0000831001 us-gaap:NonUsMemberc:FICOScoreLessthan680Member us-gaap:ConsumerPortfolioSegmentMember us-gaap:CreditCardReceivablesMember 2019-01-01 2019-03-312019-09-30 0000831001 us-gaap:NotDesignatedAsHedgingInstrumentTradingMember 2019-03-31ExternalCreditRatingNonInvestmentGradeMember us-gaap:CommercialPortfolioSegmentMember c:CommercialAndIndustrialMember 2019-09-30 0000831001 srt:WeightedAverageMemberc:TradingAssetsExcludingDerivativeAssetsMember us-gaap:FairValueInputsLevel3Member c:MeasurementInputEquityEquityCorrelationMember us-gaap:MarketApproachValuationTechniqueMemberFairValueMeasurementsRecurringMember 2018-12-31

 
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)
☒QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31,September 30, 2019

OR

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

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


Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL: See Exhibit 99.01
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes xYes☒    No o☐
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted 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 such files). Yes xYes☒  No o☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filerx
☒Accelerated filer☐Non-accelerated filer☐Smaller reporting company☐
 
Accelerated filer o
 
Non-accelerated filer o

 
Smaller reporting company o
Emerging growth companyo
☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes o☐    
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o☐    No x☒
Number of shares of Citigroup Inc. common stock outstanding on March 31,September 30, 2019: 2,312,467,7212,183,193,940

Available on the web at www.citigroup.com
 







CITIGROUP’S FIRSTTHIRD QUARTER 2019—FORM 10-Q
OVERVIEW
1
MANAGEMENT'S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
3
Executive Summary
3
Summary of Selected Financial Data
6
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
8
SEGMENT BALANCE SHEET
9
Global Consumer Banking (GCB)
10
North America GCB
12
Latin America GCB
14
Asia GCB
16
Institutional Clients Group
18
Corporate/Other
2122
OFF-BALANCE SHEET
  ARRANGEMENTS
2223
CAPITAL RESOURCES
2324
MANAGING GLOBAL RISK TABLE OF
  CONTENTS
3436
MANAGING GLOBAL RISK
3537
INCOME TAXES
6673
FUTURE APPLICATION OF ACCOUNTING
  STANDARDS
6774
DISCLOSURE CONTROLS AND
  PROCEDURES
6875
DISCLOSURE PURSUANT TO SECTION 219 OF
  THE IRAN THREAT REDUCTION AND SYRIA
  HUMAN RIGHTS ACT
6875
FORWARD-LOOKING STATEMENTS
6976
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
7179
CONSOLIDATED FINANCIAL STATEMENTS
7280
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
7988
UNREGISTERED SALES OF EQUITY SECURITIES,
  PURCHASES OF EQUITY SECURITIES AND
  DIVIDENDS
176202



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, 2018 (2018 Annual Report on Form 10-K) and Citigroup’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2019 (First Quarter of 2019 Form 10-Q) and June 30, 2019 (Second Quarter of 2019 Form 10-Q).
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available free of charge through Citi’s website by clicking on the “Investors” page and selecting “All SEC Filings.“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 Notes 1 and 3 to the Consolidated Financial Statements below and Notes 1 and 3 to the Consolidated Financial Statements in Citi’s 2018 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 remaining operations in Corporate/Other.
acitisegmentsq119chart.jpgcitisegmentsq319.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citiregions18q1a04.jpg

(1)
Latin America GCB consists of Citi’s consumer banking business in 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

FirstThird Quarter of 2019—Results Demonstrated Continued Progress
As described further throughout this Executive Summary, Citi made steady progress induring the firstthird quarter of 2019, Citi continued to demonstrate steady progress toward improving its profitability and returns. During the quarter, Citi had revenue growth and positive operating leverage in every region in Global Consumer Banking (GCB), excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation) as well as the gain on sale of the Hilton portfolio in the prior-year period in North America GCB. (Citi’s results of operations excluding the gain on sale as well as the impact of FX translation are non-GAAP financial measures.) Citi also showed continued momentum across treasury and trade solutions, securities services, investment banking and corporate lending in Institutional Clients Group (ICG), while equity markets revenues were impacted by a weaker market environment.returns, despite macroeconomic headwinds:

•
Citi had solid underlying revenue growth in every region in Global Consumer Banking (GCB), excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation), as well as a pretax gain on sale of approximately $250 million of an asset management business in the third quarter of 2018 in Latin America.
•
Citi had balanced performance in the Institutional Clients Group (ICG), with solid results in treasury and trade solutions, investment banking and the private bank, while fixed income markets revenues were largely unchanged and equity markets revenues were negatively impacted by a challenging environment.
Citi continued to demonstrate strong expense discipline, resulting in the tenth consecutive quarter of positive operating leverage. Citi also had growth in deposits and overall loan growth in GCB and ICG, while credit quality remained broadly stable.discipline.
•
Citi had broad-based loan and deposit growth across GCB and ICG.
In addition, Citi continued to return capital to its shareholders. In the quarter, Citi returned $5.1shareholders, including $6.3 billion in the form of common stock dividends as well as repurchases and dividends. Citi repurchased approximately 66totaling 76 million common shares, contributing to a 9%10% reduction in average outstanding common shares from the prior-year period.
Despite the continued progress in returning capital to shareholders, during the quarter, each of Citi’s key regulatory capital metrics remained strong (see “Capital” below).strong.

While the macroeconomic environment remains largely positive, global growth has continued, economic growth forecasts for 2019 have been lowered and there continue to be various economic, political and other risks and uncertainties that could create a more volatile operating environment and impact Citi’s businesses and future results. For a discussion of the risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition during the remainder of 2019, see each respective business’s results of operations and “Forward-Looking Statements” below, as well as each respective business’s results of operations and the “Managing Global Risk” and “Risk Factors” sections in Citi’s 2018 Annual Report on Form 10-K.

First


Third Quarter of 2019 Results Summary

Citigroup
Citigroup reported net income of $4.7$4.9 billion, or $1.87$2.07 per share, compared to net income of $4.6 billion, or $1.68$1.73 per share, in the prior-year period. Net income increased 2%6% from the prior-year period, primarily driven by lower expenses and a lower effective tax rate and higher revenues, partially offset by lower revenueshigher expenses and higher cost of credit. Earnings per share increased 11%20%,
primarily reflectingdriven by the 9%10% reduction in average shares outstanding driven bydue to the common stock repurchases, as well as growthand the lower effective tax rate. Results for the third quarter of 2019 include a net benefit of approximately $0.10 per share related to discrete tax items, including an approximate $180 million benefit from a reduction in net income.Citi’s valuation allowance related to its deferred tax assets (see “Income Taxes—DTA Valuation Allowance (VA) Release” below).
Citigroup revenues of $18.6 billion in the firstthird quarter of 2019 decreased 2%increased 1% from the prior-year period, including the impact of the $150 million gain on the sale of the Hilton portfolio in the prior-year period. Excludingor 2% excluding the gain on sale, reflecting higher revenues decreased 1%, primarily reflecting lower equity markets revenues as well as mark-to-market losses on loan hedges, both inacross GCB and ICG, and the continued wind-down of legacy assetspartially offset by lower revenues in Corporate/Other.
Citigroup’s end-of-period loans increased 1%2% to $682$692 billion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period loans grew 3%4%, as 5% aggregate growth in GCB and ICG was partially offset by the continued wind-down of legacy assets in Corporate/Other. Citigroup’s end-of-period deposits increased 3%8% to $1.0$1.1 trillion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 5%9%, primarily driven by 8%11% growth in ICG deposits as well as 2%and 5% growth in GCB. (Citi’s results of operations excluding the gain on sale as well as the impact of FX translation are non-GAAP financial measures.)

Expenses
Citigroup operating expenses of $10.6$10.5 billion decreased 3%increased 1% versus the prior-year period, as efficiency savings and the wind-down of legacy assets were partiallymore than offset by volume-driven growth and continued investments.investments in the franchise. Year-over-year, GCBand ICG operating expenses were both down 1% 2%, while ICG and Corporate/Other operating expenses decreased 26%.increased 4% and 6%, respectively.

Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $2.0$2.1 billion increased 7%6% from the prior-year period. The increase was primarily driven by higher net credit losses in both Citi-branded cards and Citi retail services in North America GCB as well as,partially offset by a lower net loan loss reserve release in ICG.build.
Net credit losses of $1.9 billion increased 4%9% versus the prior-year period. Consumer net credit losses of $1.9$1.8 billion increased 7%6% from the prior-year period, primarily reflecting


volume growth and seasoning in the North America cards portfolios. Corporate net credit losses decreasedincreased to $89 million from $96$30 million in the prior-year period to $56 million.period.
For additional information on Citi’s consumer and corporate credit costs and allowance for loan losses, see each respective business’s results of operations and “Credit Risk” below.

Capital
Citigroup’s Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios were 11.9% and 13.5%ratio was 11.6% as of March 31,September 30, 2019, respectively, compared to 12.1% and 13.7%11.7% as of March 31,September 30, 2018, both based on the Basel III Standardized Approach for determining risk-weighted assets. The decline in regulatory capital ratiosthe ratio primarily reflected the return of capital to common shareholders and an increase in risk-weighted assets, partially offset by net income.


Citigroup’s Supplementary Leverage ratio as of March 31,September 30, 2019 was 6.4%6.3%, compared to 6.7%6.5% as of March 31,September 30, 2018. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Global Consumer Banking
GCB net income of $1.4$1.6 billion increased 4%1%. Excluding the impact of FX translation, and the gain on the sale of the Hilton portfolio in the prior-year period (approximately $115 million after-tax), net income increased 14%2%, driven primarily by higher revenues and lower expenses, partially offset by higher cost of credit. GCB operating expenses of $4.6 billion decreased 1%.2% versus the prior-year period. Excluding the impact of FX translation, expenses were largely unchanged,decreased 1%, as efficiency savings more than offset continued investments in the franchise and volume-driven expenses were offset by efficiency savings.growth.
GCB revenues of $8.5$8.7 billion were largely unchanged versus the prior-year period. Excluding the impact of FX translation and the gain on the sale of the Hilton portfolio in the prior-year period in Latin America GCB, revenues increased 4%, driven by growth in all three regions. North America GCB revenues of $5.2$5.4 billion increased 1%4%, or 4% excluding the gain on the sale of the Hilton portfolio, withprimarily driven by growth in all three businesses.Citi-branded cards and Citi retail services, partially offset by retail banking revenues. In North America GCB,Citi-branded cards revenues of $2.2$2.3 billion increased 5%11%, excluding the gain on the sale of the Hilton portfolio, primarily driven by continued growth in interest-earning balances. Citi retail services revenues of $1.7 billion increased 3%1% versus the prior-year period, primarily reflecting organic loan growth and the benefit of the L.L.Bean portfolio acquisition. Retail banking revenues increased 1% from the prior-year period to $1.3 billion. Excluding mortgage revenues, retail banking revenues of $1.2 billion were up 2% from the prior-year period, driven by continued growth inorganic loan growth. Retail banking revenues of $1.3 billion decreased 2% versus the prior-year period, as the benefit of stronger deposit spreads as well as modest growth involumes was more than offset by lower deposit volumes.spreads.
North America GCB average deposits of $182$186 billion increased 1%3% year-over-year, average retail banking loans of $57$59 billion increased 3%5% year-over-year and assets under management of $66$69 billion grew 9%8%. Average Citi-branded card loans of $88$91 billion increased 1% compared to the first quarter of 2018, which represented the peak level of promotional balances in 2018, as Citi has now optimized its mix of interest-earning to non-interest earning balances,3%, while Citi-branded card purchase sales of $84$94 billion increased 6%7% versus the prior-year period. Average Citi retail services loans of $50 billion increased 7%1% versus the prior-year period, while Citi retail services purchase sales of $19$22 billion also increased 7%decreased 2%. For additional information on the results of operations of North America GCB for the firstthird quarter of 2019, see “Global Consumer Banking—Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations
in certain EMEA countries)), of $3.3 billion were largely unchangeddeclined 6% versus the prior-year period. Excluding the impact of FX translation and the gain on sale, international GCB revenues increased 3%4% versus the prior-year period. On this basis, Latin America GCB revenues increased 6%3% versus the prior-year period,, including the impact of the sale of an asset management business in Mexico in 2018. The impact was a net benefit in the current quarter, as Citi recorded a small residual gain on the sale, partially offset by the absence of related revenues.
Excluding this impact, Latin America GCB revenues increased 5%,primarily driven by continued deposit growth as well asan increase in cards revenues and improved deposit spreads. Asia GCB revenues increased 1%5%, as continued growth indriven by higher deposit lending and insurance revenues was largely offset by lower investment revenues due to weaker market sentiment.revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the firstthird quarter of 2019, including the impact of FX translation, see “Global Consumer Banking—Banking—Latin America GCB” and “Global Consumer Banking—Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $128$130 billion increased 3%4%, average retail banking loans of $89$90 billion increased 2%, assets under management of $106$109 billion increased 7%6%, average card loans of $25$24 billion increased 3% and card purchase sales of $26$27 billion increased 6%7%, all excluding the impact of FX translation.

Institutional Clients Group
ICG net income of $3.3$3.2 billion was largely unchanged, as a decrease inincreased 1%, primarily driven by higher revenues, partially offset by higher expenses and a lower effective tax rate were offset by lower revenues and higher cost of credit. ICG operating expenses decreased 1%increased 4% to $5.4 billion, asprimarily driven by investments, volume growth and higher compensation costs, partially offset by efficiency savings more than offset investments and volume-related expenses.savings.
ICG revenues were $9.7of $9.5 billion in the first quarter of 2019, down 2% from the prior-year period, asincreased 3%, reflecting a 2%5% increase in Banking revenues was more than offset byand a 6% decrease1% increase in Markets and securities services revenue.revenues. The increase in Banking revenues included the impact of $231$33 million of losses on loan hedges within corporate lending, compared to gainslosses of $23$106 million in the prior-year period.
Banking revenues of $5.2$5.0 billion (excluding the impact of gains (losses) on loan hedges within corporate lending) increased 8%3%, driven by solidas growth in treasury and trade solutions, investment banking and corporate lending, the private bank were partially offset by lower revenues in private bank.corporate lending. Investment banking revenues of $1.4$1.2 billion increased 20% versus the prior-year period, as growth4%, largely reflecting continued strength in debt underwriting and solid results in advisory, and investment-grade debt underwriting more than offset a declineparticularly in equity underwriting, largely reflecting a lower market wallet.EMEA. Advisory revenues increased 76%5% to $378$276 million, equity underwriting revenues decreased 20%5% to $172$247 million and debt underwriting revenues increased 15%7% to $804 million, all versus the prior-year period.$705 million.
Treasury and trade solutions revenues of $2.4 billion increased 6% versus the prior-year period, and 10%7% excluding the impact of FX translation, reflecting continuedstrong client engagement and growth in depositstransaction volumes, partially offset by spread compression. Private bank revenues of $867 million increased 2%, driven by higher lending and deposit volumes as well as improved spreads. Private bank revenues decreased 3% to $880 million compared to a strong prior-year period, reflecting lower managedhigher investment revenuesactivity with both new and higher funding costs.existing clients, partially offset by spread compression. Corporate lending revenues decreased 38%increased 8% to $338$494 million. Excluding the impact of gains (losses) on loan hedges, corporate lending revenues increased 9% versus the prior-year period, primarily driven by loan growthdecreased 6%, reflecting lower spreads and spread expansion.higher hedging costs.
Markets and securities services revenues of $4.7$4.5 billion decreased 6%increased 1% from the prior-year period, as lower equity markets revenues more than offset modest revenue growth in fixed income.period. Fixed income markets revenues of $3.5$3.2 billion increased 1%were largely unchanged from the prior-year period, as strength in rates


the prior-year period, with improved activity with both corporate and spread products was largely offset by weaknessinvestor clients and strength in FX, as a result of low currency volatility in the current quarter, while corporate client activity remained stable.rates and currencies, particularly G10 rates. Equity markets revenues of $842$760 million decreased 24%4%, compared to a strong prior-year period, reflecting lower market volumesclient activity and lower balances in prime finance, partially offset by strong client financing balances.activity in derivatives. Securities services revenues of $638$664 million were largely unchanged, anddecreased 1% versus the prior-year period, but increased 5%2% excluding the impact of FX translation, driven by continued growth in clientreflecting higher volumes from new and higher net interest revenue.existing clients. For additional information on the results of operations of ICG for the firstthird quarter of 2019, see “Institutional Clients Group” below.

Corporate/Other
Corporate/Other net lossincome was $38$167 million in the firstthird quarter of 2019, compared to a net loss of $87$68 million in the prior-year period, primarily reflecting the benefit of a discrete tax item and a pretax loss in the current period. Operating expenses of $549$485 million declined 26%increased 6% from the prior-year period, largely reflecting higher infrastructure costs, partially offset by the continued wind-down of legacy assets. Corporate/Other revenues were $431of $402 million down 27%decreased 18% from the prior-year period, primarily reflectingdriven by the continued wind-down of legacy assets. For additional information on the results of operations of Corporate/Other for the firstthird quarter of 2019, see “Corporate/Other” below.



















RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
First Quarter Third Quarter Nine Months 
In millions of dollars, except per-share amounts and ratios20192018% Change
In millions of dollars, except per share amounts and ratios20192018% Change20192018% Change
Net interest revenue$11,759
$11,172
5 %$11,641
$11,802
(1)%$35,350
$34,639
2 %
Non-interest revenue6,817
7,700
(11)6,933
6,587
5
20,558
21,091
(3)
Revenues, net of interest expense$18,576
$18,872
(2)%$18,574
$18,389
1 %$55,908
$55,730
— %
Operating expenses10,584
10,925
(3)10,464
10,311
1
31,548
31,948
(1)
Provisions for credit losses and for benefits and claims1,980
1,857
7
2,088
1,974
6
6,161
5,643
9
Income from continuing operations before income taxes$6,012
$6,090
(1)%$6,022
$6,104
(1)%$18,199
$18,139
— %
Income taxes1,275
1,441
(12)1,079
1,471
(27)3,727
4,356
(14)
Income from continuing operations$4,737
$4,649
2 %$4,943
$4,633
7 %$14,472
$13,783
5 %
Income (loss) from discontinued operations,
net of taxes(1)
(2)(7)71
(15)(8)(88)—
—
—
Net income before attribution of noncontrolling
interests
$4,735
$4,642
2 %$4,928
$4,625
7 %$14,472
$13,783
5 %
Net income attributable to noncontrolling interests25
22
14
15
3
NM
50
51
(2)
Citigroup’s net income$4,710
$4,620
2 %$4,913
$4,622
6 %$14,422
$13,732
5 %
Less: 

Preferred dividends—Basic$262
$272
(4)%
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS59
51
16
Income allocated to unrestricted common shareholders
for basic and diluted EPS
$4,389
$4,297
2 %
Earnings per share 

 

  
 
Basic 

 

  
 
Income from continuing operations$1.88
$1.68
12 %$2.09
$1.74
20 %$5.92
$5.04
17 %
Net income1.88
1.68
12
2.09
1.73
21
5.92
5.04
17
Diluted 

 

   
Income from continuing operations$1.87
$1.68
11 %$2.08
$1.74
20 %$5.89
$5.04
17 %
Net income1.87
1.68
11
2.07
1.73
20
5.89
5.04
17
Dividends declared per common share0.45
0.32
41
0.51
0.45
13
1.41
1.09
29
Common dividends$1,183
$1,127
5 %$3,299
$2,777
19 %
Preferred dividends(2)
254
270
(6)812
860
(6)
Common share repurchases$5,120
$5,271
(3)$12,750
$9,846
29

Table continues on the next page, including footnotes.



SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated Subsidiaries
First Quarter Third Quarter Nine Months 
In millions of dollars, except per-share amounts, ratios and direct staff20192018% Change
At March 31:  
In millions of dollars, except per share amounts, ratios and direct staff20192018% Change20192018 
At September 30:     
Total assets$1,958,413
$1,922,104
2 %$2,014,802
$1,925,165
5 %   
Total deposits1,030,355
1,001,219
3
1,087,769
1,005,176
8
   
Long-term debt243,566
237,938
2
242,238
235,270
3
   
Citigroup common stockholders’ equity178,272
182,759
(2)176,893
177,969
(1)   
Total Citigroup stockholders’ equity196,252
201,915
(3)196,373
197,004
—
   
Average assets2,000,082
1,922,804
4
$1,972,873
$1,914,710

Direct staff (in thousands)
203
209
(3)199
206
(3)   
Performance metrics 

 

   
Return on average assets0.98%0.98%

0.97%0.95%

0.98%0.96% 
Return on average common stockholders’ equity(2)
10.2
9.7


Return on average total stockholders’ equity(2)
9.8
9.3


Return on average common stockholders’ equity(3)
10.4
9.6


10.2
9.5
 
Return on average total stockholders’ equity(3)
9.9
9.2


9.8
9.2
 
Return on tangible common equity (RoTCE)(4)
12.2
11.3
 12.0
11.2
 
Efficiency ratio (total operating expenses/total revenues)57.0
57.9


56.3
56.1


56.4
57.3
 
Basel III ratios       
Common Equity Tier 1 Capital(3)
11.91%12.05% 
Tier 1 Capital(3)
13.47
13.67
 
Total Capital(3)
16.44
16.01
 
Common Equity Tier 1 Capital(5)
11.58%11.73%    
Tier 1 Capital(5)
13.20
13.36
    
Total Capital(5)
16.07
15.98
    
Supplementary Leverage ratio6.44
6.71
 6.27
6.50
    
Citigroup common stockholders’ equity to assets9.10%9.51% 8.78%9.24% 

  
Total Citigroup stockholders’ equity to assets10.02
10.50
 9.75
10.23
 

  
Dividend payout ratio(4)
24
19
 
Total payout ratio(5)
115
71
 
Dividend payout ratio(6)
24.6
26.0
 23.9%21.6% 
Total payout ratio(7)
135.3
147.0
 117.9
98.1
 
Book value per common share$77.09
$71.67
8 %$81.02
$72.88
11 %

  
Tangible book value (TBV) per share(6)
65.55
61.02
7
Tangible book value (TBV) per share(4)
69.03
61.91
12
   
(1)See Note 2 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K for additional information on Citi’s discontinued operations.
(2)Certain series of preferred stock have semi-annual payment dates. See Note 9 to the Consolidated Financial Statements.
(3)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)(4)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.
(5)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, whereas the reportable Total Capital ratio was the lower derived under the U.S. Basel III Advanced Approaches framework. This reflects the U.S. Basel III requirement to report the lower of risk-based capital ratios under both the Standardized Approach and Advanced Approaches in accordance with the Collins Amendment of the Dodd-Frank Act.
(4)(6)Dividends declared per common share as a percentage of net income per diluted share.
(5)(7)
Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders.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.
(6)For information on TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.





SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
First Quarter Third Quarter Nine Months 
In millions of dollars20192018% Change20192018% Change20192018% Change
Income from continuing operations       
Global Consumer Banking       
North America$769
$838
(8)%$926
$850
9 %$2,416
$2,407
— %
Latin America252
179
41
238
331
(28)752
707
6
Asia(1)
416
373
12
422
383
10
1,268
1,116
14
Total$1,437
$1,390
3 %$1,586
$1,564
1 %$4,436
$4,230
5 %
Institutional Clients Group

 



 



 

North America$714
$858
(17)%$801
$871
(8)%$2,537
$2,759
(8)%
EMEA1,125
1,113
1
1,060
971
9
3,190
3,070
4
Latin America503
494
2
466
544
(14)1,460
1,555
(6)
Asia980
869
13
843
735
15
2,648
2,312
15
Total$3,322
$3,334
— %$3,170
$3,121
2 %$9,835
$9,696
1 %
Corporate/Other(22)(75)71
187
(52)NM
201
(143)NM
Income from continuing operations$4,737
$4,649
2 %$4,943
$4,633
7 %$14,472
$13,783
5 %
Discontinued operations$(2)$(7)71 %$(15)$(8)(88)%$—
$—
— %
Less: Net income attributable to noncontrolling interests25
22
14
15
3
NM
50
51
(2)
Citigroup’s net income$4,710
$4,620
2 %$4,913
$4,622
6 %$14,422
$13,732
5 %

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

CITIGROUP REVENUES
First Quarter Third Quarter Nine Months 
In millions of dollars20192018% Change20192018% Change20192018% Change
Global Consumer Banking       
North America$5,185
$5,157
1 %$5,352
$5,129
4 %$15,695
$15,290
3 %
Latin America1,381
1,340
3
1,390
1,664
(16)4,203
4,379
(4)
Asia(1)
1,885
1,929
(2)1,916
1,855
3
5,716
5,649
1
Total$8,451
$8,426
— %$8,658
$8,648
— %$25,614
$25,318
1 %
Institutional Clients Group

 



 

  

North America$3,119
$3,266
(5)%$3,104
$3,329
(7)%$9,701
$10,106
(4)%
EMEA3,170
3,167
—
3,138
2,927
7
9,268
9,137
1
Latin America1,160
1,216
(5)1,173
1,061
11
3,528
3,445
2
Asia2,245
2,206
2
2,099
1,931
9
6,432
6,112
5
Total$9,694
$9,855
(2)%$9,514
$9,248
3 %$28,929
$28,800
— %
Corporate/Other431
591
(27)402
493
(18)1,365
1,612
(15)
Total Citigroup net revenues$18,576
$18,872
(2)%$18,574
$18,389
1 %$55,908
$55,730
— %
(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.





SEGMENT BALANCE SHEET(1)—SEPTEMBER 30, 2019
In millions of dollars
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Assets          
Cash and deposits with banks$8,747
64,506
$132,640
$—
$205,893
$7,037
$72,772
$140,634
$—
$220,443
Federal funds sold and securities
borrowed and purchased under
agreements to resell
—
264,264
231
—
264,495
Securities borrowed and purchased under agreements to resell129
260,730
266
—
261,125
Trading account assets843
275,309
10,359
—
286,511
1,229
294,037
11,558
—
306,824
Investments1,173
117,776
230,332
—
349,281
1,077
120,417
236,889
—
358,383
Loans, net of unearned income and
allowance for loan losses

297,630
360,156
12,231
—
670,017
305,304
363,359
10,550
—
679,213
Other assets37,544
103,212
41,460
—
182,216
40,007
109,917
38,890
—
188,814
Net inter-segment liquid assets(4)
79,746
240,275
(320,021)—
—
85,411
257,871
(343,282)—
—
Total assets$425,683
$1,425,498
$107,232
$—
$1,958,413
$440,194
$1,479,103
$95,505
$—
$2,014,802
Liabilities and equity     
Total deposits$315,547
$701,544
$13,264
$—
$1,030,355
$322,126
$752,640
$13,003
$—
$1,087,769
Federal funds purchased and
securities loaned and sold under
agreements to repurchase
3,967
186,335
70
—
190,372
Securities loaned and sold under
agreements to repurchase
4,479
190,469
99
—
195,047
Trading account liabilities195
135,864
333
—
136,392
688
134,585
323
—
135,596
Short-term borrowings485
25,490
13,347
—
39,322
395
25,393
9,442
—
35,230
Long-term debt(3)
1,817
48,509
43,410
149,830
243,566
1,666
57,888
37,342
145,342
242,238
Other liabilities19,386
83,420
18,585
—
121,391
20,544
84,705
16,603
—
121,852
Net inter-segment funding (lending)(3)
84,286
244,336
17,460
(346,082)—
90,296
233,423
17,996
(341,715)—
Total liabilities$425,683
$1,425,498
$106,469
$(196,252)$1,761,398
$440,194
$1,479,103
$94,808
$(196,373)$1,817,732
Total stockholders’ equity(5)
—
—
763
196,252
197,015
—
—
697
196,373
197,070
Total liabilities and equity$425,683
$1,425,498
$107,232
$—
$1,958,413
$440,194
$1,479,103
$95,505
$—
$2,014,802

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of March 31,September 30, 2019. The respective segment information depicts the assets and liabilities managed by each segment as of such date.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
(3)The total stockholders’ equity and the majority of long-term debt of Citigroup reside inon the Citigroup parent company Balance Sheet.balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s 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.








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 2,4042,394 branches in 19 countries and jurisdictions as of March 31,September 30, 2019. At March 31,September 30, 2019, GCB had approximately $426$440 billion in assets and $316$322 billion in deposits.
GCB’s overall strategy is to leverage Citi’s global footprint and be the pre-eminent bank for the affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets (including commercial banking), Citi serves customers in a somewhat broader set of segments and geographies.

First Quarter Third Quarter Nine Months 
In millions of dollars, except as otherwise noted20192018% Change20192018% Change20192018% Change
Net interest revenue$7,253
$6,980
4 %$7,431
$7,236
3 %$21,956
$21,235
3 %
Non-interest revenue1,198
1,446
(17)1,227
1,412
(13)3,658
4,083
(10)
Total revenues, net of interest expense$8,451
$8,426
— %$8,658
$8,648
— %$25,614
$25,318
1 %
Total operating expenses$4,608
$4,677
(1)%$4,561
$4,658
(2)%$13,832
$13,987
(1)%
Net credit losses$1,891
$1,736
9 %$1,823
$1,714
6 %$5,603
$5,176
8 %
Credit reserve build (release)76
144
(47)172
186
(8)347
484
(28)
Provision (release) for unfunded lending commitments5
(1)NM
—
6
(100)10
8
25
Provision for benefits and claims12
26
(54)17
27
(37)48
75
(36)
Provisions for credit losses and for benefits and claims (LLR & PBC)$1,984
$1,905
4 %$2,012
$1,933
4 %$6,008
$5,743
5 %
Income from continuing operations before taxes$1,859
$1,844
1 %$2,085
$2,057
1 %$5,774
$5,588
3 %
Income taxes422
454
(7)499
493
1
1,338
1,358
(1)
Income from continuing operations$1,437
$1,390
3 %$1,586
$1,564
1 %$4,436
$4,230
5 %
Noncontrolling interests—
2
(100)2
1
100
3
4
(25)
Net income$1,437
$1,388
4 %$1,584
$1,563
1 %$4,433
$4,226
5 %
Balance Sheet data and ratios (in billions of dollars)


 



 

  

Total EOP assets$426
$423
1 %$440
$427
3 %  

Average assets426
423
1
438
424
3
$432
$421
3 %
Return on average assets1.37%1.33%

1.43%1.46%

1.37%1.34%

Efficiency ratio55
56


53
54


54
55


Average deposits$310
$309
—
$316
$307
3
$313
$307
2
Net credit losses as a percentage of average loans2.48%2.30%

2.31%2.22%

2.41%2.27%

Revenue by business

 



 

  

Retail banking$3,467
$3,464
— %$3,486
$3,711
(6)%$10,527
$10,658
(1)%
Cards(1)
4,984
4,962
—
5,172
4,937
5
15,087
14,660
3
Total$8,451
$8,426
— %$8,658
$8,648
— %$25,614
$25,318
1 %
Income from continuing operations by business

 



 

  

Retail banking$526
$520
1 %$575
$663
(13)%$1,730
$1,760
(2)%
Cards(1)
911
870
5
1,011
901
12
2,706
2,470
10
Total$1,437
$1,390
3 %$1,586
$1,564
1 %$4,436
$4,230
5 %
Table continues on the next page, including footnotes.



Foreign currency (FX) translation impact 

 

   
Total revenue—as reported$8,451
$8,426
— %$8,658
$8,648
— %$25,614
$25,318
1 %
Impact of FX translation(2)
—
(113)

—
(82)

—
(220)

Total revenues—ex-FX(3)
$8,451
$8,313
2 %$8,658
$8,566
1 %$25,614
$25,098
2 %
Total operating expenses—as reported$4,608
$4,677
(1)%$4,561
$4,658
(2)%$13,832
$13,987
(1)%
Impact of FX translation(2)
—
(70)

—
(44)

—
(135)

Total operating expenses—ex-FX(3)
$4,608
$4,607
— %$4,561
$4,614
(1)%$13,832
$13,852
— %
Total provisions for LLR & PBC—as reported$1,984
$1,905
4 %$2,012
$1,933
4 %$6,008
$5,743
5 %
Impact of FX translation(2)
—
(19)

—
(20)

—
(41)

Total provisions for LLR & PBC—ex-FX(3)
$1,984
$1,886
5 %$2,012
$1,913
5 %$6,008
$5,702
5 %
Net income—as reported$1,437
$1,388
4 %$1,584
$1,563
1 %$4,433
$4,226
5 %
Impact of FX translation(2)
—
(13)

—
(14)

—
(30)

Net income—ex-FX(3)
$1,437
$1,375
5 %$1,584
$1,549
2 %$4,433
$4,196
6 %
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the firstthird quarter of 2019 and year-to-date 2019 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful



NORTH AMERICA GCB
North America GCB provides traditional retail banking, including commercial banking, and its Citi-branded cards and Citi retail services card products to retail customers and small to mid-size businesses, as applicable, in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Best Buy and Macy’s) within Citi retail services.
As of March 31,September 30, 2019, North America GCB’s 689had 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 March 31,September 30, 2019, North America GCB had approximately 9.1 million retail banking customer accounts, $57.3$59.2 billion in retail banking loans and $185.4$191.6 billion in deposits. In addition, North America GCB had approximately 119.4117.7 million Citi-branded and Citi retail services credit card accounts with $135.9$141.5 billion in outstanding card loan balances.
First Quarter Third Quarter Nine Months 
In millions of dollars, except as otherwise noted20192018% Change20192018% Change20192018% Change
Net interest revenue$5,058
$4,750
6 %$5,189
$4,984
4 %$15,277
$14,514
5 %
Non-interest revenue127
407
(69)163
145
12
418
776
(46)
Total revenues, net of interest expense$5,185
$5,157
1 %$5,352
$5,129
4 %$15,695
$15,290
3 %
Total operating expenses$2,669
$2,645
1 %$2,612
$2,668
(2)%$8,001
$7,979
— %
Net credit losses$1,429
$1,296
10 %$1,355
$1,242
9 %$4,212
$3,816
10 %
Credit reserve build (release)98
123
(20)175
116
51
355
354
—
Provision (release) for unfunded lending commitments5
(4)NM
(1)5
NM
10
3
NM
Provision for benefits and claims6
6
—
4
5
(20)16
16
—
Provisions for credit losses and for benefits and claims$1,538
$1,421
8 %$1,533
$1,368
12 %$4,593
$4,189
10 %
Income from continuing operations before taxes$978
$1,091
(10)%$1,207
$1,093
10 %$3,101
$3,122
(1)%
Income taxes209
253
(17)281
243
16
685
715
(4)
Income from continuing operations$769
$838
(8)%$926
$850
9 %$2,416
$2,407
— %
Noncontrolling interests—
—
—
—
—
—
—
—
—
Net income$769
$838
(8)%$926
$850
9 %$2,416
$2,407
— %
Balance Sheet data and ratios (in billions of dollars)


 



 

 
 


Average assets$250
$248
1 %$258
$249
4 %$254
$247
3 %
Return on average assets1.25%1.37%

1.42%1.35%

1.27%1.30%

Efficiency ratio51
51


49
52


51
52


Average deposits$182.3
$180.9
1
$186.0
$180.2
3
$183.8
$180.3
2
Net credit losses as a percentage of average loans2.97%2.77%

2.70%2.56%

2.87%2.68%

Revenue by business

 



 

 
 


Retail banking$1,316
$1,307
1 %$1,304
$1,329
(2)%$3,971
$3,984
— %
Citi-branded cards2,195
2,232
(2)2,334
2,108
11
6,726
6,402
5
Citi retail services1,674
1,618
3
1,714
1,692
1
4,998
4,904
2
Total$5,185
$5,157
1 %$5,352
$5,129
4 %$15,695
$15,290
3 %
Income from continuing operations by business

 



 

 
 


Retail banking$83
$140
(41)%$109
$131
(17)%$306
$432
(29)%
Citi-branded cards382
425
(10)441
375
18
1,187
1,109
7
Citi retail services304
273
11
376
344
9
923
866
7
Total$769
$838
(8)%$926
$850
9 %$2,416
$2,407
— %

NM Not meaningful


1Q193Q19 vs. 1Q183Q18
Net income decreased 8%, due to higher cost of credit and higher expenses, partially offset by a lower effective tax rate and higher revenues.
Revenuesincreased 1%9%, as higher revenues in Citi retail services and retail bankinglower expenses were largelypartially offset by lower revenues in Citi-branded cards, including the impacthigher cost of the $150 million gain on the sale of the Hilton portfolio in the prior-year period. Excluding the gain on sale, revenuescredit.
Revenues increased 4%, reflecting growth in all three businesses.Citi-branded cards and Citi retail services, partially offset by lower retail banking revenues.
Retail banking revenues increased 1%. Excluding mortgage revenues (declinedecreased 2%, as the benefit of 12%), revenues were up 2%, drivenstronger deposit volumes was more than offset by continued growth inlower deposit spreads, as well as modest deposit growth.reflecting lower interest rates. Average deposits increased 1%3% and assets under management increased 9%8%. The decline in mortgageCiti expects that retail banking revenues was drivenwill likely continue to be impacted by lower origination activity and higher cost of funds, reflecting the higherlower interest rate environment.environment in the near term.
Cards revenues were largely unchanged. Excluding the gain on sale, revenues were up 5%increased 7%. In Citi-branded cards, revenues decreased 2%, including the impact of the gain on sale in the prior-year period. Excluding the gain on sale, Citi-branded cards revenues increased 5%11%, primarily driven by continued growth in interest-earning balances. Average loans increased 1%, compared to the first quarter of 2018, which represented the peak level of promotional balances in 2018, as Citi has now optimized its mix of interest-earning to non-interest earning balances. Purchase3% and purchase sales increased 6%, or 7% excluding Hilton..
Citi retail services revenues increased 3%1%, primarily reflectingdriven by organic loan growth and the benefit of the L.L.Bean portfolio acquisition.growth. Average loans andincreased 1%, while purchase sales both increased 7%decreased 2%.
Expenses increased 1%decreased 2%, as volume growthefficiency savings more than offset ongoing investments and investments were largely offset by efficiency savings.higher volume-related expenses.
Provisions increased 8%12% from the prior-year period, primarily driven by higher net credit losses partially offset byand a lowerhigher net loan loss reserve build. Net credit losses increased 10%9%, primarily driven by higher net credit losses in Citi-branded cards (up 8%11% to $706$712 million) and Citi retail services (up 10%6% to $663$598 million). The increase in net credit losses primarily reflected volume growth and seasoning in both cards portfolios.
The net loan loss reserve build in the current quarter was $103$174 million, (compared to a build of $119 million in the prior-year period), reflecting volume growth and seasoning in both cards portfolios.portfolios (compared to a build of $121 million in the prior-year period).
For additional information on North America GCB’s retail banking, including commercial banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.
For additional information on Citi retail services’ co-brand and private label credit card products with Sears, see “Forward-Looking Statements” below and “North America GCB” and “Risk Factors—Strategic Risks” in Citi’s 2018 Annual Report on Form 10-K.

