3,033 | | NM |
| Income from continuing operations before taxes | $ | 1,026 |
| $ | 1,223 |
| (16 | )% | $ | 3,114 |
| $ | 3,797 |
| (18 | )% | |
| Income taxes | 371 |
| 443 |
| (16 | ) | 1,162 |
| 1,369 |
| (15 | ) | |
| Income from continuing operations | $ | 655 |
| $ | 780 |
| (16 | )% | $ | 1,952 |
| $ | 2,428 |
| (20 | )% | |
| Income (loss) from continuing operations before taxes | | Income (loss) from continuing operations before taxes | $ | (606) | | $ | 841 | | NM | $ | (1,810) | | $ | 1,740 | | NM |
| Income taxes (benefits) | | Income taxes (benefits) | (147) | | 178 | | NM | (441) | | 370 | | NM |
| Income (loss) from continuing operations | | Income (loss) from continuing operations | $ | (459) | | $ | 663 | | NM | $ | (1,369) | | $ | 1,370 | | NM |
| Noncontrolling interests | — |
| — |
| NM |
| — |
| (1 | ) | 100 | % | Noncontrolling interests | — | | — | | — | % | — | | — | | — | % |
| Net income | $ | 655 |
| $ | 780 |
| (16 | )% | $ | 1,952 |
| $ | 2,429 |
| (20 | )% | |
Balance Sheet data (in billions of dollars) |
|
| |
|
| | |
|
|
| |
| Net income (loss) | | Net income (loss) | $ | (459) | | $ | 663 | | NM | $ | (1,369) | | $ | 1,370 | | NM |
Balance Sheet data and ratios (in billions of dollars) | | Balance Sheet data and ratios (in billions of dollars) | | | | |
| Average assets | $ | 249 |
| $ | 239 |
| 4 | % | $ | 246 |
| $ | 223 |
| 10 | % | Average assets | $ | 264 | | $ | 229 | | 15 | % | $ | 255 | | $ | 228 | | 12 | % |
| Return on average assets | 1.04 | % | 1.30 | % |
|
| 1.06 | % | 1.45 | % |
|
| Return on average assets | (0.70) | % | 1.16 | % | | (1.08) | % | 1.21 | % | |
| Efficiency ratio | 47 | % | 50 | % |
|
| 50 | % | 51 | % |
|
| Efficiency ratio | 49 | | 53 | | | 49 | | 52 | | |
| Average deposits | $ | 184.1 |
| $ | 183.9 |
| — |
| $ | 184.9 |
| $ | 182.2 |
| 1 | % | |
| Average retail banking deposits | | Average retail banking deposits | $ | 172.5 | | $ | 151.6 | | 14 | | $ | 166.9 | | $ | 150.6 | | 11 | |
| Net credit losses as a percentage of average loans | 2.63 | % | 2.07 | % |
|
| 2.62 | % | 2.24 | % |
|
| Net credit losses as a percentage of average loans | 3.30 | % | 3.07 | % | | 3.23 | % | 3.07 | % | |
| Revenue by business |
|
| |
|
| | |
|
|
| Revenue by business | | | | |
| Retail banking | $ | 1,363 |
| $ | 1,356 |
| 1 | % | $ | 3,910 |
| $ | 3,959 |
| (1 | )% | Retail banking | $ | 1,122 | | $ | 1,159 | | (3) | % | $ | 2,252 | | $ | 2,290 | | (2) | % |
| Citi-branded cards | 2,178 |
| 2,191 |
| (1 | ) | 6,353 |
| 5,937 |
| 7 |
| Citi-branded cards | 2,218 | | 2,197 | | 1 | | 4,565 | | 4,392 | | 4 | |
| Citi retail services | 1,653 |
| 1,614 |
| 2 |
| 4,819 |
| 4,804 |
| — |
| Citi retail services | 1,402 | | 1,610 | | (13) | | 3,149 | | 3,284 | | (4) | |
| Total | $ | 5,194 |
| $ | 5,161 |
| 1 | % | $ | 15,082 |
| $ | 14,700 |
| 3 | % | Total | $ | 4,742 | | $ | 4,966 | | (5) | % | $ | 9,966 | | $ | 9,966 | | — | % |
| Income from continuing operations by business |
|
| |
|
| | |
|
|
| |
| Income (loss) from continuing operations by business | | Income (loss) from continuing operations by business | | | | |
| Retail banking | $ | 179 |
| $ | 187 |
| (4 | )% | $ | 402 |
| $ | 448 |
| (10 | )% | Retail banking | $ | (82) | | $ | 56 | | NM | $ | (155) | | $ | 77 | | NM |
| Citi-branded cards | 345 |
| 322 |
| 7 |
| 898 |
| 995 |
| (10 | ) | Citi-branded cards | (381) | | 364 | | NM | (910) | | 746 | | NM |
| Citi retail services | 131 |
| 271 |
| (52 | ) | 652 |
| 985 |
| (34 | ) | Citi retail services | 4 | | 243 | | (98) | % | (304) | | 547 | | NM |
| Total | $ | 655 |
| $ | 780 |
| (16 | )% | $ | 1,952 |
| $ | 2,428 |
| (20 | )% | Total | $ | (459) | | $ | 663 | | NM | $ | (1,369) | | $ | 1,370 | | NM |
NM Not meaningful
2Q20 vs. 3Q162Q19
Net loss was $459 million in the second quarter of 2020, compared to Net income decreased 16% due to of $663 million in the prior-year period, reflecting significantly higher cost of credit and lower revenues, partially offset by lower expenses and higher revenues.expenses.
Revenues increased 1% decreased 5%, reflecting higheras growth in Citi-branded cards was more than offset by lower revenues in both Citi retail services and retail banking, partially offset by lower revenues in Citi-branded cards.primarily reflecting the impact of the COVID-19 pandemic..
Retail banking revenues increased 1%. Excluding mortgage revenues (decline of 39%), retail banking revenues were up 12%, driven by continued growth in average loans (1%), and asset under management (10%), as well as a benefit from higher interest rates. The decline in mortgage revenues was driven by lower origination activity and higher cost of funds, reflecting the higher interest rate environment, as well as the impact of the previously announced sale of a portion of Citi’s mortgage servicing rights.
In Citi-branded cards, revenues decreased 1%3%, as the benefit of growthstronger deposit volumes and improvement in full-rate revolving balancesmortgage revenues were more than offset by lower deposit spreads, reflecting lower interest rates. Average deposits increased 14%, driven by a combination of factors including the delay of tax payments, government stimulus payments and a reduction in overall consumer spending related to the core portfolios was outpaced by the continued run-off of non-core portfoliospandemic, as well as the higher costcontinued strategic efforts to fund growth in transactordrive organic growth.
Cards revenues decreased 5%. Citi-branded cards revenues increased 1%, as lower purchase sales and promotionallower average loans were more than offset by a favorable mix shift toward interest-earning balances, given the higherwhich supported net interest rates.revenues. Average loans grew 8%decreased 7% and purchase sales grew 10%.decreased 21%, reflecting the impact of the pandemic on customer behavior.
Citi retail services revenues increased 2%decreased 13%, primarily reflecting lower average loans and higher contractual partner payments. Average loans were down 6% and purchase sales declined 25%, reflecting continued loan growth, partially offset by the continued impact of the previously disclosed renewalpandemic on customer behavior and extension of certain partnerships within the portfolio. Average loans grew 5% and purchase sales grew 2%.partner store closures.
Expensesdecreased 5%10%, as higherefficiency savings and reductions in marketing and other discretionary expenses as well as lower volume-related expenses and continued investments werecosts more than offset by efficiency savings.incremental pandemic-related expenses.
Provisions of $3.0 billion increased 27%$1.5 billion from the prior-year period, driven by a higher allowance for credit loss (ACL) build as well as higher net credit losses. Net credit losses increased 5%, primarily driven by higher net credit losses and a higher net loan loss reserve build.
Net credit losses increased 34%, largely driven by higher losses in Citi-branded cards including(up 10% to $795 million), reflecting seasoning in the impact of acquiring the Costco portfolio, and Citi retail services. In Citi-branded cards, net credit losses increased 36% to $611 million, primarily due to the Costco portfolio acquisition, organic volume growth and seasoning. Inwhile Citi retail services net credit losses increased 26% to $540 million, primarily due to volume growth and seasoning.were largely unchanged. The higher net credit losses also reflected episodic charge-offs in the commercial portfolio in retail banking, which were offset by related reserve releases.
The net loan loss reserveACL build in the thirdsecond quarter of 2017 was $460 million$1.5 billion, reflecting a deterioration in Citi’s macroeconomic outlook, primarily driven by the pandemic, on estimated lifetime credit losses under CECL (compared to a build of $408$81 million in the prior-year period)period under prior accounting standards), driven by a build of approximately $500 million related to the cards businesses, partially offset by the impact of a reserve releasechange 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 delinquenciesaccounting for the Citi-branded card portfolio. It also includes approximately $150 million driven by volume growththird-party collection fees (see “Significant Accounting Policies and seasoning, as well as approximately $50 million for the estimated hurricane-related impacts.Significant Estimates” below).
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 CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above.
20172020 YTD vs. 20162019 YTD
Year-to-date, North America GCB has experienced similar trends to those described above. Net loss was $1.4 billion, compared to Net income decreased 20% due to of $1.4 billion in the prior-year period, as significantly higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 3%, reflecting higher revenues in cards,was partially offset by lower expenses.
Revenues were largely unchanged, as higher revenues in Citi-branded cards were offset by lower revenues in both Citi retail services and retail banking. Retail banking revenues decreased 1%, driven by lower mortgage revenues, partially offset by the other factors described above. Cards 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. Net credit lossesCards revenues were largely unchanged. In Citi-branded cards, revenues increased 28% and4%, driven by the net loan loss reserve buildsame factors described above. Citi retail services revenues decreased 4%, driven by the same factors described above.
Expenses decreased 6%, driven by the same factors described above.
Provisions of $722 million$6.9 billion increased $179 million.$3.9 billion from the prior-year period, driven by the same factors described above.
LATIN AMERICA GCB
Latin America GCB provides traditional retail banking including commercial banking, and its Citi-branded card products to retail customers and small- to mid-size businessessmall business customers in Mexico through Citibanamex, one of Mexico’s largest banks.
At SeptemberJune 30, 2017, 2020, Latin America GCB had 1,4971,406 retail branches in Mexico, with approximately 27.6 million retail banking customer accounts, $21.0$9.0 billion in retail banking loans and $28.3$21.5 billion in deposits. In addition, the business had approximately 5.7 million Citi-branded card accounts with $5.6$4.2 billion in outstanding card loan balances.
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | | Six Months | | % Change |
| In millions of dollars, except as otherwise noted | 2020 | 2019 | % Change | 2020 | 2019 | |
| Net interest revenue | $ | 755 | | $ | 918 | | (18) | % | $ | 1,642 | | $ | 1,795 | | (9) | % |
| Non-interest revenue | 295 | | 402 | | (27) | | 607 | | 797 | | (24) | |
| Total revenues, net of interest expense | $ | 1,050 | | $ | 1,320 | | (20) | % | $ | 2,249 | | $ | 2,592 | | (13) | % |
| Total operating expenses | $ | 604 | | $ | 704 | | (14) | % | $ | 1,303 | | $ | 1,377 | | (5) | % |
| Net credit losses on loans | $ | 209 | | $ | 279 | | (25) | % | $ | 486 | | $ | 575 | | (15) | % |
| Credit reserve build (release) for loans | 202 | | 3 | | NM | 467 | | 1 | | NM |
| Provision for credit losses on unfunded lending commitments | — | | — | | — | | — | | — | | — | |
| Provisions for benefits and claims, HTM debt securities and other assets | 16 | | 13 | | 23 | | 31 | | 19 | | 63 | |
| Provisions for credit losses and for benefits and claims (PBC) | $ | 427 | | $ | 295 | | 45 | % | $ | 984 | | $ | 595 | | 65 | % |
| Income (loss) from continuing operations before taxes | $ | 19 | | $ | 321 | | (94) | % | $ | (38) | | $ | 620 | | NM |
| Income taxes (benefits) | 1 | | 87 | | (99) | | (20) | | 170 | | NM |
| Income (loss) from continuing operations | $ | 18 | | $ | 234 | | (92) | % | $ | (18) | | $ | 450 | | NM |
| | | | | | |
| Net income (loss) | $ | 18 | | $ | 234 | | (92) | % | $ | (18) | | $ | 450 | | NM |
Balance Sheet data and ratios (in billions of dollars) | | | | | | |
| Average assets | $ | 30 | | $ | 34 | | (12) | % | $ | 33 | | $ | 34 | | (3) | % |
| Return on average assets | 0.24 | % | 2.76 | % | | (0.11) | % | 2.67 | % | |
| Efficiency ratio | 58 | | 53 | | | 58 | | 53 | | |
| Average deposits | $ | 20.6 | | $ | 22.8 | | (10) | | $ | 21.8 | | $ | 22.8 | | (4) | |
| Net credit losses as a percentage of average loans | 6.27 | % | 6.54 | % | | 6.47 | % | 6.74 | % | |
| Revenue by business | | | | | | |
| Retail banking | $ | 705 | | $ | 903 | | (22) | % | $ | 1,488 | | $ | 1,802 | | (17) | % |
| Citi-branded cards | 345 | | 417 | | (17) | | 761 | | 790 | | (4) | |
| Total | $ | 1,050 | | $ | 1,320 | | (20) | % | $ | 2,249 | | $ | 2,592 | | (13) | % |
| Income (loss) from continuing operations by business | | | | | | |
| Retail banking | $ | (2) | | $ | 164 | | NM | $ | (25) | | $ | 325 | | NM |
| Citi-branded cards | 20 | | 70 | | (71) | % | 7 | | 125 | | (94) | % |
| Total | $ | 18 | | $ | 234 | | (92) | % | $ | (18) | | $ | 450 | | NM |
| FX translation impact | | | | | | |
| Total revenues—as reported | $ | 1,050 | | $ | 1,320 | | (20) | % | $ | 2,249 | | $ | 2,592 | | (13) | % |
Impact of FX translation(1) | — | | (193) | | | — | | (266) | | |
Total revenues—ex-FX(2) | $ | 1,050 | | $ | 1,127 | | (7) | % | $ | 2,249 | | $ | 2,326 | | (3) | % |
| Total operating expenses—as reported | $ | 604 | | $ | 704 | | (14) | % | $ | 1,303 | | $ | 1,377 | | (5) | % |
Impact of FX translation(1) | — | | (97) | | | — | | (132) | | |
Total operating expenses—ex-FX(2) | $ | 604 | | $ | 607 | | — | % | $ | 1,303 | | $ | 1,245 | | 5 | % |
| Provisions for credit losses and PBC—as reported | $ | 427 | | $ | 295 | | 45 | % | $ | 984 | | $ | 595 | | 65 | % |
Impact of FX translation(1) | — | | (52) | | | — | | (70) | | |
Provisions for credit losses and PBC—ex-FX(2) | $ | 427 | | $ | 243 | | 76 | % | $ | 984 | | $ | 525 | | 87 | % |
| Net income (loss)—as reported | $ | 18 | | $ | 234 | | (92) | % | $ | (18) | | $ | 450 | | NM |
Impact of FX translation(1) | — | | (31) | | | — | | (44) | | |
Net income (loss)—ex-FX(2) | $ | 18 | | $ | 203 | | (91) | % | $ | (18) | | $ | 406 | | NM |
(1)Reflects the impact of FX translation into U.S. dollars at the second quarter of 2020 and year-to-date 2020 average exchange rates for all periods presented. |
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | % Change |
| In millions of dollars, except as otherwise noted | 2017 | 2016 | % Change | 2017 | 2016 |
| Net interest revenue | $ | 985 |
| $ | 877 |
| 12 | % | $ | 2,702 |
| $ | 2,591 |
| 4 | % |
| Non-interest revenue | 385 |
| 368 |
| 5 | % | 1,109 |
| 1,119 |
| (1 | )% |
| Total revenues, net of interest expense | $ | 1,370 |
| $ | 1,245 |
| 10 | % | $ | 3,811 |
| $ | 3,710 |
| 3 | % |
| Total operating expenses | $ | 768 |
| $ | 707 |
| 9 | % | $ | 2,162 |
| $ | 2,150 |
| 1 | % |
| Net credit losses | $ | 295 |
| $ | 254 |
| 16 | % | $ | 825 |
| $ | 792 |
| 4 | % |
| Credit reserve build (release) | 44 |
| 32 |
| 38 | % | 106 |
| 47 |
| NM |
|
| Provision (release) for unfunded lending commitments | (1 | ) | — |
| NM |
| (2 | ) | 2 |
| NM |
|
| Provision for benefits and claims | 19 |
| 18 |
| 6 | % | 57 |
| 49 |
| 16 | % |
| Provisions for credit losses and for benefits and claims (LLR & PBC) | $ | 357 |
| $ | 304 |
| 17 | % | $ | 986 |
| $ | 890 |
| 11 | % |
| Income from continuing operations before taxes | $ | 245 |
| $ | 234 |
| 5 | % | $ | 663 |
| $ | 670 |
| (1 | )% |
| Income taxes | 81 |
| 74 |
| 9 |
| 233 |
| 191 |
| 22 |
|
| Income from continuing operations | $ | 164 |
| $ | 160 |
| 3 | % | $ | 430 |
| $ | 479 |
| (10 | )% |
| Noncontrolling interests | 1 |
| 2 |
| (50 | ) | 4 |
| 4 |
| — |
|
| Net income | $ | 163 |
| $ | 158 |
| 3 | % | $ | 426 |
| $ | 475 |
| (10 | )% |
Balance Sheet data (in billions of dollars) |
|
| |
|
| | |
|
|
|
| Average assets | $ | 47 |
| $ | 49 |
| (4 | )% | $ | 45 |
| $ | 50 |
| (10 | )% |
| Return on average assets | 1.38 | % | 1.28 | % |
|
| 1.27 | % | 1.27 | % |
|
|
| Efficiency ratio | 56 | % | 57 | % |
|
| 57 | % | 58 | % |
|
|
| Average deposits | $ | 28.8 |
| $ | 25.7 |
| 12 | % | $ | 27.3 |
| $ | 25.9 |
| 5 | % |
| Net credit losses as a percentage of average loans | 4.37 | % | 4.18 | % |
|
| 4.39 | % | 4.35 | % |
|
|
| Revenue by business |
|
| |
|
| | |
|
|
| Retail banking | $ | 976 |
| $ | 881 |
| 11 | % | $ | 2,735 |
| $ | 2,590 |
| 6 | % |
| Citi-branded cards | 394 |
| 364 |
| 8 |
| 1,076 |
| 1,120 |
| (4 | ) |
| Total | $ | 1,370 |
| $ | 1,245 |
| 10 | % | $ | 3,811 |
| $ | 3,710 |
| 3 | % |
| Income from continuing operations by business |
|
| |
|
| | |
|
|
|
| Retail banking | $ | 125 |
| $ | 84 |
| 49 | % | $ | 298 |
| $ | 270 |
| 10 | % |
| Citi-branded cards | 39 |
| 76 |
| (49 | ) | 132 |
| 209 |
| (37 | ) |
| Total | $ | 164 |
| $ | 160 |
| 3 | % | $ | 430 |
| $ | 479 |
| (10 | )% |
|
| | | | | | | | | | | | | | | | |
| 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 third quarter of 2017 and year-to-date 2017 average exchange rates for all periods presented. |
| |
(2) | Presentation of this metric excluding FX translation is a non-GAAP financial measure. |
NM Not meaningful
The discussion of the results of operations for Latin America GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.
3Q172Q20 vs. 3Q162Q19
Net income decreased 5%91%, reflecting significantly higher cost of credit and lower revenues, while expenses were largely unchanged.
Revenues decreased 7%, reflecting lower retail banking and cards revenues, largely reflecting the impact of the pandemic.
Retail banking revenues decreased 8%, driven by a decline in loan volumes and lower deposit spreads, partially offset by deposit growth. Average deposits were up 9%, while average loans decreased 4% reflecting the ongoing slowdown in overall economic growth and industry volumes in Mexico, in addition to the impact of the pandemic.
Cards revenues decreased 4%, primarily driven by higher credit costslower purchase sales (down 34%) and expenses, partially offset by higher revenues.
Revenues increased 4%, driven by higher revenues in
retail banking and cards.
Retail banking revenues increased 5%lower average loans (down 7%), reflecting continued growth in volumes, including an increase in average loans (6%),the impact of the pandemic on customer behavior.
Expenses were largely driven by the commercial and small business portfoliosunchanged, as well as mortgages, an increase in average deposits (7%) and improved deposit spreads, driven by higher interest rates. While deposits continued to increase during the quarter, Latin America GCB was impacted by lower industry-wide deposit growth due to a slowing of growth in the monetary supply. Cards revenues increased 2%, reflecting continued improvement in full rate revolving loan trends, partiallyefficiency savings were offset by continued higher cost to fund non-revolving loans. Purchase sales grew 5% and average card loans also grew 5%.
Expenses increased 4%, as ongoing investment spending and business growth wereepisodic items.
Provisions of $427 million increased $184 million from the prior-year period, driven by a higher allowance for credit loss (ACL) build, partially offset by efficiency savings.
Provisions increasedlower net credit losses. Net credit losses decreased 11%, primarily driven by higher netlower average loans. The ACL build in the second quarter was $202 million, reflecting a deterioration in Citi’s macroeconomic outlook, primarily driven by the pandemic, on estimated lifetime credit losses (9%) and a higher net loan loss reserveunder CECL (compared to no build ($10 million), largely reflecting volume growth, seasonality and a Mexico earthquake-related loan loss reserve build (approximately $25 million)in the prior-year period under prior accounting standards).
For additional information on LatinAmerica GCB’s retail banking, including commercial banking and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information on CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above.
2017
2020 YTD vs. 20162019 YTD
Year-to-date, Latin America GCB has experienced similar trendsNet loss was $18 million, compared to those described above. Net income of $406 million in the prior-year period, reflecting significantly higher cost of credit, lower revenues and higher expenses.
Revenues decreased 3%. Excluding the impact of a residual gain (approximately $30 million) in the prior-year period on the sale of an asset management business, revenues decreased 2%, as lower revenues in retail banking were partially offset by higher cards revenues. Retail banking revenues decreased 6% (excluding the gain on sale in the prior-year period), driven by the same factors described above. Cards revenues increased 7%, primarily driven by improved spreads.
RevenuesExpenses increased 5%, primarily due to higher revenues in retail banking,as ongoing investment spending and episodic items were partially offset by lower revenues in cards. Retail banking revenuesefficiency savings.
Provisions of $984 million increased 8%,87% from the prior-year period, 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- to mid-size businesses, as applicable.small business customers. During the thirdsecond quarter of 2017, Citi’s2020, Asia GCB’s most significant revenues in the region Asia were from Singapore, Hong Kong, Singapore, South Korea, Taiwan, Australia, India, Taiwan,Philippines, Thailand, Indonesia Thailand, Philippines and Malaysia.China. 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.Emirates, Russia and Poland.
At SeptemberJune 30, 2017,2020, on a combined basis, the businesses had 282234 retail branches, approximately 16.2 million retail banking customer accounts, $67.5$61.5 billion in retail banking loans and $96.6$112.5 billion in deposits. In addition, the businesses had approximately 16.6 million Citi-branded card accounts with $18.8$16.8 billion in outstanding card loan balances.
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | | Six Months | | % Change |
In millions of dollars, except as otherwise noted(1) | 2020 | 2019 | % Change | 2020 | 2019 | |
| Net interest revenue | $ | 1,072 | | $ | 1,170 | | (8) | % | $ | 2,221 | | $ | 2,336 | | (5) | % |
| Non-interest revenue | 475 | | 677 | | (30) | | 1,077 | | 1,329 | | (19) | |
| Total revenues, net of interest expense | $ | 1,547 | | $ | 1,847 | | (16) | % | $ | 3,298 | | $ | 3,665 | | (10) | % |
| Total operating expenses | $ | 1,063 | | $ | 1,146 | | (7) | % | $ | 2,196 | | $ | 2,317 | | (5) | % |
| Net credit losses on loans | $ | 194 | | $ | 174 | | 11 | % | $ | 374 | | $ | 338 | | 11 | % |
| Credit reserve build (release) for loans | 259 | | 10 | | NM | 461 | | (10) | | NM |
| Provisions for HTM debt securities and other assets | 3 | | — | | — | | 3 | | — | | — | |
| Provisions for credit losses | $ | 456 | | $ | 184 | | NM | $ | 838 | | $ | 328 | | NM |
| Income from continuing operations before taxes | $ | 28 | | $ | 517 | | (95) | % | $ | 264 | | $ | 1,020 | | (74) | % |
| Income taxes | (15) | | 113 | | NM | 30 | | 219 | | (86) | |
| Income from continuing operations | $ | 43 | | $ | 404 | | (89) | % | $ | 234 | | $ | 801 | | (71) | % |
| Noncontrolling interests | (2) | | 1 | | NM | (3) | | 1 | | NM |
| Net income | $ | 45 | | $ | 403 | | (89) | % | $ | 237 | | $ | 800 | | (70) | % |
Balance Sheet data and ratios (in billions of dollars) | | | | | | |
| Average assets | $ | 124 | | $ | 121 | | 2 | % | $ | 125 | | $ | 121 | | 3 | % |
| Return on average assets | 0.15 | % | 1.34 | % | | 0.38 | % | 1.33 | % | |
| Efficiency ratio | 69 | | 62 | | | 67 | | 63 | | |
| Average deposits | $ | 108.8 | | $ | 100.8 | | 8 | | $ | 107.4 | | $ | 100.1 | | 7 | |
| Net credit losses as a percentage of average loans | 1.01 | % | 0.90 | % | | 0.96 | % | 0.88 | % | |
| Revenue by business | | | | | | |
| Retail banking | $ | 1,009 | | $ | 1,140 | | (11) | % | $ | 2,142 | | $ | 2,216 | | (3) | % |
| Citi-branded cards | 538 | | 707 | | (24) | | 1,156 | | 1,449 | | (20) | |
| Total | $ | 1,547 | | $ | 1,847 | | (16) | % | $ | 3,298 | | $ | 3,665 | | (10) | % |
| Income from continuing operations by business | | | | | | |
| Retail banking | $ | 155 | | $ | 297 | | (48) | % | $ | 371 | | $ | 524 | | (29) | % |
| Citi-branded cards | (112) | | 107 | | NM | (137) | | 277 | | NM |
| Total | $ | 43 | | $ | 404 | | (89) | % | $ | 234 | | $ | 801 | | (71) | % |
| FX translation impact | | | | | | |
| Total revenues—as reported | $ | 1,547 | | $ | 1,847 | | (16) | % | $ | 3,298 | | $ | 3,665 | | (10) | % |
Impact of FX translation(2) | — | | (35) | | | — | | (77) | | |
Total revenues—ex-FX(3) | $ | 1,547 | | $ | 1,812 | | (15) | % | $ | 3,298 | | $ | 3,588 | | (8) | % |
| Total operating expenses—as reported | $ | 1,063 | | $ | 1,146 | | (7) | % | $ | 2,196 | | $ | 2,317 | | (5) | % |
Impact of FX translation(2) | — | | (24) | | | — | | (54) | | |
Total operating expenses—ex-FX(3) | $ | 1,063 | | $ | 1,122 | | (5) | % | $ | 2,196 | | $ | 2,263 | | (3) | % |
| Provisions for credit losses—as reported | $ | 456 | | $ | 184 | | NM | $ | 838 | | $ | 328 | | NM |
Impact of FX translation(2) | — | | (5) | | | — | | (13) | | |
Provisions for credit losses—ex-FX(3) | $ | 456 | | $ | 179 | | NM | $ | 838 | | $ | 315 | | NM |
| Net income—as reported | $ | 45 | | $ | 403 | | (89) | % | $ | 237 | | $ | 800 | | (70) | % |
Impact of FX translation(2) | — | | (2) | | | — | | (5) | | |
Net income—ex-FX(3) | $ | 45 | | $ | 401 | | (89) | % | $ | 237 | | $ | 795 | | (70) | % |
(1) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | % Change |
In millions of dollars, except as otherwise noted (1) | 2017 | 2016 | % Change | 2017 | 2016 |
| Net interest revenue | $ | 1,200 |
| $ | 1,136 |
| 6 | % | $ | 3,454 |
| $ | 3,353 |
| 3 | % |
| Non-interest revenue | 669 |
| 622 |
| 8 |
| 1,938 |
| 1,789 |
| 8 |
|
| Total revenues, net of interest expense | $ | 1,869 |
| $ | 1,758 |
| 6 | % | $ | 5,392 |
| $ | 5,142 |
| 5 | % |
| Total operating expenses | $ | 1,182 |
| $ | 1,127 |
| 5 | % | $ | 3,547 |
| $ | 3,456 |
| 3 | % |
| Net credit losses | $ | 170 |
| $ | 168 |
| 1 | % | $ | 487 |
| $ | 488 |
| — | % |
| Credit reserve build (release) | (21 | ) | (4 | ) | NM |
| (34 | ) | (39 | ) | 13 |
|
| Provision (release) for unfunded lending commitments | (1 | ) | (3 | ) | 67 |
| (4 | ) | (3 | ) | (33 | ) |
| Provisions for credit losses | $ | 148 |
| $ | 161 |
| (8 | )% | $ | 449 |
| $ | 446 |
| 1 | % |
| Income from continuing operations before taxes | $ | 539 |
| $ | 470 |
| 15 | % | $ | 1,396 |
| $ | 1,240 |
| 13 | % |
| Income taxes | 184 |
| 160 |
| 15 |
| 472 |
| 418 |
| 13 |
|
| Income from continuing operations | $ | 355 |
| $ | 310 |
| 15 | % | $ | 924 |
| $ | 822 |
| 12 | % |
| Noncontrolling interests | 1 |
| 1 |
| — |
| 3 |
| 3 |
| — |
|
| Net income | $ | 354 |
| $ | 309 |
| 15 | % | $ | 921 |
| $ | 819 |
| 12 | % |
Balance Sheet data (in billions of dollars) |
|
|
|
|
|
| | |
|
|
|
| Average assets | $ | 125 |
| $ | 121 |
| 3 | % | $ | 124 |
| $ | 119 |
| 4 | % |
| Return on average assets | 1.12 | % | 1.02 | % |
|
| 0.99 | % | 0.92 | % |
|
|
| Efficiency ratio | 63 | % | 64 | % | | 66 | % | 67 | % |
|
|
| Average deposits | $ | 95.2 |
| $ | 91.6 |
| 4 |
| $ | 94.1 |
| $ | 89.4 |
| 5 |
|
| Net credit losses as a percentage of average loans | 0.78 | % | 0.78 | % |
|
| 0.77 | % | 0.77 | % |
|
|
| Revenue by business | | | | | |
|
|
| Retail banking | $ | 1,154 |
| $ | 1,093 |
| 6 | % | $ | 3,302 |
| $ | 3,210 |
| 3 | % |
| Citi-branded cards | 715 |
| 665 |
| 8 |
| 2,090 |
| 1,932 |
| 8 |
|
| Total | $ | 1,869 |
| $ | 1,758 |
| 6 | % | $ | 5,392 |
| $ | 5,142 |
| 5 | % |
| Income from continuing operations by business |
|
|
|
|
|
| | |
|
|
| Retail banking | $ | 246 |
| $ | 190 |
| 29 | % | $ | 609 |
| $ | 513 |
| 19 | % |
| Citi-branded cards | 109 |
| 120 |
| (9 | ) | 315 |
| 309 |
| 2 |
|
| Total | $ | 355 |
| $ | 310 |
| 15 | % | $ | 924 |
| $ | 822 |
| 12 | % |
(3) Presentation of this metric excluding FX translation is a non-GAAP financial measure.
|
| | | | | | | | | | | | | | | | |
| FX translation impact |
|
|
| | |
|
|
| Total revenues—as reported | $ | 1,869 |
| $ | 1,758 |
| 6 | % | $ | 5,392 |
| $ | 5,142 |
| 5 | % |
Impact of FX translation(2) | — |
| 18 |
|
|
| — |
| 53 |
|
|
|
Total revenues—ex-FX(3) | $ | 1,869 |
| $ | 1,776 |
| 5 | % | $ | 5,392 |
| $ | 5,195 |
| 4 | % |
| Total operating expenses—as reported | $ | 1,182 |
| $ | 1,127 |
| 5 | % | $ | 3,547 |
| $ | 3,456 |
| 3 | % |
Impact of FX translation(2) | — |
| 10 |
|
|
| — |
| 33 |
|
|
|
Total operating expenses—ex-FX(3) | $ | 1,182 |
| $ | 1,137 |
| 4 | % | $ | 3,547 |
| $ | 3,489 |
| 2 | % |
| Provisions for loan losses—as reported | $ | 148 |
| $ | 161 |
| (8 | )% | $ | 449 |
| $ | 446 |
| 1 | % |
Impact of FX translation(2) | — |
| 2 |
|
|
| — |
| 3 |
|
|
|
Provisions for loan losses—ex-FX(3) | $ | 148 |
| $ | 163 |
| (9 | )% | $ | 449 |
| $ | 449 |
| — | % |
| Net income—as reported | $ | 354 |
| $ | 309 |
| 15 | % | $ | 921 |
| $ | 819 |
| 12 | % |
Impact of FX translation(2) | — |
| 4 |
|
|
| — |
| 10 |
|
|
|
Net income—ex-FX(3) | $ | 354 |
| $ | 313 |
| 13 | % | $ | 921 |
| $ | 829 |
| 11 | % |
| |
(1) | Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
|
| |
(2) | Reflects the impact of FX translation into U.S. dollars at the third quarter of 2017 and year-to-date 2017 average exchange rates for all periods presented. |
| |
(3) | Presentation of this metric excluding FX translation is a non-GAAP financial measure. |
NM Not meaningful
The discussion of the results of operations for Asia GCB below excludes the impact of FX translation for all periods presented. Presentations of the results of operations, excluding the impact of FX translation, are non-GAAP financial measures. For a reconciliation of certain of these metrics to the reported results, see the table above.
3Q172Q20 vs. 3Q162Q19
Net income increased 13% decreased 89%, reflecting significantly higher revenues and lower cost of credit partially offset by higher expenses.
Revenues increased 5%, driven by improvement in wealth management and cardslower revenues, partially offset by continued lower expenses.
Revenues decreased 15%, reflecting lower cards and retail lending revenues.banking revenues, largely reflecting the impact of the pandemic.
Retail banking revenues increased 4%, primarily due to the continued improvement in wealth management revenues, partially offset by the repositioning of the retail loan portfolio. Wealth management revenues increased due to improvement in investor sentiment, stronger equity markets and increases in assets under management (14%) and investment sales (36%). Average deposits increased 3%. These increases were partially offset by the lower retail lending 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.
Cards revenues increased 6%, reflecting 6% growth in average loans and 7% growth in purchase sales, both of which benefited from the previously disclosed portfolio acquisition in Australia in the first quarter of 2017.
Expenses increased 4%, resulting from volume growth and ongoing investment spending, partially offset by efficiency savings.
Provisionsdecreased 9%10%, primarily driven by an increase in net loan loss reserve releases. Overall credit quality continuedlower deposit spreads due to remain stablespread compression and lower insurance revenues, as well as a small one-time gain in the region.prior-year period, partially offset by stronger deposit volumes and higher retail lending revenue. Average deposits increased 10% and average loans increased 5%. Assets under management declined 4%, reflecting the impact of market movements, while investment sales increased 18%. Retail lending revenues increased 8%, reflecting growth in both personal loans and mortgages.
Cards revenues decreased 22%, primarily driven by lower purchase sales (down 29%) and lower average loans (down 9%), reflecting the impact of the pandemic on customer behavior, specifically from lower travel spend in the region, given Citi’s skew to an affluent client base and a greater proportion of fee revenues coming from travel-related interchange and foreign transaction fees.
Expenses decreased 5%, as efficiency savings, lower marketing and other discretionary expenses and lower volume-related costs more than offset ongoing investment spending.
Provisions of $456 million increased $277 million from the prior-year period, driven by a higher allowance for credit losses (ACL) build as well as higher net credit losses. Net credit losses increased 15%, as lockdowns and the deterioration in the macro-environment impacted credit performance. The ACL build in the second quarter was $259 million, reflecting a deterioration in Citi’s macroeconomic outlook, primarily driven by the pandemic, on estimated lifetime credit losses under CECL (compared to a build of $9 million in the prior-year period under prior accounting standards).
For additional information on AsiaGCB’s retail banking including commercial banking,portfolios and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information on CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above.
20172020 YTD vs. 20162019 YTD
Year-to-date, Asia GCB has experienced similar trends to
those described above. Net income increased 11% due to higher revenues, partially offset by higher expenses.
Revenues increased 4%, primarily due to an increase in cards revenues and wealth management revenues, partially offset by lower retail lending revenues. Retail banking revenues increased 2% decreased 70%, driven by the same factors described above.
Revenues decreased 8%, driven by a decline in both retail banking and cards revenues. Retail banking revenues decreased 1%, as growth in deposits and higher fees on investments and foreign currency transactions due to higher volumes and volatility were more than offset by lower deposit spreads, insurance revenues and the one-time gain in the prior-year period. Cards revenues increased 7%decreased 18%, driven by the same factors described above, as well as a previously disclosed modestsmall one-time gain in the second quarter of 2017 related to the sale of merchant acquiring businesses in certain countries.prior-year period.
Expenses increased 2% decreased 3%, driven by the same factors described above.
Provisions were largely unchanged, as lower net credit losses were offset of $838 million increased $523 million from the prior-year period, driven 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.same factors described above.
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 2019 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 9897 countries and jurisdictions. At SeptemberJune 30, 2017, 2020, ICG had approximately $1.4$1.7 trillion ofin assets and $640$908 billion ofin deposits, while two of its businesses—securities services and issuer services—managed approximately $17.1$20.4 trillion ofin assets under custody compared to $15.4$20.3 trillion at the endDecember 31, 2019 and $18.7 trillion at March 31, 2020.
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | | Six Months | | % Change |
| In millions of dollars, except as otherwise noted | 2020 | 2019 | % Change | 2020 | 2019 | |
| Commissions and fees | $ | 1,027 | | $ | 1,079 | | (5) | % | $ | 2,249 | | $ | 2,233 | | 1 | % |
| Administration and other fiduciary fees | 684 | | 709 | | (4) | | 1,375 | | 1,392 | | (1) | |
| Investment banking | 1,526 | | 1,101 | | 39 | | 2,757 | | 2,214 | | 25 | |
| Principal transactions | 3,909 | | 1,936 | | NM | 9,268 | | 4,574 | | NM |
Other(1) | 419 | | 721 | | (42) | | 305 | | 1,001 | | (70) | |
| Total non-interest revenue | $ | 7,565 | | $ | 5,546 | | 36 | % | $ | 15,954 | | $ | 11,414 | | 40 | % |
| Net interest revenue (including dividends) | 4,572 | | 4,509 | | 1 | | 8,667 | | 8,659 | | — | |
| Total revenues, net of interest expense | $ | 12,137 | | $ | 10,055 | | 21 | % | $ | 24,621 | | $ | 20,073 | | 23 | % |
| Total operating expenses | $ | 5,933 | | $ | 5,548 | | 7 | % | $ | 11,743 | | $ | 11,167 | | 5 | % |
| Net credit losses on loans | $ | 324 | | $ | 91 | | NM | $ | 451 | | $ | 169 | | NM |
| Credit reserve build (release) for loans | 3,370 | | 52 | | NM | 4,686 | | (22) | | NM |
| Provision for credit losses on unfunded lending commitments | 107 | | (11) | | NM | 660 | | 17 | | NM |
| Provisions for credit losses for HTM debt securities and other assets | 53 | | — | | NM | 61 | | — | | NM |
| Provisions for credit losses | $ | 3,854 | | $ | 132 | | NM | $ | 5,858 | | $ | 164 | | NM |
| Income from continuing operations before taxes | $ | 2,350 | | $ | 4,375 | | (46) | % | $ | 7,020 | | $ | 8,742 | | (20) | % |
| Income taxes | 470 | | 950 | | (51) | | 1,514 | | 1,905 | | (21) | |
| Income from continuing operations | $ | 1,880 | | $ | 3,425 | | (45) | % | $ | 5,506 | | $ | 6,837 | | (19) | % |
| Noncontrolling interests | 5 | | 10 | | (50) | | 4 | | 21 | | (81) | |
| Net income | $ | 1,875 | | $ | 3,415 | | (45) | % | $ | 5,502 | | $ | 6,816 | | (19) | % |
Balance Sheet data and ratios (in billions of dollars) | | | | | | |
EOP assets (in billions of dollars) | $ | 1,716 | | $ | 1,501 | | 14 | % | | | |
Average assets (in billions of dollars) | 1,756 | | 1,497 | | 17 | | $ | 1,668 | | $ | 1,479 | | 13 | % |
| Return on average assets | 0.43 | % | 0.91 | % | | 0.66 | % | 0.93 | % | |
| Efficiency ratio | 49 | | 55 | | | 48 | | 56 | | |
| Revenues by region | | | | | | |
| North America | $ | 4,987 | | $ | 3,632 | | 37 | % | $ | 9,934 | | $ | 6,901 | | 44 | % |
| EMEA | 3,392 | | 2,960 | | 15 | | 6,862 | | 6,130 | | 12 | |
| Latin America | 1,207 | | 1,307 | | (8) | | 2,625 | | 2,575 | | 2 | |
| Asia | 2,551 | | 2,156 | | 18 | | 5,200 | | 4,467 | | 16 | |
| Total | $ | 12,137 | | $ | 10,055 | | 21 | % | $ | 24,621 | | $ | 20,073 | | 23 | % |
| Income from continuing operations by region | | | | | | |
| North America | $ | 660 | | $ | 1,050 | | (37) | % | $ | 1,556 | | $ | 1,798 | | (13) | % |
| EMEA | 493 | | 1,005 | | (51) | | 1,528 | | 2,130 | | (28) | |
| Latin America | (194) | | 519 | | NM | 332 | | 1,059 | | (69) | |
| Asia | 921 | | 851 | | 8 | | 2,090 | | 1,850 | | 13 | |
| Total | $ | 1,880 | | $ | 3,425 | | (45) | % | $ | 5,506 | | $ | 6,837 | | (19) | % |
| | | | | | | | | | | | | | | | | | | | |
Average loans by region (in billions of dollars) | | | | | | |
| North America | $ | 215 | | $ | 188 | | 14 | % | $ | 205 | | $ | 185 | | 11 | % |
| EMEA | 91 | | 85 | | 7 | | 90 | | 85 | | 6 | |
| Latin America | 43 | | 41 | | 5 | | 41 | | 42 | | (2) | |
| Asia | 73 | | 73 | | — | | 73 | | 74 | | (1) | |
| Total | $ | 422 | | $ | 387 | | 9 | % | $ | 409 | | $ | 386 | | 6 | % |
EOP deposits by business (in billions of dollars) | | | | | | |
| Treasury and trade solutions | $ | 658 | | $ | 525 | | 25 | % | | | |
All other ICG businesses | 250 | | 227 | | 10 | | | | |
| Total | $ | 908 | | $ | 752 | | 21 | % | | | |
(1) The second quarter of the prior-year period.2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | % Change |
| In millions of dollars, except as otherwise noted | 2017 | 2016 | % Change | 2017 | 2016 |
| Commissions and fees | $ | 1,036 |
| $ | 929 |
| 12 | % | $ | 3,041 |
| $ | 2,889 |
| 5 | % |
| Administration and other fiduciary fees | 710 |
| 610 |
| 16 |
| 2,073 |
| 1,845 |
| 12 |
|
| Investment banking | 1,099 |
| 917 |
| 20 |
| 3,323 |
| 2,686 |
| 24 |
|
| Principal transactions | 1,757 |
| 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 taxes | 1,394 |
| 1,202 |
| 16 |
| 4,096 |
| 3,195 |
| 28 |
|
| Income from continuing operations | $ | 3,062 |
| $ | 2,660 |
| 15 | % | $ | 8,853 |
| $ | 7,144 |
| 24 | % |
| Noncontrolling interests | 14 |
| 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 assets | 0.88 | % | 0.80 | % |
|
| 0.87 | % | 0.73 | % |
|
|
| Efficiency ratio | 54 |
| 55 |
|
|
| 54 |
| 57 |
|
|
|
| Revenues by region | | |
|
| | |
|
|
| North America | $ | 3,638 |
| $ | 3,191 |
| 14 | % | $ | 10,661 |
| $ | 9,564 |
| 11 | % |
| EMEA | 2,655 |
| 2,506 |
| 6 |
| 8,299 |
| 7,250 |
| 14 |
|
| Latin America | 1,059 |
| 999 |
| 6 |
| 3,228 |
| 2,983 |
| 8 |
|
| Asia | 1,879 |
| 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 | % |
| EMEA | 746 |
| 649 |
| 15 |
| 2,380 |
| 1,718 |
| 39 |
|
| Latin America | 380 |
| 389 |
| (2 | ) | 1,188 |
| 1,111 |
| 7 |
|
| Asia | 614 |
| 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 | % |
| EMEA | 71 |
| 68 |
| 4 |
| 68 |
| 66 |
| 3 |
|
| Latin America | 34 |
| 36 |
| (6 | ) | 34 |
| 36 |
| (6 | ) |
| Asia | 64 |
| 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 | % |
|
|
|
|
|
|
| |
(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. |
NM Not meaningful
ICG Revenue Details
ICG Revenue Details—Excluding Gains (Losses) on Loan Hedges | | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | | Six Months | | % Change |
| In millions of dollars | 2020 | 2019 | % Change | 2020 | 2019 | |
Investment banking revenue details | | | | | | |
| Advisory | $ | 229 | | $ | 232 | | (1) | % | $ | 615 | | $ | 610 | | 1 | % |
| Equity underwriting | 491 | | 314 | | 56 | | 671 | | 486 | | 38 | |
| Debt underwriting | 1,039 | | 737 | | 41 | | 1,827 | | 1,541 | | 19 | |
| Total investment banking | $ | 1,759 | | $ | 1,283 | | 37 | % | $ | 3,113 | | $ | 2,637 | | 18 | % |
| Treasury and trade solutions | 2,307 | | 2,587 | | (11) | | 4,730 | | 5,126 | | (8) | |
Corporate lending—excluding gains (losses) on loan hedges(1) | 646 | | 725 | | (11) | | 1,094 | | 1,474 | | (26) | |
Private bank—excluding gains (losses) on loan hedges(1) | 956 | | 866 | | 10 | | 1,905 | | 1,746 | | 9 | |
Total Banking revenues (ex-gains (losses) on loan hedges) | $ | 5,668 | | $ | 5,461 | | 4 | % | $ | 10,842 | | $ | 10,983 | | (1) | % |
Gains (losses) on loan hedges(1) | $ | (431) | | $ | (75) | | NM | $ | 385 | | $ | (306) | | NM |
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense | $ | 5,237 | | $ | 5,386 | | (3) | % | $ | 11,227 | | $ | 10,677 | | 5 | % |
Fixed income markets(2) | $ | 5,595 | | $ | 3,323 | | 68 | % | $ | 10,381 | | $ | 6,775 | | 53 | % |
| Equity markets | 770 | | 790 | | (3) | | 1,939 | | 1,632 | | 19 | |
| Securities services | 619 | | 682 | | (9) | | 1,264 | | 1,320 | | (4) | |
| Other | (84) | | (126) | | 33 | | (190) | | (331) | | 43 | |
Total Markets and securities services revenues, net of interest expense | $ | 6,900 | | $ | 4,669 | | 48 | % | $ | 13,394 | | $ | 9,396 | | 43 | % |
| Total revenues, net of interest expense | $ | 12,137 | | $ | 10,055 | | 21 | % | $ | 24,621 | | $ | 20,073 | | 23 | % |
| Commissions and fees | $ | 154 | | $ | 198 | | (22) | % | $ | 343 | | $ | 372 | | (8) | % |
Principal transactions(3) | 4,009 | | 1,870 | | NM | 7,558 | | 4,247 | | 78 | |
Other(2) | 234 | | 533 | | (56) | | 171 | | 683 | | (75) | |
| Total non-interest revenue | $ | 4,397 | | $ | 2,601 | | 69 | % | $ | 8,072 | | $ | 5,302 | | 52 | % |
| Net interest revenue | 1,198 | | 722 | | 66 | | 2,309 | | 1,473 | | 57 | |
Total fixed income markets(4) | $ | 5,595 | | $ | 3,323 | | 68 | % | $ | 10,381 | | $ | 6,775 | | 53 | % |
| Rates and currencies | $ | 3,582 | | $ | 2,118 | | 69 | % | $ | 7,616 | | $ | 4,520 | | 68 | % |
| Spread products/other fixed income | 2,013 | | 1,205 | | 67 | | 2,765 | | 2,255 | | 23 | |
| Total fixed income markets | $ | 5,595 | | $ | 3,323 | | 68 | % | $ | 10,381 | | $ | 6,775 | | 53 | % |
| Commissions and fees | $ | 305 | | $ | 274 | | 11 | % | $ | 667 | | $ | 567 | | 18 | % |
Principal transactions(3) | 193 | | 7 | | NM | 967 | | 403 | | NM |
| Other | 2 | | 10 | | (80) | | 10 | | 17 | | (41) | |
| Total non-interest revenue | $ | 500 | | $ | 291 | | 72 | % | $ | 1,644 | | $ | 987 | | 67 | % |
| Net interest revenue | 270 | | 499 | | (46) | | 295 | | 645 | | (54) | |
Total equity markets(4) | $ | 770 | | $ | 790 | | (3) | % | $ | 1,939 | | $ | 1,632 | | 19 | % |
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | % Change |
| In millions of dollars | 2017 | 2016 | % Change | 2017 | 2016 |
Investment banking revenue details | | | | | | |
| Advisory | $ | 237 |
| $ | 239 |
| (1 | )% | $ | 797 |
| $ | 704 |
| 13 | % |
| Equity underwriting | 290 |
| 146 |
| 99 |
| 820 |
| 438 |
| 87 |
|
| Debt underwriting | 704 |
| 698 |
| 1 |
| 2,314 |
| 2,029 |
| 14 |
|
| Total investment banking | $ | 1,231 |
| $ | 1,083 |
| 14 | % | $ | 3,931 |
| $ | 3,171 |
| 24 | % |
| Treasury and trade solutions | 2,144 |
| 1,986 |
| 8 |
| 6,284 |
| 5,888 |
| 7 |
|
Corporate lending—excluding gains/(losses) on loan hedges(1) | 502 |
| 439 |
| 14 |
| 1,413 |
| 1,270 |
| 11 |
|
| Private bank | 785 |
| 680 |
| 15 |
| 2,317 |
| 2,038 |
| 14 |
|
| Total banking revenues (ex-gains/(losses) on loan hedges) | $ | 4,662 |
| $ | 4,188 |
| 11 | % | $ | 13,945 |
| $ | 12,367 |
| 13 | % |
Corporate lending—gains/(losses) on loan hedges(1) | $ | (48 | ) | $ | (218 | ) | 78 | % | $ | (154 | ) | $ | (487 | ) | 68 | % |
| Total banking revenues (including gains/(losses) on loan hedges) | $ | 4,614 |
| $ | 3,970 |
| 16 | % | $ | 13,791 |
| $ | 11,880 |
| 16 | % |
| Fixed income markets | $ | 2,877 |
| $ | 3,413 |
| (16 | )% | $ | 9,714 |
| $ | 9,896 |
| (2 | )% |
| Equity markets | 757 |
| 654 |
| 16 |
| 2,217 |
| 2,127 |
| 4 |
|
| Securities services | 599 |
| 533 |
| 12 |
| 1,726 |
| 1,623 |
| 6 |
|
Other(2) | 384 |
| (111 | ) | NM |
| 122 |
| (483 | ) | NM |
|
| Total markets and securities services revenues | $ | 4,617 |
| $ | 4,489 |
| 3 | % | $ | 13,779 |
| $ | 13,163 |
| 5 | % |
| Total revenues, net of interest expense | $ | 9,231 |
| $ | 8,459 |
| 9 | % | $ | 27,570 |
| $ | 25,043 |
| 10 | % |
| Commissions and fees | $ | 167 |
| $ | 115 |
| 45 | % | $ | 461 |
| $ | 352 |
| 31 | % |
Principal transactions(3) | 1,546 |
| 1,825 |
| (15 | ) | 5,754 |
| 4,934 |
| 17 |
|
| Other | 129 |
| 171 |
| (25 | ) | 459 |
| 600 |
| (24 | ) |
| Total non-interest revenue | $ | 1,842 |
| $ | 2,111 |
| (13 | )% | $ | 6,674 |
| $ | 5,886 |
| 13 | % |
| Net interest revenue | 1,035 |
| 1,302 |
| (21 | ) | 3,040 |
| 4,010 |
| (24 | ) |
| Total fixed income markets | $ | 2,877 |
| $ | 3,413 |
| (16 | )% | $ | 9,714 |
| $ | 9,896 |
| (2 | )% |
| Rates and currencies | $ | 2,161 |
| $ | 2,362 |
| (9 | )% | $ | 6,891 |
| $ | 7,059 |
| (2 | )% |
| Spread products / other fixed income | 716 |
| 1,051 |
| (32 | ) | 2,823 |
| 2,837 |
| — |
|
| Total fixed income markets | $ | 2,877 |
| $ | 3,413 |
| (16 | )% | $ | 9,714 |
| $ | 9,896 |
| (2 | )% |
| Commissions and fees | $ | 301 |
| $ | 302 |
| — | % | $ | 930 |
| $ | 978 |
| (5 | )% |
Principal transactions(3) | 190 |
| 45 |
| NM |
| 331 |
| 48 |
| NM |
|
| Other | (5 | ) | 4 |
| NM |
| (4 | ) | 133 |
| NM |
|
| Total non-interest revenue | $ | 486 |
| $ | 351 |
| 38 | % | $ | 1,257 |
| $ | 1,159 |
| 8 | % |
| Net interest revenue | 271 |
| 303 |
| (11 | ) | 960 |
| 968 |
| (1 | ) |
| Total equity markets | $ | 757 |
| $ | 654 |
| 16 | % | $ | 2,217 |
| $ | 2,127 |
| 4 | % |
(2) The second quarter of 2019 includes an approximate $350 million gain on Citi’s investment in Tradeweb.
| |
(1) | Credit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual loans and loans at fair value. Gains/(losses) on loan hedges includes the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gains/(losses) on loan hedges are non-GAAP financial measures. |
| |
(2) | Third quarter of 2017 includes the $580 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 net investment in Venezuela as a result of changes in the exchange rate during the quarter. |
(3) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(4) Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest revenue may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.
NM Not meaningful
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.
3Q17 vs. 3Q16
Net income increased 15% decreased 45%, as significantly higher cost of credit and higher expenses were partially offset by higher revenues.
Revenues were up 21%, reflecting higher Markets and securities services revenues (increase of 48%), partially offset by lower Banking revenues (decline of 3% including the impact of losses on loan hedges). Excluding the impact of losses on loan hedges, Banking revenues were up 4%, driven by higher revenues includingin investment banking and the $580 million gain on the sale of a fixed income analytics business, and a higher benefit from cost of credit,private bank, partially offset by higher operating expenses.
Revenues increased 9%lower revenues in treasury and trade solutions and corporate lending. Excluding the pretax gain of approximately $350 million on Citi’s investment in Tradeweb in the prior-year period, Markets and securities services revenues were up 60%, reflecting significantly 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 werefixed income markets, driven by continued strong momentum and performance across all businesses. Citi expects revenues in ICG will likely continueincreased client activity due to reflecthigher market volatility, primarily related to the overall market environment, including a normal seasonal decline inimpact of the markets businesses in the fourth quarter of 2017.
Within Banking:
Investment banking revenues increased 14%, driven by continued wallet share gains across products,COVID-19 pandemic, partially offset by a declinelower revenues in equity markets and securities services.
Within Banking:
•Investment banking revenues were up 37%, as growth in debt and equity underwriting revenues was partially offset by modestly lower advisory revenues. The increase in revenues outperformed the overall growth in the market wallet from the prior-year period.wallet. Advisory revenues declineddecreased 1%, largely reflecting thea decline in overallthe market wallet. Equity underwriting revenues increased 99%56%, reflecting significant wallet share gains and particular strength in North America and EMEA.Asia, driven by an increase in the market wallet as well as share gains. Debt underwriting revenues increased 1%41%, reflecting thewith strength across all regions. The increase was driven by an increase in market wallet as well as share gains, partially offset byincluding a 131% increase in investment-grade debt underwriting, as the declinebusiness continued to assist clients with sourcing liquidity in overall market wallet.
the evolving environment.•Treasury and trade solutions revenues increased 8%decreased 11%. Excluding the impact of FX translation, revenues increaseddecreased 7%, primarily reflecting strengtha decline in EMEAboth the cash and Asia.trade businesses. The increasedecline in revenues reflectsin the cash business reflected the continued growthimpact of lower interest rates and a slowdown in loans and deposits along with improvements in deposit spreads, as well as fee growthcommercial cards spend driven by higher payment, clearing and commercial card volumes and episodic fees in trade.End-of-periodthe impact of the pandemic, partially offset by strong deposit volumes. Average deposit balances increased 3% (2%28% (30% excluding the impact of FX translation). Average, reflecting strong client engagement and solid growth across all regions. In trade, loans increased 4%, drivenrevenues were impacted by strong loan growtha decline inAsia and EMEA.
trade fees, reflecting an overall economic slowdown related to the pandemic, partially offset by improved trade spreads.
•Corporate lendingrevenues decreased $418 million to $232 million, reflecting higher losses on loan hedges, as credit spreads tightened during the quarter. Excluding the impact of losses on loan hedges, revenues decreased 11%, as lower loan spreads more than offset the impact of higher loan volumes, as the business assisted clients with sourcing liquidity in the evolving environment.
•Private bank revenues increased $233 million to $454 million.8%. 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%10%, reflecting continued strength across all products, largely driven by North America and Asia.regions. The increase inreflected strong client activity, which drove higher capital markets revenues was due to growth in clients,and higher loan and deposit volumes, higherpartially offset by lower deposit spreads higher managed investments revenues and increased capital markets activity.
due to the lower interest rate environment.
Within Markets and securities services:
•Fixed income markets revenues decreased 16%, driven by North America and EMEA, primarily due to lower client activity inincreased 68%. Excluding the current quarter and the strong trading environmentTradeweb gain in the prior-year period. The declineperiod, revenues increased 89%, reflecting higher revenues across all regions, as well as strong performance across both rates and currencies and spread products, due to the impact of market conditions, including elevated volatility, related to the pandemic. Non-interest revenues increased, reflecting higher corporate and investor client activity, as volatility, volumes and spreads remained elevated, particularly in rates and currencies and commodities. Net interest revenues was driven byalso increased, reflecting lower net interest revenue (down 21%), largely due tofunding costs as well as 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. activity.
Rates and currencies revenues decreased 9%increased 69%, primarily driven by lowerhigher G10 rates revenues, as Citi assisted corporate and currencies revenues dueinvestor clients in repositioning their portfolios in a challenging market environment related to the low volatility inimpact of the current quarter and the comparison to higher revenues in the prior-year period following the vote in the U.K. in favorpandemic, including elevated levels of its withdrawal from the European Union. Local markets rates and currencies revenues increased modestly, reflecting continued corporate client engagement across the global network.volatility. Spread products and other fixed income revenues decreased 32%, primarilyincreased 67%. The increase was driven by higher revenues in commodities, reflecting increased volatility related to the prior-year strengthimpact of the pandemic, higher revenues in theflow trading, environment in securitized markets 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 activitydemand, and a more favorable tradingmarket making environment, compared to the prior-year period.as evidenced by spread tightening. The increase was also drivenpartially offset by continued momentum inlower securitization revenues, reflecting a more challenging environment.
•Equity markets revenues decreased 3%, as higher cash equities revenues across all regions were more than offset
by lower equity derivatives and higher balancesprime finance revenues. The decline in equity derivatives revenues reflected a more challenging environment, as volatility declined, particularly in EMEA. The decline was partially offset by strong client activity, as clients continued to rebalance and hedge positions. The decline in prime finance. Principal transactionsfinance revenues increased, reflectingprimarily reflected lower financing balances, particularly in North America and EMEA.
•Securities services revenues decreased 9%. Excluding the client-led growth.
impact of FX translation, revenues decreased 5%, as higher deposit volumes were more than offset by lower deposit spreads as interest rates declined.
Securities services revenues increased 12%For additional information on trends in ICG’s deposit and trade loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.
Expenses were up 7%, reflecting particular strength in Asiahigher compensation costs, continued investments and EMEA. The increase in revenues was drivenvolume-driven growth, partially offset by growth in fee revenues dueefficiency savings.
Provisions increased to continued growth in assets under custody and increased client volumes,$3.9 billion, primarily reflecting a higher ACL build as well as growthhigher net credit losses. Net credit losses were $324 million, compared to $91 million in net interest revenuethe prior-year period, largely driven by write-offs across various sectors in both North America and EMEA, primarily reflecting smaller-sized energy and energy-related exposures.
The ACL build was $3.5 billion, compared to $41 million in the prior-year period under prior accounting standards. The increase reflected the impact of a deterioration in the macroeconomic outlook under the CECL standard, driven by the impact of the pandemic across multiple sectors, as well as downgrades in the portfolio. Sectors significantly impacted by the pandemic (including energy and energy-related, aviation, consumer retail, commercial real estate and autos) drove approximately half of the ACL reserve build during the quarter. The ACL build also included an increase in the qualitative management adjustment component of the reserve to reflect the potential for a higher interest rates.level of stress and/or somewhat slower economic recovery. This management adjustment complements the primary forward-looking macroeconomic scenario used to estimate the credit reserve requirement.
As of June 30, 2020, reserves held on Citi’s balance sheet represented 1.71% of funded loans, compared to 0.80% as of March 31, 2020, including 4.9% of reserves held against the non-investment grade portion, compared to 2.1% as of March 31, 2020.
For additional information on ICG’scorporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information on CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1, 13 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above.
Expenses increased 5%2020 YTD vs. 2019 YTD
Net income decreased 19%, as investments, volume-related expensessignificantly higher cost of credit and higher legal and related expenses were partially offset by efficiency savings.higher revenues.
Provisions decreased 82%Revenues were up 23%, driven by a net43% increase in Markets and securities services as well as a 5% increase in Banking revenues (including the impact of gains (losses) on loan loss reserve releasehedges). Excluding the impact of $208 million (compared togains (losses) on loan hedges, Banking revenues declined 1%, as growth in investment banking and the private bank was more than offset by a $135 million releasedecrease in treasury and trade solutions and corporate lending. Excluding the Tradeweb gain in the prior-year period, largely related to energyMarkets 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.
2017 YTD vs. 2016 YTD
Net incomesecurities services revenues increased 24%48%, primarily driven by highergrowth in both fixed income markets and equity markets revenues, and lower credit costs, partially offset by higher expenses.a decline in securities services.
Revenues increased 10%, reflecting higher revenues in Within 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%18%. Advisory revenues increased 1%, largely reflecting gains in wallet share across products as well as an improvement fromdespite a decline in 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.overall market wallet. Equity underwriting revenues increased 87%38%, driven by significant wallet share gains as well asprimarily reflecting growth in the increase in overall market activity.wallet. Debt underwriting revenues increased 14%19%, primarily driven by thereflecting market wallet share gains.
growth and gains in share.•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%decreased 8%. Excluding the impact of lossesFX translation, revenues decreased 5%, reflecting lower revenues in both cash and trade, driven by the same factors described above.
•Corporate lending revenues increased 23%, reflecting gains on loan hedges as credit spreads widened. Excluding the impact of gains (losses) on loan hedges, revenues increased 11%decreased 26%, primarily driven by lower hedging costs in the current period, improved loan sale activity and the prior-periodan adjustment to the residual value of a lease financing.
financing asset and lower loan spreads, partially offset by higher loan volumes.•Private bank revenues increased 14%12%. Excluding the impact of gains on loan hedges in the current period, revenues increased 9%, 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 marketsrevenues decreased 2%increased 53%, due to lowerprimarily reflecting higher revenues in North AmericaLatin America, and, Asia partially offset by growth in andEMEA. Rates and currencies revenues decreased 2% due to lower G10 rates and currencies revenues reflecting low volatility this year andincreased 68%, driven by the comparison to Brexit-led activity in the prior-year period.same factors described above. 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%).
Equity markets revenues increased 4%, as continued growth in client balances and higher client activity, particularly in EMEA and Asia, were partially offset by the absence of episodic activity in North America in the prior-year period. Equity derivatives revenues increased, driven by stronger trading performance compared to the prior-year period as well as higher investor client activity, partially offset by a modest decline in prime finance revenues due to spread mix. Cash equities revenues were modestly higher, driven by higher client activity in Asia, partially offset by lower activity in North America.
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 and EMEA23%, driven by the same factors described above.
•Equity markets revenues increased 19%, driven by higher revenues in North America and Asia, reflecting higher revenues in both cash equities and equity derivatives revenues, partially offset by lower revenues in prime finance.
•Securities services revenues declined 4%. Excluding the impact of FX translation, revenues were largely unchanged, as higher client activity and deposit volumes were offset by lower interest revenues as interest rates declined.
Expenses were up 5%, reflecting higher compensation costs, continued investments and volume-driven growth, partially offset by efficiency savings.
Provisions increased 4% fromto $5.9 billion, driven by net credit losses of $451 million, compared to $169 million in the prior-year period, and an ACL build of $5.4 billion compared to a minimal release in the prior-year period. The increase in net credit losses was driven by the same factors described above, partially offset by lower repositioning costs.above.
Provisions decreased $664 million, primarily reflecting a decline in net credit losses from $397 millionThe increase in the prior-year period to $140 million and a net loan loss reserve releaseACL build primarily reflected the impact of $422 million ($15 million releasedeterioration in the period-year period). This lower cost of credit wasmacroeconomic outlook, driven largely by improvement in the energy sector,pandemic across multiple sectors under the CECL standard, as well as the release related to the improvementdowngrades in the provision for unfunded lending commitments.portfolio and the qualitative management adjustment.
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, 2020, Corporate/Other had $100$94 billion in assets, a decrease of 4% year-over-year and 3% from December 31, 2016.assets.
| | | | | | | | | | | | | | | | | | | | |
| Second Quarter | | | Six Months | | % Change |
| In millions of dollars | 2020 | 2019 | % Change | 2020 | 2019 | |
| Net interest revenue | $ | (26) | | $ | 484 | | NM | $ | 299 | | $ | 1,153 | | (74) | % |
| Non-interest revenue | 316 | | 86 | | NM | 64 | | (115) | | NM |
| Total revenues, net of interest expense | $ | 290 | | $ | 570 | | (49) | % | $ | 363 | | $ | 1,038 | | (65) | % |
| Total operating expenses | $ | 469 | | $ | 481 | | (2) | % | $ | 885 | | $ | 1,030 | | (14) | % |
| Net credit losses (recoveries) on loans | $ | (5) | | $ | 2 | | NM | $ | (7) | | $ | 4 | | NM |
| Credit reserve build (release) for loans | 160 | | (20) | | NM | 351 | | (46) | | NM |
| Provision (release) for credit losses on unfunded lending commitments | 6 | | (4) | | NM | 11 | | (5) | | NM |
| Provisions for benefits and claims, HTM debt securities and other assets | 3 | | — | | NM | 1 | | — | | 100 | % |
| Provisions (release) for credit losses and for benefits and claims | $ | 164 | | $ | (22) | | NM | $ | 356 | | $ | (47) | | NM |
| Income (loss) from continuing operations before taxes | $ | (343) | | $ | 111 | | NM | $ | (878) | | $ | 55 | | NM |
| Income taxes (benefits) | (178) | | 45 | | NM | (376) | | (16) | | NM |
| Income (loss) from continuing operations | $ | (165) | | $ | 66 | | NM | $ | (502) | | $ | 71 | | NM |
| Income (loss) from discontinued operations, net of taxes | (1) | | 17 | | NM | (19) | | 15 | | NM |
| Net income (loss) before attribution of noncontrolling interests | $ | (166) | | $ | 83 | | NM | $ | (521) | | $ | 86 | | NM |
| Noncontrolling interests | (3) | | (1) | | NM | (7) | | 13 | | NM |
| Net income (loss) | $ | (163) | | $ | 84 | | NM | $ | (514) | | $ | 73 | | NM |
|
| | | | | | | | | | | | | | | | |
| | Third Quarter | | Nine Months | % Change |
| In millions of dollars | 2017 | 2016 | % Change | 2017 | 2016 |
| Net interest revenue | $ | 507 |
| $ | 706 |
| (28 | )% | $ | 1,543 |
| $ | 2,416 |
| (36 | )% |
| Non-interest revenue | 2 |
| 431 |
| (100 | ) | 796 |
| 1,852 |
| (57 | ) |
| Total revenues, net of interest expense | $ | 509 |
| $ | 1,137 |
| (55 | )% | $ | 2,339 |
| $ | 4,268 |
| (45 | )% |
| Total operating expenses | $ | 822 |
| $ | 1,288 |
| (36 | )% | $ | 2,929 |
| $ | 3,847 |
| (24 | )% |
| Net credit losses | $ | 29 |
| $ | 131 |
| (78 | )% | $ | 134 |
| $ | 374 |
| (64 | )% |
| Credit reserve build (release) | (79 | ) | (122 | ) | 35 |
| (268 | ) | (376 | ) | 29 |
|
| Provision (release) for unfunded lending commitments | — |
| — |
| — |
| 3 |
| (6 | ) | NM |
|
| Provision for benefits and claims | — |
| 9 |
| (100 | ) | 1 |
| 98 |
| (99 | ) |
| Provisions for credit losses and for benefits and claims | $ | (50 | ) | $ | 18 |
| NM |
| $ | (130 | ) | $ | 90 |
| NM |
|
| Income (loss) from continuing operations before taxes | $ | (263 | ) | $ | (169 | ) | (56 | )% | $ | (460 | ) | $ | 331 |
| NM |
|
| Income taxes (benefits) | (164 | ) | (146 | ) | (12 | )% | (439 | ) | (238 | ) | (84 | )% |
| Income (loss) from continuing operations | $ | (99 | ) | $ | (23 | ) | NM |
| $ | (21 | ) | $ | 569 |
| NM |
|
| Income (loss) from discontinued operations, net of taxes | (5 | ) | (30 | ) | 83 | % | (2 | ) | (55 | ) | 96 | % |
| Net income (loss) before attribution of noncontrolling interests | $ | (104 | ) | $ | (53 | ) | (96 | )% | $ | (23 | ) | $ | 514 |
| NM |
|
| Noncontrolling interests | (17 | ) | (5 | ) | NM |
| (13 | ) | (4 | ) | NM |
|
| Net income (loss) | $ | (87 | ) | $ | (48 | ) | (81 | )% | $ | (10 | ) | $ | 518 |
| NM |
|
NM Not meaningful
3Q172Q20 vs. 3Q162Q19
The netNet loss was $87$163 million, compared to a net lossNet income of $48$84 million in the prior-year period, due tolargely driven by lower revenues and significantly higher cost of credit, partially offset by lower expenses and lower cost of credit.income tax benefits.
Revenues decreased 55%49%, driven by continued legacy asset run-off, divestitures and lower revenue from treasury hedging activities.
Expenses decreased 36%, primarily driven byreflecting the wind-down of legacy assets and the impact of lower legal expenses.
Provisions decreased $68 million to a net benefit of $50 million, primarily due to lower net credit losses,interest rates, partially offset by a lower net loan loss reserve release. Net credit losses declined 78% to $29 million,AFS investment securities gains, as well as positive marks on legacy securities, as spreads tightened during the quarter.
Expenses decreased 2%, primarily reflecting the impact of ongoing divestiture activity. The net reserve release declined 35%, mostly reflecting the continued wind-down of the North America mortgage portfolio,legacy assets, partially offset by higher infrastructure costs as well as incremental costs associated with the pandemic.
Provisions of $164 million increased $186 million, primarily driven by an ACL build on legacy assets (versus a hurricane-related loan loss reserverelease in the prior-year period under prior accounting standards). The ACL build (of approximately $20 million).reflected a deterioration in the macroeconomic outlook, primarily driven by the pandemic, on estimated lifetime credit losses under the CECL standard.
For additional information on CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
2017
2020 YTD vs. 20162019 YTD
Year-to-date, Corporate/Other has experienced similar trends to those described above. The netNet loss was $10$514 million, compared to netNet income of $518$73 million in the prior-year period, largely reflecting lower revenues and significantly higher cost of credit, partially offset by lower expenses and a lower costtax rate (see “Significant Accounting Policies and Significant Estimates—Income Taxes” below).
Revenues decreased 65%, reflecting the wind-down of credit.
Revenues decreased 45%, primarily driven bylegacy assets and the same factors described above as well as the absenceimpact 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.
Expenses decreased 24%, driven by the same factors described above,lower interest rates, partially offset by approximately $100 million in episodic expenses primarily related to the exit of the U.S. mortgage servicing operations.AFS gains.
ProvisionsExpenses 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%14%, driven by the same factors described above.
Provisions of $356 million increased $403 million (versus a release in the prior-year period), 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 20162019 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 VIEs | See Note 18 to the Consolidated Financial Statements. |
| Letters of credit, and lending and other commitments | See Note 22 to the Consolidated Financial Statements. |
| Guarantees | See 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 events2019 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 2017,2020, Citi returned a total of approximately $6.4$1.1 billion of capital to common shareholders in the form of common share dividends. As discussed above, on March 15, 2020, Citi announced it had joined other major U.S. banks in suspending stock repurchases (approximately 81 millionto support clients in light of the COVID-19 pandemic. For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends—Equity Security Repurchases” below.
Common Equity Tier 1 Capital Ratio
Citi’s reportable Common Equity Tier 1 Capital ratio was 11.6% as of June 30, 2020, compared to 11.2% as of March 31, 2020, both under the Basel III Advanced Approaches framework. Citi’s reportable Common Equity Tier 1 Capital ratio was 11.8% under the Basel III Standardized Approach as of December 31, 2019. Citi’s Common Equity Tier 1 Capital ratio increased from March 31, 2020, largely driven by lower credit risk-weighted assets, beneficial net movements in Accumulated other comprehensive income (AOCI), net income of $1.3 billion and the relief provided by the modified CECL transition provision for the quarter, partially offset by the return of $1.1 billion of capital to common shares) and dividends.
Capital Managementshareholders.
Citi’s Common Equity Tier 1 Capital ratio declined from year-end 2019, primarily due to a net increase in risk-weighted assets, the return of $5.1 billion of capital management framework is designed to ensure that Citigroupcommon shareholders, partially offset by year-to-date net income of $3.8 billion and its principal subsidiaries maintain sufficientthe relief of the modified CECL transition provision.
Regulatory Capital Relief Resulting from the COVID-19 Pandemic
The U.S. banking agencies issued several interim final rules during the second quarter of 2020 to revise the current regulatory capital consistent with each entity’s respective risk profile, management targets and allstandards applicable regulatory standards and guidelines.to Citi, in light of the pandemic. For additional information regarding Citi’s capital management,interim final rules issued during the first quarter of 2020, see “Capital Resources—Capital Management”Resources” in Citi’s First Quarter of 2020 Form 10-Q.
Temporary Supplementary Leverage Ratio Relief
In April 2020, the Federal Reserve Board issued an interim final rule that temporarily changes the calculation of the Supplementary Leverage ratio for bank holding companies, including Citigroup, by excluding U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. Repo-style transactions on U.S. Treasuries are not in scope for this relief. The Supplementary Leverage ratio is a non-risk-sensitive measure, and the temporary exclusion allows banking organizations to expand their balance sheet, as appropriate, to continue to serve as financial intermediaries and to provide credit to households and businesses during the pandemic. The interim final rule is effective for Citigroup’s
Supplementary Leverage ratio, as well as for Citigroup’s 2016 Annual Report on Form 10-K.leverage-based Total Loss Absorbing Capacity (TLAC) and Long-Term Debt (LTD) requirements, beginning with the quarter ended June 30, 2020, and will continue through March 31, 2021. Citigroup’s reported Supplementary Leverage ratio of 6.66% benefited 94 basis points during the second quarter of 2020 as a result of the temporary relief. Excluding the temporary relief, Citigroup’s Supplementary Leverage ratio would have been 5.72%, compared with a 5.0% effective minimum requirement.
Capital PlanningIn June 2020, the U.S. banking agencies issued an interim final rule that permits depository institutions, including Citibank, to elect to temporarily exclude U.S. Treasuries and Stress Testing
Citi isdeposits at Federal Reserve Banks from Total Leverage Exposure, subject to an annual assessmentthe condition that the depository institution must receive approval from its primary federal banking regulator prior to paying dividends or making certain other capital distributions while the exclusion is in effect. Citibank did not elect to temporarily exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. Accordingly, the calculation methodology of Citibank’s Supplementary Leverage ratio was unchanged.
Regulatory Capital Impact of the Paycheck Protection Program
In April 2020, as part of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) and in recognition of the exigent circumstances faced by small businesses, Congress created the Paycheck Protection Program (PPP). PPP covered loans are fully guaranteed as to principal and accrued interest by the Small Business Administration (SBA). As a general matter, SBA guarantees are backed by the full faith and credit of the U.S. government.
In order to provide liquidity to small business lenders and the broader credit markets, and to help stabilize the financial system, the Federal Reserve Board authorized each of the Federal Reserve Banks to extend credit under the Paycheck Protection Program Lending Facility (PPPLF). Under the PPPLF, the Federal Reserve Banks may extend non-recourse loans to institutions that are eligible to originate PPP
covered loans, such as Citibank, with PPP loans that are originated or purchased by the institution pledged to the Federal Reserve as collateral to secure the PPPLF extensions of credit. The PPPLF began extending credit in April 2020, and will not extend new credit after September 30, 2020, unless the PPPLF is extended by the Federal Reserve Board asand the U.S. Department of Treasury.
In April 2020, in recognition of CARES Act requirements, and to whether Citigroup has effective capital planning processes as well as sufficientfacilitate the use of the PPPLF, the U.S. banking agencies issued an interim final rule that allows banking organizations to neutralize certain regulatory capital to absorb losses during stressful economic and financial conditions, while also meeting obligations to creditors and counterparties and continuing to serve aseffects of PPP loans. The interim final rule states that PPP covered loans originated by 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 surchargesbanking organization under the rule initially range from 1% to 4.5% of totalPPP will be 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 regardingat 0% under the identification of a GSIBStandardized Approach and the methodology for annually determiningAdvanced Approaches. Additionally, 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 provisionsinterim final rule permits banking organizations to exclude exposures pledged 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 respectcollateral to the GSIB surcharge, see “Capital Resources—Current Regulatory Capital Standards—Transition Provisions” in Citigroup’s 2016 Annual Report on Form 10-K.PPPLF from quarterly adjusted average total assets and Total Leverage Exposure.
The interim final rule was effective commencing with the quarter ended June 30, 2020.
Citigroup’s Capital Resources Under Current Regulatory Standards
Citi is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 CapitalThe following tables set forth Citi’s capital components and Total Capital ratios of 4.5%, 6% and 8%, respectively.ratios:
| | | | | | | | | | | | | | | | | | | | | | | |
| | Advanced Approaches | | | Standardized Approach | | |
| In millions of dollars, except ratios | Effective Minimum Requirement(1) | June 30, 2020 | March 31, 2020 | December 31, 2019 | June 30, 2020 | March 31, 2020 | December 31, 2019 |
Common Equity Tier 1 Capital(2) | | $ | 139,643 | | $ | 136,695 | | $ | 137,798 | | $ | 139,643 | | $ | 136,695 | | $ | 137,798 | |
| Tier 1 Capital | | 157,631 | | 154,304 | | 155,805 | | 157,631 | | 154,304 | | 155,805 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(2) | | 187,553 | | 184,362 | | 181,337 | | 196,452 | | 194,369 | | 193,682 | |
Total Risk-Weighted Assets(3)(4) | | 1,205,123 | | 1,224,136 | | 1,135,553 | | 1,187,331 | | 1,217,805 | | 1,166,523 | |
Credit Risk(2) | | $ | 809,748 | | $ | 839,490 | | $ | 771,508 | | $ | 1,092,943 | | $ | 1,136,874 | | $ | 1,107,775 | |
| Market Risk | | 91,496 | | 78,915 | | 57,317 | | 94,388 | | 80,931 | | 58,748 | |
| Operational Risk | | 303,879 | | 305,731 | | 306,728 | | — | | — | | — | |
Common Equity Tier 1 Capital ratio(5) | 10.0 | % | 11.59 | % | 11.17 | % | 12.13 | % | 11.76 | % | 11.22 | % | 11.81 | % |
Tier 1 Capital ratio(5) | 11.5 | | 13.08 | | 12.61 | | 13.72 | | 13.28 | | 12.67 | | 13.36 | |
Total Capital ratio(5) | 13.5 | | 15.56 | | 15.06 | | 15.97 | | 16.55 | | 15.96 | | 16.60 | |
| | | | | | | | | | | | | | |
| In millions of dollars, except ratios | Effective Minimum Requirement | June 30, 2020 | March 31, 2020 | December 31, 2019 |
Quarterly Adjusted Average Total Assets(2)(3)(6)(7) | | $ | 2,228,062 | | $ | 2,044,340 | | $ | 1,957,039 | |
Total Leverage Exposure(2)(3)(6)(8) | | 2,367,578 | | 2,585,730 | | 2,507,891 | |
| Tier 1 Leverage ratio | 4.0 | % | 7.07 | % | 7.55 | % | 7.96 | % |
| Supplementary Leverage ratio | 5.0 | | 6.66 | | 5.97 | | 6.21 | |
(1)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 bothrisk-based capital requirements include the 2.5% Capital Conservation Buffer and the 3%3.0% GSIB surcharge (all of which is tomust be composed of Common Equity Tier 1 Capital).
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences, and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are 7.25%, 8.75%reflected in quarterly adjusted average total assets and 10.75%, respectively. Total Leverage Exposure. Additionally, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Commencing with the quarter ended March 31, 2020, exposures acquired pursuant to a non-recourse loan as part of the Money Market Mutual Fund Liquidity Facility are excluded from risk-weighted assets under the Advanced Approaches and Standardized Approach, as well as quarterly adjusted average total assets and Total Leverage Exposure.
(4)Commencing with the quarter ended June 30, 2020, loans originated under the Paycheck Protection Program receive a 0% risk weight under the Advanced Approaches and Standardized Approach.
(5)Citi’s effective minimumreportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of June 30, 2020 and Total Capital ratios during 2016, inclusive of the 25% phase-in of both the 2.5% Capital Conservation BufferMarch 31, 2020, and the 3.5% GSIB surcharge (allBasel III Standardized Approach as 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%, aDecember 31, 2019, whereas Citi’s reportable Total Capital ratio of at least 10%, and not be subjectwas the lower derived under the Basel III Advanced Approaches framework for all periods presented.
(6)Commencing with the quarter ended June 30, 2020, exposures pledged as collateral pursuant to a Federal Reserve Board directive to maintain higher capital levels.
The following tables set forthnon-recourse loan that is provided as part of the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios,Paycheck Protection Program Lending Facility are excluded from quarterly adjusted average total assets and Total Leverage Exposure.
(7)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(8)Supplementary Leverage ratio denominator. Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excludes U.S. Treasuries and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of September 30, 2017 and December 31, 2016.
Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)deposits at Federal Reserve Banks.
|
| | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars, except ratios | Advanced Approaches | Standardized Approach | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital | $ | 162,008 |
| $ | 162,008 |
| $ | 167,378 |
| $ | 167,378 |
|
| Tier 1 Capital | 177,304 |
| 177,304 |
| 178,387 |
| 178,387 |
|
| Total Capital (Tier 1 Capital + Tier 2 Capital) | 202,643 |
| 214,787 |
| 202,146 |
| 214,938 |
|
| Total Risk-Weighted Assets | 1,143,448 |
| 1,158,679 |
| 1,166,764 |
| 1,126,314 |
|
Credit Risk(1) | $ | 756,529 |
| $ | 1,093,468 |
| $ | 773,483 |
| $ | 1,061,786 |
|
| Market Risk | 64,368 |
| 65,211 |
| 64,006 |
| 64,528 |
|
| Operational Risk | 322,551 |
| — |
| 329,275 |
| — |
|
Common Equity Tier 1 Capital ratio(2) | 14.17 | % | 13.98 | % | 14.35 | % | 14.86 | % |
Tier 1 Capital ratio(2) | 15.51 |
| 15.30 |
| 15.29 |
| 15.84 |
|
Total Capital ratio(2) | 17.72 |
| 18.54 |
| 17.33 |
| 19.08 |
|
|
| | | | | | | | |
| In millions of dollars, except ratios | September 30, 2017 | December 31, 2016 |
Quarterly Adjusted Average Total Assets(3) | | $ | 1,838,307 |
| | $ | 1,768,415 |
|
Total Leverage Exposure(4) | | 2,433,814 |
| | 2,351,883 |
|
| Tier 1 Leverage ratio | | 9.64 | % | | 10.09 | % |
| Supplementary Leverage ratio | | 7.29 |
| | 7.58 |
|
| |
(1) | Under the U.S. Basel III rules, credit risk-weighted assets during the transition period reflect the effects of transition arrangements related to regulatory capital adjustments and deductions and, as a result, will differ from credit risk-weighted assets derived under full implementation of the rules. |
| |
(2) | As of 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. |
| |
(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, 20172020 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.
2020.
Components of Citigroup Capital Under Current Regulatory Standards (Basel III Transition Arrangements) |
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Common Equity Tier 1 Capital | | |
Citigroup common stockholders’ equity(1) | $ | 208,565 |
| $ | 206,051 |
|
| Add: Qualifying noncontrolling interests | 209 |
| 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 interests | 118 |
| 17 |
|
| Regulatory Capital Adjustment and Deductions: | | |
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax(3)(5) | (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 interests | 39 |
| 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 Capital | 1 |
| 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 |
|
Footnotes are presented on the following page.
| |
(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. generally accepted accounting principles (GAAP). |
| |
(2) | In addition, includes the net amount of unamortized loss on held-to-maturity (HTM) securities. This amount relates to securities that were previously transferred from AFS to HTM, and non-credit-related factors such as changes in interest rates and liquidity spreads for HTM securities with other-than-temporary impairment. |
| |
(3) | The transition arrangements for significant regulatory capital adjustments and deductions impacting Common Equity Tier 1 Capital and Additional Tier 1 Capital are set forth in the chart entitled “Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions,” as presented in Citigroup’s 2016 Annual Report on Form 10-K. |
| |
(4) | Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in Accumulated other comprehensive income (loss) (AOCI) that relate to the hedging of items not recognized at fair value on the balance sheet.
|
| |
(5) | The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital and Additional Tier 1 Capital, in accordance with the U.S. Basel III rules. |
| |
(6) | Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions. |
| |
(7) | Of Citi’s approximately $45.5 billion of net DTAs at September 30, 2017, approximately $19.9 billion were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $25.6 billion were excluded. Excluded from Citi’s regulatory capital at September 30, 2017 was in total approximately $27.0 billion of net DTAs arising from both net operating loss, foreign tax credit and general business credit carry-forwards as well as temporary differences, of which approximately $23.0 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 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be deducted from both Common Equity Tier 1 Capital and Additional Tier 1 Capital under the transition arrangements of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted solely from Common Equity Tier 1 Capital under these rules, if in excess of 10%/15% limitations. |
| |
(8) | Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At 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) | Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules. |
| |
(10) | Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act that prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013. |
| |
(11) | 50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital. |
| |
(12) | Effective January 1, 2016, non-grandfathered trust preferred securities are not eligible for inclusion in Tier 1 Capital, but are eligible for inclusion in Tier 2 Capital subject to full phase-out by January 1, 2022. Non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 50% and 60% during 2017 and 2016, respectively, of the aggregate outstanding principal amounts of such issuances as of January 1, 2014, in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules. |
| |
(13) | Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.5 billion and $0.7 billion at September 30, 2017 and December 31, 2016, respectively. |
Citigroup Capital Rollforward Under Current Regulatory Standards (Basel III Transition Arrangements) |
| | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 |
| Common Equity Tier 1 Capital, beginning of period | $ | 163,786 |
| $ | 167,378 |
|
| Net income | 4,133 |
| 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 capital | 98 |
| (147 | ) |
| Net decrease in foreign currency translation adjustment net of hedges, net of tax | 218 |
| 2,179 |
|
| Net change in unrealized losses on securities AFS, net of tax | (52 | ) | 345 |
|
| Net increase in defined benefit plans liability adjustment, net of tax | (23 | ) | (1,174 | ) |
Net change in adjustment related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | (23 | ) | 29 |
|
| Net change in goodwill, net of related DTLs | 57 |
| (674 | ) |
| Net change in identifiable intangible assets other than MSRs, net of related DTLs | 142 |
| (602 | ) |
| Net change in defined benefit pension plan net assets | 61 |
| (62 | ) |
Net change in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | 612 |
| (3,252 | ) |
Net increase in excess over 10%/15% limitations for other DTAs, certain common stock investments and MSRs | (374 | ) | (2,133 | ) |
| Other | (3 | ) | (140 | ) |
| Net decrease in Common Equity Tier 1 Capital | $ | (1,778 | ) | $ | (5,370 | ) |
Common Equity Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 162,008 |
| $ | 162,008 |
|
| Additional Tier 1 Capital, beginning of period | $ | 15,758 |
| $ | 11,009 |
|
| Net increase in qualifying trust preferred securities | — |
| 3 |
|
Net change in adjustment related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | 25 |
| 59 |
|
| Net decrease in defined benefit pension plan net assets | 15 |
| 199 |
|
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | 152 |
| 4,521 |
|
| Net increase in permitted ownership interests in covered funds | (633 | ) | (595 | ) |
| Other | (21 | ) | 100 |
|
| Net change in Additional Tier 1 Capital | $ | (462 | ) | $ | 4,287 |
|
Tier 1 Capital, end of period (Standardized Approach and Advanced Approaches) | $ | 177,304 |
| $ | 177,304 |
|
| Tier 2 Capital, beginning of period (Standardized Approach) | $ | 37,383 |
| $ | 36,551 |
|
| Net change in qualifying subordinated debt | (64 | ) | 760 |
|
| Net increase in qualifying trust preferred securities | 5 |
| 12 |
|
| Net increase in eligible allowance for credit losses | 165 |
| 146 |
|
| Other | (6 | ) | 14 |
|
| Net increase in Tier 2 Capital (Standardized Approach) | $ | 100 |
| $ | 932 |
|
| Tier 2 Capital, end of period (Standardized Approach) | $ | 37,483 |
| $ | 37,483 |
|
| Total Capital, end of period (Standardized Approach) | $ | 214,787 |
| $ | 214,787 |
|
| | | |
| Tier 2 Capital, beginning of period (Advanced Approaches) | $ | 25,246 |
| $ | 23,759 |
|
| Net change in qualifying subordinated debt | (64 | ) | 760 |
|
| Net increase in qualifying trust preferred securities | 5 |
| 12 |
|
| Net increase in excess of eligible credit reserves over expected credit losses | 158 |
| 794 |
|
| Other | (6 | ) | 14 |
|
| Net increase in Tier 2 Capital (Advanced Approaches) | $ | 93 |
| $ | 1,580 |
|
| Tier 2 Capital, end of period (Advanced Approaches) | $ | 25,339 |
| $ | 25,339 |
|
| Total Capital, end of period (Advanced Approaches) | $ | 202,643 |
| $ | 202,643 |
|
Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Standardized Approach with Transition Arrangements)
|
| | | | | | |
| In millions of dollars | Three 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 exposures | 809 |
| 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 |
|
| |
(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 September 30, 2017 primarily due to corporate loan growth. |
| |
(2) | Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions. |
| |
(3) | Securitization exposures decreased during the three and nine months ended September 30, 2017 principally as a result of certain securitization exposures becoming subject to deduction from Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act. |
| |
(4) | OTC derivatives increased during the three and nine months ended September 30, 2017 primarily due to increased trade volume. |
| |
(5) | Other exposures include cleared transactions, unsettled transactions, and other assets. 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, 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. |
| |
(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 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. |
Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
|
| | | | | | |
| In millions of dollars | Three 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 exposures | 737 |
| 1,336 |
|
Net change in over-the-counter (OTC) derivatives(5) | 1,088 |
| (5,009 | ) |
| Net change in derivatives CVA | 1,017 |
| (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. |
| |
(5) | OTC derivatives increased during the three months ended September 30, 2017 primarily due to changes in fair value. OTC derivatives decreased during the nine months ended September 30, 2017 primarily due to changes in fair value and improved portfolio credit quality. |
| |
(6) | Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories, and non-material portfolios. Other exposures increased during the three and nine months ended September 30, 2017 primarily due to increases in cleared transactions. |
| |
(7) | Supervisory 6% multiplier does not apply to derivatives CVA. |
| |
(8) | Risk levels decreased during the three months ended September 30, 2017 primarily due to a decrease in exposure levels subject to Stressed Value at Risk and Value at Risk. Risk levels increased during the 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 tables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citibank, Citi’s primary subsidiary U.S. depository institution, as of September 30, 2017 and December 31, 2016.34
Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
|
| | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars, except ratios | Advanced Approaches | Standardized Approach | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital | $ | 129,170 |
| $ | 129,170 |
| $ | 126,220 |
| $ | 126,220 |
|
| Tier 1 Capital | 130,564 |
| 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 Assets | 962,968 |
| 1,044,808 |
| 973,933 |
| 1,001,016 |
|
| Credit Risk | $ | 666,691 |
| $ | 995,230 |
| $ | 669,920 |
| $ | 955,767 |
|
| Market Risk | 48,496 |
| 49,578 |
| 44,579 |
| 45,249 |
|
| Operational Risk | 247,781 |
| — |
| 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 ratios | September 30, 2017 | December 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 ratio | Total 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 Approaches | 0.9 | 1.2 | 0.9 | 1.4 | 0.9 | 1.6 |
| Standardized Approach | 0.9 | 1.2 | 0.9 | 1.3 | 0.9 | 1.6 |
| Citibank | | | | | | |
| Advanced Approaches | 1.0 | 1.4 | 1.0 | 1.4 | 1.0 | 1.6 |
| Standardized Approach | 1.0 | 1.2 | 1.0 | 1.2 | 1.0 | 1.4 |
Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)
|
| | | | |
| | Tier 1 Leverage ratio | Supplementary 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 |
| Citigroup | 0.5 | 0.5 | 0.4 | 0.3 |
| Citibank | 0.7 | 0.7 | 0.5 | 0.4 |
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, 2017 | December 31, 2016 |
| In millions of dollars, except ratios | Advanced Approaches | Standardized Approach | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital | $ | 153,534 |
| $ | 153,534 |
| $ | 149,516 |
| $ | 149,516 |
|
| Tier 1 Capital | 172,849 |
| 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 Assets | 1,169,142 |
| 1,182,918 |
| 1,189,680 |
| 1,147,956 |
|
| Credit Risk | $ | 782,223 |
| $ | 1,117,707 |
| $ | 796,399 |
| $ | 1,083,428 |
|
| Market Risk | 64,368 |
| 65,211 |
| 64,006 |
| 64,528 |
|
| Operational Risk | 322,551 |
| — |
| 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 ratios | September 30, 2017 | December 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
| | | | | | | | |
| In millions of dollars | June 30,
2020 | December 31,
2019 |
| Common Equity Tier 1 Capital | | |
Citigroup common stockholders’ equity(1) | $ | 173,793 | | $ | 175,414 | |
| Add: Qualifying noncontrolling interests | 145 | | 154 | |
| Regulatory capital adjustments and deductions: | | |
Add: CECL transition and 25% provision deferral(2) | 5,606 | | — | |
| Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax | 2,094 | | 123 | |
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax | 393 | | (679) | |
| Less: Intangible assets: | | |
Goodwill, net of related DTLs(3) | 20,275 | | 21,066 | |
Identifiable intangible assets other than MSRs, net of related DTLs | 3,866 | | 4,087 | |
| Less: Defined benefit pension plan net assets | 960 | | 803 | |
Less: DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards(4) | 12,313 | | 12,370 | |
| Total Common Equity Tier 1 Capital (Advanced Approaches and Standardized Approach) | $ | 139,643 | | $ | 137,798 | |
| Additional Tier 1 Capital | | |
Qualifying noncumulative perpetual preferred stock(1) | $ | 17,829 | | $ | 17,828 | |
Qualifying trust preferred securities(5) | 1,392 | | 1,389 | |
| Qualifying noncontrolling interests | 37 | | 42 | |
| Regulatory capital deductions: | | |
Less: Permitted ownership interests in covered funds(6) | 1,244 | | 1,216 | |
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(7) | 26 | | 36 | |
| Total Additional Tier 1 Capital (Advanced Approaches and Standardized Approach) | $ | 17,988 | | $ | 18,007 | |
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital) (Advanced Approaches and Standardized Approach) | $ | 157,631 | | $ | 155,805 | |
| Tier 2 Capital | | |
| Qualifying subordinated debt | $ | 24,708 | | $ | 23,673 | |
Qualifying trust preferred securities(8) | 317 | | 326 | |
| Qualifying noncontrolling interests | 43 | | 46 | |
Excess of eligible credit reserves over expected credit losses(2)(9) | 4,880 | | 1,523 | |
| Regulatory capital deduction: | | |
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(7) | 26 | | 36 | |
| Total Tier 2 Capital (Advanced Approaches) | $ | 29,922 | | $ | 25,532 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches) | $ | 187,553 | | $ | 181,337 | |
Adjustment for eligible allowance for credit losses(2)(9) | $ | 8,899 | | $ | 12,345 | |
| Total Tier 2 Capital (Standardized Approach) | $ | 38,821 | | $ | 37,877 | |
| Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach) | $ | 196,452 | | $ | 193,682 | |
(1)Issuance costs of $151 million as of June 30, 2020 and $152 million as of December 31, 2019 are related to outstanding noncumulative perpetual preferred stock, 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. GAAP.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under Basel III (Full Implementation)the modified CECL transition provision, the changes in retained earnings (after-tax) and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.
(3)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions. |
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Common Equity Tier 1 Capital | | |
Citigroup common stockholders’ equity(1) | $ | 208,565 |
| $ | 206,051 |
|
| Add: Qualifying noncontrolling interests | 144 |
| 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 assets | 720 |
| 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 interests | 62 |
| 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 interests | 47 |
| 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.
(4)Of Citi’s $23.9 billion of net DTAs at June 30, 2020, $14.2 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.7 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of June 30, 2020 was $12.3 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, which was reduced by $2.6 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 the 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 and therefore not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.
(5)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
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(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. |
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(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. |
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(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. |
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(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. |
(6)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. The U.S. agencies issued a revised Volcker Rule 2.0 in November 2019 that removes permitted investments in third-party covered funds from capital deduction requirements, among other changes. Upon the removal of the capital deduction, permitted investments in third-party covered funds will be included in risk-weighted assets. Mandatory compliance with the revised Volcker Rule 2.0 is required by January 1, 2021, with early adoption permitted, in whole or in part, beginning January 1, 2020. Additionally, the U.S. agencies released a revised Volcker Rule 2.1 in June 2020 that improves and streamlines several “covered funds” requirements, with an effective date of October 1, 2020. Citi continues to deduct from Tier 1 Capital all permitted ownership interests in covered funds for all periods presented.
(7)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(8)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.
(9)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. The total amount of allowance for credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Standardized Approach framework was $13.8 billion and $13.9 billion at June 30, 2020 and December 31, 2019, respectively.
Citigroup Capital Rollforward Under
| | | | | | | | |
| In millions of dollars | Three Months Ended
June 30, 2020 | Six Months Ended
June 30, 2020 |
| Common Equity Tier 1 Capital, beginning of period | $ | 136,695 | | $ | 137,798 | |
| Net income | 1,316 | | 3,838 | |
| Common and preferred dividends declared | (1,324) | | (2,696) | |
| Net change in treasury stock | 4 | | (2,483) | |
| Net change in common stock and additional paid-in capital | 118 | | (173) | |
| Net change in foreign currency translation adjustment net of hedges, net of tax | 561 | | (3,548) | |
| Net decrease in unrealized losses on debt securities AFS, net of tax | 837 | | 3,965 | |
| Net increase in defined benefit plans liability adjustment, net of tax | (77) | | (363) | |
| Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax | 213 | | (164) | |
| Net change in excluded component of fair value hedges | 13 | | 40 | |
| Net change in goodwill, net of related DTLs | (152) | | 791 | |
| Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 87 | | 221 | |
| Net change in defined benefit pension plan net assets | 92 | | (157) | |
| Net change in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards | (54) | | 57 | |
| CECL 25% provision deferral | 1,306 | | 2,538 | |
| Other | 8 | | (21) | |
| Net increase in Common Equity Tier 1 Capital | $ | 2,948 | | $ | 1,845 | |
Common Equity Tier 1 Capital, end of period (Advanced Approaches and Standardized Approach) | $ | 139,643 | | $ | 139,643 | |
| Additional Tier 1 Capital, beginning of period | $ | 17,609 | | $ | 18,007 | |
| Net change in qualifying perpetual preferred stock | — | | 1 | |
| Net increase in qualifying trust preferred securities | 2 | | 3 | |
| Net change in permitted ownership interests in covered funds | 378 | | (28) | |
| Other | (1) | | 5 | |
| Net change in Additional Tier 1 Capital | $ | 379 | | $ | (19) | |
Tier 1 Capital, end of period (Advanced Approaches and Standardized Approach) | $ | 157,631 | | $ | 157,631 | |
| Tier 2 Capital, beginning of period (Advanced Approaches) | $ | 30,058 | | $ | 25,532 | |
| Net change in qualifying subordinated debt | (753) | | 1,035 | |
| Net increase in excess of eligible credit reserves over expected credit losses | 615 | | 3,357 | |
| Other | 2 | | (2) | |
| Net change in Tier 2 Capital (Advanced Approaches) | $ | (136) | | $ | 4,390 | |
| Tier 2 Capital, end of period (Advanced Approaches) | $ | 29,922 | | $ | 29,922 | |
| Total Capital, end of period (Advanced Approaches) | $ | 187,553 | | $ | 187,553 | |
| Tier 2 Capital, beginning of period (Standardized Approach) | $ | 40,065 | | $ | 37,877 | |
| Net change in qualifying subordinated debt | (753) | | 1,035 | |
| Net decrease in eligible allowance for credit losses | (493) | | (89) | |
| Other | 2 | | (2) | |
| Net change in Tier 2 Capital (Standardized Approach) | $ | (1,244) | | $ | 944 | |
| Tier 2 Capital, end of period (Standardized Approach) | $ | 38,821 | | $ | 38,821 | |
| Total Capital, end of period (Standardized Approach) | $ | 196,452 | | $ | 196,452 | |
Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
| | | | | | | | |
| In millions of dollars | Three Months Ended
June 30, 2020 | Six Months Ended
June 30, 2020 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,224,136 | | $ | 1,135,553 | |
| Changes in Credit Risk-Weighted Assets | | |
Retail exposures(1) | (11,571) | | (19,111) | |
Wholesale exposures(2) | 11,081 | | 32,962 | |
Repo-style transactions(3) | (4,121) | | 10,985 | |
| Securitization exposures | (320) | | (1,710) | |
| Equity exposures | 1,946 | | (481) | |
Over-the-counter (OTC) derivatives(4) | (6,099) | | 8,621 | |
Derivatives CVA(5) | (8,477) | | 11,652 | |
Other exposures(6) | (11,179) | | (6,385) | |
| Supervisory 6% multiplier | (1,002) | | 1,707 | |
| Net change in Credit Risk-Weighted Assets | $ | (29,742) | | $ | 38,240 | |
| Changes in Market Risk-Weighted Assets | | |
Risk levels(7) | $ | 8,876 | | $ | 22,121 | |
Model and methodology updates(7) | 3,705 | | 12,058 | |
| Net increase in Market Risk-Weighted Assets | $ | 12,581 | | $ | 34,179 | |
| Net decrease in Operational Risk-Weighted Assets | $ | (1,852) | | $ | (2,849) | |
| Total Risk-Weighted Assets, end of period | $ | 1,205,123 | | $ | 1,205,123 | |
(1)Retail exposures decreased during the three months and six months ended June 30, 2020 primarily driven by seasonal holiday spending repayments and lesser spending due to the pandemic.
(2)Wholesale exposures increased during the three months ended June 30, 2020 primarily due to increases in AFS and HTM securities and loan commitments. Wholesale exposures increased during the six months ended June 30, 2020 primarily due to commercial loan growth, increases in AFS and HTM securities and rating downgrades partially offset by annual model parameter updates reflecting Citi’s loss experiences.
(3)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions decreased during the three months ended June 30, 2020 mainly driven by market volatility. Repo-style transactions increased during the six months ended June 30, 2020 mainly driven by market volatility.
(4)OTC derivatives decreased during the three months ended June 30, 2020 primarily due to decreases in mark-to-market and notional for bilateral derivatives. OTC derivatives increased during the six months ended June 30, 2020 primarily due to increases in mark-to-market and notional for bilateral derivatives.
(5)Derivatives CVA decreased during the three months ended June 30, 2020 primarily due to narrowing credit spreads, market volatility and decreases in exposure. Derivatives CVA increased during the six months ended June 30, 2020 primarily due to widening credit spreads and market volatility.
(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreased during the three months and six months ended June 30, 2020 primarily due to decreases in notional for client cleared derivatives and excess of credit reserves not included in Tier 2 capital eligible for RWA reduction.
(7)Market risk-weighted assets increased during the three months and six months ended June 30, 2020 primarily driven by increases in market volatility due to the pandemic.
As set forth in the table above, total risk-weighted assets under the Basel III (Full Implementation)Advanced Approaches increased from year-end 2019, primarily due to higher credit and market risk-weighted assets, slightly offset by a decrease in operational risk-weighted assets. The increase in credit risk-weighted assets was primarily due to increases in commercial loans and loan commitments, increases in derivatives CVA, attributable to widening of credit spreads and market volatility, repo-style transactions, and OTC derivatives trade activities, partially offset by a decrease in retail exposures, decreases in notional for client cleared derivatives and excess of credit reserves not included in Tier 2 capital eligible for RWA reduction. Market risk-weighted assets increased from year-end 2019, primarily driven by increases in market volatility due to the pandemic.
|
| | | | | | |
| In millions of dollars | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 |
| Common Equity Tier 1 Capital, beginning of period | $ | 155,174 |
| $ | 149,516 |
|
| Net income | 4,133 |
| 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 capital | 98 |
| (147 | ) |
| Net decrease in foreign currency translation adjustment net of hedges, net of tax | 218 |
| 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 DTLs | 57 |
| (674 | ) |
| Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 177 |
| 466 |
|
| Net decrease in defined benefit pension plan net assets | 76 |
| 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 |
|
| Other | 1 |
| (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 losses | 165 |
| 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 losses | 158 |
| 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)Approach)
| | | | | | | | |
| In millions of dollars | Three Months Ended
June 30, 2020 | Six Months Ended
June 30, 2020 |
| Total Risk-Weighted Assets, beginning of period | $ | 1,217,805 | | $ | 1,166,523 | |
| Changes in Credit Risk-Weighted Assets | | |
General credit risk exposures(1) | (34,067) | | (13,163) | |
Repo-style transactions(2) | 14,085 | | 17,590 | |
| Securitization exposures | (290) | | (1,208) | |
| Equity exposures | 1,752 | | (481) | |
Over-the-counter (OTC) derivatives(3) | (15,565) | | 8,303 | |
Other exposures(4) | (14,428) | | (13,075) | |
Off-balance sheet exposures(5) | 4,583 | | (12,797) | |
| Net decrease in Credit Risk-Weighted Assets | $ | (43,930) | | $ | (14,831) | |
| Net Increase in Market Risk-Weighted Assets | | |
Risk levels(6) | $ | 9,751 | | $ | 23,581 | |
Model and methodology updates(6) | 3,705 | | 12,058 | |
| Net increase in Market Risk-Weighted Assets | $ | 13,456 | | $ | 35,639 | |
| Total Risk-Weighted Assets, end of period | $ | 1,187,331 | | $ | 1,187,331 | |
|
| | | | | | |
| In millions of dollars | Three 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 transactions | 8,430 |
| 15,417 |
|
| Net decrease in securitization exposures | (4,129 | ) | (6,183 | ) |
| Net increase in equity exposures | 1,003 |
| 1,839 |
|
| Net increase in over-the-counter (OTC) derivatives | 2,827 |
| 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. |
(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures decreased during the three months and six months ended June 30, 2020 primarily due to reductions in commercial loans and consumer loans driven by seasonal holiday spending repayments and lesser spending due to COVID pandemic.
Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions increased during the three months and six months ended June 30, 2020, primarily due to volume and exposure driven increases.
(3)OTC derivatives decreased during the three months ended June 30, 2020, primarily due to decreases in mark-to-market and notional for bilateral derivatives. OTC derivatives increased during the six months ended June 30, 2020, primarily due to increases in mark-to-market and notional for bilateral derivatives. |
| | | | | | |
| In millions of dollars | Three 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 exposures | 1,898 |
| (6,757 | ) |
| Net decrease in wholesale exposures | (6,362 | ) | (5,946 | ) |
| Net increase in repo-style transactions | 4,658 |
| 4,660 |
|
| Net decrease in securitization exposures | (4,362 | ) | (6,477 | ) |
| Net increase in equity exposures | 931 |
| 1,619 |
|
| Net change in over-the-counter (OTC) derivatives | 1,088 |
| (5,009 | ) |
| Net change in derivatives CVA | 1,017 |
| (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. |
(5)Off-balance sheet exposures increased during the three months ended June 30, 2020, primarily due to an increase in loan commitments. Off-balance sheet exposures decreased during the six months ended June 30, 2020 primarily due to a reduction in loan commitments.
(6)Market risk-weighted assets increased during the three months and six months ended June 30, 2020 primarily driven by increases in market volatility due to the pandemic.
TotalAs set forth in the table above, total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2016 substantially2019, primarily due to higher market risk-weighted assets, partially offset by lower credit risk-weighted assets, primarily resulting from corporate loan growth and increased repo-style transaction activity.
Totalassets. Market risk-weighted assets under the Basel III Advanced Approaches decreasedincreased from year-end 2016,2019, primarily driven by substantially lower credit and operational risk-weighted assets.increases in market volatility due to the pandemic. The decrease in credit risk-weighted assets was primarily driven by decreases in commercial loans, seasonal holiday spending repayments and lesser spending due to annual updatesthe pandemic, decreases in notional for client cleared derivatives, excess of credit reserves not included in Tier 2 capital eligible for RWA reduction, and decreases in off-balance sheet exposures due to model parameters for wholesale exposures, a declinereduction 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 wascommitments, partially offset by an increaseincreases in repo-style transaction activity. Operational risk-weighted assets decreased from year-end 2016 primarily due to assessed improvements in the business environment and risk controls, as well as changes in operational loss severity and frequency.transactions.
Supplementary Leverage Ratio
Citigroup’s Supplementary Leverage ratio was 7.1% for the third quarter of 2017, compared to 7.2% for both the second quarter of 2017 and fourth quarter of 2016. The decline in the ratio quarter-over-quarter was principally driven by the return of $6.4 billion of capital to common shareholders and an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by quarterly net income of $4.1 billion. The ratio decreased from the fourth quarter of 2016, as year-to-date net income of $12.1 billion and beneficial net movements
in AOCI were more than offset by the return of $10.8 billion of capital to common shareholders and an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets.
The following table sets forth Citi’s Supplementary Leverage ratio and related components:
| | | | | | | | | | | |
| In millions of dollars, except ratios | June 30, 2020 | March 31, 2020 | December 31, 2019 |
| Tier 1 Capital | $ | 157,631 | | $ | 154,304 | | $ | 155,805 | |
| Total Leverage Exposure | | | |
On-balance sheet assets(1)(2)(3) | $ | 1,878,949 | | $ | 2,083,377 | | $ | 1,996,617 | |
Certain off-balance sheet exposures:(4) | | | |
| Potential future exposure on derivative contracts | 163,829 | | 169,296 | | 169,478 | |
Effective notional of sold credit derivatives, net(5) | 37,867 | | 38,910 | | 38,481 | |
Counterparty credit risk for repo-style transactions(6) | 20,641 | | 22,386 | | 23,715 | |
| Unconditionally cancellable commitments | 71,887 | | 71,472 | | 70,870 | |
| Other off-balance sheet exposures | 233,089 | | 239,326 | | 248,308 | |
| Total of certain off-balance sheet exposures | $ | 527,313 | | $ | 541,390 | | $ | 550,852 | |
| Less: Tier 1 Capital deductions | (38,684) | | (39,037) | | (39,578) | |
Total Leverage Exposure(3) | $ | 2,367,578 | | $ | 2,585,730 | | $ | 2,507,891 | |
| Supplementary Leverage ratio | 6.66 | % | 5.97 | % | 6.21 | % |
(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.
(3)Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excludes U.S. Treasuries and deposits at Federal Reserve Banks.
(4)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(5)Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(6)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
As set forth in the table above, Citigroup’s Supplementary Leverage ratio was 6.7% for the second quarter of 2020, compared to 6.0% for the first quarter of 2020, and 6.2% for the fourth quarter of 2019. The ratio increased from the first quarter of 2020 and the fourth quarter of 2019, primarily attributable to the 94 basis point benefit resulting from the Federal Reserve Board’s temporary Supplementary Leverage ratio relief, as discussed above.