2019 YTD vs. 2018 YTD
Year-to-date, North America GCB experienced similar trends to those described above. Net income was largely unchanged, as higher revenues were offset by higher cost of credit, while expenses were largely unchanged.
Revenues increased 3%. Excluding the impact of the $150 million gain on the Hilton portfolio sale in the prior-year period, revenues increased 4%, reflecting higher revenues in Citi-branded cards and Citi retail services. Retail banking revenues were largely unchanged. Cards revenues increased 4% (5% excluding the Hilton gain). In Citi-branded cards, revenues increased 5% (8% excluding the Hilton gain), driven by the same factors described above. Citi retail services revenues increased 2%, driven by organic loan growth and the benefit of the L.L.Bean portfolio acquisition.
Expenses were largely unchanged, as efficiency savings were offset by ongoing investments and higher volume-related expenses.
Provisions increased 10%. Net credit losses increased 10%, driven by volume growth and seasoning in both cards portfolios. The net loan loss reserve build increased 2% 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 businesses in Mexico through Citibanamex, one of Mexico’s largest banks.
At March 31,September 30, 2019, Latin America GCB had 1,4641,458 retail branches in Mexico, with approximately 30.030.3 million retail banking customer accounts, $19.7$19.3 billion in retail banking loans and $28.4$28.3 billion in deposits. In addition, the business had approximately 5.55.3 million Citi-branded card accounts with $5.6$5.5 billion in outstanding card loan balances.

First Quarter Third Quarter Nine Months% Change
In millions of dollars, except as otherwise noted20192018% Change20192018% Change20192018
Net interest revenue$975
$997
(2)%$1,017
$1,042
(2)%$3,009
$3,052
(1)%
Non-interest revenue406
343
18
373
622
(40)1,194
1,327
(10)
Total revenues, net of interest expense$1,381
$1,340
3 %$1,390
$1,664
(16)%$4,203
$4,379
(4)%
Total operating expenses$735
$755
(3)%$781
$825
(5)%$2,281
$2,359
(3)%
Net credit losses$298
$278
7 %$285
$307
(7)%$868
$863
1 %
Credit reserve build(7)42
NM
(8)31
NM
(5)106
NM
Provision (release) for unfunded lending commitments—
1
(100)—
—
—
(1)1
NM
Provision for benefits and claims6
20
(70)13
22
(41)32
59
(46)
Provisions for credit losses and for benefits and claims (LLR & PBC)$297
$341
(13)%$290
$360
(19)%$894
$1,029
(13)%
Income from continuing operations before taxes$349
$244
43 %$319
$479
(33)%$1,028
$991
4 %
Income taxes97
65
49
81
148
(45)276
284
(3)
Income from continuing operations$252
$179
41 %$238
$331
(28)%$752
$707
6 %
Noncontrolling interests—
—
—
Net income$252
$179
41 %$238
$331
(28)%$752
$707
6 %
Balance Sheet data and ratios (in billions of dollars)


 



 

 
 


Average assets$44
$44
— %$47
$45
4 %$45
$44
2 %
Return on average assets2.32%1.65%

2.01%2.92%

2.23%2.15%

Efficiency ratio53
56


56
50


54
54


Average deposits$28.6
$28.9
(1)$29.2
$29.4
(1)$29.0
$28.9
—
Net credit losses as a percentage of average loans4.72%4.29%

4.45%4.63%

4.55%4.44%

Revenue by business

 



 

  

Retail banking$1,008
$959
5 %$972
$1,259
(23)%$2,995
$3,211
(7)%
Citi-branded cards373
381
(2)418
405
3
1,208
1,168
3
Total$1,381
$1,340
3 %$1,390
$1,664
(16)%$4,203
$4,379
(4)%
Income from continuing operations by business

 



 

 
 


Retail banking$197
$134
47 %$155
$276
(44)%$544
$562
(3)%
Citi-branded cards55
45
22 %83
55
51
208
145
43
Total$252
$179
41 %$238
$331
(28)%$752
$707
6 %
FX translation impact

 

  


Total revenues—as reported$1,390
$1,664
(16)%$4,203
$4,379
(4)%
Impact of FX translation(1)
—
(59)

—
(86)

Total revenues—ex-FX(2)
$1,390
$1,605
(13)%$4,203
$4,293
(2)%
Total operating expenses—as reported$781
$825
(5)%$2,281
$2,359
(3)%
Impact of FX translation(1)
—
(26)

—
(41)

Total operating expenses—ex-FX(2)
$781
$799
(2)%$2,281
$2,318
(2)%
Provisions for LLR & PBC—as reported$290
$360
(19)%$894
$1,029
(13)%
Impact of FX translation(1)
—
(14)

—
(22)

Provisions for LLR & PBC—ex-FX(2)
$290
$346
(16)%$894
$1,007
(11)%
Net income—as reported$238
$331
(28)%$752
$707
6 %
Impact of FX translation(1)
—
(14)

—
(16)

Net income—ex-FX(2)
$238
$317
(25)%$752
$691
9 %


FX translation impact

 

Total revenues—as reported$1,381
$1,340
3 %
Impact of FX translation(1)
—
(43)

Total revenues—ex-FX(2)
$1,381
$1,297
6 %
Total operating expenses—as reported$735
$755
(3)%
Impact of FX translation(1)
—
(21)

Total operating expenses—ex-FX(2)
$735
$734
— %
Provisions for LLR & PBC—as reported$297
$341
(13)%
Impact of FX translation(1)
—
(11)

Provisions for LLR & PBC—ex-FX(2)
$297
$330
(10)%
Net income—as reported$252
$179
41 %
Impact of FX translation(1)
—
(7)

Net income—ex-FX(2)
$252
$172
47 %
(1)Reflects the impact of FX translation into U.S. dollars at the firstthird quarter of 2019 and year-to-date 2019 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.

1Q193Q19 vs. 1Q183Q18
Net income increased 47%decreased 25%, reflecting higherlower revenues, partially offset by lower expenses and lower cost of credit, partially offset by a higher effective tax rate, while expenses were largely unchanged.credit.
Revenues increased 6%decreased 13%, including the impact of thea gain on sale (approximately $250 million) of an asset management business in Mexico in 2018. The impact was a net benefit in the current quarter, as Citi recorded a small residualprior-year period. Excluding the gain on the sale, partially offset by the absence of related revenues. Excluding this impact, Latin America GCB revenues increased 5%3%, largelyprimarily driven by higher retail banking revenues.an increase in cards revenues and improved deposit spreads.
Retail banking revenues decreased 20%. Excluding the gain on sale, retail banking revenues increased 9% (7% excluding the impact)1%, driven by continued deposit growth, as well as improved deposit spreads due to higher interest rates.were largely offset by lower average loans (down 2%), reflecting the ongoing slowdown in overall economic growth and industry volumes in Mexico. Average deposits and assets under management both grew 1%were up 2%. Average loans declined 2%, due in part to a slowdown in commercial banking activity where client sentiment has become more cautious. Cards revenues increased 1%7%, due toprimarily driven by continued volume growth, reflecting higher purchase sales (up 8%6%) and full-rate revolving loans, partially offset by lower fees revenue.as well as higher rates. Average cards loans grew 5%2%. Although consumer confidence remained strong in Mexico in the current quarter, Latin America GCB has begun to see a slowdown in overall economic growth and industry lending volumes in Mexico.
Expenses were largely unchanged,decreased 2%, as efficiency savings more than offset ongoing investment spending and volume-driven growth were offset by efficiency savings.growth.
Provisions decreased 10%16%, as higher net credit losses were more than offsetprimarily driven by a modest net loan loss reserve release compared(compared to a net loan loss reserve build in the prior-year period. The increase inperiod) and lower net credit losses, was primarily driven by volume growth and seasoning in the cards portfolio.reflecting lower volumes.
For additional information on Latin America GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.


 

2019 YTD vs. 2018 YTD
Year-to-date, Latin America GCB experienced similar trends to those described above. Net income increased 9%, driven by the same factors described above.
Revenues decreased 2%, including the gain on sale. Excluding the gain on sale, revenues increased 4%, reflecting higher revenues in both retail banking and cards. Retail banking revenues increased 3% (excluding the gain on sale), driven by the same factors described above. Cards revenues increased 5%, driven by the same factors described above.
Expenses decreased 2%, driven by the same factors described above.
Provisions decreased 11%, primarily driven by a modest net loan loss reserve release (compared to a net loan loss reserve build in the prior-year period).











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.businesses. During the firstthird quarter of 2019, Asia GCB’s most significant revenues in Asia were from Hong Kong, Singapore, India, Taiwan, Korea, India, Australia, Taiwan, Thailand, Philippines, Indonesia and Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily Poland, Russia and the United Arab Emirates.
At March 31,September 30, 2019, on a combined basis, the businesses had 251249 retail branches, approximately 15.916.4 million retail banking customer accounts, $70.0$70.7 billion in retail banking loans and $101.7$102.3 billion in deposits. In addition, the businesses had approximately 15.2 million Citi-branded card accounts with $18.8 billion in outstanding card loan balances.

First Quarter Third Quarter Nine Months% Change
In millions of dollars, except as otherwise noted (1)
20192018% Change20192018% Change20192018
Net interest revenue$1,220
$1,233
(1)%$1,225
$1,210
1 %$3,670
$3,669
— %
Non-interest revenue665
696
(4)691
645
7
2,046
1,980
3
Total revenues, net of interest expense$1,885
$1,929
(2)%$1,916
$1,855
3 %$5,716
$5,649
1 %
Total operating expenses$1,204
$1,277
(6)%$1,168
$1,165
— %$3,550
$3,649
(3)%
Net credit losses$164
$162
1 %$183
$165
11 %$523
$497
5 %
Credit reserve build (release)(15)(21)29
5
39
(87)(3)24
NM
Provision (release) for unfunded lending commitments—
2
(100)1
1
—
1
4
(75)
Provisions for credit losses$149
$143
4 %$189
$205
(8)%$521
$525
(1)%
Income from continuing operations before taxes$532
$509
5 %$559
$485
15 %$1,645
$1,475
12 %
Income taxes116
136
(15)137
102
34
377
359
5
Income from continuing operations$416
$373
12 %$422
$383
10 %$1,268
$1,116
14 %
Noncontrolling interests—
2
(100)2
1
100
3
4
(25)
Net income$416
$371
12 %$420
$382
10 %$1,265
$1,112
14 %
Balance Sheet data and ratios (in billions of dollars)












 
 


Average assets$132
$131
1 %$133
$130
2 %$133
$130
2 %
Return on average assets1.28%1.15%

1.25%1.17%

1.27%1.14%

Efficiency ratio64
66
 61
63
 62
65


Average deposits$99.3
$99.1
—
$100.6
$97.6
3
$100.2
$98.1
2
Net credit losses as a percentage of average loans0.75%0.73%

0.82%0.75%

0.79%0.75%

Revenue by business      

Retail banking$1,143
$1,198
(5)%$1,210
$1,123
8 %$3,561
$3,463
3 %
Citi-branded cards742
731
2
706
732
(4)2,155
2,186
(1)
Total$1,885
$1,929
(2)%$1,916
$1,855
3 %$5,716
$5,649
1 %
Income from continuing operations by business











  

Retail banking$246
$246
— %$311
$256
21 %$880
$766
15 %
Citi-branded cards170
127
34
111
127
(13)388
350
11
Total$416
$373
12 %$422
$383
10 %$1,268
$1,116
14 %


FX translation impact



  

Total revenues—as reported$1,885
$1,929
(2)%$1,916
$1,855
3 %$5,716
$5,649
1 %
Impact of FX translation(2)
—
(70)

—
(23)

—
(134)

Total revenues—ex-FX(3)
$1,885
$1,859
1 %$1,916
$1,832
5 %$5,716
$5,515
4 %
Total operating expenses—as reported$1,204
$1,277
(6)%$1,168
$1,165
— %$3,550
$3,649
(3)%
Impact of FX translation(2)
—
(49)

—
(18)

—
(94)

Total operating expenses—ex-FX(3)
$1,204
$1,228
(2)%$1,168
$1,147
2 %$3,550
$3,555
— %
Provisions for loan losses—as reported$149
$143
4 %$189
$205
(8)%$521
$525
(1)%
Impact of FX translation(2)
—
(8)

—
(6)

—
(19)

Provisions for loan losses—ex-FX(3)
$149
$135
10 %$189
$199
(5)%$521
$506
3 %
Net income—as reported$416
$371
12 %$420
$382
10 %$1,265
$1,112
14 %
Impact of FX translation(2)
—
(6)

—
—


—
(14)

Net income—ex-FX(3)
$416
$365
14 %$420
$382
10 %$1,265
$1,098
15 %

(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 firstthird quarter of 2019 and year-to-date 2019 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.

1Q193Q19 vs. 1Q183Q18
Net income increased 14%10%, reflecting higher revenues and lower expenses and a lower effective tax rate,cost of credit, partially offset by higher cost of credit.expenses.
Revenues increased 1%5%, driven by higher cardsinvestment and deposit revenues, partially offset by lower retail bankingcards revenues.
Retail banking revenues decreased 1%increased 9% compared to the prior-year period, which included a modest one-time gain. Excluding the gain, retail banking revenues increased 1%, as continued growth in deposit and insurance revenues was more than offsetprimarily driven by lowerhigher investment revenues due to weakerimproved market sentiment.sentiment as well as higher deposit revenues. Investment sales decreased 24%increased 25%, while assets under management grew 10%8%, average deposits increased 4%5% and average loans increased 3%4%. Retail lending revenues declined 1%,were largely unchanged, as continued growth in personal loans was more than offset by lower mortgage revenues due to spread compression.
Cards revenues increased 6%decreased 2%, driven byas continued growth in average loans (up 3%) and purchase sales (up 5%7%), as well as a modest one-time gain. Excluding the gain, cards revenues grew 1%. were more than offset by spread compression.
Expenses decreasedincreased 2%, as efficiency savings were more than offset volume-driven growth andby ongoing investment spending.spending and volume-driven growth.
Provisions increased 10%decreased 5%, primarily drivenreflecting a lower net loan loss reserve build in the current quarter, partially offset by higher net credit losses. Net credit losses, increased 7%, primarily reflecting volume growth and seasoning. Overall credit quality continued to remain stable in the region.
For additional information on Asia GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.


2019 YTD vs. 2018 YTD
Net income increased 15%, primarily driven by higher revenues, partially offset by higher cost of credit.
Revenues increased 4%, driven by growth in both retail banking and cards. Retail banking revenues increased 5% from the prior-year period, reflecting growth in deposits, partially offset by lower investment and retail lending revenues. Cards revenues were up 1%, driven by continued growth in average loans and purchase sales, partially offset by spread compression.
Expenses were largely unchanged, as efficiency savings more than offset ongoing investment spending and volume-driven growth.
Provisions increased 3%, as higher net credit losses, reflecting volume growth and seasoning, were partially offset by a modest net loan loss reserve release in the current period versus a net loan loss reserve build in the prior-year period.













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. For more information on ICG’s business activities, see “Institutional“Institutional Clients Group”Group” in Citi’s 2018 Annual Report on Form 10-K.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 98 countries and jurisdictions. At March 31,September 30, 2019, ICG had approximately $1.4$1.5 trillion ofin assets and $702$753 billion ofin deposits, while two of its businesses—securities services and issuer services—managed approximately $18.3$19.2 trillion ofin assets under custody compared to $17.7$18.0 trillion at the end of the prior-year period.

First Quarter Third Quarter Nine Months% Change
In millions of dollars, except as otherwise noted20192018% Change20192018% Change20192018
Commissions and fees$1,121
$1,213
(8)%$1,091
$1,085
1 %$3,258
$3,425
(5)%
Administration and other fiduciary fees670
694
(3)693
686
1
2,059
2,093
(2)
Investment banking1,112
985
13
1,044
1,029
1
3,256
3,260
—
Principal transactions2,631
2,844
(7)2,578
2,252
14
7,140
7,435
(4)
Other(1)285
465
(39)310
184
68
1,310
828
58
Total non-interest revenue$5,819
$6,201
(6)%$5,716
$5,236
9 %$17,023
$17,041
— %
Net interest revenue (including dividends)3,875
3,654
6
3,798
4,012
(5)11,906
11,759
1
Total revenues, net of interest expense$9,694
$9,855
(2)%$9,514
$9,248
3 %$28,929
$28,800
— %
Total operating expenses$5,427
$5,506
(1)%$5,418
$5,194
4 %$16,201
$16,160
— %
Net credit losses$55
$105
(48)%$89
$23
NM
$216
$127
70 %
Credit reserve build (release)(54)(175)69
(7)7
NM
(14)(136)90
Provision (release) for unfunded lending commitments20
29
(31)9
41
(78)%13
64
(80)
Provisions for credit losses$21
$(41)NM
$91
$71
28 %$215
$55
NM
Income from continuing operations before taxes$4,246
$4,390
(3)%$4,005
$3,983
1 %$12,513
$12,585
(1)%
Income taxes924
1,056
(13)835
862
(3)2,678
2,889
(7)
Income from continuing operations$3,322
$3,334
— %$3,170
$3,121
2 %$9,835
$9,696
1 %
Noncontrolling interests11
15
(27)8
(6)NM
29
21
38
Net income$3,311
$3,319
— %$3,162
$3,127
1 %$9,806
$9,675
1 %
EOP assets (in billions of dollars)
$1,425
$1,407
1 %$1,479
$1,404
5 %   
Average assets (in billions of dollars)
1,414
1,388
2
1,465
1,402
4
$1,443
$1,399
3 %
Return on average assets0.95%0.97%

0.86%0.88%

0.91%0.92%

Efficiency ratio56
56


57
56


56
56


Revenues by region 

 

  

North America$3,119
$3,266
(5)%$3,104
$3,329
(7)%$9,701
$10,106
(4)%
EMEA3,170
3,167
—
3,138
2,927
7
9,268
9,137
1
Latin America1,160
1,216
(5)1,173
1,061
11
3,528
3,445
2
Asia2,245
2,206
2
2,099
1,931
9
6,432
6,112
5
Total$9,694
$9,855
(2)%$9,514
$9,248
3 %$28,929
$28,800
— %
Income from continuing operations by region 

 

  


North America$714
$858
(17)%$801
$871
(8)%$2,537
$2,759
(8)%
EMEA1,125
1,113
1
1,060
971
9
3,190
3,070
4
Latin America503
494
2
466
544
(14)1,460
1,555
(6)
Asia980
869
13
843
735
15
2,648
2,312
15
Total$3,322
$3,334
— %$3,170
$3,121
2 %$9,835
$9,696
1 %

Average loans by region (in billions of dollars)
 

 

  


North America$176
$160
10 %$179
$166
8 %$177
$164
8 %
EMEA84
78
8
88
82
7
86
80
8
Latin America34
34
—
31
33
(6)33
33
—
Asia63
67
(6)63
65
(3)63
67
(6)
Total$357
$339
5 %$361
$346
4 %$359
$344
4 %
EOP deposits by business (in billions of dollars)
      

Treasury and trade solutions$475
$449
6 %$506
$470
8 %  

All other ICG businesses
227
217
5
247
215
15






Total$702
$666
5 %$753
$685
10 %






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

ICG Revenue Details
First Quarter Third Quarter Nine Months% Change
In millions of dollars20192018% Change20192018% Change20192018
Investment banking revenue details
       
Advisory$378
$215
76 %$276
$262
5 %$886
$838
6 %
Equity underwriting172
216
(20)247
259
(5)733
810
(10)
Debt underwriting804
699
15
705
660
7
2,246
2,085
8
Total investment banking$1,354
$1,130
20 %$1,228
$1,181
4 %$3,865
$3,733
4 %
Treasury and trade solutions2,395
2,268
6
2,410
2,283
6
7,246
6,887
5
Corporate lending—excluding gains (losses) on loan hedges(1)
569
521
9
527
563
(6)1,634
1,673
(2)
Private bank880
904
(3)867
849
2
2,613
2,601
—
Total banking revenues (ex-gains (losses) on loan hedges)$5,198
$4,823
8 %
Total Banking revenues (ex-gains (losses) on loan hedges)
$5,032
$4,876
3 %$15,358
$14,894
3 %
Corporate lending—gains (losses) on loan hedges(1)
$(231)$23
NM
$(33)$(106)69 %$(339)$(60)NM
Total banking revenues (including gains (losses) on loan hedges), net of interest expense$4,967
$4,846
2 %
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense
$4,999
$4,770
5 %$15,019
$14,834
1 %
Fixed income markets(2)$3,452
$3,425
1 %$3,211
$3,206
— %$9,986
$9,713
3 %
Equity markets842
1,103
(24)760
792
(4)2,392
2,759
(13)
Securities services638
641
—
664
672
(1)1,984
1,978
—
Other(205)(160)(28)(120)(192)38
(452)(484)7
Total markets and securities services revenues, net of interest expense$4,727
$5,009
(6)%
Total Markets and securities services revenues, net of interest expense
$4,515
$4,478
1 %$13,910
$13,966
— %
Total revenues, net of interest expense$9,694
$9,855
(2)%$9,514
$9,248
3 %$28,929
$28,800
— %
Commissions and fees$174
$175
(1)%$194
$164
18 %$566
$521
9 %
Principal transactions(2)(3)
2,377
2,192
8
2,080
2,026
3
6,327
6,332
—
Other(2)150
275
(45)183
86
NM
866
389
NM
Total non-interest revenue$2,701
$2,642
2 %$2,457
$2,276
8 %$7,759
$7,242
7 %
Net interest revenue751
783
(4)754
930
(19)2,227
2,471
(10)
Total fixed income markets(4)$3,452
$3,425
1 %$3,211
$3,206
— %$9,986
$9,713
3 %
Rates and currencies$2,402
$2,477
(3)%$2,491
$2,353
6 %$7,011
$7,071
(1)%
Spread products/other fixed income1,050
948
11
720
853
(16)2,975
2,642
13
Total fixed income markets$3,452
$3,425
1 %$3,211
$3,206
— %$9,986
$9,713
3 %
Commissions and fees$293
$361
(19)%$287
$285
1 %$854
$954
(10)%
Principal transactions(2)(3)
396
537
(26)388
284
37
791
922
(14)
Other7
80
(91)2
(4)NM
19
96
(80)
Total non-interest revenue$696
$978
(29)%$677
$565
20 %$1,664
$1,972
(16)%
Net interest revenue146
125
17
83
227
(63)728
787
(7)
Total equity markets(4)$842
$1,103
(24)%$760
$792
(4)%$2,392
$2,759
(13)%


(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 include 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)The nine months of 2019 includes an approximate $350 million gain on Citi's investment in Tradeweb.
(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.

1Q193Q19 vs. 1Q183Q18
Net income increased 1%, as revenue growth was largely unchanged, as lower revenuespartially offset by higher expenses and a higher cost of credit were offset by lower expenses and a lower effective tax rate.credit.

•
Revenues decreased 2%were up 3%, as a 2% increase inprimarily reflecting higher Banking (includingrevenues (increase of 5%, including the impact of the gains (losses) on loan hedges) was more than offset by a 6% decrease inand higher Markets and securities services, largely driven by lower revenues in equity markets.(increase of 1%). Excluding the impact of the gains (losses) on loan hedges, Banking revenues increased 8%were up 3%, primarily driven by growthhigher revenues in investment banking, treasury and trade solutions, investment banking and corporate lending,the private bank, partially offset by a declinelower revenues in private bank.corporate lending. Markets and securities services revenues were up 1%, although fixed income markets revenues were largely unchanged and equity markets revenues decreased.
Citi expects that ICG’s revenues will likely be impacted by the lower interest rate environment in the near term.

Within Banking:

•
Investment banking revenues increased 20%4%, outperforming the market wallet, as strong growthstrength in advisory and investment-grade debt underwriting and advisory revenues more than offset lower equity underwriting revenues. Advisory revenues increased 5%, primarily driven by strength in EMEA. Equity underwriting revenues decreased 5%, driven by a decline in equity underwriting. Advisorymarket share in the quarter, while share is up year-to-date. Debt underwriting revenues increased 76%7%, reflecting gains in wallet share, and strong performanceparticularly in North America and EMEA. Debt underwriting revenues increased 15%, reflecting wallet share gains, with strength in North America. Equity underwriting revenues decreased 20%, driven by declines in both market wallet and wallet share.investment-grade underwriting.
•
Treasury and trade solutions revenues increased 6%. Excluding the impact of FX translation, revenues increased 7%, driven by growth in both the cash and trade businesses, reflecting both higher net interest and fee revenues. Average deposit balances increased 10% (11% excluding the impact of FX translation), reflecting strength instrong growth across all regions. Revenue growth in the cash business was primarily driven byreflected continued growth in deposit balancesdeposits and improved deposit spreads. Trade revenuetransaction volumes, partially offset by spread compression. Revenue growth in the trade business was driven primarily by improved loan spreads partiallyand higher episodic fees, modestly offset by lower episodic fees. Average deposit balances increased 7% (10% excluding the impact of FX translation), with strong growth across regions. Averageaverage trade loans decreased 4% (a decrease of 1% excluding the impact of FX translation), as growth in (for additional information, see “Liquidity Risk—Loans” below)EMEA and Latin America was more than offset by North America and Asia, as the businesses maintained strong origination volumes, while reducing lower spread assets and increasing asset sales to optimize returns..
•
Corporate lendingrevenues decreased from $544 million to $338 million.increased 8%. Excluding the impact of gains (losses) on loan hedges, revenues increased 9%, driven by higher loan volumes and spread expansion. Average loans increased 1% (4% excluding the impact of FX translation).
 
decreased 6%, driven by lower spreads and higher hedging costs.
•
Private bank revenues decreased 3% from aincreased 2%, reflecting growth in North America and Asia, partially offset by lower revenues in EMEA. The increase in revenues reflected strong prior-year period, primarilyclient activity, which drove higher loan and deposit volumes and higher investments revenues, partially offset by spread compression.

Within Markets and securities services:

•
Fixed income markets revenues were largely unchanged, as lower revenues in North America were offset by higher revenues in EMEA, Asia and Latin America. Net interest revenues declined due to a change in the mix of trading positions in support of client activity. This decrease was offset by higher mortgage funding costsnon-interest revenues, reflecting higher corporate and investor client activity in both rates and flow products.
Rates and currencies revenues increased 6%, primarily driven by higher revenues in G10 rates and local markets rates and currencies. The increase in G10 rates revenues was driven by higher revenues in North America,reflecting a more favorable operating environment along with higher investor client activity. The increase in local markets rates and currencies revenues reflected higher corporate and investor client activity, given improved currency volatility.
Spread products and other fixed income revenues decreased 16%, as higher client activity in flow products and financing was more than offset by a continued challenging market environment in structured products, particularly in North America.
•
Equity markets revenues decreased 4%, primarily reflecting lower managed investments revenue,revenues in prime finance, partially offset by higher volumes.revenues in equity derivatives, while revenues in cash equities were largely unchanged. Prime finance revenues declined across all regions, reflecting lower client activity and lower balances. Equity derivatives revenues increased, reflecting strong investor and corporate client activity as well as improved volatility. Net interest revenues decreased, partially offset by higher principal transactions revenues, reflecting a change in the mix of trading positions in support of client activity.
•
Securities services revenues decreased 1%. Excluding the impact of FX translation, revenues increased 2%, driven

by higher client volumes as well as higher interest rates in emerging markets.

Expenses increased 4%, as investments, volume-related growth and higher compensation costs were partially offset by efficiency savings.
Provisions increased $20 million to $91 million, largely driven by higher net credit losses (up $66 million), partially offset by a lower net loan loss reserve build (build of $2 million) as compared to the prior-year period (build of $48 million).

2019 YTD vs. 2018 YTD
Net income increased 1%, primarily driven by a lower effective tax rate, partially offset by higher credit costs, while revenues and expenses were largely unchanged.

•
Revenues were largely unchanged, as Banking revenues increased 1% (including the impact of the gains (losses) on loan hedges), while Markets and securities services revenues were largely unchanged. Excluding the impact of the gains (losses) on loan hedges, Banking revenues increased 3%, primarily driven by higher revenues in treasury and trade solutions and investment banking, partially offset by lower revenues in corporate lending.

Within Banking:

•
Investment banking revenues increased 4%. Advisory revenues increased 6%, reflecting gains in wallet share despite a decline in overall market wallet. Equity underwriting revenues decreased 10%, reflecting market wallet declines. Debt underwriting revenues increased 8%, reflecting gains in wallet share, primarily in investment-grade underwriting.
•
Treasury and trade solutions revenues increased 5%. Excluding the impact of FX translation, revenues increased 8%, reflecting growth in both the cash and trade businesses, driven by continued growth in deposit volumes and improved loan spreads as well as strong fee growth across most cash products.
•
Corporate lending revenues decreased 20%. Excluding the impact of gains (losses) on loan hedges, revenues decreased 2%, driven by higher hedging costs and lower spreads.
•
Private bank revenues were largely unchanged versus the prior-year period, as higher loan and deposit volumes were offset by spread compression.

Within Markets and securities services:

•
Fixed income markets revenues increased 1%3%, including the Tradeweb gain, primarily due toreflecting higher revenues in EMEAAsia and and AsiaEMEA. The increase inRates and currencies revenues decreased 1%, driven by the challenging market environment. Spread products and other fixed income revenues increased 13%, reflecting the Tradeweb gain as well as strong flow trading revenues, partially offset by lower structured products revenues.
revenues was largely driven by higher non-interest revenue, partially offset by lower net interest revenue due to higher funding costs, given the higher interest rate environment. The increase in non-interest revenues was primarily driven by higher principal transactions revenues, reflecting higher investor client activity in a more favorable market environment than the prior-year period, particularly in rates and spread products.
Rates and currencies revenues decreased 3%, as strength in G10 rates was more than offset by lower FX revenues, primarily in EMEA and Latin America. The lower FX revenues were driven by declining currency volatility, while corporate client activity remained stable. The increase in rates was driven by strong client activity as well as a comparison to a less favorable environment in the prior-year period.
Spread products and other fixed income revenues increased 11%, primarily driven by higher revenues in flow trading, notably corporate bonds and agency mortgage-backed securities (MBS) in North America and EMEA due to increased investor client activity. This increase in revenues was partially offset by weakness in structured products in North America, reflecting a more challenging market environment.
•
Equity markets revenues decreased 24%13%, compared to a strong prior-year period that benefited from a more favorable market environment with higher volatility. Equity derivatives revenues declined, primarily indriven by North Americaand and Asia, reflecting the less favorable market environment. The decrease in equity markets revenues was also driven by lower market volumes globally, and lower client financing balances. Non-interest revenues decreased, primarily driven by lower principal transactions revenues, reflecting a less favorable market environment, as well as lower commissions and fees revenues.challenging operating
environment with lower client revenues as well as comparison to a strong prior-year period characterized by higher market volatility.
•
Securities services revenues were largely unchanged.unchanged. Excluding the impact of FX translation, revenues increased 5%, as strength in Asia was offset by lower revenues in North America and EMEA, reflecting growth in both client volumes and assets under custody, as well as higher net interest revenue, driven by higher clientdeposit volumes and an increase in interest revenues from higher interest rates.


Expenses decreased 1%,were largely unchanged, as efficiency savings offset investments, higher compensation and a benefit from FX translation were partially offset by investments and higher volume-related expenses.volume-driven growth.
Provisions increased $62$160 million primarilyto $215 million, due to higher net credit losses (up $89 million), as well as a smaller benefit fromlower net loan loss reserve releases in the current quarterrelease (release of $34 million,$1 million) as compared to a benefit of $146 million in the prior-year period partially offset by lower net(release of $72 million), reflecting a normalization of credit losses. Provisions of $21 million in the current quarter were driven by volume-related reserve builds, partially offset by loan-specific reserve releases, including the paydown of certain non-accrual loans.costs.







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 legacy consumer loan portfolios, other legacy assets and discontinued operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At March 31,September 30, 2019, Corporate/Other had $107$96 billion in assets, up $15 billion year-over-year.assets.

First Quarter Third Quarter Nine Months% Change
In millions of dollars20192018% Change20192018% Change20192018
Net interest revenue$631
$538
17 %$412
$554
(26)%$1,488
$1,645
(10)%
Non-interest revenue(200)53
NM
(10)(61)84
(123)(33)NM
Total revenues, net of interest expense$431
$591
(27)%$402
$493
(18)%$1,365
$1,612
(15)%
Total operating expenses$549
$742
(26)%$485
$459
6 %$1,515
$1,801
(16)%
Net credit losses$2
$26
(92)%
Net credit losses (recoveries)$1
$19
(95)%$5
$24
(79)%
Credit reserve build (release)(26)(33)21
(16)(43)63
(62)(171)64
Provision (release) for unfunded lending commitments(1)—
—
—
(5)100
(5)(6)17
Provision for benefits and claims—
—
NM
—
(1)100
—
(2)100
Provisions for credit losses and for benefits and claims$(25)$(7)NM
Provisions (release) for credit losses and for benefits and claims$(15)$(30)50 %$(62)$(155)60 %
Income (loss) from continuing operations before taxes$(93)$(144)35 %$(68)$64
NM
$(88)$(34)NM
Income taxes (benefits)(71)(69)(3)(255)116
NM
(289)109
NM
Income (loss) from continuing operations$(22)$(75)71 %$187
$(52)NM
$201
$(143)NM
Income (loss) from discontinued operations, net of taxes(2)(7)71
(15)(8)(88)%—
—
— %
Net income (loss) before attribution of noncontrolling interests$(24)$(82)71 %$172
$(60)NM
$201
$(143)NM
Noncontrolling interests14
5
NM
5
8
(38)%18
26
(31)%
Net income (loss)$(38)$(87)56 %$167
$(68)NM
$183
$(169)NM
NM Not meaningful

1Q193Q19 vs. 1Q183Q18
The net lossNet income was $38$167 million, compared to a net loss of $87$68 million in the prior-year period. The lower net lossNet income was largely driven by an income tax benefit of $255 million, compared to income tax of $116 million in the prior-year period, primarily reflecting the tax benefit of the reduction in the valuation allowance related to Citi’s deferred tax assets and a pretax loss in the current period (see “Income Taxes—DTA Valuation Allowance (VA) Release” below). The pretax loss was driven by lower revenue, higher expenses and a lower cost of credit, partially offset by lower revenues.net loan loss reserve release in the current period.
Revenues decreased 27%, primarily driven by the continued wind-down of legacy assets.
Expenses decreased 26%18%, primarily driven by the wind-down of legacy assets.
Expenses increased 6%, primarily reflecting higher infrastructure costs, partially offset by the wind-down of legacy assets.
Provisions decreased $18increased $15 million to a net benefit of $25$15 million, as lower net credit losses were partially offset byprimarily due to a lower net loan loss reserve release. The decline inrelease and lower net credit losses, reflected the impact of ongoing divestiture activity,
including the impact ofreflecting the continued wind-down in the legacy North America mortgage portfolio.