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 capital components assumingand ratios:
| | | | | | | | | | | | | | | | | | | | | | | |
| | Advanced Approaches | | | Standardized Approach | | |
| In millions of dollars, except ratios | Effective Minimum Requirement(1) | June 30, 2020 | March 31, 2020 | December 31, 2019 | June 30, 2020 | March 31, 2020 | December 31, 2019 |
Common Equity Tier 1 Capital(2) | | $ | 137,476 | | $ | 134,835 | | $ | 130,720 | | $ | 137,476 | | $ | 134,835 | | $ | 130,720 | |
| Tier 1 Capital | | 139,560 | | 136,919 | | 132,847 | | 139,560 | | 136,919 | | 132,847 | |
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)(3) | | 155,799 | | 152,865 | | 145,918 | | 163,574 | | 161,629 | | 157,253 | |
Total Risk-Weighted Assets(4) | | 983,824 | | 1,008,781 | | 931,743 | | 998,456 | | 1,058,427 | | 1,019,266 | |
Credit Risk(2) | | $ | 696,411 | | $ | 722,376 | | $ | 664,139 | | $ | 950,208 | | $ | 1,010,662 | | $ | 989,669 | |
| Market Risk | | 47,931 | | 47,579 | | 29,167 | | 48,248 | | 47,765 | | 29,597 | |
| Operational Risk | | 239,482 | | 238,826 | | 238,437 | | — | | — | | — | |
Common Equity Tier 1 Capital ratio(5)(6) | 7.0 | % | 13.97 | % | 13.37 | % | 14.03 | % | 13.77 | % | 12.74 | % | 12.82 | % |
Tier 1 Capital ratio(5)(6) | 8.5 | | 14.19 | | 13.57 | | 14.26 | | 13.98 | | 12.94 | | 13.03 | |
Total Capital ratio(5)(6) | 10.5 | | 15.84 | | 15.15 | | 15.66 | | 16.38 | | 15.27 | | 15.43 | |
| | | | | | | | | | | | | | |
| In millions of dollars, except ratios | Effective Minimum Requirement | June 30, 2020 | March 31, 2020 | December 31, 2019 |
Quarterly Adjusted Average Total Assets(2)(7)(8) | | $ | 1,643,724 | | $ | 1,512,382 | | $ | 1,459,780 | |
Total Leverage Exposure(2)(7)(9) | | 2,105,285 | | 1,994,180 | | 1,951,630 | |
Tier 1 Leverage ratio(6) | 5.0 | % | 8.49 | % | 9.05 | % | 9.10 | % |
Supplementary Leverage ratio(6) | 6.0 | | 6.63 | | 6.87 | | 6.81 | |
(1)Citibank’s effective minimum risk-based capital requirements include the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citibank has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences, and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citibank is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the 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.
(4)Commencing with the quarter ended June 30, 2020, loans originated under the Paycheck Protection Program receive a 0% risk weight under the Advanced Approaches and Standardized Approach.
(5)Citibank’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework as of June 30, 2020 and March 31, 2020, and the Basel III Standardized Approach as of December 31, 2019, whereas Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach framework for all periods presented.
(6)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 2019 Annual Report on Form 10-K.
(7)Commencing with the quarter ended June 30, 2020, exposures pledged as collateral pursuant to a non-recourse loan that is provided as part of the Paycheck Protection Program Lending Facility are excluded from quarterly adjusted average total assets and Total Leverage Exposure.
(8)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(9)Supplementary Leverage ratio denominator. Citibank’s Total Leverage Exposure includes U.S. Treasuries and deposits at Federal Reserve Banks for all periods.
As indicated in the table above, Citibank’s capital ratios at June 30, 2020 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of June 30, 2020.
Impact of Changes on Citigroup and Citibank Capital Ratios
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), as of June 30, 2020. 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.
| | | | | | | | | | | | | | | | | | | | |
| Common Equity Tier 1 Capital ratio | | Tier 1 Capital ratio | | Total 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 Approaches | 0.8 | 1.0 | 0.8 | 1.1 | 0.8 | 1.3 |
| Standardized Approach | 0.8 | 1.0 | 0.8 | 1.1 | 0.8 | 1.4 |
| Citibank | | | | | | |
| Advanced Approaches | 1.0 | 1.4 | 1.0 | 1.4 | 1.0 | 1.6 |
| Standardized Approach | 1.0 | 1.4 | 1.0 | 1.4 | 1.0 | 1.6 |
| | | | | | | | | | | | | | |
| Tier 1 Leverage ratio | | Supplementary 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 |
| Citigroup | 0.4 | 0.3 | 0.4 | 0.3 |
| Citibank | 0.6 | 0.5 | 0.5 | 0.3 |
Citigroup Broker-Dealer Subsidiaries
At June 30, 2020, 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 $10.2 billion, which exceeded the minimum requirement by $6.2 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 $21.2 billion at June 30, 2020, 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, 2020.
Total Loss-Absorbing Capacity (TLAC)
The table below details Citi’s eligible external TLAC and long-term debt (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, 2020, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $31 billion surplus above its binding TLAC requirement of LTD as a percentage of Advanced Approaches risk-weighted assets.
| | | | | | | | |
| June 30, 2020 | |
| In billions of dollars, except ratios | External TLAC | LTD |
| Total eligible amount | $ | 304 | | $ | 140 | |
% of Advanced Approaches risk-
weighted assets | 25.2 | % | 11.6 | % |
Effective minimum requirement(1)(2) | 22.5 | % | 9.0 | % |
| Surplus amount | $ | 32 | | $ | 31 | |
% of Total Leverage Exposure(3) | 12.8 | % | 5.9 | % |
| Effective minimum requirement | 9.5 | % | 4.5 | % |
| Surplus amount | $ | 79 | | $ | 33 | |
(1) External TLAC includes Method 1 GSIB surcharge of 2.0%.
(2) LTD includes Method 2 GSIB surcharge of 3.0%.
(3) As discussed above, commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excludes U.S. Treasuries and deposits at Federal Reserve Banks.
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 2019 Annual Report on Form 10-K.
Capital Resources (Full Adoption of CECL, and Excluding Temporary Supplementary Leverage Ratio Relief for Citigroup)
The following tables set forth Citigroup’s and Citibank’s capital components and ratios reflecting the full implementationimpact of CECL, and excluding temporary Supplementary Leverage ratio relief for Citigroup, as of June 30, 2020:
| | | | | | | | | | | | | | |
| Citigroup | | Citibank | |
| Advanced Approaches | Standardized Approach | Advanced Approaches | Standardized Approach |
| Common Equity Tier 1 Capital ratio | 11.15 | % | 11.32 | % | 13.49 | % | 13.29 | % |
| Tier 1 Capital ratio | 12.65 | | 12.84 | | 13.70 | | 13.50 | |
| Total Capital ratio | 15.15 | | 16.13 | | 15.36 | | 15.92 | |
| | | | | | | | |
| Citigroup | Citibank |
| Tier 1 Leverage ratio | 6.84 | % | 8.19 | % |
Supplementary Leverage ratio(1) | 5.53 | | 6.39 | |
(1)Citigroup’s Supplementary Leverage ratio, as presented in the table above, reflects the full impact of CECL as well as the inclusion of U.S. Treasuries and deposits at Federal Reserve Banks in Total Leverage Exposure.
Stress Capital Buffer
In June 2020, the Federal Reserve Board communicated that Citi’s interim Stress Capital Buffer (SCB) requirement, which will be finalized by the end of August 2020, is 2.5%. Based on the interim SCB, beginning October 1, 2020, Citigroup will be required to maintain a 10.0% effective minimum Common Equity Tier 1 Capital ratio under the Standardized Approach, unchanged from Citigroup’s current effective minimum Common Equity Tier 1 Capital ratio under the Standardized Approach.
Citigroup’s SCB is based on the Federal Reserve Board’s March 2020 SCB final rule, which integrates the annual stress testing requirements with ongoing regulatory capital requirements. For Citigroup, the SCB rule replaces the fixed 2.5% Capital Conservation Buffer under the Standardized Approach, and equals the peak-to-trough Common Equity Tier 1 Capital ratio decline under the Supervisory Severely Adverse scenario used in the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST), plus four quarters of planned common stock dividends, subject to a floor of 2.5%. The fixed 2.5% Capital Conservation Buffer will continue to apply under the Advanced Approaches. SCB-based minimum capital requirements will be updated at least once per year as part of the CCAR process. Similar to the current Capital Conservation Buffer, a breach of the SCB will result in graduated limitations on capital distributions. For additional information regarding the SCB final rule, see “Capital Resources—Regulatory Capital Standards Developments—Stress Capital Buffer” in Citi’s First Quarter 2020 Form 10-Q. For additional information regarding CCAR and DFAST, see “Capital Resources—Current Regulatory Capital Standards—Stress Testing Component of Capital Planning” in Citi’s 2019 Annual Report on Form 10-K.
The SCB applies to Citigroup only. The regulatory capital framework applicable to Citibank, including the Capital Conservation Buffer, is unchanged by Citigroup’s SCB.
Capital Plan Resubmission and Related Limitations on Capital Distributions
In June 2020, the Federal Reserve Board determined that changes in financial markets and macroeconomic outlooks related to the COVID-19 pandemic could have a material effect on the risk profile and financial condition of each firm subject to its capital plan rule and, therefore, require updated capital plans. Accordingly, the Federal Reserve Board is requiring each firm, including Citi, to update and resubmit its capital plan within 45 days after the Federal Reserve Board provides updated scenarios. The Federal Reserve Board has indicated that it will provide updated scenarios between September 8, 2020 and September 30, 2020.
Requiring resubmission will generally prohibit each firm from making any capital distributions, unless otherwise approved by the Federal Reserve Board. Through the end of the third quarter of 2020, the Federal Reserve Board has authorized firms, including Citi, to pay common stock dividends that do not exceed an amount equal to the average of the firm’s net income for the four preceding calendar quarters, unless otherwise specified by the Federal Reserve Board, provided that the firm does not exceed the amount of common stock dividends paid in the second quarter of 2020. Additionally, through the end of the third quarter of 2020, the Federal Reserve Board has authorized firms to make share repurchases relating to issuances of common stock related to employee stock ownership plans, and to make scheduled payments on Additional Tier 1 Capital and Tier 2 Capital instruments. These limitations on capital distributions may be extended by the Federal Reserve Board.
On June 29, 2020, Citi announced that its planned capital actions include common dividends. Citi declared common dividends of $0.51 per share for the third quarter of 2020 on July 23, 2020, which would not be impacted by the Federal Reserve Board’s temporary limitations on capital distributions, as Citi’s average quarterly net income for the four preceding calendar quarters of $3.4 billion is more than sufficient under the four quarter average net income test.
The March 2020 SCB final rule provides that the Federal Reserve Board may, but is not required to, recalculate each firm’s SCB as a result of the capital plan resubmission.
Regulatory Capital Standards Developments
Targeted Revisions to the Credit Valuation Adjustment Framework
In July 2020, the Basel Committee on Banking Supervision (Basel Committee) issued a standard with targeted revisions to the credit valuation adjustment (CVA) risk framework, which was previously finalized in December 2017 and will become effective on January 1, 2023. The revisions align the revised CVA risk framework, in part, with the revised market risk capital framework that was finalized in January 2019. The Basel Committee also adjusted the overall calibration of capital requirements calculated under their CVA risk framework.
The U.S. agencies may consider revisions to the CVA risk framework under the U.S. Basel III rules forin the three months ended September 30, 2017 and December 31, 2016.future, based upon the revisions adopted by the Basel Committee.
Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)
|
| | | | | | |
| In millions of dollars, except ratios | September 30, 2017 | December 31, 2016 |
| Tier 1 Capital | $ | 172,849 |
| $ | 169,390 |
|
| Total Leverage Exposure (TLE) | | |
On-balance sheet assets(1) | $ | 1,892,292 |
| $ | 1,819,802 |
|
Certain off-balance sheet exposures:(2) | | |
| Potential future exposure on derivative contracts | 216,819 |
| 211,009 |
|
Effective notional of sold credit derivatives, net(3) | 68,569 |
| 64,366 |
|
Counterparty credit risk for repo-style transactions(4) | 25,513 |
| 22,002 |
|
| Unconditionally cancellable commitments | 67,945 |
| 66,663 |
|
| Other off-balance sheet exposures | 216,662 |
| 219,428 |
|
| Total of certain off-balance sheet exposures | $ | 595,508 |
| $ | 583,468 |
|
| Less: Tier 1 Capital deductions | 57,218 |
| 57,879 |
|
| Total Leverage Exposure | $ | 2,430,582 |
| $ | 2,345,391 |
|
| Supplementary Leverage ratio | 7.11 | % | 7.22 | % |
| |
(1) | Represents the daily average of on-balance sheet assets for the quarter. |
| |
(2) | Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter. |
| |
(3) | Under the U.S. Basel III rules, banking organizations are required to include in TLE the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met. |
| |
(4) | Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions. |
Citibank’s Supplementary Leverage ratio, assuming full implementation under the U.S. Basel III rules, was 6.7% for the third quarter of 2017, compared to 6.6% for both the second quarter of 2017 and fourth quarter of 2016. The growth in the ratio quarter-over-quarter and from year-end 2016 was principally driven by an increase in Tier 1 Capital attributable largely to net income, partially offset by cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup.
45
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 amounts | June 30,
2020 | December 31,
2019 |
| Total Citigroup stockholders’ equity | $ | 191,622 | | $ | 193,242 | |
| Less: Preferred stock | 17,980 | | 17,980 | |
| Common stockholders’ equity | $ | 173,642 | | $ | 175,262 | |
| Less: | | |
| Goodwill | 21,399 | | 22,126 | |
| Identifiable intangible assets (other than MSRs) | 4,106 | | 4,327 | |
| | |
| Tangible common equity (TCE) | $ | 148,137 | | $ | 148,809 | |
| Common shares outstanding (CSO) | 2,081.9 | | 2,114.1 | |
| Book value per share (common equity/CSO) | $ | 83.41 | | $ | 82.90 | |
| Tangible book value per share (TCE/CSO) | 71.15 | | 70.39 | |
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | | Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 |
| Net income available to common shareholders | $ | 1,063 | | $ | 4,503 | | $ | 3,294 | | $ | 8,951 | |
| Average common stockholders’ equity | 175,113 | | 178,257 | | 174,665 | | 177,814 | |
| Average TCE | 148,516 | | 152,193 | | 148,613 | | 151,821 | |
| Return on average common stockholders’ equity | 2.4 | % | 10.1 | % | 3.8 | | 10.2 | % |
Return on average TCE (RoTCE)(1) | 2.9 | | 11.9 | | 4.5 | | 11.9 | |
(1)RoTCE represents annualized net income available to common shareholders as a percentage of average TCE.
|
| | | | | | |
| In millions of dollars or shares, except per share amounts | September 30,
2017 | December 31,
2016 |
| Total Citigroup stockholders’ equity | $ | 227,634 |
| $ | 225,120 |
|
| Less: Preferred stock | 19,253 |
| 19,253 |
|
| Common stockholders’ equity | $ | 208,381 |
| $ | 205,867 |
|
| Less: | | |
| Goodwill | 22,345 |
| 21,659 |
|
| Identifiable intangible assets (other than MSRs) | 4,732 |
| 5,114 |
|
Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale | 48 |
| 72 |
|
| Tangible common equity (TCE) | $ | 181,256 |
| $ | 179,022 |
|
| Common shares outstanding (CSO) | 2,644.0 |
| 2,772.4 |
|
| Book value per share (common equity/CSO) | $ | 78.81 |
| $ | 74.26 |
|
| Tangible book value per share (TCE/CSO) | 68.55 |
| 64.57 |
|
|
| | | | | | | | | | | | |
| In millions of dollars | Three Months Ended September 30, 2017 | Three Months Ended September 30, 2016 | Nine Months Ended September 30, 2017 | Nine Months Ended September 30, 2016 |
| Net income available to common shareholders | $ | 3,861 |
| $ | 3,615 |
| $ | 11,202 |
| $ | 10,582 |
|
| Average common stockholders’ equity | $ | 209,764 |
| $ | 212,321 |
| $ | 208,787 |
| $ | 209,850 |
|
| Average TCE | $ | 182,333 |
| $ | 184,492 |
| $ | 181,271 |
| $ | 182,914 |
|
Less: Average net DTAs excluded from Common Equity Tier 1 Capital(1) | 28,085 |
| 27,921 |
| 28,522 |
| 28,954 |
|
Average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital | $ | 154,248 |
| $ | 156,571 |
| $ | 152,749 |
| $ | 153,960 |
|
| Return on average common stockholders’ equity | 7.3 | % | 6.8 | % | 7.2 | % | 6.7 | % |
Return on average TCE (ROTCE)(2) | 8.4 |
| 7.8 |
| 8.3 |
| 7.7 |
|
| Return on average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital | 9.9 |
| 9.2 |
| 9.8 |
| 9.2 |
|
| |
(1) | Represents average net DTAs excluded in arriving at Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules. |
| |
(2) | ROTCE represents annualized net income available to common shareholders as a percentage of average TCE. |
Managing Global Risk Table of Contents
|
| | | | | | | |
| MANAGING GLOBAL RISK | | |
|
CREDIT RISK(1) | | |
|
| Consumer Credit | | |
|
| Corporate Credit | | |
|
| Additional Consumer and Corporate Credit Details | | |
|
| Loans Outstanding | | |
|
| Details of Credit Loss Experience | | |
|
Allowance for LoanCredit Losses on Loans | | 60 |
61 |
| Non-Accrual Loans and Assets and Renegotiated Loans | | |
|
| LIQUIDITY RISK | | |
|
| High-Quality Liquid Assets (HQLA) | | |
|
LoansLiquidity Coverage Ratio (LCR) | | |
|
DepositsLoans | | 66 |
67 |
Long-Term DebtDeposits | | 67 |
|
| Long-Term Debt | | 68 | |
| Secured Funding Transactions and Short-Term Borrowings | | 6970 |
|
Liquidity Coverage Ratio (LCR) | | 69 |
|
| Credit Ratings | | 7071 |
|
MARKET RISK(1) | | |
|
| Market Risk of Non-Trading Portfolios | | |
|
| Market Risk of Trading Portfolios | | |
|
COUNTRYSTRATEGIC RISK | | |
Country Risk | | |
| Argentina | | |
| |
(1) | For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website. |
(1) For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.
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 20162019 Annual Report on Form 10-K.
CREDIT RISK
For additionalmore 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 20162019 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 dollars | 2Q’19 | 3Q’19 | 4Q’19 | 1Q’20 | 2Q’20 | |
| Retail banking: | | | | | | |
| Mortgages | $ | 81.9 | | $ | 83.0 | | $ | 85.1 | | $ | 83.3 | | $ | 85.6 | | |
| Personal, small business and other | 37.8 | | 37.6 | | 39.7 | | 36.9 | | 38.0 | | |
| Total retail banking | $ | 119.7 | | $ | 120.6 | | $ | 124.8 | | $ | 120.2 | | $ | 123.6 | | |
| Cards: | | | | | | |
| Citi-branded cards | $ | 115.5 | | $ | 115.8 | | $ | 122.2 | | $ | 110.2 | | $ | 103.6 | | |
| Citi retail services | 49.6 | | 50.0 | | 52.9 | | 48.9 | | 45.4 | | |
| Total cards | $ | 165.1 | | $ | 165.8 | | $ | 175.1 | | $ | 159.1 | | $ | 149.0 | | |
Total GCB | $ | 284.8 | | $ | 286.4 | | $ | 299.9 | | $ | 279.3 | | $ | 272.6 | | |
GCB regional distribution: | | | | | | |
| North America | 66 | % | 66 | % | 66 | % | 67 | % | 66 | % | |
| Latin America | 6 | | 6 | | 6 | | 5 | | 5 | | |
Asia(2) | 28 | | 28 | | 28 | | 28 | | 29 | | |
Total GCB | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % | |
Corporate/Other(3) | $ | 11.7 | | $ | 11.0 | | $ | 9.6 | | $ | 9.1 | | $ | 8.5 | | |
| Total consumer loans | $ | 296.5 | | $ | 297.4 | | $ | 309.5 | | $ | 288.4 | | $ | 281.1 | | |
(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.
|
| | | | | | | | | | | | | | | |
| In billions of dollars | 3Q’17 | 2Q’17 | 1Q’17 | 4Q’16 | 3Q’16 |
| Retail banking: | | | | | |
| Mortgages | $ | 81.4 |
| $ | 81.4 |
| $ | 81.2 |
| $ | 79.4 |
| $ | 81.4 |
|
| Commercial banking | 35.5 |
| 34.8 |
| 33.9 |
| 32.0 |
| 33.2 |
|
| Personal and other | 27.3 |
| 27.2 |
| 26.3 |
| 24.9 |
| 27.0 |
|
| Total retail banking | $ | 144.2 |
| $ | 143.4 |
| $ | 141.4 |
| $ | 136.3 |
| $ | 141.6 |
|
| Cards: | | | | | |
| Citi-branded cards | $ | 110.7 |
| $ | 109.9 |
| $ | 105.7 |
| $ | 108.3 |
| $ | 103.9 |
|
| Citi retail services | 45.9 |
| 45.2 |
| 44.2 |
| 47.3 |
| 43.9 |
|
| Total cards | $ | 156.6 |
| $ | 155.1 |
| $ | 149.9 |
| $ | 155.6 |
| $ | 147.8 |
|
Total GCB | $ | 300.8 |
| $ | 298.5 |
| $ | 291.3 |
| $ | 291.9 |
| $ | 289.4 |
|
GCB regional distribution: | | | | | |
| North America | 62 | % | 62 | % | 62 | % | 64 | % | 62 | % |
| Latin America | 9 |
| 9 |
| 9 |
| 8 |
| 8 |
|
Asia(2) | 29 |
| 29 |
| 29 |
| 28 |
| 30 |
|
Total GCB | 100 | % | 100 | % | 100 | % | 100 | % | 100 | % |
Corporate/Other(3) | $ | 24.8 |
| $ | 26.8 |
| $ | 29.3 |
| $ | 33.2 |
| $ | 39.0 |
|
| Total consumer loans | $ | 325.6 |
| $ | 325.3 |
| $ | 320.6 |
| $ | 325.1 |
| $ | 328.4 |
|
| |
(1) | End-of-period loans include interest and fees on credit cards. |
| |
(2) | Asia includes loans and leases in certain EMEA countries for all periods presented.
|
| |
(3) | Primarily consists of legacy assets, principally North America consumer mortgages.
|
For information on changes to Citi’s end-of-period consumer loans, see “Liquidity Risk—Loans” below.
Overall Consumer Credit Trends
GCB did not experience a significant net credit loss impact from the COVID-19 pandemic during the second quarter of 2020. Net credit loss rates were adversely impacted by lower loan balances primarily in credit cards, attributable to lower customer spending. The 90+ days past due delinquency rate declined sequentially despite the lower balances, as reduced spending, combined with the benefit of significant government stimulus and assistance packages as well as Citi’s consumer relief programs, generated liquidity that was used to make payments, particularly in North America. In addition, as discussed above, loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus would not be reported as 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer)
Citi expects that 90+ days past due delinquency and net credit loss rates in North America GCB, Latin America GCB and Asia GCB will be adversely impacted by the evolving macroeconomic and market conditions, including the severity and duration of the impact from the pandemic as these government stimulus and consumer relief programs expire.
For additional information about trends, uncertainties and risks related to the pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above.
The following charts show the quarterly trends in delinquenciesdelinquency rates (90+ days past due (90+ DPD) rate) and the net credit lossesloss (NCL) rates across both retail banking, including commercial banking and cards for total GCB and by region.
| |
(1) | Asia includes GCB activities in certain EMEA countries for all periods presented.
|
North America GCBprovides mortgages,mortgage, home equity, loans,small business and personal loans and commercial banking products through Citi’s retail banking network and card products through Citi-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, 2017,2020, approximately 70%71% 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 net credit loss rate in North America GCB increased quarter-over-quarter, primarily driven by lower average loans in both cards portfolios, while the 90+ days past due delinquencies increased slightly, primarily due to seasonality indelinquency rate decreased quarter-over-quarter, driven by the cards portfolios. Thelower spending as well as the government stimulus and relief programs described above.
Year-over-year, the net credit loss rate increased, quarter-over-quarter, primarily due to episodic charge-offsdriven by lower average loans and the seasoning of more recent vintages in Citi-branded cards. The increase in the commercial portfolio, which were offset90+ days past due delinquency rate was mainly driven by related loan loss reserve releases.lower end-of-period (EOP) loans.
Latin America GCBoperates in Mexico through
Citibanamex, one of Mexico’s largest banks, and provides
credit cards, consumer mortgages and small business and personal loans and commercial banking products. loans. Latin America GCBserves a more mass marketmass-market segment in Mexico and focuses on developing multi-product relationships with customers.
As set forthshown 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 decreased quarter-over-quarter due to seasonality, partially offset by lower average loans. The 90+ days past due delinquency rate increased, as the pandemic significantly impacted the economy in Mexico and customers did not benefit from a similar level of government stimulus as the third quarter of 2017. other regions.
The increase in the net credit loss rate decreased year-over-year, primarily reflected seasoning. Thedue to growth in recent vintages for cards as well as a slower pace of acquisitions in the retail portfolios during 2019, while the 90+ days past due delinquency rate increased, due to lower EOP loans and net credit loss rates remained stable quarter-over-quarter.the pandemic-related impact described above.
(1)Asia includes GCB activities in certain EMEA countries for all periods presented.
Asia GCBoperates in 17 countries in Asiaand EMEA
and provides credit cards, consumer mortgages and small business and personal loans and commercial banking products.loans.
As shown in the chart above, quarter-over-quarter, the net credit loss rate and 90+ days past due delinquency andrate in Asia GCB increased, driven by the impact of the macroeconomic slowdown from the pandemic as the region was the first to be affected by the pandemic.
Year-over-year, the net credit loss rates were largely stable in rate and the 90+ days past due delinquency rate increased due to the pandemic-related macroeconomic impact.
The performance of Asia GCB year-over-year and quarter-over-quarter as of the third quarter of 2017. This stability’s portfolios reflects the strong credit profiles in Asia GCB’sthe region’s target customer segments. In addition, regulatoryRegulatory changes in many markets in Asia over the past few years have resulted in stable oralso 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.
|
| |
| North America Citi-Branded Cards |
North America GCB’s Citi-branded cards portfolio issuesproprietary and co-branded cards. As shown in the chart above, the net credit loss rate in North America Citi-branded cards increased quarter-over-quarter, primarily driven by lower average loans due to lower spending, while the 90+ days past due delinquency rate in Citi-branded cards was stable year-over-yeardecreased, driven by the lower spending and quarter-over-quarter. the impact of the government stimulus and relief programs described above.
The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, primarily due to the impact of the Costco portfolio acquisition and seasoning and decreased quarter-over-quarter mostly due to seasonality.lower average and EOP loans.
|
| |
| North America Citi Retail Services |
Citi retail services partners directly with more than 20 retailers and dealers to offer private-labelprivate label and co-branded consumer and commercial cards. Citi retail services’ target market is focusedfocuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.
Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
Citi retail services’ delinquency andAs shown in the chart above, the net credit loss ratesrate increased quarter-over-quarter, primarily driven by lower average loans, while the 90+ days past due delinquency rate decreased, driven by lower spending as well as the impact of the government stimulus and relief programs described above.
The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, primarily due to seasoninglower average and softnessEOP loans.
| | |
| Latin America Citi-Branded Cards |
Latin America GCB issues proprietary and co-brandedcards. As shown in the collections rates experienced once an account reaches mid-stage delinquency. chart above, the net credit loss rate in Latin America Citi-branded cards increased quarter-over-quarter, primarily due to lower average loans, and the 90+ days past due delinquency rate increased, due to lower EOP loans as well as the significant impact the pandemic had on the economy in Mexico, as customers did not benefit from a similar level of government stimulus as other regions.
The net credit loss rate decreased quarter-over-quarteryear-over-year, primarily due to seasonality, whilegrowth in recent vintages, and the 90+ days past due delinquency rate increase quarter-over-quarter was driven by seasonalityincreased year-over-year, primarily due to lower EOP loans and softening in collections.the pandemic-related impact described above.
|
| |
Latin AmericaAsia Citi-Branded Cards(1) |
Latin America(1)Asia includes loans and leases in certain EMEA countries for all periods presented.
Asia GCBissues proprietary and co-branded cards. As set forth in the chart above, the net credit loss rate and the 90+ days past due delinquency rate increased year-over-year andin Asia Citi-branded cards quarter-over-quarter, primarily due to seasoning.the macroeconomic slowdown related to the pandemic, which has started to impact credit ratios in Asia, the first region to be affected by the pandemic. The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, also driven by seasoning, while the decrease quarter-over-quarter wasmainly due to seasonality.the macroeconomic slowdown related to the pandemic.
|
|
Asia Citi-Branded Cards(1)
|
| |
(1) | Asia includes loans and leases in certain EMEA countries for all periods presented.
|
Asia GCB issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency and net credit loss rates have remained broadly stable, driven by the mature and well-diversified cards portfolios.
For additional information on cost of credit, delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.
North America Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s North America Citi-branded cards and Citi retail services portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.
|
| | | | |
| | |
| FICO distribution | September 30, 2017 | December 31, 2016 |
| > 720 | 62 | % | 64 | % |
| 660 - 720 | 27 |
| 26 |
|
| 620 - 660 | 7 |
| 6 |
|
| < 620 | 4 |
| 4 |
|
| Total | 100 | % | 100 | % |
| | | | | | | | | | | |
FICO distribution(1) | June 30, 2020 | March 31, 2020 | June 30, 2019 |
| > 760 | 41 | % | 39 | % | 42 | % |
| 680–760 | 41 | | 42 | | 41 | |
| < 680 | 18 | | 19 | | 17 | |
| Total | 100 | % | 100 | % | 100 | % |
|
| | | | |
| | |
| FICO distribution | September 30, 2017 | December 31, 2016 |
| > 720 | 41 | % | 42 | % |
| 660 - 720 | 35 |
| 35 |
|
| 620 - 660 | 13 |
| 13 |
|
| < 620 | 11 |
| 10 |
|
| Total | 100 | % | 100 | % |
| | | | | | | | | | | |
FICO distribution(1) | June 30, 2020 | March 31, 2020 | June 30, 2019 |
| > 760 | 24 | % | 23 | % | 24 | % |
| 680–760 | 43 | | 42 | | 43 | |
| < 680 | 33 | | 35 | | 33 | |
| Total | 100 | % | 100 | % | 100 | % |
As indicated by(1) The FICO bands in the tables above, theare consistent with general industry peer presentations.
The 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, as well as a benefit from the impact of the government stimulus and relief programs described above and lower credit utilization due to reduced customer spending. 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 dollars | 3Q’17 | 2Q’17 | 1Q’17 | 4Q’16 | 3Q’16 |
GCB: | | | | | |
| Residential firsts | $ | 40.1 |
| $ | 40.2 |
| $ | 40.3 |
| $ | 40.2 |
| $ | 40.1 |
|
| Home equity | 4.1 |
| 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 equity | 11.5 |
| 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
|
Note: 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.
51
Additional Consumer Credit Details
Consumer Loan DelinquencyDelinquencies Amounts and Ratios(1)
| | | | | | | | | | | | | | | | | | | | | | | |
| | EOP loans(2) | 90+ days past due(3) | | | 30–89 days past due(3) | | |
In millions of dollars,
except EOP loan amounts in billions | June 30,
2020 | June 30,
2020 | March 31,
2020 | June 30,
2019 | June 30,
2020 | March 31,
2020 | June 30,
2019 |
Global Consumer Banking(4)(5) | | | | | | | |
| Total | $ | 272.6 | | $ | 2,466 | | $ | 2,603 | | $ | 2,426 | | $ | 2,503 | | $ | 2,870 | | $ | 2,783 | |
| Ratio | | 0.91 | % | 0.93 | % | 0.85 | % | 0.92 | % | 1.03 | % | 0.98 | % |
| Retail banking | | | | | | | |
| Total | $ | 123.6 | | $ | 497 | | $ | 429 | | $ | 416 | | $ | 918 | | $ | 794 | | $ | 831 | |
| Ratio | | 0.40 | % | 0.36 | % | 0.35 | % | 0.75 | % | 0.66 | % | 0.70 | % |
| North America | 53.1 | | 182 | | 161 | | 133 | | 440 | | 298 | | 341 | |
| Ratio | | 0.35 | % | 0.32 | % | 0.28 | % | 0.84 | % | 0.59 | % | 0.72 | % |
| Latin America | 9.0 | | 121 | | 90 | | 108 | | 151 | | 140 | | 191 | |
| Ratio | | 1.34 | % | 0.98 | % | 0.95 | % | 1.68 | % | 1.52 | % | 1.68 | % |
Asia(6) | 61.5 | | 194 | | 178 | | 175 | | 327 | | 356 | | 299 | |
| Ratio | | 0.32 | % | 0.30 | % | 0.29 | % | 0.53 | % | 0.59 | % | 0.50 | % |
| Cards | | | | | | | |
| Total | $ | 149.0 | | $ | 1,969 | | $ | 2,174 | | $ | 2,010 | | $ | 1,585 | | $ | 2,076 | | $ | 1,952 | |
| Ratio | | 1.32 | % | 1.37 | % | 1.22 | % | 1.06 | % | 1.30 | % | 1.18 | % |
North America—Citi-branded | 82.6 | | 784 | | 891 | | 799 | | 594 | | 770 | | 705 | |
| Ratio | | 0.95 | % | 1.01 | % | 0.88 | % | 0.72 | % | 0.87 | % | 0.78 | % |
North America—Citi retail services | 45.4 | | 811 | | 958 | | 840 | | 611 | | 903 | | 831 | |
| Ratio | | 1.79 | % | 1.96 | % | 1.69 | % | 1.35 | % | 1.85 | % | 1.68 | % |
| Latin America | 4.2 | | 160 | | 121 | | 169 | | 111 | | 132 | | 159 | |
| Ratio | | 3.81 | % | 2.69 | % | 2.96 | % | 2.64 | % | 2.93 | % | 2.79 | % |
Asia(6) | 16.8 | | 214 | | 204 | | 202 | | 269 | | 271 | | 257 | |
| Ratio | | 1.27 | % | 1.18 | % | 1.05 | % | 1.60 | % | 1.57 | % | 1.34 | % |
Corporate/Other—Consumer(7) | | | | | | | |
| Total | $ | 8.5 | | $ | 295 | | $ | 281 | | $ | 327 | | $ | 261 | | $ | 252 | | $ | 334 | |
| Ratio | | 3.60 | % | 3.23 | % | 2.97 | % | 3.18 | % | 2.90 | % | 3.04 | % |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| Total Citigroup | $ | 281.1 | | $ | 2,761 | | $ | 2,884 | | $ | 2,753 | | $ | 2,764 | | $ | 3,122 | | $ | 3,117 | |
| Ratio | | 0.99 | % | 1.00 | % | 0.93 | % | 0.99 | % | 1.09 | % | 1.06 | % |
(1)As discussed above, loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus almost all would not be reported as 30-89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer).
(2)End-of-period (EOP) loans include interest and fees on credit cards.
(3)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(4)The 90+ days past due balances for North America—Citi-brandedand North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(5)The 90+ days past due and 30–89 days past due and related ratios for North America GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $130 million ($0.5 billion), $124 million ($0.5 billion) and $162 million ($0.6 billion) as of June 30, 2020, March 31, 2020 and June 30, 2019, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $86 million ($0.5 billion), $64 million ($0.5 billion) and $89 million ($0.6 billion) as of June 30, 2020, December 31, 2019 and June 30, 2019, respectively.
(6)Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(7)The loans 90+ days past due and related ratios exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) for each period were $173 million ($0.4 billion), $167 million ($0.4 billion) and $273 million ($0.7 billion) as of June 30, 2020, March 31, 2020 and June 30, 2019, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $57 million ($0.4 billion), $58 million ($0.4 billion) and $124 million ($0.7 billion) as of June 30, 2020 and June 30, 2019, respectively.
|
| | | | | | | | | | | | | | | | | | | | | |
| | 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 |
Global Consumer Banking(3)(4) | | | | | | | |
| Total | $ | 300.8 |
| $ | 2,279 |
| $ | 2,183 |
| $ | 2,166 |
| $ | 2,763 |
| $ | 2,498 |
| $ | 2,553 |
|
| Ratio | | 0.76 | % | 0.73 | % | 0.75 | % | 0.92 | % | 0.84 | % | 0.88 | % |
| Retail banking | | | | | | | |
| Total | $ | 144.2 |
| $ | 489 |
| $ | 477 |
| $ | 579 |
| $ | 805 |
| $ | 747 |
| $ | 722 |
|
| Ratio | | 0.34 | % | 0.33 | % | 0.41 | % | 0.56 | % | 0.52 | % | 0.51 | % |
| North America | 55.7 |
| 167 |
| 155 |
| 256 |
| 270 |
| 191 |
| 198 |
|
| Ratio | | 0.30 | % | 0.28 | % | 0.47 | % | 0.49 | % | 0.35 | % | 0.37 | % |
| Latin America | 21.0 |
| 151 |
| 150 |
| 160 |
| 244 |
| 216 |
| 196 |
|
| Ratio | | 0.72 | % | 0.71 | % | 0.86 | % | 1.16 | % | 1.03 | % | 1.05 | % |
Asia(5) | 67.5 |
| 171 |
| 172 |
| 163 |
| 291 |
| 340 |
| 328 |
|
| Ratio | | 0.25 | % | 0.26 | % | 0.24 | % | 0.43 | % | 0.51 | % | 0.48 | % |
| Cards | | | | | | | |
| Total | $ | 156.6 |
| $ | 1,790 |
| $ | 1,706 |
| $ | 1,587 |
| $ | 1,958 |
| $ | 1,751 |
| $ | 1,831 |
|
| Ratio | | 1.14 | % | 1.10 | % | 1.07 | % | 1.25 | % | 1.13 | % | 1.24 | % |
| North America—Citi-branded | 86.3 |
| 668 |
| 659 |
| 607 |
| 705 |
| 619 |
| 710 |
|
| Ratio | | 0.77 | % | 0.77 | % | 0.75 | % | 0.82 | % | 0.72 | % | 0.87 | % |
| North America—Citi retail services | 45.9 |
| 772 |
| 693 |
| 664 |
| 836 |
| 730 |
| 750 |
|
| Ratio | | 1.68 | % | 1.53 | % | 1.51 | % | 1.82 | % | 1.62 | % | 1.71 | % |
| Latin America | 5.6 |
| 159 |
| 161 |
| 131 |
| 163 |
| 151 |
| 131 |
|
| Ratio | | 2.84 | % | 2.93 | % | 2.67 | % | 2.91 | % | 2.75 | % | 2.67 | % |
Asia(5) | 18.8 |
| 191 |
| 193 |
| 185 |
| 254 |
| 251 |
| 240 |
|
| Ratio | | 1.02 | % | 1.03 | % | 1.05 | % | 1.35 | % | 1.34 | % | 1.36 | % |
Corporate/Other—Consumer(6)(7) | | | | | | | |
| Total | $ | 24.8 |
| $ | 605 |
| $ | 601 |
| $ | 857 |
| $ | 643 |
| $ | 554 |
| $ | 849 |
|
| Ratio | | 2.57 | % | 2.37 | % | 2.29 | % | 2.74 | % | 2.18 | % | 2.27 | % |
| International | 1.7 |
| 57 |
| 63 |
| 164 |
| 47 |
| 44 |
| 135 |
|
| Ratio | | 3.35 | % | 3.50 | % | 2.98 | % | 2.76 | % | 2.44 | % | 2.45 | % |
| North America | 23.1 |
| 548 |
| 538 |
| 693 |
| 596 |
| 510 |
| 714 |
|
| Ratio | | 2.51 | % | 2.28 | % | 2.17 | % | 2.73 | % | 2.16 | % | 2.24 | % |
| Total Citigroup | $ | 325.6 |
| $ | 2,884 |
| $ | 2,784 |
| $ | 3,023 |
| $ | 3,406 |
| $ | 3,052 |
| $ | 3,402 |
|
| Ratio | | 0.89 | % | 0.86 | % | 0.93 | % | 1.05 | % | 0.94 | % | 1.04 | % |
| |
(1) | End-of-period (EOP) loans include interest and fees on credit cards. |
| |
(2) | The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income. |
| |
(3) | The 90+ days past due balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
|
| |
(4) | The 90+ days past due and 30–89 days past due and related ratios for GCB North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $289 million ($0.7 billion), $295 million ($0.8 billion) and $305 million ($0.7 billion) at September 30, 2017, June 30, 2017, and September 30, 2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $79 million, $84 million and $58 million at September 30, 2017, June 30, 2017 and September 30, 2016, respectively.
|
| |
(5) | Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
|
| |
(6) | The 90+ days past due and 30–89 days past due and related ratios for Corporate/Other—North America consumer exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due (and EOP loans) were $0.7 billion ($1.2 billion), $0.7 billion ($1.3 billion) and $1.0 billion ($1.5 billion) at September 30, 2017, June 30, 2017 and September 30, 2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.1 billion, $0.2 billion and $0.1 billion at September 30, 2017, June 30, 2017 and September 30, 2016, 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) | | |
| In millions of dollars, except average loan amounts in billions | 2Q20 | 2Q20 | 1Q20 | 2Q19 |
| Global Consumer Banking | | | | |
| Total | $ | 271.5 | | $ | 1,887 | | $ | 1,983 | | $ | 1,870 | |
| Ratio | | 2.80 | % | 2.75 | % | 2.68 | % |
| Retail banking | | | | |
| Total | $ | 121.8 | | $ | 204 | | $ | 235 | | $ | 225 | |
| Ratio | | 0.67 | % | 0.77 | % | 0.76 | % |
| North America | 52.2 | | 33 | | 37 | | 40 | |
| Ratio | | 0.25 | % | 0.29 | % | 0.34 | % |
| Latin America | 9.1 | | 94 | | 130 | | 123 | |
| Ratio | | 4.15 | % | 4.71 | % | 4.29 | % |
Asia(3) | 60.5 | | 77 | | 68 | | 62 | |
| Ratio | | 0.51 | % | 0.44 | % | 0.42 | % |
| Cards | | | | |
| Total | $ | 149.7 | | $ | 1,683 | | $ | 1,748 | | $ | 1,645 | |
| Ratio | | 4.52 | % | 4.20 | % | 4.07 | % |
North America—Citi-branded | 82.6 | | 795 | | 795 | | 723 | |
| Ratio | | 3.87 | % | 3.46 | % | 3.28 | % |
North America—Citi retail services | 46.2 | | 656 | | 694 | | 654 | |
| Ratio | | 5.71 | % | 5.53 | % | 5.34 | % |
| Latin America | 4.3 | | 115 | | 147 | | 156 | |
| Ratio | | 10.76 | % | 10.56 | % | 11.17 | % |
Asia(3) | 16.6 | | 117 | | 112 | | 112 | |
| Ratio | | 2.83 | % | 2.40 | % | 2.38 | % |
Corporate/Other—Consumer | | | | |
| Total | $ | 8.9 | | $ | (5) | | $ | (2) | | $ | 4 | |
| Ratio | | (0.23) | % | (0.09) | % | 0.13 | % |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Total Citigroup | $ | 280.4 | | $ | 1,882 | | $ | 1,981 | | $ | 1,874 | |
| Ratio | | 2.70 | % | 2.66 | % | 2.57 | % |
(1)Average loans include interest and fees on credit cards.
(2)The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3)Asia includes NCLs and average loans in certain EMEA countries for all periods presented.
|
| | | | | | | | | | | | |
| | Average loans(1) | Net credit losses(2)(3) |
| In millions of dollars, except average loan amounts in billions | 3Q17 | 3Q17 | 2Q17 | 3Q16 |
| Global Consumer Banking | | | | |
| Total | $ | 299.7 |
| $ | 1,704 |
| $ | 1,615 |
| $ | 1,349 |
|
| Ratio | | 2.26 | % | 2.20 | % | 1.87 | % |
| Retail banking | | | | |
| Total | $ | 144.3 |
| $ | 300 |
| $ | 244 |
| $ | 257 |
|
| Ratio | | 0.82 | % | 0.69 | % | 0.72 | % |
| North America | 55.7 |
| 88 |
| 39 |
| 52 |
|
| Ratio | | 0.63 | % | 0.28 | % | 0.38 | % |
| Latin America | 21.2 |
| 143 |
| 151 |
| 132 |
|
| Ratio | | 2.68 | % | 3.00 | % | 2.75 | % |
Asia(4) | 67.4 |
| 69 |
| 54 |
| 73 |
|
| Ratio | | 0.41 | % | 0.33 | % | 0.43 | % |
| Cards | | | | |
| Total | $ | 155.4 |
| $ | 1,404 |
| $ | 1,371 |
| $ | 1,092 |
|
| Ratio | | 3.58 | % | 3.63 | % | 2.99 | % |
| North America—Citi-branded | 85.4 |
| 611 |
| 611 |
| 448 |
|
| Ratio | | 2.84 | % | 2.94 | % | 2.25 | % |
| North America—Retail services | 45.6 |
| 540 |
| 531 |
| 427 |
|
| Ratio | | 4.70 | % | 4.79 | % | 3.90 | % |
| Latin America | 5.6 |
| 152 |
| 126 |
| 122 |
|
| Ratio | | 10.77 | % | 9.54 | % | 9.52 | % |
Asia(4) | 18.8 |
| 101 |
| 103 |
| 95 |
|
| Ratio | | 2.13 | % | 2.25 | % | 2.15 | % |
Corporate/Other—Consumer(3) | | | | |
| Total | $ | 25.8 |
| $ | 52 |
| $ | 18 |
| $ | 134 |
|
| Ratio | | 0.80 | % | 0.26 | % | 1.31 | % |
| International | 1.9 |
| 25 |
| 24 |
| 82 |
|
| Ratio | | 5.22 | % | 5.07 | % | 6.04 | % |
| North America | 23.9 |
| 27 |
| (6 | ) | 52 |
|
| Ratio | | 0.45 | % | (0.09 | )% | 0.58 | % |
Other(5) | 0.1 |
| (22 | ) | — |
| — |
|
| Total Citigroup | $ | 325.6 |
| $ | 1,734 |
| $ | 1,633 |
| $ | 1,483 |
|
| Ratio | | 2.11 | % | 2.04 | % | 1.80 | % |
53
| |
(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,
Overall Corporate Credit Trends
For information about Citi’s corporate clients are typically large, multi-national corporations that valuecredit trends, uncertainties and risks related to the COVID-19 pandemic, see “COVID-19 Pandemic Overview” and “Risk Factors” above. For additional information on CECL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements. For additional information on Citi’s global network. Citi aimscorporate loan portfolios, see Note 13 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.the Consolidated Financial Statements.
Corporate Credit Portfolio
The following table sets forthdetails Citi’s corporate credit portfolio within ICG (excluding certain loans in the private bank)bank, which are managed on a delinquency basis), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | June 30, 2020 | | | | March 31, 2020 | | | | December 31, 2019 | | | |
| In billions of dollars | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure |
Direct outstandings (on-balance sheet)(1) | $ | 184 | | $ | 156 | | $ | 24 | | $ | 364 | | $ | 195 | | $ | 175 | | $ | 24 | | $ | 394 | | $ | 184 | | $ | 142 | | $ | 25 | | $ | 351 | |
Unfunded lending commitments (off-balance sheet)(2) | 157 | | 250 | | 13 | | 420 | | 152 | | 231 | | 11 | | 394 | | 161 | | 266 | | 17 | | 444 | |
| Total exposure | $ | 341 | | $ | 406 | | $ | 37 | | $ | 784 | | $ | 347 | | $ | 406 | | $ | 35 | | $ | 788 | | $ | 345 | | $ | 408 | | $ | 42 | | $ | 795 | |
(1) Includes drawn loans, overdrafts, bankers’ acceptances and leases.
(2) Includes unused commitments to lend, letters of credit and financial guarantees.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | At September 30, 2017 | At June 30, 2017 | At December 31, 2016 |
| In billions of dollars | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure | Due
within
1 year | Greater
than 1 year
but within
5 years | Greater
than
5 years | Total
exposure | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure |
Direct outstandings (on-balance sheet)(1) | $ | 124 |
| $ | 96 |
| $ | 23 |
| $ | 243 |
| $ | 122 |
| $ | 94 |
| $ | 23 |
| $ | 239 |
| $ | 109 |
| $ | 94 |
| $ | 22 |
| $ | 225 |
|
Unfunded lending commitments (off-balance sheet)(2) | 104 |
| 219 |
| 20 |
| $ | 343 |
| 103 |
| 222 |
| 22 |
| 347 |
| 103 |
| 218 |
| 23 |
| 344 |
|
| Total exposure | $ | 228 |
| $ | 315 |
| $ | 43 |
| $ | 586 |
| $ | 225 |
| $ | 316 |
| $ | 45 |
| $ | 586 |
| $ | 212 |
| $ | 312 |
| $ | 45 |
| $ | 569 |
|
| |
(1) | Includes drawn loans, overdrafts, bankers’ acceptances and leases. |
| |
(2) | Includes unused commitments to lend, letters of credit and financial guarantees. |
Portfolio Mix—Geography Counterparty and IndustryCounterparty
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region (excluding the delinquency-managed private bank portfolio) based on Citi’s internal management geography:
| | | | | | | | | | | |
| June 30,
2020 | March 31,
2020 | December 31,
2019 |
| North America | 58 | % | 57 | % | 57 | % |
| EMEA | 24 | | 25 | | 24 | |
| Asia | 12 | | 12 | | 12 | |
| Latin America | 6 | | 6 | | 7 | |
| Total | 100 | % | 100 | % | 100 | % |
|
| | | | | | |
| | September 30,
2017 | June 30,
2017 | December 31,
2016 |
| North America | 55 | % | 55 | % | 55 | % |
| EMEA | 26 |
| 26 |
| 26 |
|
| Asia | 12 |
| 12 |
| 12 |
|
| Latin America | 7 |
| 7 |
| 7 |
|
| Total | 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-defaultloss given default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are
considered investment grade, while those below are considered non-investment grade.
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 (excluding the delinquency-managed private bank portfolio) by facility risk rating as a percentage of the total corporate credit portfolio:
| | | | | | | | | | | |
| | Total exposure | | |
| | June 30,
2020 | March 31,
2020 | December 31,
2019 |
| AAA/AA/A | 49 | % | 48 | % | 50 | % |
| BBB | 31 | | 33 | | 33 | |
| BB/B | 16 | | 17 | | 15 | |
| CCC or below | 4 | | 2 | | 2 | |
| Total | 100 | % | 100 | % | 100 | % |
|
| | | | | | |
| | Total exposure |
| | September 30,
2017 | June 30,
2017 | December 31,
2016 |
| AAA/AA/A | 49 | % | 49 | % | 48 | % |
| BBB | 34 |
| 34 |
| 34 |
|
| BB/B | 16 |
| 16 |
| 16 |
|
| CCC or below | 1 |
| 1 |
| 2 |
|
| Total | 100 | % | 100 | % | 100 | % |
Note: Total exposure includes direct outstandings and unfunded lending commitments.
In addition to the counterparty and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard or doubtful.
Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment. This includes but is not limited to exposures in those sectors significantly impacted by the pandemic (including energy and energy-related, aviation, consumer retail, commercial real estate and autos).
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of June 30, 2020. During the course of the second quarter of 2020, and since the onset of the COVID-19 pandemic, Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As exposures are downgraded, the probability of default increases. Downgrades of exposures tend to result in a higher provision for credit losses. Additionally, downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in seeking to reduce exposure to an obligor or an industry sector. Citigroup will continue to review exposures to ensure the appropriate probability of default is incorporated into all risk assessments.
For additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.
Portfolio Mix—Industry
Citi’s corporate credit portfolio is also diversified by industry. The following table showsdetails the allocation of Citi’s total corporate credit portfolio by industry:industry (excluding the delinquency-managed private bank portfolio):
| | | | | | | | | | | |
| | Total exposure | | |
| | June 30,
2020 | March 31,
2020 | December 31,
2019 |
| Transportation and industrials | 19 | % | 19 | % | 19 | % |
| Private bank | 13 | | 13 | | 13 | |
| Consumer retail | 11 | | 11 | | 10 | |
| Health | 4 | | 4 | | 4 | |
| Technology, media and telecom | 10 | | 10 | | 11 | |
| Power, chemicals, metals and mining | 8 | | 9 | | 9 | |
| Banks and finance companies | 7 | | 8 | | 7 | |
| Securities firms | — | | — | | — | |
| Real estate | 8 | | 7 | | 7 | |
| Energy and commodities | 7 | | 7 | | 7 | |
| Public sector | 3 | | 3 | | 3 | |
| Insurance | 3 | | 3 | | 3 | |
| Asset managers and funds | 3 | | 3 | | 3 | |
| Financial markets infrastructure | 2 | | 2 | | 2 | |
| Other industries | 2 | | 1 | | 2 | |
| Total | 100 | % | 100 | % | 100 | % |
|
| | | | | | |
| | Total exposure |
| | September 30,
2017 | June 30,
2017 | December 31,
2016 |
| Transportation and industrial | 22 | % | 21 | % | 22 | % |
| Consumer retail and health | 16 |
| 17 |
| 16 |
|
| Technology, media and telecom | 11 |
| 11 |
| 12 |
|
| Power, chemicals, metals and mining | 10 |
| 10 |
| 11 |
|
Energy and commodities(1) | 8 |
| 9 |
| 9 |
|
| Banks/broker-dealers/finance companies | 8 |
| 7 |
| 6 |
|
| Real estate | 7 |
| 8 |
| 7 |
|
| Insurance and special purpose entities | 5 |
| 5 |
| 5 |
|
| Public sector | 5 |
| 5 |
| 5 |
|
| Hedge funds | 4 |
| 5 |
| 5 |
|
| Other industries | 4 |
| 2 |
| 2 |
|
| Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | | | | Selected metrics | |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | | Net charge-offs (recoveries)(3) | Credit derivative hedges(4) |
| Transportation and industrials | $ | 148,612 | | $ | 68,257 | | $ | 80,355 | | $ | 110,552 | | $ | 16,040 | | $ | 20,190 | | $ | 1,830 | | | | $ | 138 | | $ | (8,014) | |
Autos(5) | 51,074 | | 25,475 | | 25,599 | | 42,673 | | 3,938 | | 4,131 | | 332 | | | | 33 | | (3,223) | |
| Transportation | 30,027 | | 16,949 | | 13,078 | | 16,899 | | 2,801 | | 9,058 | | 1,269 | | | | 77 | | (1,135) | |
| Industrials | 67,511 | | 25,833 | | 41,678 | | 50,980 | | 9,301 | | 7,001 | | 229 | | | | 28 | | (3,656) | |
Private bank(1) | 104,139 | | 67,956 | | 36,183 | | 99,120 | | 2,343 | | 2,251 | | 425 | | | | 29 | | (1,080) | |
| Consumer retail | 82,007 | | 37,401 | | 44,606 | | 59,457 | | 11,292 | | 10,964 | | 294 | | | | 11 | | (4,878) | |
| Health | 32,518 | | 8,466 | | 24,052 | | 25,690 | | 4,838 | | 1,831 | | 159 | | | | 1 | | (1,814) | |
| Technology, media and telecom | 77,282 | | 32,831 | | 44,451 | | 59,961 | | 12,132 | | 4,800 | | 389 | | | | 39 | | (6,834) | |
| Power, chemicals, metals and mining | 66,089 | | 24,759 | | 41,330 | | 49,048 | | 11,736 | | 5,140 | | 165 | | | | 45 | | (5,164) | |
| Power | 27,625 | | 7,336 | | 20,289 | | 23,379 | | 3,136 | | 986 | | 124 | | | | 37 | | (2,385) | |
| Chemicals | 23,294 | | 9,650 | | 13,644 | | 17,028 | | 4,128 | | 2,130 | | 8 | | | | 5 | | (2,152) | |
| Metals and mining | 15,170 | | 7,773 | | 7,397 | | 8,641 | | 4,472 | | 2,024 | | 33 | | | | 3 | | (627) | |
| Banks and finance companies | 56,027 | | 34,274 | | 21,753 | | 46,421 | | 5,441 | | 4,000 | | 165 | | | | 1 | | (746) | |
| Securities firms | 1,423 | | 424 | | 999 | | 1,172 | | 176 | | 65 | | 10 | | | | — | | (6) | |
| Real estate | 58,912 | | 40,673 | | 18,239 | | 48,458 | | 5,323 | | 5,107 | | 24 | | | | 4 | | (560) | |
Energy and commodities(6) | 55,390 | | 18,769 | | 36,621 | | 39,365 | | 6,210 | | 8,493 | | 1,322 | | | | 129 | | (3,794) | |
| Public sector | 26,945 | | 14,470 | | 12,475 | | 22,016 | | 1,845 | | 3,065 | | 19 | | | | 7 | | (931) | |
| Insurance | 25,156 | | 1,454 | | 23,702 | | 24,112 | | 805 | | 239 | | — | | | | 1 | | (2,544) | |
| Asset managers and funds | 23,059 | | 5,151 | | 17,908 | | 21,946 | | 921 | | 192 | | — | | | | (1) | | (85) | |
| Financial markets infrastructure | 13,628 | | 28 | | 13,600 | | 13,609 | | 19 | | — | | — | | | | — | | (4) | |
| Other industries | 12,554 | | 9,052 | | 3,502 | | 7,134 | | 3,980 | | 1,288 | | 152 | | | | 40 | | (38) | |
| Total | $ | 783,741 | | $ | 363,965 | | $ | 419,776 | | $ | 628,061 | | $ | 83,101 | | $ | 67,625 | | $ | 4,954 | | | | $ | 444 | | $ | (36,492) | |
Note: Total
(1) Excludes $40,214 million and $4,208 million of funded and unfunded delinquency-managed private bank exposures at June 30, 2020, respectively.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Net charge-offs (recoveries) are for the six months ended June 30, 2020 and exclude delinquency-managed private bank charge-offs of $7 million.
(4) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $36.5 billion of purchased credit protection, $34.5 billion represents the total notional of purchased credit derivatives on individual reference entities. The remaining $2.0 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(5) Autos total credit exposure includes direct outstandingssecuritization financing facilities secured by auto loans and unfunded lendingleases extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $19.8 billion ($9 billion in funded, with more than 98% rated investment grade) as of June 30, 2020.
commitments.
(1)(6) In addition to this exposure, Citi has energy-related exposure within
the “Public sector”public sector (e.g., energy-related state-owned entities) and
“Transportation the transportation and industrial”industrial sector (e.g., off-shore drilling entities)
included in the table above. As of SeptemberJune 30, 2017,2020, Citi’s total
exposure to these energy-related entities remained largely consistent with December 31, 2019, at approximately $5.8 billion, of which approximately $3.4 billion consisted of direct outstanding funded loans.
The following table details Citi’s corporate credit portfolio by industry as of December 31, 2019:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Non-investment grade | | | | Selected metrics | |
| In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | Net charge-offs (recoveries)(3) | Credit derivative hedges(4) |
| Transportation and industrials | $ | 146,643 | | $ | 59,726 | | $ | 86,917 | | $ | 120,777 | | $ | 19,433 | | $ | 5,725 | | $ | 706 | | | $ | 67 | | $ | (7,134) | |
Autos(5) | 48,604 | | 21,564 | | 27,040 | | 43,570 | | 3,582 | | 1,311 | | 140 | | | 5 | | (2,982) | |
| Transportation | 29,984 | | 14,550 | | 15,434 | | 23,021 | | 4,886 | | 1,652 | | 425 | | | 21 | | (725) | |
| Industrials | 68,055 | | 23,612 | | 44,443 | | 54,186 | | 10,965 | | 2,762 | | 141 | | | 41 | | (3,427) | |
Private bank(1) | 102,463 | | 68,798 | | 33,665 | | 100,017 | | 2,244 | | 171 | | 31 | | | 36 | | (1,080) | |
| Consumer retail | 81,338 | | 36,117 | | 45,221 | | 62,993 | | 15,131 | | 2,773 | | 441 | | | 38 | | (4,105) | |
| Health | 35,008 | | 8,790 | | 26,218 | | 27,791 | | 5,932 | | 1,180 | | 105 | | | 14 | | (1,588) | |
| Technology, media and telecom | 83,199 | | 31,333 | | 51,866 | | 63,845 | | 15,846 | | 3,305 | | 203 | | | 14 | | (6,181) | |
| Power, chemicals, metals and mining | 73,961 | | 24,377 | | 49,584 | | 58,670 | | 11,997 | | 2,963 | | 331 | | | 24 | | (4,763) | |
| Power | 34,349 | | 7,683 | | 26,666 | | 29,317 | | 4,051 | | 679 | | 302 | | | 19 | | (2,111) | |
| Chemicals | 23,721 | | 9,152 | | 14,569 | | 18,790 | | 3,905 | | 1,014 | | 12 | | | 1 | | (2,079) | |
| Metals and mining | 15,891 | | 7,542 | | 8,349 | | 10,563 | | 4,041 | | 1,270 | | 17 | | | 4 | | (573) | |
| Banks and finance companies | 52,036 | | 32,571 | | 19,465 | | 43,663 | | 4,661 | | 3,345 | | 39 | | | 12 | | (755) | |
| Securities firms | 1,151 | | 423 | | 728 | | 801 | | 304 | | 38 | | 8 | | | 13 | | — | |
| Real estate | 55,518 | | 38,058 | | 17,460 | | 49,461 | | 5,495 | | 525 | | 37 | | | (3) | | (573) | |
Energy and commodities(6) | 53,317 | | 17,428 | | 35,889 | | 42,996 | | 5,780 | | 3,627 | | 914 | | | 99 | | (2,808) | |
| Public sector | 27,194 | | 14,226 | | 12,968 | | 23,294 | | 1,637 | | 2,558 | | 33 | | | 1 | | (944) | |
| Insurance | 24,305 | | 1,658 | | 22,647 | | 23,370 | | 866 | | 69 | | — | | | 1 | | (2,218) | |
| Asset managers and funds | 24,763 | | 6,942 | | 17,821 | | 22,357 | | 2,276 | | 130 | | — | | | 31 | | (32) | |
| Financial markets infrastructure | 16,838 | | 22 | | 16,816 | | 16,838 | | — | | — | | — | | | — | | (2) | |
| Other industries | 16,842 | | 9,718 | | 7,214 | | 8,299 | | 7,383 | | 1,080 | | 80 | | | 42 | | 65 | |
| Total | $ | 794,576 | | $ | 350,187 | | $ | 444,479 | | $ | 665,172 | | $ | 98,985 | | $ | 27,489 | | $ | 2,928 | | | $ | 389 | | $ | (32,118) | |
(1) Excludes $39,748 million and $3,426 million of funded and unfunded delinquency-managed private bank exposures at December 31, 2019, respectively.
(2) Includes non-accrual loan exposures and criticized unfunded exposures.
(3) Net charge-offs (recoveries) are for the year ended December 31, 2019 and exclude delinquency-managed private bank charge-offs of $6 million.
(4) Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $32.1 billion of purchased credit protection, $30.5 billion represents the total notional of purchased credit derivatives on individual reference entities. The remaining $1.6 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $13.8 billion, where the prior quarter,protection seller absorbs the first loss on the referenced loan portfolios.
(5) Autos total credit exposure includes securitization financing facilities secured by auto loans and leases extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($7.7 billion in funded) as of December 31, 2019, of which more than 99% were investment grade at December 31, 2019.
(6) 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 December 31, 2019, Citi’s total exposure to these energy-related entities remained largely consistent with September 30, 2019, 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. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenue onPrincipal transactions in the Consolidated Statement of Income.
At September 30, 2017, June 30, 20172020, March 31, 2020 and December 31, 2016, $22.2 billion, $23.7 billion and $29.5 billion, respectively, of2019, ICG (excluding the delinquency-managed private bank portfolio) had economic hedges on the corporate credit portfolio was economically hedged.of $36.5 billion, $33.0 billion and $32.1 billion, respectively. Citigroup’s expected credit 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 ICG (excluding the delinquency-managed private bank portfolio) corporate credit portfolio exposures with the following risk rating distribution:
Rating of Hedged Exposure
| | | | | | | | | | | |
| June 30,
2020 | March 31,
2020 | December 31,
2019 |
| AAA/AA/A | 30 | % | 32 | % | 36 | % |
| BBB | 53 | | 52 | | 51 | |
| BB/B | 14 | | 14 | | 12 | |
| CCC or below | 3 | | 2 | | 1 | |
| Total | 100 | % | 100 | % | 100 | % |
|
| | | | | | |
| | September 30,
2017 | June 30,
2017 | December 31,
2016 |
| AAA/AA/A | 16 | % | 16 | % | 16 | % |
| BBB | 48 |
| 47 |
| 49 |
|
| BB/B | 33 |
| 34 |
| 31 |
|
| CCC or below | 3 |
| 3 |
| 4 |
|
| Total | 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 |
| Transportation and industrial | 27 | % | 27 | % | 29 | % |
| Energy and commodities | 17 |
| 20 |
| 20 |
|
| Consumer retail and health | 12 |
| 11 |
| 10 |
|
| Technology, media and telecom | 14 |
| 13 |
| 13 |
|
| Power, chemicals, metals and mining | 12 |
| 13 |
| 12 |
|
| Public sector | 8 |
| 6 |
| 5 |
|
| Banks/broker-dealers | 5 |
| 5 |
| 4 |
|
| Insurance and special purpose entities | 2 |
| 2 |
| 3 |
|
| Other industries | 3 |
| 3 |
| 4 |
|
| Total | 100 | % | 100 | % | 100 | % |
ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS
Loans Outstanding
|
| | | | | | | | | | | | | | | |
| | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. |
| In millions of dollars | 2017 | 2017 | 2017 | 2016 | 2016 |
| 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 other | 3,191 |
| 3,190 |
| 3,252 |
| 3,395 |
| 3,465 |
|
| Cards | 131,476 |
| 130,181 |
| 125,799 |
| 132,654 |
| 124,637 |
|
| Commercial and industrial | 7,619 |
| 7,404 |
| 7,434 |
| 7,159 |
| 6,989 |
|
| 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 other | 26,153 |
| 26,480 |
| 26,014 |
| 24,887 |
| 28,217 |
|
| Cards | 25,443 |
| 25,376 |
| 24,497 |
| 23,783 |
| 25,833 |
|
| Commercial and industrial | 20,015 |
| 18,956 |
| 17,728 |
| 16,568 |
| 17,498 |
|
| Lease financing | 77 |
| 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 institutions | 37,203 |
| 36,953 |
| 35,734 |
| 35,517 |
| 35,801 |
|
Mortgage and real estate(1) | 43,274 |
| 42,041 |
| 40,052 |
| 38,691 |
| 41,078 |
|
| Installment, revolving credit and other | 32,464 |
| 31,611 |
| 32,212 |
| 34,501 |
| 32,571 |
|
| Lease financing | 1,493 |
| 1,467 |
| 1,511 |
| 1,518 |
| 1,532 |
|
| Total | $ | 166,113 |
| $ | 162,413 |
| $ | 159,354 |
| $ | 159,813 |
| $ | 161,138 |
|
| In offices outside the U.S. |
|
|
|
|
|
| Commercial and industrial | $ | 93,107 |
| $ | 91,131 |
| $ | 87,258 |
| $ | 81,882 |
| $ | 84,492 |
|
| Loans to financial institutions | 33,050 |
| 34,844 |
| 33,763 |
| 26,886 |
| 27,305 |
|
Mortgage and real estate(1) | 6,383 |
| 6,783 |
| 5,527 |
| 5,363 |
| 5,595 |
|
| Installment, revolving credit and other | 23,830 |
| 19,200 |
| 16,576 |
| 19,965 |
| 25,462 |
|
| Lease financing | 216 |
| 234 |
| 253 |
| 251 |
| 243 |
|
| Governments and official institutions | 5,628 |
| 5,518 |
| 5,970 |
| 5,850 |
| 6,506 |
|
| Total | $ | 162,214 |
| $ | 157,710 |
| $ | 149,347 |
| $ | 140,197 |
| $ | 149,603 |
|
| 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 |
|
| Total loans—net of unearned income | $ | 653,183 |
| $ | 644,695 |
| $ | 628,595 |
| $ | 624,369 |
| $ | 638,435 |
|
| Allowance for loan losses—on drawn exposures | (12,366 | ) | (12,025 | ) | (12,030 | ) | (12,060 | ) | (12,439 | ) |
Total loans—net of unearned income
and allowance for credit losses | $ | 640,817 |
| $ | 632,670 |
| $ | 616,565 |
| $ | 612,309 |
| $ | 625,996 |
|
Allowance for loan losses as a percentage of total loans—
net of unearned income(4) | 1.91 | % | 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 | % |
| | | | | | | | | | | | | | | | | |
(1) | Loans secured primarily by real estate.2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. |
| In millions of dollars | 2020 | 2020 | 2019 | 2019 | 2019 |
| Consumer loans | | | | | |
(2)In North America offices(1) | Unearned income on consumer loans primarily represents unamortized origination fees, costs, premiums and discounts. |
| | | |
(3)Residential first mortgages(2) | Unearned income on corporate$ | 48,167 | | $ | 47,260 | | $ | 47,008 | | $ | 46,337 | | $ | 45,474 | |
Home equity loans primarily represents interest received in advance but not yet earned on loans originated on a discounted basis.(2) | 8,524 | | 8,936 | | 9,223 | | 9,850 | | 10,404 | |
| Credit cards | 128,032 | | 137,316 | | 149,163 | | 141,560 | | 140,246 | |
| Personal, small business and other | 4,859 | | 3,675 | | 3,699 | | 3,793 | | 3,873 | |
| Total | $ | 189,582 | | $ | 197,187 | | $ | 209,093 | | $ | 201,540 | | $ | 199,997 | |
In offices outside North America(1) | | | | | |
(4)Residential first mortgages(2) | All periods exclude$ | 36,745 | | $ | 35,400 | | $ | 37,686 | | $ | 36,644 | | $ | 36,580 | |
| Credit cards | 20,966 | | 21,801 | | 25,909 | | 24,367 | | 24,975 | |
| Personal, small business and other | 33,820 | | 34,042 | | 36,860 | | 34,849 | | 34,953 | |
| Total | $ | 91,531 | | $ | 91,243 | | $ | 100,455 | | $ | 95,860 | | $ | 96,508 | |
Consumer loans, that are carried at fair value.net of unearned income(3) | $ | 281,113 | | $ | 288,430 | | $ | 309,548 | | $ | 297,400 | | $ | 296,505 | |
| Corporate loans | | | | | |
In North America offices(1) | | | | | |
| Commercial and industrial | $ | 70,755 | | $ | 81,231 | | $ | 55,929 | | $ | 59,645 | | $ | 64,601 | |
| Financial institutions | 53,860 | | 60,653 | | 53,922 | | 52,678 | | 47,610 | |
Mortgage and real estate(2) | 57,821 | | 55,428 | | 53,371 | | 52,972 | | 51,321 | |
| Installment and other | 25,602 | | 30,591 | | 31,238 | | 31,303 | | 33,555 | |
| Lease financing | 869 | | 988 | | 1,290 | | 1,314 | | 1,385 | |
| Total | $ | 208,907 | | $ | 228,891 | | $ | 195,750 | | $ | 197,912 | | $ | 198,472 | |
In offices outside North America(1) | | | | | |
| Commercial and industrial | $ | 115,471 | | $ | 121,703 | | $ | 112,668 | | $ | 120,900 | | $ | 117,759 | |
| Financial institutions | 35,173 | | 37,003 | | 40,211 | | 37,908 | | 37,523 | |
Mortgage and real estate(2) | 10,332 | | 9,639 | | 9,780 | | 7,811 | | 7,577 | |
| Installment and other | 30,678 | | 31,728 | | 27,303 | | 26,774 | | 27,333 | |
| Lease financing | 66 | | 72 | | 95 | | 80 | | 92 | |
| Governments and official institutions | 3,552 | | 3,554 | | 4,128 | | 2,958 | | 3,409 | |
| Total | $ | 195,272 | | $ | 203,699 | | $ | 194,185 | | $ | 196,431 | | $ | 193,693 | |
Corporate loans, net of unearned income(4) | $ | 404,179 | | $ | 432,590 | | $ | 389,935 | | $ | 394,343 | | $ | 392,165 | |
| Total loans—net of unearned income | $ | 685,292 | | $ | 721,020 | | $ | 699,483 | | $ | 691,743 | | $ | 688,670 | |
| Allowance for credit losses on loans (ACLL) | (26,420) | | (20,841) | | (12,783) | | (12,530) | | (12,466) | |
Total loans—net of unearned income
and ACLL | $ | 658,872 | | $ | 700,179 | | $ | 686,700 | | $ | 679,213 | | $ | 676,204 | |
ACLL as a percentage of total loans—
net of unearned income(5) | 3.89 | % | 2.91 | % | 1.84 | % | 1.82 | % | 1.82 | % |
ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5) | 6.97 | % | 6.03 | % | 3.20 | % | 3.27 | % | 3.26 | % |
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5) | 1.71 | % | 0.81 | % | 0.75 | % | 0.72 | % | 0.72 | % |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Consumer loans are net of unearned income of $734 million, $771 million, $783 million, $783 million and $751 million at June 30, 2020, March 31, 2020, December 31, 2019, September 30, 2019 and June 30, 2019, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)Corporate loans include private bank loans and are net of unearned income of $(854) million, $(791) million, $(814) million, $(818) million and $(853) million at June 30, 2020, March 31, 2020, December 31, 2019, September 30, 2019 and June 30, 2019, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
Details of Credit Loss Experience
| | | | | | | | | | | | | | | | | |
| 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. |
| In millions of dollars | 2020 | 2020 | 2019 | 2019 | 2019 |
| Allowance for credit losses on loans (ACLL) at beginning of period | $ | 20,841 | | $ | 12,783 | | $ | 12,530 | | $ | 12,466 | | $ | 12,329 | |
Adjustment to opening balance for CECL adoption(1) | — | | 4,201 | | — | | — | | — | |
| Adjusted ACLL at beginning of period | $ | 20,841 | | $ | 16,984 | | $ | 12,530 | | $ | 12,466 | | $ | 12,329 | |
| Provision for credit losses on loans (PCLL) | | | | | |
Consumer(2) | $ | 4,003 | | $ | 5,001 | | $ | 1,948 | | $ | 1,916 | | $ | 1,947 | |
| Corporate | 3,693 | | 1,443 | | 175 | | 146 | | 142 | |
| Total | $ | 7,696 | | $ | 6,444 | | $ | 2,123 | | $ | 2,062 | | $ | 2,089 | |
| Gross credit losses on loans | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 1,675 | | $ | 1,763 | | $ | 1,672 | | $ | 1,564 | | $ | 1,659 | |
| In offices outside the U.S. | 506 | | 578 | | 535 | | 588 | | 591 | |
| Corporate | | | | | |
| In U.S. offices | 177 | | 116 | | 68 | | 98 | | 62 | |
| In offices outside the U.S. | 170 | | 22 | | 86 | | 31 | | 42 | |
| Total | $ | 2,528 | | $ | 2,479 | | $ | 2,361 | | $ | 2,281 | | $ | 2,354 | |
Credit recoveries on loans(3) | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 199 | | $ | 239 | | $ | 249 | | $ | 231 | | $ | 253 | |
| In offices outside the U.S. | 100 | | 121 | | 128 | | 118 | | 123 | |
| Corporate | | | | | |
| In U.S. offices | 12 | | 6 | | 9 | | 13 | | 7 | |
| In offices outside the U.S. | 11 | | 5 | | 31 | | 6 | | 8 | |
| Total | $ | 322 | | $ | 371 | | $ | 417 | | $ | 368 | | $ | 391 | |
| Net credit losses on loans (NCLs) | | | | | |
| In U.S. offices | $ | 1,641 | | $ | 1,634 | | $ | 1,482 | | $ | 1,418 | | $ | 1,461 | |
| In offices outside the U.S. | 565 | | 474 | | 462 | | 495 | | 502 | |
| Total | $ | 2,206 | | $ | 2,108 | | $ | 1,944 | | $ | 1,913 | | $ | 1,963 | |
Other—net(4)(5)(6)(7)(8)(9) | $ | 89 | | $ | (479) | | $ | 74 | | $ | (85) | | $ | 11 | |
| Allowance for credit losses on loans (ACLL) at end of period | $ | 26,420 | | $ | 20,841 | | $ | 12,783 | | $ | 12,530 | | $ | 12,466 | |
ACLL as a percentage of EOP loans(10) | 3.89 | % | 2.91 | % | 1.84 | % | 1.82 | % | 1.82 | % |
Allowance for credit losses on unfunded lending commitments (ACLUC)(11)(12) | $ | 1,859 | | $ | 1,813 | | $ | 1,456 | | $ | 1,385 | | $ | 1,376 | |
| Total ACLL and ACLUC | $ | 28,279 | | $ | 22,654 | | $ | 14,239 | | $ | 13,915 | | $ | 13,842 | |
| Net consumer credit losses on loans | $ | 1,882 | | $ | 1,981 | | $ | 1,830 | | $ | 1,803 | | $ | 1,874 | |
| As a percentage of average consumer loans | 2.70 | % | 2.66 | % | 2.41 | % | 2.42 | % | 2.57 | % |
| Net corporate credit losses on loans | $ | 324 | | $ | 127 | | $ | 114 | | $ | 110 | | $ | 89 | |
| As a percentage of average corporate loans | 0.31 | % | 0.13 | % | 0.12 | % | 0.11 | % | 0.09 | % |
ACLL by type at end of period(13) | | | | | |
| Consumer | $ | 19,596 | | $ | 17,390 | | $ | 9,897 | | $ | 9,727 | | $ | 9,679 | |
| Corporate | 6,824 | | 3,451 | | 2,886 | | 2,803 | | 2,787 | |
| Total | $ | 26,420 | | $ | 20,841 | | $ | 12,783 | | $ | 12,530 | | $ | 12,466 | |
(1)On January 1, 2020, Citi adopted Accounting Standards Update (ASC) 326, Financial Instruments—Credit Losses (CECL). The ASU introduces a new credit loss methodology requiring earlier recognition of credit losses while also providing additional transparency about credit risk. On January 1, 2020, Citi recorded a $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Consumer allowance for credit losses due to longer estimated tenors than under the incurred loss methodology under prior U.S. GAAP, net of recoveries; and (ii) a $(0.8) billion decrease to the Corporate allowance for credit losses due to shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies. See Note 1 to the Consolidated Financial Statements for further discussion on the impact of Citi’s adoption of CECL.
|
| | | | | | | | | | | | | | | |
| | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | 4th Qtr. | 3rd Qtr. |
| In millions of dollars | 2017 | 2017 | 2016 | 2016 | 2016 |
| Allowance for loan losses at beginning of period | $ | 12,025 |
| $ | 12,030 |
| $ | 12,060 |
| $ | 12,439 |
| $ | 12,304 |
|
| Provision for loan losses | | | | | |
| Consumer | $ | 2,142 |
| $ | 1,620 |
| $ | 1,816 |
| $ | 1,659 |
| $ | 1,815 |
|
| Corporate | 4 |
| 46 |
| (141 | ) | 68 |
| (69 | ) |
| Total | $ | 2,146 |
| $ | 1,666 |
| $ | 1,675 |
| $ | 1,727 |
| $ | 1,746 |
|
| Gross credit losses | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 1,429 |
| $ | 1,437 |
| $ | 1,444 |
| $ | 1,343 |
| $ | 1,181 |
|
| In offices outside the U.S. | 642 |
| 597 |
| 597 |
| 605 |
| 702 |
|
| Corporate | | | | | |
| In U.S. offices | 15 |
| 72 |
| 48 |
| 32 |
| 29 |
|
| In offices outside the U.S. | 34 |
| 24 |
| 55 |
| 103 |
| 36 |
|
| Total | $ | 2,120 |
| $ | 2,130 |
| $ | 2,144 |
| $ | 2,083 |
| $ | 1,948 |
|
Credit recoveries(1) | | | | | |
| Consumer | | | | | |
| In U.S. offices | $ | 167 |
| $ | 266 |
| $ | 242 |
| $ | 235 |
| $ | 227 |
|
| In offices outside the U.S. | 170 |
| 135 |
| 127 |
| 137 |
| 173 |
|
| Corporate | | | | | |
| In U.S. offices | 2 |
| 15 |
| 2 |
| 2 |
| 16 |
|
| In offices outside the U.S. | 4 |
| 4 |
| 64 |
| 13 |
| 7 |
|
| Total | $ | 343 |
| $ | 420 |
| $ | 435 |
| $ | 387 |
| $ | 423 |
|
| Net credit losses | | | | | |
| In U.S. offices | $ | 1,275 |
| $ | 1,228 |
| $ | 1,248 |
| $ | 1,138 |
| $ | 967 |
|
| In offices outside the U.S. | 502 |
| 482 |
| 461 |
| 558 |
| 558 |
|
| Total | $ | 1,777 |
| $ | 1,710 |
| $ | 1,709 |
| $ | 1,696 |
| $ | 1,525 |
|
Other—net(2)(3)(4)(5)(6)(7) | $ | (28 | ) | $ | 39 |
| $ | 4 |
| $ | (410 | ) | $ | (86 | ) |
| Allowance for loan losses at end of period | $ | 12,366 |
| $ | 12,025 |
| $ | 12,030 |
| $ | 12,060 |
| $ | 12,439 |
|
Allowance for loan losses as a percentage of total loans(8) | 1.91 | % | 1.88 | % | 1.93 | % | 1.94 | % | 1.97 | % |
Allowance for unfunded lending commitments(9) | $ | 1,232 |
| $ | 1,406 |
| $ | 1,377 |
| $ | 1,418 |
| $ | 1,388 |
|
| Total allowance for loan losses and unfunded lending commitments | $ | 13,598 |
| $ | 13,431 |
| $ | 13,407 |
| $ | 13,478 |
| $ | 13,827 |
|
| Net consumer credit losses | $ | 1,734 |
| $ | 1,633 |
| $ | 1,672 |
| $ | 1,576 |
| $ | 1,483 |
|
| As a percentage of average consumer loans | 2.11 | % | 2.04 | % | 2.11 | % | 1.95 | % | 1.80 | % |
| Net corporate credit losses | $ | 43 |
| $ | 77 |
| $ | 37 |
| $ | 120 |
| $ | 42 |
|
| As a percentage of average corporate loans | 0.05 | % | 0.10 | % | 0.05 | % | 0.16 | % | 0.05 | % |
Allowance by type at end of period(10) | | | | | |
| Consumer | $ | 9,892 |
| $ | 9,515 |
| $ | 9,495 |
| $ | 9,358 |
| $ | 9,673 |
|
| Corporate | 2,474 |
| 2,510 |
| 2,535 |
| 2,702 |
| 2,766 |
|
| Total | $ | 12,366 |
| $ | 12,025 |
| $ | 12,030 |
| $ | 12,060 |
| $ | 12,439 |
|
| |
(1) | Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful. |
| |
(2) | Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc. |
| |
(3) | The third quarter of 2017 includes a reduction of approximately $34 million related to the sale or transfer to held-for-sale (HFS) of various loan portfolios, including a reduction of $28 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes an increase of approximately $7 million related to FX translation. |
| |
(4) | The second quarter of 2017 includes a reduction of approximately $19 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $19 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes an increase of approximately $50 million related to FX translation. |
| |
(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. |
(2)During the second quarter of 2020, Citi updated its ACLL estimate of lifetime credit losses resulting from a change in accounting for variable post-charge-off third-party agency collection costs in its U.S. Consumer businesses. After June 30, 2020, these costs will be recorded as operating expenses for future periods as they are incurred. The impact of this change in estimate effected by a change in accounting principle resulted in an approximate $426 million reduction in Citi's estimated ACLL at June 30, 2020. For additional information, see “Significant Accounting Policies and Significant Estimates” below.
| |
(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) | September 30, 2017, June 30, 2017, March 31, 2017, December 31, 2016 and September 30, 2016 exclude $4.3 billion, $4.2 billion, $4.0 billion, $3.5 billion and $4.0 billion, respectively, of loans which are carried at fair value. |
| |
(9) | Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
|
| |
(10) | Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio. |
(3)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(4)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.
(5)The second quarter of 2020 includes an increase of approximately $88 million related to FX translation.
(6)The first quarter of 2020 includes a decrease of approximately $483 million related to FX translation.
(7)The fourth quarter of 2019 includes an increase of approximately $86 million related to FX translation.
(8)The third quarter of 2019 includes a decrease of approximately $65 million related to FX translation.
(9)The second quarter of 2019 includes an increase of approximately $13 million related to FX translation.
(10)June 30, 2020, March 31, 2020, December 31, 2019, September 30, 2019, and June 30, 2019, exclude $5.8 billion, $4.0 billion, $4.1 billion, $3.9 billion, and $3.8 billion, respectively, of loans that are carried at fair value.
(11)At June 30, 2020, the Corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees as of March 31, 2020. The reserves on these contracts have been reclassified out of the allowance for credit losses on unfunded lending commitments and into other liabilities as of June 30, 2020.
(12)Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(13)See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.
Allowance for LoanCredit Losses on Loans (ACLL)
The following tables detail information on Citi’s allowance for loan losses,ACLL, loans and coverage ratios:
| | | | | | | | | | | |
| | June 30, 2020 | | |
| In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
North America cards(2) | $ | 14.7 | | $ | 128.0 | | 11.5 | % |
North America mortgages(3) | 0.9 | | 56.7 | | 1.6 | |
North America other | 0.3 | | 4.9 | | 6.1 | |
| International cards | 2.0 | | 21.0 | | 9.5 | |
International other(4) | 1.7 | | 70.5 | | 2.4 | |
| Total consumer | $ | 19.6 | | $ | 281.1 | | 7.0 | % |
| Total corporate | 6.8 | | 404.2 | | 1.7 | |
| Total Citigroup | $ | 26.4 | | $ | 685.3 | | 3.9 | % |
(1)Loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $14.7 billion of loan loss reserves represented approximately 30 months of coincident net credit loss coverage. As of June 30, 2020, North America Citi-branded cards ACLL as a percentage of EOP loans was 10.1% and North America Citi retail services ACLL as a percentage of EOP loans was 14.0%.
(3)Of the $0.9 billion, approximately $0.5 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.7 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $56.7 billion in loans, approximately $54.8 billion and $1.9 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.
| | | | | | | | | | | |
| | December 31, 2019 | | |
| In billions of dollars | ACLL | EOP loans, net of
unearned income | ACLL as a percentage of EOP loans(1) |
North America cards(2) | $ | 7.0 | | $ | 149.2 | | 4.7 | % |
North America mortgages(3) | 0.3 | | 56.2 | | 0.5 | |
North America other | 0.1 | | 3.7 | | 2.7 | |
| International cards | 1.4 | | 25.9 | | 5.4 | |
International other(4) | 1.1 | | 74.6 | | 1.5 | |
| Total consumer | $ | 9.9 | | $ | 309.6 | | 3.2 | % |
| Total corporate | 2.9 | | 389.9 | | 0.7 | |
| Total Citigroup | $ | 12.8 | | $ | 699.5 | | 1.8 | % |
(1)Loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $7.0 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
(3)Of the $0.3 billion, nearly all was allocated to North America mortgages in Corporate/Other, including $0.1 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $56.2 billion in loans, approximately $54.2 billion and $2.0 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.
The following table details Citi’s corporate credit allowance for credit losses on loans (ACLL) by industry exposure:
| | | | | | | | | | | |
| June 30, 2020 | | |
| In millions of dollars, except percentages | Funded exposure(1) | ACLL(2)(3) | ACLL as a % of funded exposure |
| Transportation and industrials | $ | 68,257 | | $ | 1,957 | | 2.87 | % |
| Private bank | 67,956 | | 345 | | 0.51 | |
| Consumer retail | 37,401 | | 773 | | 2.07 | |
| Health | 8,466 | | 180 | | 2.13 | |
| Technology, media and telecom | 32,831 | | 482 | | 1.47 | |
| Power, chemicals, metals and mining | 24,759 | | 543 | | 2.19 | |
| Banks and finance companies | 34,274 | | 323 | | 0.94 | |
| Securities firms | 424 | | 9 | | 2.12 | |
| Real estate | 40,673 | | 551 | | 1.35 | |
| Energy and commodities | 18,769 | | 841 | | 4.48 | |
| Public sector | 14,470 | | 251 | | 1.73 | |
| Insurance | 1,454 | | 9 | | 0.62 | |
| Asset managers and funds | 5,151 | | 29 | | 0.56 | |
| Financial markets infrastructure | 28 | | — | | — | |
| Other industries | 9,052 | | 181 | | 2.00 | |
| Total | $ | 363,965 | | $ | 6,474 | | 1.78 | % |
(1) Funded exposure includes $5,783 million of loans at fair value that are not subject to ACLL under the CECL standard.
(2) As of June 30, 2020, the ACLL shown above reflects coverage of 0.5% of funded investment grade exposure and 5.1% of funded non-investment grade exposure.
(3) Excludes $350 million of ACLL associated with approximately $40 billion of funded delinquency-managed private bank exposures at June 30, 2020. Including those reserves and exposures, the total ACLL is 1.71% of total funded exposure, including 0.6% of funded investment grade exposure and 4.9% of funded non-investment grade exposure.
|
| | | | | | | | |
| | September 30, 2017 |
| In billions of dollars | Allowance for loan losses | Loans, net of unearned income | Allowance as a percentage of loans(1) |
North America cards(2) | $ | 6.0 |
| $ | 132.2 |
| 4.5 | % |
North America mortgages(3) | 0.8 |
| 65.8 |
| 1.2 |
|
North America other | 0.2 |
| 13.0 |
| 1.5 |
|
| International cards | 1.4 |
| 24.9 |
| 5.6 |
|
International other(4) | 1.5 |
| 89.7 |
| 1.7 |
|
| Total consumer | $ | 9.9 |
| $ | 325.6 |
| 3.0 | % |
| Total corporate | 2.5 |
| 327.6 |
| 0.8 |
|
| Total Citigroup | $ | 12.4 |
| $ | 653.2 |
| 1.9 | % |
| |
(1) | Allowance as a percentage of loans excludes loans that are carried at fair value. |
| |
(2) | Includes both Citi-branded cards and Citi retail services. The $6.0 billion of loan loss reserves represented approximately 16 months of coincident net credit loss coverage. |
| |
(3) | Of the $0.8 billion, approximately $0.7 billion was allocated to North America mortgages in Corporate/Other. Of the $0.8 billion, approximately $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 billion in loans, approximately $61.9 billion and $3.8 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
|
| |
(4) | Includes mortgages and other retail loans. |
|
| | | | | | | | |
| | December 31, 2016 |
| In billions of dollars | Allowance for loan losses | Loans, net of unearned income | Allowance as a percentage of loans(1) |
North America cards(2) | $ | 5.2 |
| $ | 133.3 |
| 3.9 | % |
North America mortgages(3) | 1.1 |
| 72.6 |
| 1.5 |
|
North America other | 0.5 |
| 13.6 |
| 3.7 |
|
| International cards | 1.2 |
| 23.1 |
| 5.2 |
|
International other(4) | 1.4 |
| 82.8 |
| 1.7 |
|
| Total consumer | $ | 9.4 |
| $ | 325.4 |
| 2.9 | % |
| Total corporate | 2.7 |
| 299.0 |
| 0.9 |
|
| Total Citigroup | $ | 12.1 |
| $ | 624.4 |
| 1.9 | % |
| |
(1) | Allowance as a percentage of loans excludes loans that are carried at fair value. |
| |
(2) | Includes both Citi-branded cards and Citi retail services. The $5.2 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage. |
| |
(3) | Of the $1.1 billion, approximately $1.0 billion was allocated to North America mortgages in Corporate/Other. Of the $1.1 billion, approximately $0.4 billion and $0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $72.6 billion in loans, approximately $67.7 billion and $4.8 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
|
| |
(4) | Includes mortgages and other retail loans. |
Non-Accrual Loans and Assets and Renegotiated Loans
There is a certain amount of overlap 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 2019 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.
| | | | | | | | | | | | | | | | | |
| Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, |
| In millions of dollars | 2020 | 2020 | 2019 | 2019 | 2019 |
Corporate non-accrual loans(1)(2) | | | | | |
| North America | $ | 2,466 | | $ | 1,138 | | $ | 1,214 | | $ | 1,056 | | $ | 913 | |
| EMEA | 812 | | 720 | | 430 | | 307 | | 321 | |
| Latin America | 585 | | 447 | | 473 | | 399 | | 353 | |
| Asia | 153 | | 179 | | 71 | | 84 | | 80 | |
| Total corporate non-accrual loans | $ | 4,016 | | $ | 2,484 | | $ | 2,188 | | $ | 1,846 | | $ | 1,667 | |
Consumer non-accrual loans(3) | | | | | |
| North America | $ | 928 | | $ | 926 | | $ | 905 | | $ | 1,013 | | $ | 1,082 | |
| Latin America | 608 | | 489 | | 632 | | 595 | | 629 | |
Asia(4) | 293 | | 284 | | 279 | | 258 | | 260 | |
| Total consumer non-accrual loans | $ | 1,829 | | $ | 1,699 | | $ | 1,816 | | $ | 1,866 | | $ | 1,971 | |
| Total non-accrual loans | $ | 5,845 | | $ | 4,183 | | $ | 4,004 | | $ | 3,712 | | $ | 3,638 | |
|
| | | | | | | | | | | | | | | |
| | Sept. 30, | Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, |
| In millions of dollars | 2017 | 2017 | 2016 | 2016 | 2016 |
Corporate non-accrual loans(1) | | | | | |
| North America | $ | 915 |
| $ | 944 |
| $ | 993 |
| $ | 984 |
| $ | 1,057 |
|
| EMEA | 681 |
| 727 |
| 828 |
| 904 |
| 857 |
|
| Latin America | 312 |
| 281 |
| 342 |
| 379 |
| 380 |
|
| Asia | 146 |
| 146 |
| 176 |
| 154 |
| 121 |
|
| Total corporate non-accrual loans | $ | 2,054 |
| $ | 2,098 |
| $ | 2,339 |
| $ | 2,421 |
| $ | 2,415 |
|
Consumer non-accrual loans(1) | | | | | |
| North America | $ | 1,721 |
| $ | 1,754 |
| $ | 1,926 |
| $ | 2,160 |
| $ | 2,429 |
|
| Latin America | 791 |
| 793 |
| 737 |
| 711 |
| 841 |
|
Asia(2) | 271 |
| 301 |
| 292 |
| 287 |
| 282 |
|
| Total consumer non-accrual loans | $ | 2,783 |
| $ | 2,848 |
| $ | 2,955 |
| $ | 3,158 |
| $ | 3,552 |
|
| Total non-accrual loans | $ | 4,837 |
| $ | 4,946 |
| $ | 5,294 |
| $ | 5,579 |
| $ | 5,967 |
|
| |
(1) | Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $177 million at September 30, 2017, $183 million at June 30, 2017, $194 million at March 31, 2017, $187 million at December 31, 2016 and $194 million at September 30, 2016. |
(2)The June 30, 2020 corporate non-accrual loans represented 0.99% oftotal corporate loans, and approximately two-thirds were still making payments.
(3) Excludes purchased credit deteriorated loans, as they are generally accreting interest. The carrying value of these loans was $121 million at June 30, 2020, $129 million at March 31, 2020, $128 million at December 31, 2019, $117 million at September 30, 2019 and $123 million at June 30, 2019.
(4) Asia GCB includes balances in certain EMEA countries for all periods presented.
The changes in Citigroup’s non-accrual loans were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Three Months Ended | | | Three Months Ended | | |
| June 30, 2020 | | | June 30, 2019 | | |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of period | $ | 2,484 | | $ | 1,699 | | $ | 4,183 | | $ | 1,732 | | $ | 1,955 | | $ | 3,687 | |
| Additions | 2,414 | | 638 | | 3,052 | | 499 | | 823 | | 1,322 | |
| Sales and transfers to HFS | — | | (11) | | (11) | | — | | (22) | | (22) | |
| Returned to performing | (69) | | (113) | | (182) | | (11) | | (92) | | (103) | |
| Paydowns/settlements | (802) | | (109) | | (911) | | (499) | | (286) | | (785) | |
| Charge-offs | (41) | | (278) | | (319) | | (37) | | (406) | | (443) | |
| Other | 30 | | 3 | | 33 | | (17) | | (1) | | (18) | |
| Ending balance | $ | 4,016 | | $ | 1,829 | | $ | 5,845 | | $ | 1,667 | | $ | 1,971 | | $ | 3,638 | |
| | | | | | |
| Six Months Ended | | | Six Months Ended | | |
| June 30, 2020 | | | June 30, 2019 | | |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of period | $ | 2,188 | | $ | 1,816 | | $ | 4,004 | | $ | 1,511 | | $ | 2,027 | | $ | 3,538 | |
| Additions | 3,230 | | 1,590 | | 4,820 | | 1,222 | | 1,545 | | 2,767 | |
| Sales and transfers to HFS | (1) | | (31) | | (32) | | (5) | | (56) | | (61) | |
| Returned to performing | (117) | | (204) | | (321) | | (39) | | (234) | | (273) | |
| Paydowns/settlements | (1,156) | | (433) | | (1,589) | | (983) | | (460) | | (1,443) | |
| Charge-offs | (132) | | (605) | | (737) | | (72) | | (808) | | (880) | |
| Other | 4 | | (304) | | (300) | | 33 | | (43) | | (10) | |
| Ending balance | $ | 4,016 | | $ | 1,829 | | $ | 5,845 | | $ | 1,667 | | $ | 1,971 | | $ | 3,638 | |
|
| | | | | | | | | | | | | | | | | | |
| | Three Months Ended | Three Months Ended |
| | September 30, 2017 | September 30, 2016 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of period | $ | 2,098 |
| $ | 2,848 |
| $ | 4,946 |
| $ | 2,460 |
| $ | 3,705 |
| $ | 6,165 |
|
| Additions | 190 |
| 1,042 |
| 1,232 |
| 469 |
| 1,131 |
| 1,600 |
|
| Sales and transfers to held-for-sale | (1 | ) | (69 | ) | (70 | ) | (4 | ) | (102 | ) | (106 | ) |
| Returned to performing | (2 | ) | (133 | ) | (135 | ) | (58 | ) | (149 | ) | (207 | ) |
| Paydowns/settlements | (196 | ) | (291 | ) | (487 | ) | (433 | ) | (562 | ) | (995 | ) |
| Charge-offs | (33 | ) | (611 | ) | (644 | ) | (24 | ) | (455 | ) | (479 | ) |
| Other | (2 | ) | (3 | ) | (5 | ) | 5 |
| (16 | ) | (11 | ) |
| Ending balance | $ | 2,054 |
| $ | 2,783 |
| $ | 4,837 |
| $ | 2,415 |
| $ | 3,552 |
| $ | 5,967 |
|
|
| | | | | | | | | | | | | | | | | | |
| | Nine Months Ended | Nine Months Ended |
| | September 30, 2017 | September 30, 2016 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Non-accrual loans at beginning of period | $ | 2,421 |
| $ | 3,158 |
| $ | 5,579 |
| $ | 1,596 |
| $ | 3,658 |
| $ | 5,254 |
|
| Additions | 754 |
| 2,563 |
| 3,317 |
| 2,346 |
| 3,371 |
| 5,717 |
|
| Sales and transfers to held-for-sale | (83 | ) | (286 | ) | (369 | ) | (13 | ) | (473 | ) | (486 | ) |
| Returned to performing | (42 | ) | (462 | ) | (504 | ) | (141 | ) | (434 | ) | (575 | ) |
| Paydowns/settlements | (843 | ) | (856 | ) | (1,699 | ) | (1,022 | ) | (1,203 | ) | (2,225 | ) |
| Charge-offs | (102 | ) | (1,452 | ) | (1,554 | ) | (277 | ) | (1,353 | ) | (1,630 | ) |
| Other | (51 | ) | 118 |
| 67 |
| (74 | ) | (14 | ) | (88 | ) |
| Ending balance | $ | 2,054 |
| $ | 2,783 |
| $ | 4,837 |
| $ | 2,415 |
| $ | 3,552 |
| $ | 5,967 |
|
The tablestable below summarizesummarizes Citigroup’s other real estate owned (OREO) assets as ofassets. OREO is recorded on the periods indicated.Consolidated Balance Sheet within Other assets. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
| | | | | | | | | | | | | | | | | |
| Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, | Jun. 30, |
| In millions of dollars | 2020 | 2020 | 2019 | 2019 | 2019 |
| OREO | | | | | |
| North America | $ | 32 | | $ | 35 | | $ | 39 | | $ | 51 | | $ | 47 | |
| EMEA | — | | 1 | | 1 | | 1 | | 1 | |
| Latin America | 6 | | 6 | | 14 | | 14 | | 14 | |
| Asia | 6 | | 8 | | 7 | | 6 | | 20 | |
| Total OREO | $ | 44 | | $ | 50 | | $ | 61 | | $ | 72 | | $ | 82 | |
| | | | | |
| Non-accrual assets | | | | | |
| Corporate non-accrual loans | $ | 4,016 | | $ | 2,484 | | $ | 2,188 | | $ | 1,846 | | $ | 1,667 | |
| Consumer non-accrual loans | 1,829 | | 1,699 | | 1,816 | | 1,866 | | 1,971 | |
| Non-accrual loans (NAL) | $ | 5,845 | | $ | 4,183 | | $ | 4,004 | | $ | 3,712 | | $ | 3,638 | |
| OREO | $ | 44 | | $ | 50 | | $ | 61 | | $ | 72 | | $ | 82 | |
| Non-accrual assets (NAA) | $ | 5,889 | | $ | 4,233 | | $ | 4,065 | | $ | 3,784 | | $ | 3,720 | |
| NAL as a percentage of total loans | 0.85 | % | 0.58 | % | 0.57 | % | 0.54 | % | 0.53 | % |
| NAA as a percentage of total assets | 0.26 | | 0.19 | | 0.21 | | 0.19 | | 0.19 | |
ACLL as a percentage of NAL(1) | 452 | % | 498 | % | 319 | % | 338 | % | 343 | % |
(1)The allowance for credit losses on loans 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 credit deteriorated loans as these continue to accrue interest until charge-off.
|
| | | | | | | | | | | | | | | |
| | Sept. 30, | Jun. 30, | Mar. 31, | Dec. 31, | Sept. 30, |
| In millions of dollars | 2017 | 2017 | 2016 | 2016 | 2016 |
| OREO | | | | | |
| North America | $ | 97 |
| $ | 128 |
| $ | 136 |
| $ | 161 |
| $ | 132 |
|
| EMEA | 1 |
| 1 |
| 1 |
| — |
| 1 |
|
| Latin America | 30 |
| 31 |
| 31 |
| 18 |
| 18 |
|
| Asia | 15 |
| 8 |
| 5 |
| 7 |
| 10 |
|
| Total OREO | $ | 143 |
| $ | 168 |
| $ | 173 |
| $ | 186 |
| $ | 161 |
|
| Non-accrual assets |
|
|
|
|
|
| Corporate non-accrual loans | $ | 2,054 |
| $ | 2,098 |
| $ | 2,339 |
| $ | 2,421 |
| $ | 2,415 |
|
| Consumer non-accrual loans | 2,783 |
| 2,848 |
| 2,955 |
| 3,158 |
| 3,552 |
|
| Non-accrual loans (NAL) | $ | 4,837 |
| $ | 4,946 |
| $ | 5,294 |
| $ | 5,579 |
| $ | 5,967 |
|
| OREO | $ | 143 |
| $ | 168 |
| $ | 173 |
| $ | 186 |
| $ | 161 |
|
| Non-accrual assets (NAA) | $ | 4,980 |
| $ | 5,114 |
| $ | 5,467 |
| $ | 5,765 |
| $ | 6,128 |
|
| NAL as a percentage of total loans | 0.74 | % | 0.77 | % | 0.84 | % | 0.89 | % | 0.93 | % |
| NAA as a percentage of total assets | 0.26 |
| 0.27 |
| 0.30 |
| 0.32 |
| 0.34 |
|
Allowance for loan losses as a percentage of NAL(1) | 256 |
| 243 |
| 227 |
| 216 |
| 208 |
|
| |
(1) | The allowance for loan losses includes the allowance for Citi’s credit card portfolios and purchased distressed loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios) and purchased distressed loans as these continue to accrue interest until charge-off. |
Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
| | | | | | | | |
| In millions of dollars | Jun. 30, 2020 | Dec. 31, 2019 |
Corporate renegotiated loans(1) | | |
| In U.S. offices | | |
Commercial and industrial(2) | $ | 275 | | $ | 226 | |
| Mortgage and real estate | 60 | | 57 | |
| Financial institutions | — | | — | |
| Other | 8 | | 4 | |
| Total | $ | 343 | | $ | 287 | |
| In offices outside the U.S. | | |
Commercial and industrial(2) | $ | 131 | | $ | 200 | |
| Mortgage and real estate | 31 | | 22 | |
| Financial institutions | — | | — | |
| Other | 2 | | 40 | |
| Total | $ | 164 | | $ | 262 | |
| Total corporate renegotiated loans | $ | 507 | | $ | 549 | |
Consumer renegotiated loans(3) | | |
| In U.S. offices | | |
| Mortgage and real estate | $ | 1,895 | | $ | 1,956 | |
| Cards | 1,434 | | 1,464 | |
| Installment and other | 17 | | 17 | |
| Total | $ | 3,346 | | $ | 3,437 | |
| In offices outside the U.S. | | |
| Mortgage and real estate | $ | 289 | | $ | 305 | |
| Cards | 450 | | 466 | |
| Installment and other | 421 | | 400 | |
| Total | $ | 1,160 | | $ | 1,171 | |
| Total consumer renegotiated loans | $ | 4,506 | | $ | 4,608 | |
(1)Includes $472 million and $472 million of non-accrual loans included in the non-accrual loans table above at June 30, 2020 and December 31, 2019, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at June 30, 2020 and December 31, 2019, Citi also modified $25 million and $26 million, respectively, of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession or because the modifications qualified for exemptions from TDR accounting provided by the CARES Act or Interagency Guidance.
(3)Includes $794 million and $814 million of non-accrual loans included in the non-accrual loans table above at June 30, 2020 and December 31, 2019, respectively. The remaining loans were accruing interest.
|
| | | | | | |
| In millions of dollars | Sept. 30, 2017 | Dec. 31, 2016 |
Corporate renegotiated loans(1) | | |
| In U.S. offices | | |
Commercial and industrial(2) | $ | 285 |
| $ | 89 |
|
| Mortgage and real estate | 78 |
| 84 |
|
| Loans to financial institutions | 8 |
| 9 |
|
| Other | 155 |
| 228 |
|
| | $ | 526 |
| $ | 410 |
|
| In offices outside the U.S. | | |
Commercial and industrial(2) | $ | 401 |
| $ | 319 |
|
| Mortgage and real estate | 7 |
| 3 |
|
| Loans to financial institutions | 15 |
| — |
|
| | $ | 423 |
| $ | 322 |
|
| Total corporate renegotiated loans | $ | 949 |
| $ | 732 |
|
Consumer renegotiated loans(3)(4)(5) | | |
| In U.S. offices | | |
Mortgage and real estate(6) | $ | 3,812 |
| $ | 4,695 |
|
| Cards | 1,295 |
| 1,313 |
|
| Installment and other | 176 |
| 117 |
|
| | $ | 5,283 |
| $ | 6,125 |
|
| In offices outside the U.S. | | |
| Mortgage and real estate | $ | 337 |
| $ | 447 |
|
| Cards | 525 |
| 435 |
|
| Installment and other | 414 |
| 443 |
|
| | $ | 1,276 |
| $ | 1,325 |
|
| Total consumer renegotiated loans | $ | 6,559 |
| $ | 7,450 |
|
| |
(1) | Includes $769 million and $445 million of non-accrual loans included in the non-accrual loans table above at September 30, 2017 and December 31, 2016, respectively. The remaining loans are accruing interest. |
| |
(2) | In addition to modifications reflected as TDRs at September 30, 2017, Citi also modified $86 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators), all within offices in the U.S. These modifications were not considered TDRs because the modifications did not involve a concession. |
| |
(3) | Includes $1,368 million and $1,502 million of non-accrual loans included in the non-accrual loans table above at September 30, 2017 and December 31, 2016, respectively. The remaining loans are accruing interest. |
| |
(4) | Includes $42 million and $58 million of commercial real estate loans at September 30, 2017 and December 31, 2016, respectively. |
| |
(5) | Includes $162 million and $105 million of other commercial loans at September 30, 2017 and December 31, 2016, 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 20162019 Annual Report on Form 10-K.
High-Quality Liquid Assets (HQLA)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Citibank | | | Citi non-bank and other entities | | | Total | | |
| In billions of dollars | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2019 | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2019 |
| Available cash | $ | 273.8 | | $ | 170.9 | | $ | 102.1 | | $ | 2.9 | | $ | 3.1 | | $ | 42.1 | | $ | 276.7 | | $ | 174.0 | | $ | 144.2 | |
| U.S. sovereign | 67.5 | | 92.1 | | 93.8 | | 42.2 | | 34.7 | | 37.0 | | 109.7 | | 126.8 | | 130.8 | |
| U.S. agency/agency MBS | 36.4 | | 52.4 | | 57.5 | | 7.0 | | 7.2 | | 4.8 | | 43.4 | | 59.6 | | 62.3 | |
Foreign government debt(1) | 46.6 | | 66.3 | | 61.9 | | 11.4 | | 12.7 | | 4.0 | | 58.0 | | 78.9 | | 65.9 | |
| Other investment grade | 1.3 | | 1.5 | | 3.1 | | 0.7 | | 1.1 | | 0.7 | | 2.0 | | 2.7 | | 3.8 | |
| Total HQLA (AVG) | $ | 425.6 | | $ | 383.2 | | $ | 318.4 | | $ | 64.2 | | $ | 58.8 | | $ | 88.6 | | $ | 489.8 | | $ | 442.0 | | $ | 407.0 | |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Citibank | Non-Bank and Other(1) | Total |
| In billions of dollars | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 |
| Available cash | $ | 89.8 |
| $ | 78.5 |
| $ | 71.1 |
| $ | 25.7 |
| $ | 35.0 |
| $ | 19.2 |
| $ | 115.5 |
| $ | 113.5 |
| $ | 90.2 |
|
| U.S. sovereign | 114.5 |
| 110.6 |
| 122.3 |
| 28.6 |
| 23.2 |
| 21.8 |
| 143.1 |
| 133.8 |
| 144.1 |
|
| U.S. agency/agency MBS | 80.4 |
| 63.2 |
| 62.6 |
| 0.3 |
| 1.1 |
| 0.2 |
| 80.7 |
| 64.3 |
| 62.8 |
|
Foreign government debt(2) | 82.2 |
| 102.4 |
| 89.2 |
| 17.3 |
| 17.7 |
| 15.5 |
| 99.6 |
| 120.1 |
| 104.7 |
|
| Other investment grade | 0.7 |
| 0.4 |
| 1.0 |
| 1.2 |
| 1.2 |
| 1.5 |
| 1.9 |
| 1.6 |
| 2.5 |
|
| 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 |
|
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 funding transactions.
| |
(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, Korea, Taiwan, Singapore, India, Brazil and Mexico. |
As set forth inapplicable under the U.S. LCR rule. The table above sequentially, Citi’s total 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,incorporates various restrictions that could limit the sequential increase in Citi’s total HQLA was also impacted by an increase in average cash.
Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLBs)transferability of which Citi is a member, which was approximately $16 billion as of September 30, 2017 (compared to $18 billion as of June 30, 2017 and $24 billion as of September 30, 2016) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.
In general, Citi’s liquidity is fungible acrossbetween legal entities, within its bank group. Citi’s bank subsidiaries, including Citibank, can lend to the Citi parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act.
(1) Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Japan, Mexico, Singapore, Hong Kong and Canada.
The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated Liquidity Coverage ratio (LCR), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to other entities within Citigroup.
Citigroup’s HQLA increased quarter-over-quarter, reflecting long-term debt issuance and a portion of the deposit growth at Citibank. While this deposit growth significantly increased liquidity at Citibank, a significant amount of this liquidity was not assumed to be transferable to other entities within Citigroup and therefore not included in Citi’s consolidated HQLA.
As of September 30, 2017, the capacity available for lending to these entities under Section 23A was approximately $15 billion, unchanged from both June 30, 20172020, Citigroup had approximately $900 billion of available liquidity resources to support client and Septemberbusiness needs, including end-of-period HQLA assets; additional unencumbered securities, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup; and available assets not already accounted for within the Citi’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.
Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)
In addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity by reference to the LCR. The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
| | | | | | | | | | | |
| In billions of dollars | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2019 |
| HQLA | $ | 489.8 | | $ | 442.0 | | $ | 407.0 | |
| Net outflows | 420.1 | | 385.8 | | 353.5 | |
| LCR | 117 | % | 115 | % | 115 | % |
| HQLA in excess of net outflows | $ | 69.7 | | $ | 56.2 | | $ | 53.5 | |
Note: The amounts are presented on an average basis.
As of June 30, 2016, subject to certain eligible non-cash collateral requirements.2020, Citigroup’s average LCR increased modestly from the quarter ended March 31, 2020, primarily reflecting the issuance of long-term debt.