2019 YTD vs. 2018 YTD
Net income was $183 million, compared to a net loss of $169 million in the prior-year period, primarily reflecting the tax benefit of the reduction in the valuation allowance in the current period, compared to income taxes in the prior-year period.
Revenues decreased 15%, primarily driven by the wind-down of legacy assets.
Expenses decreased 16%, primarily driven by the wind-down of legacy assets.
Provisions increased $93 million to a net benefit of $62 million, primarily due to a lower net loan loss reserve release, driven by the same factors described above.




OFF-BALANCE SHEET ARRANGEMENTS

The table below shows where a discussion of Citi’s various off-balance sheet arrangements in this Form 10-Q may be found. For additional information, see “Off-Balance Sheet Arrangements” and Notes 1, 21 and 26 to the Consolidated Financial Statements in Citigroup’s 2018 Annual Report on Form 10-K.
Types of Off-Balance Sheet Arrangements Disclosures in this Form 10-Q
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEsSee Note 18 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitmentsSee Note 22 to the Consolidated Financial Statements.
GuaranteesSee Note 22 to the Consolidated Financial Statements.


CAPITAL RESOURCES
For 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 2018 Annual Report on Form 10-K.
During the firstthird quarter of 2019, Citi returned a total of $5.1$6.3 billion of capital to common shareholders in the form of share repurchases (approximately 6676 million common shares) and dividends.
The following tables set forth Citi’s capital components and ratios:

March 31, 2019December 31, 2018
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach20192018Sept. 30, 2019Jun. 30, 2019Dec. 31, 2018Sept. 30, 2019Jun. 30, 2019Dec. 31, 2018
Common Equity Tier 1 Capital $140,355
$140,355
 $139,252
$139,252
 

$138,581
$141,125
$139,252
$138,581
$141,125
$139,252
Tier 1 Capital 158,712
158,712
 158,122
158,122
 

158,033
159,447
158,122
158,033
159,447
158,122
Total Capital (Tier 1 Capital + Tier 2 Capital) 184,418
196,452
 183,144
195,440
  183,996
185,498
183,144
196,354
197,679
195,440
Total Risk-Weighted Assets 1,121,645
1,178,628
 1,131,933
1,174,448




1,145,091
1,133,593
1,131,933
1,197,050
1,187,328
1,174,448
Credit Risk $752,804
$1,118,057
 $758,887
$1,109,007
  $776,367
$763,600
$758,887
$1,134,584
$1,127,714
$1,109,007
Market Risk 59,200
60,571
 63,987
65,441
  61,125
58,824
63,987
62,466
59,614
65,441
Operational Risk 309,641
—
 309,059
—
  307,599
311,169
309,059
—
—
—
Common Equity Tier 1 Capital ratio(2)
10.0%12.51%11.91%8.625%12.30%11.86%10.0%8.625%12.10%12.45%12.30%11.58%11.89%11.86%
Tier 1 Capital ratio(2)
11.5
14.15
13.47
10.125
13.97
13.46
11.5
10.125
13.80
14.07
13.97
13.20
13.43
13.46
Total Capital ratio(2)
13.5
16.44
16.67
12.125
16.18
16.64
13.5
12.125
16.07
16.36
16.18
16.40
16.65
16.64
In millions of dollars, except ratiosEffective Minimum RequirementMarch 31, 2019December 31, 2018Effective Minimum RequirementSept. 30, 2019Jun. 30, 2019Dec. 31, 2018
Quarterly Adjusted Average Total Assets(3)
  $1,899,790
 $1,896,959
 $1,960,675
$1,939,611
$1,896,959
Total Leverage Exposure(4)
  2,463,958
 2,465,641
 2,520,352
2,500,128
2,465,641
Tier 1 Leverage ratio4.0% 8.35% 8.34%4.0%8.06%8.22%8.34%
Supplementary Leverage ratio5.0
 6.44
 6.41
5.0
6.27
6.38
6.41

(1)Citi’s effective minimum risk-based capital requirements during 2019 and 2018 are inclusive of the 100% and 75% phase-in, respectively, of both the 2.5% Capital Conservation Buffer and the 3.0% GSIB surcharge (all of which must be composed of Common Equity Tier 1 Capital).
(2)As of March 31, 2019 and December 31, 2018, 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.framework for all periods presented.
(3)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s risk-based capital ratios at March 31,September 30, 2019 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 March 31,September 30, 2019.


 



Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 11.6% at September 30, 2019, compared to 11.9% at MarchJune 30, 2019 and December 31, 2018. The ratio decreased from the second quarter of 2019 unchanged quarter-over-quarter, as net incomeprimarily due to the return of $4.7$6.3 billion of capital to common shareholders, increases in credit and beneficialmarket risk-weighted assets and adverse net movements in Accumulated other comprehensive income (AOCI) were, partially offset by quarterly net income of $4.9 billion. Citi’s Common Equity Tier 1 Capital ratio declined from year-end 2018 primarily due to the return of $5.1$16.0 billion of capital to common shareholders.shareholders and an increase in credit risk-weighted assets, partially offset by year-to-date net income of $14.4 billion and beneficial net movements in AOCI.


Components of Citigroup Capital
In millions of dollarsMarch 31,
2019		December 31, 2018September 30,
2019		December 31, 2018
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$178,427
$177,928
$177,052
$177,928
Add: Qualifying noncontrolling interests144
147
145
147
Regulatory Capital Adjustments and Deductions: 
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(442)(728)
Regulatory capital adjustments and deductions: 
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax328
(728)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax
(67)580
181
580
Less: Intangible assets:  
Goodwill, net of related DTLs(2)
21,768
21,778
21,498
21,778
Identifiable intangible assets other than MSRs, net of related DTLs
4,390
4,402
4,132
4,402
Less: Defined benefit pension plan net assets811
806
990
806
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards(3)
11,756
11,985
11,487
11,985
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$140,355
$139,252
$138,581
$139,252
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$17,825
$18,292
$19,321
$18,292
Qualifying trust preferred securities(4)
1,386
1,384
1,389
1,384
Qualifying noncontrolling interests45
55
42
55
Regulatory Capital Deductions: 
Regulatory capital deductions: 
Less: Permitted ownership interests in covered funds(5)
848
806
1,265
806
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)
51
55
35
55
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$18,357
$18,870
$19,452
$18,870
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
$158,712
$158,122
$158,033
$158,122
Tier 2 Capital  
Qualifying subordinated debt$23,704
$23,324
$24,081
$23,324
Qualifying trust preferred securities(7)
324
321
317
321
Qualifying noncontrolling interests44
47
44
47
Eligible allowance for credit losses(8)
13,719
13,681
13,914
13,681
Regulatory Capital Deduction: 
Regulatory capital deduction: 
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(6)
51
55
35
55
Total Tier 2 Capital (Standardized Approach)$37,740
$37,318
$38,321
$37,318
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$196,452
$195,440
$196,354
$195,440
Adjustment for excess of eligible credit reserves over expected credit losses(8)
$(12,034)$(12,296)$(12,358)$(12,296)
Total Tier 2 Capital (Advanced Approaches)

$25,706
$25,022
$25,963
$25,022
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$184,418
$183,144
$183,996
$183,144

(1)Issuance costs of $155$159 million as of March 31,September 30, 2019 and $168 million as of December 31, 2018 are related to outstanding noncumulative perpetual preferred stock, which 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)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(3)Of Citi’s $22.8$22.5 billion of net DTAs at March 31,September 30, 2019, $12.0$12.3 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $10.8$10.2 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of March 31,September 30, 2019 was $11.8$11.5 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, which was reduced by $1.0$1.3 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-weightingrisk weighting at 250%.
(4)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.

Footnotes continue on the following page.



(5)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. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds.
(6)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(7)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.
(8)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.7$1.6 billion and $1.4 billion at March 31,September 30, 2019 and December 31, 2018, respectively.


Citigroup Capital Rollforward
In millions of dollarsThree Months Ended 
 March 31, 2019		Three Months Ended 
 September 30, 2019		Nine Months Ended  
  September 30, 2019
Common Equity Tier 1 Capital, beginning of period$139,252
$141,125
$139,252
Net income4,710
4,913
14,422
Common and preferred dividends declared(1,337)(1,437)(4,111)
Net increase in treasury stock(3,491)(5,114)(12,171)
Net decrease in common stock and additional paid-in capital(384)
Net increase in foreign currency translation gains net of hedges, net of tax58
Net change in common stock and additional paid-in capital88
(190)
Net change in foreign currency translation adjustment net of hedges, net of tax(1,442)(1,293)
Net decrease in unrealized losses on debt securities AFS, net of tax1,135
307
2,145
Net increase in defined benefit plans liability adjustment, net of tax(64)(250)(567)
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax76
(56)41
Net increase in ASC 815—excluded component of fair value hedges18
Net change in ASC 815—excluded component of fair value hedges(10)52
Net decrease in goodwill, net of related DTLs10
295
280
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs12
132
270
Net increase in defined benefit pension plan net assets(5)(21)(184)
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards229
60
498
Other136
(9)137
Net increase in Common Equity Tier 1 Capital$1,103
Net decrease in Common Equity Tier 1 Capital$(2,544)$(671)
Common Equity Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$140,355
$138,581
$138,581
Additional Tier 1 Capital, beginning of period$18,870
$18,322
$18,870
Net decrease in qualifying perpetual preferred stock(467)
Net increase in qualifying perpetual preferred stock1,496
1,029
Net increase in qualifying trust preferred securities2
1
5
Net increase in permitted ownership interest in covered funds(42)(365)(459)
Other(6)(2)7
Net decrease in Additional Tier 1 Capital$(513)
Net increase in Additional Tier 1 Capital$1,130
$582
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$158,712
$158,033
$158,033
Tier 2 Capital, beginning of period (Standardized Approach)$37,318
$38,232
$37,318
Net increase in qualifying subordinated debt380
19
757
Net increase in eligible allowance for credit losses38
73
233
Other4
(3)13
Net increase in Tier 2 Capital (Standardized Approach)$422
$89
$1,003
Tier 2 Capital, end of period (Standardized Approach)$37,740
$38,321
$38,321
Total Capital, end of period (Standardized Approach)$196,452
$196,354
$196,354
Tier 2 Capital, beginning of period (Advanced Approaches)$25,022
$26,051
$25,022
Net increase in qualifying subordinated debt380
19
757
Net increase in excess of eligible credit reserves over expected credit losses300
Net change in excess of eligible credit reserves over expected credit losses(104)171
Other4
(3)13
Net increase in Tier 2 Capital (Advanced Approaches)$684
Net change in Tier 2 Capital (Advanced Approaches)$(88)$941
Tier 2 Capital, end of period (Advanced Approaches)$25,706
$25,963
$25,963
Total Capital, end of period (Advanced Approaches)$184,418
$183,996
$183,996



Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
In millions of dollarsThree Months Ended 
 March 31, 2019		Three Months Ended 
 September 30, 2019		Nine Months Ended  
  September 30, 2019
Total Risk-Weighted Assets, beginning of period$1,174,448
$1,187,328
$1,174,448
Changes in Credit Risk-Weighted Assets  
General credit risk exposures(1)
(7,072)5,550
7,555
Repo-style transactions(2)
7,730
4,200
12,261
Securitization exposures(3)
7,331
859
1,257
Equity exposures(3)1,839
(118)3,424
Over-the-counter (OTC) derivatives(4)66
3,651
6,615
Other exposures(4)(5)
5,909
(2,796)4,648
Off-balance sheet exposures(5)(6)
(6,753)(4,476)(10,183)
Net increase in Credit Risk-Weighted Assets$9,050
$6,870
$25,577
Changes in Market Risk-Weighted Assets  
Risk levels(6)(7)
$(4,513)$3,637
$(2,128)
Model and methodology updates(357)(785)(847)
Net decrease in Market Risk-Weighted Assets$(4,870)
Net change in Market Risk-Weighted Assets$2,852
$(2,975)
Total Risk-Weighted Assets, end of period$1,178,628
$1,197,050
$1,197,050

(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures decreasedincreased during the three months and nine months ended March 31,September 30, 2019 primarily due to seasonal holiday spending repayments.growth in commercial and retail loans and increases in investment securities.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(3)SecuritizationEquity exposures increased during the threenine months ended March 31,September 30, 2019 primarily due to increased exposures from new deals.an increase in market value of investments.
(4)OTC derivatives increased during the three months and nine months ended September 30, 2019 primarily due to increases in notionals.
(5)
Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the three months ended March 31, 2019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019.
(5)Off-balance sheet exposures decreased during the three months ended March 31, 2019 primarily due to a decrease in loan commitments.
(6)Risk levels decreased during the three months ended March 31,September 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk.




Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollarsThree Months Ended 
 March 31, 2019
 Total Risk-Weighted Assets, beginning of period$1,131,933
Changes in Credit Risk-Weighted Assets 
Retail exposures(1,512)
Wholesale exposures(1)
(12,307)
Repo-style transactions(970)
Securitization exposures(2)
3,861
Equity exposures1,694
Over-the-counter (OTC) derivatives908
Derivatives CVA(14)
Other exposures(3)
2,601
Supervisory 6% multiplier(344)
Net decrease in Credit Risk-Weighted Assets$(6,083)
Changes in Market Risk-Weighted Assets 
Risk levels(4)
$(4,430)
Model and methodology updates(357)
Net decrease in Market Risk-Weighted Assets$(4,787)
Net increase in Operational Risk-Weighted Assets$582
Total Risk-Weighted Assets, end of period$1,121,645

(1)Wholesale exposures decreased during the three months ended March 31, 2019 primarily due to annual model parameter updates reflecting Citi’s loss experience.
(2)Securitization exposures increased during the three months ended March 31, 2019 mainly due to increased exposures from new deals.
(3)
Other exposures includecentrally cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.derivatives. Other exposures increased during the threenine months ended March 31,September 30, 2019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019.2019, and increases in various other assets.
(4)(6)Risk levelsOff-balance sheet exposures decreased during the three months ended March 31,September 30, 2019 primarily due to a decrease in standby letters of credit. Off-balance sheet exposures decreased during the nine months ended September 30, 2019 primarily due to decreases in standby letters of credit and loan commitments.
(7)Risk levels increased during the three months ended September 30, 2019 due to an increase in exposures subject to Standard Specific Risk charges. Risk levels decreased during the nine months ended September 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk.Risk, partially offset by an increase in exposures subject to Standard Specific Risk charges.

As set forth in the table above, total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2018 primarily due to higher credit risk-weighted assets, partially offset by a decrease in market risk-weighted assets. The increase in credit risk-weighted assets was primarily due to increases in securitizationrepo-style transactions, loan exposures, investment securities, and repo-style transactions,changes in OTC derivatives trade activities as well as the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019. At adoption, Citi recognized an ROU asset of approximately $4.4 billion on the Consolidated Balance Sheet related to its future lease commitments as lessee under operating leases. For additional information, see Note 1 to the Consolidated Financial Statements. The increase in credit risk-weighted assets was2019, partially offset by reductionsdecreases in qualifying revolving (cards) exposures attributablestandby letters of credit and loan commitments. Market risk-weighted assets decreased from year-end 2018 primarily due to seasonal holiday spending repayments as well as a decreasenet reduction in loan commitments.exposure levels.



Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollarsThree Months Ended 
 September 30, 2019		Nine Months Ended  
  September 30, 2019
 Total Risk-Weighted Assets, beginning of period$1,133,593
$1,131,933
Changes in Credit Risk-Weighted Assets  
Retail exposures985
(1,181)
Wholesale exposures(1)
3,275
(6,281)
Repo-style transactions(2)
2,259
5,577
Securitization exposures(3)
5,965
5,736
Equity exposures(4)
(231)3,160
Over-the-counter (OTC) derivatives(5)
8,554
11,500
Derivatives CVA(6)
(9,017)(8,383)
Other exposures(7)
(256)5,888
Supervisory 6% multiplier1,233
1,464
Net increase in Credit Risk-Weighted Assets$12,767
$17,480
Changes in Market Risk-Weighted Assets  
Risk levels(8)
$3,086
$(2,015)
Model and methodology updates(785)(847)
Net change in Market Risk-Weighted Assets$2,301
$(2,862)
Net decrease in Operational Risk-Weighted Assets$(3,570)$(1,460)
Total Risk-Weighted Assets, end of period$1,145,091
$1,145,091

(1)Wholesale exposures increased during the three months ended September 30, 2019 primarily due to increases in commercial loans and investment securities. Wholesale exposures decreased during the nine months ended September 30, 2019 primarily due to annual model parameter updates reflecting Citi’s loss experience, partially offset by increases in commercial loans and investment securities.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(3)Securitization exposures increased during the three months and nine months ended September 30, 2019 primarily due to increased exposures from existing deals.
(4)Equity exposures increased during the nine months ended September 30, 2019 primarily due to an increase in market value of investments.
(5)OTC derivatives increased during the three months and nine months ended September 30, 2019 primarily due to approved model changes.
(6)Derivatives CVA decreased during the three months and nine months ended September 30, 2019 primarily due to approved model changes.
(7)
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 nine months ended September 30, 2019 primarily due to the recognition of right-of-use (ROU) assets in accordance with the adoption of ASU No. 2016-02, Leases (Topic 842), effective January 1, 2019, and increases in various other assets.
(8)Risk levels increased during the three months ended September 30, 2019 due to an increase in exposures subject to Standard Specific Risk charges. Risk levels decreased during the nine months ended September 30, 2019 primarily due to decreases in exposure levels subject to Stressed Value at Risk and Value at Risk, partially offset by an increase in exposures subject to Standard Specific Risk charges.

As set forth in the table above, total risk-weighted assets under the Basel III Advanced Approaches decreasedincreased from year-end 2018 driven by lowerprimarily due to higher credit and market risk-weighted assets, slightlypartially offset by an increasedecreases in market and operational risk-weighted assets. The decreaseincrease in credit risk-weighted assets was primarily due to annual wholesale parameter updates, partially offset byincreases in securitization exposures, repo-style transactions, equity exposures, as well as the recognition of ROU assets in accordance with the adoption of ASU 2016-02.
2016-02 and increases in various other assets, partially offset by decreases in wholesale exposures due to annual model parameter updates. Market risk-weighted assets decreased under both the Basel III Standardized Approach and Basel III Advanced Approachesfrom year-end 2018 primarily due to decreasesa net reduction in exposure levels subject to Stressed Value at Risk and Value at Risk.levels.