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 dollars | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2019 |
| Global Consumer Banking | | | |
| North America | $ | 181.0 | | $ | 193.3 | | $ | 185.3 | |
| Latin America | 13.4 | | 16.7 | | 17.1 | |
Asia(1) | 77.1 | | 80.3 | | 77.7 | |
| Total | $ | 271.5 | | $ | 290.3 | | $ | 280.1 | |
| Institutional Clients Group | | | |
| Corporate lending | $ | 190.4 | | $ | 159.9 | | $ | 162.0 | |
| Treasury and trade solutions (TTS) | 71.0 | | 73.1 | | 73.2 | |
| Private bank | 108.9 | | 109.9 | | 101.2 | |
Markets and securities services and other | 52.0 | | 52.1 | | 50.6 | |
| Total | $ | 422.3 | | $ | 395.0 | | $ | 387.0 | |
Total Corporate/Other | $ | 9.0 | | $ | 9.4 | | $ | 12.5 | |
| Total Citigroup loans (AVG) | $ | 702.8 | | $ | 694.7 | | $ | 679.6 | |
| Total Citigroup loans (EOP) | $ | 685.3 | | $ | 721.0 | | $ | 688.7 | |
|
| | | | | | | | | |
| In billions of dollars | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 |
| Global Consumer Banking | | | |
| North America | $ | 186.7 |
| $ | 183.4 |
| $ | 177.8 |
|
| Latin America | 26.8 |
| 25.5 |
| 24.2 |
|
Asia(1) | 86.2 |
| 84.9 |
| 85.5 |
|
| Total | $ | 299.7 |
| $ | 293.8 |
| $ | 287.5 |
|
| Institutional Clients Group | | | |
| Corporate lending | 123.3 |
| 121.5 |
| 124.0 |
|
| Treasury and trade solutions (TTS) | 74.9 |
| 73.7 |
| 71.1 |
|
| Private Bank | 82.6 |
| 79.0 |
| 74.2 |
|
Markets and securities services and other | 40.1 |
| 38.2 |
| 37.2 |
|
| Total | $ | 320.9 |
| $ | 312.4 |
| $ | 306.6 |
|
Total Corporate/Other | 25.8 |
| 28.2 |
| 40.9 |
|
| Total Citigroup loans (AVG) | $ | 646.3 |
| $ | 634.3 |
| $ | 634.9 |
|
| Total Citigroup loans (EOP) | $ | 653.2 |
| $ | 644.7 |
| $ | 638.4 |
|
| |
(1) | Includes loans in certain EMEA countries for all periods presented.
|
(1)Includes loans in certain EMEA countries for all periods presented.
As set forth in
End-of-period loans were largely unchanged year-over-year and declined 5% sequentially. Excluding the table above,impact of FX translation, end-of-period loans increased 2%1% year-over-year and 1% quarter-over-quarter. declined 6% sequentially.
On an average basis, loans increased 2% both3% year-over-year and quarter-over-quarter.
1% sequentially. Excluding the impact of FX translation, average loans increased 1% both5% year-over-year and quarter-over-quarter.2% sequentially. On this basis, average GCB loans grew 4%declined 1% year-over-year, driven by 5% growthreflecting the impact of lower customer spending activity in North America. International GCB Citi’s cards businesses across regions related to the pandemic.
Excluding the impact of FX translation, average ICGloans increased 1%11% year-over-year. Loans in corporate lending grew 21% on an average basis, as Citi continued to provide new loans and facilitate draws for clients seeking to bolster liquidity. On an end-of-period basis, loans in corporate lending declined 12% sequentially, reflecting significant repayments as Citi assisted its clients in accessing the capital markets.
Average Corporate/Other loans continued to decline (down 28%), driven by 6% growth in Mexico, while Asia 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 compared to the prior-year period. Treasury and trade solutions loans increased 5%, 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 dollars | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2019 |
Global Consumer Banking(1) | | | |
| North America | $ | 172.5 | | $ | 161.3 | | $ | 151.6 | |
| Latin America | 20.6 | | 22.9 | | 22.8 | |
Asia(2) | 108.8 | | 105.9 | | 100.8 | |
| Total | $ | 301.9 | | $ | 290.1 | | $ | 275.2 | |
| Institutional Clients Group | | | |
| Treasury and trade solutions (TTS) | $ | 667.5 | | $ | 571.3 | | $ | 522.1 | |
Banking ex-TTS | 143.5 | | 140.1 | | 133.1 | |
| Markets and securities services | 108.2 | | 100.1 | | 93.9 | |
| Total | $ | 919.2 | | $ | 811.5 | | $ | 749.1 | |
| Corporate/Other | $ | 12.8 | | $ | 12.9 | | $ | 15.6 | |
| Total Citigroup deposits (AVG) | $ | 1,233.9 | | $ | 1,114.5 | | $ | 1,039.9 | |
| Total Citigroup deposits (EOP) | $ | 1,233.7 | | $ | 1,184.9 | | $ | 1,045.6 | |
|
| | | | | | | | | |
| In billions of dollars | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 |
| Global Consumer Banking | | | |
| North America | $ | 184.1 |
| $ | 185.1 |
| $ | 183.9 |
|
| Latin America | 28.8 |
| 27.8 |
| 25.7 |
|
Asia(1) | 95.2 |
| 94.3 |
| 91.6 |
|
| Total | $ | 308.1 |
| $ | 307.2 |
| $ | 301.2 |
|
| Institutional Clients Group | | | |
| Treasury and trade solutions (TTS) | 427.8 |
| 423.9 |
| 414.6 |
|
| Banking ex-TTS | 122.4 |
| 122.1 |
| 119.6 |
|
| Markets and securities services | 84.7 |
| 84.3 |
| 84.1 |
|
| Total | $ | 634.9 |
| $ | 630.3 |
| $ | 618.4 |
|
| Corporate/Other | 22.9 |
| 22.5 |
| 24.7 |
|
| Total Citigroup deposits (AVG) | $ | 965.9 |
| $ | 960.0 |
| $ | 944.2 |
|
| Total Citigroup deposits (EOP) | $ | 964.0 |
| $ | 958.7 |
| $ | 940.3 |
|
| |
(1) | Includes deposits in certain EMEA countriesfor all periods presented.
|
(2)Includes deposits in certain EMEA countriesfor all periods presented.
End-of-period deposits increased 3%18% year-over-year and 1% quarter-over-quarter. 4% sequentially. Excluding the impact of FX translation, end-of-period deposits increased 20% year-over-year and 3% sequentially.
On an average basis, deposits increased 2%19% year-over-year and 1%11% sequentially.
Excluding the impact of FX translation, average deposits grew 2%21% from the prior-year period and 12% sequentially.
On this basis, average deposits in GCB increased 12%, with strong growth across all regions. In North America GCB, average deposits grew 14% driven primarily by 3% growtha combination of factors, including the delay of tax payments, government stimulus payments and a reduction in treasury and trade solutions,overall spending, as well as 4% aggregateCiti’s continued strategic efforts to drive organic growth.
Excluding the impact of FX translation, average deposits in ICG grew 25% year-over-year, primarily driven by 30% growth in AsiaTTS, as well as continued growth in the private bank 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.securities services.
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 6.88.7 years as of SeptemberJune 30, 2017, a modest decline from both the prior-year period and2020, compared to 8.5 years as of the prior year and 9.0 years as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities that are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes benchmark senior and subordinated debt and 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 dollars | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 | In billions of dollars | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2019 |
Parent and other(1) |
|
|
|
|
|
| Parent and other(1) | |
| Benchmark debt: | | Benchmark debt: | |
| Senior debt | $ | 109.8 |
| $ | 105.9 |
| $ | 97.1 |
| Senior debt | $ | 126.9 | | $ | 115.5 | | $ | 111.2 | |
| Subordinated debt | 27.0 |
| 26.8 |
| 28.8 |
| Subordinated debt | 27.6 | | 27.5 | | 25.5 | |
| Trust preferred | 1.7 |
| 1.7 |
| 1.7 |
| Trust preferred | 1.7 | | 1.7 | | 1.7 | |
| Customer-related debt: |
| |
| Structured debt | 27.0 |
| 25.3 |
| 23.6 |
| |
| Non-structured debt | 3.3 |
| 3.1 |
| 3.5 |
| |
| Customer-related debt | | Customer-related debt | 60.4 | | 51.7 | | 47.9 | |
Local country and other(2) | 1.8 |
| 2.1 |
| 2.7 |
| Local country and other(2) | 7.7 | | 7.3 | | 3.3 | |
| Total parent and other | $ | 170.6 |
| $ | 164.9 |
| $ | 157.4 |
| Total parent and other | $ | 224.3 | | $ | 203.7 | | $ | 189.6 | |
| Bank |
|
|
|
|
|
| Bank | | | |
| FHLB borrowings | $ | 19.8 |
| $ | 20.3 |
| $ | 21.6 |
| FHLB borrowings | $ | 15.0 | | $ | 16.0 | | $ | 7.7 | |
Securitizations(3) | 28.6 |
| 28.2 |
| 24.4 |
| Securitizations(3) | 17.6 | | 20.8 | | 25.9 | |
| CBNA benchmark senior debt | 9.5 |
| 7.2 |
| — |
| |
| Citibank benchmark senior debt | | Citibank benchmark senior debt | 16.3 | | 22.2 | | 25.4 | |
Local country and other(2) | 4.2 |
| 4.5 |
| 5.7 |
| Local country and other(2) | 6.6 | | 3.4 | | 3.6 | |
| Total bank | $ | 62.1 |
| $ | 60.2 |
| $ | 51.7 |
| Total bank | $ | 55.5 | | $ | 62.4 | | $ | 62.6 | |
| Total long-term debt | $ | 232.7 |
| $ | 225.2 |
| $ | 209.1 |
| Total long-term debt | $ | 279.8 | | $ | 266.1 | | $ | 252.2 | |
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which,that, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
| |
(1) | “Parent and other” includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of September 30, 2017, “parent and other” included $18.7billion of long-term debt issued by Citi’s broker-dealer and other non-bank subsidiaries.
|
| |
(2) | Local country debt includes debt issued by Citi’s affiliates in support of their local operations. |
| |
(3) | Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables. |
(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 June 30, 2020, parent and other included $55.3 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries, as well as certain Citigroup consolidated hedging activities.
(2)Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within parent and other, certain secured financing is also included. Within bank, borrowings under certain U.S. government-sponsored liquidity programs are also included.
(3)Predominantly credit card securitizations, primarily backed by 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 unsecured benchmark senior debt and customer-related debt at the parent, as well as the issuance ofnon-bank entities, partially offset by declines in unsecured benchmark senior debt and securitizations at the bank. Year-over-year, the increase in long-term debt was also driven by an increase in FHLB borrowings at the bank.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to redeem or repurchase its long-term debt pursuant to open market purchases, tender offers/redemptionsoffers or other means. Such redemptions and repurchases help reduce Citi’s overall funding costs (and assist it in meeting regulatory requirements).costs. During the thirdsecond quarter of 2017,2020, Citi redeemed or repurchased an aggregate of approximately $0.3$7.1 billion of its outstanding long-term debt.
Long-Term Debt Issuances and Maturities
The table below details Citi’s long-term debt issuances and maturities (including repurchases and redemptions) during the periods presented:
| | | | | | | | | | | | | | | | | | | | |
| | 2Q20 | | 1Q20 | | 2Q19 | |
| In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances |
| Parent and other | | | | | | |
| Benchmark debt: | | | | | | |
| Senior debt | $ | — | | $ | 10.3 | | $ | 2.1 | | $ | 7.6 | | $ | 5.1 | | $ | 4.5 | |
| Subordinated debt | — | | — | | — | | — | | — | | — | |
| Trust preferred | — | | — | | — | | — | | — | | — | |
| Customer-related debt | 8.4 | | 10.3 | | 6.4 | | 13.0 | | 3.2 | | 7.5 | |
| Local country and other | 0.2 | | 0.3 | | 0.4 | | 0.3 | | 0.3 | | 0.2 | |
| Total parent and other | $ | 8.6 | | $ | 20.9 | | $ | 8.9 | | $ | 20.9 | | $ | 8.6 | | $ | 12.2 | |
| Bank | | | | | | |
| FHLB borrowings | $ | 1.0 | | $ | — | | $ | 2.4 | | $ | 12.9 | | $ | 2.8 | | $ | — | |
| Securitizations | 3.3 | | — | | 0.1 | | — | | 0.1 | | — | |
| Citibank benchmark senior debt | 6.0 | | — | | 1.0 | | — | | — | | 3.9 | |
| Local country and other | 0.4 | | 3.5 | | 0.6 | | 0.3 | | 0.4 | | 0.2 | |
| Total bank | $ | 10.7 | | $ | 3.5 | | $ | 4.1 | | $ | 13.2 | | $ | 3.3 | | $ | 4.1 | |
| Total | $ | 19.3 | | $ | 24.4 | | $ | 13.0 | | $ | 34.1 | | $ | 11.9 | | $ | 16.3 | |
|
| | | | | | | | | | | | | | | | | | |
| | 3Q17 | 2Q17 | 3Q16 |
| In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances |
| Parent and other |
|
|
|
|
|
|
|
|
|
|
|
|
| Benchmark debt: | | | | | | |
| Senior debt | $ | 2.5 |
| $ | 5.7 |
| $ | 2.0 |
| $ | 6.3 |
| $ | 3.3 |
| $ | 4.5 |
|
| Subordinated debt | — |
| — |
| — |
| 0.2 |
| 1.3 |
| 1.5 |
|
| Trust preferred | — |
| — |
| — |
| — |
| — |
| — |
|
| Customer-related debt: |
|
| | | | |
| Structured debt | 1.7 |
| 2.9 |
| 2.0 |
| 3.6 |
| 2.2 |
| 3.0 |
|
| Non-structured debt | 0.1 |
| 0.1 |
| 0.3 |
| — |
| 0.1 |
| 0.2 |
|
| Local country and other | 0.4 |
| — |
| 0.1 |
| — |
| 0.1 |
| 0.4 |
|
| Total parent and other | $ | 4.7 |
| $ | 8.7 |
| $ | 4.3 |
| $ | 10.2 |
| $ | 6.9 |
| $ | 9.6 |
|
| Bank |
|
|
|
|
|
|
|
|
|
|
|
|
| FHLB borrowings | $ | 1.5 |
| $ | 1.0 |
| $ | 1.5 |
| $ | 1.5 |
| $ | 2.8 |
| $ | 5.8 |
|
| Securitizations | 1.8 |
| 2.2 |
| 0.9 |
| 5.1 |
| 3.0 |
| — |
|
| CBNA benchmark senior debt | — |
| 2.2 |
| — |
| 4.7 |
| — |
| — |
|
| Local country and other | 0.5 |
| 0.5 |
| 0.7 |
| 0.3 |
| 0.9 |
| 0.9 |
|
| Total bank | $ | 3.8 |
| $ | 5.9 |
| $ | 3.0 |
| $ | 11.6 |
| $ | 6.7 |
| $ | 6.7 |
|
| Total | $ | 8.5 |
| $ | 14.6 |
| $ | 7.4 |
| $ | 21.8 |
| $ | 13.6 |
| $ | 16.3 |
|
The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2017,2020, as well as its aggregate expected annualremaining long-term debt maturities by year as of SeptemberJune 30, 2017:2020: | | | | Maturities 2017 YTD | Maturities | | 2020 YTD | Maturities | |
| In billions of dollars | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | Thereafter | Total | In billions of dollars | | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | Thereafter | Total |
| Parent and other |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Parent and other | | | | |
| Benchmark debt: | | | |
| Benchmark debt: | | | | |
| Senior debt | $ | 9.8 |
| $ | 4.3 |
| $ | 18.4 |
| $ | 14.7 |
| $ | 8.9 |
| $ | 14.4 |
| $ | 6.0 |
| $ | 43.1 |
| $ | 109.8 |
| Senior debt | $ | 2.1 | | $ | 4.4 | | $ | 14.3 | | $ | 11.5 | | $ | 12.7 | | $ | 8.6 | | $ | 7.6 | | $ | 67.9 | | $ | 126.9 | |
| Subordinated debt | 1.2 |
| 0.4 |
| 1.0 |
| 1.4 |
| — |
| — |
| 0.8 |
| 23.4 |
| 27.0 |
| Subordinated debt | — | | — | | — | | 0.7 | | 1.3 | | 1.1 | | 5.3 | | 19.2 | | 27.6 | |
| Trust preferred | — |
| — |
| — |
| — |
| — |
| — |
| — |
| 1.7 |
| 1.7 |
| Trust preferred | — | | — | | — | | — | | — | | — | | — | | 1.7 | | 1.7 | |
| Customer-related debt: | | | |
| |
| Structured debt | 5.5 |
| 0.3 |
| 3.6 |
| 2.3 |
| 3.2 |
| 2.3 |
| 1.4 |
| 13.9 |
| 27.0 |
| |
| Non-structured debt | 0.5 |
| — |
| 0.6 |
| 0.2 |
| 0.3 |
| 0.1 |
| 0.2 |
| 1.9 |
| 3.3 |
| |
| Customer-related debt | | Customer-related debt | 14.8 | | 4.1 | | 7.7 | | 7.2 | | 5.2 | | 3.8 | | 3.0 | | 29.4 | | 60.4 | |
| Local country and other | 1.0 |
| — |
| 0.7 |
| 0.1 |
| 0.1 |
| 0.1 |
| — |
| 0.8 |
| 1.8 |
| Local country and other | 0.6 | | 0.8 | | 3.6 | | 1.5 | | 0.2 | | — | | — | | 1.5 | | 7.7 | |
| Total parent and other | $ | 18.0 |
| $ | 5.0 |
| $ | 24.3 |
| $ | 18.7 |
| $ | 12.5 |
| $ | 16.9 |
| $ | 8.4 |
| $ | 84.8 |
| $ | 170.6 |
| Total parent and other | $ | 17.5 | | $ | 9.3 | | $ | 25.6 | | $ | 20.9 | | $ | 19.4 | | $ | 13.5 | | $ | 15.9 | | $ | 119.7 | | $ | 224.3 | |
| Bank |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Bank | | | | |
| FHLB borrowings | $ | 4.8 |
| $ | 3.0 |
| $ | 15.3 |
| $ | 1.6 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 19.8 |
| FHLB borrowings | $ | 3.4 | | $ | 2.1 | | $ | 7.7 | | $ | 5.3 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 15.0 | |
| Securitizations | 4.7 |
| 0.6 |
| 9.4 |
| 6.5 |
| 4.4 |
| 3.8 |
| 1.2 |
| 2.7 |
| 28.6 |
| Securitizations | 3.3 | | 1.1 | | 7.0 | | 2.2 | | 2.5 | | 1.1 | | 0.4 | | 3.3 | | 17.6 | |
| CBNA benchmark debt | — |
| — |
| 2.2 |
| 4.7 |
| 2.5 |
| — |
| — |
| — |
| 9.5 |
| |
| Citibank benchmark senior debt | | Citibank benchmark senior debt | 7.0 | | 2.8 | | 5.1 | | 5.6 | | — | | 2.8 | | — | | — | | 16.3 | |
| Local country and other | 2.4 |
| 0.7 |
| 1.8 |
| 0.7 |
| 0.5 |
| 0.2 |
| 0.1 |
| 0.3 |
| 4.2 |
| Local country and other | 1.1 | | 1.0 | | 0.5 | | 4.0 | | 0.2 | | 0.5 | | — | | 0.2 | | 6.6 | |
| Total bank | $ | 11.8 |
| $ | 4.2 |
| $ | 28.7 |
| $ | 13.5 |
| $ | 7.4 |
| $ | 4.0 |
| $ | 1.3 |
| $ | 3.1 |
| $ | 62.1 |
| Total bank | $ | 14.8 | | $ | 7.0 | | $ | 20.3 | | $ | 17.1 | | $ | 2.7 | | $ | 4.4 | | $ | 0.4 | | $ | 3.5 | | $ | 55.5 | |
| Total long-term debt | $ | 29.8 |
| $ | 9.3 |
| $ | 53.0 |
| $ | 32.2 |
| $ | 19.8 |
| $ | 20.9 |
| $ | 9.7 |
| $ | 87.9 |
| $ | 232.7 |
| Total long-term debt | $ | 32.3 | | $ | 16.3 | | $ | 45.9 | | $ | 38.0 | | $ | 22.1 | | $ | 17.9 | | $ | 16.3 | | $ | 123.2 | | $ | 279.8 | |
Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowingsfinancings that generally include (i) secured funding transactions (securitiesconsisting of securities loaned or sold under agreements to repurchase, or repos)i.e., repos, and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants (see Note 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 (i) secured lending activity and (ii) 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 isare typically collateralized by foreign government debt securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and securities inventory.
Secured funding of $161$216 billion as of SeptemberJune 30, 20172020 increased 5%19% from the prior-year period and 4%declined 3% sequentially. Excluding the impact of FX translation, secured funding increased 3%22% from both the prior-year period and declined 4% sequentially, both driven by normal business activity. AverageThe average balances for secured funding were approximately $158$225 billion for the quarter ended SeptemberJune 30, 2017.2020.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less liquid securities, including equity securities, corporate bonds and asset-backed securities. Thesecurities, the tenor of Citi’s matched book liabilitieswhich is generally equal to or longer than the tenor of the corresponding matched book assets.
The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and stipulating financing tenor.establishing minimum required funding tenors. The weighted average maturity of Citi’s secured funding of less liquid securities inventory was greater than 110 days as of SeptemberJune 30, 2017.2020.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors,tenor, haircut, collateral profile and client actions.
Additionally, In addition, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.
Liquidity Coverage Ratio (LCR)Short-Term Borrowings
In addition to internal measures that Citi has developed forCiti’s short-term borrowings of $40 billion decreased 5% year-over-year and 27% sequentially, primarily driven by a 30-day stress scenario, Citi also monitors its liquidity by referencedecline in FHLB 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 dollars | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 |
| HQLA | $ | 448.6 |
| $ | 424.4 |
| $ | 403.8 |
|
| Net outflows | 365.1 |
| 338.2 |
| 335.3 |
|
| LCR | 123 | % | 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-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/F1 at Fitch as of SeptemberJune 30, 2017.2020.
Ratings as of June 30, 2020
|
| | | | | | | | | | | | | | | | | | | |
| Citigroup Inc. | | | Citibank, N.A. | | |
| Senior
debt
| Commercial
paper
| Outlook | Long-
term
| Short-
term
| Outlook |
| Fitch Ratings (Fitch) | A | F1 | StableNegative | A+ | F1 | StableNegative |
| Moody’s Investors Service (Moody’s) | Baa1A3 | P-2 | Stable | A1Aa3 | P-1 | Stable |
| Standard & Poor’s (S&P) | BBB+ | A-2 | Stable | A+ | A-1 | 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 20162019 Annual Report on Form 10-K.
Citigroup Inc. and Citibank—Potential Derivative Triggers
As of SeptemberJune 30, 2017,2020, 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$0.5 billion, compared to $0.7$0.6 billion as of June 30, 2017.March 31, 2020. 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, 2017,2020, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity due to derivative triggers by approximately $0.5$0.4 billion, compared to $0.3$0.6 billion as of March 31, 2020.
In total, as of June 30, 2017, due to derivative triggers.
In total,2020, 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$1.0 billion, compared to $1.0$1.2 billion as of June 30, 2017March 31, 2020 (see also Note 19 to the Consolidated Financial Statements). As set forthdetailed under “High-Quality Liquid Assets” above, theCitigroup has various liquidity resources of Citibank were approximately $371 billionavailable to its bank and the liquidity resources of Citi’s non-bank and other entities were approximately $78 billion, for a total of approximately $449 billion as of September 30, 2017. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could
substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.
Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank’s senior debt/long-term rating by S&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, 2020, Citibank had liquidity commitments of approximately $10.0$11.0 billion to consolidated asset-backed commercial paper conduits, compared to $12.2 billion as of September 30, 2017 and June 30, 2017March 31, 2020 (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 clientsclients’ 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 20162019 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:
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| In millions of dollars, except as otherwise noted | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2019 |
| Estimated annualized impact to net interest revenue | | | |
U.S. dollar(1) | $ | 27 | | $ | (142) | | $ | 404 | |
| All other currencies | 683 | | 660 | | 659 | |
| Total | $ | 710 | | $ | 518 | | $ | 1,063 | |
| As a percentage of average interest-earning assets | 0.03 | % | 0.03 | % | 0.06 | % |
Estimated initial impact to AOCI (after-tax)(2) | $ | (5,705) | | $ | (5,746) | | $ | (3,738) | |
| Estimated initial impact on Common Equity Tier 1 Capital ratio (bps) | (35) | | (34) | | (23) | |
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| | | | | | | | | |
| In millions of dollars (unless otherwise noted) | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 |
| Estimated annualized impact to net interest revenue | | | |
U.S. dollar(1) | $ | 1,449 |
| $ | 1,435 |
| $ | 1,405 |
|
| All other currencies | 610 |
| 589 |
| 574 |
|
| Total | $ | 2,059 |
| $ | 2,024 |
| $ | 1,979 |
|
| As a percentage of average interest-earning assets | 0.12 | % | 0.12 | % | 0.12 | % |
Estimated initial impact to AOCI (after-tax)(2) | $ | (4,206 | ) | $ | (4,258 | ) | $ | (4,868 | ) |
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3) | (48 | ) | (49 | ) | (53 | ) |
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(1) | (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) million for a 100 basis point instantaneous increase in interest rates as of September 30, 2017. |
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(2) | Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments. |
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(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 slightly onin 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 $(265) million for a sequential basis, reflecting100 bps instantaneous increase in interest rates as of June 30, 2020.
(2)Includes the effect of changes in balance sheet composition.interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
As shown in the table above, Citi increased its net interest revenue exposure to an increase in interest rates. The sequential decreaseincrease was predominantly in U.S. dollar exposure, which changed from a liability-sensitive $(142) million as of March 31, 2020 to a more asset-sensitive $27 million as of June 30, 2020, primarily driven by placement of a large increase in deposits into cash equivalents and investments.
The relatively small quarterly change in the estimated impact to AOCI primarily reflected changes toa continuation of the positioning strategy of Citi Treasury’s investment securities and related interest rate derivatives portfolio.
In the event of an unanticipateda 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, 2017,2020, Citi expects that the negative $4.2$5.7 billion impact to AOCI in such a scenario could potentially be offset over approximately 2338 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 monitorsThe 100 bps downward rate scenarios are impacted by the impactlow level 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.several countries and the assumption that market interest rates, as well as rates paid to depositors and charged to borrowers, do not fall below zero (i.e., the “flooring assumption”). The rate scenarios are also impacted by convexity related to mortgage products.
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| In millions of dollars (unless otherwise noted) | Scenario 1 | Scenario 2 | Scenario 3 | Scenario 4 |
| Overnight rate change (bps) | 100 |
| 100 |
| — |
| — |
|
| 10-year rate change (bps) | 100 |
| — |
| 100 |
| (100 | ) |
Estimated annualized impact to net interest revenue | | | | |
| U.S. dollar | $ | 1,449 |
| $ | 1,369 |
| $ | 89 |
| $ | (130 | ) |
| All other currencies | 610 |
| 554 |
| 34 |
| (34 | ) |
| Total | $ | 2,059 |
| $ | 1,923 |
| $ | 123 |
| $ | (164 | ) |
Estimated initial impact to AOCI (after-tax)(1) | $ | (4,206 | ) | $ | (2,542 | ) | $ | (1,632 | ) | $ | 1,077 |
|
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2) | (48 | ) | (29 | ) | (19 | ) | 12 |
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Note: Each scenarioAdditionally, 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.
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(1) | Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments. |
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(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,below, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under scenarioScenario 2 as compared to scenarioScenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter- and intermediate-term maturities.
In recent years, a number of central banks, including
| | | | | | | | | | | | | | | | | |
| In millions of dollars, except as otherwise noted | Scenario 1 | Scenario 2 | Scenario 3 | Scenario 4 | Scenario 5 |
| Overnight rate change (bps) | 100 | | 100 | | — | | — | | (100) | |
| 10-year rate change (bps) | 100 | | — | | 100 | | (100) | | (100) | |
Estimated annualized impact to net interest revenue | | | | | |
| U.S. dollar | $ | 27 | | $ | 95 | | $ | 239 | | $ | (147) | | $ | (219) | |
| All other currencies | 683 | | 602 | | 37 | | (37) | | (354) | |
| Total | $ | 710 | | $ | 697 | | $ | 276 | | $ | (184) | | $ | (573) | |
Estimated initial impact to AOCI (after-tax)(1) | $ | (5,705) | | $ | (3,901) | | $ | (2,004) | | $ | 1,449 | | $ | 3,019 | |
| Estimated initial impact to Common Equity Tier 1 Capital ratio (bps) | (35) | | (24) | | (13) | | 8 | | 13 | |
Note: Each scenario assumes that the European Central Bank,rate change will occur instantaneously. Changes in interest rates for maturities between the Bank of Japanovernight rate and the Swiss National Bank, have implemented negative10-year rate are interpolated.
(1)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges 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).pension liability adjustments.
Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of SeptemberJune 30, 2017,2020, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.6$1.4 billion, or 0.9%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, theIndian rupee, Euro and the Australian dollar.
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign-currency-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.
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| For the quarter ended | | |
| In millions of dollars, except as otherwise noted | Jun. 30, 2020 | Mar. 31, 2020 | Jun. 30, 2019 |
Change in FX spot rate(1) | 2.1 | % | (9.2) | % | 0.4 | % |
| Change in TCE due to FX translation, net of hedges | $ | 418 | | $ | (3,201) | | $ | 56 | |
| As a percentage of TCE | 0.3 | % | (2.1) | % | — | % |
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps) | (0.2) | | (5) | | — | |
(1) FX spot rate change is a weighted average based upon Citi’s quarterly average GAAP capital exposure to foreign countries.
74
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| | For the quarter ended |
| In millions of dollars (unless otherwise noted) | Sept. 30, 2017 | Jun. 30, 2017 | Sept. 30, 2016 |
Change in FX spot rate(1) | 1.1 | % | 1.9 | % | (0.2 | )% |
| Change in TCE due to FX translation, net of hedges | $ | 222 |
| $ | 478 |
| $ | (412 | ) |
| As a percentage of TCE | 0.1 | % | 0.3 | % | (0.2 | )% |
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due to changes in FX translation, net of hedges (bps) | (3 | ) | (3 | ) | (2 | ) |
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(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)
| | | | 3rd Qtr. | | 2nd Qtr. | | 3rd Qtr. | | Change | | 2nd Qtr. | | 1st Qtr. | | 2nd Qtr. | | Change | |
| In millions of dollars, except as otherwise noted | 2017 | | 2017 | | 2016 | | 3Q17 vs. 3Q16 | In millions of dollars, except as otherwise noted | 2020 | | 2020 | | 2019 | | 2Q20 vs. 2Q19 | |
Interest revenue(1) | $ | 15,944 |
| | $ | 15,323 |
| | $ | 14,767 |
| | 8 | % | | Interest revenue(1) | $ | 14,632 | | | $ | 17,185 | | | $ | 19,761 | | | (26) | % | |
Interest expense(2) | 4,379 |
| | 4,036 |
| | 3,174 |
| | 38 |
| | Interest expense(2) | 3,509 | | | 5,647 | | | 7,762 | | | (55) | | |
| Net interest revenue | $ | 11,565 |
| | $ | 11,287 |
| | $ | 11,593 |
| | — | % | | |
| Interest revenue—average rate | 3.75 | % | | 3.70 | % | | 3.65 | % | | 10 |
| bps | |
| Net interest revenue, taxable equivalent basis | | Net interest revenue, taxable equivalent basis | $ | 11,123 | | | $ | 11,538 | | | $ | 11,999 | | | (7) | % | |
Interest revenue—average rate(3) | | Interest revenue—average rate(3) | 2.85 | % | | 3.69 | % | | 4.40 | % | | (155) | | bps |
| Interest expense—average rate | 1.33 |
| | 1.26 |
| | 1.03 |
| | 30 |
| bps | Interest expense—average rate | 0.83 | | | 1.49 | | | 2.14 | | | (131) | | bps |
Net interest margin(3) | 2.72 |
| | 2.72 |
| | 2.86 |
| | (14 | ) | bps | |
Net interest margin(3)(4) | | Net interest margin(3)(4) | 2.17 | | | 2.48 | | | 2.67 | | | (50) | | bps |
| Interest-rate benchmarks | | | | | | | | | Interest-rate benchmarks | | |
| Two-year U.S. Treasury note—average rate | 1.36 | % | | 1.30 | % | | 0.73 | % | | 63 |
| bps | Two-year U.S. Treasury note—average rate | 0.19 | % | | 1.08 | % | | 2.13 | % | | (194) | | bps |
| 10-year U.S. Treasury note—average rate | 2.24 |
| | 2.26 |
| | 1.56 |
| | 68 |
| bps | 10-year U.S. Treasury note—average rate | 0.69 | | | 1.37 | | | 2.34 | | | (165) | | bps |
| 10-year vs. two-year spread | 88 |
| bps | 96 |
| bps | 83 |
| bps | |
| | 10-year vs. two-year spread | 50 | | bps | 29 | | bps | 21 | | bps | |
Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments.assessments outside of the U.S.
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(1) | Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $123 million, $122 million, and $114 million for the three months ended September 30, 2017, June 30, 2017 and September 30, 2016, respectively.
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(2) | Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statements of Income and is therefore not reflected in Interest expense in the table above.
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(3) | Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest-earning assets. |
(1)Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21% of $43 million, $46 million and $49 million for the three months ended June 30, 2020, March 31, 2020, and June 30, 2019, respectively.
(2)Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statement 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 net interest revenue by average interest-earning assets.
Net Interest Revenue Excluding ICG Markets
| | | | | | | | | | | | | | | | | | | | | | | |
| 2nd Qtr. | | 1st Qtr. | | 2nd Qtr. | | Change |
| In millions of dollars | 2020 | | 2020 | | 2019 | | 2Q20 vs. 2Q19 |
Net interest revenue—taxable equivalent basis(1) per above | $ | 11,123 | | | $ | 11,538 | | | $ | 11,999 | | | (7) | % |
ICG Markets net interest revenue—taxable equivalent basis(1) | 1,511 | | | 1,182 | | | 1,270 | | | 19 | |
Net interest revenue excluding ICG Markets—taxable equivalent basis(1) | $ | 9,612 | | | $ | 10,356 | | | $ | 10,729 | | | (10) | % |
(1)Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21% of $43 million, $46 million and $49 million for the three months ended June 30, 2020, March 31, 2020, and June 30, 2019, respectively.
Citi’s net interest revenue remained largely unchanged at $11.4in the second quarter of 2020 decreased 7% to $11.1 billion ($11.6 billionversus the prior-year period. Citi’s net interest revenue on a taxable equivalent basis) versusbasis also decreased 7% (as set forth in the prior-year period.table above). Excluding the impact of FX translation, Citi’s net interest revenue was down slightly versus the prior-year period (down $110 million),declined year-over-year by approximately $580 million, as higher core accruala decline of $810 million in net interest revenue ($10.4 billion, up 5% or $0.5 billion)excluding ICG Markets was partially offset by lower trading-relateda $230 million increase in ICG Markets (fixed income markets and equity markets) net interest revenue. The decrease in net interest revenue ($0.7 billion, down 34% or $0.4 billion),excluding ICG Markets reflected the impact of lower rates and lower loan balances, partially offset by a favorable loan mix in North America Citi-branded cards. The increase in ICG Markets net interest revenue associated with legacy assetsreflected a change in Corporate/Other ($0.3 billion, down approximately 38% or $0.2 billion). The increasethe mix of trading positions in core accrualsupport of client activity. Citi expects its net interest revenue was driven byto decline year-over-year in the third quarter 2020 due to the impact of lower interest rates and lower levels of customer activity related to the December 2016, March 2017 and June 2017 interest rate increases and volume growth,
partially offset by higher long-term debt.pandemic.
Citi’s NIM was 2.72%2.17% on a taxable equivalent basis in the thirdsecond quarter of 2017,2020, a decrease of 14 bps31 basis points from the prior-year period.prior quarter, with lower net interest revenues driving approximately one-third of the decline and the remainder representing growth in Citi’s core accrual NIM was 3.45%, a decline of 7 bps, as the higher core accrualbalance sheet reflecting an increase in liquid assets driven by strong deposit growth.
Citi’s ICG Markets net interest revenues and net interest revenue was more than offset by balance sheet growth, particularly in cash balances. (Citi’s core accrual net interest revenue and core accrual NIM excluding ICG Markets are non-GAAP financial measures. Citi reviews net interest revenue excluding ICG Markets to assess the performance of its lending, investing and deposit-raising activities. Citi believes these measures providedisclosure of this metric assists in providing a more meaningful depiction for investors of the underlying fundamentals of its business results.)non-ICG Markets businesses.
Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)
Taxable Equivalent Basis
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| Quarterly—Assets | Average volume | | | Interest revenue | | | % Average rate | | |
| 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. |
| In millions of dollars, except rates | 2020 | 2020 | 2019 | 2020 | 2020 | 2019 | 2020 | 2020 | 2019 |
Deposits with banks(4) | $ | 305,485 | | $ | 207,130 | | $ | 192,483 | | $ | 159 | | $ | 527 | | $ | 736 | | 0.21 | % | 1.02 | % | 1.53 | % |
Securities borrowed and purchased under agreements to resell(5) | | | | | | | | | |
| In U.S. offices | $ | 143,429 | | $ | 141,351 | | $ | 147,677 | | $ | 174 | | $ | 749 | | $ | 1,345 | | 0.49 | % | 2.13 | % | 3.65 | % |
In offices outside the U.S.(4) | 142,681 | | 127,549 | | 118,973 | | 227 | | 459 | | 552 | | 0.64 | | 1.45 | | 1.86 | |
| Total | $ | 286,110 | | $ | 268,900 | | $ | 266,650 | | $ | 401 | | $ | 1,208 | | $ | 1,897 | | 0.56 | % | 1.81 | % | 2.85 | % |
Trading account assets(6)(7) | | | | | | | | | |
| In U.S. offices | $ | 155,037 | | $ | 130,138 | | $ | 108,993 | | $ | 953 | | $ | 975 | | $ | 1,014 | | 2.47 | % | 3.01 | % | 3.73 | % |
In offices outside the U.S.(4) | 124,908 | | 122,320 | | 136,733 | | 722 | | 619 | | 1,129 | | 2.32 | | 2.04 | | 3.31 | |
| Total | $ | 279,945 | | $ | 252,458 | | $ | 245,726 | | $ | 1,675 | | $ | 1,594 | | $ | 2,143 | | 2.41 | % | 2.54 | % | 3.50 | % |
| Investments | | | | | | | | | |
| In U.S. offices | | | | | | | | | |
| Taxable | $ | 260,163 | | $ | 238,298 | | $ | 217,593 | | $ | 1,024 | | $ | 1,158 | | $ | 1,273 | | 1.58 | % | 1.95 | % | 2.35 | % |
| Exempt from U.S. income tax | 14,699 | | 14,170 | | 15,233 | | 126 | | 109 | | 196 | | 3.45 | | 3.09 | | 5.16 | |
In offices outside the U.S.(4) | 139,917 | | 128,867 | | 114,575 | | 971 | | 1,038 | | 1,060 | | 2.79 | | 3.24 | | 3.71 | |
| Total | $ | 414,779 | | $ | 381,335 | | $ | 347,401 | | $ | 2,121 | | $ | 2,305 | | $ | 2,529 | | 2.06 | % | 2.43 | % | 2.92 | % |
Loans (net of unearned income)(8) | | | | | | | | | |
| In U.S. offices | $ | 410,371 | | $ | 403,558 | | $ | 393,694 | | $ | 6,732 | | $ | 7,318 | | $ | 7,614 | | 6.60 | % | 7.29 | % | 7.76 | % |
In offices outside the U.S.(4) | 292,424 | | 291,117 | | 285,928 | | 3,434 | | 3,950 | | 4,385 | | 4.72 | | 5.46 | | 6.15 | |
| Total | $ | 702,795 | | $ | 694,675 | | $ | 679,622 | | $ | 10,166 | | $ | 11,268 | | $ | 11,999 | | 5.82 | % | 6.52 | % | 7.08 | % |
Other interest-earning assets(9) | $ | 75,287 | | $ | 68,737 | | $ | 67,885 | | $ | 110 | | $ | 283 | | $ | 457 | | 0.59 | % | 1.66 | % | 2.70 | % |
| Total interest-earning assets | $ | 2,064,401 | | $ | 1,873,235 | | $ | 1,799,767 | | $ | 14,632 | | $ | 17,185 | | $ | 19,761 | | 2.85 | % | 3.69 | % | 4.40 | % |
Non-interest-earning assets(6) | $ | 202,209 | | $ | 206,484 | | $ | 179,357 | | | | | | | |
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| Total assets | $ | 2,266,610 | | $ | 2,079,719 | | $ | 1,979,124 | | | | | | | |
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| | Average volume | Interest revenue | % Average rate |
| | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. |
| In millions of dollars, except rates | 2017 | 2017 | 2016 | 2017 | 2017 | 2016 | 2017 | 2017 | 2016 |
| Assets | | | | | | | | | |
Deposits with banks(4) | $ | 176,942 |
| $ | 166,023 |
| $ | 131,571 |
| $ | 486 |
| $ | 375 |
| $ | 247 |
| 1.09 | % | 0.91 | % | 0.75 | % |
Federal funds sold and securities borrowed or purchased under agreements to resell(5) | | | | | | |
|
|
|
|
|
| In U.S. offices | $ | 136,681 |
| $ | 144,483 |
| $ | 146,581 |
| $ | 524 |
| $ | 472 |
| $ | 387 |
| 1.52 | % | 1.31 | % | 1.05 | % |
In offices outside the U.S.(4) | 108,770 |
| 104,780 |
| 88,415 |
| 334 |
| 356 |
| 249 |
| 1.22 |
| 1.36 |
| 1.12 |
|
| Total | $ | 245,451 |
| $ | 249,263 |
| $ | 234,996 |
| $ | 858 |
| $ | 828 |
| $ | 636 |
| 1.39 | % | 1.33 | % | 1.08 | % |
Trading account assets(6)(7) | | | | | | |
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|
| In U.S. offices | $ | 98,725 |
| $ | 100,080 |
| $ | 100,381 |
| $ | 918 |
| $ | 877 |
| $ | 912 |
| 3.69 | % | 3.51 | % | 3.61 | % |
In offices outside the U.S.(4) | 105,882 |
| 103,581 |
| 100,825 |
| 555 |
| 646 |
| 559 |
| 2.08 |
| 2.50 |
| 2.21 |
|
| Total | $ | 204,607 |
| $ | 203,661 |
| $ | 201,206 |
| $ | 1,473 |
| $ | 1,523 |
| $ | 1,471 |
| 2.86 | % | 3.00 | % | 2.91 | % |
| Investments | | | | | | |
|
|
|
|
|
| In U.S. offices | | | | | | |
|
|
|
|
|
| Taxable | $ | 227,680 |
| $ | 224,021 |
| $ | 228,337 |
| $ | 1,138 |
| $ | 1,086 |
| $ | 990 |
| 1.98 | % | 1.94 | % | 1.72 | % |
| Exempt from U.S. income tax | 17,890 |
| 18,466 |
| 19,102 |
| 181 |
| 197 |
| 162 |
| 4.01 |
| 4.28 |
| 3.37 |
|
In offices outside the U.S.(4) | 106,456 |
| 106,758 |
| 107,350 |
| 835 |
| 830 |
| 794 |
| 3.11 |
| 3.12 |
| 2.94 |
|
| Total | $ | 352,026 |
| $ | 349,245 |
| $ | 354,789 |
| $ | 2,154 |
| $ | 2,113 |
| $ | 1,946 |
| 2.43 | % | 2.43 | % | 2.18 | % |
Loans (net of unearned income)(8) | | | | | | |
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|
|
|
|
| In U.S. offices | $ | 372,067 |
| $ | 369,342 |
| $ | 368,372 |
| $ | 6,650 |
| $ | 6,392 |
| $ | 6,272 |
| 7.09 | % | 6.94 | % | 6.77 | % |
In offices outside the U.S.(4) | 274,254 |
| 264,986 |
| 267,399 |
| 4,031 |
| 3,832 |
| 3,974 |
| 5.83 |
| 5.80 |
| 5.91 |
|
| Total | $ | 646,321 |
| $ | 634,328 |
| $ | 635,771 |
| $ | 10,681 |
| $ | 10,224 |
| $ | 10,246 |
| 6.56 | % | 6.46 | % | 6.41 | % |
Other interest-earning assets(9) | $ | 61,677 |
| $ | 60,107 |
| $ | 52,668 |
| $ | 292 |
| $ | 260 |
| $ | 221 |
| 1.88 | % | 1.74 | % | 1.67 | % |
| 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 | % |
Non-interest-earning assets(6) | $ | 205,268 |
| $ | 206,581 |
| $ | 219,213 |
| | | | | | |
| Total assets | $ | 1,892,292 |
| $ | 1,869,208 |
| $ | 1,830,214 |
| | | | | | |
| |
(1) | Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $123 million, $122 million, and $114 million for the three months ended September 30, 2017, June 30, 2017 and September 30, 2016, respectively.
|
| |
(2) | Interest rates and amounts include the effects of risk management activities associated with the respective asset categories. |
| |
(3) | Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable. |
| |
(4) | Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(5) | Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
|
| |
(6) | The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
|
| |
(7) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
|
| |
(8) | Includes cash-basis loans. |
| |
(9) | Includes brokerage receivables. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months—Assets | Average volume | | | Interest revenue | | | % Average rate | | |
| Six Months | | Six Months | Six Months | | Six Months | Six Months | | Six Months |
| In millions of dollars, except rates | 2020 | | 2019 | 2020 | | 2019 | 2020 | | 2019 |
Deposits with banks(4) | $ | 256,308 | | | $ | 181,926 | | $ | 686 | | | $ | 1,343 | | 0.54 | % | | 1.49 | % |
Securities borrowed and purchased under agreements to resell(5) | | | | | | | | | |
| In U.S. offices | $ | 142,390 | | | $ | 150,104 | | $ | 923 | | | $ | 2,607 | | 1.30 | % | | 3.50 | % |
In offices outside the U.S.(4) | 135,115 | | | 121,041 | | 686 | | | 1,080 | | 1.02 | | | 1.80 | |
| Total | $ | 277,505 | | | $ | 271,145 | | $ | 1,609 | | | $ | 3,687 | | 1.17 | % | | 2.74 | % |
Trading account assets(6)(7) | | | | | | | | | |
| In U.S. offices | $ | 142,588 | | | $ | 102,449 | | $ | 1,928 | | | $ | 1,954 | | 2.72 | % | | 3.85 | % |
In offices outside the U.S.(4) | 123,614 | | | 130,703 | | 1,341 | | | 1,881 | | 2.18 | | | 2.90 | |
| Total | $ | 266,202 | | | $ | 233,152 | | $ | 3,269 | | | $ | 3,835 | | 2.47 | % | | 3.32 | % |
| Investments | | | | | | | | | |
| In U.S. offices | | | | | | | | | |
| Taxable | $ | 249,230 | | | $ | 221,663 | | $ | 2,182 | | | $ | 2,782 | | 1.76 | % | | 2.53 | % |
| Exempt from U.S. income tax | 14,435 | | | 15,760 | | 235 | | | 325 | | 3.27 | | | 4.16 | |
In offices outside the U.S.(4) | 134,392 | | | 111,782 | | 2,009 | | | 2,000 | | 3.01 | | | 3.61 | |
| Total | $ | 398,057 | | | $ | 349,205 | | $ | 4,426 | | | $ | 5,107 | | 2.24 | % | | 2.95 | % |
Loans (net of unearned income)(8) | | | | | | | | | |
| In U.S. offices | $ | 406,964 | | | $ | 393,546 | | $ | 14,050 | | | $ | 15,263 | | 6.94 | % | | 7.82 | % |
In offices outside the U.S.(4) | 291,771 | | | 285,870 | | 7,384 | | | 8,726 | | 5.09 | | | 6.16 | |
| Total | $ | 698,735 | | | $ | 679,416 | | $ | 21,434 | | | $ | 23,989 | | 6.17 | % | | 7.12 | % |
Other interest-earning assets(9) | $ | 72,012 | | | $ | 67,405 | | $ | 393 | | | $ | 940 | | 1.10 | % | | 2.81 | % |
| Total interest-earning assets | $ | 1,968,819 | | | $ | 1,782,249 | | $ | 31,817 | | | $ | 38,901 | | 3.25 | % | | 4.40 | % |
Non-interest-earning assets(6) | $ | 204,346 | | | $ | 177,022 | | | | | | | |
| | | | | | | | | |
| Total assets | $ | 2,173,165 | | | $ | 1,959,271 | | | | | | | |
(1)Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21% of $89 million and $113 million for the six months ended June 30, 2020 and 2019, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(6)The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)Includes cash-basis loans.
(9)Includes Brokerage receivables.
Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)
Taxable Equivalent Basis
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Quarterly—Liabilities | Average volume | | | Interest expense | | | % Average rate | | |
| 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. | 2nd Qtr. | 1st Qtr. | 2nd Qtr. |
| In millions of dollars, except rates | 2020 | 2020 | 2019 | 2020 | 2020 | 2019 | 2020 | 2020 | 2019 |
| Deposits | | | | | | | | | |
In U.S. offices(4) | $ | 492,966 | | $ | 427,957 | | $ | 377,651 | | $ | 727 | | $ | 1,360 | | $ | 1,627 | | 0.59 | % | 1.28 | % | 1.73 | % |
In offices outside the U.S.(5) | 540,779 | | 506,494 | | 485,069 | | 742 | | 1,254 | | 1,657 | | 0.55 | | 1.00 | | 1.37 | |
| Total | $ | 1,033,745 | | $ | 934,451 | | $ | 862,720 | | $ | 1,469 | | $ | 2,614 | | $ | 3,284 | | 0.57 | % | 1.13 | % | 1.53 | % |
Securities loaned and sold under agreements to repurchase(6) | | | | | | | | | |
| In U.S. offices | $ | 150,055 | | $ | 128,499 | | $ | 112,386 | | $ | 240 | | $ | 718 | | $ | 1,149 | | 0.64 | % | 2.25 | % | 4.10 | % |
In offices outside the U.S.(5) | 74,720 | | 70,011 | | 76,659 | | 213 | | 367 | | 575 | | 1.15 | | 2.11 | | 3.01 | |
| Total | $ | 224,775 | | $ | 198,510 | | $ | 189,045 | | $ | 453 | | $ | 1,085 | | $ | 1,724 | | 0.81 | % | 2.20 | % | 3.66 | % |
Trading account liabilities(7)(8) | | | | | | | | | |
| In U.S. offices | $ | 38,468 | | $ | 36,453 | | $ | 35,939 | | $ | 62 | | $ | 138 | | $ | 215 | | 0.65 | % | 1.52 | % | 2.40 | % |
In offices outside the U.S.(5) | 54,396 | | 48,047 | | 59,065 | | 82 | | 101 | | 105 | | 0.61 | | 0.85 | | 0.71 | |
| Total | $ | 92,864 | | $ | 84,500 | | $ | 95,004 | | $ | 144 | | $ | 239 | | $ | 320 | | 0.62 | % | 1.14 | % | 1.35 | % |
Short-term borrowings and other interest-bearing liabilities(9) | | | | | | | | | |
| In U.S. offices | $ | 96,139 | | $ | 86,710 | | $ | 84,091 | | $ | 104 | | $ | 326 | | $ | 630 | | 0.44 | % | 1.51 | % | 3.00 | % |
In offices outside the U.S.(5) | 22,939 | | 19,850 | | 22,114 | | 36 | | 58 | | 85 | | 0.63 | | 1.18 | | 1.54 | |
| Total | $ | 119,078 | | $ | 106,560 | | $ | 106,205 | | $ | 140 | | $ | 384 | | $ | 715 | | 0.47 | % | 1.45 | % | 2.70 | % |
Long-term debt(10) | | | | | | | | | |
| In U.S. offices | $ | 217,676 | | $ | 198,006 | | $ | 197,578 | | $ | 1,298 | | $ | 1,318 | | $ | 1,685 | | 2.40 | % | 2.68 | % | 3.42 | % |
In offices outside the U.S.(5) | 3,848 | | 4,186 | | 4,946 | | 5 | | 7 | | 34 | | 0.52 | | 0.67 | | 2.76 | |
| Total | $ | 221,524 | | $ | 202,192 | | $ | 202,524 | | $ | 1,303 | | $ | 1,325 | | $ | 1,719 | | 2.37 | % | 2.64 | % | 3.40 | % |
| Total interest-bearing liabilities | $ | 1,691,986 | | $ | 1,526,213 | | $ | 1,455,498 | | $ | 3,509 | | $ | 5,647 | | $ | 7,762 | | 0.83 | % | 1.49 | % | 2.14 | % |
| Demand deposits in U.S. offices | $ | 30,847 | | $ | 26,709 | | $ | 29,929 | | | | | | | |
Other non-interest-bearing liabilities(7) | 350,060 | | 333,210 | | 296,747 | | | | | | | |
| | | | | | | | | |
| Total liabilities | $ | 2,072,893 | | $ | 1,886,132 | | $ | 1,782,174 | | | | | | | |
| Citigroup stockholders’ equity | $ | 193,093 | | $ | 192,946 | | $ | 196,237 | | | | | | | |
| Noncontrolling interests | 624 | | 641 | | 713 | | | | | | | |
| Total equity | $ | 193,717 | | $ | 193,587 | | $ | 196,950 | | | | | | | |
| Total liabilities and stockholders’ equity | $ | 2,266,610 | | $ | 2,079,719 | | $ | 1,979,124 | | | | | | | |
Net interest revenue as a percentage of average interest-earning assets(11) | | | | | | | | | |
| In U.S. offices | $ | 1,223,519 | | $ | 1,077,872 | | $ | 1,015,979 | | $ | 6,703 | | $ | 7,001 | | $ | 7,029 | | 2.20 | % | 2.61 | % | 2.77 | % |
In offices outside the U.S.(6) | 840,882 | | 795,362 | | 783,788 | | 4,420 | | 4,537 | | 4,970 | | 2.11 | | 2.29 | | 2.54 | |
| Total | $ | 2,064,401 | | $ | 1,873,235 | | $ | 1,799,767 | | $ | 11,123 | | $ | 11,538 | | $ | 11,999 | | 2.17 | % | 2.48 | % | 2.67 | % |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Average volume | Interest expense | % Average rate |
| | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. | 3rd Qtr. | 2nd Qtr. | 3rd Qtr. |
| In millions of dollars, except rates | 2017 | 2017 | 2016 | 2017 | 2017 | 2016 | 2017 | 2017 | 2016 |
| Liabilities | | | | | | | | | |
| Deposits | | | | | | | | | |
In U.S. offices(4) | $ | 318,881 |
| $ | 311,758 |
| $ | 296,999 |
| $ | 695 |
| $ | 593 |
| $ | 470 |
| 0.86 | % | 0.76 | % | 0.63 | % |
In offices outside the U.S.(5) | 438,561 |
| 439,807 |
| 434,232 |
| 1,080 |
| 1,010 |
| 973 |
| 0.98 |
| 0.92 |
| 0.89 |
|
| Total | $ | 757,442 |
| $ | 751,565 |
| $ | 731,231 |
| $ | 1,775 |
| $ | 1,603 |
| $ | 1,443 |
| 0.93 | % | 0.86 | % | 0.79 | % |
Federal funds purchased and securities loaned or sold under agreements to repurchase(6) | | | | | | |
|
|
|
|
|
|
| In U.S. offices | $ | 93,167 |
| $ | 101,623 |
| $ | 99,924 |
| $ | 423 |
| $ | 396 |
| $ | 267 |
| 1.80 | % | 1.56 | % | 1.06 | % |
In offices outside the U.S.(5) | 64,897 |
| 59,354 |
| 58,060 |
| 289 |
| 280 |
| 192 |
| 1.77 |
| 1.89 |
| 1.32 |
|
| Total | $ | 158,064 |
| $ | 160,977 |
| $ | 157,984 |
| $ | 712 |
| $ | 676 |
| $ | 459 |
| 1.79 | % | 1.68 | % | 1.16 |
|
Trading account liabilities(7)(8) | | | | | | |
|
|
|
|
|
|
| In U.S. offices | $ | 32,622 |
| $ | 34,287 |
| $ | 33,600 |
| $ | 104 |
| $ | 81 |
| $ | 65 |
| 1.26 | % | 0.95 | % | 0.77 | % |
In offices outside the U.S.(5) | 57,187 |
| 56,731 |
| 42,637 |
| 65 |
| 65 |
| 37 |
| 0.45 |
| 0.46 |
| 0.35 |
|
| Total | $ | 89,809 |
| $ | 91,018 |
| $ | 76,237 |
| $ | 169 |
| $ | 146 |
| $ | 102 |
| 0.75 | % | 0.64 | % | 0.53 | % |
Short-term borrowings(9) | | | | | | |
|
|
|
|
|
|
| In U.S. offices | $ | 77,211 |
| $ | 68,486 |
| $ | 61,019 |
| $ | 234 |
| $ | 103 |
| $ | 51 |
| 1.20 | % | 0.60 | % | 0.33 | % |
In offices outside the U.S.(5) | 20,928 |
| 23,070 |
| 20,285 |
| 84 |
| 99 |
| 39 |
| 1.59 |
| 1.72 |
| 0.76 |
|
| Total | $ | 98,139 |
| $ | 91,556 |
| $ | 81,304 |
| $ | 318 |
| $ | 202 |
| $ | 90 |
| 1.29 | % | 0.88 | % | 0.44 | % |
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 | % |
In offices outside the U.S.(5) | 4,298 |
| 4,534 |
| 6,506 |
| 28 |
| 48 |
| 52 |
| 2.58 | % | 4.25 |
| 3.18 |
|
| Total | $ | 203,064 |
| $ | 192,144 |
| $ | 181,933 |
| $ | 1,405 |
| $ | 1,409 |
| $ | 1,080 |
| 2.75 | % | 2.94 | % | 2.36 | % |
| 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 | % |
| Demand deposits in U.S. offices | $ | 37,673 |
| $ | 38,772 |
| $ | 40,466 |
| | | | | | |
Other non-interest-bearing liabilities(7) | 318,060 |
| 313,227 |
| 328,405 |
| | | | | | |
| Total liabilities | $ | 1,662,251 |
| $ | 1,639,259 |
| $ | 1,597,560 |
| | | | | | |
Citigroup stockholders’ equity(11) | $ | 229,017 |
| $ | 228,946 |
| $ | 231,574 |
| | | | | | |
| Noncontrolling interest | 1,024 |
| 1,003 |
| 1,080 |
| | | | | | |
Total equity(11) | $ | 230,041 |
| $ | 229,949 |
| $ | 232,654 |
| | | | | | |
| Total liabilities and stockholders’ equity | $ | 1,892,292 |
| $ | 1,869,208 |
| $ | 1,830,214 |
| | | | | | |
Net interest revenue as a percentage of average interest-earning assets(12) | | | | | | | | | |
| In U.S. offices | $ | 975,283 |
| $ | 956,968 |
| $ | 953,877 |
| $ | 7,046 |
| $ | 6,777 |
| $ | 7,092 |
| 2.87 | % | 2.84 | % | 2.96 | % |
In offices outside the U.S.(6) | 711,741 |
| 705,659 |
| 657,124 |
| 4,519 |
| 4,510 |
| 4,501 |
| 2.52 |
| 2.56 |
| 2.72 | % |
| Total | $ | 1,687,024 |
| $ | 1,662,627 |
| $ | 1,611,001 |
| $ | 11,565 |
| $ | 11,287 |
| $ | 11,593 |
| 2.72 | % | 2.72 | % | 2.86 | % |
| |
(1) | Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $123 million, $122 million, and $114 million for the three months ended September 30, 2017, June 30, 2017 and September 30, 2016, respectively.
|
| |
(2) | Interest rates and amounts include the effects of risk management activities associated with the respective liability categories. |
| |
(3) | Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable. |
| |
(4) | Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments. |
| |
(5) | Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(6) | Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.
|
| |
(7) | The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months—Liabilities | Average volume | | | Interest expense | | | % Average rate | | |
| Six Months | | Six Months | Six Months | | Six Months | Six Months | | Six Months |
| In millions of dollars, except rates | 2020 | | 2019 | 2020 | | 2019 | 2020 | | 2019 |
| Deposits | | | | | | | | | |
In U.S. offices(4) | $ | 460,461 | | | $ | 371,949 | | $ | 2,087 | | | $ | 3,118 | | 0.91 | % | | 1.69 | % |
In offices outside the U.S.(5) | 523,637 | | | 479,106 | | 1,996 | | | 3,193 | | 0.77 | | | 1.34 | |
| Total | $ | 984,098 | | | $ | 851,055 | | $ | 4,083 | | | $ | 6,311 | | 0.83 | % | | 1.50 | % |
Securities loaned and sold under agreements to repurchase(6) | | | | | | | | | |
| In U.S. offices | $ | 139,277 | | | $ | 111,709 | | $ | 958 | | | $ | 2,256 | | 1.38 | % | | 4.07 | % |
In offices outside the U.S.(5) | 72,366 | | | 74,782 | | 580 | | | 1,057 | | 1.61 | | | 2.85 | |
| Total | $ | 211,643 | | | $ | 186,491 | | $ | 1,538 | | | $ | 3,313 | | 1.46 | % | | 3.58 | % |
Trading account liabilities(7)(8) | | | | | | | | | |
| In U.S. offices | $ | 37,460 | | | $ | 38,051 | | $ | 200 | | | $ | 411 | | 1.07 | % | | 2.18 | % |
In offices outside the U.S.(5) | 51,222 | | | 57,096 | | 183 | | | 236 | | 0.72 | | | 0.83 | |
| Total | $ | 88,682 | | | $ | 95,147 | | $ | 383 | | | $ | 647 | | 0.87 | % | | 1.37 | % |
Short-term borrowings and other interest bearing liabilities(9) | | | | | | | | | |
| In U.S. offices | $ | 91,424 | | | $ | 79,766 | | $ | 430 | | | $ | 1,201 | | 0.95 | % | | 3.04 | % |
In offices outside the U.S.(5) | 21,395 | | | 22,927 | | 94 | | | 166 | | 0.88 | | | 1.46 | |
| Total | $ | 112,819 | | | $ | 102,693 | | $ | 524 | | | $ | 1,367 | | 0.93 | % | | 2.68 | % |
Long-term debt(10) | | | | | | | | | |
| In U.S. offices | $ | 207,841 | | | $ | 194,741 | | $ | 2,616 | | | $ | 3,370 | | 2.53 | % | | 3.49 | % |
In offices outside the U.S.(5) | 4,017 | | | 5,003 | | 12 | | | 71 | | 0.60 | | | 2.86 | |
| Total | $ | 211,858 | | | $ | 199,744 | | $ | 2,628 | | | $ | 3,441 | | 2.49 | % | | 3.47 | % |
| Total interest-bearing liabilities | $ | 1,609,100 | | | $ | 1,435,130 | | $ | 9,156 | | | $ | 15,079 | | 1.14 | % | | 2.12 | % |
| Demand deposits in U.S. offices | $ | 28,778 | | | $ | 28,411 | | | | | | | |
Other non-interest-bearing liabilities(7) | 341,634 | | | 299,003 | | | | | | | |
| | | | | | | | | |
| Total liabilities | $ | 1,979,512 | | | $ | 1,762,544 | | | | | | | |
| Citigroup stockholders’ equity | $ | 193,020 | | | $ | 195,971 | | | | | | | |
| Noncontrolling interests | 633 | | | 756 | | | | | | | |
| Total equity | $ | 193,653 | | | $ | 196,727 | | | | | | | |
| Total liabilities and stockholders’ equity | $ | 2,173,165 | | | $ | 1,959,271 | | | | | | | |
Net interest revenue as a percentage of average interest-earning assets(11) | | | | | | | | | |
| In U.S. offices | $ | 1,150,696 | | | $ | 1,006,273 | | $ | 13,704 | | | $ | 14,261 | | 2.39 | % | | 2.86 | % |
In offices outside the U.S.(6) | 818,122 | | | 775,974 | | 8,957 | | | 9,561 | | 2.20 | | | 2.48 | |
| Total | $ | 1,968,818 | | | $ | 1,782,247 | | $ | 22,661 | | | $ | 23,822 | | 2.31 | % | | 2.70 | % |
| |
(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. |
(1)Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21% of $89 million and $113 million for the six months ended June 30, 2020 and 2019, 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 Balancesrates 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 Rates—Assets(1)(2)(3)(4)expense excludes the impact of ASC 210-20-45.
Taxable Equivalent Basis(7)The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes Brokerage payables.
(10)Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as the changes in fair value for these obligations are recorded in Principal transactions.
(11)Includes allocations for capital and funding costs based on the location of the asset.
|
| | | | | | | | | | | | | | | | |
| | Average volume | Interest revenue | % Average rate |
| | Nine Months | Nine Months | Nine Months | Nine Months | Nine Months | Nine Months |
| In millions of dollars, except rates | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
| Assets | | | | | | |
Deposits with banks(5) | $ | 165,910 |
| $ | 128,194 |
| $ | 1,156 |
| $ | 703 |
| 0.93 | % | 0.73 | % |
Federal funds sold and securities borrowed or purchased under agreements to resell(6) | | | | | | |
| In U.S. offices | $ | 141,723 |
| $ | 148,379 |
| $ | 1,364 |
| $ | 1,123 |
| 1.29 | % | 1.01 | % |
In offices outside the U.S.(5) | 105,527 |
| 83,668 |
| 983 |
| 824 |
| 1.25 | % | 1.32 | % |
| Total | $ | 247,250 |
| $ | 232,047 |
| $ | 2,347 |
| $ | 1,947 |
| 1.27 | % | 1.12 | % |
Trading account assets(7)(8) | | | | | | |
| In U.S. offices | $ | 100,214 |
| $ | 104,655 |
| $ | 2,679 |
| $ | 2,835 |
| 3.57 | % | 3.62 | % |
In offices outside the U.S.(5) | 101,159 |
| 94,701 |
| 1,624 |
| 1,680 |
| 2.15 | % | 2.37 | % |
| Total | $ | 201,373 |
| $ | 199,356 |
| $ | 4,303 |
| $ | 4,515 |
| 2.86 | % | 3.03 | % |
| Investments | | | | | | |
| In U.S. offices | | | | | | |
| Taxable | $ | 224,384 |
| $ | 227,532 |
| $ | 3,258 |
| $ | 2,981 |
| 1.94 | % | 1.75 | % |
| Exempt from U.S. income tax | 18,345 |
| 19,171 |
| 574 |
| 501 |
| 4.18 | % | 3.49 | % |
In offices outside the U.S.(5) | 106,813 |
| 106,116 |
| 2,454 |
| 2,385 |
| 3.07 | % | 3.00 | % |
| Total | $ | 349,542 |
| $ | 352,819 |
| $ | 6,286 |
| $ | 5,867 |
| 2.40 | % | 2.22 | % |
Loans (net of unearned income)(9) | | | | | | |
| In U.S. offices | $ | 369,602 |
| $ | 357,300 |
| $ | 19,315 |
| $ | 17,938 |
| 6.99 | % | 6.71 | % |
In offices outside the U.S.(5) | 265,060 |
| 265,586 |
| 11,560 |
| 11,847 |
| 5.83 | % | 5.96 | % |
| Total | $ | 634,662 |
| $ | 622,886 |
| $ | 30,875 |
| $ | 29,785 |
| 6.50 | % | 6.39 | % |
Other interest-earning assets(10) | $ | 59,506 |
| $ | 54,329 |
| $ | 846 |
| $ | 709 |
| 1.90 | % | 1.74 | % |
| Total interest-earning assets | $ | 1,658,243 |
| $ | 1,589,631 |
| $ | 45,813 |
| $ | 43,526 |
| 3.69 | % | 3.66 | % |
Non-interest-earning assets(7) | $ | 205,775 |
| $ | 215,402 |
| |
| |
| |
| |
|
| Total assets | $ | 1,864,018 |
| $ | 1,805,033 |
| |
| |
| |
| |
|
| |
(1) | Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $368 million and $350 million for the nine months ended September 30, 2017 and 2016, respectively.
|
| |
(2) | Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories. |
| |
(3) | Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable. |
| |
(4) | Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
|
| |
(5) | Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(6) | Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of FIN 41 (ASC 210-20-45).
|
| |
(7) | The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
|
| |
(8) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
|
| |
(9) | Includes cash-basis loans. |
| |
(10) | Includes brokerage receivables. |
Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)(4)
Taxable Equivalent Basis
|
| | | | | | | | | | | | | | | | |
| | Average volume | Interest expense | % Average rate |
| | Nine Months | Nine Months | Nine Months | Nine Months | Nine Months | Nine Months |
| In millions of dollars, except rates | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
| Liabilities | | | | | | |
| Deposits | | | | | | |
In U.S. offices(5) | $ | 310,977 |
| $ | 287,100 |
| $ | 1,795 |
| $ | 1,157 |
| 0.77 | % | 0.54 | % |
In offices outside the U.S.(6) | 435,704 |
| 431,176 |
| 2,998 |
| 2,796 |
| 0.92 | % | 0.87 | % |
| Total | $ | 746,681 |
| $ | 718,276 |
| $ | 4,793 |
| $ | 3,953 |
| 0.86 | % | 0.74 | % |
Federal funds purchased and securities loaned or sold under agreements to repurchase(7) | | | | | | |
| In U.S. offices | $ | 96,417 |
| $ | 102,321 |
| $ | 1,101 |
| $ | 787 |
| 1.53 | % | 1.03 | % |
In offices outside the U.S.(6) | 59,559 |
| 58,379 |
| 780 |
| 701 |
| 1.75 | % | 1.60 | % |
| Total | $ | 155,976 |
| $ | 160,700 |
| $ | 1,881 |
| $ | 1,488 |
| 1.61 | % | 1.24 | % |
Trading account liabilities(8)(9) | | | | | | |
| In U.S. offices | $ | 33,041 |
| $ | 28,219 |
| $ | 269 |
| $ | 181 |
| 1.09 | % | 0.86 | % |
In offices outside the U.S.(6) | 57,862 |
| 43,424 |
| 193 |
| 105 |
| 0.45 | % | 0.32 | % |
| Total | $ | 90,903 |
| $ | 71,643 |
| $ | 462 |
| $ | 286 |
| 0.68 | % | 0.53 | % |
Short-term borrowings(10) | | | | | | |
| In U.S. offices | $ | 72,435 |
| $ | 57,559 |
| $ | 422 |
| $ | 123 |
| 0.78 | % | 0.29 | % |
In offices outside the U.S.(6) | 22,668 |
| 17,727 |
| 297 |
| 177 |
| 1.75 | % | 1.33 | % |
| Total | $ | 95,103 |
| $ | 75,286 |
| $ | 719 |
| $ | 300 |
| 1.01 | % | 0.53 | % |
Long-term debt(11) | | | | | | |
| In U.S. offices | $ | 188,344 |
| $ | 174,454 |
| $ | 3,993 |
| $ | 3,031 |
| 2.83 | % | 2.32 | % |
In offices outside the U.S.(6) | 4,715 |
| 6,691 |
| 133 |
| 176 |
| 3.77 | % | 3.51 | % |
| Total | $ | 193,059 |
| $ | 181,145 |
| $ | 4,126 |
| $ | 3,207 |
| 2.86 | % | 2.36 | % |
| Total interest-bearing liabilities | $ | 1,281,722 |
| $ | 1,207,050 |
| $ | 11,981 |
| $ | 9,234 |
| 1.25 | % | 1.02 | % |
| Demand deposits in U.S. offices | $ | 38,064 |
| $ | 36,927 |
| |
| |
| |
| |
Other non-interest-bearing liabilities(8) | 313,939 |
| 331,906 |
| |
| |
| |
| |
| Total liabilities | $ | 1,633,725 |
| $ | 1,575,883 |
| |
| |
| |
| |
Citigroup stockholders’ equity(12) | $ | 229,284 |
| $ | 228,014 |
| |
| |
| |
| |
| Noncontrolling interest | 1,009 |
| 1,136 |
| |
| |
| |
| |
Total equity(12) | $ | 230,293 |
| $ | 229,150 |
| |
| |
| |
| |
| Total liabilities and stockholders’ equity | $ | 1,864,018 |
| $ | 1,805,033 |
| |
| |
| |
| |
| 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 | % |
In offices outside the U.S.(6) | 698,037 |
| 647,641 |
| 13,246 |
| 13,398 |
| 2.54 |
| 2.76 |
|
| Total | $ | 1,658,243 |
| $ | 1,589,631 |
| $ | 33,832 |
| $ | 34,292 |
| 2.73 | % | 2.88 | % |
| |
(1) | Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $368 million and $350 million for the nine months ended September 30, 2017 and 2016, respectively.
|
| |
(2) | Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories. |
| |
(3) | Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable. |
| |
(4) | Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
|
| |
(5) | Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance fees and charges. |
| |
(6) | Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(7) | Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of FIN 41 (ASC 210-20-45).
|
| |
(8) | The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
|
| |
(9) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
|
| |
(10) | Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for in changes in fair value recorded in Principal transactions.
|
| |
(11) | Includes stockholders' equity from discontinued operations. |
| |
(12) | Includes allocations for capital and funding costs based on the location of the asset. |
Analysis of Changes in Interest Revenue(1)(2)(3)
| | | | | | | | | | | | | | | | | | | | |
| | 2Q20 vs. 1Q20 | | | 2Q20 vs. 2Q19 | | |
| | Increase (decrease)
due to change in: | | | Increase (decrease)
due to change in: | | |
| In millions of dollars | Average
volume | Average
rate | Net
change | Average
volume | Average
rate | Net
change |
Deposits with banks(3) | $ | 176 | | $ | (544) | | $ | (368) | | $ | 281 | | $ | (858) | | $ | (577) | |
| Securities borrowed and purchased under agreements to resell | | | | | | |
| In U.S. offices | $ | 11 | | $ | (586) | | $ | (575) | | $ | (38) | | $ | (1,132) | | $ | (1,170) | |
In offices outside the U.S.(3) | 49 | | (281) | | (232) | | 93 | | (418) | | (325) | |
| Total | $ | 60 | | $ | (867) | | $ | (807) | | $ | 55 | | $ | (1,550) | | $ | (1,495) | |
Trading account assets(4) | | | | | | |
| In U.S. offices | $ | 169 | | $ | (191) | | $ | (22) | | $ | 348 | | $ | (409) | | $ | (61) | |
In offices outside the U.S.(3) | 13 | | 90 | | 103 | | (91) | | (316) | | (407) | |
| Total | $ | 182 | | $ | (101) | | $ | 81 | | $ | 257 | | $ | (725) | | $ | (468) | |
Investments(1) | | | | | | |
| In U.S. offices | $ | 106 | | $ | (223) | | $ | (117) | | $ | 234 | | $ | (553) | | $ | (319) | |
In offices outside the U.S.(3) | 84 | | (151) | | (67) | | 207 | | (296) | | (89) | |
| Total | $ | 190 | | $ | (374) | | $ | (184) | | $ | 441 | | $ | (849) | | $ | (408) | |
Loans (net of unearned income)(5) | | | | | | |
| In U.S. offices | $ | 122 | | $ | (708) | | $ | (586) | | $ | 312 | | $ | (1,195) | | $ | (883) | |
In offices outside the U.S.(3) | 18 | | (534) | | (516) | | 98 | | (1,049) | | (951) | |
| Total | $ | 140 | | $ | (1,242) | | $ | (1,102) | | $ | 410 | | $ | (2,244) | | $ | (1,834) | |
Other interest-earning assets(6) | $ | 25 | | $ | (198) | | $ | (173) | | $ | 45 | | $ | (392) | | $ | (347) | |
| Total interest revenue | $ | 773 | | $ | (3,326) | | $ | (2,553) | | $ | 1,489 | | $ | (6,618) | | $ | (5,129) | |
(1)The taxable equivalent adjustments related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2020 and 2019, are 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.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes cash-basis loans.
(6)Includes Brokerage receivables.
|
| | | | | | | | | | | | | | | | | | |
| | 3rd Qtr. 2017 vs. 2nd Qtr. 2017 | 3rd Qtr. 2017 vs. 3rd Qtr. 2016 |
| | Increase (decrease) due to change in: | Increase (decrease) due to change in: |
| In millions of dollars | Average volume | Average rate | Net change | Average volume | Average rate | Net change |
Deposits with banks(4) | $ | 26 |
| $ | 85 |
| $ | 111 |
| $ | 102 |
| $ | 137 |
| $ | 239 |
|
Federal funds sold and securities borrowed or purchased under agreements to resell | | | | | | |
| In U.S. offices | $ | (27 | ) | $ | 79 |
| $ | 52 |
| $ | (28 | ) | $ | 165 |
| $ | 137 |
|
In offices outside the U.S.(4) | 13 |
| (35 | ) | (22 | ) | 61 |
| 24 |
| 85 |
|
| Total | $ | (14 | ) | $ | 44 |
| $ | 30 |
| $ | 33 |
| $ | 189 |
| $ | 222 |
|
Trading account assets(5) | | | | | | |
| In U.S. offices | $ | (12 | ) | $ | 53 |
| $ | 41 |
| $ | (15 | ) | $ | 21 |
| $ | 6 |
|
In offices outside the U.S.(4) | 14 |
| (105 | ) | (91 | ) | 27 |
| (31 | ) | (4 | ) |
| Total | $ | 2 |
| $ | (52 | ) | $ | (50 | ) | $ | 12 |
| $ | (10 | ) | $ | 2 |
|
Investments(1) | | | | | | |
| In U.S. offices | $ | 16 |
| $ | 20 |
| $ | 36 |
| $ | (9 | ) | $ | 176 |
| $ | 167 |
|
In offices outside the U.S.(4) | (2 | ) | 7 |
| 5 |
| (7 | ) | 48 |
| 41 |
|
| Total | $ | 14 |
| $ | 27 |
| $ | 41 |
| $ | (16 | ) | $ | 224 |
| $ | 208 |
|
Loans (net of unearned income)(6) | | | | | | |
| In U.S. offices | $ | 47 |
| $ | 211 |
| $ | 258 |
| $ | 63 |
| $ | 315 |
| $ | 378 |
|
In offices outside the U.S.(4) | 136 |
| 63 |
| 199 |
| 101 |
| (44 | ) | 57 |
|
| Total | $ | 183 |
| $ | 274 |
| $ | 457 |
| $ | 164 |
| $ | 271 |
| $ | 435 |
|
Other interest-earning assets(7) | $ | 7 |
| $ | 25 |
| $ | 32 |
| $ | 41 |
| $ | 30 |
| $ | 71 |
|
| Total interest revenue | $ | 218 |
| $ | 403 |
| $ | 621 |
| $ | 336 |
| $ | 841 |
| $ | 1,177 |
|
| |
(1) | The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation. |
| |
(2) | Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change. |
| |
(3) | Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
|
| |
(4) | Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(5) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
|
| |
(6) | Includes cash-basis loans. |
| |
(7) | Includes brokerage receivables. |
Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
| | | | | | | | | | | | | | | | | | | | |
| | 2Q20 vs. 1Q20 | | | 2Q20 vs. 2Q19 | | |
| | Increase (decrease)
due to change in: | | | Increase (decrease)
due to change in: | | |
| In millions of dollars | Average
volume | Average
rate | Net
change | Average
volume | Average
rate | Net
change |
| Deposits | | | | | | |
| In U.S. offices | $ | 182 | | $ | (815) | | $ | (633) | | $ | 393 | | $ | (1,293) | | $ | (900) | |
In offices outside the U.S.(3) | 80 | | (592) | | (512) | | 172 | | (1,087) | | (915) | |
| Total | $ | 262 | | $ | (1,407) | | $ | (1,145) | | $ | 565 | | $ | (2,380) | | $ | (1,815) | |
| Securities loaned and sold under agreements to repurchase | | | | | | |
| In U.S. offices | $ | 104 | | $ | (582) | | $ | (478) | | $ | 293 | | $ | (1,202) | | $ | (909) | |
In offices outside the U.S.(3) | 23 | | (177) | | (154) | | (14) | | (348) | | (362) | |
| Total | $ | 127 | | $ | (759) | | $ | (632) | | $ | 279 | | $ | (1,550) | | $ | (1,271) | |
Trading account liabilities(4) | | | | | | |
| In U.S. offices | $ | 7 | | $ | (83) | | $ | (76) | | $ | 14 | | $ | (167) | | $ | (153) | |
In offices outside the U.S.(3) | 12 | | (31) | | (19) | | (8) | | (15) | | (23) | |
| Total | $ | 19 | | $ | (114) | | $ | (95) | | $ | 6 | | $ | (182) | | $ | (176) | |
Short-term borrowings and Other Interest Bearing Liabilities(5) | | | | | | |
| In U.S. offices | $ | 32 | | $ | (254) | | $ | (222) | | $ | 79 | | $ | (605) | | $ | (526) | |
In offices outside the U.S.(3) | 8 | | (30) | | (22) | | 3 | | (52) | | (49) | |
| Total | $ | 40 | | $ | (284) | | $ | (244) | | $ | 82 | | $ | (657) | | $ | (575) | |
| Long-term debt | | | | | | |
| In U.S. offices | $ | 125 | | $ | (145) | | $ | (20) | | $ | 158 | | $ | (545) | | $ | (387) | |
In offices outside the U.S.(3) | (1) | | (1) | | (2) | | (6) | | (23) | | (29) | |
| Total | $ | 124 | | $ | (146) | | $ | (22) | | $ | 152 | | $ | (568) | | $ | (416) | |
| Total interest expense | $ | 572 | | $ | (2,710) | | $ | (2,138) | | $ | 1,084 | | $ | (5,337) | | $ | (4,253) | |
| Net interest revenue | $ | 200 | | $ | (615) | | $ | (415) | | $ | 404 | | $ | (1,280) | | $ | (876) | |
(1)The taxable equivalent adjustments related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2020 and 2019, are 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.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes Brokerage payables.
|
| | | | | | | | | | | | | | | | | | |
| | 3rd Qtr. 2017 vs. 2nd Qtr. 2017 | 3rd Qtr. 2017 vs. 3rd Qtr. 2016 |
| | Increase (decrease) due to change in: | Increase (decrease) due to change in: |
| In millions of dollars | Average volume | Average rate | Net change | Average volume | Average rate | Net change |
| Deposits | | | | | | |
| In U.S. offices | $ | 14 |
| $ | 88 |
| $ | 102 |
| $ | 37 |
| $ | 188 |
| $ | 225 |
|
In offices outside the U.S.(4) | (3 | ) | 73 |
| 70 |
| 10 |
| 97 |
| 107 |
|
| Total | $ | 11 |
| $ | 161 |
| $ | 172 |
| $ | 47 |
| $ | 285 |
| $ | 332 |
|
Federal funds purchased and securities loaned
or sold under agreements to repurchase | | | | | | |
| In U.S. offices | $ | (35 | ) | $ | 62 |
| $ | 27 |
| $ | (19 | ) | $ | 175 |
| $ | 156 |
|
In offices outside the U.S.(4) | 25 |
| (16 | ) | 9 |
| 25 |
| 72 |
| 97 |
|
| Total | $ | (10 | ) | $ | 46 |
| $ | 36 |
| $ | 6 |
| $ | 247 |
| $ | 253 |
|
Trading account liabilities(5) | | | | | | |
| In U.S. offices | $ | (4 | ) | $ | 27 |
| $ | 23 |
| $ | (2 | ) | $ | 41 |
| $ | 39 |
|
In offices outside the U.S.(4) | 1 |
| (1 | ) | — |
| 15 |
| 13 |
| 28 |
|
| Total | $ | (3 | ) | $ | 26 |
| $ | 23 |
| $ | 13 |
| $ | 54 |
| $ | 67 |
|
Short-term borrowings(6) | | | | | | |
| In U.S. offices | $ | 15 |
| $ | 116 |
| $ | 131 |
| $ | 17 |
| $ | 166 |
| $ | 183 |
|
In offices outside the U.S.(4) | (9 | ) | (6 | ) | (15 | ) | 1 |
| 44 |
| 45 |
|
| Total | $ | 6 |
| $ | 110 |
| $ | 116 |
| $ | 18 |
| $ | 210 |
| $ | 228 |
|
| Long-term debt | | | | | | |
| In U.S. offices | $ | 79 |
| $ | (63 | ) | $ | 16 |
| $ | 147 |
| $ | 202 |
| $ | 349 |
|
In offices outside the U.S.(4) | (2 | ) | (18 | ) | (20 | ) | (16 | ) | (8 | ) | (24 | ) |
| Total | $ | 77 |
| $ | (81 | ) | $ | (4 | ) | $ | 131 |
| $ | 194 |
| $ | 325 |
|
| Total interest expense | $ | 81 |
| $ | 262 |
| $ | 343 |
| $ | 215 |
| $ | 990 |
| $ | 1,205 |
|
| Net interest revenue | $ | 137 |
| $ | 141 |
| $ | 278 |
| $ | 121 |
| $ | (149 | ) | $ | (28 | ) |
| |
(1) | The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation. |
| |
(2) | Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change. |
| |
(3) | Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
|
| |
(4) | Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(5) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
|
| |
(6) | Includes brokerage payables. |
Analysis of Changes in Interest Revenue(1)(2)(3)
| | | | | | | | | | | |
| | Six Months 2020 vs. Six Months 2019 | | |
| | Increase (decrease)
due to change in: | | |
| In millions of dollars | Average
volume | Average
rate | Net
change |
Deposits with banks(3) | $ | 412 | | $ | (1,069) | | $ | (657) | |
| Securities borrowed and purchased under agreements to resell | | | |
| In U.S. offices | $ | (128) | | $ | (1,556) | | $ | (1,684) | |
In offices outside the U.S.(3) | 114 | | (508) | | (394) | |
| Total | $ | (14) | | $ | (2,064) | | $ | (2,078) | |
Trading account assets(4) | | | |
| In U.S. offices | $ | 637 | | $ | (663) | | $ | (26) | |
In offices outside the U.S.(3) | (97) | | (443) | | (540) | |
| Total | $ | 540 | | $ | (1,106) | | $ | (566) | |
Investments(1) | | | |
| In U.S. offices | $ | 316 | | $ | (1,006) | | $ | (690) | |
In offices outside the U.S.(3) | 368 | | (359) | | 9 | |
| Total | $ | 684 | | $ | (1,365) | | $ | (681) | |
Loans (net of unearned income)(5) | | | |
| In U.S. offices | $ | 507 | | $ | (1,720) | | $ | (1,213) | |
In offices outside the U.S.(3) | 177 | | (1,519) | | (1,342) | |
| Total | $ | 684 | | $ | (3,239) | | $ | (2,555) | |
Other interest-earning assets(6) | $ | 60 | | $ | (607) | | $ | (547) | |
| Total interest revenue | $ | 2,366 | | $ | (9,450) | | $ | (7,084) | |
(1)The taxable equivalent adjustments related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2020 and 2019, are 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.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes cash-basis loans.
(6)Includes Brokerage receivables.
Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
| | | | | | | | | | | |
| | Six Months 2020 vs. Six Months 2019 | | |
| | Increase (decrease)
due to change in: | | |
| In millions of dollars | Average
volume | Average
rate | Net
change |
| Deposits | | | |
| In U.S. offices | $ | 626 | | $ | (1,655) | | $ | (1,029) | |
In offices outside the U.S.(3) | 274 | | (1,473) | | (1,199) | |
| Total | $ | 900 | | $ | (3,128) | | $ | (2,228) | |
| Securities loaned and sold under agreements to repurchase | | | |
| In U.S. offices | $ | 457 | | $ | (1,755) | | $ | (1,298) | |
In offices outside the U.S.(3) | (33) | | (444) | | (477) | |
| Total | $ | 424 | | $ | (2,199) | | $ | (1,775) | |
Trading account liabilities(4) | | | |
| In U.S. offices | $ | (6) | | $ | (205) | | $ | (211) | |
In offices outside the U.S.(3) | (23) | | (30) | | (53) | |
| Total | $ | (29) | | $ | (235) | | $ | (264) | |
Short-term borrowings and Other Interest Bearing Liabilities(5) | | | |
| In U.S. offices | $ | 154 | | $ | (925) | | $ | (771) | |
In offices outside the U.S.(3) | (10) | | (62) | | (72) | |
| Total | $ | 144 | | $ | (987) | | $ | (843) | |
| Long-term debt | | | |
| In U.S. offices | $ | 214 | | $ | (968) | | $ | (754) | |
In offices outside the U.S.(3) | (12) | | (47) | | (59) | |
| Total | $ | 202 | | $ | (1,015) | | $ | (813) | |
| Total interest expense | $ | 1,641 | | $ | (7,564) | | $ | (5,923) | |
| Net interest revenue | $ | 726 | | $ | (1,887) | | $ | (1,161) | |
(1)The taxable equivalent adjustments related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2020 and 2019, are 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.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes Brokerage payables.
|
| | | | | | | | | |
| | Nine Months 2017 vs. Nine Months 2016 |
| | Increase (decrease) due to change in: |
| In millions of dollars | Average volume | Average rate | Net change(2) |
Deposits with banks(4) | $ | 236 |
| $ | 217 |
| $ | 453 |
|
| Federal funds sold and securities borrowed or purchased under agreements to resell | | | |
| In U.S. offices | $ | (52 | ) | $ | 293 |
| $ | 241 |
|
In offices outside the U.S.(4) | 206 |
| (47 | ) | 159 |
|
| Total | $ | 154 |
| $ | 246 |
| $ | 400 |
|
Trading account assets(5) | | | |
| In U.S. offices | $ | (119 | ) | $ | (37 | ) | $ | (156 | ) |
In offices outside the U.S.(4) | 110 |
| (166 | ) | (56 | ) |
| Total | $ | (9 | ) | $ | (203 | ) | $ | (212 | ) |
Investments(1) | | | |
| In U.S. offices | $ | (57 | ) | $ | 407 |
| $ | 350 |
|
In offices outside the U.S.(4) | 16 |
| 53 |
| 69 |
|
| Total | $ | (41 | ) | $ | 460 |
| $ | 419 |
|
Loans (net of unearned income)(6) | | | |
| In U.S. offices | $ | 629 |
| $ | 748 |
| $ | 1,377 |
|
In offices outside the U.S.(4) | (23 | ) | (264 | ) | (287 | ) |
| Total | $ | 606 |
| $ | 484 |
| $ | 1,090 |
|
| Other interest-earning assets | $ | 71 |
| $ | 66 |
| $ | 137 |
|
| Total interest revenue | $ | 1,017 |
| $ | 1,270 |
| $ | 2,287 |
|
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 based on the U.S. Federal statutory tax rate of 35% and is included in this presentation. |
| |
(2) | Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change. |
| |
(3) | Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations.
|
| |
(4) | Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries. |
| |
(5) | Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in Trading account assets and Trading account liabilities, respectively.
|
| |
(6) | Includes cash-basis loans. |
| |
(7) | The interest expense on deposits includes the FDIC assessment and deposit insurance fees and charges of $936 million and $838 million for the nine months ended September 30, 2017 and 2016, respectively. |
Market Risk of Trading Portfolios
For additional information on Citi’s market risk of trading portfolios, see “Market Risk—Market Risk of Trading Portfolios” in Citi’s 2016 Annual Report on Form 10-K.
Value at Risk (VAR)
Citi believes its VAR model is conservatively calibrated to incorporate fat-tail scaling and the greater of short-term (approximately the most recent month) and long-term (three years) market volatility. As of SeptemberJune 30, 2017,2020, Citi estimates that the conservative features of itsthe VAR calibration contribute an approximate 22%49% add-on (unchanged from June 30, 2017) to what would be a VAR estimated under the assumption of stable and perfectly normalnormally distributed markets.markets, compared to 348% at March 31, 2020.
The realized volatilities in June 2020 declined from March 2020 by 57%, 47%, 85%, and 68% for the S&P 500, the U.S. 5-year Treasury yield, the USD BBB Bond spread, and the CDX IG Credit spread, respectively, as illustrated below.
Such decline is also seen in the VIX index, which showed a quicker decline than in 2008.
As set forth in the table below, Citi'sCiti’s average trading VAR asand average trading and credit portfolio VAR both increased during the second quarter of September 30, 2017 decreased2020 compared to June 30, 2017.the first quarter of 2020. The change was mainlyincreases were primarily due to lowersubstantially higher market volatility related to the pandemic that occurred late in the first quarter and continued into the second quarter, despite declines in end-of-period VAR. As Citi uses a log normal distribution for credit spread risk rather than a normal modeling approach, the VAR increase for the credit spread risk contribution to the trading VAR was magnified by the increase in credit spread levels, as well the increase in realized volatilities (see USD BBB bond spread above). The proportionally higher increase in trading and credit portfolio VAR was also reflective of this modelling impact on the relative contribution of CVA exposures and volatilities in the markets businesses within ICG, partially offset by higher interest rate risk from increased mark-to-market hedging activity against non-trading positions.CDS hedges of loan exposures accounted for under accrual methods.
Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
| | | | | | | | | | | | | | | | | | | | |
| | Second Quarter | | First Quarter | | Second Quarter |
| In millions of dollars | June 30, 2020 | 2020 Average | March 31, 2020 | 2020 Average | June 30, 2019 | 2019 Average |
| Interest rate | $ | 95 | | $ | 78 | | $ | 78 | | $ | 38 | | $ | 40 | | $ | 36 | |
| Credit spread | 89 | | 137 | | 157 | | 55 | | 46 | | 43 | |
Covariance adjustment(1) | (60) | | (61) | | (55) | | (26) | | (24) | | (20) | |
Fully diversified interest rate and credit spread(2) | $ | 124 | | $ | 154 | | $ | 180 | | $ | 67 | | $ | 62 | | $ | 59 | |
| Foreign exchange | 23 | | 28 | | 29 | | 21 | | 29 | | 25 | |
| Equity | 27 | | 50 | | 92 | | 37 | | 22 | | 13 | |
| Commodity | 25 | | 27 | | 45 | | 16 | | 25 | | 25 | |
Covariance adjustment(1) | (73) | | (107) | | (155) | | (66) | | (69) | | (63) | |
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) | $ | 126 | | $ | 152 | | $ | 191 | | $ | 75 | | $ | 69 | | $ | 59 | |
Specific risk-only component(3) | $ | (20) | | $ | (9) | | $ | (16) | | $ | 7 | | $ | 2 | | $ | 2 | |
| Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 146 | | $ | 161 | | $ | 207 | | $ | 68 | | $ | 67 | | $ | 57 | |
Incremental impact of the credit portfolio(4) | $ | 16 | | $ | 93 | | $ | 217 | | $ | 44 | | $ | 7 | | $ | 10 | |
| Total trading and credit portfolio VAR | $ | 142 | | $ | 245 | | $ | 408 | | $ | 119 | | $ | 76 | | $ | 69 | |
|
| | | | | | | | | | | | | | | | | | |
| | | Third Quarter | | Second Quarter | | Third Quarter |
| In millions of dollars | September 30, 2017 | 2017 Average | June 30, 2017 | 2017 Average | September 30, 2016 | 2016 Average |
| Interest rate | $ | 63 |
| $ | 63 |
| $ | 48 |
| $ | 52 |
| $ | 30 |
| $ | 34 |
|
| Credit spread | 43 |
| 44 |
| 52 |
| 49 |
| 73 |
| $ | 62 |
|
Covariance adjustment(1) | (28 | ) | (23 | ) | (15 | ) | (15 | ) | (28 | ) | (31 | ) |
Fully diversified interest rate and credit spread(2) | $ | 78 |
| $ | 84 |
| $ | 85 |
| $ | 86 |
| $ | 75 |
| $ | 65 |
|
| Foreign exchange | 26 |
| 26 |
| 23 |
| 23 |
| 16 |
| 26 |
|
| Equity | 15 |
| 13 |
| 15 |
| 15 |
| 9 |
| 12 |
|
| Commodity | 20 |
| 23 |
| 20 |
| 21 |
| 22 |
| 23 |
|
Covariance adjustment(1) | (64 | ) | (65 | ) | (53 | ) | (59 | ) | (53 | ) | (62 | ) |
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2) | $ | 75 |
| $ | 81 |
| $ | 90 |
| $ | 86 |
| $ | 69 |
| $ | 64 |
|
Specific risk-only component(3) | $ | 3 |
| $ | 2 |
| $ | 1 |
| $ | 1 |
| $ | 7 |
| $ | 6 |
|
Total trading VAR—general market risk factors only (excluding credit portfolios) | $ | 72 |
| $ | 79 |
| $ | 89 |
| $ | 85 |
| $ | 62 |
| $ | 58 |
|
Incremental impact of the credit portfolio(4)(5) | $ | 8 |
| $ | 8 |
| $ | 5 |
| $ | 10 |
| $ | 21 |
| $ | 21 |
|
| Total trading and credit portfolio VAR | $ | 83 |
| $ | 89 |
| $ | 95 |
| $ | 96 |
| $ | 90 |
| $ | 85 |
|
| |
(1) | Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each individual risk type. The benefit reflects the fact that the risks within each and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each individual risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes. |
| |
(2) | The 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. |
(1)Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each risk type. The benefit reflects the fact that the risks within individual and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.
(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.
The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
| | | | Third Quarter | Second Quarter | Third Quarter | | Second Quarter | | First Quarter | | Second Quarter | |
| | 2017 | 2017 | 2016 | | 2020 | | 2020 | | 2019 | |
| In millions of dollars | Low | High | Low | High | Low | High | In millions of dollars | Low | High | Low | High | Low | High |
| Interest rate | $ | 33 |
| $ | 97 |
| $ | 33 |
| $ | 72 |
| $ | 27 |
| $ | 47 |
| Interest rate | $ | 44 | | $ | 137 | | $ | 28 | | $ | 78 | | $ | 27 | | $ | 47 | |
| Credit spread | 38 |
| 52 |
| 47 |
| 53 |
| 55 |
| 73 |
| Credit spread | 89 | | 171 | | 36 | | 162 | | 39 | | 48 | |
| | Fully diversified interest rate and credit spread | $ | 59 |
| $ | 108 |
| $ | 67 |
| $ | 107 |
| $ | 59 |
| $ | 75 |
| Fully diversified interest rate and credit spread | $ | 112 | | $ | 223 | | $ | 44 | | $ | 180 | | $ | 49 | | $ | 72 | |
| Foreign exchange | 19 |
| 38 |
| 17 |
| 28 |
| 15 |
| 46 |
| Foreign exchange | 20 | | 34 | | 14 | | 32 | | 20 | | 32 | |
| Equity | 8 |
| 18 |
| 10 |
| 24 |
| 6 |
| 22 |
| Equity | 23 | | 135 | | 13 | | 141 | | 7 | | 22 | |
| Commodity | 14 |
| 31 |
| 14 |
| 30 |
| 19 |
| 31 |
| Commodity | 17 | | 64 | | 12 | | 45 | | 20 | | 33 | |
| | Total trading | $ | 58 |
| $ | 106 |
| $ | 67 |
| $ | 116 |
| $ | 53 |
| $ | 72 |
| Total trading | $ | 106 | | $ | 246 | | $ | 47 | | $ | 191 | | $ | 46 | | $ | 69 | |
| Total trading and credit portfolio | 67 |
| 112 |
| 78 |
| 123 |
| 72 |
| 97 |
| Total trading and credit portfolio | 120 | | 424 | | 58 | | 414 | | 59 | | 77 | |
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 dollars | Jun. 30, 2020 |
Total—all market risk factors, including
general and specific risk | |
| Average—during quarter | $ | 147 | |
| High—during quarter | 236 | |
| Low—during quarter | 105 | |
|
| | | |
| In millions of dollars | Sept. 30, 2017 |
Total—all market risk factors, including general and specific risk | $ | 73 |
|
| Average—during quarter | $ | 80 |
|
| High—during quarter | 107 |
|
| Low—during quarter | 57 |
|
Regulatory VAR Back-testing
In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model. Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (i.e., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss and changes in reserves.
Based on a 99% confidence level, Citi would expect two to three days in any one year where buy-and-hold losses exceededexceed the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.
There were no back-testing exceptions during the second quarter of 2020. As of SeptemberJune 30, 2017,2020, there was onewere four back-testing exceptionexceptions observed for Citi’s Regulatory VAR for the prior 12 months. As previously disclosed, trading losses on November 14, 2016 exceededAll of those exceptions occurred during March 2020 due to the VAR estimate atsignificant market volatility in response to the Citigroup level, driven by the widening of municipal bond yields following the election results in the United States.pandemic.
STRATEGIC RISK
For additional information on countrystrategic risk at Citi, see “Country“Strategic Risk” in Citi’s 20162019 Annual Report on Form 10-K.
Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of SeptemberJune 30, 2017.2020. The total exposure as of June 30, 2020 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 thefor U.K., exposure, only 24%35% of corporate
loans presented in the table below are to U.K. domiciled
entities (24% for(and 36% of unfunded commitments)lending commitments are to U.K. domiciled entities), with the balance of
the loans predominately outstanding to European domiciled counterparties.
Approximately 80%75% of the total U.K. funded loans and 90%88% of
the total U.K. unfunded lending commitments were investment grade
as of SeptemberJune 30, 2017.2020. 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In billions of dollars | ICG loans(1) | GCB loans | Other funded(2) | Unfunded(3) | Net MTM on derivatives/repos(4) | Total hedges (on loans and CVA) | Investment securities(5) | Trading account assets(6) | Total
as of
2Q20 | Total
as of
1Q20 | Total
as of
2Q19 | Total as a % of Citi as of 2Q20 |
| United Kingdom | $ | 41.8 | | $ | — | | $ | 2.9 | | $ | 47.5 | | $ | 19.0 | | $ | (5.6) | | $ | 4.3 | | $ | (0.2) | | $ | 109.7 | | $ | 118.9 | | $ | 117.7 | | 6.2 | % |
| Mexico | 17.9 | | 13.3 | | 0.2 | | 6.5 | | 3.2 | | (0.9) | | 14.3 | | 4.6 | | 59.1 | | 56.9 | | 66.8 | | 3.4 | |
| Hong Kong | 19.3 | | 12.8 | | 0.9 | | 6.6 | | 2.0 | | (0.9) | | 7.9 | | 0.5 | | 49.1 | | 49.3 | | 49.5 | | 2.8 | |
| Singapore | 14.7 | | 12.6 | | 0.1 | | 5.9 | | 4.3 | | (0.6) | | 8.9 | | 0.9 | | 46.8 | | 44.6 | | 42.7 | | 2.7 | |
| Ireland | 13.1 | | — | | 0.6 | | 27.0 | | 0.8 | | (0.1) | | — | | 0.6 | | 42.0 | | 40.5 | | 32.9 | | 2.4 | |
| South Korea | 3.3 | | 16.0 | | 0.1 | | 2.1 | | 1.1 | | (0.5) | | 9.6 | | 1.0 | | 32.7 | | 33.5 | | 31.6 | | 1.9 | |
| India | 6.2 | | 4.2 | | 0.5 | | 5.4 | | 2.3 | | (0.4) | | 9.7 | | 0.6 | | 28.5 | | 30.2 | | 31.3 | | 1.6 | |
| Brazil | 14.4 | | — | | — | | 1.6 | | 3.4 | | (0.9) | | 3.8 | | 3.1 | | 25.4 | | 26.2 | | 26.4 | | 1.4 | |
| Germany | 0.7 | | — | | — | | 5.7 | | 7.0 | | (4.4) | | 11.1 | | 4.5 | | 24.6 | | 21.5 | | 18.8 | | 1.4 | |
| Australia | 4.8 | | 8.8 | | — | | 6.2 | | 1.4 | | (0.6) | | 1.4 | | (1.8) | | 20.2 | | 22.6 | | 21.8 | | 1.2 | |
| China | 7.4 | | 3.3 | | 0.5 | | 3.2 | | 1.2 | | (0.7) | | 5.3 | | (1.0) | | 19.2 | | 21.5 | | 18.3 | | 1.1 | |
| Japan | 2.7 | | — | | 0.1 | | 3.0 | | 4.4 | | (1.9) | | 5.8 | | 4.4 | | 18.5 | | 20.5 | | 19.0 | | 1.1 | |
| Canada | 2.8 | | 0.5 | | 0.3 | | 7.2 | | 2.2 | | (1.0) | | 4.8 | | 1.0 | | 17.8 | | 18.2 | | 16.4 | | 1.0 | |
| Taiwan | 5.5 | | 7.8 | | 0.1 | | 1.2 | | 0.4 | | (0.1) | | 0.8 | | 1.0 | | 16.7 | | 16.6 | | 17.6 | | 1.0 | |
| Poland | 3.7 | | 1.9 | | — | | 2.6 | | 0.1 | | — | | 6.0 | | 0.8 | | 15.1 | | 14.7 | | 15.3 | | 0.9 | |
| United Arab Emirates | 8.5 | | 1.2 | | — | | 2.8 | | 0.5 | | (0.2) | | 0.1 | | — | | 12.9 | | 14.2 | | 11.8 | | 0.7 | |
| Jersey | 7.0 | | — | | 0.2 | | 5.1 | | — | | (0.3) | | — | | — | | 12.0 | | 11.7 | | 12.8 | | 0.7 | |
| Malaysia | 1.7 | | 3.7 | | 0.2 | | 0.9 | | 0.3 | | — | | 1.8 | | 0.5 | | 9.1 | | 8.6 | | 9.7 | | 0.5 | |
| Thailand | 1.0 | | 2.6 | | — | | 1.9 | | 0.1 | | — | | 2.0 | | 0.2 | | 7.8 | | 7.3 | | 8.5 | | 0.4 | |
| Luxembourg | 0.7 | | — | | — | | — | | 0.5 | | (0.1) | | 5.1 | | 0.5 | | 6.7 | | 6.1 | | 2.9 | | 0.4 | |
| Indonesia | 2.5 | | 0.7 | | — | | 1.2 | | — | | — | | 1.3 | | 0.2 | | 5.9 | | 5.3 | | 6.2 | | 0.3 | |
| Russia | 1.7 | | 0.8 | | — | | 0.7 | | 0.8 | | (0.1) | | 1.3 | | 0.2 | | 5.4 | | 5.1 | | 5.4 | | 0.3 | |
| Philippines | 1.0 | | 1.4 | | 0.1 | | 0.5 | | — | | — | | 2.3 | | 0.1 | | 5.4 | | 5.0 | | 5.2 | | 0.3 | |
| Netherlands | — | | — | | — | | — | | 1.7 | | (1.6) | | 1.8 | | 2.6 | | 4.5 | | 1.2 | | 1.9 | | 0.3 | |
| Italy | 0.2 | | — | | — | | 2.1 | | 5.1 | | (5.2) | | — | | 1.6 | | 3.8 | | 1.9 | | 6.1 | | 0.2 | |
| Total as a % of Citi’s total exposure | | | | | | | | | | | | 34.2 | % |
| Total as a % of Citi’s non-U.S. total exposure | | | | | | | | | | | | 89.4 | % |
(1) ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of June 30, 2020, private bank loans in the table above totaled $27.7 billion, concentrated in Hong Kong ($8.4 billion), Singapore ($6.6 billion) and the U.K. ($6.2 billion).
(2) Other funded includes other direct exposures such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.
(3) Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
(4) Net mark-to-market counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.
(5) Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.
(6) Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.
Argentina
As previously disclosed, Citi operates in Argentina through its ICG businesses. As of June 30, 2020, Citi’s net investment in its Argentine operations was approximately $900 million. Citi uses the U.S. dollar as the functional currency for its operations in Argentina because the Argentine economy is considered highly inflationary under U.S. GAAP. For additional information about Citi’s exposures in Argentina, see “Managing Global Risk—Country Risk—Argentina” in Citi’s 2019 Annual Report on Form 10-K.
In April 2020, the government of Argentina announced a postponement of debt payments related to foreign currency debt issued under foreign law, and the Argentine government has been negotiating a restructuring with the primary bondholders. In addition, the government of Argentina has continued to maintain certain capital and currency controls that restrict Citi’s ability to access U.S. dollars in Argentina and remit earnings from its Argentine operations.
Citi economically hedges the foreign currency risk in its net Argentine peso-denominated assets to the extent possible and prudent using non-deliverable forward (NDF) derivative instruments that are primarily executed outside of Argentina. As of June 30, 2020, the international NDF market had very limited liquidity, resulting in Citi being unable to economically hedge a significant portion of its Argentine peso exposure. To the extent that Citi is unable to execute additional NDF contracts in the future, devaluations on Citi’s net Argentine peso-denominated assets would be recorded in earnings, without any benefit from a change in the fair value of derivative positions used to economically hedge the exposure.
Citi continually evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and sovereign risk associated with its Argentine assets. Citi believes it has established appropriate loan loss reserves on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for such risks under U.S. GAAP as of June 30, 2020. However, given the recent events in Argentina, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’s cost of credit, based on the perceived country risk associated with its Argentine exposures. For additional information on emerging markets risks, see “Risk Factors—Strategic Risks” in Citi’s 2019 Annual Report on Form 10-K.
SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES
This section contains a summary of Citi’s most significant accounting policies. Note 1 to the Consolidated Financial Statements in Citigroup’s 2019 Annual Report on Form 10-K and in Citigroup’s 2020 Report on Form 10-Q for the quarterly period ended March 31, 2020 contain a summary of all of Citigroup’s significant accounting policies. These policies, as well as estimates made by management, are integral to the presentation of Citi’s results of operations and financial condition. While all of these policies require a certain level of management judgment and estimates, this section highlights and discusses the significant accounting policies that require management to make highly difficult, complex or subjective judgments and estimates at times regarding matters that are inherently uncertain and susceptible to change (see also “Risk Factors—Operational Risks” in Citigroup’s 2019 Annual Report on Form 10-K). Management has discussed each of these significant accounting policies, the related estimates and its judgments with the Audit Committee of the Citigroup Board of Directors.
Valuations of Financial Instruments
Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. A substantial majority of these assets and liabilities is reflected at fair value on Citi’s Consolidated Balance Sheet as Trading account assets, Available-for-sale securities and Trading account liabilities.
Citi purchases securities under agreements to resell (reverse repurchase agreements) and sells securities under agreements to repurchase (repurchase agreements), a majority of which are carried at fair value. In addition, certain loans, short-term borrowings, long-term debt and deposits, as well as certain securities borrowed and loaned positions that are collateralized with cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on Citi’s Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing.
When available, Citi generally uses quoted market prices to determine fair value and classifies such items within Level 1 of the fair value hierarchy established under ASC 820-10, Fair Value Measurement. If quoted market prices are not available, fair value is based upon internally developed valuation models that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates and option volatilities. Such models are often based on a discounted cash flow analysis. In addition, items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified under the fair value hierarchy as Level 3 even though there may be some significant inputs that are readily observable.
Citi is required to exercise subjective judgments relating to the applicability and functionality of internal valuation models, the significance of inputs or value drivers to the
valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. These judgments have the potential to impact the Company’s financial performance for instruments where the changes in fair value are recognized in either the Consolidated Statement of Income or in AOCI.
Losses on available-for-sale securities whose fair values are less than the amortized cost, where Citi intends to sell the security or could more-likely-than-not be required to sell the security, are recognized in earnings. Where Citi does not intend to sell the security nor could more-likely-than-not be required to sell the security, the portion of the loss related to credit is recognized as an allowance for credit losses with a corresponding provision for credit losses and the remainder of the loss is recognized in other comprehensive income. Such losses are capped at the difference between the fair value and amortized cost of the security.
For equity securities carried at cost or under the measurement alternative, decreases in fair value below the carrying value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). Adjudicating the temporary nature of fair value impairments is also inherently judgmental.
The fair value of financial instruments incorporates the effects of Citi’s own credit risk and the market view of counterparty credit risk, the quantification of which is also complex and judgmental. For additional information on Citi’s fair value analysis, see Notes 6, 20 and 21 to the Consolidated Financial Statements and Note 1 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K.
Allowance for Credit Losses (ACL)
Citi provides reserves for an estimate of current expected credit losses in the funded loan portfolio and for the unfunded lending commitments, standby letters of credit and financial guarantees on the Consolidated Balance Sheet in Allowance for credit losses on loans (ACLL) and Other liabilities, respectively. In addition, Citi provides allowances for an estimate of current expected credit losses for other financial assets measured at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables carried at amortized cost (these allowances, together with the ACLL, are referred to as the ACL).
The ACL is composed of quantitative and qualitative components. For the quantitative component, Citi uses a discussionsingle forward-looking macroeconomic forecast across the Company complemented by a qualitative component. This qualitative component reflects economic uncertainty related to a separate scenario and an alternative downside scenario, along with specific adjustments based on the associated portfolio for estimating the ACL.
Quantitative Component
Citi estimates expected credit losses based upon (i) its internal system of uncertainties arisingcredit risk ratings, (ii) its comprehensive internal history and rating agency information regarding default rates and loss data, including internal data on the severity of losses in the event of default, and (iii) a reasonable and supportable forecast of future macroeconomic conditions.
Citi’s expected credit loss is determined primarily by utilizing models for the borrowers’ probability of default (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models use both internal and external information and are sensitive to changes in macroeconomic variables that inform the forecasts. Adjustments may be made to this data, including (i) statistically calculated estimates to cover the historical fluctuation of the default rates over the credit cycle, the historical variability of loss severity among defaulted loans and obligor concentrations in the global portfolio, and (ii) adjustments made for specifically known items, such as other current economic factors and credit trends.
In addition, Citi’s delinquency-managed portfolios containing smaller-balance homogeneous loans also use PD x LGD x EAD models to determine expected credit losses and reserve balances based on leading credit indicators, including loan delinquencies and changes in portfolio size, as well as economic trends, including housing prices, unemployment and gross domestic product (GDP). This methodology is applied separately for each product within each geographic region in which these portfolios exist.
This evaluation process is subject to numerous estimates and judgments. The frequency of default, risk ratings, loss recovery rates, size and diversity of individual large credits and ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account. Changes in these estimates could have a direct impact on Citi’s credit costs and the allowance in any period.
Qualitative Component
Any adjustments needed to the modeled expected losses in the quantitative calculations are addressed through a qualitative adjustment. The qualitative adjustment considers, among other things: the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession, the uncertainty of economic conditions, certain portfolio characteristics and concentrations, collateral coverage, model limitations, idiosyncratic events and other relevant criteria under banking supervisory guidance for loan loss reserves. The qualitative adjustment also reflects the estimated impact of the COVID-19 pandemic on economic forecasts and the impact on credit loss estimates. The total ACL is composed of the quantitative and qualitative components.
Citi calculates a judgmental management adjustment, which is an alternative, more adverse scenario that only considers downside risk. The management adjustment incorporated this alternate pandemic downside scenario at a 15% likelihood, which contributed to an increase in the Provision for credit losses of approximately $0.8 billion and ending ACL reserves of $2.3 billion in the quarter.
Combined Quantitative and Qualitative Components
Citi built the ACL by $2.1 billion for its consumer portfolios and $3.5 billion for its corporate portfolios in the second quarter of 2020, primarily due to deterioration in macroeconomic conditions as a result of the votepandemic. The ACL reflects both a quantitative component and a qualitative management adjustment based on Citi’s macroeconomic forecast as of June 22, 2020.
The quantitative and qualitative components of the ACL for the second quarter of 2020 reflect the estimated impact of the pandemic on economic forecasts and the impact on credit loss estimates, and include reserves for loans modified under the CARES Act and Interagency Guidance. The outlook around many of these metrics, such as GDP and unemployment, continues to evolve. Citi believes its analysis of the ACL reflects the forward view of the economic analysis as of June 30, 2020, based on the June 22, 2020 forecast. Citi expects a higher level of net credit losses during the remainder of 2020, partially offset by the release of existing reserves.
The extent of the pandemic’s ultimate impact will depend, among other things, upon (i) how consumers respond to the various consumer relief programs established by the federal government, as well as Citi’s own customer relief efforts, and how the federal government stimulus programs are implemented by small and medium-size businesses; (ii) the impact on unemployment, which is unclear; (iii) the timing and extent of the economic recovery; (iv) whether there is a resurgence of COVID-19 as businesses and schools reopen and the extent of that resurgence; and (v) the extent of market volatility.
Impact to ACL Estimate as a Result of a Voluntary Change in the U.K.Accounting for Variable Post-Charge-Off Third-Party Collection Costs
During the second quarter of 2020, there was a change in Citi`s ACL accounting estimate effected by a change in Citi`s accounting principle for variable post-charge-off third-party collection costs. These costs were previously accounted for as a reduction in credit recoveries. As a result of this change, beginning July 1, 2020, these costs are accounted for as an increase in operating expenses. Determining a preferable method of accounting for such costs is a judgmental matter; however, Citi concluded that such a change in the method of accounting is preferable in Citi’s circumstances as it better reflects the nature of these collection costs to withdrawinvestors. That is, these costs do not represent reduced payments from borrowers and are similar to Citi’s other executory third-party vendor contracts that are accounted for as operating expenses as incurred.
As a result of this accounting change, Citi`s estimate for the EU, see “Risk Factors—Strategic Risks”consumer ACL was impacted and resulted in Citigroup’s 2016 Annual Report on Form 10-K.a one-time ACL release of approximately $426 million in the second quarter of 2020. This one-time ACL release reflects the impact to Citi’s ACL estimate of the revised credit recoveries incorporated in the ACL models. This change in accounting will result in a reclassification of approximately $50 million of collection costs from credit recoveries to operating expenses each quarter, beginning with the third quarter of 2020.
Macroeconomic Variables
Citi uses a multitude of variables in its macroeconomic forecast, including both domestic and international variables for its various portfolios spanning Citi’s global portfolios and exposures. The two key macroeconomic variables that most significantly affect the estimation of the consumer and corporate ACL are Citi’s estimates of the U.S. unemployment rate and U.S. GDP growth rate. The tables below show these macroeconomic variables used for Citi’s 2Q20 and 1Q20 consumer and corporate ACL, comparing Citi’s forecasted (1) 4Q20, 2Q21 and 4Q21 quarterly average U.S. unemployment rate, and (2) cumulative U.S. GDP forecasted growth rate for 4Q20, 2Q21 and 4Q21:
| | | | | | | | | | | |
| Quarterly average | | |
| U.S. unemployment | 4Q20 | 2Q21 | 4Q21 |
| Citi forecast at 1Q20 | 7.1 | % | 6.7 | % | 6.5 | % |
| Citi forecast at 2Q20 | 8.9 | | 7.2 | | 5.9 | |
| | | | | | | | | | | |
| Cumulative growth rate from 4Q19 (pre-pandemic)(1) | | |
| U.S. GDP | 4Q20 | 2Q21 | 4Q21 |
| Citi forecast at 1Q20 | (2.4) | % | (0.9) | % | 0.1 | % |
| Citi forecast at 2Q20 | (4.0) | | (1.0) | | 0.7 | |
(1) The cumulative growth rate is the percentage change in the real (inflation adjusted) GDP level relative to 4Q19 level (pre-pandemic).
Consumer
The CECL impact for the consumer portfolio is largely driven by the cards businesses, where the receivables have longer estimated tenors under the CECL lifetime expected credit loss methodology, net of recoveries.
As discussed above, the total consumer (including Corporate/Other) ACL build of $2.1 billion in the second quarter of 2020 increased the ACL balance to $19.6 billion, or 6.97% of total consumer loans, and reflected the update of the macroeconomic forecast scenario for the second quarter. This ACL build resulted in an increase in reserves for credit cards to 11.21% of EOP loans at June 30, 2020 (this ACL build was reduced by $426 million for the change in accounting for third-party collection costs
discussed above), compared to 9.5% of EOP loans at March 31, 2020. For the remaining consumer exposures, the level of reserves relative to EOP loans increased to 2.2% at June 30, 2020, compared to 1.8% at March 31, 2020.
Corporate
The corporate ACLL build of $3.4 billion in the second quarter of 2020 increased the ACLL reserve balance to $6.8 billion, or 1.71% of total funded loans, and reflected the update of the macroeconomic forecast scenario for the second quarter of 2020 and the significant credit downgrades made through the end of the quarter.
Durables, transportation and logistics, and energy were key contributors to the increase in reserves, driven by the
combined impact of significant downgrades and changes in the macroeconomic scenario.
From a geography perspective, the U.S., E.U., Mexico and Brazil were the key contributors to the reserve build.
ACL Sensitivity
In the second quarter of 2020 ACL estimate, Citi employed a base set of economic variables in its CECL models and supplemented that with a more adverse scenario (qualitative adjustment). The adverse scenario, using a probability weighting of 15%, represents approximately $2.3 billion of the overall ACL balance of $28.5 billion at June 30, 2020. The adverse scenario incorporates more adverse economic variables (e.g., 400–500 bps in higher unemployment rates through 2021 and slower GDP recovery). To the extent that the probability of the adverse scenario increases, a corresponding increase in reserves would be expected.
It is important to note the following:
•The above cannot be used to estimate the overall impact on the ACL, as the amount of the qualitative component of the ACL (including, but not limited to, the economic uncertainty management adjustment) could be different under alternative macroeconomic scenarios and changes in the portfolio.
•The pandemic has had, and will likely continue to have, a severe impact on global economic conditions and the variability in macroeconomic variables, and their impacts on credit loss estimates could be material.
ACLL and Non-accrual Ratios
At June 30, 2020, the ratio of the allowance for credit losses to total funded loans was 3.89% (7.00% for consumer loans and 1.71% for corporate loans), compared to 2.91% at March 31, 2020 (6.10% for consumer loans and 0.81% for corporateloans).
Citi’s total non-accrual loans were $5.8 billion at June 30, 2020, up $1.7 billion from March 31, 2020. Consumer non-accrual loans increased to $1.8 billion at June 30, 2020 from $1.7 billion at March 31, 2020, while corporate non-accrual loans grew to $4.0 billion at June 30, 2020 from $2.5 billion at March 31, 2020. In addition, the ratio of non-accrual loans to total corporate loans was 0.99%, and 0.66% for total consumer loans, at June 30, 2020.
Regulatory Capital Impact
Citi has elected to phase in the CECL impact for regulatory capital purposes. The transition provisions were recently modified to defer the phase-in. After two years with no impact on capital, the CECL transition impact will phase in over a three-year transition period with 25% of the impact (net of deferred taxes) recognized on the first day of each subsequent year, commencing January 1, 2022, and will be fully implemented on January 1, 2025. In addition, 25% of the build (pretax) made in 2020 will be deferred and amortized through the same timeframe.
For a further description of the allowance for credit losses and related accounts, see Notes 1 and 14 to the Consolidated Financial Statements.
For a discussion of the recently adopted CECL accounting pronouncement, see Note 1 to the Consolidated Financial Statements.
Goodwill
Citi tests goodwill for impairment annually as of July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount, such as a significant adverse change in the business climate, a decision to sell or dispose of all or a significant portion of a reporting unit or a significant decline in Citi’s stock price.
Citi qualitatively assessed the environment in the second quarter of 2020, including the estimated impact of the COVID-19 pandemic on macroeconomic variables and economic forecasts and how those might impact the fair value of reporting units. There is significant uncertainty with how the pandemic will evolve, but Citi expects that it will continue to have a significant impact during the remainder of 2020. As discussed above the extent of the pandemic’s impact will depend upon (i) how consumers respond to the various consumer relief programs established by the federal government, as well as Citi’s own customer relief efforts, and how the federal corporate stimulus programs are implemented by small and medium-size businesses; (ii) the impact on unemployment, which is unclear; (iii) the timing and extent of the economic recovery; (iv) whether there is a resurgence of COVID-19 as businesses and schools reopen and the extent of that resurgence; and (v) the extent of market volatility.
After consideration of the current economic conditions, including the potential impact of the pandemic on business performance as mentioned above, the change in estimated market cost of equity, the actual and projected business performance and the results of the 2019 impairment test, Citi determined it was not more-likely-than-not that the fair value of any reporting unit was below book value as of June 30, 2020. See Note 15 to the Consolidated Financial Statements for a further discussion on goodwill.
Litigation Accruals
See the discussion in Note 23 to the Consolidated Financial Statements for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 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 |
| United Kingdom | $ | 35.0 |
| $ | — |
| $ | 3.5 |
| $ | 55.2 |
| $ | 10.6 |
| $ | (2.5 | ) | $ | 7.3 |
| $ | 1.1 |
| $ | 110.2 |
| $ | 111.8 |
| $ | 107.5 |
|
| Mexico | 8.9 |
| 26.6 |
| 0.4 |
| 6.8 |
| 0.7 |
| (0.7 | ) | 13.7 |
| 6.4 |
| 62.8 |
| 61.3 |
| 52.4 |
|
| Singapore | 14.9 |
| 12.0 |
| 0.2 |
| 5.9 |
| 0.9 |
| (0.3 | ) | 9.7 |
| 0.5 |
| 43.8 |
| 41.2 |
| 36.4 |
|
| Hong Kong | 15.4 |
| 10.8 |
| 1.2 |
| 6.1 |
| 1.1 |
| (0.5 | ) | 5.4 |
| 1.3 |
| 40.8 |
| 39.7 |
| 35.9 |
|
| Korea | 2.3 |
| 18.8 |
| 0.3 |
| 3.2 |
| 2.3 |
| (0.9 | ) | 6.7 |
| 1.5 |
| 34.2 |
| 35.1 |
| 34.0 |
|
| Ireland | 11.5 |
| — |
| 0.7 |
| 15.3 |
| 0.5 |
| — |
| — |
| 0.8 |
| 28.8 |
| 28.9 |
| 24.8 |
|
| India | 7.0 |
| 6.6 |
| 0.6 |
| 4.7 |
| 1.5 |
| (1.1 | ) | 8.3 |
| 1.1 |
| 28.7 |
| 33.4 |
| 30.9 |
|
Brazil(2) | 12.6 |
| 1.8 |
| — |
| 3.7 |
| 5.4 |
| (2.0 | ) | 3.3 |
| 3.2 |
| 28.0 |
| 27.3 |
| 28.5 |
|
| Australia | 4.6 |
| 10.9 |
| — |
| 5.7 |
| 2.2 |
| (0.8 | ) | 4.0 |
| 0.4 |
| 27.0 |
| 23.7 |
| 22.4 |
|
| China | 7.7 |
| 4.6 |
| 0.3 |
| 1.7 |
| 2.6 |
| (1.0 | ) | 4.0 |
| 0.9 |
| 20.8 |
| 19.4 |
| 17.2 |
|
| Japan | 2.4 |
| 0.1 |
| 0.1 |
| 2.7 |
| 5.4 |
| (1.2 | ) | 4.6 |
| 4.7 |
| 18.8 |
| 18.6 |
| 18.3 |
|
| Germany | 0.1 |
| — |
| — |
| 4.2 |
| 4.7 |
| (2.1 | ) | 9.5 |
| 2.2 |
| 18.6 |
| 19.5 |
| 16.0 |
|
| Taiwan | 5.0 |
| 8.8 |
| 0.1 |
| 1.1 |
| 0.9 |
| (0.2 | ) | 1.4 |
| 1.4 |
| 18.5 |
| 18.4 |
| 16.6 |
|
| Canada | 2.0 |
| 0.7 |
| 0.6 |
| 6.8 |
| 1.9 |
| (0.7 | ) | 4.7 |
| — |
| 16.0 |
| 16.3 |
| 17.0 |
|
| Poland | 3.3 |
| 1.9 |
| — |
| 3.1 |
| 0.1 |
| (0.3 | ) | 5.2 |
| 0.3 |
| 13.6 |
| 13.1 |
| 11.8 |
|
| Malaysia | 1.4 |
| 4.6 |
| 0.3 |
| 1.6 |
| 0.1 |
| (0.1 | ) | 0.9 |
| 0.3 |
| 9.1 |
| 9.0 |
| 9.3 |
|
| Thailand | 0.9 |
| 2.1 |
| 0.1 |
| 2.1 |
| 0.1 |
| — |
| 1.1 |
| 0.6 |
| 7.0 |
| 7.0 |
| 5.8 |
|
| United Arab Emirates | 3.1 |
| 1.5 |
| 0.1 |
| 2.2 |
| 0.3 |
| (0.3 | ) | — |
| (0.2 | ) | 6.7 |
| 6.2 |
| 6.0 |
|
| Indonesia | 1.9 |
| 1.1 |
| 0.2 |
| 1.3 |
| 0.2 |
| (0.2 | ) | 1.3 |
| 0.4 |
| 6.2 |
| 5.7 |
| 5.2 |
|
| Luxembourg | 0.1 |
| — |
| — |
| — |
| 0.6 |
| (0.3 | ) | 5.2 |
| 0.5 |
| 6.1 |
| 5.8 |
| 5.4 |
|
| Russia | 2.1 |
| 1.0 |
| — |
| 1.0 |
| 0.2 |
| (0.2 | ) | 0.8 |
| 0.1 |
| 5.0 |
| 4.7 |
| 5.3 |
|
Colombia(2) | 1.9 |
| 1.6 |
| — |
| 1.0 |
| 0.3 |
| (0.1 | ) | 0.3 |
| (0.1 | ) | 4.9 |
| 5.3 |
| 5.6 |
|
| Jersey | 2.9 |
| — |
| — |
| 1.6 |
| — |
| — |
| — |
| — |
| 4.5 |
| 4.1 |
| 3.7 |
|
| Argentina | 1.9 |
| — |
| — |
| 0.1 |
| 1.2 |
| (0.4 | ) | 0.4 |
| 1.1 |
| 4.3 |
| 3.0 |
| 2.2 |
|
| South Africa | 1.5 |
| — |
| — |
| 1.0 |
| 0.7 |
| (0.3 | ) | 1.4 |
| — |
| 4.3 |
| 3.9 |
| 3.9 |
|
| |
(1) | ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of September 30, 2017, private bank loans in the table above totaled $23.3 billion, concentrated in Singapore ($7.2 billion), Hong Kong ($6.5 billion) and the U.K. ($5.4 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, other loans in Corporate/Other and investments accounted for under the equity method.
|
| |
(4) | Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies. |
| |
(5) | Net mark-to-market (MTM) counterparty risk on OTC derivatives and securities lending / borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans. |
| |
(6) | Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost. |
| |
(7) | Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country. |
INCOME TAXES
Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and NoteNotes 1 and 9 to the Consolidated Financial Statements in Citi’s 20162019 Annual Report on Form 10-K.
At SeptemberJune 30, 2017,2020, Citigroup had recorded net DTAs of approximately $45.5$23.9 billion, a decreasean increase of $0.3$1.8 billion from June 30, 2017March 31, 2020 and $1.2an increase of $0.8 billion from December 31, 2016.2019. The DTA reductionsincrease for the three and nine months ended September 30, 2017 werequarter was primarily driven by earnings.the higher level of allowance for credit loss reserves recorded during the quarter.
The following table below summarizes Citi’s net DTAs balance. balance:
| | | | | | | | |
| Jurisdiction/Component | DTAs balance | |
| In billions of dollars | June 30,
2020 | December 31, 2019 |
| Total U.S. | $ | 22.0 | | $ | 21.0 | |
| Total foreign | 1.9 | | 2.1 | |
| Total | $ | 23.9 | | $ | 23.1 | |
Of Citi’s total net DTAs of $23.9 billion as of SeptemberJune 30, 2017, those arising from2020, $9.7 billion (primarily relating to net operating losses, foreign tax credit and general business credit carry-forwards, are 100%which remained flat overall in the current quarter) was deducted in calculating Citi’s regulatory capital, whilecapital. Net DTAs arising 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, 2020, Citi did not have any such DTAs. Accordingly, the remaining $14.2 billion of the net DTADTAs as of June 30, 2020 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/Component | DTAs balance |
| In billions of dollars | Sept. 30, 2017 | Dec. 31, 2016 |
| Total U.S. | $ | 43.2 |
| $ | 44.6 |
|
| Total foreign | 2.3 |
| 2.1 |
|
| Total | $ | 45.5 |
| $ | 46.7 |
|
In the second quarter of 2020, as part of the normal planning process, Citi updated its forecasts of operating income and its foreign source income. With respect to Citi’s general basket for foreign tax credits (FTCs), Citi’s revised forecast of lower pretax income, mitigated by actions around geographic and legal entity asset movements, enabled Citi to maintain a sufficient level of forecasted taxable income in U.S. locations derived from sources outside the U.S. The effect is no change in Citi’s general basket valuation allowance in the second quarter while resulting in an immaterial release of valuation allowance for non-U.S. branches with respect to current year activity. Moreover, the forecast updates did not require Citi to adjust its FTC valuation allowance for future years. In light of the COVID-19 pandemic, however, which adds additional uncertainty as to Citi’s ability to generate sufficient taxable income during the FTC carry-forwards period, Citi will continue to monitor its forecasts and mix of earnings, which could affect such valuation allowance.
Effective Tax Rate
Citi’s reported effective tax rate for the thirdsecond quarter of 20172020 was 31.1%approximately 9%, as compared with 30.8%to approximately 22% in the thirdsecond quarter of 2016.2019. The lower rate reflects the higher relative impact of tax-advantaged investments and tax benefits for non-U.S. branch-related FTCs discussed above, on a lower level and changing geographic mix of earnings before taxes.
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, 2017 and, based2020. 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 disclosedhad no reportable activities pursuant to Section 219 infor the first and second quartersquarter of 2017 in the First Quarter of 2017 Form 10-Q and Second Quarter Form 10-Q, respectively.2020.
During the thirdsecond quarter of 2017, Bank Handlowy w Warszawie S.A., a Citibank subsidiary located in Poland, processed three funds transfers involving2020, Citi reported that between May 2018 and February 2020, the Iranian Embassy in Poland. The value of the funds transfers was EUR 50, EUR 50, and EU 100 (approximately $60.00, $60.00 and $117.00), respectively. In addition, aKenyan branch of Citibank, N.A., located inadvertently processed 110 non-dollar denominated transactions valued at approximately $41,000.00 on behalf of a client to a medical clinic in India, processed a funds transfer involvingKenya that may be controlled by the Iran Consulate General in India.Government of Iran. Nominal fees were realized for the processing of these payments. The total valuetransactions were disclosed to the Office of this payment was INR 1,368 (approximately $21.00). These payments were for visa-related fees and Iran-related travel respectively, bothForeign Assets Control of which are permissible under the travel exemption inU.S. Department of the Iranian Transactions and Sanctions Regulations. Treasury.
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 and illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within
each individual business’s discussion and analysis of its results of operations above and in Citi’s 20162019 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” above and in Citi’s 20162019 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:
•rapidly evolving macroeconomic and other challenges and uncertainties related to the COVID-19 pandemic, including the duration and further spread of the disease, the severity and duration of the related economic downturn or the pace of the economic recovery, and the potential impact on Citi’s ability to address (i) the shortcomings identified by the Federal Reserve Boardbusinesses, revenues, expenses, credit costs, regulatory capital and FDIC as a result of their review of Citi’s 2015 annual resolution plan submissionliquidity, as well as (ii) the 2017 resolution plan guidance in Citi’s 2017 resolution plan submission;overall results of operations and financial condition;
•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, the ongoing or forecasted impact to Citi’s results of operations and financial condition, whether due to the pandemic or otherwise; regulatory requirements (including recent actions regarding stock buyback restrictions, stress tests and new dividend limitations); Citi’s effectiveness in managing its level of risk-weighted assets and GSIB surcharge; potential changes to the regulatory capital framework; the results of the CCAR process and regulatory stress testing and CCAR requirements or process, such as the introductiontests, including regulatory determination of a firm-specificCiti’s “stress capital buffer” (SCB); and any resulting variability in the SCB and the impact on Citi’s estimated management buffer;
•the potential impact to Citi’s regulatory capital ratios under the Basel III Advanced Approaches framework for determining risk-weighted assets, given that credit risk-weighted assets calculated under the Advanced Approaches are more risk sensitive than those calculated under the Standardized Approach;
•the potential impact to Citi’s businesses, and results of operations and financial condition, as well as its macroeconomic outlook, due to macroeconomic and geopolitical and other challenges and uncertainties and volatilities, including, among others, election outcomes, protracted or incorporation of Citi’s then-effective GSIB surcharge into its post-stress test minimum capital requirements or the introduction of additional macroprudential considerationswidespread trade tensions, including changes in U.S. trade and sanctions policies and resulting retaliatory measures; geopolitical tensions and conflicts, natural disasters, pandemics, governmental fiscal and monetary actions, such as fundingchanges in interest rates; and liquidity shocks in the stress testing process;terms or conditions related to the U.K.’s withdrawal from the European Union;
•the ongoing regulatory and legislative uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, including, among others, uncertaintiessuch as potential fiscal, monetary, regulatory and potentialother changes arising from the U.S. presidential administrationfederal government and Congress,others, whether due to the pandemic or otherwise; 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 withdrawexit from the European Union,Union; and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structurebusiness planning and compliance risks and costs;
the numerous uncertainties arising•Citi’s ability to achieve its projected or expected results from its continued investments and efficiency initiatives, such as revenue growth and expense savings, as part of Citi’s overall strategy to meet operational and financial objectives, including as a result of factors that Citi cannot control;
•the process in the U.K. to withdrawtransition away from the European Union, including the termsor discontinuance of the withdrawal,LIBOR scheduled for December 31, 2021 or any other interest rate benchmark and the potential impact to macroeconomic conditions as well as
adverse consequences it could have for market participants, including Citi;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 movements in Citi’s AOCI, which can be impacted by changes in interest rates and foreign exchange rates;its ability to generate U.S. taxable income;
•the potential impact to Citi if its interpretation or application of the extensivecomplex tax laws to which it is subject, such as the Tax Cuts and Jobs Act (Tax Reform), withholding, tax obligations and stamp, service and other transactionalnon-income taxes, differs from those of the relevant governmental taxing authorities;
Citi’s ability to achieve the expected returns on its ongoing investments in its businesses or meet its operational or financial objectives or targets, including as a result of factors that Citi cannot control;
the potential negative impact to Citi’s co-branding and private label credit card relationships as well as Citi’s results of operations or financial condition, including as a result of loss of revenues, impairment of purchased credit card relationships and contract related intangibles or other losses, due to, among other things, operational difficulties of a particular retailer or merchant or early termination of a particular relationship, or external factors, including bankruptcies, liquidations, consolidations and other similar events;
the potential impact to Citi’s businesses, credit costs, deposits and overall results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties, including those relating to geopolitical tensions in Asia and Latin America, economic growth rates in the U.S. and non-U.S. jurisdictions, potential fiscal or other monetary actions or the pursuit of protectionist trade and other policies by the U.S.;
•the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, sanctions or asset freezes, fraud,limitations of hedges on foreign investments, foreign currency volatility, sovereign volatility, election outcomes, 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,licenses; business restrictions, sanctions or asset freezes; potential criminal charges,charges; closure of branches or subsidiariessubsidiaries; and confiscation of assets as well as assets;
•the increased compliance, regulatory and legal risks and costs;potential impact to Citi if the economic situation in a non-U.S. jurisdiction where Citi operates were to deteriorate to below a certain level resulting in U.S.
regulators imposing mandatory loan loss or other reserve requirements on Citi;
•the uncertainties regardingpotential impact from a deterioration in or failure to maintain Citi’s co-branding or private label credit card relationships, due to, among other things, the consequencesgeneral economic environment, declining sales and revenues, partner store closures, government imposed business restrictions, or other operational difficulties of noncompliancethe retailer or merchant, termination of a particular relationship; or other factors, such as bankruptcies, liquidations, restructurings, consolidations or other similar events, whether due to the impact of the pandemic or otherwise;
•Citi’s ability in its resolution plan submissions to address any shortcomings or deficiencies identified or guidance provided by the Federal Reserve Board and FDIC;
•the potential impact on Citi’s estimatesperformance and the performance of its eligible debt arising from the Federal Reserve Board’s final total loss-absorbing capacity (TLAC) rules;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;
the potential impact of concentrations of risk, such as market risk arising from •Citi’s volume of transactionsability to effectively compete with counterparties in theU.S. and non-U.S. financial services industry, on Citi’s hedging strategiescompanies and results of operations;
the potential impacts on Citi’s liquidity and/or costs of fundingothers, including as a result of external factors, including, among others, market disruptions and governmental fiscal and monetary policies as well as regulatory changes or negative investor perceptions of Citi’s creditworthiness;emerging technologies;
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 (such as theft of funds orthird parties with whom it does business, that could result in, among other things, theft, loss, misuse or disclosure of confidential client, customer corporate or networkcorporate information or assets and other attempts by unauthorized parties to disrupta disruption of computer, andsoftware or 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 creditrepair, remediation and other costs), regulatory penalties, legal exposure to litigation and other financial losses;
•the potential impact of changes to or incorrect assumptions, judgments or estimates in Citi’s financial statements including the estimates of the allowance for credit losses, reserves related to litigation, regulatory and tax matters exposures, valuation of DTAs and the fair value of certain assets and liabilities, such as assessing goodwill for impairment;
•the potential impact from reclassification of any foreign currency translation adjustment (CTA) component of AOCI, including related hedges and taxes, into Citi’s earnings, due to the sale or substantial liquidation of any foreign entity, such as those related to its legacy businesses;
•the potential impact of a continuation of lower interest rates on Citi’s pension plan, including any required
settlement charge if lump sum payments to retirees were to exceed the interest cost of the plan;
•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;operations, including the future impact from the CECL methodology, including due to changes in estimates of expected credit losses resulting from Citi’s CECL models and assumptions, existing and forecasted macroeconomic conditions, such as the unemployment rate and the GDP level, whether due to the impact of the pandemic or otherwise; and the credit quality, composition and other characteristics of Citi’s loan and other applicable portfolios;
•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, or require refinement, modification or enhancement, or any related action is taken by Citi’s U.S. banking regulators;
•the potential impact of credit risk and concentrations of risk on Citi’s results of operations, whether due to a default of or deterioration involving consumer, corporate or public sector borrowers or other counterparties in the U.S. or in various countries and jurisdictions globally, including from indemnification obligations in connection with various transactions, such as hedging or reinsurance arrangements related to those obligations, whether due to the COVID-19 pandemic or otherwise;
•the potential impact on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, the competitive environment for deposits, market disruptions and governmental fiscal and monetary policies as well as regulatory changes or negative investor perceptions of Citi’s creditworthiness, unexpected increases in cash or collateral requirements and the inability to monetize available liquidity resources, whether due to the COVID-19 pandemic or otherwise;
•the impact of a ratings downgrade of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as operations of certain of its businesses;
•the potential impact to Citi of ongoing implementationinterpretation and interpretationimplementation of regulatory changes and legislative requirements and changes in the U.S. and globally, such as well as heightened regulatory scrutiny and expectations for large financial institutions and their employees and agents, with respect to, among other things, governance and risk management practices and controls, including on Citi’s compliance, regulatory and other risks and costs, including reputationalsuch as increased regulatory oversight and legal risks as well as remediation and other financial costs, such asrestrictions, enforcement proceedings, 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 by regulators on conduct risk and controls and policies and procedures; as well as remediating deficiencies on a timely basis, together with
the heightened scrutiny and expectations generally from regulators, and the severity of the remedies sought, such as enforcement proceedings, 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, 20172020
and 2016 2019 | |
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and NineSix Months Ended SeptemberJune 30, 20172020 and 20162019 | |
Consolidated Balance Sheet—SeptemberJune 30, 20172020 (Unaudited) and December 31, 20162019 | |
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the NineThree and Six Months Ended SeptemberJune 30, 20172020 and 20162019 | |
Consolidated Statement of Cash Flows (Unaudited)— For the NineSix Months Ended SeptemberJune 30, 20172020 and 2016 2019 | |
|
| | | | |
| NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) | |
Note 1—Basis of Presentation, Updated Accounting Policies
and Accounting Changes | |
| Note 2—Discontinued Operations and Significant Disposals | |
| Note 3—Business Segments | |
| Note 4—Interest Revenue and Expense | |
Note 5—Commissions and Fees; Administration and Other
Fiduciary Fees | |
| Note 6—Principal Transactions | |
| Note 7—Incentive Plans | |
| Note 8—Retirement Benefits | |
| Note 9—Earnings per Share | |
Note 10—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements | |
| Note 11—Brokerage Receivables and Brokerage Payables | |
| Note 12—Investments | |
| | | | | |
| |
| |
| Note 13—Loans | |
| Note 14—Allowance for Credit Losses | |
| Note 15—Goodwill and Intangible Assets | |
| Note 16—Debt | |
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI) | |
| Note 18—Securitizations and Variable Interest Entities | |
Note 19—Derivatives Activities | |
| Note 20—Fair Value Measurement | |
| Note 21—Fair Value Elections | |
| Note 22—Guarantees, Leases and Commitments | |
| Note 23—Contingencies | |
| Note 24—Condensed Consolidating Financial Statements | |
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 amounts | 2020 | 2019 | 2020 | 2019 |
| Revenues | | | | |
| Interest revenue | $ | 14,589 | | $ | 19,712 | | $ | 31,728 | | $ | 38,788 | |
| Interest expense | 3,509 | | 7,762 | | 9,156 | | 15,079 | |
| Net interest revenue | $ | 11,080 | | $ | 11,950 | | $ | 22,572 | | $ | 23,709 | |
| Commissions and fees | $ | 2,933 | | $ | 2,881 | | $ | 5,954 | | $ | 5,807 | |
| Principal transactions | 4,157 | | 1,874 | | 9,418 | | 4,678 | |
| Administration and other fiduciary fees | 819 | | 869 | | 1,673 | | 1,708 | |
| Realized gains on sales of investments, net | 748 | | 468 | | 1,180 | | 598 | |
| Impairment losses on investments: | | | | |
| Impairment losses on investments and other assets | (69) | | (5) | | (124) | | (13) | |
Provision for credit losses on AFS debt securities(1) | (8) | | — | | (8) | | — | |
| | | | |
| Net impairment losses recognized in earnings | $ | (77) | | $ | (5) | | $ | (132) | | $ | (13) | |
| Other revenue (loss) | $ | 106 | | $ | 721 | | $ | (168) | | $ | 847 | |
| Total non-interest revenues | $ | 8,686 | | $ | 6,808 | | $ | 17,925 | | $ | 13,625 | |
| Total revenues, net of interest expense | $ | 19,766 | | $ | 18,758 | | $ | 40,497 | | $ | 37,334 | |
| Provisions for credit losses and for benefits and claims | | | | |
| Provision for credit losses on loans | $ | 7,696 | | $ | 2,089 | | $ | 14,140 | | $ | 4,033 | |
| Provision for credit losses on held-to-maturity (HTM) debt securities | 31 | | — | | 37 | | — | |
| Provision for credit losses on other assets | 48 | | — | | 44 | | — | |
| Policyholder benefits and claims | 15 | | 19 | | 39 | | 31 | |
| Provision for credit losses on unfunded lending commitments | 113 | | (15) | | 670 | | 9 | |
| Total provisions for credit losses and for benefits and claims | $ | 7,903 | | $ | 2,093 | | $ | 14,930 | | $ | 4,073 | |
| Operating expenses | | | | |
| Compensation and benefits | $ | 5,624 | | $ | 5,381 | | $ | 11,278 | | $ | 11,039 | |
| Premises and equipment | 562 | | 569 | | 1,127 | | 1,133 | |
| Technology/communication | 1,741 | | 1,724 | | 3,464 | | 3,444 | |
| Advertising and marketing | 299 | | 434 | | 627 | | 793 | |
| Other operating | 2,189 | | 2,392 | | 4,513 | | 4,675 | |
| Total operating expenses | $ | 10,415 | | $ | 10,500 | | $ | 21,009 | | $ | 21,084 | |
| Income from continuing operations before income taxes | $ | 1,448 | | $ | 6,165 | | $ | 4,558 | | $ | 12,177 | |
| Provision for income taxes | 131 | | 1,373 | | 707 | | 2,648 | |
| Income from continuing operations | $ | 1,317 | | $ | 4,792 | | $ | 3,851 | | $ | 9,529 | |
| Discontinued operations | | | | |
| Loss from discontinued operations | $ | (1) | | $ | (10) | | $ | (19) | | $ | (12) | |
| | | | |
| Benefit for income taxes | — | | (27) | | — | | (27) | |
| Income (loss) from discontinued operations, net of taxes | $ | (1) | | $ | 17 | | $ | (19) | | $ | 15 | |
| Net income before attribution of noncontrolling interests | $ | 1,316 | | $ | 4,809 | | $ | 3,832 | | $ | 9,544 | |
| Noncontrolling interests | — | | 10 | | (6) | | 35 | |
| Citigroup’s net income | $ | 1,316 | | $ | 4,799 | | $ | 3,838 | | $ | 9,509 | |
Basic earnings per share(2) | | | | |
| Income from continuing operations | $ | 0.51 | | $ | 1.94 | | $ | 1.57 | | $ | 3.81 | |
| Income from discontinued operations, net of taxes | — | | 0.01 | | (0.01) | | 0.01 | |
| Net income | $ | 0.51 | | $ | 1.95 | | $ | 1.56 | | $ | 3.82 | |
Weighted average common shares outstanding (in millions) | 2,081.7 | | 2,286.1 | | 2,089.8 | | 2,313.2 | |
Diluted earnings per share(2) | | | | |
| Income from continuing operations | $ | 0.51 | | $ | 1.94 | | $ | 1.57 | | $ | 3.81 | |
| Income (loss) from discontinued operations, net of taxes | — | | 0.01 | | (0.01) | | 0.01 | |
| Net income | $ | 0.50 | | $ | 1.95 | | $ | 1.56 | | $ | 3.82 | |
Adjusted weighted average common shares outstanding (in millions) | 2,084.3 | | 2,289.0 | | 2,103.0 | | 2,315.7 | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars, except per share amounts | 2017 | 2016 | 2017 | 2016 |
| Revenues | | | |
| |
|
| Interest revenue | $ | 15,821 |
| $ | 14,653 |
| $ | 45,445 |
| $ | 43,176 |
|
| Interest expense | 4,379 |
| 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 transactions | 2,170 |
| 2,238 |
| 7,754 |
| 5,894 |
|
| Administration and other fiduciary fees | 1,010 |
| 862 |
| 2,906 |
| 2,551 |
|
| Realized gains on sales of investments, net | 213 |
| 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 revenue | 256 |
| 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 claims | 28 |
| 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 equipment | 608 |
| 624 |
| 1,832 |
| 1,917 |
|
| Technology/communication | 1,759 |
| 1,694 |
| 5,108 |
| 5,000 |
|
| Advertising and marketing | 417 |
| 403 |
| 1,222 |
| 1,226 |
|
| Other operating | 2,083 |
| 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 taxes | 1,866 |
| 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 outstanding | 2,683.6 |
| 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 outstanding | 2,683.7 |
| 2,880.1 |
| 2,729.5 |
| 2,913.0 |
|
| |
(1) | (2) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income. |
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
|
| | |
CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME | | Citigroup Inc. and Subsidiaries |
(UNAUDITED) | | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| 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 taxes | 8 |
| (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 hedges | 218 |
| (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. |
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
|
| | | | | | | |
CONSOLIDATED BALANCE SHEETSTATEMENT OF COMPREHENSIVE INCOME | | Citigroup Inc. and Subsidiaries |
| (UNAUDITED) | | |
| | | | | | | | | | | | | | |
| | Three Months Ended June 30, | | Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 |
| Citigroup’s net income | $ | 1,316 | | $ | 4,799 | | $ | 3,838 | | $ | 9,509 | |
Add: Citigroup’s other comprehensive income(1) | | | | |
Net change in unrealized gains and losses on debt securities, net of taxes(1) | $ | 837 | | $ | 703 | | $ | 3,965 | | $ | 1,838 | |
Net change in debt valuation adjustment (DVA), net of taxes(2) | (2,232) | | 3 | | 908 | | (568) | |
| Net change in cash flow hedges, net of taxes | 74 | | 517 | | 1,971 | | 803 | |
| Benefit plans liability adjustment, net of taxes | (77) | | (253) | | (363) | | (317) | |
| Net change in foreign currency translation adjustment, net of taxes and hedges | 561 | | 91 | | (3,548) | | 149 | |
| Net change in excluded component of fair value hedges, net of taxes | 13 | | 44 | | 40 | | 62 | |
| Citigroup’s total other comprehensive income | $ | (824) | | $ | 1,105 | | $ | 2,973 | | $ | 1,967 | |
| Citigroup’s total comprehensive income | $ | 492 | | $ | 5,904 | | $ | 6,811 | | $ | 11,476 | |
Add: Other comprehensive income (loss) attributable to
noncontrolling interests | $ | 39 | | $ | 20 | | $ | (12) | | $ | 7 | |
| Add: Net income attributable to noncontrolling interests | — | | 10 | | (6) | | 35 | |
| Total comprehensive income | $ | 531 | | $ | 5,934 | | $ | 6,793 | | $ | 11,518 | |
(1)See Note 17 to the Consolidated Financial Statements.
(2)See Note 20 to the Consolidated Financial Statements.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
|
| | | | | | |
| | September 30, | |
| | 2017 | December 31, |
| In millions of dollars | (Unaudited) | 2016 |
| Assets | |
| |
|
| Cash and due from banks (including segregated cash and other deposits) | $ | 22,604 |
| $ | 23,043 |
|
| Deposits with banks | 163,505 |
| 137,451 |
|
| Federal funds sold and securities borrowed or purchased under agreements to resell (including $156,332 and $133,204 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 252,608 |
| 236,813 |
|
| Brokerage receivables | 38,076 |
| 28,887 |
|
| Trading account assets (including $99,225 and $80,986 pledged to creditors at September 30, 2017 and December 31, 2016, respectively) | 258,907 |
| 243,925 |
|
| Investments: | | |
| Available for sale (including $9,599 and $8,239 pledged to creditors as of September 30, 2017 and December 31, 2016, respectively) | 295,315 |
| 299,424 |
|
| Held to maturity (including $301 and $843 pledged to creditors as of September 30, 2017 and December 31, 2016, respectively) | 51,527 |
| 45,667 |
|
| Non-marketable equity securities (including $1,300 and $1,774 at fair value as of September 30, 2017 and December 31, 2016, respectively) | 7,832 |
| 8,213 |
|
| Total investments | $ | 354,674 |
| $ | 353,304 |
|
| 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 |
|
| Loans, net of unearned income | $ | 653,183 |
| $ | 624,369 |
|
| Allowance for loan losses | (12,366 | ) | (12,060 | ) |
| Total loans, net | $ | 640,817 |
| $ | 612,309 |
|
| Goodwill | 22,345 |
| 21,659 |
|
| 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 |
|
| Total assets | $ | 1,889,133 |
| $ | 1,792,077 |
|
| | | | | | | | |
| CONSOLIDATED BALANCE SHEET | | Citigroup Inc. and Subsidiaries |
| | | | | | | | |
| June 30, | |
| 2020 | December 31, |
| In millions of dollars | (Unaudited) | 2019 |
| Assets | | |
| Cash and due from banks (including segregated cash and other deposits) | $ | 22,889 | | $ | 23,967 | |
| Deposits with banks, net of allowance | 286,884 | | 169,952 | |
| Securities borrowed and purchased under agreements to resell (including $174,558 and $153,193 as of June 30, 2020 and December 31, 2019, respectively, at fair value), net of allowance | 282,917 | | 251,322 | |
| Brokerage receivables, net of allowance | 51,633 | | 39,857 | |
| Trading account assets (including $172,192 and $120,236 pledged to creditors at June 30, 2020 and December 31, 2019, respectively) | 362,311 | | 276,140 | |
| Investments: | | |
| Available-for-sale debt securities (including $6,281 and $8,721 pledged to creditors as of June 30, 2020 and December 31, 2019, respectively), net of allowance | 342,256 | | 280,265 | |
| Held-to-maturity debt securities (including $488 and $1,923 pledged to creditors as of June 30, 2020 and December 31, 2019, respectively), net of allowance | 83,332 | | 80,775 | |
| Equity securities (including $1,079 and $1,162 at fair value as of June 30, 2020 and December 31, 2019, respectively) | 7,665 | | 7,523 | |
| Total investments | $ | 433,253 | | $ | 368,563 | |
| Loans: | | |
| Consumer (including $16 and $18 as of June 30, 2020 and December 31, 2019, respectively, at fair value) | 281,113 | | 309,548 | |
| Corporate (including $5,783 and $4,067 as of June 30, 2020 and December 31, 2019, respectively, at fair value) | 404,179 | | 389,935 | |
| Loans, net of unearned income | $ | 685,292 | | $ | 699,483 | |
| Allowance for credit losses on loans (ACLL) | (26,420) | | (12,783) | |
| Total loans, net | $ | 658,872 | | $ | 686,700 | |
| Goodwill | 21,399 | | 22,126 | |
| Intangible assets (including MSRs of $345 and $495 as of June 30, 2020 and December 31, 2019, at fair value) | 4,451 | | 4,822 | |
| Other assets (including $12,734 and $12,830 as of June 30, 2020 and December 31, 2019, respectively, at fair value), net of allowance | 108,106 | | 107,709 | |
| | |
| Total assets | $ | 2,232,715 | | $ | 1,951,158 | |
The following table presents certain assets of consolidated variable interest entities (VIEs), which are included
inon the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations.
Additionally,In addition, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
| | | | September 30, | | | June 30, | |
| | 2017 | December 31, | | 2020 | December 31, |
| In millions of dollars | (Unaudited) | 2016 | In millions of dollars | (Unaudited) | 2019 |
| Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | |
| |
| Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | |
| Cash and due from banks | $ | 107 |
| $ | 142 |
| Cash and due from banks | $ | 114 | | $ | 108 | |
| Trading account assets | 1,437 |
| 602 |
| Trading account assets | 7,452 | | 6,719 | |
| Investments | 2,584 |
| 3,636 |
| Investments | 940 | | 1,295 | |
| Loans, net of unearned income | |
| |
| Loans, net of unearned income | | |
| Consumer | 52,521 |
| 53,401 |
| Consumer | 39,435 | | 46,977 | |
| Corporate | 19,908 |
| 20,121 |
| Corporate | 16,490 | | 16,175 | |
| Loans, net of unearned income | $ | 72,429 |
| $ | 73,522 |
| Loans, net of unearned income | $ | 55,925 | | $ | 63,152 | |
| Allowance for loan losses | (1,943 | ) | (1,769 | ) | |
| Allowance for credit losses on loans (ACLL) | | Allowance for credit losses on loans (ACLL) | (4,059) | | (1,841) | |
| Total loans, net | $ | 70,486 |
| $ | 71,753 |
| Total loans, net | $ | 51,866 | | $ | 61,311 | |
| Other assets | 142 |
| 158 |
| Other assets | 52 | | 73 | |
| Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | $ | 74,756 |
| $ | 76,291 |
| Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs | $ | 60,424 | | $ | 69,506 | |
Statement continues on the next page.
CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
| | | | | | | | |
| June 30, | |
| 2020 | December 31, |
| In millions of dollars, except shares and per share amounts | (Unaudited) | 2019 |
| Liabilities | | |
| Non-interest-bearing deposits in U.S. offices | $ | 115,386 | | $ | 98,811 | |
| Interest-bearing deposits in U.S. offices (including $978 and $1,624 as of June 30, 2020 and December 31, 2019, respectively, at fair value) | 490,823 | | 401,418 | |
| Non-interest-bearing deposits in offices outside the U.S. | 87,479 | | 85,692 | |
| Interest-bearing deposits in offices outside the U.S. (including $1,494 and $695 as of June 30, 2020 and December 31, 2019, respectively, at fair value) | 539,972 | | 484,669 | |
| Total deposits | $ | 1,233,660 | | $ | 1,070,590 | |
| Securities loaned and sold under agreements to repurchase (including $59,445 and $40,651 as of June 30, 2020 and December 31, 2019, respectively, at fair value) | 215,722 | | 166,339 | |
| Brokerage payables | 60,567 | | 48,601 | |
| Trading account liabilities | 149,264 | | 119,894 | |
| Short-term borrowings (including $6,646 and $4,946 as of June 30, 2020 and December 31, 2019, respectively, at fair value) | 40,156 | | 45,049 | |
| Long-term debt (including $61,971 and $55,783 as of June 30, 2020 and December 31, 2019, respectively, at fair value) | 279,775 | | 248,760 | |
| Other liabilities (including $5,789 and $6,343 as of June 30, 2020 and December 31, 2019, respectively, at fair value), including allowance | 61,269 | | 57,979 | |
| | |
| Total liabilities | $ | 2,040,413 | | $ | 1,757,212 | |
| Stockholders’ equity | | |
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of June 30, 2020—719,200 and as of December 31, 2019—719,200, at aggregate liquidation value | $ | 17,980 | | $ | 17,980 | |
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of June 30, 2020—3,099,763,661 and as of December 31, 2019—3,099,602,856 | 31 | | 31 | |
| Additional paid-in capital | 107,668 | | 107,840 | |
| Retained earnings | 163,431 | | 165,369 | |
Treasury stock, at cost: June 30, 2020—1,017,898,767 shares and
December 31, 2019—985,479,501 shares | (64,143) | | (61,660) | |
| Accumulated other comprehensive income (loss) (AOCI) | (33,345) | | (36,318) | |
| Total Citigroup stockholders’ equity | $ | 191,622 | | $ | 193,242 | |
| Noncontrolling interests | 680 | | 704 | |
| Total equity | $ | 192,302 | | $ | 193,946 | |
| Total liabilities and equity | $ | 2,232,715 | | $ | 1,951,158 | |
|
| | | | | | |
| | September 30, | |
| | 2017 | December 31, |
| In millions of dollars, except shares and per share amounts | (Unaudited) | 2016 |
| Liabilities | |
| |
|
| Non-interest-bearing deposits in U.S. offices | $ | 127,220 |
| $ | 136,698 |
|
| Interest-bearing deposits in U.S. offices (including $314 and $434 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 315,556 |
| 300,972 |
|
| Non-interest-bearing deposits in offices outside the U.S. | 84,178 |
| 77,616 |
|
| Interest-bearing deposits in offices outside the U.S. (including $1,183 and $778 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 437,084 |
| 414,120 |
|
| Total deposits | $ | 964,038 |
| $ | 929,406 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase (including $45,325 and $33,663 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 161,282 |
| 141,821 |
|
| Brokerage payables | 63,205 |
| 57,152 |
|
| Trading account liabilities | 138,820 |
| 139,045 |
|
| Short-term borrowings (including $4,827 and $2,700 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 38,149 |
| 30,701 |
|
| Long-term debt (including $30,826 and $26,254 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 232,673 |
| 206,178 |
|
| Other liabilities (including $15,144 and $10,796 as of September 30, 2017 and December 31, 2016, respectively, at fair value) | 62,344 |
| 61,631 |
|
| Total liabilities | $ | 1,660,511 |
| $ | 1,565,934 |
|
| 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 |
|
| Additional paid-in capital | 107,896 |
| 108,042 |
|
| Retained earnings | 155,174 |
| 146,477 |
|
Treasury stock, at cost: September 30, 2017—455,521,274 shares and December 31, 2016—327,090,192 shares | (24,829 | ) | (16,302 | ) |
| Accumulated other comprehensive income (loss) (AOCI) | (29,891 | ) | (32,381 | ) |
| Total Citigroup stockholders’ equity | $ | 227,634 |
| $ | 225,120 |
|
| Noncontrolling interest | 988 |
| 1,023 |
|
| Total equity | $ | 228,622 |
| $ | 226,143 |
|
| Total liabilities and equity | $ | 1,889,133 |
| $ | 1,792,077 |
|
The following table presents certain liabilities of consolidated VIEs, which are included inon the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
|
| | | | | | |
| | September 30, | |
| | 2017 | December 31, |
| In millions of dollars | (Unaudited) | 2016 |
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup | |
| |
|
| Short-term borrowings | $ | 10,166 |
| $ | 10,697 |
|
| Long-term debt | 28,666 |
| 23,919 |
|
| Other liabilities | 396 |
| 1,275 |
|
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup | $ | 39,228 |
| $ | 35,891 |
|
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
|
| | |
CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY | | Citigroup Inc. and Subsidiaries |
(UNAUDITED) | | |
|
| | | | | | |
| | Nine Months Ended September 30, |
| In millions of dollars, except shares in thousands | 2017 | 2016 |
| Preferred stock at aggregate liquidation value | |
| |
|
| Balance, beginning of period | $ | 19,253 |
| $ | 16,718 |
|
| Issuance of new preferred stock | — |
| 2,535 |
|
| Balance, end of period | $ | 19,253 |
| $ | 19,253 |
|
| Common stock and additional paid-in capital | |
| |
|
| Balance, beginning of period | $ | 108,073 |
| $ | 108,319 |
|
| Employee benefit plans | (137 | ) | (371 | ) |
| Preferred stock issuance expense | — |
| (37 | ) |
| Other | (9 | ) | (5 | ) |
| Balance, end of period | $ | 107,927 |
| $ | 107,906 |
|
| Retained earnings | |
| |
|
| Balance, beginning of period | $ | 146,477 |
| $ | 133,841 |
|
Adjustment to opening balance, net of taxes(1) | (660 | ) | 15 |
|
| Adjusted balance, beginning of period | $ | 145,817 |
| $ | 133,856 |
|
| Citigroup’s net income | 12,095 |
| 11,339 |
|
Common dividends(2) | (1,755 | ) | (760 | ) |
| Preferred dividends | (893 | ) | (757 | ) |
Other(3) | (90 | ) | — |
|
| Balance, end of period | $ | 155,174 |
| $ | 143,678 |
|
| Treasury stock, at cost | |
| |
|
| Balance, beginning of period | $ | (16,302 | ) | $ | (7,677 | ) |
Employee benefit plans(4) | 526 |
| 775 |
|
Treasury stock acquired(5) | (9,053 | ) | (5,167 | ) |
| Balance, end of period | $ | (24,829 | ) | $ | (12,069 | ) |
| Citigroup’s accumulated other comprehensive income (loss) | |
| |
|
| Balance, beginning of period | $ | (32,381 | ) | $ | (29,344 | ) |
Adjustment to opening balance, net of taxes(1) | 504 |
| (15 | ) |
| Adjusted balance, beginning of period | $ | (31,877 | ) | $ | (29,359 | ) |
| Citigroup’s total other comprehensive income (loss) | 1,986 |
| 2,166 |
|
| Balance, end of period | $ | (29,891 | ) | $ | (27,193 | ) |
| Total Citigroup common stockholders’ equity | $ | 208,381 |
| $ | 212,322 |
|
| Total Citigroup stockholders’ equity | $ | 227,634 |
| $ | 231,575 |
|
| Noncontrolling interests | |
| |
|
| Balance, beginning of period | $ | 1,023 |
| $ | 1,235 |
|
| Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary | (3 | ) | (11 | ) |
| Transactions between Citigroup and the noncontrolling-interest shareholders | (50 | ) | (69 | ) |
| Net income attributable to noncontrolling-interest shareholders | 41 |
| 48 |
|
| Dividends paid to noncontrolling-interest shareholders | (44 | ) | (42 | ) |
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | 82 |
| (13 | ) |
| Other | (61 | ) | (33 | ) |
| Net change in noncontrolling interests | $ | (35 | ) | $ | (120 | ) |
| Balance, end of period | $ | 988 |
| $ | 1,115 |
|
| Total equity | $ | 228,622 |
| $ | 232,690 |
|
| |
(1) | See Note 1 to the Consolidated Financial Statements for additional details. |
| |
(2) | Common dividends declared were $0.16 per share in the first and second quarters and $0.32 per share in the third quarter of 2017. Common dividends declared were $0.05 per share in the first and second quarters and $0.16 per share in the third quarter of 2016. |
| |
(3) | Includes the impact of ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. See Note 1 to the Consolidated Financial Statements.
|
| |
(4) | Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements. |
(5) For the 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.
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, |
| In millions of dollars | 2017 | 2016 |
| Cash flows from operating activities of continuing operations | |
| |
|
| Net income before attribution of noncontrolling interests | $ | 12,136 |
| $ | 11,387 |
|
| Net income attributable to noncontrolling interests | 41 |
| 48 |
|
| Citigroup’s net income | $ | 12,095 |
| $ | 11,339 |
|
| Loss from discontinued operations, net of taxes | (2 | ) | (55 | ) |
| Income from continuing operations—excluding noncontrolling interests | $ | 12,097 |
| $ | 11,394 |
|
| Adjustments to reconcile net income to net cash provided by operating activities of continuing operations | |
| |
|
Net gains on significant disposals(1) | (602 | ) | (422 | ) |
| Depreciation and amortization | 2,717 |
| 2,714 |
|
| Provision for loan losses | 5,487 |
| 5,022 |
|
| Realized gains from sales of investments | (626 | ) | (673 | ) |
| Net impairment losses on investments, goodwill and intangible assets | 75 |
| 616 |
|
| Change in trading account assets | (15,077 | ) | (13,396 | ) |
| Change in trading account liabilities | (225 | ) | 14,137 |
|
| Change in brokerage receivables net of brokerage payables | (3,136 | ) | (230 | ) |
| Change in loans held-for-sale (HFS) | 1,969 |
| 3,958 |
|
| Change in other assets | (4,501 | ) | (2,009 | ) |
| Change in other liabilities | 779 |
| 1,398 |
|
| Other, net | (2,262 | ) | 5,825 |
|
| Total adjustments | $ | (15,402 | ) | $ | 16,940 |
|
| Net cash provided by (used in) operating activities of continuing operations | $ | (3,305 | ) | $ | 28,334 |
|
| 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 loans | (41,569 | ) | (42,163 | ) |
| Proceeds from sales and securitizations of loans | 7,019 |
| 12,676 |
|
| Purchases of investments | (151,362 | ) | (155,804 | ) |
| Proceeds from sales of investments | 89,724 |
| 99,172 |
|
| Proceeds from maturities of investments | 67,166 |
| 52,607 |
|
Proceeds from significant disposals(1) | 3,411 |
| 265 |
|
| Capital expenditures on premises and equipment and capitalized software | (2,502 | ) | (2,092 | ) |
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 | ) |
| Cash flows from financing activities of continuing operations | |
| |
|
| Dividends paid | $ | (2,639 | ) | $ | (1,517 | ) |
| Issuance of preferred stock | — |
| 2,498 |
|
| Treasury stock acquired | (9,071 | ) | (5,167 | ) |
| Stock tendered for payment of withholding taxes | (402 | ) | (313 | ) |
| Change in federal funds purchased and securities loaned or sold under agreements to repurchase | 19,461 |
| 6,628 |
|
| Issuance of long-term debt | 52,293 |
| 43,464 |
|
| Payments and redemptions of long-term debt | (29,785 | ) | (40,461 | ) |
| Change in deposits | 34,632 |
| 32,365 |
|
| Change in short-term borrowings | 7,448 |
| 8,448 |
|
|
| | | | | | |
| CONSOLIDATED STATEMENT OF CASH FLOWS | Citigroup Inc. and Subsidiaries | |
| (UNAUDITED) (Continued) | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 |
| Net cash provided by financing activities of continuing operations | $ | 71,937 |
| $ | 45,945 |
|
| 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 period | 23,043 |
| 20,900 |
|
| Cash and due from banks at end of period | $ | 22,604 |
| $ | 23,419 |
|
| Supplemental disclosure of cash flow information for continuing operations | |
| |
|
| Cash paid during the period for income taxes | $ | 2,714 |
| $ | 2,855 |
|
| Cash paid during the period for interest | 11,604 |
| 9,760 |
|
| Non-cash investing activities | |
| |
|
| Transfers to loans HFS from loans | $ | 3,800 |
| $ | 8,600 |
|
| Transfers to OREO and other repossessed assets | 85 |
| 138 |
|
(1) See Note 2 to the Consolidated Financial Statements for further information on significant disposals. | | | | | | | | |
| June 30, | |
| 2020 | December 31, |
| In millions of dollars | (Unaudited) | 2019 |
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup | | |
| Short-term borrowings | $ | 10,505 | | $ | 10,031 | |
| Long-term debt | 22,226 | | 25,582 | |
| Other liabilities | 664 | | 917 | |
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup | $ | 33,395 | | $ | 36,530 | |
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) | | |
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | | Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 |
| Preferred stock at aggregate liquidation value | | | | |
| Balance, beginning of period | $ | 17,980 | | $ | 17,980 | | $ | 17,980 | | $ | 18,460 | |
| Issuance of new preferred stock | — | | — | | 1,500 | | — | |
| Redemption of preferred stock | — | | — | | (1,500) | | (480) | |
| Balance, end of period | $ | 17,980 | | $ | 17,980 | | $ | 17,980 | | $ | 17,980 | |
| Common stock and additional paid-in capital | | | | |
| Balance, beginning of period | $ | 107,581 | | $ | 107,582 | | $ | 107,871 | | $ | 107,953 | |
| Employee benefit plans | 118 | | 112 | | (174) | | (270) | |
| Preferred stock issuance costs | — | | — | | 2 | | — | |
| Other | — | | (6) | | — | | 5 | |
| Balance, end of period | $ | 107,699 | | $ | 107,688 | | $ | 107,699 | | $ | 107,688 | |
| Retained earnings | | | | |
| Balance, beginning of period | $ | 163,438 | | $ | 154,859 | | $ | 165,369 | | $ | 151,347 | |
Adjustment to opening balance, net of taxes(1) | — | | — | | (3,076) | | 151 | |
| Adjusted balance, beginning of period | $ | 163,438 | | $ | 154,859 | | $ | 162,293 | | $ | 151,498 | |
| Citigroup’s net income | 1,316 | | 4,799 | | 3,838 | | 9,509 | |
Common dividends(2) | (1,071) | | (1,041) | | (2,152) | | (2,116) | |
| Preferred dividends | (253) | | (296) | | (544) | | (558) | |
| Other | 1 | | — | | (4) | | (12) | |
| Balance, end of period | $ | 163,431 | | $ | 158,321 | | $ | 163,431 | | $ | 158,321 | |
| Treasury stock, at cost | | | | |
| Balance, beginning of period | $ | (64,147) | | $ | (47,861) | | $ | (61,660) | | $ | (44,370) | |
Employee benefit plans(3) | 4 | | 9 | | 442 | | 573 | |
Treasury stock acquired(4) | — | | (3,575) | | (2,925) | | (7,630) | |
| Balance, end of period | $ | (64,143) | | $ | (51,427) | | $ | (64,143) | | $ | (51,427) | |
| Citigroup’s accumulated other comprehensive income (loss) | | | | |
| Balance, beginning of period | $ | (32,521) | | $ | (36,308) | | $ | (36,318) | | $ | (37,170) | |
| | | | |
| | | | |
| Citigroup’s total other comprehensive income | (824) | | 1,105 | | 2,973 | | 1,967 | |
| Balance, end of period | $ | (33,345) | | $ | (35,203) | | $ | (33,345) | | $ | (35,203) | |
| Total Citigroup common stockholders’ equity | $ | 173,642 | | $ | 179,379 | | $ | 173,642 | | $ | 179,379 | |
| Total Citigroup stockholders’ equity | $ | 191,622 | | $ | 197,359 | | $ | 191,622 | | $ | 197,359 | |
| Noncontrolling interests | | | | |
| Balance, beginning of period | $ | 651 | | $ | 763 | | $ | 704 | | $ | 854 | |
| | | | |
| Transactions between Citigroup and the noncontrolling-interest shareholders | — | | — | | (6) | | (99) | |
| Net income attributable to noncontrolling-interest shareholders | — | | 10 | | (6) | | 35 | |
| Distributions paid to noncontrolling-interest shareholders | — | | (33) | | — | | (37) | |
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders | 39 | | 20 | | (12) | | 7 | |
| Other | (10) | | (9) | | — | | (9) | |
| Net change in noncontrolling interests | $ | 29 | | $ | (12) | | $ | (24) | | $ | (103) | |
| Balance, end of period | $ | 680 | | $ | 751 | | $ | 680 | | $ | 751 | |
| Total equity | $ | 192,302 | | $ | 198,110 | | $ | 192,302 | | $ | 198,110 | |
(1) See Note 1 to the Consolidated Financial Statements for additional details.
(2) Common dividends declared were $0.51 per share in the first and second quarters of 2020. Common dividends declared were $0.45 per share in the first and second quarters of 2019.
(3) Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
(4) Primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
| | | | | | | | |
| CONSOLIDATED STATEMENT OF CASH FLOWS | | Citigroup Inc. and Subsidiaries |
| (UNAUDITED) | | |
| | | | | | | | |
| | Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 |
| Cash flows from operating activities of continuing operations | | |
| Net income before attribution of noncontrolling interests | $ | 3,832 | | $ | 9,544 | |
| Net income attributable to noncontrolling interests | (6) | | 35 | |
| Citigroup’s net income | $ | 3,838 | | $ | 9,509 | |
| Loss from discontinued operations, net of taxes | (19) | | 15 | |
| | |
| Income from continuing operations—excluding noncontrolling interests | $ | 3,857 | | $ | 9,494 | |
| Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations | | |
| | |
| | |
| | |
| Depreciation and amortization | 1,853 | | 1,883 | |
| | |
| Provisions for credit losses on loans and unfunded lending commitments | 14,810 | | 4,042 | |
| Realized gains from sales of investments | (1,180) | | (598) | |
| Impairment losses on investments | 124 | | 13 | |
| Change in trading account assets | (86,203) | | (50,776) | |
| Change in trading account liabilities | 29,370 | | (8,011) | |
| Change in brokerage receivables net of brokerage payables | 190 | | (9,309) | |
| Change in loans HFS | (1,200) | | 1,029 | |
| Change in other assets | 1,585 | | (5,442) | |
| Change in other liabilities | 2,620 | | 6,462 | |
| Other, net | 14,966 | | 13,457 | |
| Total adjustments | $ | (23,065) | | $ | (47,250) | |
| Net cash used in operating activities of continuing operations | $ | (19,208) | | $ | (37,756) | |
| Cash flows from investing activities of continuing operations | | |
| Change in securities borrowed and purchased under agreements to resell | $ | (31,595) | | $ | 10,915 | |
| Change in loans | 7,943 | | (7,803) | |
| Proceeds from sales and securitizations of loans | 826 | | 2,249 | |
| Purchases of investments | (207,701) | | (118,132) | |
| Proceeds from sales of investments | 86,191 | | 63,595 | |
| Proceeds from maturities of investments | 53,909 | | 57,684 | |
| | |
| | |
| Capital expenditures on premises and equipment and capitalized software | (1,318) | | (3,349) | |
Proceeds from sales of premises and equipment, subsidiaries and affiliates and repossessed assets | 12 | | 68 | |
| Other, net | 44 | | 71 | |
| Net cash provided by (used in) investing activities of continuing operations | $ | (91,689) | | $ | 5,298 | |
| Cash flows from financing activities of continuing operations | | |
| Dividends paid | $ | (2,679) | | $ | (2,650) | |
| Issuance of preferred stock | 1,500 | | — | |
| Redemption of preferred stock | (1,500) | | (480) | |
| Treasury stock acquired | (2,925) | | (7,518) | |
| Stock tendered for payment of withholding taxes | (407) | | (359) | |
| Change in securities loaned and sold under agreements to repurchase | 49,383 | | 3,365 | |
| Issuance of long-term debt | 58,471 | | 31,849 | |
| Payments and redemptions of long-term debt | (32,297) | | (18,428) | |
| Change in deposits | 163,070 | | 32,437 | |
| Change in short-term borrowings | (4,893) | | 10,096 | |
| | | | | | | | |
| CONSOLIDATED STATEMENT OF CASH FLOWS | | |
| (UNAUDITED) (Continued) | | |
| Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 |
| Net cash provided by financing activities of continuing operations | $ | 227,723 | | $ | 48,312 | |
| Effect of exchange rate changes on cash and due from banks | $ | (972) | | $ | (716) | |
| | |
| | |
| Change in cash, due from banks and deposits with banks | $ | 115,854 | | $ | 15,138 | |
| Cash, due from banks and deposits with banks at beginning of period | 193,919 | | 188,105 | |
| Cash, due from banks and deposits with banks at end of period | $ | 309,773 | | $ | 203,243 | |
| Cash and due from banks (including segregated cash and other deposits) | $ | 22,889 | | $ | 24,997 | |
| Deposits with banks, net of allowance | 286,884 | | 178,246 | |
| Cash, due from banks and deposits with banks at end of period | $ | 309,773 | | $ | 203,243 | |
| Supplemental disclosure of cash flow information for continuing operations | | |
| Cash paid during the period for income taxes | $ | 2,543 | | $ | 2,814 | |
| Cash paid during the period for interest | 8,751 | | 14,000 | |
Non-cash investing activities(1) | | |
| | |
| | |
| | |
| | |
| | |
| | |
Transfers to loans HFS (Other assets) from loans | $ | 1,036 | | $ | 3,600 | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
(1) Operating and finance lease right-of-use assets and lease liabilities represent non-cash investing and financing activities, respectively, and are not included in the non-cash investing activities presented here. See Note 22 to the Consolidated Financial Statements for more information and balances as of June 30, 2020.
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, UPDATED ACCOUNTING POLICIES AND ACCOUNTING CHANGES
Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of SeptemberJune 30, 20172020 and for the three- and nine-monthand-six-month periods ended SeptemberJune 30, 20172020 and 20162019 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 (20162019 (2019 Annual Report on Form 10-K), and Citigroup’s Quarterly ReportsReport on Form 10-Q for the quartersquarter ended March 31, 20172020 (First Quarter of 2017 Form 10-Q) and June 30, 2017 (Second Quarter of 20172020 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 these Consolidated Financial Statements are unaudited.
Throughout these Notes, “Citigroup,” “Citi” and the “Company”“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.
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
See Note 1 to the Consolidated Financial Statements in both Citigroup’s 2019 Annual Report on Form 10-K and Citigroup’s First Quarter of 2020 Form 10-Q for a summary of all of Citigroup’s significant accounting policies.
ACCOUNTING CHANGES
Premium Amortization on Purchased Callable Debt SecuritiesAccounting for Financial Instruments—Credit Losses
Overview
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 JanuaryJune 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—Instruments—Credit Losses(Topic (Topic 326).The ASU introducesintroduced a new credit loss model,methodology, the Current Expected Credit Losses model (CECL), methodology, which requires earlier recognition of credit losses while also providing additional transparency about credit risk. Citi adopted the ASU as of January 1, 2020, which, as discussed below, resulted in an increase in Citi’s Allowance for credit losses and a decrease to opening Retained earnings, net of deferred income taxes, at January 1, 2020.
The CECL modelmethodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities, receivables and other receivablesfinancial assets measured at amortized cost at the time the financial asset is originated or acquired. The expectedallowance for credit losses areis adjusted each period for changes in expected lifetime credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related allowance for credit losses than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost that Citi intends to hold or more-likely-than-not will not be required to sell, credit-related impairment, if any, will beis recognized inthrough an allowance for credit losses and adjusted each period for changes in credit risk.
January 1, 2020 CECL Transition (Day 1) Impact
The CECL methodology’s impact on expected credit 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 impactlosses, among other things, reflects Citi’s view of the ASU will depend upon thecurrent state of the economy, forecasted macroeconomic conditions and Citi’s portfolios. At the nature of Citi’s portfolios at theJanuary 1, 2020 date of adoption. Basedadoption, based on a preliminary analysis performed earlier in 2017forecasts of macroeconomic conditions and the environmentexposures at that time, the overallaggregate impact is estimated to beCiti was an approximate 10-20%$4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit reserves. Moreover, there are still some implementation questionslosses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Allowance for credit losses for Citi’s consumer exposures, primarily driven by the impact on credit card receivables of longer estimated tenors under the CECL lifetime expected credit loss methodology (loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries; and (ii) a release of $0.8 billion of reserves primarily related to Citi’s corporate net loan loss exposures, largely due to more precise contractual maturities that 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.result in
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
entitledshorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies.
Under the CECL methodology, the Allowance for credit losses consists of quantitative and qualitative components. Citi’s quantitative component of the Allowance for credit losses is model based and utilizes a single forward-looking macroeconomic forecast, complemented by the qualitative component described below, in estimating expected credit losses and discounts inputs for the transfer of promised goods or servicescorporate classifiably managed portfolios. Reasonable and supportable forecast periods vary by product. For example, Citi’s consumer models use a 13-quarter reasonable and supportable period and revert to customers. The Company will adopt the guidance as of January 1, 2018 usinghistorical loss experience thereafter, while its corporate loan models use a modified retrospective method withnine-quarter reasonable and supportable period followed by a cumulative-effect adjustmentthree-quarter graduated transition 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 majorityhistorical loss experience.
Citi’s qualitative component of the Company’s revenues, including net interest income. BasedAllowance for credit losses considers (i) the uncertainty of forward-looking scenarios based on the Company’s current interpretationslikelihood and severity of the new guidance, the Company does not expect a material change in the timing or measurement of revenuespossible recession as another possible scenario; (ii) certain portfolio characteristics, such as portfolio concentration 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 revenuescollateral coverage; 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,(iii) model limitations 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),idiosyncratic events. Citi calculates a judgmental management adjustment, which is intended to increase transparency and comparability of accounting for lease transactions. The ASU will require lessees to recognize leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. The guidance is effective beginning January 1, 2019 with an option to early adopt. The Company does not plan to early adopt the ASU. The Company estimatesalternative, more adverse scenario that upon adoption, its Consolidated Balance Sheet will have an approximate $5 billion increase in assets and liabilities. Additionally, the Company estimates an approximate $200 million increase in retained earnings due to the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions.only considers downside risk.
Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which will require an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU is effective January 1, 2018. The Company continues to evaluate the impact of this standard, which is expected to increase DTAs, with an associated decrease in prepaid taxes of approximately $500 million.
Subsequent Measurement of Goodwill
In January 2017, the FASB issued ASU No. 2017-04, Intangibles—Intangibles—Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment. 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 Steppreviously referred to as step 2 of the goodwill impairment test) to measure a goodwill impairment charge. Under the ASU, the impairment test is simply the comparison of the fair value of a reporting unit with its carrying amount, (the current Step 1), with the impairment charge being the deficit in fair value, but not exceeding the total amount of goodwill allocated to that reporting unit. The simplified one-step impairment test applies to all reporting units (including those with zero or negative carrying amounts).
The ASU is effective forwas adopted by Citi as of January 1, 2020. Early adoption is permitted for interim2020 with prospective application and annual goodwill impairment testing dates after January 1, 2017.did not impact the first or second quarters of 2020 results. The future impact of the ASU will depend upon the performance of theCiti’s reporting units and the market conditions impacting the fair value of each reporting unit going forward.
Clarifying the Definition of a Business
Reference Rate Reform
In January 2017,March 2020, the FASB issued ASU No. 2017-01, Business Combinations2020-04, Reference Rate Reform (Topic 805)848): ClarifyingFacilitation of the DefinitionEffects of a Business. The definition of a business directly and indirectly affects many areas ofReference Rate Reform on Financial Reporting, which provides optional guidance to ease the potential burden in accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrowsfor (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to consider amendments to contracts made to comply with reference rate reform to meet the definition of a 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 inputmodification under U.S. GAAP. It further allows hedge accounting to be maintained and a substantive process that together significantly contributeone-time transfer or sale of qualifying held-to-maturity securities. The expedients and exceptions provided by the amendments are permitted to the abilitybe adopted any time through December 31, 2022 and do not apply to create outputs.
contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU is effective forwas adopted by Citi as of JanuaryJune 30, 2020 with prospective application and did not impact the second quarter of 2020 results.
Voluntary Change in the Accounting for Variable Post-Charge-Off Third-Party Collection Costs
During the second quarter of 2020, there was a change in Citi`s ACL accounting estimate effected by a change in Citi`s accounting principle for variable post-charge-off third-party collection costs. These costs were previously accounted for as a reduction in credit recoveries. As a result of this change, beginning July 1, 2018. The ASU will be applied prospectively, with early adoption permitted. The2020, these costs are accounted for as an increase in operating expenses. Determining a preferable method of accounting for such costs is a judgmental matter; however, Citi concluded that such a change in the method of accounting is preferable in Citi’s circumstances as it better reflects the nature of these collection costs to investors. That is, these costs do not represent reduced payments from borrowers and are similar to Citi’s other executory third-party vendor contracts that are accounted for as operating expenses as incurred.
As a result of this accounting change, Citi`s estimate for the consumer ACL was impacted and resulted in a one-time ACL release of approximately $426 million in the second quarter of 2020. This one-time ACL release reflects the impact to Citi’s ACL estimate of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of goodwill, but also less goodwill allocated to disposals.
Changes in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation is effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be includedrevised credit recoveries incorporated 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.ACL models. This change in presentation is not expectedaccounting will result in a reclassification of approximately $50 million of collection costs from credit recoveries to have a material effect onoperating expenses each quarter, beginning with the Compensation and benefits and on Other operating lines in the income statement. The componentsthird quarter 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.2020.
2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS
Discontinued Operations
The following sales are reported as Company’s results from Discontinued operations within Corporate/Other.
Saleconsisted of Egg Banking plc Credit Card Business
Citi sold the Egg Banking plc credit card business in 2011. Residual items from the disposal resulted in losses from residual activities related to previously divested operations. 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:
| | | | | | | | | | | | | | |
| Three Months Ended
June 30, | | Six Months Ended
June 30, | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 |
| Total revenues, net of interest expense | $ | — | | $ | — | | $ | — | | $ | — | |
Loss from discontinued operations(1) | $ | (1) | | $ | (10) | | $ | (19) | | $ | (12) | |
| | | | |
Benefit for income taxes(2) | — | | (27) | | — | | (27) | |
| Income (loss) from discontinued operations, net of taxes | $ | (1) | | $ | 17 | | $ | (19) | | $ | 15 | |
(1)Amounts in each period relate to the sale of the Egg Banking business in 2011.
(2)The benefit for income taxes, recorded in 2019, includes a settlement for a tax audit related to the German Retail banking operations, which Citi continues to have minimal residual impact associated with the sold operations:were divested in 2008.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| 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
Thepresented and there were no significant disposals during these periods. For a description of the Company’s significant disposal transactions during 2017in prior periods 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 2019 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 dollars | 2017 | 2016 | 2017 | 2016 |
| Income before taxes | $ | — |
| $ | 43 |
| $ | 41 |
| $ | 121 |
|
110
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 dollars | 2017 | 2016 | 2017 | 2016 |
| 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, financial data was reclassified to reflect:
the reporting of the remaining businesses and portfolios of assets of Citi Holdings as part of Corporate/Other which, prior to the first quarter of 2017, was a separately reported business segment;
the re-attribution of certain treasury-related costs between Corporate/Other, GCB and ICG;
the re-attribution of regional revenues within ICG;and
certain other immaterial reclassifications.
Citi’s consolidated results remain unchanged for all periods presented as a result of the changes and reclassifications discussed above.
For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 20162019 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, | | |
| | 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 billions | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | September 30,
2017 | December 31, 2016 |
| Global Consumer Banking | $ | 8,433 |
| $ | 8,164 |
| $ | 636 |
| $ | 677 |
| $ | 1,174 |
| $ | 1,250 |
| $ | 419 |
| $ | 412 |
|
| Institutional Clients Group | 9,231 |
| 8,459 |
| 1,394 |
| 1,202 |
| 3,062 |
| 2,660 |
| 1,370 |
| 1,277 |
|
| Corporate/Other | 509 |
| 1,137 |
| (164 | ) | (146 | ) | (99 | ) | (23 | ) | 100 |
| 103 |
|
| Total | $ | 18,173 |
| $ | 17,760 |
| $ | 1,866 |
| $ | 1,733 |
| $ | 4,137 |
| $ | 3,887 |
| $ | 1,889 |
| $ | 1,792 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) | Three Months Ended June 30, | | | | | | | |
| Includes total revenues,Revenues,
net of interest expense (excluding (1)
| | Provision (benefits)
for income taxes | | Income (loss) from
continuing operations(2) | | Identifiable assets | |
| In millions of dollars, except identifiable assets in billions | 2020 | 2019 | 2020 | 2019 | 2020 | 2019 | June 30,
2020 | December 31, 2019 |
| Global Consumer Banking | $ | 7,339 | | $ | 8,133 | | $ | (161) | | $ | 378 | | $ | (398) | | $ | 1,301 | | $ | 423 | | $ | 407 | |
| Institutional Clients Group | 12,137 | | 10,055 | | 470 | | 950 | | 1,880 | | 3,425 | | 1,716 | | 1,447 | |
Corporate/Other), in North America of $8.9 billion and $8.4 billion; in EMEA of $2.7 billion and $2.5 billion; in Latin America of $2.4 billion and $2.2 billion; and in Asia of $3.7 billion and $3.5 billion for the three months ended September 30, 2017 and 2016, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S. | 290 | | 570 | | (178) | | 45 | | (165) | | 66 | | 94 | | 97 | |
| Total | $ | 19,766 | | $ | 18,758 | | $ | 131 | | $ | 1,373 | | $ | 1,317 | | $ | 4,792 | | $ | 2,233 | | $ | 1,951 | |
| | | | | | | | |
(2) | Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $2.2 billion and $1.8 billion; in the ICG results of $(164) million and $(90) million; and in the Corporate/Other results of $(50) million and $18 million for the three months ended SeptemberSix Months Ended June 30, 2017 and 2016, respectively.
|
|
| | | | | | | | | | | | | | | | | | |
| | Nine Months Ended September 30, 2017 |
| | Revenues,
net of interest expense(1) | Provision (benefits)
for income taxes | Income (loss) from
continuing operations(2) |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
| Global Consumer Banking | $ | 24,285 |
| $ | 23,552 |
| $ | 1,867 |
| $ | 1,978 |
| $ | 3,306 |
| $ | 3,729 |
|
| Institutional Clients Group | 27,570 |
| 25,043 |
| 4,096 |
| 3,195 |
| 8,853 |
| 7,144 |
|
| Corporate/Other | 2,339 |
| 4,268 |
| (439 | ) | (238 | ) | (21 | ) | 569 |
|
| Total | $ | 54,194 |
| $ | 52,863 |
| $ | 5,524 |
| $ | 4,935 |
| $ | 12,138 |
| $ | 11,442 |
|
| | | | | | |
(1) | Includes total revenues,Revenues,
net of interest expense in North America of $25.8 billion and $24.2 billion; in EMEA of $8.3 billion and $7.3 billion; in Latin America of $7.0 billion and $6.7 billion; and in Asia of $10.8 billion and $10.4 billion (3)
| | Provision (benefits)
for the nine months ended September 30, 2017 and 2016, respectively. Regional numbers exclude Corporate/Other, which largely operates within the U.S.income taxes | | Income (loss) from
continuing operations(4) |
| | |
(2)In millions of dollars | Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $5.8 billion and $4.7 billion; in the ICG results of $(282) million and $382 million; and in 2020
| 2019 | 2020 | 2019 | 2020 | 2019 | | |
| Global Consumer Banking | $ | 15,513 | | $ | 16,223 | | $ | (431) | | $ | 759 | | $ | (1,153) | | $ | 2,621 | | | |
| Institutional Clients Group | 24,621 | | 20,073 | | 1,514 | | 1,905 | | 5,506 | | 6,837 | | | |
Corporate/Other results of $(130) million and $90 million for the nine months ended September 30, 2017 and 2016, respectively. | 363 | | 1,038 | | (376) | | (16) | | (502) | | 71 | | | |
| Total | $ | 40,497 | | $ | 37,334 | | $ | 707 | | $ | 2,648 | | $ | 3,851 | | $ | 9,529 | | | |
(1) Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $9.7 billion and $8.6 billion; in EMEA of $3.4 billion and $3.0 billion; in Latin America of $2.3 billion and $2.6 billion and in Asia of $4.1 billion and $4.0 billion for the three months ended June 30, 2020 and 2019, 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 $3.9 billion and $2.0 billion; in the ICG results of $3.9 billion and $0.1 billion; and in the Corporate/Other results of $0.2 billion and $0.0 billion for the three months ended June 30, 2020 and 2019, respectively.
(3) Includes total revenues, net of interest expense, in North America of $19.9 billion and $16.9 billion; in EMEA of $6.9 billion and $6.1 billion; in Latin America of $4.9 billion and $5.2 billion; and in Asia of $8.5 billion and $8.1 billion for the six months ended June 30, 2020 and 2019, respectively. Regional numbers exclude Corporate/Other, which largely operates within the U.S.
(4) Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $8.7 billion and $4.0 billion; in the ICG results of $5.9 billion and $0.2 billion; and in the Corporate/Other results of $356 million and $(47) million for the six months ended June 30, 2020 and 2019, 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 dollars | 2020 | 2019 | 2020 | 2019 | |
| Interest revenue | | | | | |
| Loan interest, including fees | $ | 10,149 | | $ | 11,981 | | $ | 21,399 | | $ | 23,949 | | |
| Deposits with banks | 159 | | 736 | | 686 | | 1,343 | | |
| Securities borrowed and purchased under agreements to resell | 401 | | 1,893 | | 1,609 | | 3,677 | | |
| Investments, including dividends | 2,097 | | 2,505 | | 4,378 | | 5,053 | | |
Trading account assets(1) | 1,673 | | 2,140 | | 3,263 | | 3,826 | | |
| Other interest | 110 | | 457 | | 393 | | 940 | | |
| Total interest revenue | $ | 14,589 | | $ | 19,712 | | $ | 31,728 | | $ | 38,788 | | |
| Interest expense | | | | | |
Deposits(2) | $ | 1,469 | | $ | 3,284 | | $ | 4,083 | | $ | 6,311 | | |
| Securities loaned and sold under agreements to repurchase | 453 | | 1,724 | | 1,538 | | 3,313 | | |
Trading account liabilities(1) | 144 | | 320 | | 383 | | 647 | | |
| Short-term borrowings and other interest-bearing liabilities | 140 | | 715 | | 524 | | 1,367 | | |
| Long-term debt | 1,303 | | 1,719 | | 2,628 | | $ | 3,441 | | |
| Total interest expense | $ | 3,509 | | $ | 7,762 | | $ | 9,156 | | $ | 15,079 | | |
| Net interest revenue | $ | 11,080 | | $ | 11,950 | | $ | 22,572 | | $ | 23,709 | | |
| Provision for credit losses on loans | 7,696 | | 2,089 | | 14,140 | | 4,033 | | |
| Net interest revenue after provision for credit losses on loans | $ | 3,384 | | $ | 9,861 | | $ | 8,432 | | $ | 19,676 | | |
(1)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.
(2)Includes deposit insurance fees and charges of $270 million and $189 million for the three months ended June 30, 2020 and 2019, respectively, and $495 million and $382 million for the six months ended June 30, 2020 and 2019, respectively.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Interest revenue | | | | |
| Loan interest, including fees | $ | 10,652 |
| $ | 10,229 |
| $ | 30,798 |
| $ | 29,739 |
|
| Deposits with banks | 486 |
| 247 |
| 1,156 |
| 703 |
|
| Federal funds sold and securities borrowed or purchased under agreements to resell | 858 |
| 636 |
| 2,347 |
| 1,947 |
|
| Investments, including dividends | 2,104 |
| 1,887 |
| 6,122 |
| 5,679 |
|
Trading account assets(1) | 1,429 |
| 1,433 |
| 4,176 |
| 4,399 |
|
| Other interest | 292 |
| 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 repurchase | 712 |
| 459 |
| 1,881 |
| 1,488 |
|
Trading account liabilities(1) | 169 |
| 102 |
| 462 |
| 286 |
|
| Short-term borrowings | 318 |
| 90 |
| 719 |
| 300 |
|
| Long-term debt | 1,405 |
| 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 losses | 2,146 |
| 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 million and $336 million for the three months ended September 30, 2017 and 2016, respectively, and $936 million and $838 million for the nine months ended September 30, 2017 and 2016, respectively. |
5. COMMISSIONS AND FEES; 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 Commissionson Citi’s commissions and fees, revenue, and administration and other fiduciary fees, see Note 5 to the Consolidated Financial Statements in Citi’s 20162019 Annual Report on Form 10-K.
The following tables present Commissions and fees revenue:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, | | | | Six Months Ended June 30, | | | |
| 2020 | | | | 2020 | | | |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Investment banking | $ | 1,358 | | $ | — | | $ | — | | $ | 1,358 | | $ | 2,398 | | $ | — | | $ | — | | $ | 2,398 | |
| Brokerage commissions | 482 | | 204 | | — | | 686 | | 1,059 | | 453 | | — | | 1,512 | |
| Credit- and bank-card income | | | | | | | | |
| Interchange fees | 123 | | 1,505 | | — | | 1,628 | | 384 | | 3,422 | | — | | 3,806 | |
| Card-related loan fees | 3 | | 132 | | — | | 135 | | 14 | | 298 | | — | | 312 | |
| Card rewards and partner payments | (70) | | (1,745) | | — | | (1,815) | | (219) | | (3,838) | | — | | (4,057) | |
Deposit-related fees(1) | 220 | | 85 | | — | | 305 | | 453 | | 200 | | — | | 653 | |
| Transactional service fees | 215 | | 20 | | — | | 235 | | 442 | | 44 | | — | | 486 | |
Corporate finance(2) | 149 | | — | | — | | 149 | | 295 | | — | | — | | 295 | |
| Insurance distribution revenue | 1 | | 113 | | — | | 114 | | 5 | | 238 | | — | | 243 | |
| Insurance premiums | — | | 31 | | — | | 31 | | — | | 74 | | — | | 74 | |
| Loan servicing | 18 | | 11 | | 2 | | 31 | | 38 | | 22 | | 10 | | 70 | |
| Other | 27 | | 46 | | 3 | | 76 | | 57 | | 102 | | 3 | | 162 | |
Total commissions and fees(3) | $ | 2,526 | | $ | 402 | | $ | 5 | | $ | 2,933 | | $ | 4,926 | | $ | 1,015 | | $ | 13 | | $ | 5,954 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, | | | | Six Months Ended June 30, | | | |
| 2019 | | | | 2019 | | | |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Investment banking | $ | 941 | | $ | — | | $ | — | | $ | 941 | | $ | 1,855 | | $ | — | | $ | — | | $ | 1,855 | |
| Brokerage commissions | 438 | | 211 | | — | | 649 | | 909 | | 397 | | — | | 1,306 | |
| Credit- and bank-card income | | | | | | | | |
| Interchange fees | 314 | | 2,197 | | — | | 2,511 | | 593 | | 4,180 | | — | | 4,773 | |
| Card-related loan fees | 16 | | 183 | | — | | 199 | | 29 | | 343 | | — | | 372 | |
| Card rewards and partner payments | (175) | | (2,277) | | — | | (2,452) | | (328) | | (4,338) | | — | | (4,666) | |
Deposit-related fees(1) | 266 | | 120 | | — | | 386 | | 528 | | 242 | | — | | 770 | |
| Transactional service fees | 199 | | 30 | | — | | 229 | | 400 | | 60 | | — | | 460 | |
Corporate finance(2) | 151 | | — | | — | | 151 | | 330 | | — | | — | | 330 | |
| Insurance distribution revenue | 2 | | 129 | | — | | 131 | | 6 | | 261 | | — | | 267 | |
| Insurance premiums | — | | 45 | | — | | 45 | | — | | 92 | | — | | 92 | |
| Loan servicing | — | | 8 | | 3 | | 11 | | 50 | | 30 | | 9 | | 89 | |
| Other | 14 | | 66 | | — | | 80 | | 30 | | 128 | | 1 | | 159 | |
Total commissions and fees(3) | $ | 2,166 | | $ | 712 | | $ | 3 | | $ | 2,881 | | $ | 4,402 | | $ | 1,395 | | $ | 10 | | $ | 5,807 | |
(1)Includes overdraft fees of $20 million and $31 million for the three months ended June 30, 2020 and 2019, respectively, and $51 million and $61 million for the six months ended June 30, 2020 and 2019, respectively. Overdraft fees are accounted for under ASC 310.
(2)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(3)Commissions and fees includes $(1,426) million and $(2,016) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended June 30, 2020 and 2019, respectively, and $(3,228) million and $(3,719) million for the six months ended June 30, 2020 and 2019, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.
The following table presents CommissionsAdministration and other fiduciary fees revenue:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, | | | | Six Months Ended June 30, | | | |
| 2020 | | | | 2020 | | | |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Custody fees | $ | 372 | | $ | 6 | | $ | 21 | | $ | 399 | | $ | 738 | | $ | 14 | | $ | 36 | | $ | 788 | |
| Fiduciary fees | 158 | | 132 | | — | | 290 | | 330 | | 288 | | — | | 618 | |
| Guarantee fees | 127 | | 1 | | 2 | | 130 | | 261 | | 3 | | 3 | | 267 | |
Total administration and other fiduciary fees(1) | $ | 657 | | $ | 139 | | $ | 23 | | $ | 819 | | $ | 1,329 | | $ | 305 | | $ | 39 | | $ | 1,673 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, | | | | Six Months Ended June 30, | | | |
| 2019 | | | | 2019 | | | |
| In millions of dollars | ICG | GCB | Corporate/Other | Total | ICG | GCB | Corporate/Other | Total |
| Custody fees | $ | 383 | | $ | 4 | | $ | 18 | | $ | 405 | | $ | 747 | | $ | 7 | | $ | 34 | | $ | 788 | |
| Fiduciary fees | 162 | | 154 | | — | | 316 | | 314 | | 300 | | 12 | | 626 | |
| Guarantee fees | 144 | | 2 | | 2 | | 148 | | 286 | | 4 | | 4 | | 294 | |
Total administration and other fiduciary fees(1) | $ | 689 | | $ | 160 | | $ | 20 | | $ | 869 | | $ | 1,347 | | $ | 311 | | $ | 50 | | $ | 1,708 | |
(1) Administration and other fiduciary fees includes $130 million and $148 million for the three months ended June 30, 2020 and 2019, respectively, and $267 million and $294 million for the six months ended June 30, 2020 and 2019, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Investment banking | $ | 911 |
| $ | 726 |
| $ | 2,689 |
| $ | 2,053 |
|
| Trading-related | 556 |
| 519 |
| 1,670 |
| 1,664 |
|
| Trade and securities services | 412 |
| 384 |
| 1,224 |
| 1,176 |
|
| Credit cards and bank cards | 406 |
| 372 |
| 1,081 |
| 987 |
|
Corporate finance(1) | 171 |
| 164 |
| 578 |
| 528 |
|
Other consumer(2) | 188 |
| 173 |
| 521 |
| 497 |
|
| Checking-related | 121 |
| 140 |
| 363 |
| 360 |
|
| Loan servicing | 80 |
| 71 |
| 254 |
| 235 |
|
| Other | 86 |
| 95 |
| 247 |
| 332 |
|
| Total commissions and fees | $ | 2,931 |
| $ | 2,644 |
| $ | 8,627 |
| $ | 7,832 |
|
| |
(1) | Consists primarily of fees earned from structuring and underwriting loan syndications. |
| |
(2) | Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card services. |
6. PRINCIPAL TRANSACTIONS
Citi’s Principal 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 June 30, | | Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 |
Interest rate risks(1) | $ | 1,843 | | $ | 1,320 | | $ | 3,820 | | $ | 3,038 | |
Foreign exchange risks(2) | 1,114 | | 427 | | 2,109 | | 900 | |
Equity risks(3) | 102 | | (1) | | 921 | | 455 | |
Commodity and other risks(4) | 370 | | 89 | | 697 | | 208 | |
Credit products and risks(5) | 728 | | 39 | | 1,871 | | 77 | |
| Total | $ | 4,157 | | $ | 1,874 | | $ | 9,418 | | $ | 4,678 | |
(1) Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2) Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(3) Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4) Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5) Includes revenues from structured credit products.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
Global Consumer Banking(1) | $ | 149 |
| $ | 162 |
| $ | 440 |
| $ | 469 |
|
| Institutional Clients Group | 1,757 |
| 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 |
|
| |
(1) | Primarily relates to foreign exchange risks. |
| |
(2) | Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities. |
| |
(3) | Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses. |
| |
(4) | Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants. |
| |
(5) | Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades. |
| |
(6) | Includes revenues from structured credit products. |
7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 20162019 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 20162019 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 plans | Postretirement benefit plans |
| | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
| Qualified plans | |
| |
| |
| |
| |
| |
| |
| |
|
| Benefits earned during the period | $ | — |
| $ | 1 |
| $ | 38 |
| $ | 39 |
| $ | — |
| $ | — |
| $ | 3 |
| $ | 1 |
|
| Interest cost on benefit obligation | 124 |
| 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 loss | 43 |
| 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 plans | | | | | | Postretirement benefit plans | | | | | |
| | U.S. plans | | | Non-U.S. plans | | | U.S. plans | | | Non-U.S. plans | | |
| In millions of dollars | 2020 | 2019 | | 2020 | 2019 | | 2020 | 2019 | | 2020 | 2019 | |
| | | | | | | | | | | | |
| Benefits earned during the period | $ | — | | $ | — | | | $ | 34 | | $ | 35 | | | $ | — | | $ | — | | | $ | 2 | | $ | 2 | | |
| Interest cost on benefit obligation | 101 | | 123 | | | 61 | | 73 | | | 5 | | 6 | | | 22 | | 26 | | |
| Expected return on plan assets | (206) | | (202) | | | (56) | | (68) | | | (4) | | (4) | | | (18) | | (21) | | |
| Amortization of unrecognized: | | | | | | | | | | | | |
| Prior service benefit | — | | (1) | | | (2) | | (1) | | | — | | — | | | (2) | | (3) | | |
| Net actuarial loss | 53 | | 48 | | | 17 | | 15 | | | — | | — | | | 5 | | 6 | | |
| | | | | | | | | | | | |
Settlement loss(1) | — | | — | | | 3 | | 2 | | | — | | — | | | — | | — | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Total net (benefit) expense | $ | (52) | | $ | (32) | | | $ | 57 | | $ | 56 | | | $ | 1 | | $ | 2 | | | $ | 9 | | $ | 10 | | |
| |
(1) | Losses (gains) due to curtailment and settlement relate to repositioning and divestiture activities. |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Nine Months Ended September 30, |
| | Pension plans | Postretirement benefit plans |
| | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
| Qualified plans | |
| |
| |
| |
| |
| |
| |
| |
|
| Benefits earned during the period | $ | 1 |
| $ | 2 |
| $ | 112 |
| $ | 116 |
| $ | — |
| $ | — |
| $ | 7 |
| $ | 7 |
|
| Interest cost on benefit obligation | 384 |
| 399 |
| 221 |
| 216 |
| 20 |
| 19 |
| 76 |
| 72 |
|
| Expected return on plan assets | (650 | ) | (660 | ) | (223 | ) | (217 | ) | (5 | ) | (7 | ) | (67 | ) | (65 | ) |
| Amortization of unrecognized |
|
|
|
| |
| |
| | |
| |
| |
|
| Prior service benefit | — |
| — |
| (3 | ) | (1 | ) | — |
| — |
| (7 | ) | (7 | ) |
| Net actuarial loss (gain) | 122 |
| 118 |
| 46 |
| 58 |
| — |
| (1 | ) | 25 |
| 24 |
|
Curtailment loss (gain) (1) | 4 |
| 10 |
| — |
| (3 | ) | — |
| — |
| — |
| — |
|
Settlement loss(1) | — |
| — |
| 8 |
| 2 |
| — |
| — |
| — |
| — |
|
| 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 |
|
| |
(1) | (1) Losses (gains) due to curtailment and settlement relate to repositioning and divestiture activities. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months Ended June 30, | | | | | | | | | | | |
| | Pension plans | | | | | | Postretirement benefit plans | | | | | |
| | U.S. plans | | | Non-U.S. plans | | | U.S. plans | | | Non-U.S. plans | | |
| In millions of dollars | 2020 | 2019 | | 2020 | 2019 | | 2020 | 2019 | | 2020 | 2019 | |
| | | | | | | | | | | | |
| Benefits earned during the period | $ | — | | $ | — | | | $ | 71 | | $ | 71 | | | $ | — | | $ | — | | | $ | 4 | | $ | 4 | | |
| Interest cost on benefit obligation | 207 | | 253 | | | 125 | | 148 | | | 10 | | 13 | | | 46 | | 52 | | |
| Expected return on plan assets | (414) | | (405) | | | (121) | | (136) | | | (9) | | (9) | | | (38) | | (42) | | |
| Amortization of unrecognized: | | | | | | | | | | | | |
| Prior service cost (benefit) | 1 | | — | | | (3) | | (2) | | | — | | — | | | (4) | | (5) | | |
| Net actuarial loss | 109 | | 92 | | | 34 | | 30 | | | — | | — | | | 10 | | 11 | | |
| | | | | | | | | | | | |
Settlement loss(1) | — | | — | | | 3 | | 2 | | | — | | — | | | — | | — | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Total net (benefit) expense | $ | (97) | | $ | (60) | | | $ | 109 | | $ | 113 | | | $ | 1 | | $ | 4 | | | $ | 18 | | $ | 20 | | |
(1) Losses due to 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:
| | | | | | | | | | | | | | |
| | | | |
| Six Months Ended June 30, 2020 | | | |
| | Pension plans | | Postretirement benefit plans | |
| In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| | | | |
| Change in projected benefit obligation | | | | |
| | | | |
| Projected benefit obligation at beginning of year | $ | 13,453 | | $ | 8,105 | | $ | 692 | | $ | 1,384 | |
| Plans measured annually | (26) | | (2,068) | | — | | (323) | |
| Projected benefit obligation at beginning of year—Significant Plans | $ | 13,427 | | $ | 6,037 | | $ | 692 | | $ | 1,061 | |
| First quarter activity | (78) | | (934) | | (13) | | (255) | |
| | | | |
| | | | |
| Projected benefit obligation at the March 31, 2020—Significant Plans | $ | 13,349 | | $ | 5,103 | | $ | 679 | | $ | 806 | |
| | | | |
| Benefits earned during the period | | 20 | | — | | 1 | |
| Interest cost on benefit obligation | 101 | | 51 | | 5 | | 19 | |
| Actuarial loss | 678 | | 466 | | 5 | | 84 | |
| Benefits paid, net of participants’ contributions and government subsidy | (268) | | (83) | | (10) | | (13) | |
| | | | |
| | | | |
| | | | |
| | | | |
| | | | |
| Foreign exchange impact and other | — | | 19 | | — | | 14 | |
| | | | |
| | | | |
| Projected benefit obligation at period end—Significant Plans | $ | 13,860 | | $ | 5,576 | | $ | 679 | | $ | 911 | |
| Change in plan assets | | | | |
| | | | |
| Plan assets at fair value at beginning of year | $ | 12,717 | | $ | 7,556 | | $ | 345 | | $ | 1,127 | |
| Plans measured annually | — | | (1,349) | | — | | (9) | |
| Plan assets at fair value at beginning of year—Significant Plans | $ | 12,717 | | $ | 6,207 | | $ | 345 | | $ | 1,118 | |
| First quarter activity | (864) | | (720) | | (24) | | (270) | |
| | | | |
| Plan assets at fair value at March 31, 2020—Significant Plans | $ | 11,853 | | $ | 5,487 | | $ | 321 | | $ | 848 | |
| | | | |
| Actual return on plan assets | 830 | | 439 | | 16 | | 94 | |
| Company contributions, net of reimbursements | 14 | | 15 | | (3) | | — | |
| | | | |
| Benefits paid, net of participants’ contributions and government subsidy | (268) | | (83) | | (10) | | (13) | |
| | | | |
| | | | |
| | | | |
| Foreign exchange impact and other | — | | 5 | | — | | 13 | |
| | | | |
| | | | |
| Plan assets at fair value at period end—Significant Plans | $ | 12,429 | | $ | 5,863 | | $ | 324 | | $ | 942 | |
| Funded status of the Significant Plans | | | | |
Qualified plans(1) | $ | (713) | | $ | 287 | | $ | (355) | | $ | 31 | |
| Nonqualified plans | (718) | | — | | — | | — | |
| Funded status of the plans at period end—Significant Plans | $ | (1,431) | | $ | 287 | | $ | (355) | | $ | 31 | |
| Net amount recognized at period end | | | | |
| Benefit asset | $ | — | | $ | 907 | | $ | — | | $ | 31 | |
| Benefit liability | (1,431) | | (620) | | (355) | | — | |
| Net amount recognized on the balance sheet—Significant Plans | $ | (1,431) | | $ | 287 | | $ | (355) | | $ | 31 | |
Amounts recognized in AOCI at period end | | | | |
| | | | |
| Prior service benefit | $ | — | | $ | 8 | | $ | — | | $ | 53 | |
| Net actuarial (loss) gain | (7,933) | | (854) | | 29 | | (296) | |
| Net amount recognized in equity (pretax)—Significant Plans | $ | (7,933) | | $ | (846) | | $ | 29 | | $ | (243) | |
| Accumulated benefit obligation at period end—Significant Plans | $ | 13,857 | | $ | 5,283 | | $ | 679 | | $ | 911 | |
(1)The U.S. qualified pension plan is fully funded pursuant to the Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2020 and no minimum required funding is expected for 2020.
|
| | | | | | | | | | | | |
| | Nine Months Ended September 30, 2017 |
| | Pension plans | Postretirement benefit plans |
| In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| Change in projected benefit obligation | |
| |
| |
| |
|
| Projected benefit obligation at beginning of year | $ | 14,000 |
| $ | 6,522 |
| $ | 686 |
| $ | 1,141 |
|
| Plans measured annually | (28 | ) | (1,784 | ) | — |
| (303 | ) |
| Projected benefit obligation at beginning of year—Significant Plans | $ | 13,972 |
| $ | 4,738 |
| $ | 686 |
| $ | 838 |
|
| First quarter activity | 25 |
| 802 |
| (7 | ) | 134 |
|
| Second quarter activity | 161 |
| 9 |
| 63 |
| 72 |
|
| Projected benefit obligation at June 30, 2017—Significant Plans | $ | 14,158 |
| $ | 5,549 |
| $ | 742 |
| $ | 1,044 |
|
| Benefits earned during the period | 1 |
| 22 |
| — |
| 2 |
|
| Interest cost on benefit obligation | 131 |
| 64 |
| 6 |
| 23 |
|
| Actuarial loss | 95 |
| 104 |
| 2 |
| 12 |
|
| Benefits paid, net of participants’ contributions | (191 | ) | (108 | ) | (14 | ) | (15 | ) |
Curtailment loss (gain)(1) | 1 |
| (2 | ) | — |
| — |
|
| Foreign exchange impact and other | (269 | ) | 36 |
| — |
| (6 | ) |
| Projected benefit obligation at September 30, 2017—Significant Plans | $ | 13,926 |
| $ | 5,665 |
| $ | 736 |
| $ | 1,060 |
|
| |
(1) | Loss (gain) due to curtailment relates to repositioning activities. |
|
| | | | | | | | | | | | |
| | Nine Months Ended September 30, 2017 |
| | Pension plans | Postretirement benefit plans |
| In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| Change in plan assets | |
| |
| |
| |
|
| Plan assets at fair value at beginning of year | $ | 12,363 |
| $ | 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 activity | 159 |
| 903 |
| $ | — |
| 124 |
|
| Second quarter activity | 186 |
| (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 assets | 310 |
| 95 |
| 3 |
| 24 |
|
| Company contributions, net of reimbursements | 63 |
| 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 plans | 727 |
| — |
| — |
| — |
|
| Accumulated benefit obligation at September 30, 2017—Significant Plans | $ | 13,920 |
| $ | 5,047 |
| $ | 736 |
| $ | 1,060 |
|
| |
(1) | The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2017 and no minimum required funding is expected for 2017. |
The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans: | | In millions of dollars | | In millions of dollars | Three Months Ended June 30, 2020 | Six Months Ended
June 30, 2020 |
| Beginning of period balance, net of tax(1)(2) | | Beginning of period balance, net of tax(1)(2) | $ | (7,095) | | $ | (6,809) | |
| | | In millions of dollars | Three Months Ended
September 30, 2017 | Nine Months Ended September 30, 2017 | |
Beginning of period balance, net of tax(1)(2) | $ | (5,311 | ) | $ | (5,164 | ) | |
| Actuarial assumptions changes and plan experience | (213 | ) | (721 | ) | Actuarial assumptions changes and plan experience | (1,230) | | (800) | |
| Net asset gain due to difference between actual and expected returns | 123 |
| 419 |
| |
| Net asset gain (loss) due to difference between actual and expected returns | | Net asset gain (loss) due to difference between actual and expected returns | 1,106 | | (22) | |
| Net amortization | 59 |
| 171 |
| Net amortization | 72 | | 148 | |
| Prior service cost | — |
| (5 | ) | Prior service cost | 16 | | 16 | |
Curtailment/settlement gain(3) | 5 |
| 12 |
| Curtailment/settlement gain(3) | 3 | | 3 | |
| Foreign exchange impact and other | (19 | ) | (141 | ) | Foreign exchange impact and other | (60) | | 144 | |
| Change in deferred taxes, net | 16 |
| 89 |
| Change in deferred taxes, net | 16 | | 148 | |
| Change, net of tax | $ | (29 | ) | $ | (176 | ) | Change, net of tax | $ | (77) | | $ | (363) | |
End of period balance, net of tax(1)(2) | $ | (5,340 | ) | $ | (5,340 | ) | End of period balance, net of tax(1)(2) | $ | (7,172) | | $ | (7,172) | |
| |
(1) | See Note 17 to the Consolidated Financial Statements for further discussion of net AOCI balance. |
| |
(2) | Includes net-of-tax amounts for certain profit sharing plans outside the U.S. |
| |
(3) | Gains due to curtailment and settlement relate to repositioning and divestiture activities. |
(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)Curtailment and settlement relate to repositioning and divestiture activities.
Plan Assumptions
The discount rates utilized during the period in determining the pension and postretirement net (benefit) expense for the Significant Plans are as follows:
| | | | | | | | | |
| Net (benefit) expense assumed discount rates during the period | Three Months Ended | | |
| Jun. 30, 2020 | | Jun. 30, 2019 |
| U.S. plans | | | |
| Qualified pension | 3.20 | % | | 3.85 | % |
| Nonqualified pension | 3.25 | | | 3.90 | |
| Postretirement | 3.20 | | | 3.80 | |
| Non-U.S. plans | | | |
| Pension | 0.45-9.45 | | 0.45-10.30 |
| Weighted average | 4.38 | | | 4.74 | |
| Postretirement | 9.75 | | | 10.30 | |
|
| | |
| Net benefit (expense) assumed discount rates during the period | Three Months Ended |
| Sept. 30, 2017 | Jun. 30, 2017 |
| U.S. plans | | |
| Qualified pension | 3.80% | 4.05% |
| Nonqualified pension | 3.75 | 3.95 |
| Postretirement | 3.60 | 3.85 |
| Non-U.S. plans | | |
| Pension | 0.65-10.90 | 0.55-10.45 |
| Weighted average | 4.87 | 4.83 |
| Postretirement | 9.05 | 9.25 |
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 ended | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | |
| U.S. plans | | | | |
| Qualified pension | 2.60 | % | 3.20 | % | 3.25 | % | |
| Nonqualified pension | 2.55 | | 3.25 | | 3.25 | | |
| Postretirement | 2.45 | | 3.20 | | 3.15 | | |
| Non-U.S. plans | | | | |
| Pension | 0.20-8.40 | 0.45-9.45 | 0.20-8.95 | |
| Weighted average | 3.68 | | 4.38 | | 4.21 | | |
| Postretirement | 8.80 | | 9.75 | | 9.10 | | |
|
| | | |
| Plan obligations assumed discount rates at period ended | Sept. 30, 2017 | June 30,
2017 | Mar. 31, 2017 |
| U.S. plans | | | |
| Qualified pension | 3.75% | 3.80% | 4.05% |
| Nonqualified pension | 3.65 | 3.75 | 3.95 |
| Postretirement | 3.55 | 3.60 | 3.85 |
| Non-U.S. plans | | | |
| Pension | 0.65-10.35 | 0.65-10.90 | 0.55-10.45 |
| Weighted average | 4.86 | 4.87 | 4.83 |
| Postretirement | 8.95 | 9.05 | 9.25 |
Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a one-percentage-point change in the discount rate:
| | | | | | | | | | |
| Three Months Ended June 30, 2020 | | | |
| In millions of dollars | One-percentage-point increase | | | One-percentage-point decrease |
| Pension | | | | |
| U.S. plans | $ | 8 | | | | $ | (11) | |
| Non-U.S. plans | (2) | | | | 3 | |
| Postretirement | | | | |
| U.S. plans | — | | | | (1) | |
| Non-U.S. plans | (2) | | | | 2 | |
|
| | | | | | |
| | Three Months Ended September 30, 2017 |
| In millions of dollars | One-percentage-point increase | One-percentage-point decrease |
| Pension | | |
| U.S. plans | $ | 7 |
| $ | (10 | ) |
| Non-U.S. plans | (5 | ) | 7 |
|
| Postretirement | | |
| U.S. plans | 1 |
| (1 | ) |
| Non-U.S. plans | (3 | ) | 3 |
|
For the U.S. pension plans, there were no required minimum cash contributions during the first ninesix months of 2017.
2020. The Company made discretionary contributions 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, 20172020 and 2016,2019, as well as estimated expected Company contributions for the remainder of 20172020 and the actual contributions made in 2019:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Pension plans | | | | | | Postretirement plans | | | | | |
| | U.S. plans(1) | | | Non-U.S. plans | | | U.S. plans | | | Non-U.S. plans | | |
| In millions of dollars | 2020 | 2019 | | 2020 | 2019 | | 2020 | 2019 | | 2020 | 2019 | |
Company contributions(2) for the six months ended June 30 | $ | 28 | | $ | 463 | | | $ | 72 | | $ | 64 | | | $ | — | | $ | — | | | $ | 5 | | $ | 223 | | |
Company contributions made during the remainder
of the year | — | | 18 | | | — | | 86 | | | — | | 4 | | | — | | 2 | | |
Company contributions expected to be made during
the remainder of the year | 32 | | — | | | 74 | | — | | | — | | — | | | 3 | | — | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
(1)The U.S. plans include benefits paid directly by the fourth quarterCompany for the nonqualified pension plans.
(2)Company contributions are composed of 2016.cash contributions made to the plans and benefits paid directly by the Company.