Supplementary Leverage Ratio
As set forth in the table below, Citigroup’s Supplementary Leverage ratio was 6.4% for the first quarter of 2019, unchanged from the fourth quarter of 2018, as net income of $4.7 billion, beneficial net movements in AOCI and a slight decrease in Total Leverage Exposure were offset by the return of $5.1 billion of capital to common shareholders.
The following table sets forth Citi’s Supplementary Leverage ratio and related components:


In millions of dollars, except ratiosMarch 31, 2019December 31, 2018September 30, 2019June 30, 2019December 31, 2018
Tier 1 Capital$158,712
$158,122
$158,033
$159,447
$158,122
Total Leverage Exposure  
On-balance sheet assets(1)
$1,939,414
$1,936,791
$2,000,082
$1,979,124
$1,936,791
Certain off-balance sheet exposures:(2)
  
Potential future exposure on derivative contracts184,115
187,130
176,546
179,880
187,130
Effective notional of sold credit derivatives, net(3)
44,506
49,402
41,328
42,319
49,402
Counterparty credit risk for repo-style transactions(4)
20,696
23,715
24,362
21,416
23,715
Unconditionally cancellable commitments70,252
69,630
70,648
70,750
69,630
Other off-balance sheet exposures244,599
238,805
246,793
246,152
238,805
Total of certain off-balance sheet exposures$564,168
$568,682
$559,677
$560,517
$568,682
Less: Tier 1 Capital deductions(39,624)(39,832)(39,407)(39,513)(39,832)
Total Leverage Exposure$2,463,958
$2,465,641
$2,520,352
$2,500,128
$2,465,641
Supplementary Leverage ratio6.44%6.41%6.27%6.38%6.41%

(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(3)Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(4)Repo-style transactions include repurchase 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 6.3% for the third quarter of 2019, compared to 6.4% for both the second quarter of 2019 and the fourth quarter of 2018. The decline in the ratio quarter-over-quarter was primarily driven by the return of $6.3 billion of capital to common shareholders and adverse net movements in AOCI, as well as an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by quarterly net income of $4.9 billion as well as the issuance of Series U preferred shares for $1.5 billion. The ratio decreased from the fourth quarter of 2018, primarily driven by the return 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 year-to-date net income, beneficial net movements in AOCI and the issuance of Series U preferred shares for $1.5 billion.



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 and ratios:

March 31, 2019December 31, 2018
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach
Effective Minimum Requirement(1)
Advanced ApproachesStandardized Approach20192018Sept. 30, 2019Jun. 30, 2019Dec. 31, 2018Sept. 30, 2019Jun. 30, 2019Dec. 31, 2018
Common Equity Tier 1 Capital $130,051
$130,051
 $129,091
$129,091
 

$130,067
$130,742
$129,091
$130,067
$130,742
$129,091
Tier 1 Capital 132,169
132,169
 131,215
131,215
 

132,198
132,875
131,215
132,198
132,875
131,215
Total Capital
(Tier 1 Capital + Tier 2 Capital)(2)
 145,516
156,132
 144,358
155,154
  144,829
145,554
144,358
155,735
156,304
155,154
Total Risk-Weighted Assets 926,758
1,041,251
 926,229
1,032,809
 

946,433
934,661
926,229
1,047,550
1,041,349
1,032,809
Credit Risk $651,979
$1,001,334
 $654,962
$994,294
  $664,014
$660,569
$654,962
$1,005,337
$1,006,835
$994,294
Market Risk 39,463
39,917
 38,144
38,515
  41,867
34,421
38,144
42,213
34,514
38,515
Operational Risk 235,316
—
 233,123
—
  240,552
239,671
233,123
—
—
—
Common Equity Tier 1 Capital ratio(3)(4)
7.0%14.03%12.49%6.375%13.94%12.50%7.0%6.375%13.74%13.99%13.94%12.42%12.56%12.50%
Tier 1 Capital ratio(3)(4)
8.5
14.26
12.69
7.875
14.17
12.70
8.5
7.875
13.97
14.22
14.17
12.62
12.76
12.70
Total Capital ratio(3)(4)
10.5
15.70
14.99
9.875
15.59
15.02
10.5
9.875
15.30
15.57
15.59
14.87
15.01
15.02
In millions of dollars, except ratiosEffective Minimum RequirementMarch 31, 2019December 31, 2018Effective Minimum RequirementSept. 30, 2019Jun. 30, 2019Dec. 31, 2018
Quarterly Adjusted Average Total Assets(5)
  $1,397,703
 $1,398,875
 $1,451,352
$1,427,576
$1,398,875
Total Leverage Exposure(6)
  1,909,587
 1,914,663
 1,952,628
1,932,340
1,914,663
Tier 1 Leverage ratio(4)
4.0% 9.46% 9.38%4.0%9.11%9.31%9.38%
Supplementary Leverage ratio(4)
6.0
 6.92
 6.85
6.0
6.77
6.88
6.85

(1)Citibank’s effective minimum risk-based capital requirements during 2019 and 2018 are inclusive of the 100% and 75% phase-in, respectively, of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(3)As of March 31, 2019 and December 31, 2018, 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.Approach for all periods presented.
(4)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.” For additional information, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework” in Citigroup’s 2018 Annual Report on Form 10-K.
(5)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(6)Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at March 31,September 30, 2019 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 March 31,September 30, 2019 under the revised PCA regulations.



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 March 31,September 30, 2019. This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.
 


Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratio
Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratio
In basis points
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Citigroup           
Advanced Approaches0.91.10.91.30.91.50.91.10.91.20.91.4
Standardized Approach0.81.00.81.10.81.40.81.00.81.10.81.4
Citibank           
Advanced Approaches1.11.51.11.51.11.71.11.51.11.51.11.6
Standardized Approach1.01.21.01.21.01.41.01.21.01.21.01.4

Tier 1 Leverage ratioSupplementary Leverage ratioTier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.50.40.40.30.50.40.40.2
Citibank0.70.70.50.40.70.60.50.3



Citigroup Broker-Dealer Subsidiaries
At March 31,September 30, 2019, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $9.6$10.2 billion, which exceeded the minimum requirement by $6.9$7.0 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 $20.9$21.4 billion at March 31,September 30, 2019, which exceeded the PRA's minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at March 31,September 30, 2019.

Total Loss-Absorbing Capacity (TLAC)
As previously disclosed, effective January 1, 2019, U.S. global systemically important bank holding companies (GSIBs), including Citi, are required to maintain minimum levels of TLAC and eligible long-term debt (LTD), each set by reference to the GSIB’s consolidated risk-weighted assets and Total Leverage Exposure.
The table below details Citi’s eligible external TLAC and LTD amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement. As of September 30, 2019, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $9 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.
 September 30, 2019
In billions of dollars, except ratios
External TLAC

LTD
Total eligible amount$285
$123
% of Standardized Approach risk-
  weighted assets
23.8%10.3%
Effective minimum requirement(1)(2)
22.5%9.0%
Surplus amount$16
$15
% of Total Leverage Exposure11.3%4.9%
Effective minimum requirement9.5%4.5%
Surplus amount$46
$9

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

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

Regulatory Capital Standards Developments

Countercyclical CapitalStress Buffer Requirements
In MarchSeptember 2019, senior staff at the Federal Reserve Board votedindicated publicly that the Federal Reserve Board plans to affirmhave a Stress Capital Buffer (SCB) framework in place for the 2020 stress tests, and that the Board plans to re-propose certain elements of its April 2018 proposal on stress buffer requirements. Among other refinements, it was noted that the dividend add-on and the Stress Leverage Buffer will likely be eliminated in the potential re-proposal. In place of the dividend add-on, the Federal Reserve Board is considering two potential options: setting the Countercyclical Capital Buffer at a higher baseline level during normal times, or raising the current level of 0%.

Total Loss-Absorbing Capacity (TLAC) Holdings
In April 2019, the U.S. banking agencies released a proposal that would create a new regulatory capital deduction applicable to Advanced Approaches banking organizations for certain investments in covered debt instruments issued by GSIBs. The proposed rule is intended to reduce systemic risk by creating an incentive for Advanced Approaches banking organizations to limit their exposure to GSIBs.
Under the U.S. Basel III rules, investments in the capital of unconsolidated financial institutions are subject to deduction to the extent that they exceed certain thresholds. Under the proposed rule, an investment in a “covered debt instrument” would be treated as an investment in a Tier 2 capital instrument and, therefore, would be subject to deduction from the Advanced Approaches banking organization’s own Tier 2 Capital in accordance with the existing rules for investments in unconsolidated financial institutions. Covered debt instruments would include unsecured debt instruments that are “eligible debt securities” for purposesfloor of the TLAC rule, or that are pari passu or subordinated to such securities, in addition to certain unsecured debt instruments issued by foreign GSIBs.SCB higher than 2.5%.
To support a deep and liquid market for covered debt instruments,A re-proposal has not yet been issued. For additional information on the proposed rule provides an exception from the approach described above for covered debt instruments held for 30 days or less for market-making purposes, if the aggregate amount of such debt instruments does not exceed 5% of the banking organization’s Common Equity Tier 1 Capital.
The proposed rule does not specify a proposed effective date for the new regulatory capital deduction. If adopted as proposed, Citi does not expect the proposed rule to have a material impact on its regulatory capital.

Revisions to the Supplementary Leverage Ratio for Custody Banks
In April 2019, the U.S. banking agencies released a proposal to implement certain provisions of the Economic Growth, Regulatory Relief, and Consumer Protection Act, which was signed into law in 2018. The proposal would apply to “custodial banking organizations,” which does not include Citi. The U.S. banking agencies previously issued a proposal inFederal Reserve Board’s April 2018 that would have modifiedproposal on stress buffer requirements, as well as other public commentary since the enhanced Supplementary Leverage ratio standards applicable to all April 2018 proposal, see “Capital Resources—Regulatory Capital Standards Developments—U.S. GSIBsBanking Agencies—Stress Buffer Requirements” and their Federal Reserve Board or OCC-regulated insured depository institution subsidiaries. It is currently unclear how this latest proposal may impact or interact with the proposed rulemaking from April 2018.“Risk Factors—Strategic Risks” in Citi’s 2018 Annual Report on Form 10-K.




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 amountsMarch 31,
2019		December 31,
2018		September 30,
2019		December 31,
2018
Total Citigroup stockholders’ equity$196,252
$196,220
$196,373
$196,220
Less: Preferred stock17,980
18,460
19,480
18,460
Common stockholders’ equity$178,272
$177,760
$176,893
$177,760
Less:  
Goodwill22,037
22,046
21,822
22,046
Identifiable intangible assets (other than MSRs)4,645
4,636
4,372
4,636
Tangible common equity (TCE)$151,590
$151,078
$150,699
$151,078
Common shares outstanding (CSO)2,312.5
2,368.5
2,183.2
2,368.5
Book value per share (common equity/CSO)$77.09
$75.05
$81.02
$75.05
Tangible book value per share (TCE/CSO)65.55
63.79
69.03
63.79


Three Months Ended
September 30,
Nine Months Ended September 30,
In millions of dollarsThree Months Ended March 31, 2019Three Months Ended March 31, 20182019201820192018
Net income available to common shareholders$4,448
$4,348
$4,659
$4,352
$13,610
$12,872
Average common stockholders’ equity$177,485
$181,628
177,886
179,459
177,876
180,772
Average TCE$151,334
$155,107
151,748
152,712
151,541
153,909
Return on average common stockholders’ equity10.2%9.7%10.4%9.6%10.2%9.5%
Return on average TCE (ROTCE)(1)
11.9
11.4
Return on average TCE (RoTCE)(1)
12.2
11.3
12.0
11.2

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



Managing Global Risk Table of Contents

MANAGING GLOBAL RISK 
3537

CREDIT RISK(1)
 
3537

Consumer Credit 
3537

Corporate Credit 
4143

Additional Consumer and Corporate Credit Details 
4345

 Loans Outstanding 
4345

 Details of Credit Loss Experience 
4446

     Allowance for Loan Losses 4547
     Non-Accrual Loans and Assets and Renegotiated Loans 
4648

LIQUIDITY RISK 
4951

High-Quality Liquid Assets (HQLA) 
4951

Liquidity Coverage Ratio (LCR) 
4951

Loans 5052
Deposits 5052
Long-Term Debt 5153
Secured Funding Transactions and Short-Term Borrowings 5355
Credit Ratings 5456
MARKET RISK(1)
 
5658

Market Risk of Non-Trading Portfolios 
5658

Market Risk of Trading Portfolios 
6369

STRATEGIC RISK 
6571

Country Risk 
6571

Argentina
72

Potential Exit of U.K. from EU 
6672

LIBOR Transition Risk
72


(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 2018 Annual Report on Form 10-K.
 
 


CREDIT RISK

For additional information on credit risk, including Citi’s credit risk management, measurement and stress testing, and Citi’s consumer and corporate credit portfolios, see “Credit Risk” and “Risk Factors” in Citi’s 2018 Annual Report on Form 10-K.
 


CONSUMER CREDIT
The following table shows Citi’s quarterly end-of-period consumer loans:(1) 
In billions of dollars1Q’182Q’183Q’184Q’181Q’193Q’184Q’181Q’192Q’193Q’19
Retail banking:      
Mortgages$82.1
$80.5
$80.9
$80.6
$80.8
$80.9
$80.6
$80.8
$81.9
$83.0
Commercial banking36.8
36.5
37.2
36.3
37.1
37.2
36.3
37.1
37.6
36.7
Personal and other28.5
28.1
28.7
28.8
29.1
28.7
28.8
29.1
29.7
29.5
Total retail banking$147.4
$145.1
$146.8
$145.7
$147.0
$146.8
$145.7
$147.0
$149.2
$149.2
Cards:  
Citi-branded cards$110.6
$112.3
$112.8
$116.8
$111.4
$112.8
$116.8
$111.4
$115.5
$115.8
Citi retail services46.0
48.6
49.4
52.7
48.9
49.4
52.7
48.9
49.6
50.0
Total cards$156.6
$160.9
$162.2
$169.5
$160.3
$162.2
$169.5
$160.3
$165.1
$165.8
Total GCB
$304.0
$306.0
$309.0
$315.2
$307.3
$309.0
$315.2
$307.3
$314.3
$315.0
GCB regional distribution:
  
North America61%63%62%64%63%62%64%63%63%64%
Latin America9
8
9
8
8
9
8
8
8
8
Asia(2)
30
29
29
28
29
29
28
29
29
28
Total GCB
100%100%100%100%100%100%100%100%100%100%
Corporate/Other(3)
$21.1
$17.6
$16.5
$15.3
$12.6
$16.5
$15.3
$12.6
$11.7
$11.0
Total consumer loans$325.1
$323.6
$325.5
$330.5
$319.9
$325.5
$330.5
$319.9
$326.0
$326.0

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

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





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

Global Consumer Banking
legenda92.jpg
cctglobala02.jpgcctglobal2aa03.jpg

North America GCB
legendb09.jpg
cctnagcba03.jpgcctna2a.jpg

As of March 31,September 30, 2019, 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 (for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below).
As shown in the chart above, the net credit loss rate in North America GCB decreased quarter-over-quarter, primarily driven by seasonality in the cards portfolios. The 90+ days past due delinquency rate was broadly stableincreased quarter-over-quarter also primarily due to seasonality in the cards portfolios.North America GCB.
The net credit loss rate increased quarter-over-quarter, primarilyand 90+ days past due to seasonality in both cards portfolios as well as an episodic charge-off in the commercial portfolio.
The delinquency rate increased year-over-year, primarily due todriven by the seasoning of more recent vintages in North AmericaCiti-branded cards and higher net flow rates in the later delinquency buckets in Citi retail services. The net credit loss rate increased year-over-year due to seasoning in North America cards, an increase in net flow rates in later delinquency buckets in Citi retail services and the previously referenced episodic charge-off in the commercial portfolio.services.


 
Latin America GCB
legenda99.jpg
cctlatamgcba01.jpgcctlatam2a.jpg

As shown in the chart above, the net credit loss rate in Latin America GCB was relatively stable quarter-over-quarter, while the 90+ days past due delinquency rate decreased quarter-over-quarter in Latin America GCBdue to seasonality.
The net credit loss rate increased quarter-over-quarter also due to seasonality as well as the impact of lower overall volume growth. The delinquency rate was broadly stable year-over-year, while the net credit loss rate increaseddecreased year-over-year, primarily driven by seasoningthe absence of an episodic charge-off in the cardscommercial portfolio as well asthat occurred in the impact ofprior-year period, while the lower overall volume growth.90+ days past due delinquency rate remained broadly stable.

Asia(1) GCB
legenda84.jpg
cctasiagcba01.jpgcctasia2a.jpg

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

As shown in the chart above, the net credit loss rate in Asia GCB increased quarter-over-quarter and year-over-year primarily due to a charge-off in the commercial portfolio. The 90+ days past due delinquency and net credit loss rates wererate remained broadly stable quarter-over-quarter and year-over-year.
The stability in Asia GCB quarter-over-quarter and year-over-year. 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 also resulted in stable portfolio credit 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, North America Citi-branded cards and Citi retail services portfolios as well as for Latin America and Asia Citi-branded cards portfolios.

Global Cards
legenda99.jpg
ccglobalcardsa01.jpgccglobalcards2a.jpg

North America Citi-Branded Cards
legenda96.jpg
ccnabcardsa02.jpgccnacards2a.jpg

As shown in the chart above, the net credit loss rate in North America Citi-branded cards decreased quarter-over-quarter, driven by seasonality, while the 90+ days past due delinquency andrate remained stable.
The net credit loss ratesand 90+ past due delinquency rate increased quarter-over-quarter,year-over-year, primarily due to seasonality, while the increases year-over-year were primarily due todriven by seasoning of the portfolio.more recent vintages.


North America Citi Retail Services
legenda79.jpg
ccnarscardsa01.jpgccnaretailcards2a.jpg

As shown in the chart above, the net credit loss rate in Citi retail services’services decreased quarter-over-quarter due to seasonality, while the 90+ days past due delinquency andrate increased, also due to seasonality.
The net credit loss ratesrate and 90+ days past due delinquency rate increased quarter-over-quarter,year-over-year, primarily due to seasonality as well asdriven by an increase in net flow rates in later delinquency buckets. The delinquency and net credit loss rates increased year-over-year, primarily due to seasoning and an increase in net flow rates in later delinquency buckets.

Latin America Citi-Branded Cards
legenda86.jpg
cclatambcardsa02.jpgcclatamcards2a.jpg

As shown in the chart above, the net credit loss rate in Latin America Citi-branded cards decreased quarter-over-quarter due to the improved performance of more recent vintages, while the 90+ days past due delinquency rate decreased, while theprimarily due to seasonality.
The net credit loss rate increased quarter-over-quarter, both primarily due to seasonality. The delinquency and net credit loss rates both increased year-over-year, primarily due to seasoning.seasoning of more recent vintages, while the 90+ days past due delinquency rate decreased, primarily driven by lower net flow rates in the later delinquency buckets.