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | Pension plans | Postretirement plans |
| | U.S. plans(1) | Non-U.S. plans | U.S. plans | Non-U.S. plans |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 |
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 year | 16 |
| 15 |
| 35 |
| 68 |
| — |
| — |
| 2 |
| 5 |
|
| |
(1) | The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans. |
| |
(2) | Company contributions are composed of cash contributions made to the plans and benefits paid directly by the Company. |
Defined Contribution Plans
The following table summarizes the Company’s contributions for the defined contribution plans:
| | | | | | | | | | | | | | | | |
| Three Months Ended June 30, | | Six Months Ended June 30, | | | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 | | |
| U.S. plans | $ | 101 | | $ | 99 | | $ | 203 | | 198 | | | |
| Non-U.S. plans | 74 | | 71 | | 150 | | 139 | | | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| U.S. plans | $ | 95 |
| $ | 89 |
| $ | 293 |
| $ | 281 |
|
| Non-U.S. plans | 68 |
| 67 |
| 203 |
| 207 |
|
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 dollars | 2020 | 2019 | 2020 | 2019 |
| Service-related expense | | | | |
| Interest cost on benefit obligation | $ | — | | $ | 1 | | $ | — | | $ | 1 | |
| Expected return on plan assets | — | | (1) | | — | | (1) | |
| Amortization of unrecognized: | | | | |
| | | | |
| Net actuarial loss | 1 | | — | | 1 | | 1 | |
| | | | |
| Total service-related expense | $ | 1 | | $ | — | | $ | 1 | | $ | 1 | |
| Non-service-related expense | $ | 3 | | $ | 2 | | $ | 8 | | $ | 6 | |
| Total net expense | $ | 4 | | $ | 2 | | $ | 9 | | $ | 7 | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
Service-related expense
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| Interest cost on benefit obligation | — |
| — |
| 1 |
| 2 |
|
| Amortization of unrecognized |
|
|
|
|
|
|
|
|
| Prior service benefit | (8 | ) | (7 | ) | (23 | ) | (23 | ) |
| Net actuarial loss | 1 |
| 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 June 30, | | Six Months Ended June 30, | |
| In millions of dollars, except per share amounts | 2020 | 2019 | 2020 | 2019 |
| Earnings per common share | | | | |
| Income from continuing operations before attribution of noncontrolling interests | $ | 1,317 | | $ | 4,792 | | $ | 3,851 | | $ | 9,529 | |
| Less: Noncontrolling interests from continuing operations | — | | 10 | | (6) | | 35 | |
| Net income from continuing operations (for EPS purposes) | $ | 1,317 | | $ | 4,782 | | $ | 3,857 | | $ | 9,494 | |
| Loss from discontinued operations, net of taxes | (1) | | 17 | | (19) | | 15 | |
| Citigroup’s net income | $ | 1,316 | | $ | 4,799 | | $ | 3,838 | | $ | 9,509 | |
Less: Preferred dividends(1) | 253 | | 296 | | 544 | | 558 | |
| Net income available to common shareholders | $ | 1,063 | | $ | 4,503 | | $ | 3,294 | | $ | 8,951 | |
| Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS | 11 | | 50 | | 32 | | 109 | |
| Net income allocated to common shareholders for basic EPS | $ | 1,052 | | $ | 4,453 | | $ | 3,262 | | $ | 8,842 | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 2,081.7 | | 2,286.1 | | 2,089.8 | | 2,313.2 | |
Basic earnings per share(2) | | | | |
| Income from continuing operations | $ | 0.51 | | $ | 1.94 | | $ | 1.57 | | $ | 3.81 | |
| Discontinued operations | — | | 0.01 | | (0.01) | | 0.01 | |
| Net income per share—basic | $ | 0.51 | | $ | 1.95 | | $ | 1.56 | | $ | 3.82 | |
| Diluted earnings per share | | | | |
| Net income allocated to common shareholders for basic EPS | $ | 1,052 | | $ | 4,453 | | $ | 3,262 | | $ | 8,842 | |
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable(3) | — | | — | | 14 | | — | |
| Net income allocated to common shareholders for diluted EPS | $ | 1,052 | | $ | 4,453 | | $ | 3,276 | | $ | 8,842 | |
Weighted-average common shares outstanding applicable to basic EPS (in millions) | 2,081.7 | | 2,286.1 | | 2,089.8 | | 2,313.2 | |
| Effect of dilutive securities | | | | |
Options(4) | — | | — | | — | | 0.1 | |
Other employee plans(3) | 2.6 | | 2.9 | | 13.2 | | 2.4 | |
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(5) | 2,084.3 | | 2,289.0 | | 2,103.0 | | 2,315.7 | |
Diluted earnings per share(2) | | | | |
| Income from continuing operations | $ | 0.51 | | $ | 1.94 | | $ | 1.57 | | $ | 3.81 | |
| Discontinued operations | — | | 0.01 | | (0.01) | | 0.01 | |
| Net income per share—diluted | $ | 0.50 | | $ | 1.95 | | $ | 1.56 | | $ | 3.82 | |
(1)On July 15, 2020, Citi declared preferred dividends of approximately $284 million for the third quarter of 2020. As of August 4, 2020, Citi estimates it will distribute preferred dividends of approximately $253 million in the fourth quarter of 2020, subject to such dividends being declared by the Citi Board of Directors. During the first quarter of 2020, in March, Citi redeemed all of its 1.5 million Series O preferred shares for $1.5 billion; in January, Citi also issued 1.5 million of Series V preferred shares for $1.5 billion.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(3)Certain securities are excluded from the second quarter of 2020 (three month period) balances due to anti-dilution.
(4)During the second quarter of 2020 and 2019, no significant options to purchase shares of common stock were outstanding.
(5)Due to rounding, weighted-average common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to weighted-average common shares outstanding applicable to diluted EPS.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions, except per-share amounts | 2017 | 2016 | 2017 | 2016 |
| Income from continuing operations before attribution of noncontrolling interests | $ | 4,137 |
| $ | 3,887 |
| $ | 12,138 |
| $ | 11,442 |
|
| Less: Noncontrolling interests from continuing operations | (1 | ) | 17 |
| 41 |
| 48 |
|
| Net income from continuing operations (for EPS purposes) | $ | 4,138 |
| $ | 3,870 |
| $ | 12,097 |
| $ | 11,394 |
|
| Income (loss) from discontinued operations, net of taxes | (5 | ) | (30 | ) | (2 | ) | (55 | ) |
| Citigroup's net income | $ | 4,133 |
| $ | 3,840 |
| $ | 12,095 |
| $ | 11,339 |
|
Less: Preferred dividends(1) | 272 |
| 225 |
| 893 |
| 757 |
|
| Net income available to common shareholders | $ | 3,861 |
| $ | 3,615 |
| $ | 11,202 |
| $ | 10,582 |
|
| Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS | 53 |
| 53 |
| 156 |
| 145 |
|
| 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 EPS | 3,808 |
| 3,562 |
| $ | 11,046 |
| $ | 10,437 |
|
| Weighted-average common shares outstanding applicable to basic EPS | 2,683.6 |
| 2,879.9 |
| 2,729.3 |
| 2,912.9 |
|
Effect of dilutive securities(2) | | | |
| |
Options(3) | 0.1 |
| 0.1 |
| 0.1 |
| 0.1 |
|
| Other employee plans | — |
| 0.1 |
| — |
| 0.1 |
|
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) | | | |
| |
| Income from continuing operations | $ | 1.42 |
| $ | 1.25 |
| $ | 4.05 |
| $ | 3.60 |
|
| Discontinued operations | — |
| (0.01 | ) | — |
| (0.02 | ) |
| Net income | $ | 1.42 |
| $ | 1.24 |
| $ | 4.05 |
| $ | 3.58 |
|
Diluted earnings per share(5) | | | | |
| Income from continuing operations | $ | 1.42 |
| $ | 1.25 |
| $ | 4.05 |
| $ | 3.60 |
|
| Discontinued operations | — |
| (0.01 | ) | — |
| (0.02 | ) |
| Net income | $ | 1.42 |
| $ | 1.24 |
| $ | 4.05 |
| $ | 3.58 |
|
| |
(1) | As of September 30, 2017, Citi estimates it will distribute preferred dividends of approximately $320 million during the remainder of 2017, assuming such dividends are declared by the Citi Board of Directors. |
| |
(2) | Warrants issued to the U.S. Treasury as part of the Troubled Asset Relief Program (TARP) and the loss-sharing agreement (all of which were subsequently sold to the public in January 2011), with exercise prices of $178.50 and $105.27 per share for approximately 21.0 million and 25.5 million shares of Citigroup common stock, respectively. Both warrants were not included in the computation of earnings per share in the three and nine months ended September 30, 2017 and 2016 because they were anti-dilutive. |
| |
(3) | During the third quarters of 2017 and 2016, weighted-average options to purchase 0.8 million and 3.6 million shares of common stock, respectively, were outstanding, but not included in the computation of earnings per share because the weighted-average exercise prices of $206.70 and $85.92 per share, respectively, were anti-dilutive. |
| |
(4) | Due to rounding, common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to common shares outstanding applicable to diluted EPS. |
| |
(5) | Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income. |
10. FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS
For additional information on the Company’s resale and repurchase agreements and securities borrowing and lending agreements, see Note 11 to the Consolidated Financial Statements in Citi’s 20162019 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 dollars | June 30,
2020 | December 31, 2019 |
| Securities purchased under agreements to resell | $ | 181,887 | | $ | 169,874 | |
| Deposits paid for securities borrowed | 101,037 | | 81,448 | |
Total, net(1) | $ | 282,924 | | $ | 251,322 | |
Allowance for credit losses on securities purchased and borrowed(2) | (7) | | — | |
| Total, net of allowance | $ | 282,917 | | $ | 251,322 | |
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Federal funds sold | $ | 20 |
| $ | — |
|
| Securities purchased under agreements to resell | 139,203 |
| 131,473 |
|
| Deposits paid for securities borrowed | 113,385 |
| 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 dollars | June 30,
2020 | December 31, 2019 |
| Securities sold under agreements to repurchase | $ | 203,819 | | $ | 155,164 | |
| Deposits received for securities loaned | 11,903 | | 11,175 | |
Total, net(1) | $ | 215,722 | | $ | 166,339 | |
(1) The above tables do not include securities-for-securities lending transactions of $5.8 billion and $6.3 billion at June 30, 2020 and December 31, 2019, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
(2) See Note 14 to the Consolidated Financial Statements for further information.
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Federal funds purchased | $ | 388 |
| $ | 178 |
|
| Securities sold under agreements to repurchase | 145,280 |
| 125,685 |
|
| Deposits received for securities loaned | 15,614 |
| 15,958 |
|
Total(1) | $ | 161,282 |
| $ | 141,821 |
|
| |
(1) | The above tables do not include securities-for-securities lending transactions of $14.4 billion and $9.3 billion at September 30, 2017 and December 31, 2016, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
|
It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.
A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 20 and 21 to the Consolidated Financial Statements. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.
A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 21 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending
agreements and the related offsetting amountamounts 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 has occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.
|
| | | | | | | | | | | | | | | |
| | As of September 30, 2017 |
| In millions of dollars | Gross amounts
of recognized
assets | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
assets included on
the Consolidated
Balance Sheet(2) | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3) | Net
amounts(4) |
| Securities purchased under agreements to resell | $ | 207,485 |
| $ | 68,282 |
| $ | 139,203 |
| $ | 105,439 |
| $ | 33,764 |
|
| Deposits paid for securities borrowed | 113,385 |
| — |
| 113,385 |
| 23,136 |
| 90,249 |
|
| Total | $ | 320,870 |
| $ | 68,282 |
| $ | 252,588 |
| $ | 128,575 |
| $ | 124,013 |
|
|
| | | | | | | | | | | | | | | |
| In millions of dollars | Gross amounts
of recognized
liabilities | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2) | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3) | Net
amounts(4) |
| Securities sold under agreements to repurchase | $ | 213,562 |
| $ | 68,282 |
| $ | 145,280 |
| $ | 67,974 |
| $ | 77,306 |
|
| Deposits received for securities loaned | 15,614 |
| — |
| 15,614 |
| 4,359 |
| 11,255 |
|
| Total | $ | 229,176 |
| $ | 68,282 |
| $ | 160,894 |
| $ | 72,333 |
| $ | 88,561 |
|
|
| | | | | | | | | | | | | | | |
| | As of December 31, 2016 |
| In millions of dollars | Gross amounts
of recognized
assets | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
assets included on
the Consolidated
Balance Sheet(2) | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3) | Net
amounts(4) |
| Securities purchased under agreements to resell | $ | 176,284 |
| $ | 44,811 |
| $ | 131,473 |
| $ | 102,874 |
| $ | 28,599 |
|
| Deposits paid for securities borrowed | 105,340 |
| — |
| 105,340 |
| 16,200 |
| 89,140 |
|
| Total | $ | 281,624 |
| $ | 44,811 |
| $ | 236,813 |
| $ | 119,074 |
| $ | 117,739 |
|
|
| | | | | | | | | | | | | | | |
| In millions of dollars | Gross amounts
of recognized
liabilities | Gross amounts
offset on the
Consolidated
Balance Sheet(1) | Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2) | Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3) | Net
amounts(4) |
| Securities sold under agreements to repurchase | $ | 170,496 |
| $ | 44,811 |
| $ | 125,685 |
| $ | 63,517 |
| $ | 62,168 |
|
| Deposits received for securities loaned | 15,958 |
| — |
| 15,958 |
| 3,529 |
| 12,429 |
|
| Total | $ | 186,454 |
| $ | 44,811 |
| $ | 141,643 |
| $ | 67,046 |
| $ | 74,597 |
|
| | | | | | | | | | | | | | | | | |
(1) | Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.As of June 30, 2020 |
| | | |
(2)In millions of dollars | The total Gross amounts
of this columnrecognized
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
each period excludes Federal funds sold/purchased. See tables above.offsetting upon
counterparty default(2) | Net
amounts(3) |
| Securities purchased under agreements to resell | $ | 315,360 | | $ | 133,473 | | $ | 181,887 | | $ | 145,631 | | $ | 36,256 | |
| Deposits paid for securities borrowed | 105,098 | | 4,061 | | 101,037 | | 28,174 | | 72,863 | |
| Total | $ | 420,458 | | $ | 137,534 | | $ | 282,924 | | $ | 173,805 | | $ | 109,119 | |
| | | | | | | | | | | | | | | | | |
(3)In millions of dollars | Includes financial instruments subject to enforceable master netting agreements that areGross 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 permitted to be offset under ASC 210-20-45,on the
Consolidated Balance
Sheet but would be eligible for
offsetting upon
counterparty default(2) | Net
amounts(3) |
Securities sold under agreements to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.repurchase | $ | 337,292 | | $ | 133,473 | | $ | 203,819 | | $ | 116,042 | | $ | 87,777 | |
| Deposits received for securities loaned | 15,964 | | 4,061 | | 11,903 | | 3,475 | | 8,428 | |
| Total | $ | 353,256 | | $ | 137,534 | | $ | 215,722 | | $ | 119,517 | | $ | 96,205 | |
| | | | | | | | | | | | | | | | | |
(4) | Remaining exposures continueAs of December 31, 2019 | | | | |
| In millions of dollars | 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 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.resell | $ | 281,274 | | $ | 111,400 | | $ | 169,874 | | $ | 134,150 | | $ | 35,724 | |
| Deposits paid for securities borrowed | 90,047 | | 8,599 | | 81,448 | | 27,067 | | 54,381 | |
| Total | $ | 371,321 | | $ | 119,999 | | $ | 251,322 | | $ | 161,217 | | $ | 90,105 | |
| | | | | | | | | | | | | | | | | |
| In millions of dollars | 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 | $ | 266,564 | | $ | 111,400 | | $ | 155,164 | | $ | 91,034 | | $ | 64,130 | |
| Deposits received for securities loaned | 19,774 | | 8,599 | | 11,175 | | 3,138 | | 8,037 | |
| Total | $ | 286,338 | | $ | 119,999 | | $ | 166,339 | | $ | 94,172 | | $ | 72,167 | |
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.
The following tables present the gross amountamounts of liabilities associated with repurchase agreements and securities lending agreements by remaining contractual maturity:
| | | | | | | | | | | | | | | | | |
| As of June 30, 2020 | | | | |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 175,461 | | $ | 87,421 | | $ | 39,723 | | $ | 34,687 | | $ | 337,292 | |
| Deposits received for securities loaned | 12,412 | | 190 | | 1,299 | | 2,063 | | 15,964 | |
| Total | $ | 187,873 | | $ | 87,611 | | $ | 41,022 | | $ | 36,750 | | $ | 353,256 | |
| | | | | | | | | | | | | | | | | |
| As of December 31, 2019 | | | | |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 108,534 | | $ | 82,749 | | $ | 35,108 | | $ | 40,173 | | $ | 266,564 | |
| Deposits received for securities loaned | 15,758 | | 208 | | 1,789 | | 2,019 | | 19,774 | |
| Total | $ | 124,292 | | $ | 82,957 | | $ | 36,897 | | $ | 42,192 | | $ | 286,338 | |
|
| | | | | | | | | | | | | | | |
| | As of September 30, 2017 |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 97,624 |
| $ | 54,810 |
| $ | 23,997 |
| $ | 37,131 |
| $ | 213,562 |
|
| Deposits received for securities loaned | 11,980 |
| 342 |
| 2,070 |
| 1,222 |
| 15,614 |
|
| Total | $ | 109,604 |
| $ | 55,152 |
| $ | 26,067 |
| $ | 38,353 |
| $ | 229,176 |
|
|
| | | | | | | | | | | | | | | |
| | As of December 31, 2016 |
| In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total |
| Securities sold under agreements to repurchase | $ | 79,740 |
| $ | 50,399 |
| $ | 19,396 |
| $ | 20,961 |
| $ | 170,496 |
|
| Deposits received for securities loaned | 10,813 |
| 2,169 |
| 2,044 |
| 932 |
| 15,958 |
|
| Total | $ | 90,553 |
| $ | 52,568 |
| $ | 21,440 |
| $ | 21,893 |
| $ | 186,454 |
|
The following tables present the gross amountamounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:
| | | | | | | | | | | |
| As of June 30, 2020 | | |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 127,237 | | $ | — | | $ | 127,237 | |
| State and municipal securities | 1,117 | | 1 | | 1,118 | |
| Foreign government securities | 123,451 | | 192 | | 123,643 | |
| Corporate bonds | 20,922 | | 349 | | 21,271 | |
| Equity securities | 11,617 | | 14,652 | | 26,269 | |
| Mortgage-backed securities | 42,762 | | — | | 42,762 | |
| Asset-backed securities | 3,925 | | — | | 3,925 | |
| Other | 6,261 | | 770 | | 7,031 | |
| Total | $ | 337,292 | | $ | 15,964 | | $ | 353,256 | |
| | | | | | | | | | | |
| As of December 31, 2019 | | |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 100,781 | | $ | 27 | | $ | 100,808 | |
| State and municipal securities | 1,938 | | 5 | | 1,943 | |
| Foreign government securities | 95,880 | | 272 | | 96,152 | |
| Corporate bonds | 18,761 | | 249 | | 19,010 | |
| Equity securities | 12,010 | | 19,069 | | 31,079 | |
| Mortgage-backed securities | 28,458 | | — | | 28,458 | |
| Asset-backed securities | 4,873 | | — | | 4,873 | |
| Other | 3,863 | | 152 | | 4,015 | |
| Total | $ | 266,564 | | $ | 19,774 | | $ | 286,338 | |
|
| | | | | | | | | |
| | As of September 30, 2017 |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 67,622 |
| $ | — |
| $ | 67,622 |
|
| State and municipal securities | 1,031 |
| 5 |
| 1,036 |
|
| Foreign government securities | 92,113 |
| 221 |
| 92,334 |
|
| Corporate bonds | 19,731 |
| 472 |
| 20,203 |
|
| Equity securities | 11,910 |
| 14,301 |
| 26,211 |
|
| Mortgage-backed securities | 12,590 |
| — |
| 12,590 |
|
| Asset-backed securities | 5,373 |
| — |
| 5,373 |
|
| Other | 3,192 |
| 615 |
| 3,807 |
|
| Total | $ | 213,562 |
| $ | 15,614 |
| $ | 229,176 |
|
|
| | | | | | | | | |
| | As of December 31, 2016 |
| In millions of dollars | Repurchase agreements | Securities lending agreements | Total |
| U.S. Treasury and federal agency securities | $ | 66,263 |
| $ | — |
| $ | 66,263 |
|
| State and municipal securities | 334 |
| — |
| 334 |
|
| Foreign government securities | 52,988 |
| 1,390 |
| 54,378 |
|
| Corporate bonds | 17,164 |
| 630 |
| 17,794 |
|
| Equity securities | 12,206 |
| 13,913 |
| 26,119 |
|
| Mortgage-backed securities | 11,421 |
| — |
| 11,421 |
|
| Asset-backed securities | 5,428 |
| — |
| 5,428 |
|
| Other | 4,692 |
| 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 20162019 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
| | | | | | | | |
| In millions of dollars | June 30,
2020 | December 31, 2019 |
| Receivables from customers | $ | 17,145 | | $ | 15,912 | |
| Receivables from brokers, dealers and clearing organizations | 34,488 | | 23,945 | |
Total brokerage receivables(1) | $ | 51,633 | | $ | 39,857 | |
| Payables to customers | $ | 41,843 | | $ | 37,613 | |
| Payables to brokers, dealers and clearing organizations | 18,724 | | 10,988 | |
Total brokerage payables(1) | $ | 60,567 | | $ | 48,601 | |
(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.
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Receivables from customers | $ | 14,717 |
| $ | 10,374 |
|
| Receivables from brokers, dealers, and clearing organizations | 23,359 |
| 18,513 |
|
Total brokerage receivables(1) | $ | 38,076 |
| $ | 28,887 |
|
| Payables to customers | $ | 37,935 |
| $ | 37,237 |
|
| Payables to brokers, dealers, and clearing organizations | 25,270 |
| 19,915 |
|
Total brokerage payables(1) | $ | 63,205 |
| $ | 57,152 |
|
| |
(1) | Includes brokerage receivables and payables recorded by Citi broker-dealer entities that are accounted for in accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320. |
12. INVESTMENTS
For additional information regarding Citi’s investment portfolios, including evaluating investments for other-than-temporary impairment, (OTTI), see Note 13 to the Consolidated Financial Statements
in Citi’s 20162019 Annual Report on Form 10-K.
Overview
The following table presents Citi’s investments by category:
| | | | | | | | | |
| In millions of dollars | June 30,
2020 | December 31,
2019 | |
| | | |
| Debt securities available-for-sale (AFS) | $ | 342,256 | | $ | 280,265 | | |
Debt securities held-to-maturity (HTM)(1) | 83,332 | | 80,775 | | |
Marketable equity securities carried at fair value(2) | 593 | | 458 | | |
Non-marketable equity securities carried at fair value(2) | 486 | | 704 | | |
Non-marketable equity securities measured using the measurement alternative(3) | 771 | | 700 | | |
Non-marketable equity securities carried at cost(4) | 5,815 | | 5,661 | | |
| Total investments | $ | 433,253 | | $ | 368,563 | | |
|
| | | | | | | |
| | In millions of dollars | September 30,
2017 | December 31,
2016 |
| |
| | Securities available-for-sale (AFS) | $ | 295,315 |
| $ | 299,424 |
|
| | Debt securities held-to-maturity (HTM)(1) | 51,527 |
| 45,667 |
|
| | Non-marketable equity securities carried at fair value(2) | 1,300 |
| 1,774 |
|
| | Non-marketable equity securities carried at cost(3) | 6,532 |
| 6,439 |
|
| | Total investments | $ | 354,674 |
| $ | 353,304 |
|
| |
(1) | Carried at adjusted amortized cost basis, net of any credit-related impairment. |
| |
(2) | Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings. |
| |
(3) | Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks and various clearing houses of which Citigroup is a member. |
(1)Carried at adjusted amortized cost basis, net of any allowance for credit losses.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See ”Recognition and Measurement of Impairment” below.
(4) Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.
The following table presents interest and dividend income on investments:
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | | Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 |
| Taxable interest | $ | 1,984 | | $ | 2,324 | | $ | 4,163 | | $ | 4,696 | |
| Interest exempt from U.S. federal income tax | 70 | | 126 | | 146 | | 253 | |
| Dividend income | 43 | | 55 | | 69 | | 104 | |
| Total interest and dividend income | $ | 2,097 | | $ | 2,505 | | $ | 4,378 | | $ | 5,053 | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Taxable interest | $ | 1,922 |
| $ | 1,717 |
| $ | 5,545 |
| $ | 5,153 |
|
| Interest exempt from U.S. federal income tax | 129 |
| 135 |
| 412 |
| 411 |
|
| Dividend income | 53 |
| 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 excludes OTTIexclude impairment losses:
| | | | Three Months Ended September 30, | Nine Months Ended September 30, | | Three Months Ended June 30, | | Six Months Ended June 30, | |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 | In millions of dollars | 2020 | 2019 | 2020 | 2019 |
| Gross realized investment gains | $ | 293 |
| $ | 483 |
| $ | 840 |
| $ | 1,105 |
| Gross realized investment gains | $ | 785 | | $ | 474 | | $ | 1,250 | | $ | 642 | |
| Gross realized investment losses | (80 | ) | (196 | ) | (214 | ) | (432 | ) | Gross realized investment losses | (37) | | (6) | | (70) | | (44) | |
| Net realized gains on sale of investments | $ | 213 |
| $ | 287 |
| $ | 626 |
| $ | 673 |
| Net realized gains on sale of investments | $ | 748 | | $ | 468 | | $ | 1,180 | | $ | 598 | |
Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | June 30, 2020 | | | | | December 31, 2019 | | | |
| In millions of dollars | Amortized
cost | Gross
unrealized
gains | Gross
unrealized
losses | Allowance for credit losses | Fair
value | Amortized
cost | Gross
unrealized
gains | Gross
unrealized
losses | Fair
value |
| Debt securities AFS | | | | | | | | | |
Mortgage-backed securities(1) | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 44,198 | | $ | 1,359 | | $ | 205 | | $ | — | | $ | 45,352 | | $ | 34,963 | | $ | 547 | | $ | 280 | | $ | 35,230 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| Non-U.S. residential | 691 | | 4 | | — | | — | | 695 | | 789 | | 3 | | — | | 792 | |
| Commercial | 65 | | — | | — | | — | | 65 | | 75 | | — | | — | | 75 | |
| Total mortgage-backed securities | $ | 44,954 | | $ | 1,363 | | $ | 205 | | $ | — | | $ | 46,112 | | $ | 35,827 | | $ | 550 | | $ | 280 | | $ | 36,097 | |
| U.S. Treasury and federal agency securities | | | | | | | | | |
| U.S. Treasury | $ | 148,181 | | $ | 2,779 | | $ | 2 | | $ | — | | $ | 150,958 | | $ | 106,429 | | $ | 50 | | $ | 380 | | $ | 106,099 | |
| Agency obligations | 3,072 | | 27 | | — | | — | | 3,099 | | 5,336 | | 3 | | 20 | | 5,319 | |
| Total U.S. Treasury and federal agency securities | $ | 151,253 | | $ | 2,806 | | $ | 2 | | $ | — | | $ | 154,057 | | $ | 111,765 | | $ | 53 | | $ | 400 | | $ | 111,418 | |
| State and municipal | $ | 5,139 | | $ | 13 | | $ | 131 | | $ | — | | $ | 5,021 | | $ | 5,024 | | $ | 43 | | $ | 89 | | $ | 4,978 | |
| Foreign government | 119,405 | | 1,720 | | 182 | | 3 | | 120,940 | | 110,958 | | 586 | | 241 | | 111,303 | |
| Corporate | 11,178 | | 178 | | 132 | | 5 | | 11,219 | | 11,266 | | 52 | | 101 | | 11,217 | |
Asset-backed securities(1) | 287 | | 7 | | 7 | | — | | 287 | | 524 | | — | | 2 | | 522 | |
| Other debt securities | 4,614 | | 6 | | — | | — | | 4,620 | | 4,729 | | 1 | | — | | 4,730 | |
| | | | | | | | | |
| Total debt securities AFS | $ | 336,830 | | $ | 6,093 | | $ | 659 | | $ | 8 | | $ | 342,256 | | $ | 280,093 | | $ | 1,285 | | $ | 1,113 | | $ | 280,265 | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value | Amortized cost | Gross unrealized gains | Gross unrealized losses | Fair value |
| Securities AFS | | | | | | | | |
Mortgage-backed securities(1) | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 42,422 |
| $ | 223 |
| $ | 331 |
| $ | 42,314 |
| $ | 38,663 |
| $ | 248 |
| $ | 506 |
| $ | 38,405 |
|
| Prime | 1 |
| — |
| — |
| 1 |
| 2 |
| — |
| — |
| 2 |
|
| Alt-A | — |
| — |
| — |
| — |
| 43 |
| 7 |
| — |
| 50 |
|
| Non-U.S. residential | 2,984 |
| 16 |
| 9 |
| 2,991 |
| 3,852 |
| 13 |
| 7 |
| 3,858 |
|
| Commercial | 345 |
| 1 |
| 2 |
| 344 |
| 357 |
| 2 |
| 1 |
| 358 |
|
| Total mortgage-backed securities | $ | 45,752 |
| $ | 240 |
| $ | 342 |
| $ | 45,650 |
| $ | 42,917 |
| $ | 270 |
| $ | 514 |
| $ | 42,673 |
|
| U.S. Treasury and federal agency securities | | | | | | | | |
| U.S. Treasury | $ | 107,696 |
| $ | 283 |
| $ | 408 |
| $ | 107,571 |
| $ | 113,606 |
| $ | 629 |
| $ | 452 |
| $ | 113,783 |
|
| Agency obligations | 10,803 |
| 17 |
| 65 |
| 10,755 |
| 9,952 |
| 21 |
| 85 |
| 9,888 |
|
| Total U.S. Treasury and federal agency securities | $ | 118,499 |
| $ | 300 |
| $ | 473 |
| $ | 118,326 |
| $ | 123,558 |
| $ | 650 |
| $ | 537 |
| $ | 123,671 |
|
State and municipal(2) | $ | 9,335 |
| $ | 146 |
| $ | 291 |
| $ | 9,190 |
| $ | 10,797 |
| $ | 80 |
| $ | 757 |
| $ | 10,120 |
|
| Foreign government | 100,625 |
| 526 |
| 404 |
| 100,747 |
| 98,112 |
| 590 |
| 554 |
| 98,148 |
|
| Corporate | 15,459 |
| 82 |
| 82 |
| 15,459 |
| 17,195 |
| 105 |
| 176 |
| 17,124 |
|
Asset-backed securities(1) | 5,279 |
| 15 |
| 3 |
| 5,291 |
| 6,810 |
| 6 |
| 22 |
| 6,794 |
|
| Other debt securities | 348 |
| — |
| — |
| 348 |
| 503 |
| — |
| — |
| 503 |
|
| Total debt securities AFS | $ | 295,297 |
| $ | 1,309 |
| $ | 1,595 |
| $ | 295,011 |
| $ | 299,892 |
| $ | 1,701 |
| $ | 2,560 |
| $ | 299,033 |
|
| 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-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements. |
| |
(2) | In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of purchase premiums and cumulative fair value hedge adjustments on callable state and municipal debt securities. For additional information, see Note 1 to the Consolidated Financial Statements.
|
(1)The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 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 months | | 12 months or longer | | Total | |
| In millions of dollars | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses | Fair
value | Gross
unrealized
losses |
| June 30, 2020 | | | | | | |
| Debt securities AFS | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 8,915 | | $ | 183 | | $ | 551 | | $ | 22 | | $ | 9,466 | | $ | 205 | |
| | | | | | |
| Non-U.S. residential | 129 | | — | | — | | — | | 129 | | — | |
| Commercial | 12 | | — | | 5 | | — | | 17 | | — | |
| Total mortgage-backed securities | $ | 9,056 | | $ | 183 | | $ | 556 | | $ | 22 | | $ | 9,612 | | $ | 205 | |
| U.S. Treasury and federal agency securities | | | | | | |
| U.S. Treasury | $ | 27,202 | | $ | 2 | | $ | — | | $ | — | | $ | 27,202 | | $ | 2 | |
| Agency obligations | — | | — | | 250 | | — | | 250 | | — | |
| Total U.S. Treasury and federal agency securities | $ | 27,202 | | $ | 2 | | $ | 250 | | $ | — | | $ | 27,452 | | $ | 2 | |
| State and municipal | $ | 4,607 | | $ | 109 | | $ | 234 | | $ | 22 | | $ | 4,841 | | $ | 131 | |
| Foreign government | 22,236 | | 121 | | 2,519 | | 61 | | 24,755 | | 182 | |
| Corporate | 1,599 | | 129 | | 27 | | 3 | | 1,626 | | 132 | |
| Asset-backed securities | 239 | | 7 | | 1 | | — | | 240 | | 7 | |
| Other debt securities | 341 | | — | | — | | — | | 341 | | — | |
| Total debt securities AFS | $ | 65,280 | | $ | 551 | | $ | 3,587 | | $ | 108 | | $ | 68,867 | | $ | 659 | |
| December 31, 2019 | | | | | | |
| Debt securities AFS | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 9,780 | | $ | 242 | | $ | 1,877 | | $ | 38 | | $ | 11,657 | | $ | 280 | |
| | | | | | |
| Non-U.S. residential | 208 | | — | | 1 | | — | | 209 | | — | |
| Commercial | 16 | | — | | 27 | | — | | 43 | | — | |
| Total mortgage-backed securities | $ | 10,004 | | $ | 242 | | $ | 1,905 | | $ | 38 | | $ | 11,909 | | $ | 280 | |
| U.S. Treasury and federal agency securities | | | | | | |
| U.S. Treasury | $ | 45,484 | | $ | 248 | | $ | 26,907 | | $ | 132 | | $ | 72,391 | | $ | 380 | |
| Agency obligations | 781 | | 2 | | 3,897 | | 18 | | 4,678 | | 20 | |
| Total U.S. Treasury and federal agency securities | $ | 46,265 | | $ | 250 | | $ | 30,804 | | $ | 150 | | $ | 77,069 | | $ | 400 | |
| State and municipal | $ | 362 | | $ | 62 | | $ | 266 | | $ | 27 | | $ | 628 | | $ | 89 | |
| Foreign government | 35,485 | | 149 | | 8,170 | | 92 | | 43,655 | | 241 | |
| Corporate | 2,916 | | 98 | | 123 | | 3 | | 3,039 | | 101 | |
| Asset-backed securities | 112 | | 1 | | 166 | | 1 | | 278 | | 2 | |
| Other debt securities | 1,307 | | — | | — | | — | | 1,307 | | — | |
| Total debt securities AFS | $ | 96,451 | | $ | 802 | | $ | 41,434 | | $ | 311 | | $ | 137,885 | | $ | 1,113 | |
|
| | | | | | | | | | | | | | | | | | |
| | Less than 12 months | 12 months or longer | Total |
| In millions of dollars | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses |
| September 30, 2017 | | | | | | |
| Securities AFS | | | | | | |
| Mortgage-backed securities | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 24,545 |
| $ | 275 |
| $ | 2,631 |
| $ | 56 |
| $ | 27,176 |
| $ | 331 |
|
| Non-U.S. residential | 1,267 |
| 8 |
| 28 |
| 1 |
| 1,295 |
| 9 |
|
| Commercial | 111 |
| 1 |
| 42 |
| 1 |
| 153 |
| 2 |
|
| Total mortgage-backed securities | $ | 25,923 |
| $ | 284 |
| $ | 2,701 |
| $ | 58 |
| $ | 28,624 |
| $ | 342 |
|
| U.S. Treasury and federal agency securities | | | | | | |
| U.S. Treasury | $ | 50,362 |
| $ | 367 |
| $ | 4,392 |
| $ | 41 |
| $ | 54,754 |
| $ | 408 |
|
| Agency obligations | 6,884 |
| 46 |
| 1,231 |
| 19 |
| 8,115 |
| 65 |
|
| Total U.S. Treasury and federal agency securities | $ | 57,246 |
| $ | 413 |
| $ | 5,623 |
| $ | 60 |
| $ | 62,869 |
| $ | 473 |
|
| State and municipal | $ | 430 |
| $ | 13 |
| $ | 1,669 |
| $ | 278 |
| $ | 2,099 |
| $ | 291 |
|
| Foreign government | 40,112 |
| 202 |
| 9,462 |
| 202 |
| 49,574 |
| 404 |
|
| Corporate | 6,330 |
| 65 |
| 696 |
| 17 |
| 7,026 |
| 82 |
|
| Asset-backed securities | 1,148 |
| 3 |
| 207 |
| — |
| 1,355 |
| 3 |
|
| Other debt securities | — |
| — |
| — |
| — |
| — |
| — |
|
| Marketable equity securities AFS | 13 |
| 2 |
| 11 |
| 1 |
| 24 |
| 3 |
|
| Total securities AFS | $ | 131,202 |
| $ | 982 |
| $ | 20,369 |
| $ | 616 |
| $ | 151,571 |
| $ | 1,598 |
|
| December 31, 2016 | |
| |
| |
| |
| |
| |
|
| Securities AFS | |
| |
| |
| |
| |
| |
|
| Mortgage-backed securities | |
| |
| |
| |
| |
| |
|
| U.S. government-sponsored agency guaranteed | $ | 23,534 |
| $ | 436 |
| $ | 2,236 |
| $ | 70 |
| $ | 25,770 |
| $ | 506 |
|
| Prime | 1 |
| — |
| — |
| — |
| 1 |
| — |
|
| Non-U.S. residential | 486 |
| — |
| 1,276 |
| 7 |
| 1,762 |
| 7 |
|
| Commercial | 75 |
| 1 |
| 58 |
| — |
| 133 |
| 1 |
|
| Total mortgage-backed securities | $ | 24,096 |
| $ | 437 |
| $ | 3,570 |
| $ | 77 |
| $ | 27,666 |
| $ | 514 |
|
| U.S. Treasury and federal agency securities | |
| |
| |
| |
| |
| |
|
| U.S. Treasury | $ | 44,342 |
| $ | 445 |
| $ | 1,335 |
| $ | 7 |
| $ | 45,677 |
| $ | 452 |
|
| Agency obligations | 6,552 |
| 83 |
| 250 |
| 2 |
| 6,802 |
| 85 |
|
| Total U.S. Treasury and federal agency securities | $ | 50,894 |
| $ | 528 |
| $ | 1,585 |
| $ | 9 |
| $ | 52,479 |
| $ | 537 |
|
| State and municipal | $ | 1,616 |
| $ | 55 |
| $ | 3,116 |
| $ | 702 |
| $ | 4,732 |
| $ | 757 |
|
| Foreign government | 38,226 |
| 243 |
| 8,973 |
| 311 |
| 47,199 |
| 554 |
|
| Corporate | 7,011 |
| 129 |
| 1,877 |
| 47 |
| 8,888 |
| 176 |
|
| Asset-backed securities | 411 |
| — |
| 3,213 |
| 22 |
| 3,624 |
| 22 |
|
| Other debt securities | 5 |
| — |
| — |
| — |
| 5 |
| — |
|
| Marketable equity securities AFS | 19 |
| 2 |
| 24 |
| 4 |
| 43 |
| 6 |
|
| Total securities AFS | $ | 122,278 |
| $ | 1,394 |
| $ | 22,358 |
| $ | 1,172 |
| $ | 144,636 |
| $ | 2,566 |
|
The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
| | | | | | | | | | | | | | |
| | | | |
| | June 30, 2020 | | December 31, 2019 | |
| In millions of dollars | Amortized
cost | Fair
value | Amortized
cost | Fair
value |
Mortgage-backed securities(1) | | | | |
| Due within 1 year | $ | 290 | | $ | 290 | | $ | 20 | | $ | 20 | |
| After 1 but within 5 years | 609 | | 613 | | 573 | | 574 | |
| After 5 but within 10 years | 1,010 | | 1,086 | | 594 | | 626 | |
After 10 years(2) | 43,045 | | 44,123 | | 34,640 | | 34,877 | |
| Total | $ | 44,954 | | $ | 46,112 | | $ | 35,827 | | $ | 36,097 | |
| U.S. Treasury and federal agency securities | | | | |
| Due within 1 year | $ | 45,246 | | $ | 45,397 | | $ | 40,757 | | $ | 40,688 | |
| After 1 but within 5 years | 103,836 | | 106,417 | | 70,128 | | 69,850 | |
| After 5 but within 10 years | 1,899 | | 1,964 | | 854 | | 851 | |
After 10 years(2) | 272 | | 279 | | 26 | | 29 | |
| Total | $ | 151,253 | | $ | 154,057 | | $ | 111,765 | | $ | 111,418 | |
| State and municipal | | | | |
| Due within 1 year | $ | 391 | | $ | 392 | | $ | 932 | | $ | 932 | |
| After 1 but within 5 years | 559 | | 570 | | 714 | | 723 | |
| After 5 but within 10 years | 303 | | 329 | | 195 | | 215 | |
After 10 years(2) | 3,886 | | 3,730 | | 3,183 | | 3,108 | |
| Total | $ | 5,139 | | $ | 5,021 | | $ | 5,024 | | $ | 4,978 | |
| Foreign government | | | | |
| Due within 1 year | $ | 46,614 | | $ | 46,815 | | $ | 42,611 | | $ | 42,666 | |
| After 1 but within 5 years | 65,217 | | 66,383 | | 58,820 | | 59,071 | |
| After 5 but within 10 years | 5,567 | | 5,702 | | 8,192 | | 8,198 | |
After 10 years(2) | 2,007 | | 2,040 | | 1,335 | | 1,368 | |
| Total | $ | 119,405 | | $ | 120,940 | | $ | 110,958 | | $ | 111,303 | |
All other(3) | | | | |
| Due within 1 year | $ | 6,161 | | $ | 6,187 | | $ | 7,306 | | $ | 7,311 | |
| After 1 but within 5 years | 8,769 | | 8,841 | | 8,279 | | 8,275 | |
| After 5 but within 10 years | 1,005 | | 995 | | 818 | | 797 | |
After 10 years(2) | 144 | | 103 | | 116 | | 86 | |
| Total | $ | 16,079 | | $ | 16,126 | | $ | 16,519 | | $ | 16,469 | |
| Total debt securities AFS | $ | 336,830 | | $ | 342,256 | | $ | 280,093 | | $ | 280,265 | |
(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.
There were no purchased credit-deteriorated AFS debt securities held by the Company as of June 30, 2020.
|
| | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars | Amortized cost | Fair value | Amortized cost | Fair value |
Mortgage-backed securities(1) | | | | |
| Due within 1 year | $ | 61 |
| $ | 61 |
| $ | 132 |
| $ | 132 |
|
| After 1 but within 5 years | 1,340 |
| 1,340 |
| 736 |
| 738 |
|
| After 5 but within 10 years | 1,469 |
| 1,466 |
| 2,279 |
| 2,265 |
|
After 10 years(2) | 42,882 |
| 42,783 |
| 39,770 |
| 39,538 |
|
| Total | $ | 45,752 |
| $ | 45,650 |
| $ | 42,917 |
| $ | 42,673 |
|
| U.S. Treasury and federal agency securities | | | | |
| Due within 1 year | $ | 3,549 |
| $ | 3,539 |
| $ | 4,945 |
| $ | 4,945 |
|
| After 1 but within 5 years | 109,477 |
| 109,286 |
| 101,369 |
| 101,323 |
|
| After 5 but within 10 years | 5,473 |
| 5,501 |
| 17,153 |
| 17,314 |
|
After 10 years(2) | — |
| — |
| 91 |
| 89 |
|
| Total | $ | 118,499 |
| $ | 118,326 |
| $ | 123,558 |
| $ | 123,671 |
|
| State and municipal | | | | |
| Due within 1 year | $ | 2,036 |
| $ | 2,036 |
| $ | 2,093 |
| $ | 2,092 |
|
| After 1 but within 5 years | 2,412 |
| 2,416 |
| 2,668 |
| 2,662 |
|
| After 5 but within 10 years | 493 |
| 508 |
| 335 |
| 334 |
|
After 10 years(2) | 4,394 |
| 4,230 |
| 5,701 |
| 5,032 |
|
| Total | $ | 9,335 |
| $ | 9,190 |
| $ | 10,797 |
| $ | 10,120 |
|
| Foreign government | | | | |
| Due within 1 year | $ | 32,095 |
| $ | 32,097 |
| $ | 32,540 |
| $ | 32,547 |
|
| After 1 but within 5 years | 52,519 |
| 52,362 |
| 51,008 |
| 50,881 |
|
| After 5 but within 10 years | 13,531 |
| 13,690 |
| 12,388 |
| 12,440 |
|
After 10 years(2) | 2,480 |
| 2,598 |
| 2,176 |
| 2,280 |
|
| Total | $ | 100,625 |
| $ | 100,747 |
| $ | 98,112 |
| $ | 98,148 |
|
All other(3) | | | | |
| Due within 1 year | $ | 3,585 |
| $ | 3,583 |
| $ | 2,629 |
| $ | 2,628 |
|
| After 1 but within 5 years | 9,799 |
| 9,818 |
| 12,339 |
| 12,334 |
|
| After 5 but within 10 years | 5,581 |
| 5,585 |
| 6,566 |
| 6,528 |
|
After 10 years(2) | 2,121 |
| 2,112 |
| 2,974 |
| 2,931 |
|
| Total | $ | 21,086 |
| $ | 21,098 |
| $ | 24,508 |
| $ | 24,421 |
|
| Total debt securities AFS | $ | 295,297 |
| $ | 295,011 |
| $ | 299,892 |
| $ | 299,033 |
|
| |
(1) | Includes mortgage-backed securities of U.S. government-sponsored agencies. |
| |
(2) | Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights. |
| |
(3) | Includes corporate, asset-backed and other debt securities. |
Debt Securities Held-to-Maturity
The carrying value and fair value of debt securities HTM were as follows:
| | | | | | | | | | | | | | | | |
| In millions of dollars | | | Amortized cost, net(1) | Gross
unrealized
gains | Gross
unrealized
losses | Fair
value |
| June 30, 2020 | | | | | | |
| Debt securities HTM | | | | | | |
Mortgage-backed securities(2) | | | | | | |
| U.S. government-sponsored agency guaranteed | | | $ | 49,649 | | $ | 2,442 | | $ | 6 | | $ | 52,085 | |
| | | | | | |
| Non-U.S. residential | | | 1,083 | | — | | 6 | | 1,077 | |
| Commercial | | | 673 | | 1 | | 1 | | 673 | |
| Total mortgage-backed securities | | | $ | 51,405 | | $ | 2,443 | | $ | 13 | | $ | 53,835 | |
| State and municipal | | | $ | 9,152 | | $ | 650 | | $ | 16 | | $ | 9,786 | |
| Foreign government | | | 1,237 | | 78 | | — | | 1,315 | |
Asset-backed securities(2) | | | 21,538 | | 5 | | 471 | | 21,072 | |
| | | | | | |
| Total debt securities HTM, net | | | $ | 83,332 | | $ | 3,176 | | $ | 500 | | $ | 86,008 | |
| December 31, 2019 | | | | | | |
| Debt securities HTM | | | | | | |
Mortgage-backed securities(2) | | | | | | |
| U.S. government-sponsored agency guaranteed | | | $ | 46,637 | | $ | 1,047 | | $ | 21 | | $ | 47,663 | |
| | | | | | |
| | | | | | |
| | | | | | |
| Non-U.S. residential | | | 1,039 | | 5 | | — | | 1,044 | |
| Commercial | | | 582 | | 1 | | — | | 583 | |
| Total mortgage-backed securities | | | $ | 48,258 | | $ | 1,053 | | $ | 21 | | $ | 49,290 | |
| State and municipal | | | $ | 9,104 | | $ | 455 | | $ | 28 | | $ | 9,531 | |
| Foreign government | | | 1,934 | | 37 | | 1 | | 1,970 | |
Asset-backed securities(2) | | | 21,479 | | 12 | | 59 | | 21,432 | |
| Total debt securities HTM | | | $ | 80,775 | | $ | 1,557 | | $ | 109 | | $ | 82,223 | |
|
| | | | | | | | | | | | | | | | | | |
| 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 |
|
| Prime | 13 |
| — |
| 13 |
| 4 |
| — |
| 17 |
|
| Alt-A | 256 |
| (11 | ) | 245 |
| 97 |
| — |
| 342 |
|
| Non-U.S. residential | 1,932 |
| (47 | ) | 1,885 |
| 58 |
| — |
| 1,943 |
|
| Commercial | 217 |
| — |
| 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 government | 584 |
| — |
| 584 |
| — |
| (14 | ) | 570 |
|
Asset-backed securities(3) | 16,286 |
| (5 | ) | 16,281 |
| 94 |
| (10 | ) | 16,365 |
|
| Other debt securities | 35 |
| — |
| 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 |
|
| Prime | 31 |
| (7 | ) | 24 |
| 10 |
| (1 | ) | 33 |
|
| Alt-A | 314 |
| (27 | ) | 287 |
| 69 |
| (1 | ) | 355 |
|
| Non-U.S. residential | 1,871 |
| (47 | ) | 1,824 |
| 49 |
| — |
| 1,873 |
|
| Commercial | 14 |
| — |
| 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 government | 1,339 |
| — |
| 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-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements. |
| |
(4) | In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of purchase premiums and cumulative fair value hedge adjustments on callable state and municipal debt securities. For additional information, see Note 1 to the Consolidated Financial Statements.
|
| |
(5) | During the fourth quarter of 2016, securities with a total fair value of approximately $5.8 billion were transferred from AFS to HTM, composed of $5 billion of U.S. government agency mortgage-backed securities and $830 million of municipal securities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call, in part, in order to reduce the impact of price volatility on AOCI and certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield over the remaining contractual life of each security. Any net unrealized holding losses within AOCI related to the respective securities at the |
(1)Amortized cost is reported net of allowance for credit losses of $107 million at June 30, 2020. There was 0 allowance as of December 31, 2019.
(2)The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
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:position at December 31, 2019:
| | | | | | | | | | | | | | | | | | | | |
| | Less than 12 months | | 12 months or longer | | Total | |
| In millions of dollars | Fair
value | Gross
unrecognized
losses | Fair
value | Gross
unrecognized
losses | Fair
value | Gross
unrecognized
losses |
| December 31, 2019 | | | | | | |
| Debt securities held-to-maturity | | | | | | |
| Mortgage-backed securities | $ | 3,590 | | $ | 10 | | $ | 1,116 | | $ | 11 | | $ | 4,706 | | $ | 21 | |
| State and municipal | 34 | | 1 | | 1,125 | | 27 | | 1,159 | | 28 | |
| Foreign government | 1,970 | | 1 | | — | | — | | 1,970 | | 1 | |
| Asset-backed securities | 7,972 | | 11 | | 765 | | 48 | | 8,737 | | 59 | |
| Total debt securities held-to-maturity | $ | 13,566 | | $ | 23 | | $ | 3,006 | | $ | 86 | | $ | 16,572 | | $ | 109 | |
|
| | | | | | | | | | | | | | | | | | |
| | Less than 12 months | 12 months or longer | Total |
| In millions of dollars | Fair
value | Gross
unrecognized
losses | Fair
value | Gross
unrecognized
losses | Fair
value | Gross
unrecognized
losses |
| September 30, 2017 | | | | | | |
| Debt securities held-to-maturity | | | | | | |
| Mortgage-backed securities | $ | 47 |
| $ | — |
| $ | 10,147 |
| $ | 78 |
| $ | 10,194 |
| $ | 78 |
|
| State and municipal | 242 |
| 6 |
| 832 |
| 84 |
| 1,074 |
| 90 |
|
| Foreign government | 570 |
| 14 |
| — |
| — |
| 570 |
| 14 |
|
| Asset-backed securities | 55 |
| 2 |
| 2,563 |
| 8 |
| 2,618 |
| 10 |
|
| Total debt securities held-to-maturity | $ | 914 |
| $ | 22 |
| $ | 13,542 |
| $ | 170 |
| $ | 14,456 |
| $ | 192 |
|
| December 31, 2016 | | | | | | |
| Debt securities held-to-maturity | | | | | | |
| Mortgage-backed securities | $ | 17 |
| $ | — |
| $ | 17,176 |
| $ | 188 |
| $ | 17,193 |
| $ | 188 |
|
| State and municipal | 2,200 |
| 58 |
| 1,210 |
| 180 |
| 3,410 |
| 238 |
|
| Foreign government | 1,313 |
| 26 |
| — |
| — |
| 1,313 |
| 26 |
|
| Asset-backed securities | 2 |
| — |
| 2,503 |
| 5 |
| 2,505 |
| 5 |
|
| Total debt securities held-to-maturity | $ | 3,532 |
| $ | 84 |
| $ | 20,889 |
| $ | 373 |
| $ | 24,421 |
| $ | 457 |
|
Note: Excluded from the gross unrecognized losses presented in the table above are $(67) million and $(496)is $(582) million of net unrealized losses recorded in AOCI as of September 30, 2017 and December 31, 2016,2019, 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 September 30, 2017 and December 31, 2016.2019.
The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates: | | | | September 30, 2017 | December 31, 2016 | | June 30, 2020 | | December 31, 2019 | |
| In millions of dollars | Carrying value | Fair value | Carrying value | Fair value | In millions of dollars | Amortized cost(1) | Fair value | Amortized cost | Fair value |
| Mortgage-backed securities | | | | Mortgage-backed securities | | | |
| Due within 1 year | $ | — |
| $ | — |
| $ | — |
| $ | — |
| Due within 1 year | $ | 75 | | $ | 76 | | $ | 17 | | $ | 17 | |
| After 1 but within 5 years | 737 |
| 743 |
| 760 |
| 766 |
| After 1 but within 5 years | 432 | | 449 | | 458 | | 463 | |
| After 5 but within 10 years | 123 |
| 124 |
| 54 |
| 55 |
| After 5 but within 10 years | 1,585 | | 1,748 | | 1,662 | | 1,729 | |
After 10 years(1) | 25,209 |
| 25,387 |
| 23,830 |
| 23,810 |
| |
After 10 years(2) | | After 10 years(2) | 49,313 | | 51,562 | | 46,121 | | 47,081 | |
| Total | $ | 26,069 |
| $ | 26,254 |
| $ | 24,644 |
| $ | 24,631 |
| Total | $ | 51,405 | | $ | 53,835 | | $ | 48,258 | | $ | 49,290 | |
| State and municipal | | | | State and municipal | | | |
| Due within 1 year | $ | 227 |
| $ | 228 |
| $ | 406 |
| $ | 406 |
| Due within 1 year | $ | 7 | | $ | 7 | | $ | 2 | | $ | 26 | |
| After 1 but within 5 years | 166 |
| 176 |
| 112 |
| 110 |
| After 1 but within 5 years | 81 | | 84 | | 123 | | 160 | |
| After 5 but within 10 years | 458 |
| 474 |
| 363 |
| 367 |
| After 5 but within 10 years | 632 | | 666 | | 597 | | 590 | |
After 10 years(1) | 7,707 |
| 7,928 |
| 7,702 |
| 7,591 |
| |
After 10 years(2) | | After 10 years(2) | 8,432 | | 9,029 | | 8,382 | | 8,755 | |
| Total | $ | 8,558 |
| $ | 8,806 |
| $ | 8,583 |
| $ | 8,474 |
| Total | $ | 9,152 | | $ | 9,786 | | $ | 9,104 | | $ | 9,531 | |
| Foreign government | | | | Foreign government | | | |
| Due within 1 year | $ | 413 |
| $ | 413 |
| $ | 824 |
| $ | 818 |
| Due within 1 year | $ | 273 | | $ | 272 | | $ | 650 | | $ | 652 | |
| After 1 but within 5 years | 171 |
| 157 |
| 515 |
| 495 |
| After 1 but within 5 years | 964 | | 1,043 | | 1,284 | | 1,318 | |
| After 5 but within 10 years | — |
| — |
| — |
| — |
| After 5 but within 10 years | — | | — | | — | | — | |
After 10 years(1) | — |
| — |
| — |
| — |
| |
After 10 years(2) | | After 10 years(2) | — | | — | | — | | — | |
| Total | $ | 584 |
| $ | 570 |
| $ | 1,339 |
| $ | 1,313 |
| Total | $ | 1,237 | | $ | 1,315 | | $ | 1,934 | | $ | 1,970 | |
All other(2)(3) | | | | | | |
| Due within 1 year | $ | — |
| $ | — |
| $ | — |
| $ | — |
| Due within 1 year | $ | — | | | $ | — | | $ | — | |
| After 1 but within 5 years | 35 |
| 35 |
| — |
| — |
| After 1 but within 5 years | — | | | — | | — | |
| After 5 but within 10 years | 1,146 |
| 1,148 |
| 513 |
| 514 |
| After 5 but within 10 years | 7,262 | | 7,123 | | 8,545 | | 8,543 | |
After 10 years(1) | 15,135 |
| 15,217 |
| 10,588 |
| 10,623 |
| |
After 10 years(2) | | After 10 years(2) | 14,276 | | 13,949 | | 12,934 | | 12,889 | |
| Total | $ | 16,316 |
| $ | 16,400 |
| $ | 11,101 |
| $ | 11,137 |
| Total | $ | 21,538 | | $ | 21,072 | | $ | 21,479 | | $ | 21,432 | |
| Total debt securities held-to-maturity | $ | 51,527 |
| $ | 52,030 |
| $ | 45,667 |
| $ | 45,555 |
| |
| Total debt securities HTM | | Total debt securities HTM | $ | 83,332 | | $ | 86,008 | | $ | 80,775 | | $ | 82,223 | |
| |
(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. |
(1)Amortized cost is reported net of allowance for credit losses of $107 million at June 30, 2020.
(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 and asset-backed securities.
HTM Debt Securities Delinquency and Non-Accrual Details
There were no purchased credit-deteriorated HTM debt securities held by the Company as of June 30, 2020.
Evaluating Investments for Other-Than-Temporary Impairment
OverviewAFS Debt Securities
Overview—AFS Debt Securities
The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.
An AFS debt security is other-than-temporary.
An unrealized loss existsimpaired when the current fair value of an individual AFS 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 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 Company recognizes the credit loss is recognized in earnings as OTTI and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any impairment recognized in earnings.
Regardless of the classification of the securities as AFS or HTM, the Company assesses each position with an unrealized loss for OTTI. Factors considered in determining whether a loss is temporary include:
the length of time and the extent to which fair value has been below cost;
the severity of the impairment;
the cause of the impairment and the financial condition and near-term prospects of the issuer;
activity in the market of the issuer that may indicate adverse credit conditions; and
the Company’s ability and intent to hold the investment for a period of time sufficient to allow for any anticipated recovery.
The Company’s review for impairment generally entails:
identification and evaluation of impaired investments;
analysis of individual investments that have fair values less than amortized cost, including consideration of the length of time the investment has been in an unrealized loss position and the expected recovery period;
consideration of evidential matter, including an evaluation of factors or triggers that could cause individual investments to qualify as having other-than-temporary impairment and those that would not support other-than-temporary impairment; and
documentation of the results of these analyses, as required under business policies.
Debt Securities
The entire difference between amortized cost basis and fair value is recognized in earnings as OTTI for impaired AFS debt securities that the CompanyCiti has an intent to sell or for which the CompanyCiti believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those AFS debt securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairmentby recording an allowance for credit losses. Any remaining fair value decline for such securities is recorded in AOCI.AOCI. The Company does not consider the length of time that the fair value of a security is below its amortized cost when determining if a credit loss exists.
For AFS debt securities, credit impairment existslosses exist where managementCiti does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security. The allowance for credit losses is limited to the
Equity Securities
For equity securities, management considersamount by which the various factors described above, includingAFS debt security’s amortized cost basis exceeds its intent and ability to hold the equity security for a periodfair value. The allowance is increased or decreased if credit conditions subsequently worsen or improve. Reversals 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 impairedcredit losses are written down to fair value, with the full difference between fair value and cost recognized in earnings.
Management assesses equity method investmentsThe Company’s review for impairment of AFS debt securities generally entails:
•identification and evaluation of impaired investments;
•consideration of evidential matter, including an evaluation of factors or triggers that have fair valuescould cause individual positions to qualify as credit impaired and those 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 iswould not publicly listed, other methods are used (see Note 22 to the Consolidated Financial Statements).support credit impairment; and
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•documentation of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.results of these analyses, as required under business policies.
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-relatedexpected credit impairments for debt security types that have the most significant unrealized losses as of SeptemberJune 30, 2017.2020.
Mortgage-Backed Securities
ForCiti records no allowances for credit losses on U.S. government-agency-guaranteed mortgage-backed securities, (andbecause the Company expects to incur no credit losses in particular for Alt-Athe event of default due to a history of incurring no credit losses 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 flowsdue 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 likelihoodnature 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.counterparties.
State and Municipal Securities
The process for identifyingestimating credit impairmentslosses in Citigroup’s AFS and HTM state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. CitigroupCiti 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-.Aa2/AA. In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.
For AFS state and municipal bonds with unrealized losses that CitigroupCiti plans to sell, or would more-likely-than-not be more-likely-than-not required to sell, the full impairment is recognized in earnings. For AFS state and municipal bonds where Citi has no intent to sell and it is more-likely-than-not that the Company will not be required to sell, Citi records an allowance for expected credit losses for the amount it expects not to collect, capped at the difference between the bond’s amortized cost basis and fair value.
Equity Method Investments
Management assesses equity method investments that have fair values that are less than their respective carrying values for other-than-temporary impairment (OTTI). Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 20 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would more-likely-than-not be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings as OTTI 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 more-likely-than-not to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators:
•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 OTTIImpairment
The following tables present total OTTIimpairment on Investments recognized in earnings:
| | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended
June 30, 2020 | | | Three Months Ended
June 30, 2019 | | | |
| In millions of dollars | AFS | Other
assets | Total | AFS | HTM | Other assets | Total |
| Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | |
| Total impairment losses recognized during the period | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
Less: portion of impairment loss recognized in AOCI (before taxes) | — | | — | | — | | — | | — | | — | | — | |
| Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 19 | | — | | 19 | | 2 | | — | | — | | 2 | |
| Total impairment losses recognized in earnings | $ | 19 | | $ | — | | $ | 19 | | $ | 2 | | $ | — | | $ | — | | $ | 2 | |
| | | | | | | |
| Six Months Ended
June 30, 2020 | | | Six Months Ended
June 30, 2019 | | | |
| In millions of dollars | AFS | Other
assets | Total | AFS | HTM | Other assets | Total |
| Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | |
| Total impairment losses recognized during the period | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
Less: portion of impairment loss recognized in AOCI (before taxes) | — | | — | | — | | — | | — | | — | | — | |
| Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 71 | | — | | 71 | | 5 | | — | | — | | 5 | |
| Total impairment losses recognized in earnings | $ | 71 | | $ | — | | $ | 71 | | $ | 5 | | $ | — | | $ | — | | $ | 5 | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| OTTI on Investments and Other assets | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 |
| In millions of dollars | AFS(1) | HTM | Other
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 exercise | 12 |
| 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. |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| OTTI on Investments and Other assets | Three months ended
September 30, 2016 | Nine Months Ended
September 30, 2016 |
| In millions of dollars | AFS(1) | HTM | Other
assets | Total | AFS(1)(2) | HTM | Other
assets(3) | Total |
| 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 losses | 20 |
| 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-monththe three- and six-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:sell at June 30, 2019:
| | | | | | | | | | | | | | | | | |
| Cumulative OTTI credit losses recognized in earnings on debt securities still held | | | | |
| Three Months Ended June 30, 2019 | | | | | |
| In millions of dollars | March 31, 2019 balance | Credit
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 | — | | — | | — | | — | | — | |
| Corporate | 4 | | — | | — | | — | | 4 | |
| All other debt securities | — | | — | | — | | — | | — | |
| Total OTTI credit losses recognized for AFS debt securities | $ | 5 | | $ | — | | $ | — | | $ | — | | $ | 5 | |
| HTM debt securities | | | | | |
| Mortgage-backed securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | — | | — | | — | | — | | — | |
| Total OTTI credit losses recognized for HTM debt securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| | | | | |
| Six Months Ended June 30, 2019 | | | | | |
| In millions of dollars | December 31, 2018 balance | Credit
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 | — | | — | | — | | — | | — | |
| Corporate | 4 | | — | | — | | — | | 4 | |
| All other debt securities | — | | — | | — | | — | | — | |
| Total OTTI credit losses recognized for AFS debt securities | $ | 5 | | $ | — | | $ | — | | $ | — | | $ | 5 | |
| HTM debt securities | | | | | |
| Mortgage-backed securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | — | | — | | — | | — | | — | |
| Total OTTI credit losses recognized for HTM debt securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
(1) Primarily consists of Prime securities.
|
| | | | | | | | | | | | | | | |
| | Cumulative OTTI credit losses recognized in earnings on securities still held |
| In millions of dollars | Jun. 30, 2017 balance | Credit
impairments
recognized in
earnings on
securities not
previously
impaired | Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired | Reductions due to
credit-impaired
securities sold,
transferred or
matured | September 30, 2017 balance |
| AFS debt securities | | | | | |
| Mortgage-backed securities | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| State and municipal | 4 |
| — |
| — |
| — |
| 4 |
|
| Foreign government securities | — |
| — |
| — |
| — |
| — |
|
| Corporate | 4 |
| — |
| — |
| — |
| 4 |
|
| All other debt securities | — |
| — |
| 2 |
| — |
| 2 |
|
| Total OTTI credit losses recognized for AFS debt securities | $ | 8 |
| $ | — |
| $ | 2 |
| $ | — |
| $ | 10 |
|
| HTM debt securities | | | | | |
Mortgage-backed securities(1) | $ | 97 |
| $ | — |
| $ | — |
| $ | — |
| $ | 97 |
|
| State and municipal | 3 |
| — |
| — |
| — |
| 3 |
|
| Total OTTI credit losses recognized for HTM debt securities | $ | 100 |
| $ | — |
| $ | — |
| $ | — |
| $ | 100 |
|
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, 2020 and December 31, 2019:
| | | | | | | | |
| In millions of dollars | June 30, 2020 | December 31, 2019 |
| Measurement alternative: | | |
| Carrying value | $ | 771 | | $ | 700 | |
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 dollars | 2020 | 2019 | 2020 | 2019 |
Measurement alternative(1): | | | | |
| Impairment losses | $ | 50 | | $ | 3 | | $ | 53 | | $ | 8 | |
| Downward changes for observable prices | 19 | | 12 | | 19 | | 12 | |
| Upward changes for observable prices | 17 | | 19 | | 42 | | 85 | |
(1) See Note 20 to the Consolidated Financial Statements for additional information on these nonrecurring fair value measurements.
| | | | | |
(1) | Primarily consistsLife-to-date amounts on securities still held |
In millions of Alt-A securities.dollars | June 30, 2020 |
|
| | | | | | | | | | | | | | | |
| | Cumulative OTTI credit losses recognized in earnings on securities still held |
| In millions of dollars | Jun. 30, 2016 balance | Credit
impairments
recognized in
earnings on
securities not
previously
impaired | Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired | Reductions due to
credit-impaired
securities sold,
transferred or
matured | September 30, 2016 balance |
| AFS debt securities | | | | | |
| Mortgage-backed securities | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| State and municipal | 4 |
| — |
| — |
| — |
| 4 |
|
| Foreign government securities | 5 |
| — |
| — |
| (5 | ) | — |
|
| Corporate | 7 |
| — |
| — |
| (1 | ) | 6 |
|
| All other debt securities | 43 |
| — |
| — |
| (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 municipal | 4 |
| — |
| — |
| — |
| 4 |
|
| Total OTTI credit losses recognized for HTM debt securities | $ | 112 |
| $ | — |
| $ | — |
| $ | (2 | ) | $ | 110 |
|
| Measurement alternative: | |
(1)Impairment losses | Primarily consists of Alt-A securities.$ | 65 | |
| Downward changes for observable prices | 52 | |
| Upward changes for observable prices | 384 | |
The following tables are nine-month rollforwards of
A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the credit-related impairmentsthree months ended June 30, 2020 and 2019, there was 0 impairment loss recognized in earnings for AFS and HTM debtnon-marketable equity securities held that the Company does not intend to sell nor likely will be required to sell:carried at cost.
|
| | | | | | | | | | | | | | | |
| | Cumulative OTTI credit losses recognized in earnings on securities still held |
| In millions of dollars | Dec. 31, 2016 balance | Credit
impairments
recognized in
earnings on
securities not
previously
impaired | Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired | Reductions due to
credit-impaired
securities sold,
transferred or
matured | September 30, 2017 balance |
| AFS debt securities | | | | | |
| Mortgage-backed securities | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| State and municipal | 4 |
| — |
| — |
| — |
| 4 |
|
| Foreign government securities | — |
| — |
| — |
| — |
| — |
|
| Corporate | 5 |
| — |
| — |
| (1 | ) | 4 |
|
| All other debt securities | 22 |
| — |
| 2 |
| (22 | ) | 2 |
|
| Total OTTI credit losses recognized for AFS debt securities | $ | 31 |
| $ | — |
| $ | 2 |
| $ | (23 | ) | $ | 10 |
|
| HTM debt securities | | | | | |
Mortgage-backed securities(1) | $ | 101 |
| $ | — |
| $ | — |
| $ | (4 | ) | $ | 97 |
|
| State and municipal | 3 |
| — |
| — |
| — |
| 3 |
|
| Total OTTI credit losses recognized for HTM debt securities | $ | 104 |
| $ | — |
| $ | — |
| $ | (4 | ) | $ | 100 |
|
| |
(1) | Primarily consists of Alt-A securities. |
|
| | | | | | | | | | | | | | | |
| | Cumulative OTTI credit losses recognized in earnings on securities still held |
| In millions of dollars | Dec. 31, 2015 balance | Credit
impairments
recognized in
earnings on
securities not
previously
impaired | Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired | Reductions due to
credit-impaired
securities sold,
transferred or
matured | September 30, 2016 balance |
| AFS debt securities | | | | | |
| Mortgage-backed securities | $ | — |
| $ | 1 |
| $ | — |
| $ | (1 | ) | $ | — |
|
| State and municipal | 12 |
| — |
| — |
| (8 | ) | 4 |
|
| Foreign government securities | 5 |
| — |
| — |
| (5 | ) | — |
|
| Corporate | 9 |
| 1 |
| 2 |
| (6 | ) | 6 |
|
| All other debt securities | 47 |
| — |
| — |
| (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 municipal | 4 |
| 1 |
| — |
| (1 | ) | 4 |
|
| Total OTTI credit losses recognized for HTM debt securities | $ | 136 |
| $ | 1 |
| $ | — |
| $ | (27 | ) | $ | 110 |
|
| |
(1) | Primarily consists of Alt-A securities. |
Investments in Alternative Investment Funds That Calculate Net Asset Value
The Company holds investments in certain alternative investment funds that calculate net asset value (NAV), or its equivalent, including hedge funds, private equity funds, funds of funds and real estate funds, as provided by third-party asset managers. Investments in such funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV of the Company’s ownership interest in the funds. Some of these investments are in “covered funds” for purposes of the Volcker
Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with, covered funds. On April 21, 2017, Citi’s request for extension of the permitted holding period under the Volcker Rule for certain of its investments in illiquid funds was approved, allowing the Company to hold such investments until the earlier of 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 value | | Unfunded
commitments | | Redemption frequency
(if currently eligible)
monthly, quarterly, annually | Redemption
notice
period |
| In millions of dollars | June 30,
2020 | December 31, 2019 | June 30,
2020 | December 31, 2019 | | |
| Hedge funds | $ | — | | $ | — | | $ | — | | $ | — | | Generally quarterly | 10–95 days |
Private equity funds(1)(2) | 111 | | 134 | | 62 | | 62 | | — | — |
Real estate funds(2)(3) | 9 | | 10 | | 19 | | 18 | | — | — |
| Mutual/collective investment funds | 20 | | 26 | | — | | — | | — | — |
| Total | $ | 140 | | $ | 170 | | $ | 81 | | $ | 80 | | — | — |
(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.
|
| | | | | | | | | | | | | | |
| | Fair value | Unfunded
commitments | Redemption frequency (if currently eligible) monthly, quarterly, annually | Redemption notice period |
| In millions of dollars | September 30,
2017 | December 31, 2016 | September 30,
2017 | December 31, 2016 | | |
| Hedge funds | $ | 2 |
| $ | 4 |
| $ | — |
| $ | — |
| Generally quarterly | 10–95 days |
Private equity funds(1)(2) | 369 |
| 348 |
| 82 |
| 82 |
| — | — |
Real estate funds (2)(3) | 34 |
| 56 |
| 23 |
| 20 |
| — | — |
| Total | $ | 405 |
| $ | 408 |
| $ | 105 |
| $ | 102 |
| — | — |
| |
(1) | Private equity funds include funds that invest in infrastructure, emerging markets and venture capital. |
| |
(2) | With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld. |
| |
(3) | Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia. |
13. LOANS
Citigroup loans are reported in two categories—2 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 1 to the Consolidated Financial Statements and Notes 1 and 14 to the Consolidated Financial Statements in Citi’s 20162019 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
Consumer Loans, Delinquencies and Non-Accrual Status at June 30, 2020
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Total current(1)(2) | 30–89 days past due(3)(4) | ≥ 90 days past due(3)(4) | Past due government guaranteed(5) | Total loans | Non-accrual loans for which there are no loan loss reserves | Non-accrual loans for which there are loan loss reserves | Total
non-accrual | 90 days
past due
and accruing |
In North America offices(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 46,923 | | $ | 541 | | $ | 258 | | $ | 445 | | $ | 48,167 | | $ | 115 | | $ | 409 | | $ | 524 | | $ | 282 | |
Home equity loans(8)(9) | 8,197 | | 122 | | 205 | | — | | 8,524 | | 84 | | 303 | | 387 | | — | |
| Credit cards | 125,232 | | 1,205 | | 1,595 | | — | | 128,032 | | — | | — | | — | | 1,595 | |
| Personal, small business and other | 4,807 | | 38 | | 14 | | — | | 4,859 | | 2 | | 15 | | 17 | | — | |
| Total | $ | 185,159 | | $ | 1,906 | | $ | 2,072 | | $ | 445 | | $ | 189,582 | | $ | 201 | | $ | 727 | | $ | 928 | | $ | 1,877 | |
In offices outside North America(6) | | | | | | | | | |
Residential first mortgages(7) | $ | 36,351 | | $ | 210 | | $ | 184 | | $ | — | | $ | 36,745 | | $ | — | | $ | 419 | | $ | 419 | | $ | — | |
| Credit cards | 20,212 | | 380 | | 374 | | — | | 20,966 | | 5 | | 265 | | 270 | | 272 | |
| Personal, small business and other | 33,421 | | 268 | | 131 | | — | | 33,820 | | 1 | | 211 | | 212 | | — | |
| Total | $ | 89,984 | | $ | 858 | | $ | 689 | | $ | — | | $ | 91,531 | | $ | 6 | | $ | 895 | | $ | 901 | | $ | 272 | |
Total Citigroup(10) | $ | 275,143 | | $ | 2,764 | | $ | 2,761 | | $ | 445 | | $ | 281,113 | | $ | 207 | | $ | 1,622 | | $ | 1,829 | | $ | 2,149 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $16 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus almost all would not be reported as 30-89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer).
(5)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans by loan type:in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $734 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
|
| | | | | | |
| In millions of dollars | September 30, 2017 | December 31, 2016 |
| In U.S. offices | | |
Mortgage and real estate(1) | $ | 67,131 |
| $ | 72,957 |
|
| Installment, revolving credit and other | 3,191 |
| 3,395 |
|
| Cards | 131,476 |
| 132,654 |
|
| Commercial and industrial | 7,619 |
| 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 other | 26,153 |
| 24,887 |
|
| Cards | 25,443 |
| 23,783 |
|
| Commercial and industrial | 20,015 |
| 16,568 |
|
| Lease financing | 77 |
| 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. |
| | | | | | | | |
| Interest income | |
| In millions of dollars | Three Months Ended June 30, 2020 | Six Months Ended June 30, 2020 |
In North America offices(1) | | |
| Residential first mortgages | $ | 4 | | $ | 7 | |
| Home equity loans | 2 | | 4 | |
| Credit cards | — | | — | |
| Personal, small business and other | — | | — | |
| Total | $ | 6 | | $ | 11 | |
In offices outside North America(1) | | |
| Residential first mortgages | $ | — | | $ | — | |
| Credit cards | — | | — | |
| Personal, small business and other | — | | — | |
| Total | $ | — | | $ | — | |
| Total Citigroup | $ | 6 | | $ | 11 | |
The
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
Consumer Loan, Delinquencies and Non-Accrual Status at December 31, 2019
| | | | | | | | | | | | | | | | | | | | | | | |
| 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) | $ | 45,942 | | $ | 411 | | $ | 221 | | $ | 434 | | $ | 47,008 | | $ | 479 | | $ | 288 | |
Home equity loans(7)(8) | 8,860 | | 174 | | 189 | | — | | 9,223 | | 405 | | — | |
| Credit cards | 145,477 | | 1,759 | | 1,927 | | — | | 149,163 | | — | | 1,927 | |
| Personal, small business and other | 3,641 | | 44 | | 14 | | — | | 3,699 | | 21 | | — | |
| Total | $ | 203,920 | | $ | 2,388 | | $ | 2,351 | | $ | 434 | | $ | 209,093 | | $ | 905 | | $ | 2,215 | |
In offices outside North America(5) | | | | | | | |
Residential first mortgages(6) | $ | 37,316 | | $ | 210 | | $ | 160 | | $ | — | | $ | 37,686 | | $ | 421 | | $ | — | |
| Credit cards | 25,111 | | 426 | | 372 | | — | | 25,909 | | 310 | | 242 | |
| Personal, small business and other | 36,456 | | 272 | | 132 | | — | | 36,860 | | 180 | | — | |
| Total | $ | 98,883 | | $ | 908 | | $ | 664 | | $ | — | | $ | 100,455 | | $ | 911 | | $ | 242 | |
Total Citigroup(9) | $ | 302,803 | | $ | 3,296 | | $ | 3,015 | | $ | 434 | | $ | 309,548 | | $ | 1,816 | | $ | 2,457 | |
(1)Loans less than 30 days past due are presented as current.
(2)Includes $18 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.3 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.
(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 $783 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
During the three and six months ended June 30, 2020 and 2019, the Company sold and/or reclassified to held-for-sale $0.4 billionHFS $12 million and $3.2 billion, $1.3 billion$36 million and $6.0 billion$392 million and $2,295 million, respectively, of consumer loans during the three and nine months ended September 30, 2017 and 2016, respectively.loans.
Consumer Loan Delinquency and Non-Accrual Details at September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | Total current(1)(2) | 30–89 days past due(3) | ≥ 90 days past due(3) | Past due government guaranteed(4) | Total loans(2) | Total non-accrual | 90 days past due and accruing |
| In North America offices | | | | | | | |
Residential first mortgages(5) | $ | 48,090 |
| $ | 563 |
| $ | 286 |
| $ | 1,279 |
| $ | 50,218 |
| $ | 724 |
| $ | 985 |
|
Home equity loans(6)(7) | 15,004 |
| 223 |
| 362 |
| — |
| 15,589 |
| 766 |
| — |
|
| Credit cards | 129,261 |
| 1,541 |
| 1,440 |
| — |
| 132,242 |
| — |
| 1,440 |
|
| Installment and other | 3,456 |
| 42 |
| 15 |
| — |
| 3,513 |
| 21 |
| — |
|
| Commercial banking | 9,294 |
| 38 |
| 52 |
| — |
| 9,384 |
| 210 |
| 11 |
|
| Total | $ | 205,105 |
| $ | 2,407 |
| $ | 2,155 |
| $ | 1,279 |
| $ | 210,946 |
| $ | 1,721 |
| $ | 2,436 |
|
| In offices outside North America | | | | | | | |
Residential first mortgages(5) | $ | 36,796 |
| $ | 225 |
| $ | 153 |
| $ | — |
| $ | 37,174 |
| $ | 400 |
| $ | — |
|
| Credit cards | 24,109 |
| 433 |
| 366 |
| — |
| 24,908 |
| 322 |
| 251 |
|
| Installment and other | 25,207 |
| 283 |
| 124 |
| — |
| 25,614 |
| 164 |
| — |
|
| Commercial banking | 26,788 |
| 58 |
| 86 |
| — |
| 26,932 |
| 176 |
| — |
|
| Total | $ | 112,900 |
| $ | 999 |
| $ | 729 |
| $ | — |
| $ | 114,628 |
| $ | 1,062 |
| $ | 251 |
|
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 |
|
| |
(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 cards | 130,327 |
| 1,465 |
| 1,509 |
| — |
| 133,301 |
| — |
| 1,509 |
|
| Installment and other | 4,486 |
| 106 |
| 38 |
| — |
| 4,630 |
| 70 |
| 2 |
|
| Commercial banking | 8,876 |
| 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 cards | 22,363 |
| 368 |
| 324 |
| — |
| 23,055 |
| 258 |
| 239 |
|
| Installment and other | 22,683 |
| 264 |
| 126 |
| — |
| 23,073 |
| 163 |
| — |
|
| Commercial banking | 23,054 |
| 72 |
| 112 |
| — |
| 23,238 |
| 217 |
| — |
|
| Total | $ | 103,962 |
| $ | 910 |
| $ | 697 |
| $ | — |
| $ | 105,569 |
| $ | 998 |
| $ | 239 |
|
Total GCB and Corporate/Other consumer | $ | 317,184 |
| $ | 3,275 |
| $ | 3,127 |
| $ | 1,474 |
| $ | 325,060 |
| $ | 3,158 |
| $ | 2,991 |
|
Other(8) | 3 |
| — |
| — |
| — |
| 3 |
| — |
| — |
|
| Total Citigroup | $ | 317,187 |
| $ | 3,275 |
| $ | 3,127 |
| $ | 1,474 |
| $ | 325,063 |
| $ | 3,158 |
| $ | 2,991 |
|
| |
(1) | Loans less than 30 days past due are presented as current. |
| |
(2) | Includes $29 million of residential first mortgages recorded at fair value. |
| |
(3) | Excludes loans guaranteed by U.S. government-sponsored entities. |
| |
(4) | Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.2 billion and 90 days or more past due of $1.3 billion. |
| |
(5) | Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure. |
| |
(6) | Includes approximately $0.1 billion of home equity loans in process of foreclosure. |
| |
(7) | Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions. |
| |
(8) | Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Corporate/Other consumer credit metrics.
|
Consumer Credit Scores (FICO)
The following tables provide details on the FICOFair Isaac Corporation (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).by year of origination. FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.
| | FICO score distribution in U.S. portfolio(1)(2) | September 30, 2017 | |
FICO score distribution in U.S. portfolio(1) | | FICO score distribution in U.S. portfolio(1) | June 30, 2020 | |
| In millions of dollars | Less than 620 | ≥ 620 but less than 660 | Equal to or greater than 660 | In millions of dollars | Less than
680 | 680 to 760 | Greater
than 760 | FICO not available | Total loans |
| Residential first mortgages | $ | 2,275 |
| $ | 2,053 |
| $ | 42,682 |
| Residential first mortgages | |
| Home equity loans | 1,432 |
| 1,166 |
| 12,622 |
| |
| Credit cards | 8,699 |
| 11,325 |
| 108,809 |
| |
| 2020 | | 2020 | $ | 65 | | $ | 1,593 | | $ | 4,261 | | | |
| 2019 | | 2019 | 205 | | 2,384 | | 6,316 | | | |
| 2018 | | 2018 | 294 | | 784 | | 1,619 | | | |
| 2017 | | 2017 | 344 | | 973 | | 2,311 | | | |
| 2016 | | 2016 | 390 | | 1,523 | | 4,791 | | | |
| Prior | | Prior | 2,130 | | 4,629 | | 11,968 | | | |
| Total residential first mortgages | | Total residential first mortgages | $ | 3,428 | | $ | 11,886 | | $ | 31,266 | | $ | 1,587 | | $ | 48,167 | |
Credit cards(2) | | Credit cards(2) | $ | 28,942 | | $ | 52,825 | | $ | 43,745 | | $ | 1,984 | | $ | 127,496 | |
| | Home equity loans (pre-reset) | | Home equity loans (pre-reset) | 337 | | 1,053 | | 1,738 | | | |
| Home equity loans (post-reset) | | Home equity loans (post-reset) | 1,435 | | 1,937 | | 1,826 | | | |
| Total home equity loans | | Total home equity loans | $ | 1,772 | | $ | 2,990 | | $ | 3,564 | | $ | 198 | | $ | 8,524 | |
| Installment and other | 270 |
| 252 |
| 2,414 |
| Installment and other | |
| 2020 | | 2020 | $ | 18 | | $ | 42 | | $ | 55 | | | |
| 2019 | | 2019 | 113 | | 143 | | 164 | | | |
| 2018 | | 2018 | 125 | | 114 | | 106 | | | |
| 2017 | | 2017 | 43 | | 41 | | 43 | | | |
| 2016 | | 2016 | 21 | | 18 | | 16 | | | |
| Prior | | Prior | 264 | | 425 | | 547 | | | |
| Personal, small business and other | | Personal, small business and other | $ | 584 | | $ | 783 | | $ | 931 | | $ | 2,561 | | $ | 4,859 | |
| Total | $ | 12,676 |
| $ | 14,796 |
| $ | 166,527 |
| Total | $ | 34,726 | | $ | 68,484 | | $ | 79,506 | | $ | 6,330 | | $ | 189,046 | |
(1)The FICO bands in the tables are consistent with general industry peer presentations.
(2)Excludes $536 million of balances related to Canada.
|
| | | | | | | | | |
FICO score distribution in U.S. portfolio(1)(2) | December 31, 2016 |
In millions of dollars | Less than 620 | ≥ 620 but less than 660 | Equal to or greater than 660 |
| Residential first mortgages | $ | 2,744 |
| $ | 2,422 |
| $ | 44,279 |
|
| Home equity loans | 1,750 |
| 1,418 |
| 14,743 |
|
| Credit cards | 8,310 |
| 11,320 |
| 110,522 |
|
| Installment and other | 284 |
| 271 |
| 2,601 |
|
| Total | $ | 13,088 |
| $ | 15,431 |
| $ | 172,145 |
|
| |
(1) | Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSC) with U.S. government-sponsored entities and loans recorded at fair value. |
| |
(2) | Excludes balances where FICO was not available. Such amounts are not material. |
| | | | | | | | | | | | | | | | | |
FICO score distribution in U.S. portfolio(1) | December 31, 2019 | | | | |
In millions of dollars | Less than
680 | 680 to 760 | Greater
than 760 | FICO not available | Total loans |
| Residential first mortgages | $ | 3,608 | | $ | 13,264 | | $ | 28,442 | | $ | 1,694 | | $ | 47,008 | |
Credit cards (2) | 33,290 | | 59,536 | | 52,935 | | 2,773 | | 148,534 | |
| Home equity loans | 1,901 | | 3,530 | | 3,732 | | 60 | | 9,223 | |
| Personal, small business and other | 564 | | 907 | | 1,473 | | 755 | | 3,699 | |
| Total | $ | 39,363 | | $ | 77,237 | | $ | 86,582 | | $ | 5,282 | | $ | 208,464 | |
(1)The FICO bands in the tables are consistent with general industry peer presentations.
(2) Excludes $629 million of balances related to Canada.
Loan to Value (LTV) Ratios
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios.portfolios by year of origination. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
| | | | | | | | | | | | | | | | | |
| LTV distribution in U.S. portfolio | June 30, 2020 | | | | |
| In millions of dollars | Less than or
equal to 80% | > 80% but less
than or equal to
100% | Greater
than
100% | LTV not available | Total |
| Residential first mortgages | | | | | |
| 2020 | $ | 5,362 | | $ | 560 | | $ | — | | | |
| 2019 | 8,309 | | 599 | | 3 | | | |
| 2018 | 2,080 | | 598 | | 26 | | | |
| 2017 | 3,206 | | 420 | | 8 | | | |
| 2016 | 6,570 | | 141 | | 3 | | | |
| Prior | 18,621 | | 129 | | 22 | | | |
| Total residential first mortgages | $ | 44,148 | | $ | 2,447 | | $ | 62 | | $ | 1,510 | | $ | 48,167 | |
| Home equity loans (pre-reset) | $ | 3,061 | | $ | 39 | | $ | 12 | | | |
| Home equity loans (post-reset) | 4,404 | | 601 | | 169 | | | |
| Total home equity loans | $ | 7,465 | | $ | 640 | | $ | 181 | | $ | 238 | | $ | 8,524 | |
| Total | $ | 51,613 | | $ | 3,087 | | $ | 243 | | $ | 1,748 | | $ | 56,691 | |
| | LTV distribution in U.S. portfolio(1)(2) | September 30, 2017 | |
| LTV distribution in U.S. portfolio | | LTV distribution in U.S. portfolio | December 31, 2019 | | |
| In millions of dollars | Less than or equal to 80% | > 80% but less than or equal to 100% | Greater than 100% | In millions of dollars | Less than or
equal to 80% | > 80% but less
than or equal to
100% | Greater
than
100% | LTV not available | Total |
| Residential first mortgages | $ | 44,253 |
| $ | 2,658 |
| $ | 262 |
| Residential first mortgages | $ | 41,993 | | $ | 3,313 | | $ | 98 | | $ | 1,604 | | $ | 47,008 | |
| Home equity loans | 11,808 |
| 2,397 |
| 928 |
| Home equity loans | 8,101 | | 829 | | 237 | | 56 | | 9,223 | |
| Total | $ | 56,061 |
| $ | 5,055 |
| $ | 1,190 |
| Total | $ | 50,094 | | $ | 4,142 | | $ | 335 | | $ | 1,660 | | $ | 56,231 | |
|
| | | | | | | | | |
LTV distribution in U.S. portfolio(1)(2) | December 31, 2016 |
| In millions of dollars | Less than or equal to 80% | > 80% but less than or equal to 100% | Greater than 100% |
| Residential first mortgages | $ | 45,849 |
| $ | 3,467 |
| $ | 324 |
|
| Home equity loans | 12,869 |
| 3,653 |
| 1,305 |
|
| Total | $ | 58,718 |
| $ | 7,120 |
| $ | 1,629 |
|
| |
(1) | Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value. |
| |
(2) | Excludes balances where LTV was not available. Such amounts are not material. |
140
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, |
| | Balance at September 30, 2017 | 2017 | 2016 | 2017 | 2016 |
| 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) |
| Mortgage and real estate | | | | | | | | |
| Residential first mortgages | $ | 2,938 |
| $ | 3,161 |
| $ | 289 |
| $ | 3,383 |
| $ | 29 |
| $ | 31 |
| $ | 97 |
| $ | 135 |
|
| Home equity loans | 1,169 |
| 1,636 |
| 219 |
| 1,217 |
| 7 |
| 8 |
| 21 |
| 26 |
|
| Credit cards | 1,819 |
| 1,852 |
| 603 |
| 1,793 |
| 37 |
| 42 |
| 110 |
| 122 |
|
| Installment and other | | | | | | | | |
| Individual installment and other | 429 |
| 456 |
| 177 |
| 421 |
| 5 |
| 8 |
| 18 |
| 22 |
|
| Commercial banking | 402 |
| 657 |
| 49 |
| 474 |
| 4 |
| 7 |
| 18 |
| 11 |
|
| Total | $ | 6,757 |
| $ | 7,762 |
| $ | 1,337 |
| $ | 7,288 |
| $ | 82 |
| $ | 96 |
| $ | 264 |
| $ | 316 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) | Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans. |
| | | Three Months Ended
June 30, | | Six Months Ended
June 30, | | | |
(2) | $622 millionBalance at June 30, 2020 | | | | 2020 | 2019 | 2020 | 2019 | | |
In millions of residentialdollars | 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 $376 million of home | $ | 1,624 | | $ | 1,798 | | $ | 152 | | $ | 1,700 | | $ | 15 | | $ | 18 | | $ | 29 | | $ | 35 | | | |
| Home equity loans | 556 | | 762 | | 61 | | 588 | | 4 | | 2 | | 7 | | 4 | | | |
| Credit cards | 1,884 | | 1,917 | | 887 | | 1,906 | | 25 | | 26 | | 51 | | 52 | | | |
Personal, small business and $88 million of commercial market loans do not have a specific allowance.other | 442 | | 477 | | 147 | | 518 | | 16 | | 6 | | 32 | | 11 | | | |
| Total | $ | 4,506 | | $ | 4,954 | | $ | 1,247 | | $ | 4,712 | | $ | 60 | | $ | 52 | | $ | 119 | | $ | 102 | | | |
(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) $212 million of residential first mortgages and $166 million of home equity loans do not have a specific allowance.
(3) Included in the Allowance for loancredit losses on loans.
(4) Average carrying value represents the average recorded investment ending balance for the last four4 quarters and does not include the related specific allowance.
(5) Includes amounts recognized on both an accrual and cash basis.
| | | | | | | | | | | | | | | |
| | Balance at December 31, 2019 | | | | |
| In millions of dollars | Recorded investment(1)(2) | Unpaid
principal balance | Related specific allowance(3) | Average carrying value(4) | |
| Mortgage and real estate | | | | | |
| Residential first mortgages | $ | 1,666 | | $ | 1,838 | | $ | 161 | | $ | 1,925 | | |
| Home equity loans | 592 | | 824 | | 123 | | 637 | | |
| Credit cards | 1,931 | | 2,288 | | 771 | | 1,890 | | |
| Personal, small business and other | 419 | | 455 | | 135 | | 683 | | |
| Total | $ | 4,608 | | $ | 5,405 | | $ | 1,190 | | $ | 5,135 | | |
|
| | | | | | | | | | | | |
| | Balance, December 31, 2016 |
| In millions of dollars | Recorded investment(1)(2) | Unpaid principal balance | Related specific allowance(3) | Average carrying value(4) |
| Mortgage and real estate | | | | |
| Residential first mortgages | $ | 3,786 |
| $ | 4,157 |
| $ | 540 |
| $ | 4,632 |
|
| Home equity loans | 1,298 |
| 1,824 |
| 189 |
| 1,326 |
|
| Credit cards | 1,747 |
| 1,781 |
| 566 |
| 1,831 |
|
| Installment and other | | | | |
| Individual installment and other | 455 |
| 481 |
| 215 |
| 475 |
|
| Commercial banking | 513 |
| 744 |
| 98 |
| 538 |
|
| Total | $ | 7,799 |
| $ | 8,987 |
| $ | 1,608 |
| $ | 8,802 |
|
| |
(1) | Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans. |
| |
(2) | $740 million of residential first mortgages, $406 million of home equity loans and $97 million of commercial market loans do not have a specific allowance. |
| |
(3) | Included in the Allowance for loan losses.
|
| |
(4) | Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance. |
(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.
Consumer Troubled Debt Restructurings
|
| | | | | | | | | | | | | | | | |
| | At and for the three months ended September 30, 2017 |
| In millions of dollars except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(1)(2) | Deferred
principal(3) | Contingent
principal
forgiveness(4) | Principal
forgiveness(5) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 1,400 |
| $ | 199 |
| $ | 1 |
| $ | — |
| $ | — |
| — | % |
| Home equity loans | 830 |
| 70 |
| 5 |
| — |
| — |
| 1 |
|
| Credit cards | 59,285 |
| 225 |
| — |
| — |
| — |
| 17 |
|
| Installment and other revolving | 299 |
| 2 |
| — |
| — |
| — |
| 6 |
|
Commercial banking(6) | 33 |
| 59 |
| — |
| — |
| — |
| — |
|
Total(8) | 61,847 |
| $ | 555 |
| $ | 6 |
| $ | — |
| $ | — |
|
|
|
| International | | | | | | |
| Residential first mortgages | 703 |
| $ | 25 |
| $ | — |
| $ | — |
| $ | — |
| — | % |
| Credit cards | 28,254 |
| 103 |
| — |
| — |
| 2 |
| 11 |
|
| Installment and other revolving | 11,725 |
| 70 |
| — |
| — |
| 3 |
| 11 |
|
Commercial banking(6) | 97 |
| 11 |
| — |
| — |
| — |
| — |
|
Total(8) | 40,779 |
| $ | 209 |
| $ | — |
| $ | — |
| $ | 5 |
|
|
|
|
| | | | | | | | | | | | | | | | |
| | At and for the three months ended September 30, 2016 |
| In millions of dollars except number of loans modified | Number of loans modified | Post- modification recorded investment(1)(7) | Deferred principal(3) | Contingent principal forgiveness(4) | Principal forgiveness(5) | Average interest rate reduction |
| North America | | | | | | |
| Residential first mortgages | 1,165 |
| $ | 165 |
| $ | 1 |
| $ | — |
| $ | 1 |
| 1 | % |
| Home equity loans | 1,117 |
| 61 |
| — |
| — |
| — |
| 2 |
|
| Credit cards | 51,260 |
| 199 |
| — |
| — |
| — |
| 18 |
|
| Installment and other revolving | 1,421 |
| 12 |
| — |
| — |
| — |
| 14 |
|
Commercial banking(6) | 30 |
| 36 |
| — |
| — |
| — |
| — |
|
Total(8) | 54,993 |
| $ | 473 |
| $ | 1 |
| $ | — |
| $ | 1 |
| |
|
| International | | | | | | |
| Residential first mortgages | 973 |
| $ | 24 |
| $ | — |
| $ | — |
| $ | — |
| — | % |
| Credit cards | 28,530 |
| 94 |
| — |
| — |
| 2 |
| 12 |
|
| Installment and other revolving | 12,283 |
| 69 |
| — |
| — |
| 2 |
| 8 |
|
Commercial banking(6) | 44 |
| 39 |
| — |
| — |
| — |
| — |
|
Total(8) | 41,830 |
| $ | 226 |
| $ | — |
| $ | — |
| $ | 4 |
| |
|
| |
(1) | Post-modification balances include past due amounts that are capitalized at the modification date. |
| |
(2) | Post-modification balances in North America include $12 million of residential first mortgages and $5 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended September 30, 2017. These amounts include $7 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, 2017, based on previously received OCC guidance.
|
| |
(3) | Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value. |
| |
(4) | Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness. |
| |
(5) | Represents portion of contractual loan principal that was forgiven at the time of permanent modification. |
(6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7) Post-modification balances in North America include $17(2)$405 million of residential first mortgages and $5$212 million of home equity loans do not have a specific allowance.
(3)Included in the Allowance for credit losses on loans.
(4)Average carrying value represents the average recorded investment ending balance for the last 4 quarters and does not include the related specific allowance.
Consumer Troubled Debt Restructurings(1)
| | | | | | | | | | | | | | | | | | | | |
| For the Three Months Ended June 30, 2020 | | | | | |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(2)(3) | Deferred
principal(4) | Contingent
principal
forgiveness(5) | Principal
forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 298 | | $ | 51 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 83 | | 8 | | — | | — | | — | | — | |
| Credit cards | 50,891 | | 220 | | — | | — | | — | | 17 | |
| Personal, small business and other | 343 | | 3 | | — | | — | | — | | 4 | |
Total(7) | 51,615 | | $ | 282 | | $ | — | | $ | — | | $ | — | | |
| International | | | | | | |
| Residential first mortgages | 642 | | $ | 44 | | $ | — | | $ | — | | $ | — | | 4 | % |
| Credit cards | 21,276 | | 94 | | — | | — | | 3 | | 16 | |
| Personal, small business and other | 11,284 | | 77 | | — | | — | | 2 | | 10 | |
Total(7) | 33,202 | | $ | 215 | | $ | — | | $ | — | | $ | 5 | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | For the Three Months Ended June 30, 2019 | | | | | |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post- modification recorded investment(2)(8) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 137 | | $ | 21 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 188 | | 22 | | 1 | | — | | — | | 1 | |
| Credit cards | 63,281 | | 273 | | — | | — | | — | | 17 | |
| Personal, small business and other | 347 | | 4 | | — | | — | | — | | 5 | |
Total(7) | 63,953 | | $ | 320 | | $ | 1 | | $ | — | | $ | — | | |
| International | | | | | | |
| Residential first mortgages | 638 | | $ | 17 | | $ | — | | $ | — | | $ | — | | — | % |
| Credit cards | 18,453 | | 73 | | — | | — | | 3 | | 16 | |
| Personal, small business and other | 7,154 | | 49 | | — | | — | | 2 | | 9 | |
Total(7) | 26,245 | | $ | 139 | | $ | — | | $ | — | | $ | 5 | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $3 million of residential first mortgages and $1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended SeptemberJune 30, 2016.2020. These amounts include $11$2 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, 2016,2020, based on previously received OCC guidance.
(8)(4)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.
(5)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(6)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(7) The above tables reflect activity for restructured loans outstandingthat were considered TDRs as of the end of the reporting period that were considered TDRs.period.
|
| | | | | | | | | | | | | | | | |
| | At and for the nine months ended September 30, 2017 |
| In millions of dollars except number of loans modified | Number of loans modified | Post- modification recorded investment(1)(2) | Deferred principal(3) | Contingent principal forgiveness(4) | Principal forgiveness(5) | Average interest rate reduction |
| North America | | | | | | |
| Residential first mortgages | 3,172 |
| $ | 445 |
| $ | 5 |
| $ | — |
| $ | 2 |
| 1 | % |
| Home equity loans | 2,186 |
| 185 |
| 13 |
| — |
| — |
| 1 |
|
| Credit cards | 171,702 |
| 659 |
| — |
| — |
| — |
| 17 |
|
| Installment and other revolving | 770 |
| 6 |
| — |
| — |
| — |
| 5 |
|
Commercial banking(6) | 89 |
| 107 |
| — |
| — |
| — |
| — |
|
Total(8) | 177,919 |
| $ | 1,402 |
| $ | 18 |
| $ | — |
| $ | 2 |
|
|
|
| International | | | | | | |
| Residential first mortgages | 2,071 |
| $ | 80 |
| $ | — |
| $ | — |
| $ | — |
| — | % |
| Credit cards | 82,042 |
| 286 |
| — |
| — |
| 6 |
| 12 |
|
| Installment and other revolving | 34,654 |
| 194 |
| — |
| — |
| 9 |
| 9 |
|
Commercial banking(6) | 182 |
| 30 |
| — |
| — |
| — |
| — |
|
Total(8) | 118,949 |
| $ | 590 |
| $ | — |
| $ | — |
| $ | 15 |
|
|
|
|
| | | | | | | | | | | | | | | | |
| | At and for the nine months ended September 30, 2016 |
| In millions of dollars except number of loans modified | Number of loans modified | Post- modification recorded investment(1)(7) | Deferred principal(3) | Contingent principal forgiveness(4) | Principal forgiveness(5) | Average interest rate reduction |
| North America | | | | | | |
| Residential first mortgages | 3,979 |
| $ | 582 |
| $ | 4 |
| $ | — |
| $ | 3 |
| 1 | % |
| Home equity loans | 2,789 |
| 121 |
| 1 |
| — |
| — |
| 2 |
|
| Credit cards | 143,161 |
| 552 |
| — |
| — |
| — |
| 17 |
|
| Installment and other revolving | 4,187 |
| 35 |
| — |
| — |
| — |
| 14 |
|
Commercial banking(6) | 94 |
| 47 |
| — |
| — |
| — |
| — |
|
Total(8) | 154,210 |
| $ | 1,337 |
| $ | 5 |
| $ | — |
| $ | 3 |
| |
| International | | | | | | |
| Residential first mortgages | 2,005 |
| $ | 62 |
| $ | — |
| $ | — |
| $ | — |
| — | % |
| Credit cards | 109,365 |
| 307 |
| — |
| — |
| 7 |
| 12 |
|
| Installment and other revolving | 45,125 |
| 208 |
| — |
| — |
| 6 |
| 7 |
|
Commercial banking(6) | 117 |
| 90 |
| — |
| — |
| — |
| — |
|
Total(8) | 156,612 |
| $ | 667 |
| $ | — |
| $ | — |
| $ | 13 |
| |
| |
(1) | Post-modification balances include past due amounts that are capitalized at the modification date. |
| |
(2) | Post-modification balances in North America include $42 million of residential first mortgages and $16 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2017. These amounts include $28 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, 2017, based on previously received OCC guidance.
|
| |
(3) | Represents portion of contractual loan principal that is non-interest bearing but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value. |
| |
(4) | Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness. |
| |
(5) | Represents portion of contractual loan principal that was forgiven at the time of permanent modification. |
(6) Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7)(8) Post-modification balances in North America include $58$5 million of residential first mortgages and $15$2 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the ninethree months ended SeptemberJune 30, 2016.2019. These amounts include $38$3 million of residential first mortgages and $14$1 million of home equity loans that were newly classified as TDRs in the ninethree months ended SeptemberJune 30, 2016,2019, based on previously received OCC guidance.
(8)
Consumer Troubled Debt Restructurings(1)
| | | | | | | | | | | | | | | | | | | | |
| For the Six Months Ended June 30, 2020 | | | | | |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post-
modification
recorded
investment(2)(3) | Deferred
principal(4) | Contingent
principal
forgiveness(5) | Principal
forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 575 | | $ | 95 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 165 | | 16 | | — | | — | | — | | 1 | |
| Credit cards | 118,173 | | 525 | | — | | — | | — | | 9 | |
| Personal, small business and other | 776 | | 7 | | — | | — | | — | | 3 | |
Total(7) | 119,689 | | $ | 643 | | $ | — | | $ | — | | $ | — | | |
| International | | | | | | |
| Residential first mortgages | 1,178 | | $ | 58 | | $ | — | | $ | — | | $ | — | | 4 | % |
| Credit cards | 40,591 | | 167 | | — | | — | | 5 | | 16 | |
| Personal, small business and other | 18,938 | | 128 | | — | | — | | 4 | | 10 | |
Total(7) | 60,707 | | $ | 353 | | $ | — | | $ | — | | $ | 9 | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | For the Six Months Ended June 30, 2019 | | | | | |
| In millions of dollars, except number of loans modified | Number of
loans modified | Post- modification recorded investment(2)(8) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average
interest rate
reduction |
| North America | | | | | | |
| Residential first mortgages | 630 | | $ | 95 | | $ | — | | $ | — | | $ | — | | — | % |
| Home equity loans | 394 | | 42 | | 2 | | — | | — | | 1 | |
| Credit cards | 135,528 | | 578 | | — | | — | | — | | 17 | |
| Personal, small business and other | 703 | | 7 | | — | | — | | — | | 5 | |
Total(7) | 137,255 | | $ | 722 | | $ | 2 | | $ | — | | $ | — | | |
| International | | | | | | |
| Residential first mortgages | 1,363 | | $ | 37 | | $ | — | | $ | — | | $ | — | | — | % |
| Credit cards | 36,946 | | 148 | | — | | — | | 6 | | 16 | |
| Personal, small business and other | 14,798 | | 99 | | — | | — | | 3 | | 9 | |
Total(7) | 53,107 | | $ | 284 | | $ | — | | $ | — | | $ | 9 | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $7 million of residential first mortgages and $2 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2020. These amounts include $5 million of residential first mortgages and $1 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2020, based on previously received OCC guidance.
(4)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.
(5)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(6)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(7) The above tables reflect activity for restructured loans outstandingthat were considered TDRs as of the end of the reporting periodperiod.
(8) Post-modification balances in North America include $12 million of residential first mortgages and $4 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2019. These amounts include $7 million of residential first mortgages and $3 million of home equity loans that were considered TDRs.newly classified as TDRs in the six months ended June 30, 2019, based on previously received OCC guidance.
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 dollars | 2020 | 2019 | 2020 | 2019 |
| North America | | | | |
| Residential first mortgages | $ | 21 | | $ | 26 | | $ | 35 | | $ | 50 | |
| Home equity loans | 4 | | 4 | | 6 | | 7 | |
| Credit cards | 47 | | 73 | | 137 | | 144 | |
| Personal, small business and other | 1 | | 1 | | 3 | | 2 | |
| Total | $ | 73 | | $ | 104 | | $ | 181 | | $ | 203 | |
| International | | | | |
| Residential first mortgages | $ | 5 | | $ | 4 | | $ | 11 | | $ | 7 | |
| Credit cards | 38 | | 36 | | 71 | | 75 | |
| Personal, small business and other | 18 | | 20 | | 35 | | 38 | |
| Total | $ | 61 | | $ | 60 | | $ | 117 | | $ | 120 | |
Purchased Credit Deteriorated Assets
| | | | | | | | | | | |
| Three Months Ended June 30, 2020 | | |
| In millions of dollars | Credit
cards | Mortgages(1) | Installment and other |
| Purchase price | $ | — | | $ | 3 | | $ | — | |
| Allowance for credit losses at acquisition date | — | | — | | — | |
| Discount or premium attributable to non-credit factors | — | | — | | — | |
| Par value (amortized cost basis) | $ | — | | $ | 3 | | $ | — | |
(1) Includes loans sold to agencies that were bought back at par due to repurchase agreements.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| North America | | | | |
| Residential first mortgages | $ | 57 |
| $ | 49 |
| $ | 156 |
| $ | 188 |
|
| Home equity loans | 8 |
| 6 |
| 25 |
| 20 |
|
| Credit cards | 54 |
| 43 |
| 163 |
| 139 |
|
| Installment and other revolving | 1 |
| 3 |
| 2 |
| 7 |
|
| Commercial banking | — |
| 12 |
| 2 |
| 14 |
|
| Total | $ | 120 |
| $ | 113 |
| $ | 348 |
| $ | 368 |
|
| International | | | | |
| Residential first mortgages | $ | 3 |
| $ | 3 |
| $ | 8 |
| $ | 9 |
|
| Credit cards | 48 |
| 41 |
| 136 |
| 115 |
|
| Installment and other revolving | 25 |
| 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 dollars | June 30,
2020 | December 31,
2019 |
In North America offices(1) | | |
| Commercial and industrial | $ | 70,755 | | $ | 55,929 | |
| Financial institutions | 53,860 | | 53,922 | |
Mortgage and real estate(2) | 57,821 | | 53,371 | |
| Installment and other | 25,602 | | 31,238 | |
| Lease financing | 869 | | 1,290 | |
| Total | $ | 208,907 | | $ | 195,750 | |
In offices outside North America(1) | | |
| Commercial and industrial | $ | 115,471 | | $ | 112,668 | |
| Financial institutions | 35,173 | | 40,211 | |
Mortgage and real estate(2) | 10,332 | | 9,780 | |
| Installment and other | 30,678 | | 27,303 | |
| Lease financing | 66 | | 95 | |
| Governments and official institutions | 3,552 | | 4,128 | |
| Total | $ | 195,272 | | $ | 194,185 | |
Corporate loans, net of unearned income(3) | $ | 404,179 | | $ | 389,935 | |
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($854) million and ($791) million at June 30, 2020 and December 31, 2019, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31,
2016 |
| In U.S. offices | | |
| Commercial and industrial | $ | 51,679 |
| $ | 49,586 |
|
| Financial institutions | 37,203 |
| 35,517 |
|
Mortgage and real estate(1) | 43,274 |
| 38,691 |
|
| Installment, revolving credit and other | 32,464 |
| 34,501 |
|
| Lease financing | 1,493 |
| 1,518 |
|
| | $ | 166,113 |
| $ | 159,813 |
|
| In offices outside the U.S. | | |
| Commercial and industrial | $ | 93,107 |
| $ | 81,882 |
|
| Financial institutions | 33,050 |
| 26,886 |
|
Mortgage and real estate(1) | 6,383 |
| 5,363 |
|
| Installment, revolving credit and other | 23,830 |
| 19,965 |
|
| Lease financing | 216 |
| 251 |
|
| Governments and official institutions | 5,628 |
| 5,850 |
|
| | $ | 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 |
|
| |
(1) | Loans secured primarily by real estate. |
The Company sold and/or reclassified to held-for-sale $0.1$0.8 billion and $0.6$1.0 billion of corporate loans during the three and ninesix months ended SeptemberJune 30, 2017,2020, respectively, and $0.8 billion and $1.3 billion and $2.6 billionof corporate loans during the three and ninesix months ended SeptemberJune 30, 2016,2019, 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, 20172020 or 2016.2019.
Corporate Loan DelinquencyDelinquencies and Non-Accrual Details at SeptemberJune 30, 20172020 | | | 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) | 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 |
| Commercial and industrial | $ | 971 | | $ | 108 | | $ | 1,079 | | $ | 3,202 | | $ | 178,084 | | $ | 182,365 | |
| Financial institutions | 348 |
| 1 |
| 349 |
| 224 |
| 69,232 |
| 69,805 |
| Financial institutions | 1,031 | | 67 | | 1,098 | | 244 | | 85,884 | | 87,226 | |
| Mortgage and real estate | 280 |
| 9 |
| 289 |
| 169 |
| 49,176 |
| 49,634 |
| Mortgage and real estate | 986 | | 221 | | 1,207 | | 455 | | 66,484 | | 68,146 | |
| Leases | 31 |
| 18 |
| 49 |
| 60 |
| 1,590 |
| 1,699 |
| |
| Lease financing | | Lease financing | — | | 3 | | 3 | | 36 | | 896 | | 935 | |
| Other | 402 |
| 30 |
| 432 |
| 133 |
| 60,381 |
| 60,946 |
| Other | 143 | | 30 | | 173 | | 79 | | 59,472 | | 59,724 | |
| Loans at fair value |
|
|
|
|
|
|
|
|
|
| 4,281 |
| Loans at fair value | | 5,783 | |
| Purchased distressed loans |
|
|
|
|
|
|
|
|
|
| — |
| |
| | Total | $ | 1,269 |
| $ | 116 |
| $ | 1,385 |
| $ | 2,054 |
| $ | 319,887 |
| $ | 327,607 |
| Total | $ | 3,131 | | $ | 429 | | $ | 3,560 | | $ | 4,016 | | $ | 390,820 | | $ | 404,179 | |
Corporate Loan DelinquencyDelinquencies and Non-Accrual Details at December 31, 20162019 | | | 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) | In millions of dollars | 30–89 days past due and accruing(1) | ≥ 90 days past due and accruing(1) | Total past due
and accruing | Total non-accrual(2) | Total current(3) | Total loans(4) |
| Commercial and industrial | $ | 143 |
| $ | 52 |
| $ | 195 |
| $ | 1,909 |
| $ | 127,012 |
| $ | 129,116 |
| Commercial and industrial | $ | 676 | | $ | 93 | | $ | 769 | | $ | 1,828 | | $ | 164,249 | | $ | 166,846 | |
| Financial institutions | 119 |
| 2 |
| 121 |
| 185 |
| 61,254 |
| 61,560 |
| Financial institutions | 791 | | 3 | | 794 | | 50 | | 91,008 | | 91,852 | |
| Mortgage and real estate | 148 |
| 137 |
| 285 |
| 139 |
| 43,607 |
| 44,031 |
| Mortgage and real estate | 534 | | 4 | | 538 | | 188 | | 62,425 | | 63,151 | |
| Leases | 27 |
| 8 |
| 35 |
| 56 |
| 1,678 |
| 1,769 |
| |
| Lease financing | | Lease financing | 58 | | 9 | | 67 | | 41 | | 1,277 | | 1,385 | |
| Other | 349 |
| 12 |
| 361 |
| 132 |
| 58,880 |
| 59,373 |
| Other | 190 | | 22 | | 212 | | 81 | | 62,341 | | 62,634 | |
| Loans at fair value |
|
|
|
|
|
|
|
|
|
| 3,457 |
| Loans at fair value | | 4,067 | |
| Purchased distressed loans |
|
|
|
|
|
|
|
|
|
| — |
| |
| | Total | $ | 786 |
| $ | 211 |
| $ | 997 |
| $ | 2,421 |
| $ | 292,431 |
| $ | 299,306 |
| Total | $ | 2,249 | | $ | 131 | | $ | 2,380 | | $ | 2,188 | | $ | 381,300 | | $ | 389,935 | |
| |
(1) | Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid. |
| |
(2) | Non-accrual loans generally include those loans that are ≥ 90 days past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful. |
| |
(3) | Loans less than 30 days past due are presented as current. |
| |
(4) | Total loans include loans at fair value, which are not included in the various delinquency columns. |
(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) | | | | | | | | | |
| Term loans by year of origination | | | | | | Revolving line of credit arrangements(2) | | Totals as of | |
| In millions of dollars | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | | | June 30,
2020 | December 31,
2019 |
Investment grade(3) | | | | | | | | | | |
Commercial and industrial(4) | $ | 35,627 | | $ | 9,480 | | $ | 7,242 | | $ | 5,035 | | $ | 2,233 | | $ | 10,162 | | $ | 36,478 | | | $ | 106,257 | | $ | 110,797 | |
Financial institutions(4) | 8,131 | | 5,359 | | 4,125 | | 1,626 | | 1,458 | | 4,941 | | 47,425 | | | 73,065 | | 80,533 | |
| Mortgage and real estate | 3,614 | | 6,267 | | 5,622 | | 3,207 | | 1,436 | | 3,017 | | 3,086 | | | 26,249 | | 27,571 | |
Other(5) | 6,782 | | 3,597 | | 5,219 | | 1,312 | | 706 | | 5,845 | | 29,753 | | | 53,214 | | 58,155 | |
| Total investment grade | $ | 54,154 | | $ | 24,703 | | $ | 22,208 | | $ | 11,180 | | $ | 5,833 | | $ | 23,965 | | $ | 116,742 | | | $ | 258,785 | | $ | 277,056 | |
Non-investment grade(3) | | | | | | | | | | |
| Accrual | | | | | | | | | | |
Commercial and industrial(4) | $ | 18,097 | | $ | 7,045 | | $ | 5,922 | | $ | 3,431 | | $ | 1,061 | | $ | 6,022 | | $ | 31,045 | | | $ | 72,623 | | $ | 54,220 | |
Financial institutions(4) | 7,189 | | 1,343 | | 742 | | 337 | | 39 | | 1,562 | | 2,705 | | | 13,917 | | 11,269 | |
| Mortgage and real estate | 1,217 | | 1,193 | | 2,031 | | 1,025 | | 512 | | 941 | | 920 | | | 7,839 | | 3,811 | |
Other(5) | 1,179 | | 1,567 | | 603 | | 160 | | 197 | | 783 | | 2,840 | | | 7,329 | | 5,734 | |
| Non-accrual | | | | | | | | | | |
Commercial and industrial(4) | 207 | | 108 | | 54 | | 181 | | 72 | | 343 | | 2,237 | | | 3,202 | | 1,828 | |
| Financial institutions | — | | — | | — | | — | | — | | 26 | | 218 | | | 244 | | 50 | |
| Mortgage and real estate | 2 | | 4 | | 2 | | 10 | | 6 | | 52 | | 379 | | | 455 | | 188 | |
Other(5) | 13 | | 8 | | — | | 15 | | — | | 42 | | 37 | | | 115 | | 122 | |
| Total non-investment grade | $ | 27,904 | | $ | 11,268 | | $ | 9,354 | | $ | 5,159 | | $ | 1,887 | | $ | 9,771 | | $ | 40,381 | | | $ | 105,724 | | $ | 77,222 | |
Non-rated private bank loans managed on a delinquency basis(3)(6) | $ | 4,461 | | $ | 7,597 | | $ | 3,822 | | $ | 4,171 | | $ | 4,604 | | $ | 9,232 | | $ | — | | | $ | 33,887 | | $ | 31,590 | |
Loans at fair value(7) | | | | | | | | | 5,783 | | 4,067 | |
| Corporate loans, net of unearned income | $ | 86,519 | | $ | 43,568 | | $ | 35,384 | | $ | 20,510 | | $ | 12,324 | | $ | 42,968 | | $ | 157,123 | | | $ | 404,179 | | $ | 389,935 | |
|
| | | | | | |
| | Recorded investment in loans(1) |
| In millions of dollars | September 30,
2017 | December 31,
2016 |
Investment grade(2) | | |
| Commercial and industrial | $ | 100,024 |
| $ | 87,201 |
|
| Financial institutions | 58,666 |
| 50,597 |
|
| Mortgage and real estate | 22,102 |
| 18,718 |
|
| Leases | 1,117 |
| 1,303 |
|
| Other | 55,231 |
| 52,828 |
|
| Total investment grade | $ | 237,140 |
| $ | 210,647 |
|
Non-investment grade(2) | | |
| Accrual | | |
| Commercial and industrial | $ | 39,750 |
| $ | 39,874 |
|
| Financial institutions | 10,916 |
| 10,873 |
|
| Mortgage and real estate | 2,256 |
| 1,821 |
|
| Leases | 522 |
| 410 |
|
| Other | 5,580 |
| 6,450 |
|
| Non-accrual | | |
| Commercial and industrial | 1,468 |
| 1,909 |
|
| Financial institutions | 224 |
| 185 |
|
| Mortgage and real estate | 169 |
| 139 |
|
| Leases | 60 |
| 56 |
|
| Other | 133 |
| 132 |
|
| Total non-investment grade | $ | 61,078 |
| $ | 61,849 |
|
Non-rated private bank loans managed on a delinquency basis(2) | $ | 25,108 |
| $ | 23,353 |
|
| Loans at fair value | 4,281 |
| 3,457 |
|
| Corporate loans, net of unearned income | $ | 327,607 |
| $ | 299,306 |
|
| |
(1) | Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs. |
| |
(2) | Held-for-investment loans are accounted for on an amortized cost basis. |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.(2)There were no significant revolving line of credit arrangements that converted to term loans during the quarter.
(3)Held-for-investment loans are accounted for on an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Non-rated private bank loans mainly include mortgage and real estate loans to private banking clients.
(7)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.
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, 2017 | Three Months Ended
September 30, 2017 | Nine Months Ended
September 30, 2017 | | June 30, 2020 | | Three Months Ended
June 30, 2020 | Six Months Ended
June 30, 2020 |
| 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) | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | Interest income recognized(3) |
| Non-accrual corporate loans | | | | | Non-accrual corporate loans | | | |
| Commercial and industrial | $ | 1,468 |
| $ | 1,682 |
| $ | 336 |
| $ | 1,648 |
| $ | 10 |
| $ | 20 |
| Commercial and industrial | $ | 3,202 | | $ | 3,824 | | $ | 682 | | $ | 2,099 | | $ | 3 | | $ | 5 | |
| Financial institutions | 224 |
| 340 |
| 27 |
| 236 |
| — |
| — |
| Financial institutions | 244 | | 283 | | 38 | | 90 | | — | | — | |
| Mortgage and real estate | 169 |
| 293 |
| 9 |
| 169 |
| — |
| 9 |
| Mortgage and real estate | 455 | | 455 | | 40 | | 255 | | — | | — | |
| Lease financing | 60 |
| 60 |
| 4 |
| 62 |
| — |
| — |
| Lease financing | 36 | | 36 | | — | | 30 | | — | | — | |
| Other | 133 |
| 240 |
| 1 |
| 115 |
| 1 |
| 1 |
| Other | 79 | | 88 | | 8 | | 161 | | 1 | | 14 | |
| Total non-accrual corporate loans | $ | 2,054 |
| $ | 2,615 |
| $ | 377 |
| $ | 2,230 |
| $ | 11 |
| $ | 30 |
| Total non-accrual corporate loans | $ | 4,016 | | $ | 4,686 | | $ | 768 | | $ | 2,635 | | $ | 4 | | $ | 19 | |
| | | | December 31, 2016 | | December 31, 2019 | |
| In millions of dollars | Recorded investment(1) | Unpaid principal balance | Related specific allowance | Average carrying value(2) | In millions of dollars | Recorded investment(1) | Unpaid
principal balance | Related specific
allowance | Average carrying value(2) | |
| Non-accrual corporate loans | | Non-accrual corporate loans | | |
| Commercial and industrial | $ | 1,909 |
| $ | 2,259 |
| $ | 362 |
| $ | 1,919 |
| Commercial and industrial | $ | 1,828 | | $ | 1,942 | | $ | 283 | | $ | 1,449 | | |
| Financial institutions | 185 |
| 192 |
| 16 |
| 183 |
| Financial institutions | 50 | | 120 | | 2 | | 63 | | |
| Mortgage and real estate | 139 |
| 250 |
| 10 |
| 174 |
| Mortgage and real estate | 188 | | 362 | | 10 | | 192 | | |
| Lease financing | 56 |
| 56 |
| 4 |
| 44 |
| Lease financing | 41 | | 41 | | — | | 8 | | |
| Other | 132 |
| 197 |
| — |
| 87 |
| Other | 81 | | 202 | | 4 | | 76 | | |
| Total non-accrual corporate loans | $ | 2,421 |
| $ | 2,954 |
| $ | 392 |
| $ | 2,407 |
| Total non-accrual corporate loans | $ | 2,188 | | $ | 2,667 | | $ | 299 | | $ | 1,788 | | |
| | | | | | | | | | | | | | |
| | June 30, 2020 | | December 31, 2019 | |
| In millions of dollars | Recorded investment(1) | Related specific
allowance | Recorded investment(1) | Related specific
allowance |
| Non-accrual corporate loans with specific allowances | | | | |
| Commercial and industrial | $ | 1,840 | | $ | 682 | | $ | 714 | | $ | 283 | |
| Financial institutions | 216 | | 38 | | 40 | | 2 | |
| Mortgage and real estate | 277 | | 40 | | 48 | | 10 | |
| Lease financing | 36 | | — | | — | | — | |
| Other | 41 | | 8 | | 7 | | 4 | |
| Total non-accrual corporate loans with specific allowance | $ | 2,410 | | $ | 768 | | $ | 809 | | $ | 299 | |
| Non-accrual corporate loans without specific allowance | | | | |
| Commercial and industrial | $ | 1,362 | | | $ | 1,114 | | |
| Financial institutions | 28 | | | 10 | | |
| Mortgage and real estate | 178 | | | 140 | | |
| Lease financing | — | | | 41 | | |
| Other | 38 | | | 74 | | |
| Total non-accrual corporate loans without specific allowance | $ | 1,606 | | N/A | $ | 1,379 | | N/A |
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowance.
(3)Interest income recognized for the three and six months ended June 30, 2019 was $8 million and $24 million, respectively.
N/A Not applicable
|
| | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars | Recorded investment(1) | Related specific allowance | Recorded investment(1) | Related specific allowance |
| Non-accrual corporate loans with valuation allowances | | | | |
| Commercial and industrial | $ | 919 |
| $ | 336 |
| $ | 1,343 |
| $ | 362 |
|
| Financial institutions | 58 |
| 27 |
| 45 |
| 16 |
|
| Mortgage and real estate | 34 |
| 9 |
| 41 |
| 10 |
|
| Lease financing | 48 |
| 4 |
| 55 |
| 4 |
|
| Other | 3 |
| 1 |
| 1 |
| — |
|
| Total non-accrual corporate loans with specific allowance | $ | 1,062 |
| $ | 377 |
| $ | 1,485 |
| $ | 392 |
|
| Non-accrual corporate loans without specific allowance | | | | |
| Commercial and industrial | $ | 549 |
| |
| $ | 566 |
| |
|
| Financial institutions | 166 |
| |
| 140 |
| |
|
| Mortgage and real estate | 135 |
| |
| 98 |
| |
|
| Lease financing | 12 |
| |
| 1 |
| |
|
| Other | 130 |
| |
| 131 |
| |
|
| Total non-accrual corporate loans without specific allowance | $ | 992 |
| N/A |
| $ | 936 |
| N/A |
|
| |
(1) | Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs. |
| |
(2) | Average carrying value represents the average recorded investment balance and does not include related specific allowance. |
| |
(3) | Interest income recognized for the three- and nine-month periods ended September 30, 2016 was $10 million and $36 million. |
Corporate Troubled Debt Restructurings(1)
AtThree and Six Months Ended June 30, 2020
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Three Months Ended June 30, 2020 | | | | | | |
| Commercial and industrial | $ | 86 | | $ | — | | $ | — | | $ | 86 | | | |
| | | | | | |
| Mortgage and real estate | 4 | | — | | — | | 4 | | | |
| Other | 4 | | 4 | | — | | — | | | |
| Total | $ | 94 | | $ | 4 | | $ | — | | $ | 90 | | | |
| Six Months Ended June 30, 2020 | | | | | | |
| Commercial and industrial | $ | 148 | | $ | — | | $ | — | | $ | 148 | | | |
| | | | | | |
| Mortgage and real estate | 8 | | — | | — | | 8 | | | |
| Other | 4 | | 4 | | — | | — | | | |
| Total | $ | 160 | | $ | 4 | | $ | — | | $ | 156 | | | |
Three and Six Months ended June 30, 2019:
| | | | | | | | | | | | | | | | |
| In millions of dollars | Carrying value of TDRs modified
during the period | TDRs involving changes in the amount and/or timing of principal payments(3) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments | | |
| Three Months Ended June 30, 2019 | | | | | | |
| Commercial and industrial | $ | 55 | | $ | 19 | | $ | — | | $ | 36 | | | |
| Mortgage and real estate | 3 | | — | | — | | 3 | | | |
| Other | 6 | | 6 | | — | | — | | | |
| | | | | | |
| Total | $ | 64 | | $ | 25 | | $ | — | | $ | 39 | | | |
| Six Months Ended June 30, 2019 | | | | | | |
| Commercial and industrial | $ | 135 | | $ | 19 | | $ | — | | $ | 116 | | | |
| Mortgage and real estate | 7 | | — | | — | | 7 | | | |
| Other | 6 | | 6 | | — | | — | | | |
| | | | | | |
| Total | $ | 148 | | $ | 25 | | $ | — | | $ | 123 | | | |
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance.
(2)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the three months ended September 30, 2017: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.
(3)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.
|
| | | | | | | | | | | | |
| In millions of dollars | Carrying Value | TDRs involving changes in the amount and/or timing of principal payments(1) | TDRs involving changes in the amount and/or timing of interest payments(2) | TDRs involving changes in the amount and/or timing of both principal and interest payments |
| Commercial and industrial | $ | 175 |
| $ | 99 |
| $ | — |
| $ | 76 |
|
| Mortgage and real estate | 14 |
| — |
| — |
| 14 |
|
| Total | $ | 189 |
| $ | 99 |
| $ | — |
| $ | 90 |
|
At and for the three months ended September 30, 2016: |
| | | | | | | | | | | | |
| In millions of dollars | Carrying Value | TDRs involving changes in the amount and/or timing of principal payments(1) | TDRs involving changes in the amount and/or timing of interest payments(2) | TDRs involving changes in the amount and/or timing of both principal and interest payments |
| Commercial and industrial | $ | 112 |
| $ | 103 |
| $ | 2 |
| $ | 7 |
|
| Financial institutions | 10 |
| 10 |
| — |
| — |
|
| Mortgage and real estate | 2 |
| 1 |
| — |
| 1 |
|
| Total | $ | 124 |
| $ | 114 |
| $ | 2 |
| $ | 8 |
|
At and for the nine months ended September 30, 2017: |
| | | | | | | | | | | | |
| In millions of dollars | Carrying Value | TDRs involving changes in the amount and/or timing of principal payments(1) | TDRs involving changes in the amount and/or timing of interest payments(2) | TDRs involving changes in the amount and/or timing of both principal and interest payments |
| Commercial and industrial | $ | 463 |
| $ | 131 |
| $ | — |
| $ | 332 |
|
| Financial institutions | 15 |
| — |
| — |
| 15 |
|
| Mortgage and real estate | 18 |
| — |
| — |
| 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 |
| Commercial and industrial | $ | 316 |
| $ | 176 |
| $ | 34 |
| $ | 106 |
|
| Financial institutions | 10 |
| 10 |
| — |
| — |
|
| Mortgage and real estate | 7 |
| 1 |
| — |
| 6 |
|
| Other | 142 |
| — |
| 142 |
| — |
|
| Total | $ | 475 |
| $ | 187 |
| $ | 176 |
| $ | 112 |
|
| |
(1) | TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification. |
| |
(2) | TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate. |
The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
| | | | | | | | | | | | | | | | | | | | |
| | TDR loans in payment default | | | TDR loans in payment default | |
| In millions of dollars | TDR balances at June 30, 2020 | Three Months Ended
June 30, 2020 | Six Months Ended
June 30, 2020 | TDR balances at June 30, 2019 | Three Months Ended
June 30, 2019 | Six Months
Ended
June 30, 2019 |
| Commercial and industrial | $ | 406 | | $ | — | | $ | — | | $ | 601 | | $ | 21 | | $ | 21 | |
| Financial institutions | — | | — | | — | | 10 | | — | | — | |
| Mortgage and real estate | 91 | | — | | — | | 112 | | — | | — | |
| Other | 10 | | — | | — | | 6 | | — | | — | |
Total(1) | $ | 507 | | $ | — | | $ | — | | $ | 729 | | $ | 21 | | $ | 21 | |
(1)The above table reflects activity for loans outstanding that were considered TDRs as of the end of the reporting period.
|
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | TDR balances at September 30, 2017 | TDR loans in payment default during the three months ended September 30, 2017 | TDR loans in payment default nine months ended September 30, 2017 | TDR balances at September 30, 2016 | TDR loans in payment default during the three months ended September 30, 2016 | TDR loans in payment default during the nine months ended
September 30, 2016 |
| Commercial and industrial | $ | 686 |
| $ | — |
| $ | 12 |
| $ | 394 |
| $ | — |
| $ | 7 |
|
| Loans to financial institutions | 24 |
| — |
| 3 |
| 10 |
| — |
| — |
|
| Mortgage and real estate | 84 |
| — |
| — |
| 80 |
| — |
| — |
|
| Other | 155 |
| — |
| — |
| 291 |
| — |
| — |
|
Total(1) | $ | 949 |
| $ | — |
| $ | 15 |
| $ | 775 |
| $ | — |
| $ | 7 |
|
| |
(1) | The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs. |
14. ALLOWANCE FOR CREDIT LOSSES
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | | Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 |
| Allowance for credit losses on loans (ACLL) at beginning of period | $ | 20,841 | | $ | 12,329 | | $ | 12,783 | | $ | 12,315 | |
Adjustment to opening balance for CECL adoption(1) | — | | — | | 4,201 | | — | |
| Adjusted ACLL at beginning of period | $ | 20,841 | | $ | 12,329 | | $ | 16,984 | | $ | 12,315 | |
| Gross credit losses on loans | $ | (2,528) | | $ | (2,354) | | $ | (5,007) | | $ | (4,699) | |
Gross recoveries on loans(2) | 322 | | 391 | | 693 | | 788 | |
| Net credit losses on loans (NCLs) | $ | (2,206) | | $ | (1,963) | | $ | (4,314) | | $ | (3,911) | |
| NCLs | $ | 2,206 | | $ | 1,963 | | $ | 4,314 | | $ | 3,911 | |
Net reserve builds (releases) for loans(3) | 4,856 | | 53 | | 8,968 | | 120 | |
| Net specific reserve builds (releases) for loans | 634 | | 73 | | 858 | | 2 | |
| Total provision for credit losses on loans (PCLL) | $ | 7,696 | | $ | 2,089 | | $ | 14,140 | | $ | 4,033 | |
Initial allowance for credit losses on newly purchased credit
deteriorated assets during the period | — | | — | | 4 | — | |
| Other, net (see table below) | 89 | | 11 | | (394) | | 29 | |
| ACLL at end of period | $ | 26,420 | | $ | 12,466 | | $ | 26,420 | | $ | 12,466 | |
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(4) | $ | 1,813 | | $ | 1,391 | | $ | 1,456 | | $ | 1,367 | |
Adjustment to opening balance for CECL adoption(1) | — | | — | | (194) | | — | |
| Provision (release) for credit losses on unfunded lending commitments | 113 | | (15) | | 670 | | 9 | |
Other, net(5) | (67) | | — | | (73) | | — | |
ACLUC at end of period(4) | $ | 1,859 | | $ | 1,376 | | $ | 1,859 | | $ | 1,376 | |
| Total allowance for credit losses on loans, leases and unfunded lending commitments | $ | 28,279 | | $ | 13,842 | | $ | 28,279 | | $ | 13,842 | |
| | | | | | | | | | | | | | |
| Other, net details | Three Months Ended June 30, | | Six Months Ended June 30, | |
| | | | |
| | | | |
| | | | |
| | | | |
| Sales or transfers of various consumer loan portfolios to HFS | $ | (1) | | $ | (4) | | $ | (4) | | $ | (4) | |
FX translation(6) | 88 | | 13 | | (395) | | 39 | |
| Other | 2 | | 2 | | 5 | | (6) | |
| Other, net | $ | 89 | | $ | 11 | | $ | (394) | | $ | 29 | |
(1)See Note 1 to the Consolidated Financial Statements for further discussion on the impact of Citi’s adoption of CECL.
(2)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(3)During the second quarter of 2020, Citi updated its ACLL estimate of lifetime credit losses resulting from a change in accounting for variable post-charge-off third-party agency collection costs in its U.S. Consumer businesses. After June 30, 2020, these costs will be recorded as operating expenses for future periods as they are incurred. The impact of this change in estimate effected by a change in accounting principle resulted in an approximate $426 million reduction in Citi's estimated ACLL at June 30, 2020.
(4)Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.
(5)At June 30, 2020, the Corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees as of March 31, 2020. The reserves on these contracts have been reclassified out of the allowance for credit losses on unfunded lending commitments and into other liabilities as of June 30, 2020.
(6)Primarily related to consumer. The corporate allowance is predominantly sourced in U.S. dollars.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Allowance for loan losses at beginning of period | $ | 12,025 |
| $ | 12,304 |
| $ | 12,060 |
| $ | 12,626 |
|
| Gross credit losses | (2,120 | ) | (1,948 | ) | (6,394 | ) | (6,139 | ) |
Gross recoveries(1) | 343 |
| 423 |
| 1,198 |
| 1,274 |
|
| Net credit losses (NCLs) | $ | (1,777 | ) | $ | (1,525 | ) | $ | (5,196 | ) | $ | (4,865 | ) |
| NCLs | $ | 1,777 |
| $ | 1,525 |
| $ | 5,196 |
| $ | 4,865 |
|
| Net reserve builds | 419 |
| 258 |
| 466 |
| 210 |
|
| Net specific reserve releases | (50 | ) | (37 | ) | (175 | ) | (53 | ) |
| Total provision for loan losses | $ | 2,146 |
| $ | 1,746 |
| $ | 5,487 |
| $ | 5,022 |
|
| Other, net (see table below) | (28 | ) | (86 | ) | 15 |
| (344 | ) |
| Allowance for loan losses at end of period | $ | 12,366 |
| $ | 12,439 |
| $ | 12,366 |
| $ | 12,439 |
|
| Allowance for credit losses on unfunded lending commitments at beginning of period | $ | 1,406 |
| $ | 1,432 |
| $ | 1,418 |
| $ | 1,402 |
|
| Release for unfunded lending commitments | (175 | ) | (45 | ) | (190 | ) | (4 | ) |
| Other, net | 1 |
| 1 |
| 4 |
| (10 | ) |
Allowance for credit losses on unfunded lending commitments at end of period(2) | $ | 1,232 |
| $ | 1,388 |
| $ | 1,232 |
| $ | 1,388 |
|
| Total allowance for loans, leases and unfunded lending commitments | $ | 13,598 |
| $ | 13,827 |
| $ | 13,598 |
| $ | 13,827 |
|
| |
(1) | Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful. |
| |
(2) | Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.
|
|
| | | | | | | | | | | | |
| Other, net details | Three Months Ended September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| 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, consumer | 7 |
| (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 Ended | | | | | |
| June 30, 2020 | | | June 30, 2019 | | |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| ACLL at beginning of period | $ | 3,451 | | $ | 17,390 | | $ | 20,841 | | $ | 2,731 | | $ | 9,598 | | $ | 12,329 | |
| | | | | | |
| Charge-offs | (347) | | (2,181) | | (2,528) | | (104) | | (2,250) | | (2,354) | |
| Recoveries | 23 | | 299 | | 322 | | 15 | | 376 | | 391 | |
| Replenishment of net charge-offs | 324 | | 1,882 | | 2,206 | | 89 | | 1,874 | | 1,963 | |
| Net reserve builds (releases) | 2,883 | | 1,973 | | 4,856 | | 50 | | 3 | | 53 | |
| Net specific reserve builds (releases) | 486 | | 148 | | 634 | | 3 | | 70 | | 73 | |
| Initial allowance for credit losses on newly purchased credit deteriorated assets during the period | — | | — | | — | | — | | — | | — | |
| Other | 4 | | 85 | | 89 | | 3 | | 8 | | 11 | |
| Ending balance | $ | 6,824 | | $ | 19,596 | | $ | 26,420 | | $ | 2,787 | | $ | 9,679 | | $ | 12,466 | |
| Six Months Ended | | | | | |
| June 30, 2020 | | | June 30, 2019 | | |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| ACLL at beginning of period | $ | 2,886 | | $ | 9,897 | | $ | 12,783 | | $ | 2,811 | | $ | 9,504 | | $ | 12,315 | |
| Adjustment to opening balance for CECL adoption | (721) | | 4,922 | | 4,201 | | — | | — | | — | |
| Charge-offs | (485) | | (4,522) | | (5,007) | | (204) | | (4,495) | | (4,699) | |
| Recoveries | 34 | | 659 | | 693 | | 36 | | 752 | | 788 | |
| Replenishment of net charge-offs | 451 | | 3,863 | | 4,314 | | 168 | | 3,743 | | 3,911 | |
| Net reserve builds (releases) | 4,151 | | 4,817 | | 8,968 | | 54 | | 66 | | 120 | |
| Net specific reserve builds (releases) | 534 | | 324 | | 858 | | (76) | | 78 | | 2 | |
| Initial allowance for credit losses on newly purchased credit deteriorated assets during the period | — | | 4 | | 4 | | — | | — | | — | |
| Other | (26) | | (368) | | (394) | | (2) | | 31 | | 29 | |
| Ending balance | $ | 6,824 | | $ | 19,596 | | $ | 26,420 | | $ | 2,787 | | $ | 9,679 | | $ | 12,466 | |
| | | | | | | | | | | | | | | | | | | | |
| June 30, 2020 | | | December 31, 2019 | | |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Allowance for credit losses on loans | | | | | | |
| Collectively evaluated | $ | 6,056 | | $ | 18,344 | | $ | 24,400 | | $ | 2,587 | | $ | 8,706 | | $ | 11,293 | |
| Individually evaluated | 768 | | 1,247 | | 2,015 | | 299 | | 1,190 | | 1,489 | |
| Purchased credit deteriorated | — | | 5 | | 5 | | — | | 1 | | 1 | |
| Total allowance for credit losses on loans | $ | 6,824 | | $ | 19,596 | | $ | 26,420 | | $ | 2,886 | | $ | 9,897 | | $ | 12,783 | |
| Loans, net of unearned income | | | | | | |
| Collectively evaluated | $ | 394,380 | | $ | 276,470 | | $ | 670,850 | | $ | 383,828 | | $ | 304,510 | | $ | 688,338 | |
| Individually evaluated | 4,016 | | 4,506 | | 8,522 | | 2,040 | | 4,892 | | 6,932 | |
| Purchased credit deteriorated | — | | 121 | | 121 | | — | | 128 | | 128 | |
| Held at fair value | 5,783 | | 16 | | 5,799 | | 4,067 | | 18 | | 4,085 | |
| Total loans, net of unearned income | $ | 404,179 | | $ | 281,113 | | $ | 685,292 | | $ | 389,935 | | $ | 309,548 | | $ | 699,483 | |
Allowance for Credit Losses on AFS Debt Securities
| | | | | | | | | | | | | | | | |
| | | | Three Months Ended June 30, 2020 | | | | |
| In millions of dollars | | | | Foreign government | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | | | | $ | — | | | | $ | — | | $ | — | |
| Less: Write-offs | | | | — | | | | — | | — | |
| Recoveries of amounts written-off | | | | — | | | | — | | — | |
| Net credit losses (NCLs) | | | | $ | — | | | | $ | — | | $ | — | |
| NCLs | | | | $ | — | | | | $ | — | | $ | — | |
| Credit losses on securities without previous credit losses | | | | 3 | | | | 5 | | 8 | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| Total provision for credit losses | | | | $ | 3 | | | | $ | 5 | | $ | 8 | |
| Initial allowance on newly purchased credit deteriorated securities during the period | | | | — | | | | — | | — | |
| Allowance for credit losses at end of period | | | | $ | 3 | | | | $ | 5 | | $ | 8 | |
| | | | Six Months Ended June 30, 2020 | | | | |
| In millions of dollars | | | | Foreign government | | | Corporate | Total AFS |
| Allowance for credit losses at beginning of period | | | | $ | — | | | | $ | — | | $ | — | |
| Adjustment to opening balance for CECL adoption | | | | — | | | | — | | — | |
| Less: Write-offs | | | | — | | | | — | | — | |
| Recoveries of amounts written-off | | | | — | | | | — | | — | |
| Net credit losses (NCLs) | | | | $ | — | | | | $ | — | | $ | — | |
| NCLs | | | | $ | — | | | | $ | — | | $ | — | |
| Credit losses on securities without previous credit losses | | | | 3 | | | | 5 | | 8 | |
| | | | | | | | |
| | | | | | | | |
| | | | | | | | |
| Total provision for credit losses | | | | $ | 3 | | | | $ | 5 | | $ | 8 | |
| Initial allowance on newly purchased credit deteriorated securities during the period | | | | — | | | | — | | — | |
| Allowance for credit losses at end of period | | | | $ | 3 | | | | $ | 5 | | $ | 8 | |
|
| | | | | | | | | | | | | | | | | | |
| | Three Months Ended |
| | September 30, 2017 | September 30, 2016 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Allowance for loan losses at beginning of period | $ | 2,510 |
| $ | 9,515 |
| $ | 12,025 |
| $ | 2,872 |
| $ | 9,432 |
| $ | 12,304 |
|
| Charge-offs | (49 | ) | (2,071 | ) | (2,120 | ) | (63 | ) | (1,885 | ) | (1,948 | ) |
| Recoveries | 6 |
| 337 |
| 343 |
| 23 |
| 400 |
| 423 |
|
| Replenishment of net charge-offs | 43 |
| 1,734 |
| 1,777 |
| 40 |
| 1,485 |
| 1,525 |
|
| Net reserve builds (releases) | (60 | ) | 479 |
| 419 |
| (110 | ) | 368 |
| 258 |
|
| Net specific reserve builds (releases) | 21 |
| (71 | ) | (50 | ) | (1 | ) | (36 | ) | (37 | ) |
| Other | 3 |
| (31 | ) | (28 | ) | 5 |
| (91 | ) | (86 | ) |
| Ending balance | $ | 2,474 |
| $ | 9,892 |
| $ | 12,366 |
| $ | 2,766 |
| $ | 9,673 |
| $ | 12,439 |
|
Allowance for Credit Losses on HTM Debt Securities
| | | | | | | | | | | | | | | | | | |
| | | Three Months Ended June 30, 2020 | | | | | |
| In millions of dollars | | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
| Allowance for credit losses on HTM debt securities at beginning of period | | | $ | 66 | | $ | 4 | | | $ | 6 | | | $ | 76 | |
| | | | | | | | |
| | | | | | | | |
| Net credit losses (NCLs) | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| NCLs | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds (releases) | | | 30 | | 2 | | | (1) | | | 31 | |
| Net specific reserve builds (releases) | | | — | | — | | | — | | | — | |
| Total provision for credit losses on HTM debt securities | | | $ | 30 | | $ | 2 | | | $ | (1) | | | $ | 31 | |
| Other, net | | | $ | 3 | | $ | — | | | $ | (3) | | | $ | — | |
| Initial allowance for credit losses on newly purchased credit deteriorated securities during the period | | | — | | — | | | — | | | — | |
| Allowance for credit losses on HTM debt securities at end of period | | | $ | 99 | | $ | 6 | | | $ | 2 | | | $ | 107 | |
| | | | | | | | |
| | | Six Months Ended June 30, 2020 | | | | | |
| In millions of dollars | | | State and municipal | Foreign government | | Asset-backed | | Total HTM |
| Allowance for credit losses on HTM debt securities at beginning of period | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Adjustment to opening balance for CECL adoption | | | 61 | | 4 | | | 5 | | | 70 | |
| | | | | | | | |
| | | | | | | | |
| Net credit losses (NCLs) | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| NCLs | | | $ | — | | $ | — | | | $ | — | | | $ | — | |
| Net reserve builds (releases) | | | 35 | | 2 | | | — | | | 37 | |
| Net specific reserve builds (releases) | | | — | | — | | | — | | | — | |
| Total provision for credit losses on HTM debt securities | | | $ | 35 | | $ | 2 | | | $ | — | | | $ | 37 | |
| Other, net | | | $ | 3 | | $ | — | | | $ | (3) | | | $ | — | |
| Initial allowance for credit losses on newly purchased credit deteriorated securities during the period | | | — | | — | | | — | | | — | |
| Allowance for credit losses on HTM debt securities at end of period | | | $ | 99 | | $ | 6 | | | $ | 2 | | | $ | 107 | |
Allowance for Credit Losses on Other Assets
| | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2020 | | | | | |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements to resell | Brokerage receivables | All other assets(1) | Total |
| Allowance for credit losses at beginning of period | $ | — | | $ | 8 | | $ | 5 | | $ | — | | $ | 41 | | $ | 54 | |
| | | | | | |
| | | | | | |
| | | | | | |
| Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| NCLs | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Net reserve builds (releases) | — | | 10 | | 2 | | — | | 36 | | 48 | |
| Total provision for credit losses | $ | — | | $ | 10 | | $ | 2 | | $ | — | | $ | 36 | | $ | 48 | |
| Other, net | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Allowance for credit losses on Other assets at end of period | $ | — | | $ | 18 | | $ | 7 | | $ | — | | $ | 77 | | $ | 102 | |
| | | | | | |
| Six Months Ended June 30, 2020 | | | | | |
| In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements to resell | Brokerage receivables | All other assets(1) | Total |
| Allowance for credit losses at beginning of period | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Adjustment to opening balance for CECL adoption | 6 | | 14 | | 2 | | 1 | | 3 | | 26 | |
| | | | | | |
| | | | | | |
| Net credit losses (NCLs) | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| NCLs | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| Net reserve builds (releases) | (6) | | 4 | | 5 | | (1) | | 42 | | 44 | |
| Total provision for credit losses | $ | (6) | | $ | 4 | | $ | 5 | | $ | (1) | | $ | 42 | | $ | 44 | |
| Other, net | $ | — | | $ | — | | $ | — | | $ | — | | $ | 32 | | $ | 32 | |
| Allowance for credit losses on Other assets at end of period | $ | — | | $ | 18 | | $ | 7 | | $ | — | | $ | 77 | | $ | 102 | |
|
| | | | | | | | | | | | | | | | | | |
| | Nine Months Ended |
| | September 30, 2017 | September 30, 2016 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| Allowance for loan losses at beginning of period | $ | 2,702 |
| $ | 9,358 |
| $ | 12,060 |
| $ | 2,791 |
| $ | 9,835 |
| $ | 12,626 |
|
| Charge-offs | (248 | ) | (6,146 | ) | (6,394 | ) | (445 | ) | (5,694 | ) | (6,139 | ) |
| Recoveries | 91 |
| 1,107 |
| 1,198 |
| 52 |
| 1,222 |
| 1,274 |
|
| Replenishment of net charge-offs | 157 |
| 5,039 |
| 5,196 |
| 393 |
| 4,472 |
| 4,865 |
|
| Net reserve builds (releases) | (230 | ) | 696 |
| 466 |
| (122 | ) | 332 |
| 210 |
|
| Net specific reserve builds (releases) | (18 | ) | (157 | ) | (175 | ) | 89 |
| (142 | ) | (53 | ) |
| Other | 20 |
| (5 | ) | 15 |
| 8 |
| (352 | ) | (344 | ) |
| Ending balance | $ | 2,474 |
| $ | 9,892 |
| $ | 12,366 |
| $ | 2,766 |
| $ | 9,673 |
| $ | 12,439 |
|
(1)Primarily accounts receivables.
|
| | | | | | | | | | | | | | | | | | |
| | September 30, 2017 | December 31, 2016 |
| In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total |
| 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 310-10-35 | 376 |
| 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 310-10-35 | 2,087 |
| 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 value | 4,281 |
| 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 dollars | Global Consumer Banking | Institutional Clients Group | Total |
| Balance at December 31, 2019 | $ | 12,102 | | $ | 10,024 | | $ | 22,126 | |
| Foreign currency translation | (265) | | (597) | | (862) | |
| Balance at March 31, 2020 | $ | 11,837 | | $ | 9,427 | | $ | 21,264 | |
| Foreign currency translation | 39 | | 96 | | 135 | |
| Balance at June 30, 2020 | $ | 11,876 | | $ | 9,523 | | $ | 21,399 | |
| | | |
| | | |
| | | |
| | | |
| | | |
| | | |
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.
During the three and six months ended June 30, 2020, Citi qualitatively assessed the current environment, including the estimated impact of the COVID-19 pandemic on macroeconomic variables and economic forecasts and how those might impact the fair value of reporting units. After consideration of the items above, the first and second quarter 2020 results, the results of the 2019 impairment test and latest available management forecasts, Citi determined it was not more-likely-than-not that the fair value of any reporting unit was below its book value as of June 30, 2020. For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 20162019 Annual Report on Form 10-K.
Goodwill
The changes in Goodwill were as follows:See Note 1 for Citi’s adoption of a new accounting standard regarding the subsequent measurement of goodwill.
|
| | | |
| 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 unit | Goodwill | Fair 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 Banking | 1,174 |
| 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, 2020 | | | December 31, 2019 | | |
| In millions of dollars | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount | Gross
carrying
amount | Accumulated
amortization | Net
carrying
amount |
| Purchased credit card relationships | $ | 5,642 | | $ | 4,115 | | $ | 1,527 | | $ | 5,676 | | $ | 4,059 | | $ | 1,617 | |
Credit card contract-related intangibles(1) | 3,427 | | 1,192 | | 2,235 | | 5,393 | | 3,069 | | 2,324 | |
| Core deposit intangibles | 42 | | 42 | | — | | 434 | | 433 | | 1 | |
| Other customer relationships | 428 | | 289 | | 139 | | 424 | | 275 | | 149 | |
| Present value of future profits | 27 | | 25 | | 2 | | 34 | | 31 | | 3 | |
| Indefinite-lived intangible assets | 194 | | — | | 194 | | 228 | | — | | 228 | |
| Other | 67 | | 58 | | 9 | | 82 | | 77 | | 5 | |
| Intangible assets (excluding MSRs) | $ | 9,827 | | $ | 5,721 | | $ | 4,106 | | $ | 12,271 | | $ | 7,944 | | $ | 4,327 | |
Mortgage servicing rights (MSRs)(2) | 345 | | — | | 345 | | 495 | | — | | 495 | |
| Total intangible assets | $ | 10,172 | | $ | 5,721 | | $ | 4,451 | | $ | 12,766 | | $ | 7,944 | | $ | 4,822 | |
|
| | | | | | | | | | | | | | | | | | |
| | September 30, 2017 | December 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 intangibles | 670 |
| 656 |
| 14 |
| 801 |
| 771 |
| 30 |
|
| Other customer relationships | 462 |
| 269 |
| 193 |
| 474 |
| 272 |
| 202 |
|
| Present value of future profits | 35 |
| 31 |
| 4 |
| 31 |
| 27 |
| 4 |
|
| Indefinite-lived intangible assets | 232 |
| — |
| 232 |
| 210 |
| — |
| 210 |
|
| Other | 113 |
| 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 |
|
(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 dollars | December 31,
2019 | Acquisitions/
divestitures | Amortization | Impairments | FX translation and other | June 30,
2020 |
Purchased credit card relationships(1) | $ | 1,617 | | $ | 11 | | $ | (99) | | $ | — | | $ | (2) | | $ | 1,527 | |
Credit card contract-related intangibles(2) | 2,324 | | 14 | | (101) | | — | | (2) | | 2,235 | |
| Core deposit intangibles | 1 | | — | | (1) | | — | | — | | — | |
| Other customer relationships | 149 | | — | | (12) | | — | | 2 | | 139 | |
| Present value of future profits | 3 | | — | | — | | — | | (1) | | 2 | |
| Indefinite-lived intangible assets | 228 | | — | | — | | — | | (34) | | 194 | |
| Other | 5 | | 7 | | (3) | | — | | — | | 9 | |
| Intangible assets (excluding MSRs) | $ | 4,327 | | $ | 32 | | $ | (216) | | $ | — | | $ | (37) | | $ | 4,106 | |
Mortgage servicing rights (MSRs)(3) | 495 | | | | | | 345 | |
| Total intangible assets | $ | 4,822 | | | | | | $ | 4,451 | |
(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles and include credit card accounts primarily in the Costco and Macy’s portfolios.
(2)Primarily reflects contract-related intangibles associated with the American Airlines, Costco, The Home Depot, and AT&T credit card program agreements, which represented 96% of the aggregate net carrying amount at June 30, 2020 and December 31, 2019.
(3)For additional information on Citi’s MSRs, including the rollforward for the three and six months ended June 30, 2020, see Note 18 to the Consolidated Financial Statements.
|
| | | | | | | | | | | | | | | |
| | Net carrying
amount at | | | | Net carrying amount at |
| In millions of dollars | December 31,
2016 | Acquisitions/ divestitures | Amortization | FX translation and other | September 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 intangibles | 30 |
| — |
| (18 | ) | 2 |
| 14 |
|
| Other customer relationships | 202 |
| — |
| (17 | ) | 8 |
| 193 |
|
| Present value of future profits | 4 |
| — |
| — |
| — |
| 4 |
|
| Indefinite-lived intangible assets | 210 |
| — |
| — |
| 22 |
| 232 |
|
| Other | 30 |
| (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 and AT&T credit card program agreements, which represented 97% of the aggregate net carrying amount at September 30, 2017 and December 31, 2016. |
| |
(2) | For additional information on Citi’s MSRs, including the rollforward for the nine months ended September 30, 2017, see Note 18 to the Consolidated Financial Statements. |
16. DEBT
For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 17 to the Consolidated Financial Statements in Citi’s 20162019 Annual Report on Form 10-K.
Short-Term Borrowings
| | | | | | | | | |
| In millions of dollars | June 30,
2020 | December 31,
2019 | |
| Commercial paper | | | |
Bank(1) | $ | 10,953 | | $ | 10,155 | | |
Broker-dealer and other(2) | 6,972 | | 6,321 | | |
| Total commercial paper | $ | 17,925 | | $ | 16,476 | | |
Other borrowings(3) | 22,231 | | 28,573 | | |
| Total | $ | 40,156 | | $ | 45,049 | | |
(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 June 30, 2020 and December 31, 2019, collateralized short-term advances from the Federal Home Loan Banks were $12.0 billion and $17.6 billion, respectively.
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31,
2016 |
| Commercial paper | $ | 10,033 |
| $ | 9,989 |
|
Other borrowings(1) | 28,116 |
| 20,712 |
|
| Total | $ | 38,149 |
| $ | 30,701 |
|
| |
(1) | Includes borrowings from Federal Home Loan Banks and other market participants. At September 30, 2017 and December 31, 2016, collateralized short-term advances from the Federal Home Loan Banks were $16.6 billion and $12.0 billion, respectively. |
Long-Term Debt
| | | | | | | | |
| In millions of dollars | June 30,
2020 | December 31, 2019 |
Citigroup Inc.(1) | $ | 169,036 | | $ | 150,477 | |
Bank(2) | 55,453 | | 53,340 | |
Broker-dealer and other(3) | 55,286 | | 44,943 | |
| Total | $ | 279,775 | | $ | 248,760 | |
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
Citigroup Inc.(1) | $ | 151,914 |
| $ | 147,333 |
|
Bank(2) | 62,078 |
| 49,454 |
|
Broker-dealer and other(3) | 18,681 |
| 9,391 |
|
| Total | $ | 232,673 |
| $ | 206,178 |
|
| |
(1) | Represents the parent holding company. |
| |
(2) | Represents Citibank entities as well as other bank entities. At September 30, 2017 and December 31, 2016, collateralized long-term advances from the Federal Home Loan Banks were $19.8 billion and $21.6 billion, respectively. |
| |
(3) | Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. |
(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At June 30, 2020 and December 31, 2019, collateralized long-term advances from the Federal Home Loan Banks were $18.0 billion and $5.5 billion, respectively.
(3)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.
Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both SeptemberJune 30, 20172020 and December 31, 2016.2019.
The following table summarizes Citi’s outstanding trust preferred securities at SeptemberJune 30, 2017:2020:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Junior subordinated debentures owned by trust | | |
| Trust | Issuance
date | Securities
issued | Liquidation value(1) | Coupon rate(2) | Common
shares
issued
to parent | Amount | Maturity | Redeemable
by issuer
beginning |
In millions of dollars, except securities and share amounts | | | | | | | | |
| Citigroup Capital III | Dec. 1996 | 194,053 | | $ | 194 | | 7.625 | % | 6,003 | | $ | 200 | | Dec. 1, 2036 | Not redeemable |
| Citigroup Capital XIII | Sept. 2010 | 89,840,000 | | 2,246 | | 3 mo LIBOR + 637 bps | 1,000 | | 2,246 | | Oct. 30, 2040 | Oct. 30, 2015 |
| Citigroup Capital XVIII | Jun. 2007 | 99,901 | | 124 | | 3 mo Sterling LIBOR + 88.75 bps | 50 | | 124 | | Jun. 28, 2067 | Jun. 28, 2017 |
| Total obligated | | | $ | 2,564 | | | | $ | 2,570 | | | |
|
| | | | | | | | | | | | | | | |
| | | | | | | Junior subordinated debentures owned by trust |
| Trust | Issuance date | Securities issued | Liquidation value(1) | Coupon rate(2) | Common shares issued to parent | Amount | Maturity | Redeemable by issuer beginning |
In millions of dollars, except share amounts |
|
|
|
|
|
|
|
|
|
| Citigroup Capital III | Dec. 1996 | 194,053 |
| $ | 194 |
| 7.625 | % | 6,003 |
| $ | 200 |
| Dec. 1, 2036 | Not redeemable |
| Citigroup Capital XIII | Sept. 2010 | 89,840,000 |
| 2,246 |
| 3 mo LIBOR + 637 bps |
| 1,000 |
| 2,246 |
| Oct. 30, 2040 | Oct. 30, 2015 |
| Citigroup Capital XVIII | June 2007 | 99,901 |
| 134 |
| 3 mo LIBOR + 88.75 bps |
| 50 |
| 134 |
| June 28, 2067 | June 28, 2017 |
| Total obligated | | |
| $ | 2,574 |
| | | $ | 2,580 |
| | |
Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII.
| |
(1) | Represents the notional value received by investors from the trusts at the time of issuance. |
| |
(2) | In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities. |
(1)Represents the notional value received by outside investors from the trusts at the time of issuance. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.
(2)In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.
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
and Six Months Ended
SeptemberJune 30,
20172020 |
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA) | Cash flow hedges(1) | Benefit plans(2) | Foreign
currency
translation
adjustment (CTA), net of hedges(3) | Accumulated
other
comprehensive income (loss) |
| Balance, June 30, 2017 | $ | (102 | ) | $ | (496 | ) | $ | (445 | ) | $ | (5,311 | ) | $ | (23,545 | ) | $ | (29,899 | ) |
| Other comprehensive income before reclassifications | 60 |
| (125 | ) | (27 | ) | (71 | ) | 218 |
| 55 |
|
| Increase (decrease) due to amounts reclassified from AOCI | (126 | ) | 2 |
| 35 |
| 42 |
| — |
| (47 | ) |
| Change, net of taxes | $ | (66 | ) | $ | (123 | ) | $ | 8 |
| $ | (29 | ) | $ | 218 |
| $ | 8 |
|
| Balance at September 30, 2017 | $ | (168 | ) | $ | (619 | ) | $ | (437 | ) | $ | (5,340 | ) | $ | (23,327 | ) | $ | (29,891 | ) |
Nine Months Ended September 30, 2017 |
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA) | Cash flow hedges(1) | Benefit plans(2) | Foreign
currency
translation
adjustment (CTA), net of hedges(3) | Accumulated
other
comprehensive income (loss) |
| Balance, December 31, 2016 | $ | (799 | ) | $ | (352 | ) | $ | (560 | ) | $ | (5,164 | ) | $ | (25,506 | ) | $ | (32,381 | ) |
Adjustment to opening balance, net of taxes(4) | 504 |
| — |
| — |
| — |
| — |
| 504 |
|
| Adjusted balance, beginning of period | $ | (295 | ) | $ | (352 | ) | $ | (560 | ) | $ | (5,164 | ) | $ | (25,506 | ) | $ | (31,877 | ) |
| Other comprehensive income before reclassifications | 495 |
| (259 | ) | 59 |
| (293 | ) | 2,326 |
| 2,328 |
|
| Increase (decrease) due to amounts reclassified from AOCI | (368 | ) | (8 | ) | 64 |
| 117 |
| (147 | ) | (342 | ) |
Change, net of taxes | $ | 127 |
| $ | (267 | ) | $ | 123 |
| $ | (176 | ) | $ | 2,179 |
| $ | 1,986 |
|
| Balance at September 30, 2017 | $ | (168 | ) | $ | (619 | ) | $ | (437 | ) | $ | (5,340 | ) | $ | (23,327 | ) | $ | (29,891 | ) |
Three Months Ended September 30, 2016 |
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA) | Cash flow hedges(1) | Benefit plans(2) | Foreign
currency
translation
adjustment (CTA), net of hedges(3) | Accumulated
other
comprehensive income (loss) |
| Balance, June 30, 2016 | $ | 2,054 |
| $ | 190 |
| $ | (149 | ) | $ | (5,608 | ) | $ | (22,602 | ) | $ | (26,115 | ) |
| Other comprehensive income before reclassifications | (270 | ) | (197 | ) | (136 | ) | (28 | ) | (375 | ) | (1,006 | ) |
| Increase (decrease) due to amounts reclassified from AOCI | (162 | ) | (3 | ) | 53 |
| 40 |
| — |
| (72 | ) |
Change, net of taxes | $ | (432 | ) | $ | (200 | ) | $ | (83 | ) | $ | 12 |
| $ | (375 | ) | $ | (1,078 | ) |
| Balance, September 30, 2016 | $ | 1,622 |
| $ | (10 | ) | $ | (232 | ) | $ | (5,596 | ) | $ | (22,977 | ) | $ | (27,193 | ) |
Nine Months Ended September 30, 2016 |
| | | | | | | | | | | | | | | | | | |
| In millions of dollars | Net
unrealized
gains (losses)
on investment securities | Debt valuation adjustment (DVA) | Cash flow hedges(1) | Benefit plans(2) | Foreign
currency
translation
adjustment (CTA), net of hedges(3) | Accumulated
other
comprehensive income (loss) |
| Balance, December 31, 2015 | $ | (907 | ) | $ | — |
| $ | (617 | ) | $ | (5,116 | ) | $ | (22,704 | ) | $ | (29,344 | ) |
Adjustment to opening balance, net of taxes (5) | — |
| (15 | ) | — |
| — |
| — |
| (15 | ) |
| Adjusted balance, beginning of period | $ | (907 | ) | $ | (15 | ) | $ | (617 | ) | $ | (5,116 | ) | $ | (22,704 | ) | $ | (29,359 | ) |
| Other comprehensive income before reclassifications | 2,781 |
| 11 |
| 270 |
| (594 | ) | (273 | ) | 2,195 |
|
| Increase (decrease) due to amounts reclassified from AOCI | (252 | ) | (6 | ) | 115 |
| 114 |
| — |
| (29 | ) |
| Change, net of taxes | $ | 2,529 |
| $ | 5 |
| $ | 385 |
| $ | (480 | ) | $ | (273 | ) | $ | 2,166 |
|
| Balance, September 30, 2016 | $ | 1,622 |
| $ | (10 | ) | $ | (232 | ) | $ | (5,596 | ) | $ | (22,977 | ) | $ | (27,193 | ) |
| | | | | | | | | | | | | | | | | | | | | | | |
(1)In millions of dollars | Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates Net
unrealized
gains (losses)
on liabilities.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 | Accumulated
other
comprehensive income (loss) |
| Three Months Ended June 30, 2020 | | | | | | | |
(2)Balance, March 31, 2020 | Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s Significant pension and postretirement plans, annual actuarial valuations of all other plans, and amortization of amounts previously recognized in other comprehensive income.$ | 2,863 | | $ | 2,196 | | $ | 2,020 | | $ | (7,095) | | $ | (32,500) | | $ | (5) | | $ | (32,521) | |
| | | | | | | |
(3) | Primarily reflects the movements in (by order of impact) the Euro, British pound, Chilean peso, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended September 30, 2017. Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, Korean won, and Polish zloty against the U.S. dollar, and changes in related tax effects and hedges for the quarter nine months ended September 30, 2017. Primarily reflects the movements in (by order of impact) the Mexican peso, Korean won, Japanese yen, and Australian dollar for the quarter ended September 30, 2016. Primarily reflects the movements in (by order of impact) the Mexican peso, Japanese yen, Brazilian real and Korean won against the U.S. dollar, and changes in related tax effects and hedges for the quarter and nine months ended September 30, 2016. |
| | | | | |
(4) | In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of cumulative fair value hedge adjustments on callable state and municipal debt securities. For additional information, see Note 1 to the Consolidated Financial Statements.
|
| | | | | |
(5)Other comprehensive income before
reclassifications | Beginning in the first quarter1,391 | | (2,204) | | 226 | | (132) | | 561 | | 13 | | (145) | |
Increase (decrease) due to amounts reclassified from AOCI | (554) | | (28) | | (152) | | 55 | | — | | — | | (679) | |
Change, net of 2016, changes in DVA are reflected as ataxes | $ | 837 | | $ | (2,232) | | $ | 74 | | $ | (77) | | $ | 561 | | $ | 13 | | $ | (824) | |
| Balance at June 30, 2020 | $ | 3,700 | | $ | (36) | | $ | 2,094 | | $ | (7,172) | | $ | (31,939) | | $ | 8 | | $ | (33,345) | |
| Six Months Ended June 30, 2020 | | | | | | | |
| Balance, December 31, 2019 | $ | (265) | | $ | (944) | | $ | 123 | | $ | (6,809) | | $ | (28,391) | | $ | (32) | | $ | (36,318) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Other comprehensive income before
reclassifications | 4,795 | | 913 | | 2,124 | | (476) | | (3,548) | | 40 | | 3,848 | |
Increase (decrease) due to amounts reclassified from AOCI | (830) | | (5) | | (153) | | 113 | | — | | — | | (875) | |
| Change, net of taxes | $ | 3,965 | | $ | 908 | | $ | 1,971 | | $ | (363) | | $ | (3,548) | | $ | 40 | | $ | 2,973 | |
| Balance at June 30, 2020 | $ | 3,700 | | $ | (36) | | $ | 2,094 | | $ | (7,172) | | $ | (31,939) | | $ | 8 | | $ | (33,345) | |
Footnotes to the table above appear on the following page.
Three and Six Months Ended June 30, 2019
| | | | | | | | | | | | | | | | | | | | | | | |
| In millions of dollars | 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 AOCI, pursuant to the early adoption of only the provisions of ASU 2016-01 relating to the presentation of DVA on fair value option liabilities. See Note 1hedges | Accumulated
other
comprehensive income (loss) |
| Three Months Ended June 30, 2019 | | | | | | | |
| Balance, March 31, 2019 | $ | (1,115) | | $ | (379) | | $ | (442) | | $ | (6,321) | | $ | (28,012) | | $ | (39) | | $ | (36,308) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Other comprehensive income before
reclassifications | 1,050 | | (14) | | 414 | | (305) | | 91 | | 44 | | 1,280 | |
Increase (decrease) due to the Consolidated Financial Statements for further information regarding this change.amounts reclassified from AOCI | (347) | | 17 | | 103 | | 52 | | — | | — | | (175) | |
Change, net of taxes | $ | 703 | | $ | 3 | | $ | 517 | | $ | (253) | | $ | 91 | | $ | 44 | | $ | 1,105 | |
| Balance at June 30, 2019 | $ | (412) | | $ | (376) | | $ | 75 | | $ | (6,574) | | $ | (27,921) | | $ | 5 | | $ | (35,203) | |
| Six Months Ended June 30, 2019 | | | | | | | |
| Balance, December 31, 2019 | $ | (2,250) | | $ | 192 | | $ | (728) | | $ | (6,257) | | $ | (28,070) | | $ | (57) | | $ | (37,170) | |
| | | | | | | |
| | | | | | | |
| | | | | | | |
Other comprehensive income before
reclassifications | 2,276 | | (589) | | 600 | | (415) | | 149 | | 62 | | 2,083 | |
Increase (decrease) due to amounts reclassified from AOCI | (438) | | 21 | | 203 | | 98 | | — | | — | | (116) | |
| Change, net of taxes | $ | 1,838 | | $ | (568) | | $ | 803 | | $ | (317) | | $ | 149 | | $ | 62 | | $ | 1,967 | |
| Balance at June 30, 2019 | $ | (412) | | $ | (376) | | $ | 75 | | $ | (6,574) | | $ | (27,921) | | $ | 5 | | $ | (35,203) | |
(1)Reflects the after-tax valuation of Citi’s fair value options liabilities. See “Market Valuation Adjustments” in Note 20 to the Consolidated Financial Statements.
(2)Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the Australian dollar, South Korean won, Indonesian rupiah and Euro against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2020. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Indian rupee and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2020. Primarily reflects the movements in (by order of impact) the Japanese yen, Mexican peso, Euro and Polish zloty against the U.S. dollar and changes in related tax effects and hedges for the three months ended June 30, 2019. Primarily reflects the movements in (by order of impact) the Mexican peso, Canadian dollar, Chilean peso and Russian ruble against the U.S. dollar and changes in related tax effects and hedges for the six months ended June 30, 2019. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.
The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three and Six Months Ended SeptemberJune 30, 20172020
| | | | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Three Months Ended June 30, 2020 | | | |
| Balance, March 31, 2020 | $ | (36,419) | | $ | 3,898 | | $ | (32,521) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | 1,178 | | (341) | | 837 | |
| Debt valuation adjustment (DVA) | (2,935) | | 703 | | (2,232) | |
| Cash flow hedges | 90 | | (16) | | 74 | |
| Benefit plans | (93) | | 16 | | (77) | |
| Foreign currency translation adjustment | 485 | | 76 | | 561 | |
| Excluded component of fair value hedges | 16 | | (3) | | 13 | |
| Change | $ | (1,259) | | $ | 435 | | $ | (824) | |
| Balance at June 30, 2020 | $ | (37,678) | | $ | 4,333 | | $ | (33,345) | |
| Six Months Ended June 30, 2020 | | | |
| Balance, December 31, 2019 | $ | (42,772) | | $ | 6,454 | | $ | (36,318) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | 5,298 | | (1,333) | | 3,965 | |
| Debt valuation adjustment (DVA) | 1,253 | | (345) | | 908 | |
| Cash flow hedges | 2,574 | | (603) | | 1,971 | |
| Benefit plans | (510) | | 147 | | (363) | |
| Foreign currency translation adjustment | (3,570) | | 22 | | (3,548) | |
| Excluded component of fair value hedges | 49 | | (9) | | 40 | |
| Change | $ | 5,094 | | $ | (2,121) | | $ | 2,973 | |
| Balance at June 30, 2020 | $ | (37,678) | | $ | 4,333 | | $ | (33,345) | |
|
| | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-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 hedges | 12 |
| (4 | ) | 8 |
|
| Benefit plans | (45 | ) | 16 |
| (29 | ) |
| Foreign currency translation adjustment | 285 |
| (67 | ) | 218 |
|
| Change | $ | (50 | ) | $ | 58 |
| $ | 8 |
|
| Balance, September 30, 2017 | $ | (39,156 | ) | $ | 9,265 |
| $ | (29,891 | ) |
NineThree and Six Months Ended SeptemberJune 30, 20172019
| | | | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Three Months Ended June 30, 2019 | | | |
| Balance, March 31, 2019 | $ | (42,904) | | $ | 6,596 | | $ | (36,308) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | 936 | | (233) | | 703 | |
| Debt valuation adjustment (DVA) | 3 | | — | | 3 | |
| Cash flow hedges | 680 | | (163) | | 517 | |
| Benefit plans | (329) | | 76 | | (253) | |
| Foreign currency translation adjustment | 83 | | 8 | | 91 | |
| Excluded component of fair value hedges | 59 | | (15) | | 44 | |
| Change | $ | 1,432 | | $ | (327) | | $ | 1,105 | |
| Balance, June 30, 2019 | $ | (41,472) | | $ | 6,269 | | $ | (35,203) | |
| Six Months Ended June 30, 2019 | | | |
| Balance, December 31, 2018 | $ | (44,082) | | $ | 6,912 | | $ | (37,170) | |
| | | |
| | | |
| Change in net unrealized gains (losses) on debt securities | 2,436 | | (598) | | 1,838 | |
| Debt valuation adjustment (DVA) | (722) | | 154 | | (568) | |
| Cash flow hedges | 1,058 | | (255) | | 803 | |
| Benefit plans | (397) | | 80 | | (317) | |
| Foreign currency translation adjustment | 152 | | (3) | | 149 | |
| Excluded component of fair value hedges | 83 | | (21) | | 62 | |
| Change | $ | 2,610 | | $ | (643) | | $ | 1,967 | |
| Balance, June 30, 2019 | $ | (41,472) | | $ | 6,269 | | $ | (35,203) | |
|
| | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-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 securities | 194 |
| (67 | ) | 127 |
|
| Debt valuation adjustment (DVA) | (422 | ) | 155 |
| (267 | ) |
| Cash flow hedges | 198 |
| (75 | ) | 123 |
|
| Benefit plans | (266 | ) | 90 |
| (176 | ) |
| Foreign currency translation adjustment | 2,372 |
| (193 | ) | 2,179 |
|
| Change | $ | 2,076 |
| $ | (90 | ) | $ | 1,986 |
|
| Balance, September 30, 2017 | $ | (39,156 | ) | $ | 9,265 |
| $ | (29,891 | ) |
| |
(1) | In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of cumulative fair value hedge adjustments on callable state and municipal debt securities. For additional information, see Note 1 to the Consolidated Financial Statements.
|
Three Months Ended September 30, 2016 |
| | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Balance, June 30, 2016 | $ | (33,714 | ) | $ | 7,599 |
| $ | (26,115 | ) |
| Change in net unrealized gains (losses) on investment securities | (686 | ) | 254 |
| (432 | ) |
| Debt valuation adjustment (DVA) | (319 | ) | 119 |
| (200 | ) |
| Cash flow hedges | (131 | ) | 48 |
| (83 | ) |
| Benefit plans | 11 |
| 1 |
| 12 |
|
| Foreign currency translation adjustment | (313 | ) | (62 | ) | (375 | ) |
| Change | $ | (1,438 | ) | $ | 360 |
| $ | (1,078 | ) |
| Balance, September 30, 2016 | $ | (35,152 | ) | $ | 7,959 |
| $ | (27,193 | ) |
Nine Months Ended September 30, 2016 |
| | | | | | | | | |
| In millions of dollars | Pretax | Tax effect | After-tax |
| Balance, December 31, 2015 | $ | (38,440 | ) | $ | 9,096 |
| $ | (29,344 | ) |
Adjustment to opening balance (1) | (26 | ) | 11 |
| (15 | ) |
| Adjusted balance, beginning of period | $ | (38,466 | ) | $ | 9,107 |
| $ | (29,359 | ) |
| Change in net unrealized gains (losses) on investment securities | 4,020 |
| (1,491 | ) | 2,529 |
|
| Debt valuation adjustment (DVA) | 8 |
| (3 | ) | 5 |
|
| Cash flow hedges | 607 |
| (222 | ) | 385 |
|
| Benefit plans | (747 | ) | 267 |
| (480 | ) |
| Foreign currency translation adjustment | (574 | ) | 301 |
| (273 | ) |
| Change | $ | 3,314 |
| $ | (1,148 | ) | $ | 2,166 |
|
| Balance, September 30, 2016 | $ | (35,152 | ) | $ | 7,959 |
| $ | (27,193 | ) |
| |
(1) | Represents the ($15) million adjustment related to the initial adoption of ASU 2016-01. See Note 1 to the Consolidated Financial Statements. |
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 | | | |
| Three Months Ended June 30, | | Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 |
| Realized (gains) losses on sales of investments | $ | (748) | | $ | (468) | | $ | (1,180) | | $ | (598) | |
| Gross impairment losses | 19 | | 2 | | 71 | | 5 | |
| Subtotal, pretax | $ | (729) | | $ | (466) | | $ | (1,109) | | $ | (593) | |
| Tax effect | 175 | | 119 | | 279 | | 155 | |
Net realized (gains) losses on investments after-tax(1) | $ | (554) | | $ | (347) | | $ | (830) | | $ | (438) | |
| Realized DVA (gains) losses on fair value option liabilities, pretax | $ | (37) | | $ | 22 | | $ | (6) | | $ | 27 | |
| Tax effect | 9 | | (5) | | 1 | | (6) | |
| Net realized debt valuation adjustment, after-tax | $ | (28) | | $ | 17 | | $ | (5) | | $ | 21 | |
| Interest rate contracts | $ | (200) | | $ | 134 | | $ | (203) | | $ | 264 | |
| Foreign exchange contracts | 1 | | 2 | | 2 | | 4 | |
| Subtotal, pretax | $ | (199) | | $ | 136 | | $ | (201) | | $ | 268 | |
| Tax effect | 47 | | (33) | | 48 | | (65) | |
Amortization of cash flow hedges, after-tax(2) | $ | (152) | | $ | 103 | | $ | (153) | | $ | 203 | |
| Amortization of unrecognized: | | | | |
| Prior service cost (benefit) | $ | (3) | | $ | (2) | | $ | (6) | | $ | (6) | |
| Net actuarial loss | 75 | | 69 | | 154 | | 134 | |
Curtailment/settlement impact(3) | 3 | | 2 | | 3 | | 2 | |
| Subtotal, pretax | $ | 75 | | $ | 69 | | $ | 151 | | $ | 130 | |
| Tax effect | (20) | | (17) | | (38) | | (32) | |
Amortization of benefit plans, after-tax(3) | $ | 55 | | $ | 52 | | $ | 113 | | $ | 98 | |
| Excluded component of fair value hedges, pretax | $ | — | | $ | — | | $ | — | | $ | — | |
| Tax effect | — | | — | | — | | — | |
| Excluded component of fair value hedges, after-tax | $ | — | | $ | — | | $ | — | | $ | — | |
| Foreign currency translation adjustment, pretax | $ | — | | $ | — | | $ | — | | $ | — | |
| Tax effect | — | | — | | — | | — | |
| Foreign currency translation adjustment, after-tax | $ | — | | $ | — | | $ | — | | $ | — | |
Total amounts reclassified out of AOCI, pretax | $ | (890) | | $ | (239) | | $ | (1,165) | | $ | (168) | |
| Total tax effect | 211 | | 64 | | 290 | | 52 | |
Total amounts reclassified out of AOCI, after-tax | $ | (679) | | $ | (175) | | $ | (875) | | $ | (116) | |
|
| | | | | | |
| | Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2017 |
| Realized (gains) losses on sales of investments | $ | (213 | ) | $ | (626 | ) |
| OTTI gross impairment losses | 15 |
| 47 |
|
| Subtotal, pretax | $ | (198 | ) | $ | (579 | ) |
| Tax effect | 72 |
| 211 |
|
Net realized (gains) losses on investment securities, after-tax(1) | $ | (126 | ) | $ | (368 | ) |
| Realized DVA (gains) losses on fair value option liabilities | $ | 3 |
| $ | (13 | ) |
| Subtotal, pretax | $ | 3 |
| $ | (13 | ) |
| Tax effect | (1 | ) | 5 |
|
| Net realized debt valuation adjustment, after-tax | $ | 2 |
| $ | (8 | ) |
| Interest rate contracts | $ | 48 |
| $ | 94 |
|
| Foreign exchange contracts | 7 |
| 8 |
|
| Subtotal, pretax | $ | 55 |
| $ | 102 |
|
| Tax effect | (20 | ) | (38 | ) |
Amortization of cash flow hedges, after-tax(2) | $ | 35 |
| $ | 64 |
|
| Amortization of unrecognized | | |
| Prior service cost (benefit) | $ | (10 | ) | $ | (32 | ) |
| Net actuarial loss | 70 |
| 203 |
|
Curtailment/settlement impact(3) | 5 |
| 12 |
|
| Subtotal, pretax | $ | 65 |
| $ | 183 |
|
| Tax effect | (23 | ) | (66 | ) |
Amortization of benefit plans, after-tax(3) | $ | 42 |
| $ | 117 |
|
| Foreign currency translation adjustment | $ | — |
| $ | (232 | ) |
| Tax effect | — |
| 85 |
|
| Foreign currency translation adjustment | $ | — |
| $ | (147 | ) |
| Total amounts reclassified out of AOCI, pretax | $ | (75 | ) | $ | (539 | ) |
| Total tax effect | 28 |
| 197 |
|
| Total amounts reclassified out of AOCI, after-tax | $ | (47 | ) | $ | (342 | ) |
| |
(1) | (1)The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 12 to the Consolidated Financial Statements for additional details. |
| |
(2) | See Note 19 to the Consolidated Financial Statements for additional details. |
| |
(3) | See Note 8 to the Consolidated Financial Statements for additional details. |
The Company recognized pretax gain (loss) related to amounts in AOCI reclassified toRealized gains (losses) on sales of investments, net and Gross impairment losses in the Consolidated Statement of Income as follows: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.
|
| | | | | | |
| | Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2016 | 2016 |
| Realized (gains) losses on sales of investments | $ | (287 | ) | $ | (673 | ) |
| OTTI gross impairment losses | 32 |
| 283 |
|
| Subtotal, pretax | $ | (255 | ) | $ | (390 | ) |
| Tax effect | 93 |
| 138 |
|
Net realized (gains) losses on investment securities, after-tax(1) | $ | (162 | ) | $ | (252 | ) |
| Realized DVA (gains) losses on fair value option liabilities | $ | (5 | ) | $ | (10 | ) |
| Subtotal, pretax | $ | (5 | ) | $ | (10 | ) |
| Tax effect | $ | 2 |
| $ | 4 |
|
| Net realized debt valuation adjustment, after-tax | $ | (3 | ) | $ | (6 | ) |
| Interest rate contracts | $ | 39 |
| $ | 96 |
|
| Foreign exchange contracts | 46 |
| 89 |
|
| Subtotal, pretax | $ | 85 |
| $ | 185 |
|
| Tax effect | (32 | ) | (70 | ) |
Amortization of cash flow hedges, after-tax(2) | $ | 53 |
| $ | 115 |
|
| Amortization of unrecognized | | |
| Prior service cost (benefit) | $ | (10 | ) | $ | (31 | ) |
| Net actuarial loss | 73 |
| 208 |
|
Curtailment/settlement impact(3) | 8 |
| 9 |
|
| Subtotal, pretax | $ | 71 |
| $ | 186 |
|
| Tax effect | (31 | ) | (72 | ) |
Amortization of benefit plans, after-tax(3) | $ | 40 |
| $ | 114 |
|
| Foreign currency translation adjustment | $ | — |
| $ | — |
|
| Total amounts reclassified out of AOCI, pretax | $ | (104 | ) | $ | (29 | ) |
| Total tax effect | 32 |
| — |
|
| Total amounts reclassified out of AOCI, after-tax | $ | (72 | ) | $ | (29 | ) |
| |
(1) | The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 12 to the Consolidated Financial Statements for additional details.
|
| |
(2) | See Note 19 to the Consolidated Financial Statements for additional details. |
| |
(3) | See Note 8 to the Consolidated Financial Statements for additional details. |
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 20162019 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 September 30, 2017 | | As of June 30, 2020 | |
| | | 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 | 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 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| Credit card securitizations | $ | 33,838 | | $ | 33,838 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
Mortgage securitizations(4) | | | Mortgage securitizations(4) | | | | | | | | |
U.S. agency-sponsored(5) | 116,257 |
| — |
| 116,257 |
| 2,528 |
| — |
| — |
| 63 |
| 2,591 |
| |
| U.S. agency-sponsored | | U.S. agency-sponsored | 115,290 | | — | | 115,290 | | 2,103 | | — | | — | | 54 | | 2,157 | |
| Non-agency-sponsored | 21,123 |
| 932 |
| 20,191 |
| 280 |
| 36 |
| — |
| 1 |
| 317 |
| Non-agency-sponsored | 43,493 | | 982 | | 42,511 | | 1,043 | | — | | — | | 1 | | 1,044 | |
| Citi-administered asset-backed commercial paper conduits (ABCP) | 19,298 |
| 19,298 |
| — |
| — |
| — |
| — |
| — |
| — |
| |
| Citi-administered asset-backed commercial paper conduits | | Citi-administered asset-backed commercial paper conduits | 16,028 | | 16,028 | | — | | — | | — | | — | | — | | — | |
| Collateralized loan obligations (CLOs) | 19,182 |
| — |
| 19,182 |
| 5,690 |
| — |
| — |
| 9 |
| 5,699 |
| Collateralized loan obligations (CLOs) | 17,986 | | — | | 17,986 | | 4,272 | | — | | — | | — | | 4,272 | |
| Asset-based financing | 51,393 |
| 672 |
| 50,721 |
| 15,412 |
| 599 |
| 5,016 |
| — |
| 21,027 |
| |
Asset-based financing(5) | | Asset-based financing(5) | 209,806 | | 7,660 | | 202,146 | | 26,129 | | 1,131 | | 10,302 | | — | | 37,562 | |
| Municipal securities tender option bond trusts (TOBs) | 6,777 |
| 2,178 |
| 4,599 |
| 13 |
| — |
| 3,063 |
| — |
| 3,076 |
| Municipal securities tender option bond trusts (TOBs) | 4,747 | | 1,113 | | 3,634 | | 16 | | — | | 2,320 | | — | | 2,336 | |
| Municipal investments | 17,830 |
| 11 |
| 17,819 |
| 2,627 |
| 3,855 |
| 2,345 |
| — |
| 8,827 |
| Municipal investments | 20,235 | | — | | 20,235 | | 2,736 | | 4,237 | | 2,906 | | — | | 9,879 | |
| Client intermediation | 2,664 |
| 1,131 |
| 1,533 |
| 782 |
| — |
| 491 |
| 6 |
| 1,279 |
| Client intermediation | 742 | | 676 | | 66 | | 4 | | — | | — | | — | | 4 | |
| Investment funds | 2,058 |
| 762 |
| 1,296 |
| 28 |
| 8 |
| 15 |
| 2 |
| 53 |
| Investment funds | 515 | | 126 | | 389 | | 2 | | — | | 15 | | 1 | | 18 | |
| Other | 943 |
| 33 |
| 910 |
| 133 |
| 9 |
| 38 |
| 47 |
| 227 |
| Other | 51 | | 1 | | 50 | | — | | — | | 50 | | — | | 50 | |
| Total | $ | 307,264 |
| $ | 74,756 |
| $ | 232,508 |
| $ | 27,493 |
| $ | 4,507 |
| $ | 10,968 |
| $ | 128 |
| $ | 43,096 |
| Total | $ | 462,731 | | $ | 60,424 | | $ | 402,307 | | $ | 36,305 | | $ | 5,368 | | $ | 15,593 | | $ | 56 | | $ | 57,322 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| As of December 31, 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 | $ | 43,534 | | $ | 43,534 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
Mortgage securitizations(4) | | | | | | | | |
| U.S. agency-sponsored | 117,374 | | — | | 117,374 | | 2,671 | | — | | — | | 72 | | 2,743 | |
| Non-agency-sponsored | 39,608 | | 1,187 | | 38,421 | | 876 | | — | | — | | 1 | | 877 | |
| Citi-administered asset-backed commercial paper conduits | 15,622 | | 15,622 | | — | | — | | — | | — | | — | | — | |
| Collateralized loan obligations (CLOs) | 17,395 | | — | | 17,395 | | 4,199 | | — | | — | | — | | 4,199 | |
Asset-based financing(5) | 196,728 | | 6,139 | | 190,589 | | 23,756 | | 1,151 | | 9,524 | | — | | 34,431 | |
| Municipal securities tender option bond trusts (TOBs) | 6,950 | | 1,458 | | 5,492 | | 4 | | — | | 3,544 | | — | | 3,548 | |
| Municipal investments | 20,312 | | — | | 20,312 | | 2,636 | | 4,274 | | 3,034 | | — | | 9,944 | |
| Client intermediation | 1,455 | | 1,391 | | 64 | | 4 | | — | | — | | — | | 4 | |
| Investment funds | 827 | | 174 | | 653 | | 5 | | — | | 16 | | 1 | | 22 | |
| Other | 352 | | 1 | | 351 | | 169 | | — | | 39 | | — | | 208 | |
| Total | $ | 460,157 | | $ | 69,506 | | $ | 390,651 | | $ | 34,320 | | $ | 5,425 | | $ | 16,157 | | $ | 74 | | $ | 55,976 | |
|
| | | | | | | | | | | | | | | | | | | | | | | | |
| | As of December 31, 2016 |
| | | | | Maximum exposure to loss in significant unconsolidated VIEs(1) |
| | | | | Funded exposures(2) | Unfunded exposures | |
| In millions of dollars | Total involvement with SPE assets | Consolidated VIE / SPE assets | Significant unconsolidated VIE assets(3) | Debt investments | Equity investments | Funding commitments | Guarantees and derivatives | Total |
| Credit card securitizations | $ | 50,171 |
| $ | 50,171 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
Mortgage securitizations(4) | | | | | | | | |
| U.S. agency-sponsored | 214,458 |
| — |
| 214,458 |
| 3,852 |
| — |
| — |
| 78 |
| 3,930 |
|
| Non-agency-sponsored | 15,965 |
| 1,092 |
| 14,873 |
| 312 |
| 35 |
| — |
| 1 |
| 348 |
|
| Citi-administered asset-backed commercial paper conduits (ABCP) | 19,693 |
| 19,693 |
| — |
| — |
| — |
| — |
| — |
| — |
|
| Collateralized loan obligations (CLOs) | 18,886 |
| — |
| 18,886 |
| 5,128 |
| — |
| — |
| 62 |
| 5,190 |
|
| Asset-based financing | 53,168 |
| 733 |
| 52,435 |
| 16,553 |
| 475 |
| 4,915 |
| — |
| 21,943 |
|
| Municipal securities tender option bond trusts (TOBs) | 7,070 |
| 2,843 |
| 4,227 |
| 40 |
| — |
| 2,842 |
| — |
| 2,882 |
|
| Municipal investments | 17,679 |
| 14 |
| 17,665 |
| 2,441 |
| 3,578 |
| 2,580 |
| — |
| 8,599 |
|
| Client intermediation | 515 |
| 371 |
| 144 |
| 49 |
| — |
| — |
| 3 |
| 52 |
|
| Investment funds | 2,788 |
| 767 |
| 2,021 |
| 32 |
| 120 |
| 27 |
| 3 |
| 182 |
|
| Other | 1,429 |
| 607 |
| 822 |
| 116 |
| 11 |
| 58 |
| 43 |
| 228 |
|
| Total | $ | 401,822 |
| $ | 76,291 |
| $ | 325,531 |
| $ | 28,523 |
| $ | 4,219 |
| $ | 10,422 |
| $ | 190 |
| $ | 43,354 |
|
(1) The definition of maximum exposure to loss is included in the text that follows this table.
| |
(2) | Included on Citigroup’s September 30, 2017 and December 31, 2016(2) Included on Citigroup’s June 30, 2020 and December 31, 2019 Consolidated Balance Sheet. |
| |
(3) | A significant unconsolidated VIE is an entity where the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss. |
| |
(4) | Citigroup mortgage securitizations also include agency and non-agency (private-label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion. |
| |
(5) | See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs. |
(3) A significant unconsolidated VIE is an entity in which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.
(4) Citigroup mortgage securitizations also include agency and non-agency (private label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.
(5) Included within this line are loans to third-party sponsored private equity funds, which represent $70.4 and $69 billion in unconsolidated VIE assets and $710 and$711 million in maximum exposure to loss as of 6/30/20 and 12/31/19 respectively.
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 third-party sponsored private equity funds to which the Company provides secured credit facilities. The Company has no decision-making power and does not consolidate these funds, some of which may meet the definition of a VIE. The Company’s maximum exposure to loss is generally limited to a loan or lending-related commitment. As of June 30, 2020 and December 31, 2019, the Company’s maximum exposure to loss related to these deals was $52.4 billion and $52.5 billion, respectively. (for more information on these positions, see Note 13 to the Consolidated Financial Statements and Note 26 to the Consolidated Financial Statements in Citigroup’s 2019 Annual Report on Form 10-K);
•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-backedmortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, wherein which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 1213 and 20 to the Consolidated Financial Statements);
•certain representations and warranties exposures in legacy ICG-sponsored mortgage-backedmortgage- and asset-backed securitizations wherein which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 wherein which the Company has no variable interest or continuing involvement as servicer was approximately $9$6 billion and $10$6 billion at SeptemberJune 30, 20172020 and December 31, 2016,2019, respectively;
•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 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:
| | | | September 30, 2017 | December 31, 2016 | | June 30, 2020 | | December 31, 2019 | |
| In millions of dollars | Liquidity facilities | Loan/equity commitments | Liquidity facilities | Loan/equity commitments | In millions of dollars | Liquidity
facilities | Loan/equity
commitments | Liquidity
facilities | Loan/equity
commitments |
| Asset-based financing | $ | — |
| $ | 5,016 |
| $ | 5 |
| $ | 4,910 |
| Asset-based financing | $ | — | | $ | 10,302 | | $ | — | | $ | 9,524 | |
| Municipal securities tender option bond trusts (TOBs) | 3,063 |
| — |
| 2,842 |
| — |
| Municipal securities tender option bond trusts (TOBs) | 2,320 | | — | | 3,544 | | — | |
| Municipal investments | — |
| 2,345 |
| — |
| 2,580 |
| Municipal investments | — | | 2,906 | | — | | 3,034 | |
| Client intermediation | — |
| 491 |
| — |
| — |
| |
| Investment funds | — |
| 15 |
| — |
| 27 |
| Investment funds | — | | 15 | | — | | 16 | |
| Other | — |
| 38 |
| — |
| 58 |
| Other | — | | 50 | | — | | 39 | |
| Total funding commitments | $ | 3,063 |
| $ | 7,905 |
| $ | 2,847 |
| $ | 7,575 |
| Total funding commitments | $ | 2,320 | | $ | 13,273 | | $ | 3,544 | | $ | 12,613 | |
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 dollars | September 30, 2017 | December 31, 2016 | In billions of dollars | June 30, 2020 | December 31, 2019 |
| Cash | $ | 0.1 |
| $ | 0.1 |
| Cash | $ | — | | $ | — | |
| Trading account assets | 8.6 |
| 8.0 |
| Trading account assets | 2.1 | | 2.6 | |
| Investments | 4.7 |
| 4.4 |
| Investments | 10.0 | | 9.9 | |
| Total loans, net of allowance | 18.2 |
| 18.8 |
| Total loans, net of allowance | 29.0 | | 26.7 | |
| Other | 0.5 |
| 1.5 |
| Other | 0.5 | | 0.5 | |
| Total assets | $ | 32.1 |
| $ | 32.8 |
| Total assets | $ | 41.6 | | $ | 39.7 | |
Credit Card Securitizations
Substantially all of the Company’s credit card securitization activity is through two2 trusts—Citibank Credit Card Master Trust (Master Trust) and Citibank Omni Master Trust (Omni
Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities.
The following table reflects amounts related to the Company’s securitized credit card receivables:
| | | In billions of dollars | September 30, 2017 | December 31, 2016 | In billions of dollars | June 30, 2020 | December 31, 2019 |
| Ownership interests in principal amount of trust credit card receivables | Ownership interests in principal amount of trust credit card receivables | Ownership interests in principal amount of trust credit card receivables | |
| Sold to investors via trust-issued securities | $ | 28.0 |
| $ | 22.7 |
| Sold to investors via trust-issued securities | $ | 16.5 | | $ | 19.7 | |
| Retained by Citigroup as trust-issued securities | 9.2 |
| 7.4 |
| Retained by Citigroup as trust-issued securities | 5.3 | | 6.2 | |
| Retained by Citigroup via non-certificated interests | 12.5 |
| 20.6 |
| Retained by Citigroup via non-certificated interests | 14.6 | | 17.8 | |
| Total | $ | 49.7 |
| $ | 50.7 |
| Total | $ | 36.4 | | $ | 43.7 | |
The following tables summarizetable summarizes selected cash flow information related to Citigroup’s credit card securitizations:
| | | | | | | | |
| Three Months Ended June 30, | |
| In billions of dollars | 2020 | 2019 |
| Proceeds from new securitizations | $ | — | | $ | — | |
| Pay down of maturing notes | (3.2) | | — | |
| | |
|
| | | | | | |
| | Three Months Ended September 30, |
| In billions of dollars | 2017 | 2016 |
| Proceeds from new securitizations | $ | 2.2 |
| $ | — |
|
| Pay down of maturing notes | (1.8 | ) | (2.8 | ) |
| | | | Nine Months Ended September 30, | | Six Months Ended June 30, | |
| In billions of dollars | 2017 | 2016 | In billions of dollars | 2020 | 2019 |
| Proceeds from new securitizations | $ | 9.8 |
| $ | — |
| Proceeds from new securitizations | $ | 0.0 | | $ | 0.0 | |
| Pay down of maturing notes | (4.6 | ) | (6.3 | ) | Pay down of maturing notes | (3.2) | | (2.5) | |
|
Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 2.83.1 years as of SeptemberJune 30, 20172020 and 2.63.1 years as of December 31, 2016.
2019.
| | | | | | | | |
| In billions of dollars | Jun. 30, 2020 | Dec. 31, 2019 |
| Term notes issued to third parties | $ | 15.0 | | $ | 18.2 | |
| Term notes retained by Citigroup affiliates | 3.4 | | 4.3 | |
| Total Master Trust liabilities | $ | 18.4 | | $ | 22.5 | |
|
| | | | | | |
| In billions of dollars | Sept. 30, 2017 | Dec. 31, 2016 |
| Term notes issued to third parties | $ | 27.0 |
| $ | 21.7 |
|
| Term notes retained by Citigroup affiliates | 7.3 |
| 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 1.11.2 years as of SeptemberJune 30, 20172020 and 1.91.6 years as of December 31, 2016.2019.
| | | In billions of dollars | Sept. 30, 2017 | Dec. 31, 2016 | In billions of dollars | Jun. 30, 2020 | Dec. 31, 2019 |
| Term notes issued to third parties | $ | 1.0 |
| $ | 1.0 |
| Term notes issued to third parties | $ | 1.5 | | $ | 1.5 | |
| Term notes retained by Citigroup affiliates | 1.9 |
| 1.9 |
| Term notes retained by Citigroup affiliates | 1.9 | | 1.9 | |
| Total Omni Trust liabilities | $ | 2.9 |
| $ | 2.9 |
| Total Omni Trust liabilities | $ | 3.4 | | $ | 3.4 | |
The following table summarizestables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | | | |
| 2020 | | 2019 | |
| In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages(1) | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages |
| Principal securitized | $ | 2.4 | | $ | 0.9 | | $ | 1.1 | | $ | 6.1 | |
| Proceeds from new securitizations | 2.6 | | 0.9 | | 1.2 | | 6.1 | |
| Purchases of previously transferred financial assets | — | | — | | 0.1 | | — | |
| | | | |
| Six Months Ended June 30, | | | |
| 2020 | | 2019 | |
| In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages |
| Principal securitized | $ | 4.5 | | $ | 1.6 | | $ | 2.1 | | $ | 8.8 | |
| Proceeds from new securitizations | 4.7 | | 3.4 | | 2.2 | | 8.8 | |
| Purchases of previously transferred financial assets | 0.1 | | — | | 0.1 | | — | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, |
| | 2017 | 2016 |
| In billions of dollars | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages | U.S. agency-
sponsored
mortgages | Non-agency-
sponsored
mortgages(1) |
| Proceeds from new securitizations | $ | 11.7 |
| $ | 4.1 |
| $ | 11.7 |
| $ | 1.4 |
|
| Contractual servicing fees received | 0.1 |
| — |
| 0.1 |
| — |
|
|
| | | | | | | | | | | | |
| | Nine Months Ended September 30, |
| | 2017 | 2016 |
| In billions of dollars | U.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 received | 0.2 |
| — |
| 0.3 |
| — |
|
Note: Excludes re-securitization transactions.
(1) The principal securitized and proceeds from new securitizations in 20162020 include $0.5$0.2 billion related to personal loan securitizations.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $14$2 million and $61$4 million for the three and ninesix months ended SeptemberJune 30, 2017,2020, respectively. For the three and ninesix months ended SeptemberJune 30, 2017,2020, gains recognized on the securitization of non-agency sponsored mortgages were $29$27 million and $75$65 million, respectively.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $36 million and $81$5 million for the three and ninesix months ended SeptemberJune 30, 2016, respectively. For the three and nine months ended September 30, 2016, gains2019. Gains recognized on the securitization of non-agency sponsored mortgages were $37$26 million and $65$43 million for the three and six months ended June 30, 2019, respectively.
| | | | | | | | | | | | | | | | | | | | |
| June 30, 2020 | | | December 31, 2019 | | |
| | Non-agency-sponsored mortgages(1) | | | Non-agency-sponsored mortgages(1) | |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests(3) | Subordinated
interests | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
Carrying value of retained interests(2) | $ | 334 | | $ | 884 | | $ | 119 | | $ | 491 | | $ | 748 | | $ | 102 | |
(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 and 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 $119 million related to personal loan securitizations at June 30, 2020.
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 SeptemberJune 30, 2017 |
| 2020 | | Non-agency-sponsored mortgages(1)
|
| U.S. agency-
sponsored mortgages
| Senior
interests
| Subordinated
interests
|
Discount rate | 2.0% to 13.2% |
| — |
| — |
|
Weighted average discount rate | 8.5 | % | — |
| — |
|
Constant prepayment rate | 6.6% to 31.6% |
| — |
| — |
|
Weighted average constant prepayment rate | 10.6 | % | — |
| — |
|
Anticipated net credit losses(2)
| NM |
| — |
| — |
|
Weighted average anticipated net credit losses | NM |
| — |
| — |
|
Weighted average life | 2.5 to 10.5 years |
| — |
| — |
|
|
| | | |
| | Non-agency-sponsored mortgages(1) | |
| Three Months Ended September 30, 2016 |
| | Non-agency-sponsoredU.S. agency-sponsored mortgages(1)
| Seniorinterests | Subordinatedinterests |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
Discount rate | 1.5% to 13.0% |
| — |
| — |
| Weighted average discount rate | 10.03.5 | % | —6.2 |
% | —3.0 | % |
Constant prepayment rate | 7.7% to 30.9% |
| — |
| — |
| Weighted average constant prepayment rate | 13.728.7 | % | — |
% | —25.0 | % |
Anticipated net credit losses(2)
| NM |
| — |
| — |
| Weighted average anticipated net credit losses(2) | NM |
— | —% |
0.5 | —% |
| Weighted average life | 2.0 to 4.1 years | 9.8 years |
| — |
| —2.3 years |
| | | | | | | | | | | |
| Three Months Ended June 30, 2019 | | |
| | | |
| | Non-agency-sponsored mortgages(1) | |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 7.4 | % | 3.2 | % | 5.3 | % |
| Weighted average constant prepayment rate | 15.7 | % | 5.7 | % | 5.9 | % |
Weighted average anticipated net credit losses(2) | NM | 3.0 | % | 3.7 | % |
| Weighted average life | 5.9 years | 3.2 years | 15.6 years |
| | | | | | | | | | | |
| Six Months Ended June 30, 2020 | | |
| | | |
| | Non-agency-sponsored mortgages(1) | |
| U.S. agency- sponsored mortgages | Senior interests | Subordinated interests |
| Weighted average discount rate | 6.0 | % | 1.8 | % | 3.0 | % |
| Weighted average constant prepayment rate | 27.1 | % | 0.0 | % | 25.0 | % |
| Weighted average anticipated net credit losses(2) | NM | 1.6 | % | 0.5 | % |
| Weighted average life | 4.7 years | 4.8 years | 2.3 years |
| | | | | | | | | | | |
| Six Months Ended June 30, 2019 | | |
| | | |
| | Non-agency-sponsored mortgages(1) | |
| U.S. agency- sponsored mortgages | Senior interests | Subordinated interests |
| Weighted average discount rate | 7.0 | % | 3.5 | % | 5.5 | % |
| Weighted average constant prepayment rate | 14.8 | % | 5.8 | % | 5.9 | % |
| Weighted average anticipated net credit losses(2) | NM | 4.4 | % | 3.7 | % |
| Weighted average life | 6.0 years | 6.6 years | 16.1 years |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2) Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
|
| | | | | | |
| Nine Months Ended September 30, 2017 |
| | Non-agency-sponsored mortgages(1)
|
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
Discount rate | 2.0% to 19.9% |
| — |
| — |
|
Weighted average discount rate | 9.1 | % | — |
| — |
|
Constant prepayment rate | 3.8% to 31.6% |
| — |
| — |
|
Weighted average constant prepayment rate | 9.6 | % | — |
| — |
|
Anticipated net credit losses(2)
| NM |
| — |
| — |
|
Weighted average anticipated net credit losses | NM |
| — |
| — |
|
Weighted average life | 2.5 to 14.5 years |
| — |
| — |
|
|
| | | | | |
| Nine Months Ended September 30, 2016 |
| | Non-agency-sponsored mortgages(1)
|
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
Discount rate | 0.8% to 13.0% |
| — |
| — |
Weighted average discount rate | 9.1 | % | — |
| — |
Constant prepayment rate | 7.7% to 30.9% |
| — |
| — |
Weighted average constant prepayment rate | 12.8 | % | — |
| — |
Anticipated net credit losses(2)
| NM |
| — |
| — |
Weighted average anticipated net credit losses | NM |
| — |
| — |
Weighted average life | 0.5 to 17.5 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. |
| |
NM | Anticipated 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 Key assumptions used toin measuring the fair value of retained interests in securitizations of mortgage receivables at period end were as follows:
| | | | | | | | | | | |
| June 30, 2020 | | |
| | | |
| | Non-agency-sponsored mortgages(1) | |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 1.9 | % | 7.1 | % | 16.2 | % |
| Weighted average constant prepayment rate | 23.8 | % | 3.4 | % | 5.5 | % |
Weighted average anticipated net credit losses(2) | NM | 1.2 | % | 4.2 | % |
| Weighted average life | 4.0 years | 6.9 years | 7.5 years |
| | | | | | | | | | | |
| December 31, 2019 | | |
| | | |
| | Non-agency-sponsored mortgages(1) | |
| U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Weighted average discount rate | 9.3 | % | 3.6 | % | 4.6 | % |
| Weighted average constant prepayment rate | 12.9 | % | 10.5 | % | 7.6 | % |
Weighted average anticipated net credit losses(2) | NM | 3.9 | % | 2.8 | % |
| Weighted average life | 6.6 years | 3.0 years | 11.4 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.
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
The sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are set forthpresented in the tables
below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.
|
| | | | | | |
| | September 30, 2017 |
| | | Non-agency-sponsored mortgages(1) |
| | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | 0.0% to 82.4% |
| 0.0% to 5.1% |
| 4.8% to 33.9% |
|
| Weighted average discount rate | 7.9 | % | 1.0 | % | 9.7 | % |
| Constant prepayment rate | 7.4% to 31.6% |
| 8.9% to 13.9% |
| 0.5% to 13.1% |
|
| Weighted average constant prepayment rate | 12.3 | % | 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 life | 0.4 to 28.0 years |
| 5.2 to 15.1 years |
| 0.4 to 18.8 years |
|
|
| | | | | | |
| | December 31, 2016 |
| | | Non-agency-sponsored mortgages(1) |
| | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Discount rate | 0.7% to 28.2% |
| 0.0% to 8.1% |
| 5.1% to 26.4% |
|
| Weighted average discount rate | 9.0 | % | 2.1 | % | 13.1 | % |
| Constant prepayment rate | 6.8% to 22.8% |
| 4.2% to 14.7% |
| 0.5% to 37.5% |
|
| Weighted average constant prepayment rate | 10.2 | % | 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 life | 0.2 to 28.8 years |
| 5.0 to 8.5 years |
| 1.2 to 12.1 years |
|
| | | | | | | | | | | |
(1) | Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.June 30, 2020 |
| |
(2) | | Non-agency-sponsored mortgages | |
| In millions of dollars | U.S. agency-sponsored mortgages | Seniorinterests | Subordinatedinterests |
| Discount rate | | | |
| Adverse change of 10% | $ | (5) | | $ | — | | $ | — | |
| Adverse change of 20% | (9) | | (1) | | (1) | |
| Constant prepayment rate | | | |
| Adverse change of 10% | (26) | | — | | — | |
| Adverse change of 20% | (49) | | — | | — | |
Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations. |
| | |
NM Adverse change of 10% | Anticipated net credit losses are not meaningful due to U.S. agency guarantees.NM | — | | — | |
| Adverse change of 20% | NM | — | | — | |
|
| | | | | | | | | |
| | September 30, 2017 |
| | | Non-agency-sponsored mortgages(1) |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Carrying value of retained interests | $ | 1,529 |
| $ | 156 |
| $ | 189 |
|
| Discount rates | | | |
| Adverse change of 10% | $ | (45 | ) | $ | (3 | ) | $ | (4 | ) |
| Adverse change of 20% | (87 | ) | (6 | ) | (8 | ) |
| Constant prepayment rate | | | |
| Adverse change of 10% | (42 | ) | (1 | ) | (1 | ) |
| Adverse change of 20% | (87 | ) | (2 | ) | (3 | ) |
| Anticipated net credit losses | | | |
| Adverse change of 10% | NM |
| (4 | ) | (1 | ) |
| Adverse change of 20% | NM |
| (8 | ) | (1 | ) |
| | | | December 31, 2016 | | December 31, 2019 | |
| | | Non-agency-sponsored mortgages(1) | | | Non-agency-sponsored mortgages | |
| In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests | In millions of dollars | U.S. agency-
sponsored mortgages | Senior
interests | Subordinated
interests |
| Carrying value of retained interests | $ | 2,258 |
| $ | 26 |
| $ | 161 |
| |
| Discount rates | | |
| Discount rate | | Discount rate | |
| Adverse change of 10% | $ | (71 | ) | $ | (7 | ) | $ | (8 | ) | Adverse change of 10% | $ | (18) | | $ | — | | $ | (1) | |
| Adverse change of 20% | (138 | ) | (14 | ) | (16 | ) | Adverse change of 20% | (35) | | (1) | | (1) | |
| Constant prepayment rate | | Constant prepayment rate | |
| Adverse change of 10% | (80 | ) | (2 | ) | (4 | ) | Adverse change of 10% | (18) | | — | | — | |
| Adverse change of 20% | (160 | ) | (3 | ) | (8 | ) | Adverse change of 20% | (35) | | — | | — | |
| Anticipated net credit losses | | Anticipated net credit losses | |
| Adverse change of 10% | NM |
| (7 | ) | (1 | ) | Adverse change of 10% | NM | — | | — | |
| Adverse change of 20% | NM |
| (14 | ) | (2 | ) | Adverse change of 20% | NM | — | | — | |
| |
(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. |
| |
NM | Anticipated net credit losses are not meaningful due to U.S. agency guarantees. |
NM Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Liquidation losses | | | |
| Securitized assets | | 90 days past due | | Three Months Ended June 30, | | Six Months Ended June 30, | |
| In billions of dollars, except liquidation losses in millions | Jun. 30, 2020 | Dec. 31, 2019 | Jun. 30, 2020 | Dec. 31, 2019 | 2020 | 2019 | 2020 | 2019 |
| Securitized assets | | | | | | | | |
Residential mortgages(1) | $ | 11.8 | | $ | 11.7 | | $ | 0.4 | | $ | 0.4 | | $ | 7 | | $ | 9 | | $ | 18 | | $ | 20 | |
| Commercial and other | 21.0 | | 22.3 | | — | | — | | — | | — | | — | | — | |
| Total | $ | 32.8 | | $ | 34.0 | | $ | 0.4 | | $ | 0.4 | | $ | 7 | | $ | 9 | | $ | 18 | | $ | 20 | |
(1) Securitized assets include $0.2 billion of personal loan securitizations as of June 30, 2020.
Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $553$345 million and $1.3 billion$508 million at SeptemberJune 30, 20172020 and 2016,2019, respectively. The MSRs correspond to principal loan balances of $68$57 billion and $173$60 billion as of SeptemberJune 30, 20172020 and 2016,2019, respectively. The following table summarizes the changes in capitalized MSRs:
| | | | | | | | |
| Three Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 |
| Balance, beginning of year | $ | 367 | | $ | 551 | |
| Originations | 24 | | 16 | |
| Changes in fair value of MSRs due to changes in inputs and assumptions | (26) | | (37) | |
Other changes(1) | (20) | | (22) | |
| Sales of MSRs | — | | — | |
| Balance, as of June 30 | $ | 345 | | $ | 508 | |
|
| | | | | | |
| | Three Months Ended September 30, |
| In millions of dollars | 2017 | 2016 |
| Balance, as of June 30 | $ | 560 |
| $ | 1,324 |
|
| Originations | 19 |
| 43 |
|
| Changes in fair value of MSRs due to changes in inputs and assumptions | (6 | ) | 13 |
|
Other changes(1) | (20 | ) | (78 | ) |
Sale of MSRs(2) | — |
| (32 | ) |
| Balance, as of September 30 | $ | 553 |
| $ | 1,270 |
|
| | | | | | | | |
| Six Months Ended
June 30, | |
| In millions of dollars | 2020 | 2019 |
| Balance, beginning of year | $ | 495 | | $ | 584 | |
| Originations | 56 | | 28 | |
| Changes in fair value of MSRs due to changes in inputs and assumptions | (169) | | (64) | |
Other changes(1) | (37) | | (40) | |
| Sales of MSRs | — | | — | |
| Balance, as of June 30 | $ | 345 | | $ | 508 | |
(1) Represents changes due to customer payments and passage of time.
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.
|
| | | | | | |
| | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 |
| Balance, beginning of year | $ | 1,564 |
| $ | 1,781 |
|
| Originations | 75 |
| 111 |
|
| Changes in fair value of MSRs due to changes in inputs and assumptions | 50 |
| (349 | ) |
Other changes(1) | (90 | ) | (255 | ) |
Sale of MSRs(2) | (1,046 | ) | (18 | ) |
| Balance, as of September 30 | $ | 553 |
| $ | 1,270 |
|
| |
(1) | Represents changes due to customer payments and passage of time. |
| |
(2) | See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs. 2016 amount includes sales of credit challenged MSRs for which Citi paid the new servicer. |
The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
| | | | | | | | | | | | | | |
| Three Months Ended June 30, | | Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 |
| Servicing fees | $ | 34 | | $ | 35 | | $ | 73 | | $ | 76 | |
| Late fees | 1 | | 2 | | 3 | | 4 |
| Ancillary fees | — | | — | | — | | 1 |
| Total MSR fees | $ | 35 | | $ | 37 | | $ | 76 | | $ | 81 | |
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Servicing fees | $ | 65 |
| $ | 117 |
| $ | 236 |
| $ | 371 |
|
| Late fees | 2 |
| 3 |
| 8 |
| 11 |
|
| Ancillary fees | 3 |
| 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 three and nine months ended SeptemberJune 30, 20172020 and 2016.2019. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of SeptemberJune 30, 2017, the fair value of Citi-retained2020 and December 31, 2019, Citi held 0 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 million (all related to re-securitization transactions executed prior to 2016). Of this amount, substantially all was related to subordinated beneficial interests. The original par value of private-label re-securitization transactions in which Citi holds a retained interest as of September 30, 2017 and December 31, 2016 was approximately $954 million and $1.3 billion, respectively.Citi.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three and ninesix months ended SeptemberJune 30, 2017,2020, Citi transferred agency securities with a fair value of approximately $9.9$12 billion and $20.0$19.4 billion respectively, to re-securitization entities compared to approximately $7.1$6.9 billion and $21.3$14.5 billion for the three and ninesix months ended SeptemberJune 30, 2016.2019.
As of SeptemberJune 30, 2017,2020, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.0$1.8 billion (including $713$858.7 millionrelated to re-securitization transactions executed in 2017)2020) compared to $2.3$2.2 billion as of December 31, 20162019 (including $741 million$1.3 billion related to re-securitization transactions executed in 2016)2019), which is recorded in Trading account assets. The original fair valuevalues of agency re-securitization transactions in which Citi holds a retained interest as of SeptemberJune 30, 20172020 and December 31, 2016 was2019 were approximately $67.6$71.8 billion and $71.8$73.5 billion, respectively.
As of SeptemberJune 30, 20172020 and December 31, 2016,2019, the Company did not consolidate any private-labelprivate label or agency re-securitization entities.
Citi-Administered Asset-Backed Commercial Paper Conduits
At SeptemberJune 30, 20172020 and December 31, 2016,2019, the commercial paper conduits administered by Citi had approximately $19.3$16 billion and $19.7$15.6 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $14.3$17.9 billion and $12.8$16.3 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At SeptemberJune 30, 20172020 and December 31, 2016,2019, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 5352 and 5549 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 $1.4 billion as of SeptemberJune 30, 20172020 and December 31, 2016.2019, 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, 20172020 and December 31, 2016,2019, the Company owned $9.3$5.1 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)
The following table summarizestables summarize selected cash flow information retained interests related to Citigroup CLOs:
| | | | Three Months Ended September 30, | | Three Months Ended June 30, | |
| In billions of dollars | 2017 | 2016 | In billions of dollars | 2020 | 2019 |
| Proceeds from new securitizations | $ | 1.1 |
| $ | 1.8 |
| Proceeds from new securitizations | $ | 0.1 | | $ | — | |
|
| | | | | | |
| | Nine Months Ended September 30, |
| In billions of dollars | 2017 | 2016 |
| Proceeds from new securitizations | $ | 2.5 |
| $ | 3.8 |
|
The key assumptions used to value retained interests in CLOs, and the sensitivity of the fair value to adverse changes of 10% and 20% are set forth in the tables below:
| | | | | | | | |
| Jun. 30, 2020 | Dec. 31, 2019 |
| Weighted average discount rate | 1.8 | % | 0.0 | % |
| Weighted average life | 4.2 years | 0 years |
| | | | | | | | |
| In millions of dollars | Jun. 30, 2020 | Dec. 31, 2019 |
| Carrying value of retained interests | $ | 1,608 | | $ | 1,404 | |
All of Citi’s retained interests were held-to-maturity securities as of June 30, 2020 and December 31, 2019.
|
| | |
| Sept. 30, 2017 | Dec. 31, 2016 |
Discount rate | 1.1% to 1.6% | 1.3% to 1.7% |
|
| | | | | | |
| In millions of dollars | Sept. 30, 2017 | Dec. 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.
| | | | | | | | |
| June 30, 2020 | |
| In millions of dollars | TotalunconsolidatedVIE assets | Maximumexposure tounconsolidated VIEs |
| Type | | |
| Commercial and other real estate | $ | 29,134 | | $ | 7,367 | |
| Corporate loans | 12,113 | | 8,219 | |
| Other (including investment funds, airlines and shipping) | 160,899 | | 21,977 | |
| Total | $ | 202,146 | | $ | 37,562 | |
|
| | | | | | |
| | September 30, 2017 |
| In millions of dollars | Total
unconsolidated
VIE assets | Maximum
exposure to
unconsolidated VIEs |
| Type | | |
| Commercial and other real estate | $ | 8,971 |
| $ | 3,068 |
|
| Corporate loans | 2,763 |
| 1,706 |
|
| Hedge funds and equities | 499 |
| 59 |
|
| Airplanes, ships and other assets | 38,488 |
| 16,194 |
|
| Total | $ | 50,721 |
| $ | 21,027 |
|
| | | | | | | | |
| December 31, 2019 | |
| In millions of dollars | TotalunconsolidatedVIE assets | Maximumexposure tounconsolidated VIEs |
| Type | | |
| Commercial and other real estate | $ | 31,377 | | $ | 7,489 | |
| Corporate loans | 7,088 | | 5,802 | |
| Other (including investment funds, airlines and shipping) | 152,124 | | 21,140 | |
| Total | $ | 190,589 | | $ | 34,431 | |
|
| | | | | | |
| | 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 loans | 4,051 |
| 2,684 |
|
| Hedge funds and equities | 370 |
| 54 |
|
| Airplanes, ships and other assets | 39,230 |
| 16,837 |
|
| Total | $ | 52,435 |
| $ | 21,943 |
|
Municipal Securities Tender Option Bond (TOB) Trusts
At SeptemberJune 30, 20172020 and December 31, 2016, approximately $56 million and $82 million, respectively,2019, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At SeptemberJune 30, 20172020 and December 31, 2016,2019, liquidity agreements provided with respect to customer TOB trusts totaled $3.1$2.3 billion and $2.9$3.5 billion, respectively, of which $2.0$1.4 billion and $2.1$1.6 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$5 billion and $7.4$7 billion as of SeptemberJune 30, 20172020 and December 31, 2016,2019, 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, 2016.172
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 20162019 Annual Report on Form 10-K.
Information pertaining to Citigroup’s derivativederivatives activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete and accurate measure of Citi’s exposure to derivative transactions. Rather, Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk. Aggregate
In addition, aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors.
Derivative Notionals
| | | | | | | | | | | | | | | | |
| | Hedging instruments under
ASC 815 | | Trading derivative instruments | | | |
| In millions of dollars | June 30,
2020 | December 31,
2019 | June 30,
2020 | December 31,
2019 | | |
| Interest rate contracts | | | | | | |
| Swaps | $ | 346,007 | | $ | 318,089 | | $ | 17,622,599 | | $ | 17,063,272 | | | |
| Futures and forwards | — | | — | | 4,449,386 | | 3,636,658 | | | |
| Written options | — | | — | | 1,674,348 | | 2,114,511 | | | |
| Purchased options | — | | — | | 1,493,884 | | 1,857,770 | | | |
| Total interest rate contracts | $ | 346,007 | | $ | 318,089 | | $ | 25,240,217 | | $ | 24,672,211 | | | |
| Foreign exchange contracts | | | | | | |
| Swaps | $ | 66,733 | | $ | 63,104 | | $ | 6,150,239 | | $ | 6,063,853 | | | |
| Futures, forwards and spot | 38,997 | | 38,275 | | 4,241,268 | | 3,979,188 | | | |
| Written options | 1,428 | | 80 | | 972,083 | | 908,061 | | | |
| Purchased options | 1,487 | | 80 | | 985,024 | | 959,149 | | | |
| Total foreign exchange contracts | $ | 108,645 | | $ | 101,539 | | $ | 12,348,614 | | $ | 11,910,251 | | | |
| Equity contracts | | | | | | |
| Swaps | $ | — | | $ | — | | $ | 201,655 | | $ | 197,893 | | | |
| Futures and forwards | — | | — | | 76,743 | | 66,705 | | | |
| Written options | — | | — | | 449,807 | | 560,571 | | | |
| Purchased options | — | | — | | 332,262 | | 422,393 | | | |
| Total equity contracts | $ | — | | $ | — | | $ | 1,060,467 | | $ | 1,247,562 | | | |
| Commodity and other contracts | | | | | | |
| Swaps | $ | — | | $ | — | | $ | 77,244 | | $ | 69,445 | | | |
| Futures and forwards | 494 | | 1,195 | | 153,421 | | 137,192 | | | |
| Written options | — | | — | | 97,406 | | 91,587 | | | |
| Purchased options | — | | — | | 94,501 | | 86,631 | | | |
| Total commodity and other contracts | $ | 494 | | $ | 1,195 | | $ | 422,572 | | $ | 384,855 | | | |
Credit derivatives(1) | | | | | | |
| Protection sold | $ | — | | $ | — | | $ | 574,692 | | $ | 603,387 | | | |
| Protection purchased | — | | — | | 644,213 | | 703,926 | | | |
| Total credit derivatives | $ | — | | $ | — | | $ | 1,218,905 | | $ | 1,307,313 | | | |
| Total derivative notionals | $ | 455,146 | | $ | 420,823 | | $ | 40,290,775 | | $ | 39,522,192 | | | |
(1)Credit derivatives are arrangements designed to allow one party (protection purchaser) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.
|
| | | | | | | | | | | | | | | | | | |
| | Hedging instruments under ASC 815(1)(2) | Other derivative instruments |
| |
|
| Trading derivatives | Management hedges(3) |
| In millions of dollars | September 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 spot | 38,100 |
| 56,964 |
| 4,658,973 |
| 3,251,132 |
| 5,153 |
| 3,419 |
|
| Written options | 4,027 |
| — |
| 1,466,308 |
| 1,194,325 |
| — |
| — |
|
| Purchased options | 6,697 |
| — |
| 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 forwards | 139 |
| 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 |
|
174
| |
(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) 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, 20172020 and December 31, 2016.2019. 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 $100$290 billion and $180 billion as of June 30, 2020 and December 31, 2019, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now legally settled and not subject to collateral. The table for December 31, 2016 presents derivative assets and liabilities as gross amounts subject to variation margin collateral that were netted under enforceable master netting agreements. Therefore the net presentation of the affected items on the consolidated balance sheet is consistent for all periods. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.