Asia Citi-Branded Cards(1)
legendb05.jpg
ccasiabcardsa04.jpgccasiacards2a.jpg

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

As set forth in the chart above, the net credit loss rate in Asia Citi-branded cards decreased quarter-over-quarter, primarily due to seasonality, while the 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and year-over-year, driven by the mature and well-diversified cards portfolios. stable.
The net credit loss rate increased quarter-over-quarter, primarilyand 90+ days past due to seasonality, while thedelinquency rate increased year-over-year, reflecting the normalizationprimarily driven by seasoning of overall credit across the region.more recent vintages.
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 cards portfolios based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.

Citi-Branded Cards
  
FICO distributionMarch 31, 2019December 31, 2018March 31, 2018September 30, 2019June 30, 2019September 30, 2018
> 76041%43%41%41%42%42%
680–76041
40
42
41
41
41
< 68018
17
17
18
17
17
Total100%100%100%100%100%100%

Citi Retail Services
  
FICO distributionMarch 31, 2019December 31, 2018March 31, 2018September 30, 2019June 30, 2019September 30, 2018
> 76023%25%22%24%24%24%
680–76043
42
43
43
43
43
< 68034
33
35
33
33
33
Total100%100%100%100%100%100%

The FICO distribution of both cards portfolios remained broadly stable, compared to the prior yearquarter and prior quarter,year, demonstrating strong underlying credit quality. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.














Additional Consumer Credit Details

Consumer Loan Delinquency Amounts and Ratios
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
In millions of dollars,
except EOP loan amounts in billions		March 31,
2019		March 31,
2019		December 31,
2018		March 31,
2018		March 31,
2019		December 31,
2018		March 31,
2018		September 30,
2019		September 30,
2019		June 30,
2019		September 30,
2018		September 30,
2019		June 30,
2019		September 30,
2018
Global Consumer Banking(3)(4)
        
Total$307.3
$2,585
$2,619
$2,379
$2,776
$2,902
$2,710
$315.0
$2,518
$2,466
$2,404
$3,055
$2,821
$2,890
Ratio 0.84%0.83%0.78%0.91%0.92%0.89% 0.80%0.79%0.78%0.97%0.90%0.94%
Retail banking          
Total$147.0
$474
$485
$493
$769
$790
$830
$149.2
$440
$456
$508
$902
$869
$857
Ratio 0.32%0.33%0.34%0.53%0.54%0.57% 0.30%0.31%0.35%0.61%0.58%0.59%
North America57.3
179
180
184
269
282
227
59.2
146
145
188
394
361
320
Ratio 0.32%0.32%0.34%0.47%0.50%0.41% 0.25%0.25%0.34%0.67%0.63%0.58%
Latin America19.7
114
127
128
201
201
248
19.3
113
124
126
205
206
235
Ratio 0.58%0.64%0.60%1.02%1.02%1.17% 0.59%0.62%0.60%1.06%1.02%1.12%
Asia(5)
70.0
181
178
181
299
307
355
70.7
181
187
194
303
302
302
Ratio 0.26%0.26%0.26%0.43%0.44%0.50% 0.26%0.26%0.28%0.43%0.43%0.43%
Cards          
Total$160.3
$2,111
$2,134
$1,886
$2,007
$2,112
$1,880
$165.8
$2,078
$2,010
$1,896
$2,153
$1,952
$2,033
Ratio 1.32%1.26%1.20%1.25%1.25%1.20% 1.25%1.22%1.17%1.30%1.18%1.25%
North America—Citi-branded
87.0
828
812
731
731
755
669
91.5
807
799
707
800
705
722
Ratio 0.95%0.88%0.85%0.84%0.82%0.78% 0.88%0.88%0.80%0.87%0.78%0.82%
North America—Citi retail services
48.9
918
952
797
859
932
791
50.0
923
840
832
943
831
890
Ratio 1.88%1.81%1.73%1.76%1.77%1.72% 1.85%1.69%1.68%1.89%1.68%1.80%
Latin America5.6
165
171
160
161
170
160
5.5
152
169
169
161
159
170
Ratio 2.95%3.00%2.81%2.88%2.98%2.81% 2.76%2.96%2.91%2.93%2.79%2.93%
Asia(5)
18.8
200
199
198
256
255
260
18.8
196
202
188
249
257
251
Ratio 1.06%1.03%1.03%1.36%1.32%1.35% 1.04%1.05%1.01%1.32%1.34%1.35%
Corporate/Other—Consumer(6)
          
Total$12.6
$354
$382
$478
$348
$362
$393
$11.0
$293
$327
$401
$288
$334
$422
Ratio 2.97%2.62%2.38%2.92%2.48%1.96% 2.82%2.97%2.57%2.77%3.04%2.71%
International—
—
—
32
—
—
44
Ratio —%—%1.88%—%—%2.59%
North America12.6
354
382
446
348
362
349
Ratio 2.97%2.62%2.42%2.92%2.48%1.90%
Total Citigroup$319.9
$2,939
$3,001
$2,857
$3,124
$3,264
$3,103
$326.0
$2,811
$2,793
$2,805
$3,343
$3,155
$3,312
Ratio 0.92%0.91%0.88%0.98%0.99%0.96% 0.87%0.86%0.87%1.03%0.97%1.02%
(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 North America GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides withinwith the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $163$235 million ($0.60.7 billion), $201$151 million ($0.6 billion) and $272$140 million ($0.70.6 billion) as of March 31,September 30, 2019, December 31, 2018June 30, 2019 and March 31,September 30, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $71$82 million ($0.60.7 billion), $78$83 million ($0.6 billion) and $92$74 million ($0.70.6 billion) as of March 31,September 30, 2019, December 31, 2018June 30, 2019 and March 31,September 30, 2018, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)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 $0.3$0.4 billion ($0.70.8 billion), $0.3 billion ($0.7 billion) and $0.5$0.2 billion ($0.90.6 billion) as of March 31,September 30, 2019, December 31, 2018June 30, 2019 and March 31,September 30, 2018, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $0.1 billion ($0.70.8 billion), $0.1 billion ($0.7 billion) and $0.1 billion ($0.90.6 billion) as of March 31,September 30, 2019, December 31, 2018June 30, 2019 and March 31,September 30, 2018, respectively.



Consumer Loan Net Credit Losses and Ratios
Average
loans(1)
Net credit losses(2)
Average
loans(1)
Net credit losses(2)
In millions of dollars, except average loan amounts in billions1Q194Q181Q183Q192Q193Q18
Global Consumer Banking      
Total$309.2
$1,891
$1,744
$1,736
$313.3
$1,823
$1,889
$1,714
Ratio 2.48%2.24%2.30% 2.31%2.45%2.22%
Retail banking    
Total$146.5
$256
$246
$232
$148.7
$246
$244
$243
Ratio 0.71%0.67%0.64% 0.66%0.66%0.66%
North America57.1
60
31
43
58.8
45
51
32
Ratio 0.43%0.22%0.31% 0.30%0.35%0.23%
Latin America19.9
138
144
132
19.8
129
129
153
Ratio 2.81%2.91%2.59% 2.58%2.59%2.93%
Asia(3)
69.5
58
71
57
70.1
72
64
58
Ratio 0.34%0.41%0.33% 0.41%0.37%0.33%
Cards    
Total$162.7
$1,635
$1,498
$1,504
$164.6
$1,577
$1,645
$1,471
Ratio 4.08%3.64%3.83% 3.80%4.07%3.63%
North America—Citi-branded
87.7
706
650
651
90.5
712
723
644
Ratio 3.26%2.90%3.04% 3.12%3.28%2.91%
North America—Citi retail services
50.2
663
600
602
49.7
598
654
566
Ratio 5.36%4.72%5.18% 4.77%5.34%4.58%
Latin America5.7
160
146
146
5.6
156
156
154
Ratio 11.38%10.53%10.57% 11.05%11.17%10.91%
Asia(3)
19.1
106
102
105
18.8
111
112
107
Ratio 2.25%2.16%2.17% 2.34%2.38%2.29%
Corporate/Other—Consumer
    
Total$13.6
$1
$—
$35
$11.2
$1
$4
$12
Ratio 0.03%—%0.64% 0.04%0.13%0.28%
International—
—
—
23
Ratio —%—%5.49%
North America13.6
1
—
12
Ratio 0.03%—%0.24%
Other—
—
(3)—
Total Citigroup$322.8
$1,892
$1,741
$1,771
$324.5
$1,824
$1,893
$1,726
Ratio 2.38%2.12%2.19% 2.23%2.36%2.11%
(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.





CORPORATE CREDIT
The following table sets forth Citi’s corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:
At March 31, 2019December 31, 2018September 30, 2019June 30, 2019December 31, 2018
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings (on-balance sheet)(1)
$135
$109
$20
$264
$128
$110
$20
$258
$135
$105
$20
$260
$134
$107
$21
$262
$128
$110
$20
$258
Unfunded lending commitments (off-balance sheet)(2)
121
240
23
384
106
246
19
370
129
240
16
385
123
244
15
382
106
245
19
370
Total exposure$256
$349
$43
$648
$234
$356
$39
$628
$264
$345
$36
$645
$257
$351
$36
$644
$234
$355
$39
$628

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

Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region based on Citi’s internal management geography:
March 31,
2019		December 31,
2018		September 30,
2019		June 30,
2019		December 31,
2018
North America54%55%56%56%55%
EMEA28
27
27
27
27
Asia11
11
11
11
11
Latin America7
7
6
6
7
Total100%100%100%100%100%

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived primarily through the use ofby leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of
the obligor and factors that affect the loss-given-default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are
considered investment grade, while those below are considered non-investment grade.
Citigroup also has incorporated environmental factors like climate risk assessment and reporting criteria for certain
obligors, as necessary. Factors evaluated include consideration of climate risk to an obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
Total exposureTotal exposure
March 31,
2019		December 31,
2018		September 30,
2019		June 30,
2019		December 31,
2018
AAA/AA/A49%49%49%49%49%
BBB35
34
35
35
34
BB/B15
16
15
15
16
CCC or below1
1
1
1
1
Total100%100%100%100%100%

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



Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
Total exposureTotal exposure
March 31,
2019		December 31,
2018		September 30,
2019		June 30,
2019		December 31,
2018
Transportation and industrial21%21%21%21%21%
Consumer retail and health15
15
16
15
15
Technology, media and telecom11
13
12
12
13
Power, chemicals, metals and mining11
10
9
10
10
Energy and commodities8
8
8
8
8
Banks/broker-dealers/finance companies8
8
8
8
8
Real estate9
8
9
9
8
Public sector4
5
4
4
5
Insurance and special purpose entities4
4
4
4
4
Hedge funds4
4
4
4
4
Other industries5
4
5
5
4
Total100%100%100%100%100%
 


For additional information on Citi’s corporate credit portfolio, see Note 1213 to the Consolidated Financial Statements.

Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenuePrincipal transactions in the Consolidated Statement of Income.
At March 31,September 30, 2019, and December 31, 2018 $30.4 billion, and $30.8 billion, respectively, ofSeptember 30, 2018, Citigroup had economic hedges in place on the corporate credit portfolio was economically hedged.of $29.5 billion, $30.2 billion and $25.8 billion, respectively. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked to market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure
March 31,
2019		December 31,
2018		September 30,
2019		June 30,
2019		December 31,
2018
AAA/AA/A36%35%34%35%35%
BBB48
50
48
47
50
BB/B15
14
17
17
14
CCC or below1
1
1
1
1
Total100%100%100%100%100%

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

Industry of Hedged Exposure
 March 31,
2019		December 31,
2018
Transportation and industrial22%23%
Technology, media and telecom18
17
Consumer retail and health16
16
Power, chemicals, metals and mining15
15
Energy and commodities10
11
Insurance and special purpose entities6
6
Banks/broker-dealers/finance companies4
4
Public Sector4
3
Real Estate4
4
Other industries1
1
Total100%100%
 September 30,
2019		June 30,
2019		December 31,
2018
Transportation and industrial23%23%23%
Technology, media and telecom19
18
17
Consumer retail and health16
16
16
Power, chemicals, metals and mining14
14
15
Energy and commodities9
10
11
Insurance and special purpose entities5
5
6
Banks/broker-dealers/finance companies5
4
4
Public sector4
4
3
Real estate4
4
4
Other industries1
2
1
Total100%100%100%



ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.
In millions of dollars20192018201920192018
Consumer loans



In U.S. offices
Mortgage and real estate(1)
$57,461
$60,127
$61,048
$61,692
$63,412
Installment, revolving credit and other3,257
3,398
3,515
3,759
3,306
Cards135,206
143,788
137,051
135,968
131,081
Commercial and industrial8,859
8,256
7,686
7,459
7,493
In North America offices(1)

Residential first mortgages(2)
$46,337
$45,474
$45,351
$47,412
$47,707
Home equity loans(2)
9,850
10,404
10,937
11,543
12,131
Credit cards141,482
140,266
135,908
144,557
137,872
Installment and other3,361
3,245
3,314
3,454
3,528
Commercial banking10,680
10,690
10,360
9,728
9,279
Total$204,783
$215,569
$209,300
$208,878
$205,292
$211,710
$210,079
$205,870
$216,694
$210,517
In offices outside the U.S. 
Mortgage and real estate(1)
$43,184
$43,379
$43,714
$43,056
$44,833
Installment, revolving credit and other27,525
27,609
27,899
27,254
27,651
Cards24,763
25,400
24,971
24,712
25,993
Commercial and industrial18,884
17,773
18,821
18,966
20,526
Lease financing47
49
52
55
62
In offices outside North America(1)
 
Residential first mortgages(2)
$36,644
$36,580
$36,114
$35,972
$36,282
Credit cards24,300
24,975
24,343
24,926
24,414
Installment and other26,639
27,321
26,744
26,134
26,281
Commercial banking26,745
27,040
26,816
26,761
27,975
Total$114,403
$114,210
$115,457
$114,043
$119,065
$114,328
$115,916
$114,017
$113,793
$114,952
Total consumer loans$319,186
$329,779
$324,757
$322,921
$324,357
Unearned income(2)
701
708
712
711
727
Consumer loans, net of unearned income$319,887
$330,487
$325,469
$323,632
$325,084
Consumer loans, net of unearned income(3)
$326,038
$325,995
$319,887
$330,487
$325,469
Corporate loans

In U.S. offices
In North America offices(1)

Commercial and industrial$56,698
$52,063
$51,365
$53,260
$54,005
$49,475
$54,519
$56,698
$52,063
$51,365
Financial institutions49,985
48,447
46,255
42,867
40,472
52,678
47,610
49,985
48,447
46,255
Mortgage and real estate(1)
49,746
50,124
47,629
46,310
45,581
Mortgage and real estate(2)
52,972
51,321
49,746
50,124
47,629
Installment, revolving credit and other32,768
33,247
32,201
32,663
32,866
31,303
33,555
31,960
32,425
31,414
Lease financing1,405
1,429
1,445
1,445
1,463
1,314
1,385
1,405
1,429
1,445
Total$190,602
$185,310
$178,895
$176,545
$174,387
$187,742
$188,390
$189,794
$184,488
$178,108
In offices outside the U.S.
In offices outside North America(1)

Commercial and industrial$97,844
$94,701
$98,281
$98,068
$101,368
$102,432
$98,351
$97,844
$94,701
$98,281
Financial institutions39,155
36,837
37,851
38,312
35,659
37,908
37,523
39,155
36,837
37,851
Mortgage and real estate(1)
7,005
7,376
7,344
7,261
7,543
Mortgage and real estate(2)
7,811
7,577
7,005
7,376
7,344
Installment, revolving credit and other24,868
25,684
22,827
22,755
23,338
26,774
27,333
24,868
25,684
22,827
Lease financing95
103
131
139
167
80
92
95
103
131
Governments and official institutions3,698
4,520
4,898
5,270
6,170
2,958
3,409
3,698
4,520
4,898
Total$172,665
$169,221
$171,332
$171,805
$174,245
$177,963
$174,285
$172,665
$169,221
$171,332
Total corporate loans$363,267
$354,531
$350,227
$348,350
$348,632
Unearned income(3)
(808)(822)(787)(802)(778)
Corporate loans, net of unearned income$362,459
$353,709
$349,440
$347,548
$347,854
Corporate loans, net of unearned income(4)
$365,705
$362,675
$362,459
$353,709
$349,440
Total loans—net of unearned income$682,346
$684,196
$674,909
$671,180
$672,938
$691,743
$688,670
$682,346
$684,196
$674,909
Allowance for loan losses—on drawn exposures(12,329)(12,315)(12,336)(12,126)(12,354)(12,530)(12,466)(12,329)(12,315)(12,336)
Total loans—net of unearned income
and allowance for credit losses		$670,017
$671,881
$662,573
$659,054
$660,584
$679,213
$676,204
$670,017
$671,881
$662,573
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
1.82%1.81%1.84%1.81%1.85%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
3.13%3.01%3.07%3.03%3.09%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.64%0.67%0.68%0.68%0.67%
Allowance for loan losses as a percentage of total loans—
net of unearned income(5)
1.82%1.82%1.82%1.81%1.84%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5)
3.13%3.10%3.13%3.01%3.07%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
0.64%0.66%0.64%0.67%0.68%
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(2)Loans secured primarily by real estate.
(2)(3)Consumer loans are net of unearned income of $745 million, $713 million, $701 million, $708 million and $712 million at September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 30, 2018, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(3)(4)Corporate loans are net of unearned income of $(780) million, $(815) million, $(808) million, $(822) million and $(787) million at September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 30, 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(4)(5)All periods exclude loans that are carried at fair value.