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) |
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | Assets | Liabilities |
| Over-the-counter | $ | 440 |
| $ | 107 |
| $ | 1,291 |
| $ | 30 |
|
| Cleared | 29 |
| 29 |
| 35 |
| 69 |
|
| Interest rate contracts | $ | 469 |
| $ | 136 |
| $ | 1,326 |
| $ | 99 |
|
| Over-the-counter | $ | 936 |
| $ | 676 |
| $ | 771 |
| $ | 147 |
|
| Foreign exchange contracts | $ | 936 |
| $ | 676 |
| $ | 771 |
| $ | 147 |
|
| Total derivatives instruments designated as ASC 815 hedges | $ | 1,405 |
| $ | 812 |
| $ | 2,097 |
| $ | 246 |
|
| Derivatives instruments not designated as ASC 815 hedges |
|
|
|
|
| Over-the-counter | $ | 200,554 |
| $ | 179,000 |
| $ | 35 |
| $ | 1 |
|
| Cleared | 6,843 |
| 8,520 |
| 73 |
| 105 |
|
| Exchange traded | 116 |
| 93 |
| — |
| — |
|
| Interest rate contracts | $ | 207,513 |
| $ | 187,613 |
| $ | 108 |
| $ | 106 |
|
| Over-the-counter | $ | 130,399 |
| $ | 129,096 |
| $ | — |
| $ | — |
|
| Cleared | 3,180 |
| 3,312 |
| — |
| — |
|
| Exchange traded | 58 |
| 52 |
| — |
| — |
|
| Foreign exchange contracts | $ | 133,637 |
| $ | 132,460 |
| $ | — |
| $ | — |
|
| Over-the-counter | $ | 18,736 |
| $ | 24,317 |
| $ | — |
| $ | — |
|
| Cleared | 16 |
| 20 |
| — |
| — |
|
| Exchange traded | 8,532 |
| 8,179 |
| — |
| — |
|
| Equity contracts | $ | 27,284 |
| $ | 32,516 |
| $ | — |
| $ | — |
|
| Over-the-counter | $ | 11,444 |
| $ | 14,541 |
| $ | — |
| $ | — |
|
| Exchange traded | 745 |
| 703 |
| — |
| — |
|
| Commodity and other contracts | $ | 12,189 |
| $ | 15,244 |
| $ | — |
| $ | — |
|
| Over-the-counter | $ | 15,169 |
| $ | 15,592 |
| $ | 23 |
| $ | 68 |
|
| Cleared | 8,042 |
| 9,593 |
| 22 |
| 297 |
|
Credit derivatives(4) | $ | 23,211 |
| $ | 25,185 |
| $ | 45 |
| $ | 365 |
|
| Total derivatives instruments not designated as ASC 815 hedges | $ | 403,834 |
| $ | 393,018 |
| $ | 153 |
| $ | 471 |
|
| Total derivatives | $ | 405,239 |
| $ | 393,830 |
| $ | 2,250 |
| $ | 717 |
|
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 |
|
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | | | | |
| Less: Cash collateral received/paid | $ | (861 | ) | $ | (61 | ) | $ | — |
| $ | — |
|
| Less: Non-cash collateral received/paid | (11,864 | ) | (9,798 | ) | (294 | ) | — |
|
Total net receivables/payables(9) | $ | 43,205 |
| $ | 42,005 |
| $ | 951 |
| $ | 709 |
|
| | | | | | | | |
(1)In millions of dollars at June 30, 2020 | The trading derivatives fair values are presentedDerivatives classified in
Note 20 to the Consolidated Financial Statements.Trading account assets/liabilities(1)(2) | |
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities |
| Over-the-counter | $ | 1,735 | | $ | 269 | |
| Cleared | — | | 280 | |
| | |
(2)Interest rate contracts | 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.
$ | 1,735 | | $ | 549 | |
| Over-the-counter | $ | 1,893 | | $ | 1,247 | |
| Cleared | — | | 45 | |
| | |
(3)Foreign exchange contracts | $ | 1,893 | | $ | 1,292 | |
| | |
| | |
| | |
| | |
| Total derivatives instruments designated as ASC 815 hedges | $ | 3,628 | | $ | 1,841 | |
| Derivatives instruments not designated as ASC 815 hedges | | |
| Over-the-counter | $ | 243,492 | | $ | 222,515 | |
| Cleared | 14,255 | | 11,804 | |
| Exchange traded | 88 | | 1,092 | |
| Interest rate contracts | $ | 257,835 | | $ | 235,411 | |
| Over-the-counter | $ | 114,988 | | $ | 120,283 | |
| Cleared | 645 | | 768 | |
| Exchange traded | 3 | | 2 | |
| Foreign exchange contracts | $ | 115,636 | | $ | 121,053 | |
| Over-the-counter | $ | 17,699 | | $ | 26,019 | |
| Cleared | 41 | | 10 | |
| Exchange traded | 21,666 | | 22,360 | |
| Equity contracts | $ | 39,406 | | $ | 48,389 | |
| Over-the-counter | $ | 15,652 | | $ | 20,305 | |
| | |
| Exchange traded | 1,108 | | 1,259 | |
| Commodity and other contracts | $ | 16,760 | | $ | 21,564 | |
| Over-the-counter | $ | 10,403 | | $ | 10,099 | |
| Cleared | 1,279 | | 1,622 | |
| | |
| Credit derivatives | $ | 11,682 | | $ | 11,721 | |
| Total derivatives instruments not designated as ASC 815 hedges | $ | 441,319 | | $ | 438,138 | |
| Total derivatives | $ | 444,947 | | $ | 439,979 | |
Cash collateral paid/received(3) | $ | 26,598 | | $ | 14,295 | |
Less: Netting agreements(4) | (340,172) | | (340,172) | |
Less: Netting cash collateral received/paid(5) | (58,778) | | (53,704) | |
Net receivables/payables included on the Consolidated Balance Sheet(6) | $ | 72,595 | | $ | 60,398 | |
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | | |
| | |
| Less: Cash collateral received/paid | $ | (894) | | $ | (302) | |
| Less: Non-cash collateral received/paid | (8,010) | | (14,522) | |
Total net receivables/payables(6) | $ | 63,691 | | $ | 45,574 | |
(1)The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.
(2)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency. | |
(4) | 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, reflects the net amount of the $46,381 million and $53,724 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $32,390 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $37,876 million was used to offset trading derivative assets. |
| |
(6) | For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $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) | Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $301 billion, $15 billion and $9 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively. |
| |
(8) | Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively. |
| |
(9) | The net receivables/payables include approximately $5 billion of derivative asset and $6 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively. |
|
| | | | | | | | | | | | |
| In millions of dollars at December 31, 2016 | Derivatives classified in Trading account assets / liabilities(1)(2)(3) | Derivatives classified in Other assets / liabilities(2)(3) |
| Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | Assets | Liabilities |
| Over-the-counter | $ | 716 |
| $ | 171 |
| $ | 1,927 |
| $ | 22 |
|
| Cleared | 3,530 |
| 2,154 |
| 47 |
| 82 |
|
| Interest rate contracts | $ | 4,246 |
| $ | 2,325 |
| $ | 1,974 |
| $ | 104 |
|
| Over-the-counter | $ | 2,494 |
| $ | 393 |
| $ | 747 |
| $ | 645 |
|
| Foreign exchange contracts | $ | 2,494 |
| $ | 393 |
| $ | 747 |
| $ | 645 |
|
| Total derivatives instruments designated as ASC 815 hedges | $ | 6,740 |
| $ | 2,718 |
| $ | 2,721 |
| $ | 749 |
|
| Derivatives instruments not designated as ASC 815 hedges |
|
|
|
|
| Over-the-counter | $ | 244,072 |
| $ | 221,534 |
| $ | 225 |
| $ | 5 |
|
| Cleared | 120,920 |
| 130,855 |
| 240 |
| 349 |
|
| Exchange traded | 87 |
| 47 |
| — |
| — |
|
| Interest rate contracts | $ | 365,079 |
| $ | 352,436 |
| $ | 465 |
| $ | 354 |
|
| Over-the-counter | $ | 182,659 |
| $ | 186,867 |
| $ | — |
| $ | 60 |
|
| Cleared | 482 |
| 470 |
| — |
| — |
|
| Exchange traded | 27 |
| 31 |
| — |
| — |
|
| Foreign exchange contracts | $ | 183,168 |
| $ | 187,368 |
| $ | — |
| $ | 60 |
|
| Over-the-counter | $ | 15,625 |
| $ | 19,119 |
| $ | — |
| $ | — |
|
| Cleared | 1 |
| 21 |
| — |
| — |
|
| Exchange traded | 8,484 |
| 7,376 |
| — |
| — |
|
| Equity contracts | $ | 24,110 |
| $ | 26,516 |
| $ | — |
| $ | — |
|
| Over-the-counter | $ | 13,046 |
| $ | 14,234 |
| $ | — |
| $ | — |
|
| Exchange traded | 719 |
| 798 |
| — |
| — |
|
| Commodity and other contracts | $ | 13,765 |
| $ | 15,032 |
| $ | — |
| $ | — |
|
| Over-the-counter | $ | 19,033 |
| $ | 19,563 |
| $ | 159 |
| $ | 78 |
|
| Cleared | 5,582 |
| 5,874 |
| 47 |
| 310 |
|
Credit derivatives(4) | $ | 24,615 |
| $ | 25,437 |
| $ | 206 |
| $ | 388 |
|
| Total derivatives instruments not designated as ASC 815 hedges | $ | 610,737 |
| $ | 606,789 |
| $ | 671 |
| $ | 802 |
|
| Total derivatives | $ | 617,477 |
| $ | 609,507 |
| $ | 3,392 |
| $ | 1,551 |
|
Cash collateral paid/received(5)(6) | $ | 11,188 |
| $ | 15,731 |
| $ | 8 |
| $ | 1 |
|
Less: Netting agreements(7) | (519,000 | ) | (519,000 | ) | — |
| — |
|
Less: Netting cash collateral received/paid(8) | (45,912 | ) | (49,811 | ) | (1,345 | ) | (53 | ) |
Net receivables/payables included on the Consolidated Balance Sheet(9) | $ | 63,753 |
| $ | 56,427 |
| $ | 2,055 |
| $ | 1,499 |
|
| Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet | | | | |
| Less: Cash collateral received/paid | $ | (819 | ) | $ | (19 | ) | $ | — |
| $ | — |
|
| Less: Non-cash collateral received/paid | (11,767 | ) | (5,883 | ) | (530 | ) | — |
|
Total net receivables/payables(9) | $ | 51,167 |
| $ | 50,525 |
| $ | 1,525 |
| $ | 1,499 |
|
| |
(1) | The trading derivatives fair values are presented in Note 20 to the Consolidated Financial Statements. |
| |
(2) | Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.
|
| |
(3) | Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, |
whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange tradedExchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)Reflects the net amount of the $80,302 million and $73,074 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,704 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $58,778 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $317 billion, $2 billion and $21 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $6 billion of derivative asset and $8 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
| | | | | | | | |
(4) | The credit derivatives trading assets comprise $8,871 million related to protection purchased and $15,744 million related to protection sold asIn millions of dollars at December 31, 2016. The credit derivatives trading 2019 | Derivatives classified in
Trading account assets/liabilities comprise $16,722 million related to protection purchased and $8,715 million related to protection sold(1)(2) | |
Derivatives instruments designated as of December 31, 2016.ASC 815 hedges | Assets | Liabilities |
| Over-the-counter | $ | 1,682 | | $ | 143 | |
| Cleared | 41 | | 111 | |
| | |
(5)Interest rate contracts | For the trading account assets/liabilities, reflects the net amount of the $60,999 million and $61,643 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $49,811 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $45,912 million was used to offset trading derivative assets.$ | 1,723 | | $ | 254 | |
| Over-the-counter | $ | 1,304 | | $ | 908 | |
| Cleared | — | | 2 | |
| | |
(6)Foreign exchange contracts | 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.
$ | 1,304 | | $ | 910 | |
| | |
(7) | Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $383 billion, $128 billion and $8 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively. |
| |
(8) | Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively. |
| |
(9) | The net | |
| Total derivatives instruments designated as ASC 815 hedges | $ | 3,027 | | $ | 1,164 | |
| Derivatives instruments not designated as ASC 815 hedges | | |
| Over-the-counter | $ | 189,892 | | $ | 169,749 | |
| Cleared | 5,896 | | 7,472 | |
| Exchange traded | 157 | | 180 | |
| Interest rate contracts | $ | 195,945 | | $ | 177,401 | |
| Over-the-counter | $ | 105,401 | | $ | 108,807 | |
| Cleared | 862 | | 1,015 | |
| Exchange traded | 3 | | — | |
| Foreign exchange contracts | $ | 106,266 | | $ | 109,822 | |
| Over-the-counter | $ | 21,311 | | $ | 22,411 | |
| | |
| Exchange traded | 7,160 | | 8,075 | |
| Equity contracts | $ | 28,471 | | $ | 30,486 | |
| Over-the-counter | $ | 13,582 | | $ | 16,773 | |
| | |
| Exchange traded | 630 | | 542 | |
| Commodity and other contracts | $ | 14,212 | | $ | 17,315 | |
| Over-the-counter | $ | 8,896 | | $ | 8,975 | |
| Cleared | 1,513 | | 1,763 | |
| | |
| Credit derivatives | $ | 10,409 | | $ | 10,738 | |
| Total derivatives instruments not designated as ASC 815 hedges | $ | 355,303 | | $ | 345,762 | |
| Total derivatives | $ | 358,330 | | $ | 346,926 | |
Cash collateral paid/received(3) | $ | 17,926 | | $ | 14,391 | |
Less: Netting agreements(4) | (274,970) | | (274,970) | |
Less: Netting cash collateral received/paid(5) | (44,353) | | (38,919) | |
Net receivables/payables include approximately $7 billion of derivative asset and $9 billion of derivative liability fair values notincluded on the Consolidated Balance Sheet(6) | $ | 56,933 | | $ | 47,428 | |
Additional amounts subject to an enforceable master netting agreements, respectively.agreement, but not offset on the Consolidated Balance Sheet | | |
| | |
| Less: Cash collateral received/paid | $ | (861) | | $ | (128) | |
| Less: Non-cash collateral received/paid | (13,143) | | (7,308) | |
Total net receivables/payables(6) | $ | 42,929 | | $ | 39,992 | |
(1)The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.
(2)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)Reflects the net amount of the $56,845 million and $58,744 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $38,919 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $44,353 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $262 billion, $6 billion and $7 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $7 billion of derivative asset and $6 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
For the three and ninesix months ended SeptemberJune 30, 20172020 and 2016, the2019, amounts recognized in Principal transactions in the Consolidated Statement of Income related toinclude certain derivatives not designated in a qualifying hedging relationship, as well as the underlying non-derivative instruments, are presented in Note 6 to the Consolidated Financial Statements.relationship. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents 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 |
| Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Interest rate contracts | $ | (9 | ) | $ | (28 | ) | $ | (44 | ) | $ | (2 | ) |
| Foreign exchange | — |
| 11 |
| 26 |
| 26 |
|
| Credit derivatives | (109 | ) | (399 | ) | (452 | ) | (960 | ) |
| Total Citigroup | $ | (118 | ) | $ | (416 | ) | $ | (470 | ) | $ | (936 | ) |
| | | | | | | | | | | | | | |
| | Gains (losses) included in
Other revenue | | | |
| Three Months Ended June 30, | | Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 |
| Interest rate contracts | $ | 19 | | $ | 35 | | $ | 174 | | $ | 62 | |
| Foreign exchange | (61) | | 71 | | (37) | | 13 | |
| Total | $ | (42) | | $ | 106 | | $ | 137 | | $ | 75 | |
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.
Citigroup has 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 prepayable financial assets that are expected to remain outstanding for the designated tenor of the hedge. In accordance with ASC 815, an entity may exclude prepayment risk when measuring the change in fair value 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 inventories. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. Although the change in the fair value of the hedging instrument recorded in earnings includes changes in forward rates, Citigroup excludes the differential between the spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness and it is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in forward rates from the assessment of hedge effectiveness and records it in Other comprehensive income.
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, | | | |
| 2020 | | 2019 | | 2020 | | 2019 | |
| In millions of dollars | Other revenue | Net interest revenue | Other revenue | Net interest revenue | Other
revenue | Net interest revenue | Other revenue | Net interest revenue |
| Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | | | | | | | | |
| Interest rate hedges | $ | — | | $ | 239 | | $ | — | | $ | 1,853 | | $ | — | | $ | 7,086 | | $ | — | | $ | 2,816 | |
| Foreign exchange hedges | 434 | | — | | (180) | | — | | (1,477) | | — | | (12) | | — | |
| Commodity hedges | (381) | | — | | (172) | | — | | (91) | | — | | (102) | | — | |
| Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | $ | 53 | | $ | 239 | | $ | (352) | | $ | 1,853 | | $ | (1,568) | | $ | 7,086 | | $ | (114) | | $ | 2,816 | |
| Gain (loss) on the hedged item in designated and qualifying fair value hedges | | | | | | | | |
| Interest rate hedges | $ | — | | $ | (313) | | $ | — | | $ | (1,783) | | $ | — | | $ | (7,128) | | $ | — | | $ | (2,662) | |
| Foreign exchange hedges | (434) | | — | | 180 | | — | | 1,477 | | — | | 12 | | — | |
| Commodity hedges | 381 | | — | | 172 | | — | | 91 | | — | | 102 | | — | |
| Total gain (loss) on the hedged item in designated and qualifying fair value hedges | $ | (53) | | $ | (313) | | $ | 352 | | $ | (1,783) | | $ | 1,568 | | $ | (7,128) | | $ | 114 | | $ | (2,662) | |
| Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | | | | | | | | |
| Interest rate hedges | $ | — | | $ | (18) | | $ | — | | $ | (4) | | $ | — | | $ | (23) | | $ | — | | $ | (4) | |
Foreign exchange hedges(2) | 17 | | — | | (118) | | — | | (41) | | — | | (121) | | — | |
| Commodity hedges | 15 | | — | | 5 | | — | | (10) | | — | | 23 | | — | |
| Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges | $ | 32 | | $ | (18) | | $ | (113) | | $ | (4) | | $ | (51) | | $ | (23) | | $ | (98) | | $ | (4) | |
(1)Gain (loss) amounts for interest rate risk hedges are included in 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) 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 $16 million and $49 million for the three and six months ended June 30, 2020 and $59 million and $83 million for the three and six months ended June 30, 2019, respectively.
|
| | | | | | | | | | | | |
| | Gains (losses) on fair value hedges(1) |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| 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 hedges | 144 |
| 664 |
| 910 |
| 2,425 |
|
| Commodity hedges | 12 |
| 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 hedges | 1 |
| 2 |
| 2 |
| 7 |
|
| Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges | $ | (4 | ) | $ | 70 |
| $ | 70 |
| $ | 123 |
|
Cumulative Basis Adjustment
Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative changes in the hedged risk. This cumulative hedge basis adjustment becomes part of the carrying value of the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at June 30, 2020 and December 31, 2019, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities, that would reverse through earnings in future periods.
| | | | | | | | | | | |
(1)In millions of dollars | Amounts are included in Other revenue on the Consolidated Statement of Income. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.
|
| |
(2)Balance sheet line item in which hedged item is recorded | Amounts relate toCarrying amount of hedged asset/ liability | Cumulative fair value hedging adjustment increasing (decreasing) the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts are excluded from the assessmentcarrying amount | |
| | Active | De-designated |
As of hedge effectiveness and are reflected directly in earnings.June 30, 2020 | | | |
Debt securities
AFS(1)(3) | $ | 107,047 | | $ | (75) | | $ | 526 | |
| Long-term debt | 173,038 | | 8,789 | | 4,049 | |
| As of December 31, 2019 | | | |
Debt securities
AFS(2)(3) | $ | 94,659 | | $ | (114) | | $ | 743 | |
| Long-term debt | 157,387 | | 2,334 | | 3,445 | |
(1)These amounts include a cumulative basis adjustment of $17 million for active hedges and $119 million for de-designated hedges as of June 30, 2020 related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $1,905 million as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $16 billion as of June 30, 2020) in a last-of-layer hedging relationship.
(2)These amounts include a cumulative basis adjustment of $(8) million for active hedges and $157 million for de-designated hedges as of December 31, 2019 related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $605 million as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $20 billion as of December 31, 2019) in a last-of-layer hedging relationship.
(3)Carrying amount represents the amortized cost.
Cash Flow Hedges
The amountCitigroup hedges the variability of hedge ineffectiveness on theforecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedges recognized in earnings forhedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the threehedging relationships are highly effective at inception and nine months ended September 30, 2017 and 2016 is not significant. The pretax change in AOCI from cash flow hedges is presented below:on an ongoing basis.
|
| | | | | | | | | | | | |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| 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 primarily in Other revenue and Net interest revenue on the Consolidated Income Statement.
|
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, 20172020 is approximately $(277) million.$1.1 billion. 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 dollars | 2020 | | 2019 | | 2020 | | 2019 | |
Amount of gain (loss) recognized in AOCI on derivatives | | | | | | | | |
| Interest rate contracts | $ | 294 | | | $ | 545 | | | $ | 2,791 | | | $ | 799 | | |
| Foreign exchange contracts | (5) | | | (1) | | | (16) | | | (9) | | |
Total gain (loss) recognized in AOCI | $ | 289 | | | $ | 544 | | | $ | 2,775 | | | $ | 790 | | |
Amount of gain (loss) reclassified from AOCI to earnings(1) | Other
revenue | Net interest
revenue | Other
revenue |
Net interest
revenue | Other
revenue | Net interest
revenue | Other
revenue | Net interest
revenue |
| Interest rate contracts | $ | — | | $ | 200 | | $ | — | | $ | (134) | | $ | — | | $ | 203 | | $ | — | | $ | (264) | |
| Foreign exchange contracts | (1) | | — | | (2) | | — | | (2) | | — | | (4) | | — | |
Total gain (loss) reclassified from AOCI into earnings | $ | (1) | | $ | 200 | | $ | (2) | | $ | (134) | | $ | (2) | | $ | 203 | | $ | (4) | | $ | (264) | |
Net pretax change in cash flow hedges included within AOCI | | $ | 90 | | | $ | 680 | | | $ | 2,574 | | | $ | 1,058 | |
(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 Foreign currency translation adjustment account within AOCI, related to the effective portion of the net investment hedges, is $(245)was $(741) million and $(1,993)$1,419 million for the three and ninesix months ended SeptemberJune 30, 20172020 and $(371)$(134) million and $(1,791)$(298) million for the three and ninesix months ended SeptemberJune 30, 2016,2019, respectively.
Credit Derivatives
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
| | | | | | | | | | | | | | |
| Fair values | | Notionals | |
| In millions of dollars at June 30, 2020 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | | | | |
| Banks | $ | 3,701 | | $ | 3,874 | | $ | 141,649 | | $ | 149,162 | |
| Broker-dealers | 2,375 | | 1,793 | | 52,044 | | 50,646 | |
| Non-financial | 99 | | 103 | | 4,207 | | 2,375 | |
Insurance and other financial
institutions | 5,507 | | 5,951 | | 446,313 | | 372,509 | |
| Total by industry of counterparty | $ | 11,682 | | $ | 11,721 | | $ | 644,213 | | $ | 574,692 | |
| By instrument | | | | |
| Credit default swaps and options | $ | 11,005 | | $ | 10,606 | | $ | 632,273 | | $ | 570,417 | |
| Total return swaps and other | 677 | | 1,115 | | 11,940 | | 4,275 | |
| Total by instrument | $ | 11,682 | | $ | 11,721 | | $ | 644,213 | | $ | 574,692 | |
| By rating of reference entity | | | | |
| Investment grade | $ | 4,192 | | $ | 3,810 | | $ | 489,167 | | $ | 441,085 | |
| Non-investment grade | 7,490 | | 7,911 | | 155,046 | | 133,607 | |
| Total by rating of reference entity | $ | 11,682 | | $ | 11,721 | | $ | 644,213 | | $ | 574,692 | |
| By maturity | | | | |
| Within 1 year | $ | 1,517 | | $ | 1,898 | | $ | 170,140 | | $ | 153,138 | |
| From 1 to 5 years | 6,379 | | 6,371 | | 416,656 | | 375,894 | |
| After 5 years | 3,786 | | 3,452 | | 57,417 | | 45,660 | |
| Total by maturity | $ | 11,682 | | $ | 11,721 | | $ | 644,213 | | $ | 574,692 | |
|
| | | | | | | | | | | | |
| | Fair values | Notionals |
| In millions of dollars at September 30, 2017 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry/counterparty |
|
|
|
|
| Banks | $ | 9,114 |
| $ | 8,454 |
| $ | 320,482 |
| $ | 338,723 |
|
| Broker-dealers | 2,882 |
| 2,805 |
| 89,352 |
| 100,408 |
|
| Non-financial | 28 |
| 93 |
| 2,154 |
| 1,501 |
|
| Insurance and other financial institutions | 11,232 |
| 14,198 |
| 502,079 |
| 431,942 |
|
| Total by industry/counterparty | $ | 23,256 |
| $ | 25,550 |
| $ | 914,067 |
| $ | 872,574 |
|
| By instrument |
|
|
|
|
| Credit default swaps and options | $ | 23,013 |
| $ | 24,365 |
| $ | 890,913 |
| $ | 862,753 |
|
| Total return swaps and other | 243 |
| 1,185 |
| 23,154 |
| 9,821 |
|
| Total by instrument | $ | 23,256 |
| $ | 25,550 |
| $ | 914,067 |
| $ | 872,574 |
|
| By rating |
|
|
|
|
| Investment grade | $ | 13,045 |
| $ | 13,758 |
| $ | 696,474 |
| $ | 665,764 |
|
| Non-investment grade | 10,211 |
| 11,792 |
| 217,593 |
| 206,810 |
|
| Total by rating | $ | 23,256 |
| $ | 25,550 |
| $ | 914,067 |
| $ | 872,574 |
|
| By maturity |
|
|
|
|
| Within 1 year | $ | 2,520 |
| $ | 3,225 |
| $ | 279,201 |
| $ | 267,863 |
|
| From 1 to 5 years | 17,459 |
| 18,823 |
| 547,675 |
| 522,437 |
|
| After 5 years | 3,277 |
| 3,502 |
| 87,191 |
| 82,274 |
|
| Total by maturity | $ | 23,256 |
| $ | 25,550 |
| $ | 914,067 |
| $ | 872,574 |
|
| |
(1) | The fair value amount receivable is composed of $5,076 million under protection purchased and $18,180 million under protection sold. |
| |
(2) | The fair value amount payable is composed of $20,616 million under protection purchased and $4,934 million under protection sold. |
(1)The fair value amount receivable is composed of $7,511 million under protection purchased and $4,171 million under protection sold. |
| | | | | | | | | | | | |
| | Fair values | Notionals |
| In millions of dollars at December 31, 2016 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry/counterparty |
|
|
|
|
| Banks | $ | 11,895 |
| $ | 10,930 |
| $ | 407,992 |
| $ | 414,720 |
|
| Broker-dealers | 3,536 |
| 3,952 |
| 115,013 |
| 119,810 |
|
| Non-financial | 82 |
| 99 |
| 4,014 |
| 2,061 |
|
| Insurance and other financial institutions | 9,308 |
| 10,844 |
| 375,454 |
| 322,829 |
|
| Total by industry/counterparty | $ | 24,821 |
| $ | 25,825 |
| $ | 902,473 |
| $ | 859,420 |
|
| By instrument |
|
|
|
|
| Credit default swaps and options | $ | 24,502 |
| $ | 24,631 |
| $ | 883,719 |
| $ | 852,900 |
|
| Total return swaps and other | 319 |
| 1,194 |
| 18,754 |
| 6,520 |
|
| Total by instrument | $ | 24,821 |
| $ | 25,825 |
| $ | 902,473 |
| $ | 859,420 |
|
| By rating |
|
|
|
|
| Investment grade | $ | 9,605 |
| $ | 9,995 |
| $ | 675,138 |
| $ | 648,247 |
|
| Non-investment grade | 15,216 |
| 15,830 |
| 227,335 |
| 211,173 |
|
| Total by rating | $ | 24,821 |
| $ | 25,825 |
| $ | 902,473 |
| $ | 859,420 |
|
| By maturity |
|
|
|
|
| Within 1 year | $ | 4,113 |
| $ | 4,841 |
| $ | 293,059 |
| $ | 287,262 |
|
| From 1 to 5 years | 17,735 |
| 17,986 |
| 551,155 |
| 523,371 |
|
| After 5 years | 2,973 |
| 2,998 |
| 58,259 |
| 48,787 |
|
| Total by maturity | $ | 24,821 |
| $ | 25,825 |
| $ | 902,473 |
| $ | 859,420 |
|
| |
(1) | The fair value amount receivable is composed of $9,077 million under protection purchased and $15,744 million under protection sold. |
| |
(2) | The fair value amount payable is composed of $17,110 million under protection purchased and $8,715 million under protection sold. |
(2)The fair value amount payable is composed of $5,181 million under protection purchased and $6,540 million under protection sold.
| | | | | | | | | | | | | | |
| | Fair values | | Notionals | |
| In millions of dollars at December 31, 2019 | Receivable(1) | Payable(2) | Protection
purchased | Protection
sold |
| By industry of counterparty | | | | |
| Banks | $ | 4,017 | | $ | 4,102 | | $ | 172,461 | | $ | 169,546 | |
| Broker-dealers | 1,724 | | 1,528 | | 54,843 | | 53,846 | |
| Non-financial | 92 | | 76 | | 2,601 | | 1,968 | |
Insurance and other financial
institutions | 4,576 | | 5,032 | | 474,021 | | 378,027 | |
| Total by industry of counterparty | $ | 10,409 | | $ | 10,738 | | $ | 703,926 | | $ | 603,387 | |
| By instrument | | | | |
| Credit default swaps and options | $ | 9,759 | | $ | 9,791 | | $ | 685,643 | | $ | 593,850 | |
| Total return swaps and other | 650 | | 947 | | 18,283 | | 9,537 | |
| Total by instrument | $ | 10,409 | | $ | 10,738 | | $ | 703,926 | | $ | 603,387 | |
| By rating of reference entity | | | | |
| Investment grade | $ | 4,579 | | $ | 4,578 | | $ | 560,806 | | $ | 470,778 | |
| Non-investment grade | 5,830 | | 6,160 | | 143,120 | | 132,609 | |
| Total by rating of reference entity | $ | 10,409 | | $ | 10,738 | | $ | 703,926 | | $ | 603,387 | |
| By maturity | | | | |
| Within 1 year | $ | 1,806 | | $ | 2,181 | | $ | 231,135 | | $ | 176,188 | |
| From 1 to 5 years | 7,275 | | 7,265 | | 414,237 | | 379,915 | |
| After 5 years | 1,328 | | 1,292 | | 58,554 | | 47,284 | |
| Total by maturity | $ | 10,409 | | $ | 10,738 | | $ | 703,926 | | $ | 603,387 | |
(1) The fair value amount receivable is composed of $3,415 million under protection purchased and $6,994 under protection sold.
(2) The fair value amount payable is composed of $7,793 million under protection purchased and $2,945 million under protection sold.
Credit Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.
The fair value (excluding CVA) of all derivative instruments with credit-risk-relatedcredit risk-related contingent features that were in a net liability position at both SeptemberJune 30, 20172020 and December 31, 20162019 was $28$29 billion and $26$30 billion, respectively. The Company posted $25 billion and $26$28 billion as collateral for this exposure in the normal course of business as of SeptemberJune 30, 20172020 and December 31, 2016,2019, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three3 major rating agencies as of SeptemberJune 30, 2017,2020, the Company could be required to post an additional $1.2$0.8 billion as either collateral or settlement of the derivative transactions. Additionally,In addition, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.3$0.2 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.5$1 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. $2.8 billion and $5.8 billion as of June 30, 2020 and December 31, 2019, respectively.
At SeptemberJune 30, 2017,2020, the fair value of these previously derecognized assets was $2.4$2.8 billion. The fair value of the total return swaps as of June 30, 2020 was $28$90 million recorded as gross derivative assets and $47$16 million recorded as gross derivative liabilities. At December 31, 2019, the fair value of these previously derecognized assets was $5.9 billion, and the fair value of the total return swaps was $117 million recorded as gross derivative assets and $43 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 20162019 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, 20172020 and December 31, 2016:2019:
| | | | | | | | |
| | Credit and funding valuation adjustments
contra-liability (contra-asset) | |
| In millions of dollars | June 30,
2020 | December 31,
2019 |
| Counterparty CVA | $ | (1,243) | | $ | (705) | |
| Asset FVA | (839) | | (530) | |
| Citigroup (own-credit) CVA | 557 | | 341 | |
| Liability FVA | 195 | | 72 | |
| Total CVA—derivative instruments | $ | (1,330) | | $ | (822) | |
|
| | | | | | |
| | Credit and funding valuation adjustments contra-liability (contra-asset) |
| In millions of dollars | September 30,
2017 | December 31,
2016 |
| Counterparty CVA | $ | (1,114 | ) | $ | (1,488 | ) |
| Asset FVA | (462 | ) | (536 | ) |
| Citigroup (own-credit) CVA | 318 |
| 459 |
|
| Liability FVA | 51 |
| 62 |
|
Total CVA—derivative instruments(1) | $ | (1,207 | ) | $ | (1,503 | ) |
| |
(1) | FVA is included with CVA for presentation purposes. |
The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
| | | | | | | | | | | | | | |
| | Credit/funding/debt valuation
adjustments gain (loss) | | | |
| Three Months Ended June 30, | | Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 | 2020 | 2019 |
| Counterparty CVA | $ | 45 | | $ | 28 | | $ | (238) | | $ | 102 | |
| Asset FVA | 632 | | (39) | | (421) | | (19) | |
| Own-credit CVA | (271) | | (13) | | 262 | | (105) | |
| Liability FVA | (214) | | 18 | | 123 | | (30) | |
| Total CVA—derivative instruments | $ | 192 | | $ | (6) | | $ | (274) | | $ | (52) | |
DVA related to own FVO liabilities(1) | $ | (2,935) | | $ | 3 | | $ | 1,253 | | $ | (722) | |
| Total CVA and DVA | $ | (2,743) | | $ | (3) | | $ | 979 | | $ | (774) | |
(1) See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K.
|
| | | | | | | | | | | | |
| | Credit/funding/debt valuation adjustments gain (loss) |
| | Three Months Ended September 30, | Nine Months Ended
September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Counterparty CVA | $ | 27 |
| $ | 112 |
| $ | 197 |
| $ | 19 |
|
| Asset FVA | (5 | ) | 37 |
| 74 |
| (59 | ) |
| Own-credit CVA | (2 | ) | (60 | ) | (127 | ) | 65 |
|
| Liability FVA | (16 | ) | (59 | ) | (10 | ) | (11 | ) |
| Total CVA—derivative instruments | $ | 4 |
| $ | 30 |
| $ | 134 |
| $ | 14 |
|
DVA related to own FVO liabilities (1) | $ | (195 | ) | $ | (319 | ) | $ | (422 | ) | $ | 8 |
|
Total CVA and DVA(2) | $ | (191 | ) | $ | (289 | ) | $ | (288 | ) | $ | 22 |
|
| |
(1) | See Note 1 and Note 17 to the Consolidated Financial Statements. |
| |
(2) | FVA is included with CVA for presentation purposes. |
Fair Value Hierarchy
ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:
•Level 1: Quoted prices for identical instruments in active markets.
•Level 2: Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.
•Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.
As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid-ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the relevance of observed prices in those markets.
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, 20172020 and December 31, 2016.2019. 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:
| | | In millions of dollars at September 30, 2017 | Level 1(1) | Level 2(1) | Level 3 | Gross
inventory | Netting(2) | Net
balance | |
| In millions of dollars at June 30, 2020 | | In millions of dollars at June 30, 2020 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Assets | | | 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 | | Securities borrowed and purchased under agreements to resell | $ | — | | $ | 301,298 | | $ | 326 | | $ | 301,624 | | $ | (127,066) | | $ | 174,558 | |
| Trading non-derivative assets | | | Trading non-derivative assets | | |
| Trading mortgage-backed securities | | | Trading mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | — |
| 21,991 |
| 309 |
| 22,300 |
| — |
| 22,300 |
| U.S. government-sponsored agency guaranteed | 1 | | 39,805 | | 96 | | 39,902 | | — | | 39,902 | |
| Residential | — |
| 529 |
| 351 |
| 880 |
| — |
| 880 |
| Residential | 7 | | 470 | | 433 | | 910 | | — | | 910 | |
| Commercial | — |
| 1,061 |
| 112 |
| 1,173 |
| — |
| 1,173 |
| Commercial | — | | 1,248 | | 217 | | 1,465 | | — | | 1,465 | |
| Total trading mortgage-backed securities | $ | — |
| $ | 23,581 |
| $ | 772 |
| $ | 24,353 |
| $ | — |
| $ | 24,353 |
| Total trading mortgage-backed securities | $ | 8 | | $ | 41,523 | | $ | 746 | | $ | 42,277 | | $ | — | | $ | 42,277 | |
| U.S. Treasury and federal agency securities | $ | 22,398 |
| $ | 2,999 |
| $ | — |
| $ | 25,397 |
| $ | — |
| $ | 25,397 |
| U.S. Treasury and federal agency securities | $ | 79,893 | | $ | 2,442 | | $ | — | | $ | 82,335 | | $ | — | | $ | 82,335 | |
| State and municipal | — |
| 2,429 |
| 270 |
| 2,699 |
| — |
| 2,699 |
| State and municipal | — | | 1,224 | | 117 | | 1,341 | | — | | 1,341 | |
| Foreign government | 45,503 |
| 18,525 |
| 95 |
| 64,123 |
| — |
| 64,123 |
| Foreign government | 66,305 | | 17,001 | | 26 | | 83,332 | | — | | 83,332 | |
| Corporate | 247 |
| 14,924 |
| 391 |
| 15,562 |
| — |
| 15,562 |
| Corporate | 1,362 | | 18,096 | | 399 | | 19,857 | | — | | 19,857 | |
| Equity securities | 47,941 |
| 7,427 |
| 236 |
| 55,604 |
| — |
| 55,604 |
| Equity securities | 35,235 | | 10,106 | | 92 | | 45,433 | | — | | 45,433 | |
| Asset-backed securities | — |
| 1,347 |
| 1,704 |
| 3,051 |
| — |
| 3,051 |
| Asset-backed securities | 3 | | 711 | | 1,785 | | 2,499 | | — | | 2,499 | |
Other trading assets(3) | 3 |
| 10,034 |
| 2,151 |
| 12,188 |
| — |
| 12,188 |
| |
Other trading assets(2) | | Other trading assets(2) | 375 | | 11,471 | | 797 | | 12,643 | | — | | 12,643 | |
| Total trading non-derivative assets | $ | 116,092 |
| $ | 81,266 |
| $ | 5,619 |
| $ | 202,977 |
| $ | — |
| $ | 202,977 |
| Total trading non-derivative assets | $ | 183,181 | | $ | 102,574 | | $ | 3,962 | | $ | 289,717 | | $ | — | | $ | 289,717 | |
| Trading derivatives |
| | | Trading derivatives | | | |
| Interest rate contracts | $ | 147 |
| $ | 206,086 |
| $ | 1,749 |
| $ | 207,982 |
| | | Interest rate contracts | $ | 97 | | $ | 255,703 | | $ | 3,770 | | $ | 259,570 | | | |
| Foreign exchange contracts | 42 |
| 133,963 |
| 568 |
| 134,573 |
| | | Foreign exchange contracts | 1 | | 116,984 | | 544 | | 117,529 | | | |
| Equity contracts | 2,110 |
| 24,606 |
| 568 |
| 27,284 |
| | | Equity contracts | 105 | | 38,709 | | 592 | | 39,406 | | | |
| Commodity contracts | 280 |
| 11,598 |
| 311 |
| 12,189 |
| | | Commodity contracts | — | | 15,774 | | 986 | | 16,760 | | | |
| Credit derivatives | — |
| 22,113 |
| 1,098 |
| 23,211 |
| | | Credit derivatives | — | | 10,147 | | 1,535 | | 11,682 | | | |
| Total trading derivatives | $ | 2,579 |
| $ | 398,366 |
| $ | 4,294 |
| $ | 405,239 |
| | | Total trading derivatives | $ | 203 | | $ | 437,317 | | $ | 7,427 | | $ | 444,947 | | | |
Cash collateral paid(4) | | $ | 13,991 |
| | | |
Cash collateral paid(3) | | Cash collateral paid(3) | | $ | 26,598 | | | |
| Netting agreements | | $ | (325,424 | ) | | Netting agreements | | $ | (340,172) | | |
| Netting of cash collateral received | | (37,876 | ) | | Netting of cash collateral received | | (58,778) | | |
| Total trading derivatives | $ | 2,579 |
| $ | 398,366 |
| $ | 4,294 |
| $ | 419,230 |
| $ | (363,300 | ) | $ | 55,930 |
| Total trading derivatives | $ | 203 | | $ | 437,317 | | $ | 7,427 | | $ | 471,545 | | $ | (398,950) | | $ | 72,595 | |
| Investments | | | Investments | | |
| Mortgage-backed securities | | | Mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | $ | — |
| $ | 42,257 |
| $ | 57 |
| $ | 42,314 |
| $ | — |
| $ | 42,314 |
| U.S. government-sponsored agency guaranteed | $ | — | | $ | 45,322 | | $ | 30 | | $ | 45,352 | | $ | — | | $ | 45,352 | |
| Residential | — |
| 2,992 |
| — |
| 2,992 |
| — |
| 2,992 |
| Residential | — | | 695 | | — | | 695 | | — | | 695 | |
| Commercial | — |
| 341 |
| 3 |
| 344 |
| — |
| 344 |
| Commercial | — | | 65 | | — | | 65 | | — | | 65 | |
| Total investment mortgage-backed securities | $ | — |
| $ | 45,590 |
| $ | 60 |
| $ | 45,650 |
| $ | — |
| $ | 45,650 |
| Total investment mortgage-backed securities | $ | — | | $ | 46,082 | | $ | 30 | | $ | 46,112 | | $ | — | | $ | 46,112 | |
| U.S. Treasury and federal agency securities | $ | 107,085 |
| $ | 11,241 |
| $ | — |
| $ | 118,326 |
| $ | — |
| $ | 118,326 |
| U.S. Treasury and federal agency securities | $ | 154,057 | | $ | — | | $ | — | | $ | 154,057 | | $ | — | | $ | 154,057 | |
| State and municipal | — |
| 7,918 |
| 1,272 |
| 9,190 |
| — |
| 9,190 |
| State and municipal | — | | 4,196 | | 825 | | 5,021 | | — | | 5,021 | |
| Foreign government | 58,869 |
| 41,577 |
| 301 |
| 100,747 |
| — |
| 100,747 |
| Foreign government | 70,654 | | 50,090 | | 196 | | 120,940 | | — | | 120,940 | |
| Corporate | 2,342 |
| 12,997 |
| 120 |
| 15,459 |
| — |
| 15,459 |
| Corporate | 6,693 | | 4,425 | | 106 | | 11,224 | | — | | 11,224 | |
| Equity securities | 287 |
| 14 |
| 3 |
| 304 |
| — |
| 304 |
| |
| Marketable equity securities | | Marketable equity securities | 273 | | 319 | | 1 | | 593 | | — | | 593 | |
| Asset-backed securities | — |
| 4,461 |
| 830 |
| 5,291 |
| — |
| 5,291 |
| Asset-backed securities | — | | 281 | | 6 | | 287 | | — | | 287 | |
| Other debt securities | — |
| 338 |
| 10 |
| 348 |
| — |
| 348 |
| Other debt securities | — | | 4,615 | | — | | 4,615 | | — | | 4,615 | |
Non-marketable equity securities(5) | — |
| 66 |
| 829 |
| 895 |
| — |
| 895 |
| |
Non-marketable equity securities(4) | | Non-marketable equity securities(4) | — | | 14 | | 332 | | 346 | | — | | 346 | |
| Total investments | $ | 168,583 |
| $ | 124,202 |
| $ | 3,425 |
| $ | 296,210 |
| $ | — |
| $ | 296,210 |
| Total investments | $ | 231,677 | | $ | 110,022 | | $ | 1,496 | | $ | 343,195 | | $ | — | | $ | 343,195 | |
Table continues on the next page.
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars at June 30, 2020 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Loans | $ | — | | $ | 4,821 | | $ | 978 | | $ | 5,799 | | $ | — | | $ | 5,799 | |
| Mortgage servicing rights | — | | — | | 345 | | 345 | | — | | 345 | |
| | | | | | |
| | | | | | |
| | | | | | |
| Non-trading derivatives and other financial assets measured on a recurring basis | $ | 4,817 | | $ | 7,917 | | $ | — | | $ | 12,734 | | $ | — | | $ | 12,734 | |
| Total assets | $ | 419,878 | | $ | 963,949 | | $ | 14,534 | | $ | 1,424,959 | | $ | (526,016) | | $ | 898,943 | |
Total as a percentage of gross assets(5) | 30.0 | % | 68.9 | % | 1.0 | % | | | |
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | — | | $ | 2,235 | | $ | 237 | | $ | 2,472 | | $ | — | | $ | 2,472 | |
| Securities loaned and sold under agreements to repurchase | — | | 144,802 | | 625 | | 145,427 | | (85,982) | | 59,445 | |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | 75,265 | | 13,458 | | 104 | | 88,827 | | — | | 88,827 | |
| Other trading liabilities | — | | 40 | | — | | 40 | | — | | 40 | |
| Total trading liabilities | $ | 75,265 | | $ | 13,498 | | $ | 104 | | $ | 88,867 | | $ | — | | $ | 88,867 | |
| Trading derivatives | | | | | | |
| Interest rate contracts | $ | 60 | | $ | 234,098 | | $ | 1,802 | | $ | 235,960 | | | |
| Foreign exchange contracts | 1 | | 121,774 | | 570 | | 122,345 | | | |
| Equity contracts | 98 | | 45,464 | | 2,827 | | 48,389 | | | |
| Commodity contracts | — | | 20,300 | | 1,264 | | 21,564 | | | |
| Credit derivatives | — | | 10,588 | | 1,133 | | 11,721 | | | |
| Total trading derivatives | $ | 159 | | $ | 432,225 | | $ | 7,596 | | $ | 439,979 | | | |
Cash collateral received(6) | | | | $ | 14,295 | | | |
| Netting agreements | | | | | $ | (340,172) | | |
| Netting of cash collateral paid | | | | | (53,704) | | |
| Total trading derivatives | $ | 159 | | $ | 432,225 | | $ | 7,596 | | $ | 454,274 | | $ | (393,876) | | $ | 60,398 | |
| Short-term borrowings | $ | — | | $ | 6,518 | | $ | 128 | | $ | 6,646 | | $ | — | | $ | 6,646 | |
| Long-term debt | — | | 40,338 | | 21,633 | | 61,971 | | — | | 61,971 | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| Total non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 5,569 | | $ | 220 | | $ | — | | $ | 5,789 | | $ | — | | $ | 5,789 | |
| Total liabilities | $ | 80,993 | | $ | 639,836 | | $ | 30,323 | | $ | 765,446 | | $ | (479,858) | | $ | 285,588 | |
Total as a percentage of gross liabilities(5) | 10.8 | % | 85.2 | % | 4.0 | % | | | |
(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 $80,302 million of gross cash collateral paid, of which $53,704 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.1 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 $73,073 million of gross cash collateral received, of which $58,778 million was used to offset trading derivative assets.
|
| | | | | | | | | | | | | | | | | | |
| In millions of dollars at September 30, 2017 | Level 1(1) | Level 2(1) | Level 3 | Gross
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 purchased | 73,549 |
| 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 contracts | 50 |
| 132,666 |
| 420 |
| 133,136 |
| | |
| Equity contracts | 2,116 |
| 27,984 |
| 2,416 |
| 32,516 |
| | |
| Commodity contracts | 166 |
| 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; 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 $46,381 million gross cash collateral paid, of which $32,390 million was used to offset trading derivative liabilities. |
| |
(5) | Amounts exclude $0.4 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
|
| |
(6) | Reflects the net amount of $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 3 | Gross
inventory | Netting(2) | Net
balance | |
| In millions of dollars at December 31, 2019 | | In millions of dollars at December 31, 2019 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(1) | Net
balance |
| Assets | | | Assets | | |
| Federal funds sold and securities borrowed or purchased under agreements to resell | $ | — |
| $ | 172,394 |
| $ | 1,496 |
| $ | 173,890 |
| $ | (40,686 | ) | $ | 133,204 |
| |
| Securities borrowed and purchased under agreements to resell | | Securities borrowed and purchased under agreements to resell | $ | — | | $ | 254,253 | | $ | 303 | | $ | 254,556 | | $ | (101,363) | | $ | 153,193 | |
| Trading non-derivative assets | | | Trading non-derivative assets | | |
| Trading mortgage-backed securities | | | Trading mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | — |
| 22,718 |
| 176 |
| 22,894 |
| — |
| 22,894 |
| U.S. government-sponsored agency guaranteed | — | | 27,661 | | 10 | | 27,671 | | — | | 27,671 | |
| Residential | — |
| 291 |
| 399 |
| 690 |
| — |
| 690 |
| Residential | — | | 573 | | 123 | | 696 | | — | | 696 | |
| Commercial | — |
| 1,000 |
| 206 |
| 1,206 |
| — |
| 1,206 |
| Commercial | — | | 1,632 | | 61 | | 1,693 | | — | | 1,693 | |
| Total trading mortgage-backed securities | $ | — |
| $ | 24,009 |
| $ | 781 |
| $ | 24,790 |
| $ | — |
| $ | 24,790 |
| Total trading mortgage-backed securities | $ | — | | $ | 29,866 | | $ | 194 | | $ | 30,060 | | $ | — | | $ | 30,060 | |
| U.S. Treasury and federal agency securities | $ | 16,368 |
| $ | 4,811 |
| $ | 1 |
| $ | 21,180 |
| $ | — |
| $ | 21,180 |
| U.S. Treasury and federal agency securities | $ | 26,159 | | $ | 3,736 | | $ | — | | $ | 29,895 | | $ | — | | $ | 29,895 | |
| State and municipal | — |
| 3,780 |
| 296 |
| 4,076 |
| — |
| 4,076 |
| State and municipal | — | | 2,573 | | 64 | | 2,637 | | — | | 2,637 | |
| Foreign government | 32,164 |
| 17,492 |
| 40 |
| 49,696 |
| — |
| 49,696 |
| Foreign government | 50,948 | | 20,326 | | 52 | | 71,326 | | — | | 71,326 | |
| Corporate | 424 |
| 14,199 |
| 324 |
| 14,947 |
| — |
| 14,947 |
| Corporate | 1,332 | | 17,246 | | 313 | | 18,891 | | — | | 18,891 | |
| Equity securities | 45,056 |
| 5,260 |
| 127 |
| 50,443 |
| — |
| 50,443 |
| Equity securities | 41,663 | | 9,878 | | 100 | | 51,641 | | — | | 51,641 | |
| Asset-backed securities | — |
| 892 |
| 1,868 |
| 2,760 |
| — |
| 2,760 |
| Asset-backed securities | — | | 1,539 | | 1,177 | | 2,716 | | — | | 2,716 | |
Other trading assets(3) | — |
| 9,466 |
| 2,814 |
| 12,280 |
| — |
| 12,280 |
| |
Other trading assets(2) | | Other trading assets(2) | 74 | | 11,412 | | 555 | | 12,041 | | — | | 12,041 | |
| Total trading non-derivative assets | $ | 94,012 |
| $ | 79,909 |
| $ | 6,251 |
| $ | 180,172 |
| $ | — |
| $ | 180,172 |
| Total trading non-derivative assets | $ | 120,176 | | $ | 96,576 | | $ | 2,455 | | $ | 219,207 | | $ | — | | $ | 219,207 | |
| Trading derivatives | | | Trading derivatives | | |
| Interest rate contracts | $ | 105 |
| $ | 366,995 |
| $ | 2,225 |
| $ | 369,325 |
| | | Interest rate contracts | $ | 7 | | $ | 196,493 | | $ | 1,168 | | $ | 197,668 | | | |
| Foreign exchange contracts | 53 |
| 184,776 |
| 833 |
| 185,662 |
| | | Foreign exchange contracts | 1 | | 107,022 | | 547 | | 107,570 | | | |
| Equity contracts | 2,306 |
| 21,209 |
| 595 |
| 24,110 |
| | | Equity contracts | 83 | | 28,148 | | 240 | | 28,471 | | | |
| Commodity contracts | 261 |
| 12,999 |
| 505 |
| 13,765 |
| | | Commodity contracts | — | | 13,498 | | 714 | | 14,212 | | | |
| Credit derivatives | — |
| 23,021 |
| 1,594 |
| 24,615 |
| | | Credit derivatives | — | | 9,960 | | 449 | | 10,409 | | | |
| Total trading derivatives | $ | 2,725 |
| $ | 609,000 |
| $ | 5,752 |
| $ | 617,477 |
| | | Total trading derivatives | $ | 91 | | $ | 355,121 | | $ | 3,118 | | $ | 358,330 | | | |
Cash collateral paid(4) | | $ | 11,188 |
| | | |
Cash collateral paid(3) | | Cash collateral paid(3) | | $ | 17,926 | | | |
| Netting agreements | | $ | (519,000 | ) | | Netting agreements | | $ | (274,970) | | |
| Netting of cash collateral received | | (45,912 | ) | | Netting of cash collateral received | | (44,353) | | |
| Total trading derivatives | $ | 2,725 |
| $ | 609,000 |
| $ | 5,752 |
| $ | 628,665 |
| $ | (564,912 | ) | $ | 63,753 |
| Total trading derivatives | $ | 91 | | $ | 355,121 | | $ | 3,118 | | $ | 376,256 | | $ | (319,323) | | $ | 56,933 | |
| Investments | | | Investments | | |
| Mortgage-backed securities | | | Mortgage-backed securities | | |
| U.S. government-sponsored agency guaranteed | $ | — |
| $ | 38,304 |
| $ | 101 |
| $ | 38,405 |
| $ | — |
| $ | 38,405 |
| U.S. government-sponsored agency guaranteed | $ | — | | $ | 35,198 | | $ | 32 | | $ | 35,230 | | $ | — | | $ | 35,230 | |
| Residential | — |
| 3,860 |
| 50 |
| 3,910 |
| — |
| 3,910 |
| Residential | — | | 793 | | — | | 793 | | — | | 793 | |
| Commercial | — |
| 358 |
| — |
| 358 |
| — |
| 358 |
| Commercial | — | | 74 | | — | | 74 | | — | | 74 | |
| Total investment mortgage-backed securities | $ | — |
| $ | 42,522 |
| $ | 151 |
| $ | 42,673 |
| $ | — |
| $ | 42,673 |
| Total investment mortgage-backed securities | $ | — | | $ | 36,065 | | $ | 32 | | $ | 36,097 | | $ | — | | $ | 36,097 | |
| U.S. Treasury and federal agency securities | $ | 112,916 |
| $ | 10,753 |
| $ | 2 |
| $ | 123,671 |
| $ | — |
| $ | 123,671 |
| U.S. Treasury and federal agency securities | $ | 106,103 | | $ | 5,315 | | $ | — | | $ | 111,418 | | $ | — | | $ | 111,418 | |
| State and municipal | — |
| 8,909 |
| 1,211 |
| 10,120 |
| — |
| 10,120 |
| State and municipal | — | | 4,355 | | 623 | | 4,978 | | — | | 4,978 | |
| Foreign government | 54,028 |
| 43,934 |
| 186 |
| 98,148 |
| — |
| 98,148 |
| Foreign government | 69,957 | | 41,196 | | 96 | | 111,249 | | — | | 111,249 | |
| Corporate | 3,215 |
| 13,598 |
| 311 |
| 17,124 |
| — |
| 17,124 |
| Corporate | 5,150 | | 6,076 | | 45 | | 11,271 | | — | | 11,271 | |
| Equity securities | 336 |
| 46 |
| 9 |
| 391 |
| — |
| 391 |
| |
| Marketable equity securities | | Marketable equity securities | 87 | | 371 | | — | | 458 | | — | | 458 | |
| Asset-backed securities | — |
| 6,134 |
| 660 |
| 6,794 |
| — |
| 6,794 |
| Asset-backed securities | — | | 500 | | 22 | | 522 | | — | | 522 | |
| Other debt securities | — |
| 503 |
| — |
| 503 |
| — |
| 503 |
| Other debt securities | — | | 4,730 | | — | | 4,730 | | — | | 4,730 | |
Non-marketable equity securities(5) | — |
| 35 |
| 1,331 |
| 1,366 |
| — |
| 1,366 |
| |
Non-marketable equity securities(4) | | Non-marketable equity securities(4) | — | | 93 | | 441 | | 534 | | — | | 534 | |
| Total investments | $ | 170,495 |
| $ | 126,434 |
| $ | 3,861 |
| $ | 300,790 |
| $ | — |
| $ | 300,790 |
| Total investments | $ | 181,297 | | $ | 98,701 | | $ | 1,259 | | $ | 281,257 | | $ | — | | $ | 281,257 | |
Table continues on the next page.
| | | | | | | | | | | | | | | | | | | | |
| In millions of dollars at December 31, 2019 | Level 1 | Level 2 | Level 3 | Gross
inventory | Netting(2) | Net
balance |
| Loans | $ | — | | $ | 3,683 | | $ | 402 | | $ | 4,085 | | $ | — | | $ | 4,085 | |
| Mortgage servicing rights | — | | — | | 495 | | 495 | | — | | 495 | |
| | | | | | |
| | | | | | |
| | | | | | |
| Non-trading derivatives and other financial assets measured on a recurring basis | $ | 5,628 | | $ | 7,201 | | $ | 1 | | $ | 12,830 | | $ | — | | $ | 12,830 | |
| Total assets | $ | 307,192 | | $ | 815,535 | | $ | 8,033 | | $ | 1,148,686 | | $ | (420,686) | | $ | 728,000 | |
Total as a percentage of gross assets(5) | 27.2 | % | 72.1 | % | 0.7 | % | | | |
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | — | | $ | 2,104 | | $ | 215 | | $ | 2,319 | | $ | — | | $ | 2,319 | |
| Securities loaned and sold under agreements to repurchase | — | | 111,567 | | 757 | | 112,324 | | (71,673) | | 40,651 | |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | 60,429 | | 11,965 | | 48 | | 72,442 | | — | | 72,442 | |
| Other trading liabilities | — | | 24 | | — | | 24 | | — | | 24 | |
| Total trading liabilities | $ | 60,429 | | $ | 11,989 | | $ | 48 | | $ | 72,466 | | $ | — | | $ | 72,466 | |
| Trading account derivatives | | | | | | |
| Interest rate contracts | $ | 8 | | $ | 176,480 | | $ | 1,167 | | $ | 177,655 | | | |
| Foreign exchange contracts | — | | 110,180 | | 552 | | 110,732 | | | |
| Equity contracts | 144 | | 28,506 | | 1,836 | | 30,486 | | | |
| Commodity contracts | — | | 16,542 | | 773 | | 17,315 | | | |
| Credit derivatives | — | | 10,233 | | 505 | | 10,738 | | | |
| Total trading derivatives | $ | 152 | | $ | 341,941 | | $ | 4,833 | | $ | 346,926 | | | |
Cash collateral received(6) | | | | $ | 14,391 | | | |
| Netting agreements | | | | | $ | (274,970) | | |
| Netting of cash collateral paid | | | | | (38,919) | | |
| Total trading derivatives | $ | 152 | | $ | 341,941 | | $ | 4,833 | | $ | 361,317 | | $ | (313,889) | | $ | 47,428 | |
| Short-term borrowings | $ | — | | $ | 4,933 | | $ | 13 | | $ | 4,946 | | $ | — | | $ | 4,946 | |
| Long-term debt | — | | 38,614 | | 17,169 | | 55,783 | | — | | 55,783 | |
| | | | | | |
| | | | | | |
| | | | | | |
| Non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 6,280 | | $ | 63 | | $ | — | | $ | 6,343 | | $ | — | | $ | 6,343 | |
| Total liabilities | $ | 66,861 | | $ | 511,211 | | $ | 23,035 | | $ | 615,498 | | $ | (385,562) | | $ | 229,936 | |
Total as a percentage of gross liabilities(5) | 11.1 | % | 85.0 | % | 3.8 | % | | | |
(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 $56,845 million of gross cash collateral paid, of which $38,919 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.2 billion of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $58,744 million of gross cash collateral received, of which $44,353 million was used to offset trading derivative assets.
|
| | | | | | | | | | | | | | | | | | |
| In millions of dollars at December 31, 2016 | Level 1(1) | Level 2(1) | Level 3 | Gross
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 purchased | 67,429 |
| 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 contracts | 13 |
| 187,328 |
| 420 |
| 187,761 |
| | |
| Equity contracts | 2,245 |
| 22,119 |
| 2,152 |
| 26,516 |
| | |
| Commodity contracts | 196 |
| 12,386 |
| 2,450 |
| 15,032 |
| | |
| Credit derivatives | — |
| 22,842 |
| 2,595 |
| 25,437 |
| | |
| Total trading derivatives | $ | 2,561 |
| $ | 596,441 |
| $ | 10,505 |
| $ | 609,507 |
| | |
Cash collateral received(8) | | | | $ | 15,731 |
| | |
| Netting agreements | | | | | $ | (519,000 | ) | |
| Netting of cash collateral paid | | | | | (49,811 | ) | |
| Total trading derivatives | $ | 2,561 |
| $ | 596,441 |
| $ | 10,505 |
| $ | 625,238 |
| $ | (568,811 | ) | $ | 56,427 |
|
| Short-term borrowings | $ | — |
| $ | 2,658 |
| $ | 42 |
| $ | 2,700 |
| $ | — |
| $ | 2,700 |
|
| Long-term debt | — |
| 16,510 |
| 9,744 |
| 26,254 |
| — |
| 26,254 |
|
| Non-trading derivatives and other financial liabilities measured on a recurring basis, gross | $ | 9,300 |
| $ | 1,540 |
| $ | 8 |
| $ | 10,848 |
| | |
Cash collateral received(9) | | | | 1 |
| | |
| Netting of cash collateral paid | | | | | $ | (53 | ) | |
| Non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 9,300 |
| $ | 1,540 |
| $ | 8 |
| $ | 10,849 |
| $ | (53 | ) | $ | 10,796 |
|
| Total liabilities | $ | 79,290 |
| $ | 705,579 |
| $ | 22,619 |
| $ | 823,220 |
| $ | (609,550 | ) | $ | 213,670 |
|
Total as a percentage of gross liabilities(7) | 9.8 | % | 87.4 | % | 2.8 | % | | | |
| |
(1) | In 2016, the Company transferred assets of approximately $2.6 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. In 2016, the Company transferred assets of approximately $4.0 billion from Level 2 to Level 1, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. In 2016, the Company transferred liabilities of approximately $0.4 billion from Level 2 to Level 1. In 2016, the Company transferred liabilities of approximately $0.3 billion from Level 1 to Level 2. |
| |
(2) | Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting. |
| |
(3) | Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products. |
| |
(4) | Reflects the net amount of $60,999 million of gross cash collateral paid, of which $49,811 million was used to offset trading derivative liabilities. |
| |
(5) | Amounts exclude $0.4 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
|
| |
(6) | Reflects the net amount of $61 million of gross cash collateral paid, of which $53 million was used to offset non-trading derivative liabilities.
|
| |
(7) | Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives. |
| |
(8) | Reflects the net amount of $61,643 million of gross cash collateral received, of which $45,912 million was used to offset trading derivative assets. |
| |
(9) | Reflects the net amount of $1,346 million of gross cash collateral received, of which $1,345 million was used to offset non-trading derivative assets. |
Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three and ninesix months ended SeptemberJune 30, 20172020 and 2016.2019. 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) |
| In millions of dollars | Jun. 30, 2017 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2017 |
| Assets | | | | | | | | | | | |
Federal funds sold and securities borrowed or purchased under agreements to resell | $ | 1,002 |
| $ | (338 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 664 |
| $ | (338 | ) |
| Trading non-derivative assets | | | | | | | | | | | |
Trading mortgage- backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 204 |
| — |
| — |
| 75 |
| (21 | ) | 174 |
| — |
| (123 | ) | — |
| 309 |
| — |
|
| Residential | 327 |
| 24 |
| — |
| 41 |
| (9 | ) | 39 |
| — |
| (71 | ) | — |
| 351 |
| 12 |
|
| Commercial | 318 |
| 10 |
| — |
| 22 |
| (17 | ) | 11 |
| — |
| (232 | ) | — |
| 112 |
| 5 |
|
Total trading mortgage- backed securities | $ | 849 |
| $ | 34 |
| $ | — |
| $ | 138 |
| $ | (47 | ) | $ | 224 |
| $ | — |
| $ | (426 | ) | $ | — |
| $ | 772 |
| $ | 17 |
|
| U.S. Treasury and federal agency securities | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
| State and municipal | 284 |
| (2 | ) | — |
| — |
| — |
| 49 |
| — |
| (61 | ) | — |
| 270 |
| (1 | ) |
| Foreign government | 108 |
| (5 | ) | — |
| 4 |
| (114 | ) | 161 |
| — |
| (59 | ) | — |
| 95 |
| (2 | ) |
| Corporate | 401 |
| 105 |
| — |
| 16 |
| (11 | ) | 148 |
| — |
| (268 | ) | — |
| 391 |
| 103 |
|
| Equity securities | 240 |
| 183 |
| — |
| 3 |
| (41 | ) | 29 |
| — |
| (178 | ) | — |
| 236 |
| 6 |
|
| Asset-backed securities | 1,570 |
| 114 |
| — |
| 5 |
| (6 | ) | 481 |
| — |
| (460 | ) | — |
| 1,704 |
| 26 |
|
| Other trading assets | 1,803 |
| (38 | ) | — |
| 38 |
| (607 | ) | 1,349 |
| 4 |
| (394 | ) | (4 | ) | 2,151 |
| 29 |
|
Total trading non- derivative assets | $ | 5,255 |
| $ | 391 |
| $ | — |
| $ | 204 |
| $ | (826 | ) | $ | 2,441 |
| $ | 4 |
| $ | (1,846 | ) | $ | (4 | ) | $ | 5,619 |
| $ | 178 |
|
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | (288 | ) | $ | 196 |
| $ | — |
| $ | 4 |
| $ | (4 | ) | $ | 25 |
| $ | — |
| $ | (20 | ) | $ | (114 | ) | $ | (201 | ) | $ | 120 |
|
| Foreign exchange contracts | 184 |
| (92 | ) | — |
| 1 |
| (4 | ) | (6 | ) | — |
| (3 | ) | 68 |
| 148 |
| (92 | ) |
| Equity contracts | (1,647 | ) | 201 |
| — |
| (52 | ) | (34 | ) | 31 |
| — |
| (126 | ) | (221 | ) | (1,848 | ) | (10 | ) |
| Commodity contracts | (2,024 | ) | (248 | ) | — |
| (29 | ) | (10 | ) | — |
| — |
| (3 | ) | (25 | ) | (2,339 | ) | (255 | ) |
| Credit derivatives | (1,339 | ) | (150 | ) | — |
| 25 |
| 115 |
| 7 |
| — |
| — |
| 401 |
| (941 | ) | (185 | ) |
Total trading derivatives, net(4) | $ | (5,114 | ) | $ | (93 | ) | $ | — |
| $ | (51 | ) | $ | 63 |
| $ | 57 |
| $ | — |
| $ | (152 | ) | $ | 109 |
| $ | (5,181 | ) | $ | (422 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Net realized/unrealized
gains/losses incl. in | | Transfers | | | | | | | Unrealized
gains/
losses
still held(3) |
| In millions of dollars | Mar. 31, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2020 | |
| Assets | | | | | | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 300 | | $ | 34 | | $ | — | | $ | — | | $ | — | | $ | 42 | | $ | — | | $ | — | | $ | (50) | | $ | 326 | | $ | 36 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 85 | | 1 | | — | | 4 | | (6) | | 67 | | — | | (55) | | — | | 96 | | 4 | |
| Residential | 304 | | 14 | | — | | 144 | | (39) | | 96 | | — | | (86) | | — | | 433 | | 7 | |
| Commercial | 44 | | 4 | | — | | 140 | | (14) | | 62 | | — | | (19) | | — | | 217 | | 11 | |
| Total trading mortgage-backed securities | $ | 433 | | $ | 19 | | $ | — | | $ | 288 | | $ | (59) | | $ | 225 | | $ | — | | $ | (160) | | $ | — | | $ | 746 | | $ | 22 | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 92 | | — | | — | | 5 | | (1) | | 41 | | — | | (20) | | — | | 117 | | — | |
| Foreign government | 39 | | 57 | | — | | 2 | | (2) | | 18 | | — | | (88) | | — | | 26 | | 54 | |
| Corporate | 412 | | (12) | | — | | 64 | | (78) | | 204 | | — | | (185) | | (6) | | 399 | | (71) | |
| Marketable equity securities | 143 | | 9 | | — | | 10 | | — | | 174 | | — | | (244) | | — | | 92 | | (3) | |
| Asset-backed securities | 1,561 | | 67 | | — | | 257 | | (56) | | 272 | | — | | (316) | | — | | 1,785 | | 46 | |
| Other trading assets | 639 | | 27 | | — | | 153 | | (15) | | 126 | | 6 | | (134) | | (5) | | 797 | | 1 | |
| Total trading non-derivative assets | $ | 3,319 | | $ | 167 | | $ | — | | $ | 779 | | $ | (211) | | $ | 1,060 | | $ | 6 | | $ | (1,147) | | $ | (11) | | $ | 3,962 | | $ | 49 | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1,755 | | $ | 24 | | $ | — | | $ | 231 | | $ | 20 | | $ | 1 | | $ | — | | $ | — | | $ | (63) | | $ | 1,968 | | $ | 7 | |
| Foreign exchange contracts | 2 | | (37) | | — | | (8) | | 2 | | 5 | | — | | (5) | | 15 | | (26) | | (47) | |
| Equity contracts | (1,836) | | (354) | | — | | (104) | | 12 | | 21 | | — | | (5) | | 31 | | (2,235) | | (349) | |
| Commodity contracts | (542) | | 253 | | — | | (1) | | (14) | | 20 | | — | | (10) | | 16 | | (278) | | 241 | |
| Credit derivatives | 816 | | (367) | | — | | 17 | | (72) | | — | | — | | — | | 8 | | 402 | | (367) | |
Total trading derivatives, net(4) | $ | 195 | | $ | (481) | | $ | — | | $ | 135 | | $ | (52) | | $ | 47 | | $ | — | | $ | (20) | | $ | 7 | | $ | (169) | | $ | (515) | |
Table continues on the next page.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized
gains (losses) incl. in | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Jun. 30, 2017 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2017 |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 50 |
| $ | — |
| $ | 12 |
| $ | — |
| $ | (5 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 57 |
| $ | 28 |
|
| Residential | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
|
| Commercial | — |
| — |
| — |
| 3 |
| — |
| — |
| — |
| — |
| — |
| 3 |
| — |
|
| Total investment mortgage-backed securities | $ | 50 |
| $ | — |
| $ | 12 |
| $ | 3 |
| $ | (5 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 60 |
| $ | 28 |
|
| U.S. Treasury and federal agency securities | $ | 1 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (1 | ) | $ | — |
| $ | — |
| $ | — |
|
| State and municipal | 1,285 |
| — |
| (2 | ) | 21 |
| (3 | ) | 16 |
| — |
| (45 | ) | — |
| 1,272 |
| 17 |
|
| Foreign government | 358 |
| — |
| (58 | ) | — |
| (18 | ) | 122 |
| — |
| (103 | ) | — |
| 301 |
| (7 | ) |
| Corporate | 156 |
| — |
| 146 |
| 10 |
| (2 | ) | 41 |
| — |
| (231 | ) | — |
| 120 |
| — |
|
| Equity securities | 9 |
| — |
| (1 | ) | — |
| — |
| — |
| — |
| (5 | ) | — |
| 3 |
| — |
|
| Asset-backed securities | 1,028 |
| — |
| (280 | ) | 2 |
| (7 | ) | 504 |
| — |
| (417 | ) | — |
| 830 |
| (134 | ) |
| Other debt securities | 10 |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 10 |
| — |
|
| Non-marketable equity securities | 939 |
| — |
| (61 | ) | — |
| — |
| 1 |
| — |
| (1 | ) | (49 | ) | 829 |
| (18 | ) |
| Total investments | $ | 3,836 |
| $ | — |
| $ | (244 | ) | $ | 36 |
| $ | (35 | ) | $ | 684 |
| $ | — |
| $ | (803 | ) | $ | (49 | ) | $ | 3,425 |
| $ | (114 | ) |
| Loans | $ | 577 |
| $ | — |
| $ | 73 |
| $ | — |
| $ | — |
| $ | 131 |
| $ | — |
| $ | (236 | ) | $ | (1 | ) | $ | 544 |
| $ | 264 |
|
| Mortgage servicing rights | 560 |
| — |
| (6 | ) | — |
| — |
| — |
| 19 |
| — |
| (20 | ) | 553 |
| 3 |
|
| Other financial assets measured on a recurring basis | 17 |
| — |
| 13 |
| — |
| — |
| 1 |
| 43 |
| (4 | ) | (56 | ) | 14 |
| 17 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
| Interest-bearing deposits | $ | 300 |
| $ | — |
| $ | (2 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (2 | ) | $ | 300 |
| $ | 6 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 807 |
| (1 | ) | — |
| — |
| — |
| — |
| — |
| — |
| (43 | ) | 765 |
| 4 |
|
| Trading account liabilities |
|
|
|
|
|
|
|
|
|
|
|
| Securities sold, not yet purchased | 1,143 |
| 496 |
| — |
| 5 |
| (10 | ) | — |
| — |
| 88 |
| (46 | ) | 684 |
| 24 |
|
| Other trading liabilities | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
|
| Short-term borrowings | 29 |
| (13 | ) | — |
| 3 |
| (1 | ) | — |
| 12 |
| — |
| — |
| 56 |
| 7 |
|
| Long-term debt | 11,831 |
| 1,057 |
| — |
| 181 |
| (490 | ) | — |
| 419 |
| — |
| 437 |
| 11,321 |
| 716 |
|
| Other financial liabilities measured on a recurring basis | 2 |
| — |
| — |
| — |
| — |
| — |
| 1 |
| — |
| (1 | ) | 2 |
| (1 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) | | Net realized/unrealized
gains/losses incl. in | | Transfers | | | | | | | Changes in fair value for available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and Unrealized
gains/losses
from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.still held(3)
|
| In millions of dollars | Mar. 31, 2020 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2020 | |
| Investments | | | | | | | | | | | |
(2)Mortgage-backed securities | Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
|
| | | | | | | | | |
(3)U.S. government-sponsored agency guaranteed | Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to$ | 47 | | $ | — | | $ | (19) | | $ | 1 | | $ | — | | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (36) | |
| Residential | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Total investment mortgage-backed securities | $ | 47 | | $ | — | | $ | (19) | | $ | 1 | | $ | — | | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (36) | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 687 | | — | | 24 | | 172 | | (131) | | 95 | | — | | (22) | | — | | 825 | | 21 | |
| Foreign government | 225 | | — | | 7 | | — | | (64) | | 61 | | — | | (33) | | — | | 196 | | 6 | |
| Corporate | 238 | | — | | 10 | | — | | (152) | | 10 | | — | | — | | — | | 106 | | — | |
| Marketable equity securities | — | | — | | — | | 1 | | — | | — | | — | | — | | — | | 1 | | — | |
| Asset-backed securities | 16 | | — | | (2) | | — | | — | | — | | — | | (8) | | — | | 6 | | — | |
| Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | 354 | | — | | 21 | | — | | — | | 2 | | — | | — | | (45) | | 332 | | 25 | |
| Total investments | $ | 1,567 | | $ | — | | $ | 41 | | $ | 174 | | $ | (347) | | $ | 169 | | $ | — | | $ | (63) | | $ | (45) | | $ | 1,496 | | $ | 16 | |
| Loans | $ | 537 | | $ | — | | $ | 447 | | $ | — | | $ | (5) | | $ | — | | $ | — | | $ | — | | $ | (1) | | $ | 978 | | $ | 355 | |
| Mortgage servicing rights | 367 | | — | | (26) | | — | | — | | — | | 24 | | — | | (20) | | 345 | | (14) | |
Other financial assets and liabilities classified as Level 3 that are still held at September 30, 2017.measured on a recurring basis | — | | — | | 14 | | — | | — | | — | | (6) | | (4) | | (4) | | — | | 2 | |
| Liabilities | | | | | | | | | | | |
(4)Interest-bearing deposits | Total Level 3$ | 491 | | $ | — | | $ | (5) | | $ | — | | $ | (151) | | $ | — | | $ | 30 | | $ | — | | $ | (138) | | $ | 237 | | $ | (27) | |
| Securities loaned and sold under agreements to repurchase | 730 | | — | | — | | — | | — | | — | | — | | — | | (105) | | 625 | | — | |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 200 | | (28) | | — | | 43 | | (8) | | — | | — | | — | | (159) | | 104 | | 24 | |
Other trading derivative assets andliabilities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Short-term borrowings | 52 | | 9 | | — | | 75 | | (6) | | — | | 23 | | — | | (7) | | 128 | | 16 | |
| Long-term debt | 19,269 | | (2,271) | | — | | 1,438 | | (1,292) | | — | | 1,469 | | — | | (1,522) | | 21,633 | | (1,303) | |
Other financial liabilities have been netted in these tables for presentation purposes only.measured on a recurring basis | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| | | | | | | | | | | |
(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, 2020.
(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 dollars | Dec. 31, 2016 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 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 guaranteed | 176 |
| 4 |
| — |
| 154 |
| (86 | ) | 438 |
| — |
| (377 | ) | — |
| 309 |
| 1 |
|
| Residential | 399 |
| 61 |
| — |
| 88 |
| (58 | ) | 105 |
| — |
| (244 | ) | — |
| 351 |
| 35 |
|
| Commercial | 206 |
| 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 municipal | 296 |
| 3 |
| — |
| 24 |
| (48 | ) | 137 |
| — |
| (142 | ) | — |
| 270 |
| (1 | ) |
| Foreign government | 40 |
| 2 |
| — |
| 88 |
| (204 | ) | 288 |
| — |
| (119 | ) | — |
| 95 |
| (1 | ) |
| Corporate | 324 |
| 320 |
| — |
| 132 |
| (84 | ) | 424 |
| — |
| (725 | ) | — |
| 391 |
| 167 |
|
| Equity securities | 127 |
| 212 |
| — |
| 135 |
| (54 | ) | 38 |
| — |
| (222 | ) | — |
| 236 |
| 20 |
|
| Asset-backed securities | 1,868 |
| 251 |
| — |
| 28 |
| (87 | ) | 1,185 |
| — |
| (1,541 | ) | — |
| 1,704 |
| 34 |
|
| Other trading assets | 2,814 |
| (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 contracts | 413 |
| (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 |
|
| Residential | 50 |
| — |
| 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 municipal | 1,211 |
| — |
| 37 |
| 70 |
| (36 | ) | 92 |
| — |
| (102 | ) | — |
| 1,272 |
| 35 |
|
| Foreign government | 186 |
| — |
| (47 | ) | 2 |
| (37 | ) | 455 |
| — |
| (258 | ) | — |
| 301 |
| (5 | ) |
| Corporate | 311 |
| — |
| 11 |
| 74 |
| (6 | ) | 224 |
| — |
| (494 | ) | — |
| 120 |
| — |
|
| Equity securities | 9 |
| — |
| (1 | ) | — |
| — |
| — |
| — |
| (5 | ) | — |
| 3 |
| — |
|
| Asset-backed securities | 660 |
| — |
| (98 | ) | 23 |
| (20 | ) | 864 |
| — |
| (599 | ) | — |
| 830 |
| (134 | ) |
| Other debt securities | — |
| — |
| — |
| — |
| — |
| 21 |
| — |
| (11 | ) | — |
| 10 |
| — |
|
| Non-marketable equity securities | 1,331 |
| — |
| (124 | ) | 2 |
| — |
| 10 |
| — |
| (228 | ) | (162 | ) | 829 |
| 49 |
|
| Total investments | $ | 3,861 |
| $ | — |
| $ | (205 | ) | $ | 175 |
| $ | (206 | ) | $ | 1,674 |
| $ | — |
| $ | (1,712 | ) | $ | (162 | ) | $ | 3,425 |
| $ | (25 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Net realized/unrealized
gains (losses) incl. in | | Transfers | | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31, 2019 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2020 | |
| Assets | | | | | | | | | | | |
| Securities borrowed or purchased under agreements to resell | $ | 303 | | $ | 14 | | $ | — | | $ | — | | $ | — | | $ | 108 | | $ | — | | $ | — | | $ | (99) | | $ | 326 | | $ | 39 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 10 | | (74) | | — | | 16 | | (9) | | 208 | | — | | (55) | | — | | 96 | | 5 | |
| Residential | 123 | | 6 | | — | | 204 | | (43) | | 274 | | — | | (131) | | — | | 433 | | — | |
| Commercial | 61 | | 4 | | — | | 143 | | (17) | | 89 | | — | | (63) | | — | | 217 | | (10) | |
| Total trading mortgage-backed securities | $ | 194 | | $ | (64) | | $ | — | | $ | 363 | | $ | (69) | | $ | 571 | | $ | — | | $ | (249) | | $ | — | | $ | 746 | | $ | (5) | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 64 | | 2 | | — | | 15 | | (3) | | 62 | | — | | (23) | | — | | 117 | | 1 | |
| Foreign government | 52 | | (28) | | — | | 2 | | (2) | | 104 | | — | | (102) | | — | | 26 | | 52 | |
| Corporate | 313 | | 290 | | — | | 86 | | (70) | | 419 | | — | | (633) | | (6) | | 399 | | (87) | |
| Equity securities | 100 | | 9 | | — | | 38 | | (3) | | 206 | | — | | (258) | | — | | 92 | | (19) | |
| Asset-backed securities | 1,177 | | (102) | | — | | 496 | | (60) | | 740 | | — | | (466) | | — | | 1,785 | | (222) | |
| Other trading assets | 555 | | 220 | | — | | 181 | | (152) | | 231 | | 14 | | (237) | | (15) | | 797 | | (23) | |
| Total trading non-derivative assets | $ | 2,455 | | $ | 327 | | $ | — | | $ | 1,181 | | $ | (359) | | $ | 2,333 | | $ | 14 | | $ | (1,968) | | $ | (21) | | $ | 3,962 | | $ | (303) | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | 1 | | $ | 375 | | $ | — | | $ | 1,614 | | $ | (2) | | $ | 2 | | $ | 56 | | $ | 13 | | $ | (91) | | $ | 1,968 | | $ | 387 | |
| Foreign exchange contracts | (5) | | (52) | | — | | (33) | | 11 | | 49 | | — | | (13) | | 17 | | (26) | | 104 | |
| Equity contracts | (1,596) | | (564) | | — | | (391) | | 236 | | 24 | | — | | (6) | | 62 | | (2,235) | | (663) | |
| Commodity contracts | (59) | | (206) | | — | | 37 | | (70) | | 66 | | — | | (44) | | (2) | | (278) | | (211) | |
| Credit derivatives | (56) | | 579 | | — | | 171 | | (358) | | — | | — | | — | | 66 | | 402 | | 372 | |
Total trading derivatives, net(4) | $ | (1,715) | | $ | 132 | | $ | — | | $ | 1,398 | | $ | (183) | | $ | 141 | | $ | 56 | | $ | (50) | | $ | 52 | | $ | (169) | | $ | (11) | |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 32 | | $ | — | | $ | (5) | | $ | 1 | | $ | 1 | | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (23) | |
| Residential | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Total investment mortgage-backed securities | $ | 32 | | $ | — | | $ | (5) | | $ | 1 | | $ | 1 | | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | 30 | | $ | (23) | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 623 | | — | | (7) | | 310 | | (131) | | 95 | | — | | (65) | | — | | 825 | | 25 | |
| Foreign government | 96 | | — | | 5 | | 27 | | (64) | | 208 | | — | | (76) | | — | | 196 | | (9) | |
| Corporate | 45 | | — | | 2 | | 49 | | (152) | | 162 | | — | | — | | — | | 106 | | — | |
| Equity securities | — | | — | | — | | 1 | | — | | — | | — | | — | | — | | 1 | | — | |
| Asset-backed securities | 22 | | — | | 3 | | — | | — | | — | | — | | (19) | | — | | 6 | | 34 | |
| Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | 441 | | — | | (53) | | — | | — | | 2 | | — | | (3) | | (55) | | 332 | | 22 | |
| Total investments | $ | 1,259 | | $ | — | | $ | (55) | | $ | 388 | | $ | (346) | | $ | 468 | | $ | — | | $ | (163) | | $ | (55) | | $ | 1,496 | | $ | 49 | |
Table continues on the next page.
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized
gains (losses) incl. in | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31, 2016 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2017 |
| Loans | $ | 568 |
| $ | — |
| $ | 57 |
| $ | 80 |
| $ | (16 | ) | $ | 173 |
| $ | — |
| $ | (312 | ) | $ | (6 | ) | $ | 544 |
| $ | 266 |
|
| Mortgage servicing rights | 1,564 |
| — |
| 50 |
| — |
| — |
| — |
| 75 |
| (1,046 | ) | (90 | ) | 553 |
| (40 | ) |
| Other financial assets measured on a recurring basis | 34 |
| — |
| (147 | ) | 3 |
| (8 | ) | 1 |
| 303 |
| (8 | ) | (164 | ) | 14 |
| (68 | ) |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 293 |
| $ | — |
| $ | 9 |
| $ | 40 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (24 | ) | $ | 300 |
| $ | 6 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 849 |
| 7 |
| — |
| — |
| — |
| — |
| — |
| — |
| (77 | ) | 765 |
| 4 |
|
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 1,177 |
| 490 |
| — |
| 18 |
| (53 | ) | — |
| — |
| 265 |
| (233 | ) | 684 |
| 24 |
|
| Other trading liabilities | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
|
| Short-term borrowings | 42 |
| 18 |
| — |
| 4 |
| (1 | ) | — |
| 31 |
| — |
| (2 | ) | 56 |
| 7 |
|
| Long-term debt | 9,744 |
| 456 |
| — |
| 702 |
| (1,457 | ) | — |
| 2,701 |
| — |
| 87 |
| 11,321 |
| 708 |
|
| Other financial liabilities measured on a recurring basis | 8 |
| — |
| — |
| — |
| — |
| — |
| 3 |
| (1 | ) | (8 | ) | 2 |
| (1 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1)
| Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized
| Net realized/unrealized
gains (losses) from salesincl. in | | Transfers | | | | | | | Unrealized
gains
(losses)
still held(3) |
In millions of investmentsdollars | Dec. 31, 2019 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2020 | |
| Loans | $ | 402 | | $ | — | | $ | 368 | | $ | 217 | | $ | (6) | | $ | — | | $ | — | | $ | — | | $ | (3) | | $ | 978 | | $ | 509 | |
| Mortgage servicing rights | 495 | | — | | (169) | | — | | — | | — | | 56 | | — | | (37) | | 345 | | (147) | |
Other financial assets measured on the Consolidated Statement of Income.a recurring basis | 1 | | — | | 14 | | — | | — | | — | | (6) | | (5) | | (4) | | — | | 16 | |
| Liabilities | | | | | | | | | | | |
(2)Interest-bearing deposits | Unrealized gains (losses)$
| 215 | | $ | — | | $ | (11) | | $ | 278 | | $ | (151) | | $ | — | | $ | 30 | | $ | — | | $ | (146) | | $ | 237 | | $ | (6) | |
| Securities loaned or sold under agreements to repurchase | 757 | | 27 | | — | | — | | — | | — | | — | | — | | (105) | | 625 | | (33) | |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 48 | | (129) | | — | | 117 | | (18) | | — | | 9 | | — | | (181) | | 104 | | (7) | |
| Other trading liabilities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Short-term borrowings | 13 | | 19 | | — | | 86 | | (6) | | — | | 61 | | — | | (7) | | 128 | | 21 | |
| Long-term debt | 17,169 | | (320) | | — | | 4,623 | | (2,783) | | — | | 4,809 | | — | | (2,505) | | 21,633 | | (6,945) | |
Other financial liabilities measured on MSRs are recorded in Other revenue on the Consolidated Statement of Income.a recurring basis | — | | — | | — | | — | | — | | — | | 2 | | — | | (2) | | — | | — | |
(1)Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
(2)Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at June 30, 2020.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(3) | Represents the amount | Net realized/unrealized
gains (losses) incl. in | | Transfers | | | | | | | Unrealized
gains
(losses)
still held(3) |
In millions of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as dollars | Mar. 31, 2019 | Principal
transactions | Other(1)(2) | into
Level 3 that are still held at September | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2017.2019 | |
| Assets | | | | | | | | | | | |
(4)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 guaranteed | 154 | | 6 | | — | | 1 | | (2) | | 42 | | (1) | | (13) | | — | | 187 | | 4 | |
| Residential | 128 | | 10 | | — | | 17 | | (9) | | 61 | | — | | (76) | | — | | 131 | | 15 | |
| Commercial | 69 | | 2 | | — | | 3 | | (34) | | 38 | | — | | (25) | | — | | 53 | | (6) | |
Total Level trading mortgage-backed securities | $ | 351 | | $ | 18 | | $ | — | | $ | 21 | | $ | (45) | | $ | 141 | | $ | (1) | | $ | (114) | | $ | — | | $ | 371 | | $ | 13 | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 178 | | — | | — | | — | | — | | — | | — | | (1) | | — | | 177 | | — | |
| Foreign government | 39 | | 2 | | — | | — | | — | | — | | — | | (21) | | — | | 20 | | 1 | |
| Corporate | 378 | | 255 | | — | | 41 | | (5) | | 109 | | — | | (322) | | (2) | | 454 | | 55 | |
| Marketable equity securities | 127 | | 13 | | — | | (2) | | — | | 48 | | — | | (63) | | — | | 123 | | (28) | |
| Asset-backed securities | 1,429 | | 20 | | — | | 6 | | (15) | | 242 | | — | | (271) | | — | | 1,411 | | 10 | |
| Other trading assets | 1,042 | | 45 | | — | | 2 | | (135) | | 97 | | 6 | | (312) | | (5) | | 740 | | 6 | |
| Total trading non-derivative assets | $ | 3,544 | | $ | 353 | | $ | — | | $ | 68 | | $ | (200) | | $ | 637 | | $ | 5 | | $ | (1,104) | | $ | (7) | | $ | 3,296 | | $ | 57 | |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | (116) | | $ | (68) | | $ | — | | $ | (59) | | $ | 137 | | $ | (21) | | $ | 19 | | $ | 8 | | $ | (9) | | $ | (109) | | $ | (101) | |
| Foreign exchange contracts | 46 | | (109) | | — | | 15 | | 9 | | — | | — | | (2) | | (56) | | (97) | | (124) | |
| Equity contracts | (1,345) | | 183 | | — | | (38) | | 100 | | 2 | | (88) | | (2) | | (6) | | (1,194) | | 193 | |
| Commodity contracts | 304 | | (243) | | — | | 9 | | (4) | | 66 | | — | | (12) | | 27 | | 147 | | (135) | |
| Credit derivatives | 34 | | 59 | | — | | (1) | | (38) | | — | | — | | 14 | | 18 | | 86 | | 10 | |
Total trading derivatives, net(4) | $ | (1,077) | | $ | (178) | | $ | — | | $ | (74) | | $ | 204 | | $ | 47 | | $ | (69) | | $ | 6 | | $ | (26) | | $ | (1,167) | | $ | (157) | |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 32 | | $ | — | | $ | (1) | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 31 | | $ | (1) | |
| Residential | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Commercial | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Total investment mortgage-backed securities | $ | 32 | | $ | — | | $ | (1) | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 31 | | $ | (1) | |
| U.S. Treasury and federal agency securities | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | |
| State and municipal | 910 | | — | | 42 | | 11 | | — | | 236 | | — | | (173) | | — | | 1,026 | | 48 | |
| Foreign government | 71 | | — | | 5 | | — | | — | | 17 | | — | | (16) | | — | | 77 | | 1 | |
| Corporate | 60 | | — | | — | | — | | — | | — | | — | | (4) | | — | | 56 | | — | |
| Marketable equity securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Asset-backed securities | 806 | | — | | 10 | | 1 | | (585) | | — | | — | | (173) | | — | | 59 | | 9 | |
| Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | 505 | | — | | (2) | | 6 | | — | | 3 derivative assets and liabilities have been netted in these tables for presentation purposes only. | | — | | (64) | | — | | 448 | | (12) | |
| Total investments | $ | 2,384 | | $ | — | | $ | 54 | | $ | 18 | | $ | (585) | | $ | 256 | | $ | — | | $ | (430) | | $ | — | | $ | 1,697 | | $ | 45 | |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized
gains (losses) incl. in | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Jun. 30, 2016 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2016 |
| Assets | | | | | | | | | | | |
| Federal funds sold and securities borrowed or purchased under agreements to resell | $ | 1,819 |
| $ | (6 | ) | $ | — |
| $ | ��� |
| $ | — |
| $ | 5 |
| $ | — |
| $ | — |
| $ | (505 | ) | $ | 1,313 |
| $ | (3 | ) |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 730 |
| 1 |
| — |
| 67 |
| (387 | ) | 96 |
| — |
| (286 | ) | 7 |
| 228 |
| — |
|
| Residential | 801 |
| 116 |
| — |
| 5 |
| (66 | ) | 18 |
| — |
| (433 | ) | — |
| 441 |
| (58 | ) |
| Commercial | 390 |
| 2 |
| — |
| 1 |
| (107 | ) | 309 |
| — |
| (151 | ) | — |
| 444 |
| 6 |
|
| Total trading mortgage-backed securities | $ | 1,921 |
| $ | 119 |
| $ | — |
| $ | 73 |
| $ | (560 | ) | $ | 423 |
| $ | — |
| $ | (870 | ) | $ | 7 |
| $ | 1,113 |
| $ | (52 | ) |
| U.S. Treasury and federal agency securities | $ | 3 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (2 | ) | $ | — |
| $ | 1 |
| $ | — |
|
| State and municipal | 117 |
| 18 |
| — |
| 118 |
| (37 | ) | 56 |
| — |
| (115 | ) | — |
| 157 |
| (1 | ) |
| Foreign government | 81 |
| (19 | ) | — |
| — |
| — |
| 24 |
| — |
| (23 | ) | — |
| 63 |
| 1 |
|
| Corporate | 405 |
| 39 |
| — |
| 49 |
| (26 | ) | 414 |
| — |
| (208 | ) | 12 |
| 685 |
| (31 | ) |
| Equity securities | 3,970 |
| 348 |
| — |
| 12 |
| (811 | ) | 102 |
| — |
| (61 | ) | — |
| 3,560 |
| (371 | ) |
| Asset-backed securities | 2,670 |
| 47 |
| — |
| 38 |
| (42 | ) | 783 |
| — |
| (747 | ) | — |
| 2,749 |
| (58 | ) |
| Other trading assets | 2,839 |
| 12 |
| — |
| 296 |
| (897 | ) | 966 |
| 9 |
| (628 | ) | (17 | ) | 2,580 |
| (63 | ) |
| Total trading non-derivative assets | $ | 12,006 |
| $ | 564 |
| $ | — |
| $ | 586 |
| $ | (2,373 | ) | $ | 2,768 |
| $ | 9 |
| $ | (2,654 | ) | $ | 2 |
| $ | 10,908 |
| $ | (575 | ) |
Trading derivatives, net(4) | | | | | | | | | | | |
| Interest rate contracts | $ | (374 | ) | $ | (82 | ) | $ | — |
| $ | (59 | ) | $ | 77 |
| $ | 5 |
| $ | — |
| $ | (37 | ) | $ | (93 | ) | $ | (563 | ) | $ | (143 | ) |
| Foreign exchange contracts | (29 | ) | 10 |
| — |
| 69 |
| (13 | ) | 52 |
| — |
| (50 | ) | 50 |
| 89 |
| 149 |
|
| Equity contracts | (1,071 | ) | 29 |
| — |
| 14 |
| 123 |
| 17 |
| — |
| (28 | ) | (51 | ) | (967 | ) | (189 | ) |
| Commodity contracts | (2,017 | ) | (76 | ) | — |
| (379 | ) | 74 |
| 3 |
| — |
| 5 |
| 91 |
| (2,299 | ) | (285 | ) |
| Credit derivatives | (754 | ) | (651 | ) | — |
| 32 |
| 26 |
| (4 | ) | — |
| (35 | ) | 367 |
| (1,019 | ) | 450 |
|
Total trading derivatives, net(4) | $ | (4,245 | ) | $ | (770 | ) | $ | — |
| $ | (323 | ) | $ | 287 |
| $ | 73 |
| $ | — |
| $ | (145 | ) | $ | 364 |
| $ | (4,759 | ) | $ | (18 | ) |
| Investments | | | | | | | | | | | |
| Mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | $ | 94 |
| $ | — |
| $ | (4 | ) | $ | 3 |
| $ | (10 | ) | $ | 6 |
| $ | — |
| $ | — |
| $ | — |
| $ | 89 |
| $ | (1 | ) |
| Residential | 25 |
| — |
| 1 |
| 49 |
| — |
| 1 |
| — |
| (23 | ) | — |
| 53 |
| — |
|
| Commercial | 5 |
| — |
| (1 | ) | — |
| (4 | ) | — |
| — |
| — |
| — |
| — |
| — |
|
| Total investment mortgage-backed securities | $ | 124 |
| $ | — |
| $ | (4 | ) | $ | 52 |
| $ | (14 | ) | $ | 7 |
| $ | — |
| $ | (23 | ) | $ | — |
| $ | 142 |
| $ | (1 | ) |
| U.S. Treasury and federal agency securities | $ | 3 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (1 | ) | $ | — |
| $ | 2 |
| $ | — |
|
| State and municipal | 2,016 |
| — |
| (54 | ) | 5 |
| (338 | ) | 60 |
| — |
| (33 | ) | — |
| 1,656 |
| 40 |
|
| Foreign government | 141 |
| — |
| (14 | ) | 5 |
| — |
| 42 |
| — |
| (29 | ) | — |
| 145 |
| (5 | ) |
| Corporate | 460 |
| — |
| 42 |
| 1 |
| (18 | ) | 412 |
| — |
| (8 | ) | (365 | ) | 524 |
| (1 | ) |
| Equity securities | 128 |
| — |
| 11 |
| — |
| — |
| — |
| — |
| (129 | ) | — |
| 10 |
| — |
|
| Asset-backed securities | 597 |
| — |
| (88 | ) | 3 |
| (25 | ) | 121 |
| — |
| (7 | ) | 81 |
| 682 |
| 88 |
|
| Other debt securities | 5 |
| — |
| — |
| 10 |
| — |
| 1 |
| — |
| (5 | ) | — |
| 11 |
| — |
|
| Non-marketable equity securities | 1,139 |
| — |
| 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) |
| In millions of dollars | Jun. 30, 2016 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2016 |
| Loans | $ | 1,234 |
| $ | — |
| $ | 89 |
| $ | 24 |
| $ | (196 | ) | $ | 93 |
| $ | — |
| $ | (137 | ) | $ | (25 | ) | $ | 1,082 |
| $ | (179 | ) |
| Mortgage servicing rights | 1,324 |
| — |
| 13 |
| — |
| — |
| — |
| 43 |
| (32 | ) | (78 | ) | 1,270 |
| 15 |
|
| Other financial assets measured on a recurring basis | 111 |
| — |
| 31 |
| 1 |
| (41 | ) | 1 |
| 72 |
| (4 | ) | (105 | ) | 66 |
| (69 | ) |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 433 |
| $ | — |
| $ | 41 |
| $ | — |
| $ | (100 | ) | $ | — |
| $ | — |
| $ | — |
| $ | (32 | ) | $ | 260 |
| $ | 42 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 1,107 |
| 10 |
| — |
| — |
| (150 | ) | — |
| — |
| 11 |
| (35 | ) | 923 |
| 8 |
|
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 12 |
| (30 | ) | — |
| 21 |
| (42 | ) | (9 | ) | — |
| 142 |
| 5 |
| 159 |
| (30 | ) |
| Other Trading Liabilities | — |
| — |
| — |
| 1 |
| — |
| — |
| — |
| — |
| — |
| 1 |
| — |
|
| Short-term borrowings | 53 |
| (9 | ) | — |
| 1 |
| (32 | ) | — |
| 15 |
| — |
| (14 | ) | 32 |
| 2 |
|
| Long-term debt | 9,138 |
| (191 | ) | — |
| 947 |
| (1,550 | ) | — |
| 1,719 |
| — |
| (1,263 | ) | 9,182 |
| (191 | ) |
| Other financial liabilities measured on a recurring basis | 5 |
| — |
| (26 | ) | 2 |
| — |
| (1 | ) | — |
| — |
| — |
| 32 |
| (2 | ) |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net realized/unrealized
gains (losses) incl. in | Transfers | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31, 2015 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 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 guaranteed | 744 |
| 13 |
| — |
| 485 |
| (969 | ) | 857 |
| — |
| (920 | ) | 18 |
| 228 |
| 4 |
|
| Residential | 1,326 |
| 104 |
| — |
| 134 |
| (153 | ) | 275 |
| — |
| (1,239 | ) | (6 | ) | 441 |
| 23 |
|
| Commercial | 517 |
| 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 municipal | 351 |
| 26 |
| — |
| 136 |
| (253 | ) | 224 |
| — |
| (327 | ) | — |
| 157 |
| — |
|
| Foreign government | 197 |
| (27 | ) | — |
| 2 |
| (17 | ) | 99 |
| — |
| (191 | ) | — |
| 63 |
| (2 | ) |
| Corporate | 376 |
| 323 |
| — |
| 129 |
| (102 | ) | 748 |
| — |
| (796 | ) | 7 |
| 685 |
| 58 |
|
| Equity securities | 3,684 |
| (187 | ) | — |
| 279 |
| (871 | ) | 851 |
| — |
| (196 | ) | — |
| 3,560 |
| (125 | ) |
| Asset-backed securities | 2,739 |
| 181 |
| — |
| 195 |
| (237 | ) | 1,969 |
| — |
| (2,098 | ) | — |
| 2,749 |
| 87 |
|
| Other trading assets | 2,483 |
| (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 contracts | 620 |
| (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 derivatives | 307 |
| (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 |
|
| Residential | 4 |
| — |
| 2 |
| 49 |
| — |
| 26 |
| — |
| (28 | ) | — |
| 53 |
| 1 |
|
| Commercial | 2 |
| — |
| (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 municipal | 2,192 |
| — |
| 108 |
| 396 |
| (1,121 | ) | 300 |
| — |
| (219 | ) | — |
| 1,656 |
| 45 |
|
| Foreign government | 260 |
| — |
| 5 |
| 38 |
| — |
| 145 |
| — |
| (300 | ) | (3 | ) | 145 |
| 1 |
|
| Corporate | 603 |
| — |
| 87 |
| 6 |
| (63 | ) | 506 |
| — |
| (250 | ) | (365 | ) | 524 |
| 1 |
|
| Equity securities | 124 |
| — |
| 11 |
| 4 |
| — |
| — |
| — |
| (129 | ) | — |
| 10 |
| — |
|
| Asset-backed securities | 596 |
| — |
| (53 | ) | 3 |
| (48 | ) | 325 |
| — |
| (222 | ) | 81 |
| 682 |
| (35 | ) |
| Other debt securities | — |
| — |
| — |
| 10 |
| — |
| 6 |
| — |
| (5 | ) | — |
| 11 |
| — |
|
| Non-marketable equity securities | 1,135 |
| — |
| 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 dollars | Dec. 31, 2015 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Sept. 30, 2016 |
| Loans | $ | 2,166 |
| $ | — |
| $ | 31 |
| $ | 113 |
| $ | (734 | ) | $ | 663 |
| $ | 219 |
| $ | (812 | ) | $ | (564 | ) | $ | 1,082 |
| $ | 383 |
|
| Mortgage servicing rights | 1,781 |
| — |
| (349 | ) | — |
| — |
| — |
| 111 |
| (18 | ) | (255 | ) | 1,270 |
| (154 | ) |
| Other financial assets measured on a recurring basis | 180 |
| — |
| 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 repurchase | 1,247 |
| (11 | ) | — |
| — |
| (150 | ) | — |
| — |
| 27 |
| (212 | ) | 923 |
| (24 | ) |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 199 |
| (16 | ) | — |
| 118 |
| (85 | ) | (70 | ) | (41 | ) | 212 |
| (190 | ) | 159 |
| (61 | ) |
| Other Trading Liabilities | — |
| — |
| — |
| 1 |
| — |
| — |
| — |
| — |
| — |
| 1 |
| — |
|
| Short-term borrowings | 9 |
| (36 | ) | — |
| 18 |
| (36 | ) | — |
| 56 |
| — |
| (51 | ) | 32 |
| 2 |
|
| Long-term debt | 7,543 |
| (217 | ) | — |
| 2,168 |
| (3,393 | ) | — |
| 4,591 |
| 61 |
| (2,005 | ) | 9,182 |
| (277 | ) |
| Other financial liabilities measured on a recurring basis | 14 |
| — |
| (33 | ) | 2 |
| (10 | ) | (7 | ) | 2 |
| — |
| (2 | ) | 32 |
| (7 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) | Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized
| Net realized/unrealized
gains (losses) from salesincl. in | | Transfers | | | | | | | Unrealized
gains
(losses)
still held(3) |
In millions of investmentsdollars | Mar. 31, 2019 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2019 | |
| Loans | $ | 373 | | $ | — | | $ | 63 | | $ | 3 | | $ | — | | $ | 5 | | $ | — | | $ | (25) | | $ | — | | $ | 419 | | $ | 174 | |
| Mortgage servicing rights | 551 | | — | | (37) | | — | | — | | — | | 16 | | — | | (22) | | 508 | | (34) | |
Other financial assets measured on the Consolidated Statement of Income.a recurring basis | — | | — | | 9 | | — | | 4 | | — | | (3) | | (4) | | (6) | | — | | — | |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 1,047 | | $ | — | | $ | (39) | | $ | 2 | | $ | (18) | | $ | — | | $ | 129 | | $ | — | | $ | (17) | | $ | 1,182 | | $ | (211) | |
| Securities loaned and sold under agreements to repurchase | 1,041 | | (42) | | — | | 2 | | — | | — | | — | | — | | — | | 1,085 | | (13) | |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 15 | | (6) | | — | | 15 | | (6) | | — | | — | | — | | (2) | | 28 | | (1) | |
| Other trading liabilities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Short-term borrowings | 170 | | 2 | | — | | — | | (25) | | — | | 12 | | — | | (1) | | 154 | | (2) | |
| Long-term debt | 13,734 | | (819) | | — | | 747 | | (1,360) | | 20 | | 900 | | (1) | | 79 | | 14,938 | | (1,023) | |
| Other financial liabilities measured on a recurring basis | — | | — | | 4 | | 5 | | — | | — | | — | | — | | — | | 1 | | — | |
| | | | | | | | | | | |
(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, 2019.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(2) | | Net realized/unrealized
gains/losses incl. in | | Transfers | | | | | | | Unrealized
gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.gains/
losses
still held(3) |
| In millions of dollars | Dec. 31, 2018 | Principal
transactions | Other(1)(2) | into
Level 3 | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2019 | |
| Assets | | | | | | | | | | | |
(3)Securities borrowed and purchased under agreements to resell | Represents the amount of total gains or losses for the period, included in earnings (and AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to$ | 115 | | $ | 1 | | $ | — | | $ | 5 | | $ | (4) | | $ | 94 | | $ | — | | $ | — | | $ | (89) | | $ | 122 | | $ | 3 | |
| Trading non-derivative assets | | | | | | | | | | | |
| Trading mortgage-backed securities | | | | | | | | | | | |
| U.S. government-sponsored agency guaranteed | 156 | | 6 | | — | | 1 | | (27) | | 90 | | (1) | | (38) | | — | | 187 | | 7 | |
| Residential | 268 | | 11 | | — | | 22 | | (40) | | 130 | | — | | (260) | | — | | 131 | | 15 | |
| Commercial | 77 | | 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 liabilities classified as Level federal agency securities | $ | 1 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | (1) | | $ | — | | $ | — | |
| State and municipal | 200 | | (1) | | — | | — | | (19) | | 1 | | — | | (4) | | — | | 177 | | — | |
| Foreign government | 31 | | 1 | | — | | 9 | | — | | 3 that are still held at September 30, 2016. | | — | | (24) | | — | | 20 | | 1 | |
| Corporate | 360 | | 345 | | — | | 62 | | (31) | | 178 | | (33) | | (425) | | (2) | | 454 | | 34 | |
| Marketable equity securities | 153 | | 3 | | — | | (1) | | (11) | | 57 | | — | | (78) | | — | | 123 | | (25) | |
| Asset-backed securities | 1,484 | | (6) | | — | | 13 | | (47) | | 463 | | — | | (496) | | — | | 1,411 | | 57 | |
| Other trading assets | 818 | | 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) | | | | | | | | | | | |
(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 derivatives | 61 | | (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 municipal | 708 | | — | | 94 | | 14 | | — | | 421 | | — | | (211) | | — | | 1,026 | | 84 | |
| Foreign government | 68 | | — | | 1 | | — | | — | | 56 | | — | | (48) | | — | | 77 | | 1 | |
| Corporate | 156 | | — | | — | | — | | (94) | | — | | — | | (6) | | — | | 56 | | — | |
| Marketable equity securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Asset-backed securities | 187 | | — | | 8 | | 95 | | (585) | | 550 | | — | | (196) | | — | | 59 | | 9 | |
| Other debt securities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Non-marketable equity securities | 586 | | — | | 20 | | 6 | | — | | 7 | | — | | (150) | | (21) | | 448 | | (15) | |
| Total investments | $ | 1,737 | | $ | — | | $ | 122 | | $ | 115 | | $ | (679) | | $ | 1,034 | | $ | — | | $ | (611) | | $ | (21) | | $ | 1,697 | | $ | 76 | |
Table continues on the next page.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Net realized/unrealized
gains (losses) incl. in | | Transfers | | | | | | | Unrealized
gains
(losses)
still held(3) |
| In millions of dollars | Dec. 31, 2018 | Principal
transactions | Other(1)(2) | into
Level 3 derivative | out of
Level 3 | Purchases | Issuances | Sales | Settlements | Jun. 30, 2019 | |
| Loans | $ | 277 | | $ | — | | $ | 108 | | $ | 128 | | $ | (70) | | $ | 11 | | $ | — | | $ | (35) | | $ | — | | $ | 419 | | $ | 294 | |
| Mortgage servicing rights | 584 | | — | | (64) | | — | | — | | — | | 28 | | — | | (40) | | 508 | | (60) | |
| Other financial assets measured on a recurring basis | — | | — | | 25 | | — | | 4 | | — | | (5) | | (8) | | (16) | | — | | — | |
| Liabilities | | | | | | | | | | | |
| Interest-bearing deposits | $ | 495 | | $ | — | | $ | (49) | | $ | 3 | | $ | (22) | | $ | — | | $ | 803 | | $ | — | | $ | (146) | | $ | 1,182 | | $ | (182) | |
| Securities loaned and sold under agreements to repurchase | 983 | | (38) | | — | | 1 | | 4 | | — | | — | | 1 | | 58 | | 1,085 | | (24) | |
| Trading account liabilities | | | | | | | | | | | |
| Securities sold, not yet purchased | 586 | | 118 | | — | | 16 | | (447) | | — | | — | | — | | (9) | | 28 | | — | |
| Other trading liabilities | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | | — | |
| Short-term borrowings | 37 | | 25 | | — | | 9 | | (31) | | — | | 165 | | — | | (1) | | 154 | | (2) | |
| Long-term debt | 12,570 | | (1,226) | | — | | 1,624 | | (2,961) | | 20 | | 6,850 | | (4) | | (4,387) | | 14,938 | | (769) | |
Other financial liabilities have been netted in these tables for presentation purposes only.measured on a recurring basis | — | | — | | 4 | | 5 | | — | | — | | — | | — | | — | | 1 | | — | |
| | | | | | | | | | | |
(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, 2019.
(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, 20162019 to SeptemberJune 30, 2017:2020:
•During the six months ended June 30, 2020, transfers of Interest rate contracts of $1.6 billion from Level 2 to Level 3 were due to interest rate option volatility becoming an unobservable and/or significant input relative to the overall valuation of the related interest rate derivatives.
•During the three and six months ended June 30, 2020, $1.4 billion and $4.6 billion of Long-term debt containing embedded derivatives was transferred from Level 2 to Level 3, as a result of interest rate option volatility, equity correlation and credit derivative inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products. In other instances, market changes resulted in unobservable volatility inputs becoming insignificant to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $1.3 billion and $2.8 billion of certain structured long-term debt products being transferred from Level 3 to Level 2 during the three and six months ended June 30, 2020, respectively.
TransfersThe following were the significant Level 3 transfers for the period December 31, 2018 to June 30, 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 $1.5$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 Other trading assets of $0.5 billion from Level 2 to Level 3, and of $1.4 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations and significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.
The following were the significant Level 3 transfers for the period June 30, 2016 to September 30, 2016.
Transfers of Other trading assets of $0.3 billion from Level 2 to Level 3, and of $0.9 billion from Level 3 to Level 2, related to trading loans, reflecting changes in volume of market quotations.
Transfers of Long-term debt of $0.9 billion from Level 2 to Level 3, and of $1.6 billion from Level 3 to Level 2, mainly related to structured debt,196
reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.
The following were the significant Level 3 transfers for the period from December 31, 2015 to September 30, 2016:
Transfers of Trading mortgage-backed securities of $0.8 billion from Level 2 to Level 3, and of $1.3 billion from Level 3 to Level 2, related to Agency Guaranteed MBS securities, reflecting changes in the volume of market quotations.
Transfers of Other trading assets of $1.8 billion from Level 2 to Level 3, and of $2.4 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations.
Transfers of Long-term debt of $2.2 billionfrom Level 2 to Level 3, and of $3.4 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.
Transfers of State and municipalinvestments of $1.1 billion from Level 3 to Level 2, mainly related to changes in the volume of market quotations.
Valuation Techniques and Inputs for Level 3 Fair Value
Measurements
The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.
| | | | | | | | | | | | | | | | | | | | |
| As of June 30, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Assets | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 326 | | Model-based | Credit spread | 15 bps | 15 bps | 15 bps |
| | | Interest rate | 0.13 | % | 1.66 | % | 0.42 | % |
| Mortgage-backed securities | $ | 473 | | Price-based | Price | $ | 25.35 | | $ | 119.20 | | $ | 87.92 | |
| 280 | | Yield analysis | Yield | 1.72 | % | 18.44 | % | 8.29 | % |
| State and municipal, foreign government, corporate and other debt securities | $ | 1,346 | | Price-based | Price | $ | — | | $ | 120.46 | | $ | 83.83 | |
| 923 | | Model-based | Credit spread | 35 bps | 349 bps | 222 bps |
Marketable equity securities(5) | $ | 60 | | Price-based | Price | $ | 0.14 | | $ | 23,250 | | $ | 1,367 | |
| 32 | | Model-based | Recovery (in millions) | $ | 5,450 | | $ | 5,450 | | $ | 5,450 | |
| | | WAL | 0.99 years | 0.99 years | 0.99 years |
| Asset-backed securities | $ | 1,273 | | Price-based | Price | $ | 1.87 | | $ | 100.00 | | $ | 59.54 | |
| 518 | | Yield analysis | Yield | 2.94 | % | 16.68 | % | 8.27 | % |
| Non-marketable equities | $ | 188 | | Comparables analysis | Price | $ | 12.36 | | $ | 1,871 | | $ | 1,039 | |
| 74 | | Price-based | Illiquidity discount | $ | 10.00 | | $ | 45.00 | | $ | 24.93 | |
| 68 | Model-based | Revenue multiple | 1.00x | 10.00x | 4.00x |
| | | PE ratio | 10.00x | 26.00x | 17.00x |
| | | Appraised value (in thousands) | $ | 865 | | $ | 27,608 | | $ | 17,324 | |
| | | Discount to price | — | % | — | % | — | % |
| | | | | | |
| | | Price to book ratio | 0.60x | 1.60x | 0.93x |
Derivatives—gross(6) | | | | | | |
| Interest rate contracts (gross) | $ | 5,408 | | Model-based | Inflation volatility | 0.25 | % | 2.83 | % | 0.78 | % |
| | | IR normal volatility | 0.16 | % | 0.84 | % | 0.57 | % |
| Foreign exchange contracts (gross) | $ | 1,115 | | Model-based | FX volatility | 0.30 | % | 15.28 | % | 6.71 | % |
| | | Credit spread | 60 bps | 699 bps | 455 bps |
| | | FX rate | $ | 4.87 | | $ | 86.03 | | $ | 43.49 | |
| | | IR normal volatility | 0.16 | % | 0.84 | % | 0.61 | % |
| | | IR-FX correlation | 40.00 | % | 60.00 | % | 50.00 | % |
| | | IR-IR correlation | (21.71) | % | 40.00 | % | 35.11 | % |
| | | Interest rate | 0.75 | % | 71.38 | % | 13.15 | % |
| | | | | | |
| | | | | | |
| | | | | | |
Equity contracts (gross)(7) | $ | 3,402 | | Model-based | Equity volatility | 3.85 | % | 72.24 | % | 33.69 | % |
| | | Forward price | 63.19 | % | 106.16 | % | 91.95 | % |
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| As of September 30, 2017 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Assets | | | | | | |
| Federal funds sold and securities borrowed or purchased under agreements to resell | $ | 664 |
| Model-based | IR Normal Volatility | 26.85 | % | 77.79 | % | 64.45 | % |
| Mortgage-backed securities | $ | 480 |
| Price-based | Price | $ | 5.90 |
| $ | 102.90 |
| $73.64 |
| | 339 |
| Yield Analysis | Yield | 1.55 | % | 13.72 | % | 4.96 | % |
| Non-mortgage debt securities | $ | 2,830 |
| Price-based | Price | $ | 21.03 |
| $ | 108.46 |
| $ | 88.99 |
|
| | $ | 1,535 |
| Model-based | Credit Spread | 35 bps |
| 375 bps |
| 233 bps |
|
| | | | Yield | 2.17 | % | 16.04 | % | 5.92 | % |
Equity securities(5) | $ | 156 |
| Price-based | Price | $ | 0.09 |
| $ | 1,402.80 |
| $ | 640.33 |
|
| | $ | 80 |
| Model-based | |
|
|
|
|
| Asset-backed securities | $ | 2,387 |
| Price-based | Price | $ | 36.50 |
| $ | 100.00 |
| $ | 85.34 |
|
| Non-marketable equity | $ | 502 |
| Comparable Analysis | EBITDA Multiples | 7.30 | x | 13.3 | x | 8.94 | x |
| | 283 |
| Price-based | Discount to price | — | % | 100.00 | % | 9.71 | % |
| | | | Price to book ratio | 0.05 | x | 1.12 | x | 0.85 | x |
Derivatives—gross(6) | | | | | | |
| Interest rate contracts (gross) | $ | 3,679 |
| Model-based | IR Normal Volatility | 10.36 | % | 79.60 | % | 59.26 | % |
| | | | Mean Reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| Foreign exchange contracts (gross) | $ | 906 |
| Model-based | FX Volatility | 5.98 | % | 20.23 | % | 10.45 | % |
| |
|
| | IR Basis | (0.99 | )% | 0.38 | % | (0.04 | )% |
| | | | Credit Spread | 0.00 bps |
| 602 bps |
| 168 bps |
|
| | | | IR-IR Correlation | (51.00 | )% | 40.00 | % | 35.65 | % |
| | | | IR-FX Correlation | (10.09 | )% | 60.00 | % | 49.13 | % |
| Equity contracts (gross) | $ | 2,977 |
| Model-based | Equity Volatility | 3.00 | % | 54.00 | % | 24.61 | % |
| | | | Forward Price | 69.30 | % | 114.48 | % | 94.45 | % |
| Commodity and other contracts (gross) | $ | 2,939 |
| Model-based | Forward Price | 41.12 | % | 405.15 | % | 141.97 | % |
| | | | Commodity Volatility | 8.99 | % | 49.49 | % | 27.04 | % |
| | | | Commodity Correlation | (38.81 | )% | 90.59 | % | 37.73 | % |
| Credit derivatives (gross) | $ | 2,187 |
| Model-based | Recovery Rate | 12.22 | % | 55.00 | % | 36.93 | % |
| | 949 |
| Price-based | Credit Correlation | 10.00 | % | 85.00 | % | 42.46 | % |
| | | | Upfront Points | 10.94 | % | 99.00 | % | 68.80 | % |
| | | | Credit Spread | 2 bps |
| 1,407 bps |
| 112 bps |
|
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|
|
|
|
|
|
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| As of June 30, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Commodity and other contracts (gross) | $ | 2,250 | | Model-based | Forward price | 36.19 | % | 356.52 | % | 99.68 | % |
| | | Commodity volatility | (4.19) | % | 98.96 | % | 8.33 | % |
| | | Commodity correlation | (40.72) | % | 90.33 | % | 65.73 | % |
| Credit derivatives (gross) | $ | 2,185 | | Model-based | Credit spread | 13 bps | 608 bps | 117 bps |
| 483 | | Price-based | Credit correlation | 20.00 | % | 85.00 | % | 40.17 | % |
| | | Recovery rate | 10.00 | % | 65.00 | % | 38.87 | % |
| | | Upfront points | 2.50 | % | 100.00 | % | 53.93 | % |
| | | | | | |
| Loans and leases | $ | 917 | | Model-based | Equity volatility | 23.67 | % | 84.79 | % | 64.08 | % |
| | | Credit spread | 47 bps | 47 bps | 47 bps |
| Mortgage servicing rights | $ | 274 | | Cash flow | Yield | — | % | 14.28 | % | 2.85 | % |
| 71 | | Model-based | WAL | 2.89 years | 5.26 years | 4.00 years |
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | 237 | | Model-based | IR normal volatility | 0.20 | % | 0.84 | % | 0.59 | % |
| | | Forward price | 96.40 | % | 103.26 | % | 99.76 | % |
| Securities loaned and sold under agreement to repurchase | $ | 625 | | Model-based | Interest rate | 0.13 | % | 1.66 | % | 0.78 | % |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | $ | 59 | | Price-based | Price | $ | 0.14 | | $ | 865.86 | | $ | 85.74 | |
| | | | | | |
| 45 | | Model-based | IR Lognormal volatility | 52.16 | % | 107.54 | % | 86.92 | % |
| | | Interest rate | 9.57 | % | 27.68 | % | 11.98 | % |
| Short-term borrowings and long-term debt | $ | 21,761 | | Model-based | IR normal volatility | 0.16 | % | 0.84 | % | 0.56 | % |
| | | Forward price | 36.19 | % | 356.52 | % | 93.95 | % |
| | | | | | | | | | | | | | | | | | | | |
| As of December 31, 2019 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| Assets | | | | | | |
| Securities borrowed and purchased under agreements to resell | $ | 303 | | Model-based | Credit spread | 15 bps | 15 bps | 15 bps |
| | | Interest rate | 1.59 | % | 3.67 | % | 2.72 | % |
| Mortgage-backed securities | $ | 196 | | Price-based | Price | $ | 36 | | $ | 505 | | $ | 97 | |
| 22 | | Model-based | | | | |
| State and municipal, foreign government, corporate and other debt securities | $ | 880 | | Model-based | Price | $ | — | | $ | 1,238 | | $ | 90 | |
| 677 | | Price-based | Credit spread | 35 bps | 295 bps | 209 bps |
Marketable equity securities(5) | $ | 70 | | Price-based | Price | $ | — | | $ | 38,500 | | $ | 2,979 | |
| 30 | | Model-based | WAL | 1.48 years | 1.48 years | 1.48 years |
| | | Recovery (in millions) | $ | 5,450 | | $ | 5,450 | | $ | 5,450 | |
| Asset-backed securities | $ | 812 | | Price-based | Price | $ | 4 | | $ | 103 | | $ | 60 | |
| 368 | | Yield analysis | Yield | 0.61 | % | 23.38 | % | 8.88 | % |
| Non-marketable equities | $ | 316 | | Comparables analysis | EBITDA multiples | 7.00x | 17.95x | 10.34x |
| 97 | | Price-based | Appraised value (in thousands) | $ | 397 | | $ | 33,246 | | $ | 8,446 | |
|
| | | | | | | | | | | | | | |
| As of September 30, 2017 | Fair value(1) (in millions) | Methodology | Input | 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-based | Redemption Rate | 10.70 | % | 99.50 | % | 74.48 | % |
| Loans and leases | $ | 388 |
| Model-based | Price | $ | 29.16 |
| $ | 146.83 |
| $ | 137.53 |
|
| | 150 |
| Price-based | Yield | 2.53 | % | 3.09 | % | 3.02 | % |
| Mortgage servicing rights | $ | 465 |
| Cash flow | Yield | 8.00 | % | 18.96 | % | 12.59 | % |
| | 88 |
| Model-based | WAL | 4.06 years |
| 7.30 years |
| 6.02 years |
|
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | 300 |
| Model-based | Mean Reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| | | | Forward Price | 99.08 | % | 99.65 | % | 99.13 | % |
| Federal funds purchased and securities loaned or sold under agreement to repurchase | $ | 765 |
| Model-based | Interest Rate | 1.11 | % | 2.17 | % | 2.00 | % |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | $ | 612 |
| Model-based | IR Normal Volatility | 26.85 | % | 77.79 | % | 64.45 | % |
| Short-term borrowings and long-term debt | $ | 11,377 |
| Model-based | Forward Price | 69.30 | % | 193.63 | % | 105.10 | % |
|
| | | | | | | | | | | | | | |
| As of December 31, 2016 | Fair value(1) (in millions) | Methodology | Input | 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-based | IR Log-Normal Volatility | 12.86 | % | 75.50 | % | 61.73 | % |
| | | | Interest Rate | (0.51 | )% | 5.76 | % | 2.80 | % |
| Mortgage-backed securities | $ | 509 |
| Price-based | Price | $ | 5.50 |
| $ | 113.48 |
| $ | 61.74 |
|
| | 368 |
| Yield analysis | Yield | 1.90 | % | 14.54 | % | 4.34 | % |
| State and municipal, foreign government, corporate and other debt securities | $ | 3,308 |
| Price-based | Price | $ | 15.00 |
| $ | 103.60 |
| $ | 89.93 |
|
| | 1,513 |
| Cash flow | Credit Spread | 35 bps |
| 600 bps |
| 230 bps |
|
Equity securities(5) | $ | 69 |
| Model-based | Price | $ | 0.48 |
| $ | 104.00 |
| $ | 22.19 |
|
| | 58 |
| Price-based | |
|
|
|
|
|
|
| Asset-backed securities | $ | 2,454 |
| Price-based | Price | $ | 4.00 |
| $ | 100.00 |
| $ | 71.51 |
|
| Non-marketable equity | $ | 726 |
| Price-based | Discount to Price | — | % | 90.00 | % | 13.36 | % |
| | 565 |
| Comparables analysis | EBITDA Multiples | 6.80 | x | 10.10 | x | 8.62 | x |
| | | | Price-to-Book Ratio | 0.32 | x | 1.03 | x | 0.87 | x |
| | | | Price | $ | — |
| $ | 113.23 |
| $ | 54.40 |
|
Derivatives—gross(6) | | | | | | |
| Interest rate contracts (gross) | $ | 4,897 |
| Model-based | IR Log-Normal Volatility | 1.00 | % | 93.97 | % | 62.72 | % |
| | | | Mean Reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| Foreign exchange contracts (gross) | $ | 1,110 |
| Model-based | Foreign Exchange (FX) Volatility | 1.39 | % | 26.85 | % | 15.18 | % |
| | 134 |
| Cash flow | IR Basis | (0.85 | )% | (0.49 | )% | (0.84 | )% |
| | | | Credit Spread | 4 bps |
| 657 bps |
| 266 bps |
|
| | | | IR-IR Correlation | 40.00 | % | 50.00 | % | 41.27 | % |
| | | | IR-FX Correlation | 16.41 | % | 60.00 | % | 49.52 | % |
Equity contracts (gross)(7) | $ | 2,701 |
| Model-based | Equity Volatility | 3.00 | % | 97.78 | % | 29.52 | % |
| | | | Forward Price | 69.05 | % | 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) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| | | | Yield Volatility | 3.55 | % | 14.77 | % | 9.29 | % |
| | | | Equity-Equity Correlation | (87.70 | )% | 96.50 | % | 67.45 | % |
| Commodity contracts (gross) | $ | 2,955 |
| Model-based | Forward Price | 35.74 | % | 235.35 | % | 119.99 | % |
| | | | Commodity Volatility | 2.00 | % | 32.19 | % | 17.07 | % |
| | | | Commodity Correlation | (41.61 | )% | 90.42 | % | 52.85 | % |
| Credit derivatives (gross) | $ | 2,786 |
| Model-based | Recovery Rate | 20.00 | % | 75.00 | % | 39.75 | % |
| | 1,403 |
| Price-based | Credit Correlation | 5.00 | % | 90.00 | % | 34.27 | % |
| | | | Upfront Points | 6.00 | % | 99.90 | % | 72.89 | % |
| | | | Price | $ | 1.00 |
| $ | 167.00 |
| $ | 77.35 |
|
| | | | Credit Spread | 3 bps |
| 1,515 bps |
| 256 bps |
|
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6) | $ | 42 |
| Model-based | Recovery Rate | 40.00 | % | 40.00 | % | 40.00 | % |
| | | | Redemption Rate | 3.92 | % | 99.58 | % | 74.69 | % |
| | | | Upfront Points | 16.00 | % | 20.50 | % | 18.78 | % |
| Loans | $ | 258 |
| Price-based | Price | $ | 31.55 |
| $ | 105.74 |
| $ | 56.46 |
|
| | 221 |
| Yield analysis | Yield | 2.75 | % | 20.00 | % | 11.09 | % |
| | 79 |
| Model-based | | | | |
| Mortgage servicing rights | $ | 1,473 |
| Cash flow | Yield | 4.20 | % | 20.56 | % | 9.32 | % |
| | | | WAL | 3.53 years |
| 7.24 years |
| 5.83 years |
|
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | 293 |
| Model-based | Mean Reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| | | | Forward Price | 98.79 | % | 104.07 | % | 100.19 | % |
| Federal funds purchased and securities loaned or sold under agreements to repurchase | $ | 849 |
| Model-based | Interest Rate | 0.62 | % | 2.19 | % | 1.99 | % |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | $ | 1,056 |
| Model-based | IR Normal Volatility | 12.86 | % | 75.50 | % | 61.73 | % |
| Short-term borrowings and long-term debt | $ | 9,774 |
| Model-based | Mean Reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| | | | Commodity Correlation | (41.61 | )% | 90.42 | % | 52.85 | % |
| | | | Commodity Volatility | 2.00 | % | 32.19 | % | 17.07 | % |
| | | | Forward Price | 69.05 | % | 235.35 | % | 103.28 | % |
| | | | | | | | | | | | | | | | | | | | |
(1)As of December 31, 2019 | The fairFair value amounts presented (1) (in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| | | Price | $ | 3 | | $ | 2,019 | | $ | 1,020 | |
| | | PE ratio | 14.70x | 28.70x | 20.54x |
| | | Price to book ratio | 1.50x | 3.00x | 1.88x |
| | | Discount to price | — | % | 10.00 | % | 2.32 | % |
Derivatives—gross(6) | | | | | | |
(2)Interest rate contracts (gross) | Some inputs are shown as zero due to rounding.$ | 2,196 | | Model-based | Inflation volatility | 0.21 | % | 2.74 | % | 0.79 | % |
| | | Mean reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| | | IR normal volatility | 0.09 | % | 0.66 | % | 0.53 | % |
| Foreign exchange contracts (gross) | $ | 1,099 | | Model-based | FX volatility | 1.27 | % | 12.16 | % | 9.17 | % |
| | | IR normal volatility | 0.27 | % | 0.66 | % | 0.58 | % |
| | | FX rate | 37.39 | % | 586.84 | % | 80.64 | % |
| | | Interest rate | 2.72 | % | 56.14 | % | 13.11 | % |
| | | IR-IR correlation | (51.00) | % | 40.00 | % | 32.00 | % |
| | | IR-FX correlation | 40.00 | % | 60.00 | % | 50.00 | % |
Equity contracts (gross)(7) | $ | 2,076 | | Model-based | Equity volatility | 3.16 | % | 52.80 | % | 28.43 | % |
| | | Forward price | 62.60 | % | 112.69 | % | 98.46 | % |
| | | WAL | 1.48 years | 1.48 years | 1.48 years |
| | | Recovery
(in millions) | $ | 5,450 | | $ | 5,450 | | $ | 5,450 | |
| Commodity and other contracts (gross) | $ | 1,487 | | Model-based | Forward price | 37.62 | % | 362.57 | % | 119.32 | % |
| | | Commodity
volatility | 5.25 | % | 93.63 | % | 23.55 | % |
| | | Commodity
correlation | (39.65) | % | 87.81 | % | 41.80 | % |
| Credit derivatives (gross) | $ | 613 | | Model-based | Credit spread | 8 bps | 283 bps | 80 bps |
| 341 | | Price-based | Upfront points | 2.59 | % | 99.94 | % | 59.41 | % |
| | | Price | $ | 12 | | $ | 100 | | $ | 87 | |
| | | Credit
correlation | 25.00 | % | 87.00 | % | 48.57 | % |
| | | Recovery rate | 20.00 | % | 65.00 | % | 48.00 | % |
| | | | | | |
(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)Loans and leases | Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.$ | 378 | | Model-based | Credit spread | 9 bps | 52 bps | 48 bps |
| | | Equity volatility | 32.00 | % | 32.00 | % | 32.00 | % |
| | | | | | |
(7)Mortgage servicing rights | Includes hybrid products.$ | 418 | | Cash flow | Yield | 1.78 | % | 12.00 | % | 9.49 | % |
| 77 | | Model-based | WAL | 4.07 years | 8.13 years | 6.61 years |
| Liabilities | | | | | | |
| Interest-bearing deposits | $ | 215 | | Model-based | Mean reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| | | Forward price | 97.59 | % | 111.06 | % | 102.96 | % |
| | | | | | |
| Securities loaned and sold under agreements to repurchase | $ | 757 | | Model-based | Interest rate | 1.59 | % | 2.38 | % | 1.95 | % |
| Trading account liabilities | | | | | | |
| Securities sold, not yet purchased | $ | 46 | | Price-based | Price | $ | — | | $ | 866 | | $ | 96 | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
| Short-term borrowings and long-term debt | $ | 17,182 | | Model-based | Mean reversion | 1.00 | % | 20.00 | % | 10.50 | % |
| | | IR normal volatility | 0.09 | % | 0.66 | % | 0.46 | % |
| | | Forward price | 37.62 | % | 362.57 | % | 97.52 | % |
| | | | | | | | | | | | | | | | | | | | |
| As of December 31, 2019 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) |
| | | Equity-IR
Correlation | 15.00 | % | 44.00 | % | 32.66 | % |
(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 non-trading 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 dollars | Fair value | Level 2 | Level 3 |
| June 30, 2020 | | | |
Loans HFS(1) | $ | 4,680 | | $ | 493 | | $ | 4,187 | |
| Other real estate owned | 15 | | 8 | | 7 | |
Loans(2) | 990 | | 556 | | 434 | |
| | | |
| Non-marketable equity securities measured using the measurement alternative | 336 | | 336 | | — | |
| Total assets at fair value on a nonrecurring basis | $ | 6,021 | | $ | 1,393 | | $ | 4,628 | |
| | | | | | | | | | | |
| In millions of dollars | Fair value | Level 2 | Level 3 |
| December 31, 2019 | | | |
Loans HFS(1) | $ | 4,579 | | $ | 3,249 | | $ | 1,330 | |
| Other real estate owned | 20 | | 6 | | 14 | |
Loans(2) | 344 | | 93 | | 251 | |
| Non-marketable equity securities measured using the measurement alternative | 249 | | 249 | | — | |
| Total assets at fair value on a nonrecurring basis | $ | 5,192 | | $ | 3,597 | | $ | 1,595 | |
(1)Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
|
| | | | | | | | | |
| In millions of dollars | Fair value | Level 2 | Level 3 |
| September 30, 2017 | | | |
Loans held-for-sale(1) | $ | 3,211 |
| $ | 1,039 |
| $ | 2,172 |
|
| Other real estate owned | 52 |
| 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 dollars | Fair value | Level 2 | Level 3 |
| December 31, 2016 | | | |
Loans held-for-sale(1) | $ | 5,802 |
| $ | 3,389 |
| $ | 2,413 |
|
| Other real estate owned | 75 |
| 15 |
| 60 |
|
Loans(2) | 1,376 |
| 586 |
| 790 |
|
| Total assets at fair value on a nonrecurring basis | $ | 7,253 |
| $ | 3,990 |
| $ | 3,263 |
|
| |
(1) | Net of fair value amounts on the unfunded portion of loans held-for-sale, recognized as 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. |
201
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, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | $ | 4,040 | | Price-based | Price | $ | 86.83 | | $ | 100.00 | | $ | 95.43 | |
| Other real estate owned | $ | 4 | | Price-based | Appraised value(4) | $ | 186,787 | | $ | 2,339,180 | | $ | 1,540,644 | |
| 3 | | Recovery analysis | Price | 49.77 | | 49.77 | | 49.77 | |
Loans(5) | $ | 157 | | Price-based | Price | $ | 2.25 | | $ | 48.00 | | $ | 20.46 | |
| 125 | | Cash flow | Cost of capital | 52.30 | % | 100.00 | % | 85.14 | % |
| 75 | | Recovery analysis | Recovery rate | 5.80 | % | 100.00 | % | 26.68 | % |
| | | | | | | | | | | | | | | | | | | | |
| As of December 31, 2019 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | $ | 1,320 | | Price-based | Price | $ | 86 | | $ | 100 | | $ | 99 | |
| Other real estate owned | $ | 11 | | Price-based | Appraised value(4) | $ | 2,297,358 | | $ | 8,394,102 | | $ | 5,615,884 | |
| 5 | | Recovery analysis | | | | |
| | | | | | |
| | | | | | |
Loans(6) | $ | 100 | | Recovery analysis | Recovery rate | 0.57 | % | 100.00 | % | 64.78 | % |
| 54 | | Cash flow | Price | $ | 2 | | $ | 54 | | $ | 27 | |
| 47 | | Price-based | Cost of capital | 0.10 | % | 100.00 | % | 54.84 | % |
| 29 | | Price-based | Appraised value(4) | $ | 17,521,218 | | $ | 43,646,426 | | $ | 30,583,822 | |
| | | | | | |
| | | | | | |
| | | | | | |
| | | | | | |
|
| | | | | | | | | | | | | | |
| As of September 30, 2017 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | $ | 2,114 |
| Price-based | Price | $ | 87.73 |
| $ | 100.00 |
| $ | 98.96 |
|
| Other real estate owned | $ | 41 |
| Price-based | Appraised Value | $ | 20,291 |
| $ | 4,491,044 |
| $ | 1,967,435 |
|
| | | | Discount to price | 34.00 | % | 34.00 | % | 34.00 | % |
| | | | Price | $ | 30.00 |
| $ | 54.49 |
| $ | 53.48 |
|
Loans(5) | $ | 231 |
| Recovery Analysis | Recovery Rate | 48.00 | % | 91.97 | % | 65.20 | % |
| | 155 |
| Cashflow | Appraised Value | $ | 70.00 |
| $ | 88.05 |
| $ | 79.61 |
|
| | 50 |
| Price-based | Price | $ | 2.75 |
| $ | 100.00 |
| $ | 128.92 |
|
(1)The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities. |
| | | | | | | | | | | | | | |
| As of December 31, 2016 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) |
| Loans held-for-sale | $ | 2,413 |
| Price-based | Price | $ | — |
| $ | 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 flow | Price | $ | 3.25 |
| $ | 105.00 |
| $ | 59.61 |
|
| | 197 |
| Recovery analysis | Forward price | $ | 2.90 |
| $ | 210.00 |
| $ | 156.78 |
|
| | 135 |
| Price-based | Discount to price(4) | 0.25 | % | 13.00 | % | 8.34 | % |
| |
|
| | Appraised value | $ | 25.80 |
| $ | 26,400,000 |
| $ | 6,462,735 |
|
| |
(1) | The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities. |
| |
(2) | Some inputs are shown as zero due to rounding. |
| |
(3) | Weighted averages are calculated based on the fair values of the instruments. |
| |
(4) | Includes estimated costs to sell. |
| |
(5) | Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral, primarily real estate. |
(3)Weighted averages are calculated based on the fair values of the instruments.
(4)Appraised values are disclosed in whole dollars.
(5)Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral, primarily real 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 June 30, | |
| In millions of dollars | 2020 | 2019 |
| Loans HFS | $ | 32 | | $ | (14) | |
| Other real estate owned | (1) | | (1) | |
Loans(1) | (266) | | (44) | |
| Non-marketable equity securities measured using the measurement alternative | (52) | | 4 | |
| | |
| Total nonrecurring fair value gains (losses) | $ | (287) | | $ | (55) | |
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.
|
| | | | | | |
| | Three Months Ended September 30, |
| In millions of dollars | 2017 | 2016 |
| 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. |
| | | | | | | | |
| Six Months Ended June 30, | |
| In millions of dollars | 2020 | 2019 |
| Loans HFS | $ | (198) | | $ | (1) | |
| Other real estate owned | (1) | | — | |
Loans(1) | (189) | | (62) | |
| Non-marketable equity securities measured using the measurement alternative | (29) | | 65 | |
| | |
| Total nonrecurring fair value gains (losses) | $ | (417) | | $ | 2 | |
| | |
(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, |
| In millions of dollars | 2017 | 2016 |
| Loans held-for-sale | $ | 11 |
| $ | (15 | ) |
| Other real estate owned | (4 | ) | (6 | ) |
Loans(1) | (80 | ) | (110 | ) |
| Total nonrecurring fair value gains (losses) | $ | (73 | ) | $ | (131 | ) |
| |
(1) | Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate. |
202
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, 2017 | Estimated fair value | | June 30, 2020 | | Estimated fair value | |
| | Carrying value | Estimated fair value | | | Carrying
value | Estimated
fair value | |
| In billions of dollars | Level 1 | Level 2 | Level 3 | In billions of dollars | | Level 1 | Level 2 | Level 3 |
| Assets | | Assets | | |
| Investments | $ | 58.1 |
| $ | 58.6 |
| $ | 0.3 |
| $ | 56.3 |
| $ | 2.0 |
| Investments | $ | 89.1 | | $ | 91.8 | | $ | 1.2 | | $ | 88.1 | | $ | 2.5 | |
| Federal funds sold and securities borrowed or purchased under agreements to resell | 96.3 |
| 96.3 |
| — |
| 90.7 |
| 5.6 |
| |
| Securities borrowed and purchased under agreements to resell | | Securities borrowed and purchased under agreements to resell | 108.4 | | 108.4 | | — | | 107.6 | | 0.8 | |
Loans(1)(2) | 634.7 |
| 635.8 |
| — |
| 5.8 |
| 630.0 |
| Loans(1)(2) | 652.1 | | 677.5 | | — | | 3.0 | | 674.5 | |
Other financial assets(2)(3) | 251.2 |
| 251.7 |
| 7.2 |
| 179.2 |
| 65.3 |
| Other financial assets(2)(3) | 389.7 | | 389.7 | | 294.4 | | 15.4 | | 79.9 | |
| Liabilities | | Liabilities | |
| Deposits | $ | 962.5 |
| $ | 960.3 |
| $ | — |
| $ | 819.1 |
| $ | 141.2 |
| Deposits | $ | 1,231.2 | | $ | 1,231.5 | | $ | — | | $ | 1,028.1 | | $ | 203.4 | |
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 116.0 |
| 116.0 |
| — |
| 116.0 |
| — |
| |
| Securities loaned and sold under agreements to repurchase | | Securities loaned and sold under agreements to repurchase | 156.3 | | 156.3 | | — | | 156.3 | | — | |
Long-term debt(4) | 201.8 |
| 210.5 |
| — |
| 178.8 |
| 31.7 |
| Long-term debt(4) | 217.8 | | 223.9 | | — | | 197.5 | | 26.4 | |
Other financial liabilities(5) | 128.3 |
| 128.3 |
| — |
| 15.4 |
| 112.9 |
| Other financial liabilities(5) | 113.9 | | 113.9 | | — | | 19.1 | | 94.8 | |
| | | | | | | | | | | | | | | | | |
| | December 31, 2019 | | Estimated fair value | | |
| | Carrying
value | Estimated
fair value | | | |
| In billions of dollars | | | Level 1 | Level 2 | Level 3 |
| Assets | | | | | |
| Investments | $ | 86.4 | | $ | 87.8 | | $ | 1.9 | | $ | 83.8 | | $ | 2.1 | |
| Securities borrowed and purchased under agreements to resell | 98.1 | | 98.1 | | — | | 98.1 | | — | |
Loans(1)(2) | 681.2 | | 677.7 | | — | | 4.7 | | 673.0 | |
Other financial assets(2)(3) | 262.4 | | 262.4 | | 177.6 | | 16.3 | | 68.5 | |
| Liabilities | | | | | |
| Deposits | $ | 1,068.3 | | $ | 1,066.7 | | $ | — | | $ | 875.5 | | $ | 191.2 | |
| Securities loaned and sold under agreements to repurchase | 125.7 | | 125.7 | | — | | 125.7 | | — | |
Long-term debt(4) | 193.0 | | 203.8 | | — | | 187.3 | | 16.5 | |
Other financial liabilities(5) | 110.2 | | 110.2 | | — | | 37.5 | | 72.7 | |
(1)The carrying value of loans is net of the Allowance for loan losses of $26.4 billion for June 30, 2020 and $12.8 billion for December 31, 2019. In addition, the carrying values exclude $0.9 billion and $1.4 billion of lease finance receivables at June 30, 2020 and December 31, 2019, 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.
|
| | | | | | | | | | | | | | | |
| | December 31, 2016 | Estimated fair value |
| | Carrying value | Estimated fair value | | | |
| In billions of dollars | Level 1 | Level 2 | Level 3 |
| Assets | | | | | |
| Investments | $ | 52.1 |
| $ | 52.0 |
| $ | 0.8 |
| $ | 48.6 |
| $ | 2.6 |
|
| Federal funds sold and securities borrowed or purchased under agreements to resell | 103.6 |
| 103.6 |
| — |
| 98.5 |
| 5.1 |
|
Loans(1)(2) | 607.0 |
| 607.3 |
| — |
| 7.0 |
| 600.3 |
|
Other financial assets(2)(3) | 215.2 |
| 215.9 |
| 8.2 |
| 153.6 |
| 54.1 |
|
| Liabilities | | | | | |
| Deposits | $ | 928.2 |
| $ | 927.6 |
| $ | — |
| $ | 789.7 |
| $ | 137.9 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase | 108.2 |
| 108.2 |
| — |
| 107.8 |
| 0.4 |
|
Long-term debt(4) | 179.9 |
| 185.5 |
| — |
| 156.5 |
| 29.0 |
|
Other financial liabilities(5) | 115.3 |
| 115.3 |
| — |
| 16.2 |
| 99.1 |
|
| |
(1) | The carrying value of loans is net of the Allowance for loan losses of $12.4 billion for September 30, 2017 and $12.1 billion for December 31, 2016. In addition, the carrying values exclude $1.8 billion and $1.9 billion of lease finance receivables at September 30, 2017 and December 31, 2016, respectively.
|
| |
(2) | Includes items measured at fair value on a nonrecurring basis. |
| |
(3) | Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
|
| |
(4) | The carrying value includes long-term debt balances under qualifying fair value hedges. |
| |
(5) | Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
|
The estimated fair values of the Company’s corporate unfunded lending commitments at SeptemberJune 30, 20172020 and December 31, 20162019 were liabilities of $2.7$14.4 billion and $5.2$5.1 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 otherwise be revoked once an election is made. The
changes in fair value are recorded in current earnings, other than DVA, which from January 1, 2016 is reported in AOCI.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.rights (MSRs). 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 dollars | 2020 | 2019 | 2020 | 2019 |
| Assets | | | | |
| Securities borrowed and purchased under agreements to resell | $ | (48) | | $ | 6 | | $ | 44 | | $ | 35 | |
| Trading account assets | 373 | | 45 | | (461) | | 212 | |
| Investments | — | | — | | — | | — | |
| Loans | | | | |
| Certain corporate loans | (154) | | (80) | | (1,017) | | (213) | |
| Certain consumer loans | (1) | | — | | — | | — | |
| Total loans | $ | (155) | | $ | (80) | | $ | (1,017) | | $ | (213) | |
| Other assets | | | | |
| MSRs | $ | (26) | | $ | (37) | | $ | (169) | | $ | (64) | |
Certain mortgage loans HFS(1) | 72 | | 21 | | 134 | | 37 | |
| Total other assets | $ | 46 | | $ | (16) | | $ | (35) | | $ | (27) | |
| Total assets | $ | 216 | | $ | (45) | | $ | (1,469) | | $ | 7 | |
| Liabilities | | | | |
| Interest-bearing deposits | $ | (164) | | $ | (43) | | $ | (52) | | $ | (134) | |
| Securities loaned and sold under agreements to repurchase | 196 | | 51 | | (92) | | 86 | |
| Trading account liabilities | 44 | | 2 | | (17) | | 13 | |
Short-term borrowings(2) | (259) | | 94 | | 997 | | (81) | |
Long-term debt(2) | (5,402) | | (1,113) | | 1,963 | | (3,794) | |
| Total liabilities | $ | (5,585) | | $ | (1,009) | | $ | 2,799 | | $ | (3,910) | |
(1)Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option.
(2)Includes DVA that is included in AOCI. See Notes 17 and 20 to the Consolidated Financial Statements.
|
| | | | | | | | | | | | |
| | Changes in fair value—gains (losses) |
| | Three Months Ended September 30, | Nine Months Ended September 30, |
| In millions of dollars | 2017 | 2016 | 2017 | 2016 |
| Assets | | | | |
| Federal funds sold and securities borrowed or purchased under agreements to resell—selected portfolios | $ | (17 | ) | $ | (54 | ) | $ | (108 | ) | $ | (7 | ) |
| Trading account assets | 581 |
| 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 portfolios | 97 |
| 32 |
| 183 |
| 24 |
|
| Trading account liabilities | 19 |
| 4 |
| 70 |
| 101 |
|
| Short-term borrowings | (30 | ) | (173 | ) | (110 | ) | (207 | ) |
| Long-term debt | (198 | ) | (305 | ) | (669 | ) | (845 | ) |
| Total liabilities | $ | (128 | ) | $ | (458 | ) | $ | (586 | ) | $ | (1,011 | ) |
204
| |
(1) | Includes mortgage loans held by consolidated mortgage loan securitization VIEs. |
| |
(2) | Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option. |
Own Debt Valuation Adjustments (DVA)
Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. Effective January 1, 2016, changesChanges in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s Revenues and Net income along with all other changes in fair value. See Note 1 to the Consolidated Financial Statements for additional information.AOCI.
Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse debt and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated changechanges in the fair value of these non-derivative liabilities due to such changes in the Company’s own credit spread (or instrument-specific credit risk) waswere a loss of $195$2,935 million and $319a gain of $3 million for the three months ended SeptemberJune 30, 20172020 and 2016,2019, and a gain of $1,253 million and a loss of $422 million and a gain of $8$722 million for the ninesix months ended SeptemberJune 30, 20172020 and 2016,2019, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.
The Fair Value Option for Financial Assets and Financial Liabilities
Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Non-CollateralizedUncollateralized Short-Term Borrowings
The Company elected the fair value option for certain portfolios of fixed-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-collateralizeduncollateralized short-term borrowings held primarily by broker-dealer entities in the United States, the United Kingdom and Japan. In each case, the election was made because the related interest 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, 2020 | | December 31, 2019 | |
| In millions of dollars | Trading assets | Loans | Trading assets | Loans |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 7,851 | | $ | 5,799 | | $ | 8,320 | | $ | 4,086 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | 420 | | 174 | | 410 | | 315 | |
| 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, 2017 | December 31, 2016 |
| In millions of dollars | Trading assets | Loans | Trading assets | Loans |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 8,926 |
| $ | 4,308 |
| $ | 9,824 |
| $ | 3,486 |
|
| Aggregate unpaid principal balance in excess of fair value | 518 |
| 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$1,068 million and $1,828$1,062 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of SeptemberJune 30, 20172020 and December 31, 2016,2019, 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, 20172020 and 20162019 due to instrument-specific credit risk totaled to a loss of $(40) million and a gain of $57$53 million, and $83 million, respectively.
Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.8$0.5 billion and $0.6$0.2 billion at SeptemberJune 30, 20172020 and December 31, 2016,2019, 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, 2017,2020, there were approximately $14.4$10.6 billion and $8.8$8.0 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 dollars | June 30,
2020 | December 31, 2019 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 950 | | $ | 1,254 | |
| Aggregate fair value in excess of (less than) unpaid principal balance | 48 | | (31) | |
| Balance of non-accrual loans or loans more than 90 days past due | — | | 1 | |
| Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | — | | — | |
|
| | | | | | |
| In millions of dollars | September 30,
2017 | December 31, 2016 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 448 |
| $ | 915 |
|
| Aggregate fair value in excess of unpaid principal balance | 15 |
| 8 |
|
| Balance of non-accrual loans or loans more than 90 days past due | — |
| — |
|
| Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | — |
| — |
|
The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the ninesix months ended SeptemberJune 30, 20172020 and 20162019 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 dollars | September 30, 2017 | December 31, 2016 | In billions of dollars | June 30, 2020 | December 31, 2019 |
| Interest rate linked | $ | 13.1 |
| $ | 10.6 |
| Interest rate linked | $ | 21.9 | | $ | 22.9 | |
| Foreign exchange linked | 0.3 |
| 0.2 |
| Foreign exchange linked | 0.9 | | 0.9 | |
| Equity linked | 11.9 |
| 12.3 |
| Equity linked | 24.0 | | 21.7 | |
| Commodity linked | 1.2 |
| 0.3 |
| Commodity linked | 1.7 | | 1.8 | |
| Credit linked | 2.3 |
| 0.9 |
| Credit linked | 2.4 | | 2.4 | |
| Total | $ | 28.8 |
| $ | 24.3 |
| Total | $ | 50.9 | | $ | 49.7 | |
Prior to 2016, the total change in the fair value of these structured liabilities was reported in Principal transactions in the Company’s Consolidated Statement of Income. Beginning in the first quarter of 2016, theThe portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value will continue to beare reported in Principal transactions. Changes in the fair value of these structured liabilities include accrued interest, which is also included in the change in fair value reported in Principal transactions.
Certain Non-Structured Liabilities
The Company has elected the fair value option for certain non-structured liabilities with fixed and floating interest rates. The Company has elected the fair value option where the interest 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 beare 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 dollars | September 30, 2017 | December 31, 2016 | In millions of dollars | June 30, 2020 | December 31, 2019 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 30,826 |
| $ | 26,254 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 61,971 | | $ | 55,783 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | 12 |
| (128 | ) | Aggregate unpaid principal balance in excess of (less than) fair value | (980) | | (2,967) | |
The following table provides information about short-term borrowings carried at fair value:
| | | | | | | | |
| In millions of dollars | June 30, 2020 | December 31, 2019 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 6,646 | | $ | 4,946 | |
| Aggregate unpaid principal balance in excess of (less than) fair value | 119 | | 1,411 | |
|
| | | | | | |
| In millions of dollars | September 30, 2017 | December 31, 2016 |
| Carrying amount reported on the Consolidated Balance Sheet | $ | 4,827 |
| $ | 2,700 |
|
| Aggregate unpaid principal balance in excess of (less than) fair value | 21 |
| (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 20162019 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at SeptemberJune 30, 20172020 and December 31, 2016:
2019:
| | | | | | | | | | | | | | |
| | Maximum potential amount of future payments | | | |
| In billions of dollars at June 30, 2020 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 23.9 | | $ | 65.7 | | $ | 89.6 | | $ | 2,009 | |
| Performance guarantees | 6.3 | | 5.8 | | 12.1 | | 142 | |
| Derivative instruments considered to be guarantees | 13.0 | | 56.0 | | 69.0 | | 1,452 | |
| Loans sold with recourse | — | | 1.2 | | 1.2 | | 6 | |
Securities lending indemnifications(1) | 99.7 | | — | | 99.7 | | — | |
Credit card merchant processing(1)(2) | 82.4 | | — | | 82.4 | | — | |
| Credit card arrangements with partners | 0.2 | | 0.4 | | 0.6 | | 7 | |
| Custody indemnifications and other | — | | 31.7 | | 31.7 | | 40 | |
| Total | $ | 225.5 | | $ | 160.8 | | $ | 386.3 | | $ | 3,656 | |
| | | | | | | | | | | | | | |
| | Maximum potential amount of future payments | | | |
| In billions of dollars at December 31, 2019 | Expire within
1 year | Expire after
1 year | Total amount
outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 31.9 | | $ | 62.4 | | $ | 94.3 | | $ | 581 | |
| Performance guarantees | 6.9 | | 5.5 | | 12.4 | | 36 | |
| Derivative instruments considered to be guarantees | 35.2 | | 60.8 | | 96.0 | | 474 | |
| Loans sold with recourse | — | | 1.2 | | 1.2 | | 7 | |
Securities lending indemnifications(1) | 87.8 | | — | | 87.8 | | — | |
Credit card merchant processing(1)(2) | 91.6 | | — | | 91.6 | | — | |
| Credit card arrangements with partners | 0.2 | | 0.4 | | 0.6 | | 23 | |
| Custody indemnifications and other | — | | 33.7 | | 33.7 | | 41 | |
| Total | $ | 253.6 | | $ | 164.0 | | $ | 417.6 | | $ | 1,162 | |
(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 June 30, 2020 and December 31, 2019, this maximum potential exposure was estimated to be $82 billion and $92 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.
|
| | | | | | | | | | | | |
| | 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) |
| Financial standby letters of credit | $ | 27.0 |
| $ | 66.2 |
| $ | 93.2 |
| $ | 166 |
|
| Performance guarantees | 8.0 |
| 3.0 |
| 11.0 |
| 20 |
|
| Derivative instruments considered to be guarantees | 13.8 |
| 86.7 |
| 100.5 |
| 676 |
|
| Loans sold with recourse | — |
| 0.2 |
| 0.2 |
| 9 |
|
Securities lending indemnifications(1) | 106.4 |
| — |
| 106.4 |
| — |
|
Credit card merchant processing(1)(2) | 82.6 |
| — |
| 82.6 |
| — |
|
| Credit card arrangements with partners | 0.1 |
| 1.3 |
| 1.4 |
| 205 |
|
| Custody indemnifications and other | — |
| 54.6 |
| 54.6 |
| 59 |
|
| Total | $ | 237.9 |
| $ | 212.0 |
| $ | 449.9 |
| $ | 1,135 |
|
|
| | | | | | | | | | | | |
| | Maximum potential amount of future payments | |
| In billions of dollars at December 31, 2016 except carrying value in millions | Expire within 1 year | Expire after 1 year | Total amount outstanding | Carrying value (in millions of dollars) |
| Financial standby letters of credit | $ | 26.0 |
| $ | 67.1 |
| $ | 93.1 |
| $ | 141 |
|
| Performance guarantees | 7.5 |
| 3.6 |
| 11.1 |
| 19 |
|
| Derivative instruments considered to be guarantees | 7.2 |
| 80.0 |
| 87.2 |
| 747 |
|
| Loans sold with recourse | — |
| 0.2 |
| 0.2 |
| 12 |
|
Securities lending indemnifications(1) | 80.3 |
| — |
| 80.3 |
| — |
|
Credit card merchant processing(1)(2) | 86.4 |
| — |
| 86.4 |
| — |
|
| Credit card arrangements with partners | — |
| 1.5 |
| 1.5 |
| 206 |
|
| Custody indemnifications and other | — |
| 45.4 |
| 45.4 |
| 58 |
|
| Total | $ | 207.4 |
| $ | 197.8 |
| $ | 405.2 |
| $ | 1,183 |
|
| |
(1) | The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal. |
| |
(2) | At September 30, 2017 and December 31, 2016, this maximum potential exposure was estimated to be $83 billion and $86 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants. |
Loans 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) agencies and, to a lesser extent, private investors.
The repurchase reserve was approximately $72$32 million and
$107 $37 million at SeptemberJune 30, 20172020 and December 31, 2016,
2019, 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, 20172020 and December 31, 2016,2019, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were
immaterial.
Value-Transfer Networks (Including Exchanges and Clearing Houses) (VTNs)
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 limitedcertain narrow cases, to the obligation may be unlimited.full pro rata
share. The maximum exposure cannot be estimatedis difficult to estimate as
this would require an assessment of future claims that have
not yet occurred.occurred; however, Citi believes the risk of loss is remote
given historical experience with the VTNs. Accordingly,
Citi’s participation in VTNs is not reported in the guarantees
tables above, and there are no amounts reflected on the
Consolidated Balance Sheet as of SeptemberJune 30, 20172020 or
December 31, 20162019 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 GE’s 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 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 its insolvency or the failure of UFLIC to perform under its reinsurance contract or GE to perform under the capital maintenance agreement, and (ii) the assets inof the two trusts2 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 no0 liability reflected inon the Consolidated Balance Sheet as of SeptemberJune 30, 20172020 and December 31, 20162019 related to this indemnification. However, if both events become reasonably possible (meaning more than remote but less than probable), Citi will be required to estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate could be made. In addition, if both events become probable, Citi will be required to accrue for such liability in accordance with applicable accounting principles.
Citi continues to closely monitor its potential exposure under this indemnification obligation.obligation, given GE’s 2018 LTC and other charges and the September 2019 AM Best credit ratings downgrade for the Genworth subsidiaries.
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$17.5 billion and $9.4$13.3 billion as of SeptemberJune 30, 20172020 and December 31, 2016,2019, 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, 20172020 and December 31, 2016,2019, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $1.1$3.7 billion and $1.2 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.
Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $65$50.0 billion and $48$46.7 billion at SeptemberJune 30, 20172020 and December 31, 2016,2019, respectively. Securities and other marketable assets held as collateral amounted to $53$67.3 billion and $41$58.6 billion at SeptemberJune 30, 20172020 and December 31, 2016,2019, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally,In addition, letters of credit in favor of Citi held as collateral amounted to $5.4$3.8 billion and $4.4 billion at both SeptemberJune 30, 20172020 and December 31, 2016.2019, 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 uponon 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 | |
| | Maximum potential amount of future payments | |
| In billions of dollars at September 30, 2017 | Investment grade | Non-investment grade | Not rated | Total | |
| In billions of dollars at June 30, 2020 | | In billions of dollars at June 30, 2020 | Investment
grade | Non-investment
grade | Not
rated | Total |
| Financial standby letters of credit | $ | 65.9 |
| $ | 13.2 |
| $ | 14.1 |
| $ | 93.2 |
| Financial standby letters of credit | $ | 58.9 | | $ | 15.2 | | $ | 15.5 | | $ | 89.6 | |
| Performance guarantees | 7.2 |
| 3.0 |
| 0.8 |
| 11.0 |
| Performance guarantees | 8.9 | | 2.7 | | 0.5 | | 12.1 | |
| Derivative instruments deemed to be guarantees | — |
| — |
| 100.5 |
| 100.5 |
| Derivative instruments deemed to be guarantees | — | | — | | 69.0 | | 69.0 | |
| Loans sold with recourse | — |
| — |
| 0.2 |
| 0.2 |
| Loans sold with recourse | — | | — | | 1.2 | | 1.2 | |
| Securities lending indemnifications | — |
| — |
| 106.4 |
| 106.4 |
| Securities lending indemnifications | — | | — | | 99.7 | | 99.7 | |
| Credit card merchant processing | — |
| — |
| 82.6 |
| 82.6 |
| Credit card merchant processing | — | | — | | 82.4 | | 82.4 | |
| Credit card arrangements with partners | — |
| — |
| 1.4 |
| 1.4 |
| Credit card arrangements with partners | — | | — | | 0.6 | | 0.6 | |
| Custody indemnifications and other | 54.3 |
| 0.3 |
| — |
| 54.6 |
| Custody indemnifications and other | 19.3 | | 12.4 | | — | | 31.7 | |
| Total | $ | 127.4 |
| $ | 16.5 |
| $ | 306.0 |
| $ | 449.9 |
| Total | $ | 87.1 | | $ | 30.3 | | $ | 268.9 | | $ | 386.3 | |
| | | | | | | | | | | | | | |
| | Maximum potential amount of future payments | | | |
| In billions of dollars at December 31, 2019 | Investment
grade | Non-investment
grade | Not
rated | Total |
| Financial standby letters of credit | $ | 66.4 | | $ | 12.5 | | $ | 15.4 | | $ | 94.3 | |
| Performance guarantees | 9.7 | | 2.3 | | 0.4 | | 12.4 | |
| Derivative instruments deemed to be guarantees | — | | — | | 96.0 | | 96.0 | |
| Loans sold with recourse | — | | — | | 1.2 | | 1.2 | |
| Securities lending indemnifications | — | | — | | 87.8 | | 87.8 | |
| Credit card merchant processing | — | | — | | 91.6 | | 91.6 | |
| Credit card arrangements with partners | — | | — | | 0.6 | | 0.6 | |
| Custody indemnifications and other | 21.3 | | 12.4 | | — | | 33.7 | |
| Total | $ | 97.4 | | $ | 27.2 | | $ | 293.0 | | $ | 417.6 | |
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, 2020. The operating lease ROU asset and lease liability were $2.9 billion and $3.2 billion, respectively, as of June 30, 2020, compared to an operating lease ROU asset of $3.1 billion and lease liability of $3.3 billion as of December 31, 2019. The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. In addition, variable lease costs are recognized in the period in which the obligation for those payments is incurred.
|
| | | | | | | | | | | | |
| | 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 guarantees | 6.3 |
| 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 other | 45.3 |
| 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 dollars | U.S. | Outside of U.S. | September 30,
2017 | December 31, 2016 | In millions of dollars | U.S. | Outside of
U.S. | June 30,
2020 | December 31,
2019 |
| Commercial and similar letters of credit | $ | 756 |
| $ | 4,297 |
| $ | 5,053 |
| $ | 5,736 |
| Commercial and similar letters of credit | $ | 582 | | $ | 3,421 | | $ | 4,003 | | $ | 4,533 | |
| One- to four-family residential mortgages | 1,352 |
| 1,831 |
| 3,183 |
| 2,838 |
| One- to four-family residential mortgages | 2,948 | | 2,322 | | 5,270 | | 3,721 | |
| Revolving open-end loans secured by one- to four-family residential properties | 11,137 |
| 1,508 |
| 12,645 |
| 13,405 |
| Revolving open-end loans secured by one- to four-family residential properties | 9,129 | | 1,280 | | 10,409 | | 10,799 | |
| Commercial real estate, construction and land development | 9,166 |
| 1,973 |
| 11,139 |
| 10,781 |
| Commercial real estate, construction and land development | 10,617 | | 1,775 | | 12,392 | | 12,981 | |
| Credit card lines | 579,285 |
| 100,624 |
| 679,909 |
| 664,335 |
| Credit card lines | 616,582 | | 97,869 | | 714,451 | | 708,023 | |
| Commercial and other consumer loan commitments | 167,736 |
| 95,939 |
| 263,675 |
| 259,934 |
| Commercial and other consumer loan commitments | 198,358 | | 108,022 | | 306,380 | | 324,359 | |
| Other commitments and contingencies | 2,115 |
| 1,325 |
| 3,440 |
| 3,202 |
| Other commitments and contingencies | 1,881 | | 796 | | 2,677 | | 1,948 | |
| Total | $ | 771,547 |
| $ | 207,497 |
| $ | 979,044 |
| $ | 960,231 |
| Total | $ | 840,097 | | $ | 215,485 | | $ | 1,055,582 | | $ | 1,066,364 | |
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 commitmentsCommitments and contingenciesContingencies
Other commitments and contingencies include all other transactions related to commitments and contingencies not reported on the lines above.
Unsettled reverse repurchaseReverse Repurchase and securities lending agreementsSecurities Borrowing Agreements and unsettled repurchaseUnsettled Repurchase and securities borrowing agreementsSecurities Lending 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, 2017,2020 and December 31, 2016,2019, Citigroup had $44.8approximately $63.0 billion and $43.1$34.0 billion of unsettled reverse repurchase and securities borrowing agreements, respectively, and $23.9approximately $72.5 billion and $14.9$38.7 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 dollars | June 30,
2020 | December 31,
2019 |
| Cash and due from banks | $ | 2,789 | | $ | 3,758 | |
| Deposits with banks, net of allowance | 11,468 | | 26,493 | |
| Total | $ | 14,257 | | $ | 30,251 | |
In response to the COVID-19 pandemic, the Federal Reserve Bank and certain other central banks eased regulations related to minimum required cash deposited with central banks. This resulted in a decrease in Citigroup’s restricted cash amount at June 30, 2020.
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 20172020 Form 10-Q and Note 27 to the Consolidated Financial Statements of Citigroup’s 2016in Citi’s 2019 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 or in Note 27 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K, 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, 2017,2020, 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'sCitigroup’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'sCitigroup’s accounting and disclosure framework for contingencies, including for any litigation, regulatory, and regulatorytax matters disclosed herein, see Note 27 to the Consolidated Financial Statements of Citigroup’s 2016in Citi’s 2019 Annual Report on Form 10-K.
Credit Crisis-RelatedCorporate Bonds Antitrust Litigation
On April 21, 2020, a complaint was filed against Citigroup, CGMI, and Other Matters
Mortgage-Related Litigation and Other Matters
Mortgage-Backed Securities Trustee Actions:On July 28, 2017, Citibank filed an appeal withother defendants in the United States District Court for the Southern District of New York, State Supreme Court Appellate Division, First Department, appealingasserting that defendants violated federal antitrust law by unreasonably restraining the portionstrade of odd-lots of corporate bonds in the June 27, 2017 New York State Supreme Court decision in FIXED INCOME SHARES: SERIES M,secondary market. The complaint seeks declaratory and injunctive relief, treble damages, pre- and post-judgment interest, and costs. The complaint is captioned LITOVICH, ET AL. v. CITIBANK, N.A. denying its motion to dismiss.BANK OF AMERICA CORPORATION, ET AL. Additional information concerning this action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.) (Ramos, J.).
Lehman Brothers Bankruptcy Proceedings
On September 29, 2017, Lehman Brothers Holdings Inc. (LBHI) filed a motion for approval of a global settlement in LEHMAN BROTHERS HOLDINGS INC. ET AL. v. CITIBANK, N.A. ET AL. As part of the global settlement, Citibank will retain $350 million from LBHI’s deposit at Citibank and return to LBHI and its affiliates all of the remaining deposited funds. In addition, LBHI will withdraw its remaining objections to the bankruptcy claims filed by Citibank and its affiliates. Additional information concerning this action is publicly available in court filings under the docket numbers 12-01044 and 08-13555 (Bankr. S.D.N.Y.) (Chapman,1:20-cv-03154 (Liman, J.).
Foreign Exchange Matters
Antitrust and Other Litigation: On August 3, 2017,May 28, 2020, in NYPL v. JPMORGAN CHASE & CO., ET AL., the court ruled that 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.) 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 CONTANTALLIANZ GLOBAL INVESTORS, 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. Additional information concerning this action is publicly available in court filings under the docket number 17 Civ. 5269 (S.D.N.Y.).
Interbank Offered Rates-Related Litigation and Other Matters
Antitrust and Other Litigation:On August 31, 2017, the court granted preliminary approval to a $130 million settlement with Citigroup and Citibank and the largest plaintiffs’ class in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION, which consists of investors who purchased over-the-counter (OTC) derivatives from USD LIBOR panel banks. On October 11, 2017, the second largest plaintiffs’ class, made up of investors who traded Eurodollar futures and options on exchanges, filed a motion for preliminary approval of settlements with certain defendants, including Citigroup and Citibank. 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, in FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD ET AL. v. CITIBANK, N.A. ET AL., the court granted in part theand denied in part defendants’ motion to dismiss. The court dismissed all claims against foreign bank defendants, antitrust claims asserted by one of the two named plaintiffs, and all RICO, implied covenant, and unjust enrichment claims. The court allowed one antitrust claim to proceed against the U.S. bank defendants, including Citigroup and Citibank. Plaintiffs filed an amended complaint on September 18, 2017. On October 18, 2017, defendants filed a motion to dismiss the amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 5263 (S.D.N.Y.) (Hellerstein, J.).
Sovereign Securities Matters
Antitrust and Other Litigation: In IN RE TREASURY SECURITIES AUCTION ANTITRUST LITIGATION, pursuant to a court-ordered stipulation, plaintiffs will file a consolidated amended complaint by November 15, 2017. Additional information concerning this action is publicly available in court filings under the docket number 15 MD 2673 (S.D.N.Y.) (Gardephe, J.).
On October 6, 2017, plaintiffs in IN RE SSA BONDS ANTITRUST LITIGATION filed a motion for leave to amend their complaint, along with a proposed second amended complaint. 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 April 30, 2020, in NYPL v. JPMORGAN CHASE & CO., ET AL., plaintiffs filed a motion for class certification. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On April 30, 2020, in J WISBEY & ASSOCIATES PTY LTD v. UBS AG & ORS, plaintiffs filed an application to amend their pleadings. Additional information concerning this action is publicly available in court filings under the docket number VID567/2019.
Interbank Offered Rates–Related Litigation and Other Matters
Antitrust and Other Litigation: On April 24, 2020, in IN RE ICE LIBOR ANTITRUST LITIGATION, plaintiffs filed a notice of appeal with the United States Court of Appeals for the Second Circuit from the district court’s grant of defendants’ motion to dismiss the consolidated class action complaint. Additional information concerning these actions is publicly available in court filings under the docket numbers 19 Civ. 439 (S.D.N.Y.) (Daniels, J.) and 20-1492 (2d Cir.).
Sovereign Securities Matters
Antitrust and Other Litigation: On June 16, 2020, in IN RE GSE BONDS ANTITRUST LITIGATION, the court granted final approval of a settlement with CGMI and 11 other defendants. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 037111704 (S.D.N.Y.) (Rakoff, J.).
On June 1, 2020, in IN RE SSA BONDS ANTITRUST LITIGATION, plaintiffs filed a notice of appeal with the United States Court of Appeals for the Second Circuit from the district court’s grant of defendants’ motion to dismiss the second amended consolidated class action complaint related to the supranational, subsovereign, and agency (SSA) bond market. Additional information concerning these actions is publicly available in court filings under the docket numbers 16-cv-03711 (S.D.N.Y.) (Ramos, J.) and 20-1759 (2d Cir.).
On June 25, 2020, in STACHON v. BANK OF AMERICA, N.A., ET AL., plaintiff voluntarily dismissed the action without prejudice in light of the dismissal of the IN RE SSA BONDS ANTITRUST LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 1205 (S.D.N.Y.) (Swain, 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, 20172020 and 2016,2019, Condensed Consolidating Balance Sheet as of SeptemberJune 30, 20172020 and December 31, 20162019 and Condensed Consolidating Statement of Cash Flows for the ninesix months ended SeptemberJune 30, 20172020 and 20162019 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries.
These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.”
These Condensed Consolidating Financial Statements schedules are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.
Condensed Consolidating Statements of Income and Comprehensive Income |
| | | | | | | | | | | | | | | | | | | |
| | Three Months Ended September 30, 2017 |
| In millions of dollars | Citigroup 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—intercompany | 1,040 |
| | 313 |
| | (1,353 | ) | | — |
| | — |
|
| Interest expense | 1,195 |
| | 642 |
| | 2,542 |
| | — |
| | 4,379 |
|
| Interest expense—intercompany | 240 |
| | 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 transactions | 610 |
| | 688 |
| | 872 |
| | — |
| | 2,170 |
|
| Principal transactions—intercompany | 168 |
| | (249 | ) | | 81 |
| | — |
| | — |
|
| Other income | (860 | ) | | 649 |
| | 1,841 |
| | — |
| | 1,630 |
|
| Other income—intercompany | 33 |
| | (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—intercompany | 46 |
| | — |
| | (46 | ) | | — |
| | — |
|
| Other operating | (17 | ) | | 457 |
| | 4,427 |
| | — |
| | 4,867 |
|
| Other operating—intercompany | 8 |
| | 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 June 30, 2020 | | | | | | | | |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Revenues | | | | | | | | | |
| Dividends from subsidiaries | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Interest revenue | — | | | 1,309 | | | 13,280 | | | — | | | 14,589 | |
| Interest revenue—intercompany | 1,067 | | | 282 | | | (1,349) | | | — | | | — | |
| Interest expense | 1,265 | | | 380 | | | 1,864 | | | — | | | 3,509 | |
| Interest expense—intercompany | 142 | | | 621 | | | (763) | | | — | | | — | |
| Net interest revenue | $ | (340) | | | $ | 590 | | | $ | 10,830 | | | $ | — | | | $ | 11,080 | |
| Commissions and fees | $ | — | | | $ | 1,771 | | | $ | 1,162 | | | $ | — | | | $ | 2,933 | |
| Commissions and fees—intercompany | — | | | 73 | | | (73) | | | — | | | — | |
| Principal transactions | (258) | | | (2,993) | | | 7,408 | | | — | | | 4,157 | |
| Principal transactions—intercompany | 62 | | | 4,890 | | | (4,952) | | | — | | | — | |
| Other income | (14) | | | 211 | | | 1,399 | | | — | | | 1,596 | |
| Other income—intercompany | 8 | | | 13 | | | (21) | | | — | | | — | |
| Total non-interest revenues | $ | (202) | | | $ | 3,965 | | | $ | 4,923 | | | $ | — | | | $ | 8,686 | |
| Total revenues, net of interest expense | $ | (542) | | | $ | 4,555 | | | $ | 15,753 | | | $ | — | | | $ | 19,766 | |
| Provisions for credit losses and for benefits and claims | $ | — | | | $ | 1 | | | $ | 7,902 | | | $ | — | | | $ | 7,903 | |
| Operating expenses | | | | | | | | | |
| Compensation and benefits | $ | 105 | | | $ | 1,345 | | | $ | 4,174 | | | $ | — | | | $ | 5,624 | |
| Compensation and benefits—intercompany | 1 | | | — | | | (1) | | | — | | | — | |
| Other operating | 9 | | | 594 | | | 4,188 | | | — | | | 4,791 | |
| Other operating—intercompany | 4 | | | 375 | | | (379) | | | — | | | — | |
| Total operating expenses | $ | 119 | | | $ | 2,314 | | | $ | 7,982 | | | $ | — | | | $ | 10,415 | |
| Equity in undistributed income of subsidiaries | $ | 2,107 | | | $ | — | | | $ | — | | | $ | (2,107) | | | $ | — | |
| Income (loss) from continuing operations before income taxes | $ | 1,446 | | | $ | 2,240 | | | $ | (131) | | | $ | (2,107) | | | $ | 1,448 | |
| Provision (benefit) for income taxes | 130 | | | 715 | | | (714) | | | — | | | 131 | |
| Income (loss) from continuing operations | $ | 1,316 | | | $ | 1,525 | | | $ | 583 | | | $ | (2,107) | | | $ | 1,317 | |
| Income (loss) from discontinued operations, net of taxes | — | | | — | | | (1) | | | — | | | (1) | |
| Net income before attribution of noncontrolling interests | $ | 1,316 | | | $ | 1,525 | | | $ | 582 | | | $ | (2,107) | | | $ | 1,316 | |
| Noncontrolling interests | — | | | — | | | — | | | — | | | — | |
| Net income (loss) | $ | 1,316 | | | $ | 1,525 | | | $ | 582 | | | $ | (2,107) | | | $ | 1,316 | |
| Comprehensive income | | | | | | | | | |
| Add: Other comprehensive income (loss) | $ | (824) | | | $ | (1,429) | | | $ | (1,223) | | | $ | 2,652 | | | $ | (824) | |
| Total Citigroup comprehensive income (loss) | $ | 492 | | | $ | 96 | | | $ | (641) | | | $ | 545 | | | $ | 492 | |
| Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | | $ | — | | | $ | 39 | | | $ | — | | | $ | 39 | |
| Add: Net income attributable to noncontrolling interests | — | | | — | | | — | | | — | | | — | |
| Total comprehensive income (loss) | $ | 492 | | | $ | 96 | | | $ | (602) | | | $ | 545 | | | $ | 531 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | Condensed Consolidating Statements of Income and Comprehensive Income | | Condensed Consolidating Statements of Income and Comprehensive Income | |
| | Three Months Ended September 30, 2016 | | Six Months Ended June 30, 2020 | |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Revenues | | | | | | | | | | Revenues | | |
| Dividends from subsidiaries | $ | 4,000 |
| | $ | — |
| | $ | — |
| | $ | (4,000 | ) | | $ | — |
| Dividends from subsidiaries | $ | 105 | | | $ | — | | | $ | — | | | $ | (105) | | | $ | — | |
| Interest revenue | 2 |
| | 1,158 |
| | 13,493 |
| | — |
| | 14,653 |
| Interest revenue | — | | | 3,212 | | | 28,516 | | | — | | | 31,728 | |
| Interest revenue—intercompany | 695 |
| | 148 |
| | (843 | ) | | — |
| | — |
| Interest revenue—intercompany | 2,211 | | | 623 | | | (2,834) | | | — | | | — | |
| Interest expense | 1,102 |
| | 345 |
| | 1,727 |
| | — |
| | 3,174 |
| Interest expense | 2,408 | | | 1,521 | | | 5,227 | | | — | | | 9,156 | |
| Interest expense—intercompany | 61 |
| | 401 |
| | (462 | ) | | — |
| | — |
| Interest expense—intercompany | 390 | | | 1,403 | | | (1,793) | | | — | | | — | |
| Net interest revenue | $ | (466 | ) | | $ | 560 |
| | $ | 11,385 |
| | $ | — |
| | $ | 11,479 |
| Net interest revenue | $ | (587) | | | $ | 911 | | | $ | 22,248 | | | $ | — | | | $ | 22,572 | |
| Commissions and fees | $ | — |
| | $ | 1,062 |
| | $ | 1,582 |
| | $ | — |
| | $ | 2,644 |
| Commissions and fees | $ | — | | | $ | 3,321 | | | $ | 2,633 | | | $ | — | | | $ | 5,954 | |
| Commissions and fees—intercompany | — |
| | 63 |
| | (63 | ) | | — |
| | — |
| Commissions and fees—intercompany | (19) | | | 237 | | | (218) | | | — | | | — | |
| Principal transactions | (1,103 | ) | | 1,600 |
| | 1,741 |
| | — |
| | 2,238 |
| Principal transactions | (930) | | | 3,261 | | | 7,087 | | | — | | | 9,418 | |
| Principal transactions—intercompany | 977 |
| | (470 | ) | | (507 | ) | | — |
| | — |
| Principal transactions—intercompany | 564 | | | 499 | | | (1,063) | | | — | | | — | |
| Other income | 482 |
| | 51 |
| | 866 |
| | — |
| | 1,399 |
| Other income | 66 | | | 260 | | | 2,227 | | | — | | | 2,553 | |
| Other income—intercompany | (501 | ) | | 51 |
| | 450 |
| | — |
| | — |
| Other income—intercompany | (62) | | | 26 | | | 36 | | | — | | | — | |
| Total non-interest revenues | $ | (145 | ) | | $ | 2,357 |
| | $ | 4,069 |
| | $ | — |
| | $ | 6,281 |
| Total non-interest revenues | $ | (381) | | | $ | 7,604 | | | $ | 10,702 | | | $ | — | | | $ | 17,925 | |
| Total revenues, net of interest expense | $ | 3,389 |
| | $ | 2,917 |
| | $ | 15,454 |
| | $ | (4,000 | ) | | $ | 17,760 |
| Total revenues, net of interest expense | $ | (863) | | | $ | 8,515 | | | $ | 32,950 | | | $ | (105) | | | $ | 40,497 | |
| Provisions for credit losses and for benefits and claims | $ | — |
| | $ | — |
| | $ | 1,736 |
| | $ | — |
| | $ | 1,736 |
| Provisions for credit losses and for benefits and claims | $ | — | | | $ | — | | | $ | 14,930 | | | $ | — | | | $ | 14,930 | |
| Operating expenses |
| |
| |
| |
| |
| Operating expenses | | | | |
| Compensation and benefits | $ | 26 |
| | $ | 1,150 |
| | $ | 4,027 |
| | $ | — |
| | $ | 5,203 |
| Compensation and benefits | $ | 133 | | | $ | 2,641 | | | $ | 8,504 | | | $ | — | | | $ | 11,278 | |
| Compensation and benefits—intercompany | 8 |
| | — |
| | (8 | ) | | — |
| | — |
| Compensation and benefits—intercompany | 75 | | | — | | | (75) | | | — | | | — | |
| Other operating | (103 | ) | | 444 |
| | 4,860 |
| | — |
| | 5,201 |
| Other operating | 32 | | | 1,192 | | | 8,507 | | | — | | | 9,731 | |
| Other operating—intercompany | 133 |
| | 379 |
| | (512 | ) | | — |
| | — |
| Other operating—intercompany | 8 | | | 857 | | | (865) | | | — | | | — | |
| Total operating expenses | $ | 64 |
| | $ | 1,973 |
| | $ | 8,367 |
| | $ | — |
| | $ | 10,404 |
| Total operating expenses | $ | 248 | | | $ | 4,690 | | | $ | 16,071 | | | $ | — | | | $ | 21,009 | |
| Equity in undistributed income of subsidiaries | $ | 120 |
| | $ | — |
| | $ | — |
| | $ | (120 | ) | | $ | — |
| Equity in undistributed income of subsidiaries | $ | 4,475 | | | $ | — | | | $ | — | | | $ | (4,475) | | | $ | — | |
Income (loss) from continuing operations before income taxes | $ | 3,445 |
| | $ | 944 |
| | $ | 5,351 |
| | $ | (4,120 | ) | | $ | 5,620 |
| Income (loss) from continuing operations before income taxes | $ | 3,364 | | | $ | 3,825 | | | $ | 1,949 | | | $ | (4,580) | | | $ | 4,558 | |
| Provision (benefit) for income taxes | (395 | ) | | 345 |
| | 1,783 |
| | — |
| | 1,733 |
| Provision (benefit) for income taxes | (474) | | | 1,052 | | | 129 | | | — | | | 707 | |
| Income (loss) from continuing operations | $ | 3,840 |
| | $ | 599 |
| | $ | 3,568 |
| | $ | (4,120 | ) | | $ | 3,887 |
| Income (loss) from continuing operations | $ | 3,838 | | | $ | 2,773 | | | $ | 1,820 | | | $ | (4,580) | | | $ | 3,851 | |
| Loss from discontinued operations, net of taxes | — |
| | — |
| | (30 | ) | | — |
| | (30 | ) | |
| Net income (loss) before attribution of noncontrolling interests | $ | 3,840 |
| | $ | 599 |
| | $ | 3,538 |
| | $ | (4,120 | ) | | $ | 3,857 |
| |
| Income (loss) from discontinued operations, net of taxes | | Income (loss) from discontinued operations, net of taxes | — | | | — | | | (19) | | | — | | | (19) | |
| Net income before attribution of noncontrolling interests | | Net income before attribution of noncontrolling interests | $ | 3,838 | | | $ | 2,773 | | | $ | 1,801 | | | $ | (4,580) | | | $ | 3,832 | |
| Noncontrolling interests | — |
| | (9 | ) | | 26 |
| | — |
| | 17 |
| Noncontrolling interests | — | | | — | | | (6) | | | — | | | (6) | |
| Net income (loss) | $ | 3,840 |
| | $ | 608 |
| | $ | 3,512 |
| | $ | (4,120 | ) | | $ | 3,840 |
| Net income (loss) | $ | 3,838 | | | $ | 2,773 | | | $ | 1,807 | | | $ | (4,580) | | | $ | 3,838 | |
| Comprehensive income |
|
| |
|
| |
|
| |
|
| |
|
| Comprehensive income | | |
| Add: Other comprehensive income (loss) | $ | (1,078 | ) | | $ | (133 | ) | | $ | (1,003 | ) | | $ | 1,136 |
| | $ | (1,078 | ) | Add: Other comprehensive income (loss) | $ | 2,973 | | | $ | 328 | | | $ | 12,236 | | | $ | (12,564) | | | $ | 2,973 | |
| Total Citigroup comprehensive income (loss) | $ | 2,762 |
|
| $ | 475 |
|
|
| $ | 2,509 |
| | $ | (2,984 | ) | | $ | 2,762 |
| Total Citigroup comprehensive income (loss) | $ | 6,811 | | | $ | 3,101 | | | $ | 14,043 | | | $ | (17,144) | | | $ | 6,811 | |
| Add: Other comprehensive income attributable to noncontrolling interests | $ | — |
| | $ | — |
| — |
| $ | 10 |
| | $ | — |
| | $ | 10 |
| Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | | $ | — | | | $ | (12) | | | $ | — | | | $ | (12) | |
| Add: Net income attributable to noncontrolling interests | — |
| | (9 | ) |
|
| 26 |
| | — |
| | 17 |
| Add: Net income attributable to noncontrolling interests | — | | | — | | | (6) | | | — | | | (6) | |
| Total comprehensive income (loss) | $ | 2,762 |
|
| $ | 466 |
|
|
| $ | 2,545 |
| | $ | (2,984 | ) | | $ | 2,789 |
| Total comprehensive income (loss) | $ | 6,811 | | | $ | 3,101 | | | $ | 14,025 | | | $ | (17,144) | | | $ | 6,793 | |
| |
Condensed Consolidating Statements of Income and Comprehensive Income
|
| | | | | | | | | | | | | | | | | | | |
| | Nine Months Ended September 30, 2017 |
| In millions of dollars | Citigroup 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—intercompany | 2,909 |
| | 847 |
| | (3,756 | ) | | — |
| | — |
|
| Interest expense | 3,549 |
| | 1,584 |
| | 6,848 |
| | — |
| | 11,981 |
|
| Interest expense—intercompany | 593 |
| | 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 transactions | 1,569 |
| | 2,692 |
| | 3,493 |
| | — |
| | 7,754 |
|
| Principal transactions—intercompany | 768 |
| | (641 | ) | | (127 | ) | | — |
| | — |
|
| Other income | (2,500 | ) | | 810 |
| | 6,039 |
| | — |
| | 4,349 |
|
| Other income—intercompany | 71 |
| | 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—intercompany | 97 |
| | — |
| | (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
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended June 30, 2019 | | | | | | | | |
| In millions of dollars | Citigroup 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—intercompany | 1,327 | | | 518 | | | (1,845) | | | — | | | — | |
| Interest expense | 1,278 | | | 1,911 | | | 4,573 | | | — | | | 7,762 | |
| Interest expense—intercompany | 202 | | | 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—intercompany | 791 | | | (675) | | | (116) | | | — | | | — | |
| Other income | (368) | | | 498 | | | 1,923 | | | — | | | 2,053 | |
| Other income—intercompany | 9 | | | 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—intercompany | 17 | | | — | | | (17) | | | — | | | — | |
| Other operating | 9 | | | 540 | | | 4,570 | | | — | | | 5,119 | |
| Other operating—intercompany | 5 | | | 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 (loss) from discontinued operations, net of taxes | — | | | — | | | 17 | | | — | | | 17 | |
| Net income (loss) 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 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | Condensed Consolidating Statements of Income and Comprehensive Income | | Condensed Consolidating Statements of Income and Comprehensive Income | |
| | Nine Months Ended September 30, 2016 | | Six Months Ended June 30, 2019 | |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Revenues | | | | | | | | | | Revenues | | |
| Dividends from subsidiaries | $ | 9,700 |
| | $ | — |
| | $ | — |
| | $ | (9,700 | ) | | $ | — |
| Dividends from subsidiaries | $ | 14,216 | | | $ | — | | | $ | — | | | $ | (14,216) | | | $ | — | |
| Interest revenue | 5 |
| | 3,555 |
| | 39,616 |
| | — |
| | 43,176 |
| Interest revenue | — | | | 5,756 | | | 33,032 | | | — | | | 38,788 | |
| Interest revenue—intercompany | 2,235 |
| | 423 |
| | (2,658 | ) | | — |
| | — |
| Interest revenue—intercompany | 2,652 | | | 1,021 | | | (3,673) | | | — | | | — | |
| Interest expense | 3,266 |
| | 1,110 |
| | 4,858 |
| | — |
| | 9,234 |
| Interest expense | 2,549 | | | 3,735 | | | 8,795 | | | — | | | 15,079 | |
| Interest expense—intercompany | 140 |
| | 1,246 |
| | (1,386 | ) | | — |
| | — |
| Interest expense—intercompany | 514 | | | 2,227 | | | (2,741) | | | — | | | — | |
| Net interest revenue | $ | (1,166 | ) | | $ | 1,622 |
| | $ | 33,486 |
| | $ | — |
| | $ | 33,942 |
| Net interest revenue | $ | (411) | | | $ | 815 | | | $ | 23,305 | | | $ | — | | | $ | 23,709 | |
| Commissions and fees | $ | — |
| | $ | 3,141 |
| | $ | 4,691 |
| | $ | — |
| | $ | 7,832 |
| Commissions and fees | $ | — | | | $ | 2,616 | | | $ | 3,191 | | | $ | — | | | $ | 5,807 | |
| Commissions and fees—intercompany | (19 | ) | | 33 |
| | (14 | ) | | — |
| | — |
| Commissions and fees—intercompany | (1) | | | 215 | | | (214) | | | — | | | — | |
| Principal transactions | (1,498 | ) | | 3,857 |
| | 3,535 |
| | — |
| | 5,894 |
| Principal transactions | (1,390) | | | 108 | | | 5,960 | | | — | | | 4,678 | |
| Principal transactions—intercompany | 1,018 |
| | (1,513 | ) | | 495 |
| | — |
| | — |
| Principal transactions—intercompany | 1,238 | | | 1,361 | | | (2,599) | | | — | | | — | |
| Other income | (3,197 | ) | | 178 |
| | 8,214 |
| | — |
| | 5,195 |
| Other income | (49) | | | 597 | | | 2,592 | | | — | | | 3,140 | |
| Other income—intercompany | 3,495 |
| | 250 |
| | (3,745 | ) | | — |
| | — |
| Other income—intercompany | (25) | | | 56 | | | (31) | | | — | | | — | |
| Total non-interest revenues | $ | (201 | ) | | $ | 5,946 |
| | $ | 13,176 |
| | $ | — |
| | $ | 18,921 |
| Total non-interest revenues | $ | (227) | | | $ | 4,953 | | | $ | 8,899 | | | $ | — | | | $ | 13,625 | |
| Total revenues, net of interest expense | $ | 8,333 |
| | $ | 7,568 |
| | $ | 46,662 |
| | $ | (9,700 | ) | | $ | 52,863 |
| Total revenues, net of interest expense | $ | 13,578 | | | $ | 5,768 | | | $ | 32,204 | | | $ | (14,216) | | | $ | 37,334 | |
| Provisions for credit losses and for benefits and claims | $ | — |
| | $ | — |
| | $ | 5,190 |
| | $ | — |
| | $ | 5,190 |
| Provisions for credit losses and for benefits and claims | $ | — | | | $ | — | | | $ | 4,073 | | | $ | — | | | $ | 4,073 | |
| Operating expenses |
| |
| |
| |
| |
| Operating expenses | | |
| Compensation and benefits | $ | 18 |
| | $ | 3,641 |
| | $ | 12,329 |
| | $ | — |
| | $ | 15,988 |
| Compensation and benefits | $ | 37 | | | $ | 2,450 | | | $ | 8,552 | | | $ | — | | | $ | 11,039 | |
| Compensation and benefits—intercompany | 34 |
| | — |
| | (34 | ) | | — |
| | — |
| Compensation and benefits—intercompany | 43 | | | — | | | (43) | | | — | | | — | |
| Other operating | 377 |
| | 1,242 |
| | 13,689 |
| | — |
| | 15,308 |
| Other operating | 14 | | | 1,093 | | | 8,938 | | | — | | | 10,045 | |
| Other operating—intercompany | 213 |
| | 1,008 |
| | (1,221 | ) | | — |
| | — |
| Other operating—intercompany | 10 | | | 1,164 | | | (1,174) | | | — | | | — | |
| Total operating expenses | $ | 642 |
| | $ | 5,891 |
| | $ | 24,763 |
| | $ | — |
| | $ | 31,296 |
| Total operating expenses | $ | 104 | | | $ | 4,707 | | | $ | 16,273 | | | $ | — | | | $ | 21,084 | |
| Equity in undistributed income of subsidiaries | $ | 2,773 |
| | $ | — |
| | $ | — |
| | $ | (2,773 | ) | | $ | — |
| Equity in undistributed income of subsidiaries | $ | (4,349) | | | $ | — | | | $ | — | | | $ | 4,349 | | | $ | — | |
| Income (loss) from continuing operations before income taxes | $ | 10,464 |
| | $ | 1,677 |
| | $ | 16,709 |
| | $ | (12,473 | ) | | $ | 16,377 |
| Income (loss) from continuing operations before income
taxes | $ | 9,125 | | | $ | 1,061 | | | $ | 11,858 | | | $ | (9,867) | | | $ | 12,177 | |
| Provision (benefit) for income taxes | (875 | ) | | 539 |
| | 5,271 |
| | — |
| | 4,935 |
| Provision (benefit) for income taxes | (384) | | | 148 | | | 2,884 | | | — | | | 2,648 | |
| Income (loss) from continuing operations | $ | 11,339 |
| | $ | 1,138 |
| | $ | 11,438 |
| | $ | (12,473 | ) | | $ | 11,442 |
| Income (loss) from continuing operations | $ | 9,509 | | | $ | 913 | | | $ | 8,974 | | | $ | (9,867) | | | $ | 9,529 | |
| Loss from discontinued operations, net of taxes | — |
| | — |
| | (55 | ) | | — |
| | (55 | ) | |
| Income (loss) from discontinued operations, net of taxes | | Income (loss) 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 |
| Net income (loss) before attribution of noncontrolling interests | $ | 9,509 | | | $ | 913 | | | $ | 8,989 | | | $ | (9,867) | | | $ | 9,544 | |
| Noncontrolling interests | — |
| | (10 | ) | | 58 |
| | — |
| | 48 |
| Noncontrolling interests | — | | | — | | | 35 | | | — | | | 35 | |
| Net income (loss) | $ | 11,339 |
| | $ | 1,148 |
| | $ | 11,325 |
| | $ | (12,473 | ) | | $ | 11,339 |
| Net income (loss) | $ | 9,509 | | | $ | 913 | | | $ | 8,954 | | | $ | (9,867) | | | $ | 9,509 | |
| Comprehensive income |
|
| |
|
| |
|
| |
|
| |
|
| Comprehensive income | | |
| Add: Other comprehensive income (loss) | $ | 2,166 |
| | $ | (28 | ) | | $ | 171 |
| | $ | (143 | ) | | $ | 2,166 |
| Add: Other comprehensive income (loss) | $ | 1,967 | | | $ | (301) | | | $ | 1,733 | | | $ | (1,432) | | | $ | 1,967 | |
| Total Citigroup comprehensive income (loss) | $ | 13,505 |
| | $ | 1,120 |
| | $ | 11,496 |
| | $ | (12,616 | ) | | $ | 13,505 |
| Total Citigroup comprehensive income (loss) | $ | 11,476 | | | $ | 612 | | | $ | 10,687 | | | $ | (11,299) | | | $ | 11,476 | |
| Add: Other comprehensive income attributable to noncontrolling interests | $ | — |
| | $ | — |
| | $ | (13 | ) | | $ | — |
| | $ | (13 | ) | Add: Other comprehensive income attributable to noncontrolling interests | $ | — | | | $ | — | | | $ | 7 | | | $ | — | | | $ | 7 | |
| Add: Net income attributable to noncontrolling interests | — |
| | (10 | ) | | 58 |
| | — |
| | 48 |
| Add: Net income attributable to noncontrolling interests | — | | | — | | | 35 | | | — | | | 35 | |
| Total comprehensive income (loss) | $ | 13,505 |
| | $ | 1,110 |
| | $ | 11,541 |
| | $ | (12,616 | ) | | $ | 13,540 |
| Total comprehensive income (loss) | $ | 11,476 | | | $ | 612 | | | $ | 10,729 | | | $ | (11,299) | | | $ | 11,518 | |
Condensed Consolidating Balance Sheet
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| June 30, 2020 | | | | | | | | |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Assets | | | | | | | | | |
| Cash and due from banks | $ | — | | | $ | 403 | | | $ | 22,486 | | | $ | — | | | $ | 22,889 | |
| Cash and due from banks—intercompany | 23 | | | 3,325 | | | (3,348) | | | — | | | — | |
| Deposits with banks, net of allowance | — | | | 4,784 | | | 282,100 | | | — | | | 286,884 | |
| Deposits with banks—intercompany | 3,000 | | | 8,145 | | | (11,145) | | | — | | | — | |
| Securities borrowed and purchased under resale agreements | — | | | 221,779 | | | 61,138 | | | — | | | 282,917 | |
| Securities borrowed and purchased under resale agreements—intercompany | — | | | 24,679 | | | (24,679) | | | — | | | — | |
| Trading account assets | 250 | | | 223,733 | | | 138,328 | | | — | | | 362,311 | |
| Trading account assets—intercompany | 261 | | | 3,786 | | | (4,047) | | | — | | | — | |
| Investments, net of allowance | 1 | | | 458 | | | 432,794 | | | — | | | 433,253 | |
| Loans, net of unearned income | — | | | 2,922 | | | 682,370 | | | — | | | 685,292 | |
| Loans, net of unearned income—intercompany | — | | | — | | | — | | | — | | | — | |
| Allowance for credit losses on loans (ACLL) | — | | | — | | | (26,420) | | | — | | | (26,420) | |
| Total loans, net | $ | — | | | $ | 2,922 | | | $ | 655,950 | | | $ | — | | | $ | 658,872 | |
| Advances to subsidiaries | $ | 151,652 | | | $ | — | | | $ | (151,652) | | | $ | — | | | $ | — | |
| Investments in subsidiaries | 205,625 | | | — | | | — | | | (205,625) | | | — | |
Other assets, net of allowance(1) | 13,299 | | | 64,181 | | | 108,109 | | | — | | | 185,589 | |
| Other assets—intercompany | 3,535 | | | 50,952 | | | (54,487) | | | — | | | — | |
| Total assets | $ | 377,646 | | | $ | 609,147 | | | $ | 1,451,547 | | | $ | (205,625) | | | $ | 2,232,715 | |
| Liabilities and equity | | | | | | | | | |
| Deposits | $ | — | | | $ | — | | | $ | 1,233,660 | | | $ | — | | | $ | 1,233,660 | |
| Deposits—intercompany | — | | | — | | | — | | | — | | | — | |
| Securities loaned and sold under repurchase agreements | — | | | 199,525 | | | 16,197 | | | — | | | 215,722 | |
| Securities loaned and sold under repurchase agreements—intercompany | — | | | 51,179 | | | (51,179) | | | — | | | — | |
| Trading account liabilities | 11 | | | 100,338 | | | 48,915 | | | — | | | 149,264 | |
| Trading account liabilities—intercompany | 141 | | | 2,745 | | | (2,886) | | | — | | | — | |
| Short-term borrowings | 25 | | | 12,170 | | | 27,961 | | | — | | | 40,156 | |
| Short-term borrowings—intercompany | — | | | 16,888 | | | (16,888) | | | — | | | — | |
| Long-term debt | 169,036 | | | 44,874 | | | 65,865 | | | — | | | 279,775 | |
| Long-term debt—intercompany | — | | | 76,880 | | | (76,880) | | | — | | | — | |
| Advances from subsidiaries | 13,678 | | | — | | | (13,678) | | | — | | | — | |
| Other liabilities, including allowance | 3,139 | | | 59,236 | | | 59,461 | | | — | | | 121,836 | |
| Other liabilities—intercompany | (6) | | | 9,530 | | | (9,524) | | | — | | | — | |
| Stockholders’ equity | 191,622 | | | 35,782 | | | 170,523 | | | (205,625) | | | 192,302 | |
| Total liabilities and equity | $ | 377,646 | | | $ | 609,147 | | | $ | 1,451,547 | | | $ | (205,625) | | | $ | 2,232,715 | |
(1)Other assets for Citigroup parent company at June 30, 2020 included $34.4 billion of placements to Citibank and its branches, of which $29.2 billion had a remaining term of less than 30 days.
|
| | | | | | | | | | | | | | | | | | | |
| | September 30, 2017 |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Assets | | | | | | | | | |
| Cash and due from banks | $ | — |
| | $ | 728 |
| | $ | 21,876 |
| | $ | — |
| | $ | 22,604 |
|
| Cash and due from banks—intercompany | 179 |
| | 3,791 |
| | (3,970 | ) | | — |
| | — |
|
| Federal funds sold and resale agreements | — |
| | 202,366 |
| | 50,242 |
| | — |
| | 252,608 |
|
| Federal funds sold and resale agreements—intercompany | — |
| | 14,980 |
| | (14,980 | ) | | — |
| | — |
|
| Trading account assets | — |
| | 137,196 |
| | 121,711 |
| | — |
| | 258,907 |
|
| Trading account assets—intercompany | 215 |
| | 1,208 |
| | (1,423 | ) | | — |
| | — |
|
| Investments | 28 |
| | 162 |
| | 354,484 |
| | — |
| | 354,674 |
|
| Loans, net of unearned income | — |
| | 1,364 |
| | 651,819 |
| | — |
| | 653,183 |
|
| Loans, net of unearned income—intercompany | — |
| | — |
| | — |
| | — |
| | — |
|
| Allowance for loan losses | — |
| | — |
| | (12,366 | ) | | — |
| | (12,366 | ) |
| Total loans, net | $ | — |
| | $ | 1,364 |
| | $ | 639,453 |
| | $ | — |
| | $ | 640,817 |
|
| Advances to subsidiaries | $ | 132,197 |
| | $ | — |
| | $ | (132,197 | ) | | $ | — |
| | $ | — |
|
| Investments in subsidiaries | 229,142 |
| | — |
| | — |
| | (229,142 | ) | | — |
|
Other assets (1) | 24,032 |
| | 58,665 |
| | 276,826 |
| | — |
| | 359,523 |
|
| Other assets—intercompany | 15,541 |
| | 49,032 |
| | (64,573 | ) | | — |
| | — |
|
| Total assets | $ | 401,334 |
| | $ | 469,492 |
| | $ | 1,247,449 |
| | $ | (229,142 | ) | | $ | 1,889,133 |
|
| Liabilities and equity |
|
| |
| |
| |
| |
|
| Deposits | $ | — |
| | $ | — |
| | $ | 964,038 |
| | $ | — |
| | $ | 964,038 |
|
| 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 | ) | | — |
| | — |
|
| Trading account liabilities | — |
| | 91,058 |
| | 47,762 |
| | — |
| | 138,820 |
|
| Trading account liabilities—intercompany | 18 |
| | 1,071 |
| | (1,089 | ) | | — |
| | — |
|
| Short-term borrowings | 246 |
| | 3,221 |
| | 34,682 |
| | — |
| | 38,149 |
|
| Short-term borrowings—intercompany | — |
| | 63,197 |
| | (63,197 | ) | | — |
| | — |
|
| Long-term debt | 151,914 |
| | 17,758 |
| | 63,001 |
| | — |
| | 232,673 |
|
| Long-term debt—intercompany | — |
| | 30,609 |
| | (30,609 | ) | | — |
| | — |
|
| Advances from subsidiaries | 17,947 |
| | — |
| | (17,947 | ) | | — |
| | — |
|
| Other liabilities | 2,790 |
| | 62,950 |
| | 59,809 |
| | — |
| | 125,549 |
|
| Other liabilities—intercompany | 785 |
| | 11,281 |
| | (12,066 | ) | | — |
| | — |
|
| Stockholders’ equity | 227,634 |
| | 33,700 |
| | 196,430 |
| | (229,142 | ) | | 228,622 |
|
| Total liabilities and equity | $ | 401,334 |
| | $ | 469,492 |
| | $ | 1,247,449 |
| | $ | (229,142 | ) | | $ | 1,889,133 |
|
| |
(1) | Other assets for Citigroup parent company at September 30, 2017 included $17.8 billion of placements to Citibank and its branches, of which $16.0 billion had a remaining term of less than 30 days.
|
Condensed Consolidating Balance Sheet
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| December 31, 2019 | | | | | | | | |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Assets | | | | | | | | | |
| Cash and due from banks | $ | — | | | $ | 586 | | | $ | 23,381 | | | $ | — | | | $ | 23,967 | |
| Cash and due from banks—intercompany | 21 | | | 5,095 | | | (5,116) | | | — | | | — | |
| Deposits with banks | — | | | 4,050 | | | 165,902 | | | — | | | 169,952 | |
| Deposits with banks—intercompany | 3,000 | | | 6,710 | | | (9,710) | | | — | | | — | |
| Securities borrowed and purchased under resale agreements | — | | | 195,537 | | | 55,785 | | | — | | | 251,322 | |
| Securities borrowed and purchased under resale agreements—intercompany | — | | | 21,446 | | | (21,446) | | | — | | | — | |
| Trading account assets | 286 | | | 152,115 | | | 123,739 | | | — | | | 276,140 | |
| Trading account assets—intercompany | 426 | | | 5,858 | | | (6,284) | | | — | | | — | |
| Investments, net of allowance | 1 | | | 541 | | | 368,021 | | | — | | | 368,563 | |
| Loans, net of unearned income | — | | | 2,497 | | | 696,986 | | | — | | | 699,483 | |
| Loans, net of unearned income—intercompany | — | | | — | | | — | | | — | | | — | |
| Allowance for credit losses on loans (ACLL) | — | | | — | | | (12,783) | | | — | | | (12,783) | |
| Total loans, net | $ | — | | | $ | 2,497 | | | $ | 684,203 | | | $ | — | | | $ | 686,700 | |
| Advances to subsidiaries | $ | 144,587 | | | $ | — | | | $ | (144,587) | | | $ | — | | | $ | — | |
| Investments in subsidiaries | 202,116 | | | — | | | — | | | (202,116) | | | — | |
Other assets, net of allowance(1) | 12,377 | | | 54,784 | | | 107,353 | | | — | | | 174,514 | |
| Other assets—intercompany | 2,799 | | | 45,588 | | | (48,387) | | | — | | | — | |
| Total assets | $ | 365,613 | | | $ | 494,807 | | | $ | 1,292,854 | | | $ | (202,116) | | | $ | 1,951,158 | |
| Liabilities and equity | | | | | | | | | |
| Deposits | $ | — | | | $ | — | | | $ | 1,070,590 | | | $ | — | | | $ | 1,070,590 | |
| Deposits—intercompany | — | | | — | | | — | | | — | | | — | |
| Securities loaned and sold under repurchase agreements | — | | | 145,473 | | | 20,866 | | | — | | | 166,339 | |
| Securities loaned and sold under repurchase agreements—intercompany | — | | | 36,581 | | | (36,581) | | | — | | | — | |
| Trading account liabilities | 1 | | | 80,100 | | | 39,793 | | | — | | | 119,894 | |
| Trading account liabilities—intercompany | 379 | | | 5,109 | | | (5,488) | | | — | | | — | |
| Short-term borrowings | 66 | | | 11,096 | | | 33,887 | | | — | | | 45,049 | |
| Short-term borrowings—intercompany | — | | | 17,129 | | | (17,129) | | | — | | | — | |
| Long-term debt | 150,477 | | | 39,578 | | | 58,705 | | | — | | | 248,760 | |
| Long-term debt—intercompany | — | | | 66,791 | | | (66,791) | | | — | | | — | |
| Advances from subsidiaries | 20,503 | | | — | | | (20,503) | | | — | | | — | |
| Other liabilities, including allowance | 937 | | | 51,777 | | | 53,866 | | | — | | | 106,580 | |
| Other liabilities—intercompany | 8 | | | 8,414 | | | (8,422) | | | — | | | — | |
| Stockholders’ equity | 193,242 | | | 32,759 | | | 170,061 | | | (202,116) | | | 193,946 | |
| Total liabilities and equity | $ | 365,613 | | | $ | 494,807 | | | $ | 1,292,854 | | | $ | (202,116) | | | $ | 1,951,158 | |
(1)Other assets for Citigroup parent company at December 31, 2019 included $35.1 billion of placements to Citibank and its branches, of which $24.9 billion had a remaining term of less than 30 days.
|
| | | | | | | | | | | | | | | | | | | |
| | December 31, 2016 |
| In millions of dollars | Citigroup 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—intercompany | 142 |
| | 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 assets | 6 |
| | 121,484 |
| | 122,435 |
| | — |
| | 243,925 |
|
| Trading account assets—intercompany | 1,173 |
| | 907 |
| | (2,080 | ) | | — |
| | — |
|
| Investments | 173 |
| | 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 subsidiaries | 226,279 |
| | — |
| | — |
| | (226,279 | ) | | — |
|
Other assets(1) | 23,734 |
| | 46,095 |
| | 252,854 |
| | — |
| | 322,683 |
|
| Other assets—intercompany | 27,845 |
| | 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—intercompany | 1,006 |
| | 868 |
| | (1,874 | ) | | — |
| | — |
|
| Short-term borrowings | — |
| | 1,356 |
| | 29,345 |
| | — |
| | 30,701 |
|
| Short-term borrowings—intercompany | — |
| | 35,596 |
| | (35,596 | ) | | — |
| | — |
|
| Long-term debt | 147,333 |
| | 8,128 |
| | 50,717 |
| | — |
| | 206,178 |
|
| Long-term debt—intercompany | — |
| | 41,287 |
| | (41,287 | ) | | — |
| | — |
|
| Advances from subsidiaries | 41,258 |
| | — |
| | (41,258 | ) | | — |
| | — |
|
| Other liabilities | 3,466 |
| | 57,430 |
| | 57,887 |
| | — |
| | 118,783 |
|
| Other liabilities—intercompany | 4,323 |
| | 7,894 |
| | (12,217 | ) | | — |
| | — |
|
| Stockholders’ equity | 225,120 |
| | 32,789 |
| | 194,513 |
| | (226,279 | ) | | 226,143 |
|
| Total liabilities and equity | $ | 422,506 |
| | $ | 420,799 |
| | $ | 1,175,051 |
| | $ | (226,279 | ) | | $ | 1,792,077 |
|
| |
(1) | Other assets for Citigroup parent company at December 31, 2016 included $20.7 billion of placements to Citibank and its branches, of which $6.8 billion had a remaining term of less than 30 days.
|
Condensed Consolidating Statement of Cash Flows
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Six Months Ended June 30, 2020 | | | | | | | | |
| In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated |
| Net cash provided by (used in) operating activities of continuing operations | $ | 2,857 | | | $ | (53,782) | | | $ | 31,717 | | | $ | — | | | $ | (19,208) | |
| Cash flows from investing activities of continuing operations | | | | | | | | | |
| Purchases of investments | $ | — | | | $ | — | | | $ | (207,701) | | | $ | — | | | $ | (207,701) | |
| Proceeds from sales of investments | — | | | — | | | 86,191 | | | — | | | 86,191 | |
| Proceeds from maturities of investments | — | | | — | | | 53,909 | | | — | | | 53,909 | |
| | | | | | | | | |
| Change in loans | — | | | — | | | 7,943 | | | — | | | 7,943 | |
| Proceeds from sales and securitizations of loans | — | | | — | | | 826 | | | — | | | 826 | |
| | | | | | | | | |
| | | | | | | | | |
| Change in securities borrowed and purchased under agreements to resell | — | | | (29,475) | | | (2,120) | | | — | | | (31,595) | |
| Changes in investments and advances—intercompany | (7,371) | | | (4,890) | | | 12,261 | | | — | | | — | |
| Other investing activities | — | | | — | | | (1,262) | | | — | | | (1,262) | |
| Net cash provided by (used in) investing activities of continuing operations | $ | (7,371) | | | $ | (34,365) | | | $ | (49,953) | | | $ | — | | | $ | (91,689) | |
| Cash flows from financing activities of continuing operations | | | | | | | | | |
| Dividends paid | $ | (2,679) | | | $ | — | | | $ | — | | | $ | — | | | $ | (2,679) | |
| Issuance of preferred stock | 1,500 | | | — | | | — | | | — | | | 1,500 | |
| Redemption of preferred stock | (1,500) | | | — | | | — | | | — | | | (1,500) | |
| Treasury stock acquired | (2,925) | | | — | | | — | | | — | | | (2,925) | |
| Proceeds (repayments) from issuance of long-term debt, net | 17,353 | | | 8,907 | | | (86) | | | — | | | 26,174 | |
| Proceeds (repayments) from issuance of long-term debt—intercompany, net | | | 6,815 | | | (6,815) | | | — | | | — | |
| Change in deposits | — | | | — | | | 163,070 | | | — | | | 163,070 | |
| Change in securities loaned and sold under agreements to repurchase | — | | | 68,650 | | | (19,267) | | | — | | | 49,383 | |
| Change in short-term borrowings | — | | | 1,074 | | | (5,967) | | | — | | | (4,893) | |
| Net change in short-term borrowings and other advances—intercompany | (6,826) | | | 3,035 | | | 3,791 | | | — | | | — | |
| Capital contributions from (to) parent | — | | — | | — | | | — | | | — | | | — | |
| Other financing activities | (407) | | | (118) | | | 118 | | | — | | | (407) | |
| Net cash provided by (used in) financing activities of continuing operations | $ | 4,516 | | | $ | 88,363 | | | $ | 134,844 | | | $ | — | | | $ | 227,723 | |
| Effect of exchange rate changes on cash and due from banks | $ | — | | | $ | — | | | $ | (972) | | | $ | — | | | $ | (972) | |
| | | | | | | | | |
| | | | | | | | | |
| Change in cash and due from banks and deposits with banks | $ | 2 | | | $ | 216 | | | $ | 115,636 | | | $ | — | | | $ | 115,854 | |
| Cash and due from banks and deposits with banks at beginning of period | 3,021 | | | 16,441 | | | 174,457 | | | — | | | 193,919 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,023�� | | | $ | 16,657 | | | $ | 290,093 | | | $ | — | | | $ | 309,773 | |
| Cash and due from banks | $ | 23 | | | $ | 3,728 | | | $ | 19,138 | | | $ | — | | | $ | 22,889 | |
| Deposits with banks, net of allowance | 3,000 | | | 12,929 | | | 270,955 | | | — | | | 286,884 | |
| Cash and due from banks and deposits with banks at end of period | $ | 3,023 | | | $ | 16,657 | | | $ | 290,093 | | | $ | — | | | $ | 309,773 | |
| Supplemental disclosure of cash flow information for continuing operations | | | | | | | | | |
| Cash paid during the period for income taxes | $ | 39 | | | $ | 174 | | | $ | 2,330 | | | $ | — | | | $ | 2,543 | |
| Cash paid during the period for interest | 1,757 | | | 3,006 | | | 3,988 | | | — | | | 8,751 | |
| Non-cash investing activities | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| Transfers to loans HFS from loans | $ | — | | | $ | — | | | $ | 1,036 | | | $ | — | | | $ | 1,036 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
|
| | | | | | | | | | | | | | | | | | | |
| | Nine Months Ended September 30, 2017 |
| In millions of dollars | Citigroup 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 investments | 132 |
| | — |
| | 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—intercompany | 13,269 |
| | (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, net | 6,665 |
| | 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 borrowings | 44 |
| | 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 period | 142 |
| | 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 interest | 3,319 |
| | 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, 2019 | | | | | | | | |
| In millions of dollars | Citigroup 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 investments | 4 | | | — | | | 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, net | 5,418 | | | 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 period | 3,020 | | | 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 banks, net of allowance | 3,000 | | | 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 period for income taxes | $ | 154 | | | $ | 119 | | | $ | 2,541 | | | $ | — | | | $ | 2,814 | |
| Cash paid during the period for interest | 1,753 | | | 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, 2016 |
| In millions of dollars | Citigroup 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 investments | 229 |
| | — |
| | 98,943 |
| | — |
| | 99,172 |
|
| Proceeds from maturities of investments | 61 |
| | — |
| | 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 activities | 2,962 |
| | — |
| | (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 stock | 2,498 |
| | — |
| | — |
| | — |
| | 2,498 |
|
| Treasury stock acquired | (5,167 | ) | | — |
| | — |
| | — |
| | (5,167 | ) |
| Proceeds (repayments) from issuance of long-term debt, net | 1,613 |
| | 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 period | 124 |
| | 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 interest | 3,402 |
| | 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, PURCHASESREPURCHASES OF EQUITY SECURITIES AND DIVIDENDS
Unregistered Sales of Equity Securities
None.
Equity Security Repurchases(1)
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 |
| July 2017 | | | |
Open market repurchases(1) | 25.5 |
| $ | 67.33 |
| $ | 13,884 |
|
Employee transactions(2) | — |
| — |
| N/A |
|
| August 2017 | | | |
Open market repurchases(1) | 31.0 |
| 67.84 |
| 11,782 |
|
Employee transactions(2) | — |
| — |
| N/A |
|
| September 2017 | | | |
Open market repurchases(1) | 24.1 |
| 69.26 |
| 10,110 |
|
Employee transactions(2) | — |
| — |
| N/A |
|
| Total for 3Q17 and remaining program balance as of September 30, 2017 | 80.6 |
| $ | 68.10 |
| $ | 10,110 |
|
| | | | | | | | | | | |
(1)In millions, except per share amounts | Represents repurchases Total shares
purchased | Average
price paid
per share | Approximate dollar
value of shares that
may yet be purchased
under the $15.6 billion 2017 common stock repurchase program (2017 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 28, 2017. The 2017 Repurchase Program was part of the planned capital actions included by Citi in its 2017 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 2017 Repurchase Program were added to treasury stock. |
| plan or
programs |
(2)April 2020 | Consisted of shares added to treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements. | | |
Open market repurchases(1)(2) | — | | $ | — | | $ | 3,930 | |
Employee transactions(3) | — | | — | | N/A |
| May 2020 | | | |
Open market repurchases(1)(2) | — | | — | | 3,930 | |
Employee transactions(3) | — | | — | | N/A |
| June 2020 | | | |
Open market repurchases(1)(2) | — | | — | | — | |
Employee transactions(3) | — | | — | | N/A |
| Total for 2Q20 | — | | $ | — | | $ | — | |
(1)As previously announced, on March 15, 2020, Citi joined other major U.S. banks in suspending stock repurchases in light of the COVID-19 pandemic. There was no change to Citi’s dividend policy.
(2)Citi’s $17.1 billion 2019 common stock repurchase program (2019 Repurchase Program), which was approved by Citigroup’s Board of Directors and announced on June 27, 2019, expired on June 30, 2020. The 2019 Repurchase Program was part of the planned capital actions included by Citi as part of the 2019 CCAR.
(3)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 share awards where shares are withheld to satisfy tax requirements.
N/A Not applicable
Dividends
Consistent with the regulatory capital framework, Citi declared common dividends of $0.51 per share for the third quarter of 2020 on July 23, 2020, and intends to maintain its planned capital actions, which include common dividends of $0.51 per share over the four-quarter window of fourth quarter of 2020 to third quarter of 2021 (the 2020 CCAR cycle), subject to approval of Citi’s Board of Directors and the latest financial and macroeconomic conditions. For information on Citi’s interim SCB, see “Capital Resources—Stress Capital Buffer” above.
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. In June 2020, the Federal Reserve Board determined that changes in financial markets and macroeconomic outlooks related to the COVID-19 pandemic could have a material effect on the risk profile and financial condition of each firm subject to its capital plan rule, and therefore require updated capital plans. Accordingly, the Federal Reserve Board is requiring each firm, including Citi, to update and resubmit its capital plan within 45 days after the Federal Reserve Board provides updated scenarios.
Through the end of the third quarter of 2020, the Federal Reserve Board has authorized firms, including Citi, to pay common stock dividends that do not exceed an amount equal to the average of the firm’s net income for the four preceding calendar quarters, unless otherwise specified by the Federal Reserve Board, provided that the firm does not exceed the amount of common stock dividends paid in the second quarter of 2020. Citi’s common dividends of $0.51 per share during the third quarter of 2020 is not impacted by the Federal Reserve Board’s temporary limitations on capital distributions, as Citi’s average quarterly net income for the four preceding calendar quarters of $3.4 billion is more than sufficient under the four quarter average net income test. For additional information regarding Citi’son these capital planning and stress testing,distribution limitations, see “Capital Resources—Current Regulatory Capital Standards—Plan Resubmission and Related Limitations on Capital Planning and Stress Testing” and “Risk Factors—Strategic Risks” in Citi’s 2016 Annual Report on Form 10-K. Distributions” above.
Any dividend on Citi’s outstanding common stock would also need to be made in compliance with Citi’s obligations toon its outstanding preferred stock.
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 20162019 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 31st4th day of October, 2017.August, 2020.
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. Walsh
Jeffrey R. Walsh
Interim Controller and Chief Accounting Officer
(Principal Accounting Officer)
EXHIBIT INDEX
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| Exhibit | | |
| Number | | Description of Exhibit |
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| | Financial statements from the Quarterly Report on Form 10-Q of the CompanyCitigroup for the quarter ended SeptemberJune 30 2017,, 2020, filed on October 31, 2017,August 4, 2020, 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. |
| | |
| 104 | | See the cover page of this Quarterly Report on Form 10-Q, formatted in Inline XBRL. |
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.
* Denotes a management contract or compensatory plan or arrangement.
+ Filed herewith.