Details of Credit Loss Experience
1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.3rd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.
In millions of dollars20192018201920192018
Allowance for loan losses at beginning of period$12,315
$12,336
$12,126
$12,354
$12,355
$12,466
$12,329
$12,315
$12,336
$12,126
Provision for loan losses  
Consumer$1,942
$1,774
$1,869
$1,764
$1,881
$1,979
$1,972
$1,942
$1,774
$1,869
Corporate2
76
37
31
(78)83
117
2
76
37
Total$1,944
$1,850
$1,906
$1,795
$1,803
$2,062
$2,089
$1,944
$1,850
$1,906
Gross credit losses  
Consumer  
In U.S. offices$1,670
$1,495
$1,462
$1,490
$1,542
$1,586
$1,680
$1,670
$1,495
$1,462
In offices outside the U.S. 602
595
596
599
615
588
591
602
595
596
Corporate  
In U.S. offices33
23
15
5
65
76
41
33
23
15
In offices outside the U.S. 40
53
21
15
74
31
42
40
53
21
Total$2,345
$2,166
$2,094
$2,109
$2,296
$2,281
$2,354
$2,345
$2,166
$2,094
Credit recoveries(1)
  
Consumer  
In U.S. offices$246
$217
$212
$255
$238
$232
$255
$246
$217
$212
In offices outside the U.S. 134
132
120
128
148
118
123
134
132
120
Corporate  
In U.S. offices3
24
1
5
13
12
5
3
24
1
In offices outside the U.S. 14
7
5
17
30
6
8
14
7
5
Total$397
$380
$338
$405
$429
$368
$391
$397
$380
$338
Net credit losses  
In U.S. offices$1,454
$1,277
$1,264
$1,235
$1,356
$1,418
$1,461
$1,454
$1,277
$1,264
In offices outside the U.S. 494
509
492
469
511
495
502
494
509
492
Total$1,948
$1,786
$1,756
$1,704
$1,867
$1,913
$1,963
$1,948
$1,786
$1,756
Other—net(2)(3)(4)(5)(6)(7)
$18
$(85)$60
$(319)$63
$(85)$11
$18
$(85)$60
Allowance for loan losses at end of period$12,329
$12,315
$12,336
$12,126
$12,354
$12,530
$12,466
$12,329
$12,315
$12,336
Allowance for loan losses as a percentage of total loans(8)
1.82%1.81%1.84%1.81%1.85%1.82%1.82%1.82%1.81%1.84%
Allowance for unfunded lending commitments(9)
$1,391
$1,367
$1,321
$1,278
$1,290
$1,385
$1,376
$1,391
$1,367
$1,321
Total allowance for loan losses and unfunded lending commitments$13,720
$13,682
$13,657
$13,404
$13,644
$13,915
$13,842
$13,720
$13,682
$13,657
Net consumer credit losses$1,892
$1,741
$1,726
$1,706
$1,771
$1,824
$1,893
$1,892
$1,741
$1,726
As a percentage of average consumer loans2.38%2.13%2.11%2.12%2.19%2.23%2.36%2.38%2.13%2.11%
Net corporate credit losses (recoveries)$56
$45
$30
$(2)$96
$89
$70
$56
$45
$30
As a percentage of average corporate loans0.07%0.06%0.03%—%0.11%0.10%0.08%0.07%0.06%0.03%
Allowance by type at end of period(10)
  
Consumer$10,026
$9,950
$9,997
$9,796
$10,039
$10,199
$10,113
$10,026
$9,950
$9,997
Corporate2,303
2,365
2,339
2,330
2,315
2,331
2,353
2,303
2,365
2,339
Total$12,329
$12,315
$12,336
$12,126
$12,354
$12,530
$12,466
$12,329
$12,315
$12,336
(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 2019 includes a decrease of approximately $65 million related to FX translation.
(4)The second quarter of 2019 includes an increase of approximately $13 million related to FX translation.
(5)The first quarter of 2019 includes an increase of approximately $26 million related to FX translation.
(4)(6)The fourth quarter of 2018 includes a reduction of approximately $4 million related to the sale or transfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $3 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a decrease of approximately $76 million related to FX translation.
(5)(7)The third quarter of 2018 includes a reduction of approximately $5 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $2 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the third quarter includes an increase of approximately $62 million related to FX translation.


(6)The second quarter of 2018 includes a reduction of approximately $137 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $33 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a decrease of approximately $164 million related to FX translation.
(7)The first quarter of 2018 includes a reduction of approximately $55 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $53 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $118 million related to FX translation.
(8)September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 30, 2018, June 30, 2018 and March 31, 2018 exclude $3.9 billion, $3.8 billion, $3.9 billion, $3.2 billion $4.2 billion, $3.0 billion and $4.5$4.2 billion, respectively, of loans whichthat 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 2018 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.


Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
March 31, 2019September 30, 2019
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$6.6
$135.9
4.9%$6.8
$141.5
4.8%
North America mortgages(3)
0.4
56.3
0.7
0.4
56.2
0.7
North America other
0.3
13.7
2.2
0.3
14.0
2.1
International cards0.6
24.3
2.5
0.6
24.3
2.5
International other(4)
2.1
89.7
2.3
2.1
90.0
2.3
Total consumer$10.0
$319.9
3.1%$10.2
$326.0
3.1%
Total corporate2.3
362.4
0.6
2.3
365.7
0.6
Total Citigroup$12.3
$682.3
1.8%$12.5
$691.7
1.8%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $6.6$6.8 billion of loan loss reserves represented approximately 1416 months of coincident net credit loss coverage.
(3)
Of the $0.4 billion, approximately $0.3 billion was allocated to North America mortgages in Corporate/Other., including $0.1 billion and $0.3 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $56.3$56.2 billion in loans, approximately $53.7$53.8 billion and $2.5$2.4 billion of the loans arewere evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.

 December 31, 2018
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$6.5
$144.6
4.5%
North America mortgages(3)
0.4
58.9
0.7
North America other
0.3
13.2
2.3
International cards0.7
24.9
2.8
International other(4)
2.0
88.9
2.2
Total consumer$9.9
$330.5
3.0%
Total corporate2.4
353.7
0.7
Total Citigroup$12.3
$684.2
1.8%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $6.5 billion of loan loss reserves represented approximately 16 months of coincident net credit loss coverage.
(3)
Of the $0.4 billion, nearly all of it was allocated to North America mortgages in Corporate/Other, including $0.1 billion and $0.3 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $58.9 billion in loans, approximately $56.3 billion and $2.5 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.


Non-Accrual Loans and Assets and Renegotiated Loans
For additional information on Citi’s non-accrual loans and assets and renegotiated loans, see “Non-Accrual Loans and Assets and Renegotiated Loans” in Citi’s 2018 Annual Report on Form 10-K.

Non-Accrual Loans
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.
 



Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
In millions of dollars20192018201920192018
Corporate non-accrual loans(2)(1)
  
North America$922
$483
$679
$784
$817
$901
$779
$922
$483
$679
EMEA317
375
362
391
561
307
321
317
375
362
Latin America225
230
266
204
263
275
259
225
230
266
Asia18
223
233
244
27
44
51
18
223
233
Total corporate non-accrual loans$1,482
$1,311
$1,540
$1,623
$1,668
$1,527
$1,410
$1,482
$1,311
$1,540
Consumer non-accrual loans(1)(2)
  
North America$1,230
$1,241
$1,323
$1,373
$1,500
$1,168
$1,216
$1,230
$1,241
$1,323
Latin America694
715
764
726
791
719
723
694
715
764
Asia(3)
281
270
287
284
284
298
289
281
270
287
Total consumer non-accrual loans$2,205
$2,226
$2,374
$2,383
$2,575
$2,185
$2,228
$2,205
$2,226
$2,374
Total non-accrual loans$3,687
$3,537
$3,914
$4,006
$4,243
$3,712
$3,638
$3,687
$3,537
$3,914
(1)Approximately 50%, 48%, 46%, 55% and 57% of Citi’s corporate non-accrual loans were performing at September 30, 2019, June 30, 2019, March 31, 2019, December 31, 2018 and September 30, 2018, respectively.
(2)
Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $117 million at September 30, 2019, $123 millionat June 30, 2019, $125 million at March 31, 2019, $128 million at December 31, 2018 and $131 million at September 30, 2018, $149 million at June 30, 2018 and $126 million at March 31, 2018.
(2)Approximately 46%, 55% and 65% of Citi’s corporate non-accrual loans were performing at March 31, 2019, December 31, 2018 and March 31, 2018, respectively.
(3)
Asia GCB includes balances in certain EMEA countries for all periods presented.


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

Three Months EndedThree Months EndedThree Months EndedThree Months Ended
March 31, 2019March 31, 2018September 30, 2019September 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$1,311
$2,226
$3,537
$1,942
$2,690
$4,632
$1,410
$2,228
$3,638
$1,623
$2,383
$4,006
Additions723
722
1,445
825
861
1,686
1,037
912
1,949
436
758
1,194
Sales and transfers to HFS(5)(34)(39)(20)(85)(105)(18)(22)(40)(9)(44)(53)
Returned to performing(28)(142)(170)(68)(208)(276)(10)(87)(97)(14)(136)(150)
Paydowns/settlements(485)(174)(659)(884)(270)(1,154)(849)(289)(1,138)(479)(207)(686)
Charge-offs(35)(402)(437)(106)(454)(560)(35)(421)(456)(18)(417)(435)
Other1
9
10
(21)41
20
(8)(136)(144)1
37
38
Ending balance$1,482
$2,205
$3,687
$1,668
$2,575
$4,243
$1,527
$2,185
$3,712
$1,540
$2,374
$3,914






 Nine Months EndedNine Months Ended
 September 30, 2019September 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$1,311
$2,226
$3,537
$1,942
$2,690
$4,632
Additions2,259
2,457
4,716
1,889
2,410
4,299
Sales and transfers to HFS(23)(78)(101)(37)(197)(234)
Returned to performing(49)(321)(370)(118)(490)(608)
Paydowns/settlements(1,832)(749)(2,581)(1,976)(804)(2,780)
Charge-offs(107)(1,229)(1,336)(138)(1,243)(1,381)
Other(32)(121)(153)(22)8
(14)
Ending balance$1,527
$2,185
$3,712
$1,540
$2,374
$3,914



The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,Sept. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,
In millions of dollars20192018201920192018
OREO  
North America$63
$64
$76
$66
$70
$51
$47
$63
$64
$76
EMEA1
1
1
1
—
1
1
1
1
1
Latin America13
12
25
24
29
14
14
13
12
25
Asia21
22
7
10
15
6
20
21
22
7
Total OREO$98
$99
$109
$101
$114
$72
$82
$98
$99
$109
Non-accrual assets
 
 
Corporate non-accrual loans$1,482
$1,311
$1,540
$1,623
$1,668
$1,527
$1,410
$1,482
$1,311
$1,540
Consumer non-accrual loans2,205
2,226
2,374
2,383
2,575
2,185
2,228
2,205
2,226
2,374
Non-accrual loans (NAL)$3,687
$3,537
$3,914
$4,006
$4,243
$3,712
$3,638
$3,687
$3,537
$3,914
OREO$98
$99
$109
$101
$114
$72
$82
$98
$99
$109
Non-accrual assets (NAA)$3,785
$3,636
$4,023
$4,107
$4,357
$3,784
$3,720
$3,785
$3,636
$4,023
NAL as a percentage of total loans0.54%0.52%0.58%0.60%0.63%0.54%0.53%0.54%0.52%0.58%
NAA as a percentage of total assets0.19
0.19
0.21
0.21
0.23
0.19
0.19
0.19
0.19
0.21
Allowance for loan losses as a percentage of NAL(1)
334
348
315
303
291
338
343
334
348
315

(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 dollarsMar. 31, 2019Dec. 31, 2018Sept. 30, 2019Dec. 31, 2018
Corporate renegotiated loans(1)
    
In U.S. offices  
Commercial and industrial(2)
$190
$188
$170
$188
Mortgage and real estate91
111
54
111
Financial institutions4
16
—
16
Other4
2
4
2
Total$289
$317
$228
$317
In offices outside the U.S.  
Commercial and industrial(2)
$220
$226
$228
$226
Mortgage and real estate21
12
21
12
Financial institutions9
9
9
9
Other—
—
—
—
Total$250
$247
$258
$247
Total corporate renegotiated loans$539
$564
$486
$564
Consumer renegotiated loans(3)(4)(5)
  
In U.S. offices  
Mortgage and real estate$2,452
$2,520
$2,257
$2,520
Cards1,383
1,338
1,440
1,338
Installment and other137
86
82
86
Total$3,972
$3,944
$3,779
$3,944
In offices outside the U.S.  
Mortgage and real estate$325
$311
$317
$311
Cards477
480
455
480
Installment and other415
415
430
415
Total$1,217
$1,206
$1,202
$1,206
Total consumer renegotiated loans$5,189
$5,150
$4,981
$5,150
(1)Includes $444$404 million and $466 million of non-accrual loans included in the non-accrual loans table above at March 31,September 30, 2019 and December 31, 2018, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at March 31,September 30, 2019, Citi also modified $32$27 million 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.
(3)Includes $1,039$981 million and $1,015 million of non-accrual loans included in the non-accrual loans table above at March 31,September 30, 2019 and December 31, 2018, respectively. The remaining loans are accruing interest.
(4)Includes $20$18 million and $17 million of commercial real estate loans at March 31,September 30, 2019 and December 31, 2018, respectively.
(5)Includes $155$112 million and $101 million of other commercial loans at March 31,September 30, 2019 and December 31, 2018, respectively.




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 2018 Annual Report on Form 10-K.
 
 




High-Quality Liquid Assets (HQLA)
CitibankNon-Bank and OtherTotalCitibankNon-Bank and OtherTotal
In billions of dollarsMar. 31, 2019Dec. 31, 2018Mar. 31, 2018Mar. 31, 2019Dec. 31, 2018Mar. 31, 2018Mar. 31, 2019Dec. 31, 2018Mar. 31, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
Available cash$94.7
$97.1
$94.9
$34.9
$27.6
$24.9
$129.6
$124.7
$119.9
$123.7
$102.1
$105.1
$31.8
$42.1
$35.1
$155.5
$144.2
$140.2
U.S. sovereign94.9
103.2
114.6
29.5
24.0
28.9
124.4
127.2
143.4
94.3
93.8
102.2
32.4
37.0
29.7
126.7
130.8
131.9
U.S. agency/agency MBS59.3
60.0
74.3
5.3
5.8
5.6
64.6
65.8
79.9
55.5
57.5
56.4
4.6
4.8
6.5
60.1
62.3
62.9
Foreign government debt(1)
67.7
76.8
69.2
3.5
6.3
12.9
71.2
83.2
82.1
65.9
61.9
74.9
10.9
4.0
9.6
76.8
65.9
84.5
Other investment grade3.6
1.5
0.3
1.5
1.3
1.3
5.1
2.8
1.6
2.9
3.1
0.2
0.7
0.7
1.1
3.6
3.8
1.3
Total HQLA (AVG)$320.1
$338.6
$353.3
$74.8
$65.1
$73.6
$394.9
$403.7
$426.9
$342.3
$318.4
$338.8
$80.4
$88.6
$82.0
$422.7
$407.0
$420.8

Note: The amounts set forth in the table above are 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 securities financing transactions. The table above incorporates various restrictions that could limit the transferability of liquidity between legal entities, including Section 23A of the Federal Reserve Act.
(1)Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Hong Kong, Singapore,India, Korea, Taiwan, India, Mexico and Brazil.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. While availableCitigroup’s HQLA increased sequentially, largely reflecting an increase in cash from deposit growth, partially offset by the use of liquidity resourcesto fund long-term debt maturities at the operating entities remained largely unchanged, the amount of HQLA included in the table above declined both year-over-year and sequentially, as less HQLA in the operating entities was eligible for inclusion in the consolidated metric.parent, rather than re-issuing new debt.
Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLBs) of which Citi is a member, which was approximately $25$40 billion as of March 31,September 30, 2019 (compared to $32 billion as of June 30, 2019 and $29 billion as of December 31, 2018 and $22 billion as of March 31,September 30, 2018) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.
In general, Citi’s liquidity is fungible across legal entities within its bank group. Citi’s bank subsidiaries, including Citibank, can lend to the Citi parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act. As of March 31, 2019, the capacity available for lending to these entities under Section 23A was approximately $16 billion, compared to $15 billion as of both December 31, 2018 and March 31, 2018, subject to certain eligible non-cash collateral requirements.
 


Liquidity Coverage Ratio
In addition to internal 30-day liquidity stress testing performed for each of Citi’s major entities, operating subsidiaries and/orand countries, Citi also monitors its liquidity by reference to the LCR, as calculated pursuant to the U.S. LCR rules.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 dollarsMar. 31, 2019Dec. 31, 2018Mar. 31, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
HQLA$394.9
$403.7
$426.9
$422.7
$407.0
$420.8
Net outflows331.6334.8
355.2
373.4353.5350.8
LCR119%121%120%113%115%120%
HQLA in excess of net outflows$63.3$68.9
$71.7
$49.3
$53.5
$70.0

Note: The amounts are presented on an average basis.

Citi’s average LCR decreased both year-over-year and sequentially, as the decline in Citi’s HQLA was only partially offset by a declinean increase in modeled net outflows.outflows more than offset an increase in HQLA. The increase in modeled net outflows was largely driven by deposit growth at the bank entities, which outpaced the increase in HQLA as a result of both limitations on the amount of Citibank HQLA available for inclusion in the consolidated metric, as well as the funding of long-term debt maturities (as described in HQLA above).



Loans
The table below details the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
In billions of dollarsMar. 31, 2019Dec. 31, 2018Mar. 31, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
Global Consumer Banking  
North America$195.0
$195.7
$189.7
$199.0
$195.4
$192.8
Latin America25.6
25.1
26.3
25.4
25.6
26.3
Asia(1)
88.6
87.6
90.3
88.9
88.4
87.7
Total$309.2
$308.4
$306.3
$313.3
$309.4
$306.8
Institutional Clients Group  
Corporate lending$133.1
$130.0
$131.6
$131.7
$132.9
$130.9
Treasury and trade solutions (TTS)75.1
77.0
78.2
72.5
73.2
76.9
Private bank97.2
94.7
88.9
104.0
101.2
92.8
Markets and securities services
and other
51.1
49.3
40.7
52.3
50.6
45.6
Total$356.5
$351.0
$339.4
$360.5
$357.9
$346.2
Total Corporate/Other
$13.5
$16.1
$22.2
$11.2
$12.3
$17.3
Total Citigroup loans (AVG)$679.2
$675.5
$667.9
$685.0
$679.6
$670.3
Total Citigroup loans (EOP)$682.3
$684.2
$672.9
$691.7
$688.7
$674.9

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

End-of-period loans increased 1%2% year-over-year and remained largely unchanged sequentially. On an average basis, loans increased 2% year-over-year and increased 1% sequentially.
Excluding the impact of FX translation, average loans increased 4%3% year-over-year and 5%4% in aggregate across GCB and ICG. Average GCB loans grew 3% year-over-year, driven by continued growth in North America GCB and Asia GCB. Average loans in Latin America GCB remained largely unchangeddeclined 1% year-over-year, duereflecting a continued deceleration in part toGDP growth in Mexico and a slowdown in activity in Citi’s commercial banking business, reflecting more cautious client sentiment under the current presidential administration.overall industry volumes.
AverageExcluding the impact of FX translation, average ICG loans increased 7% year-over-year, as a modest decline in TTS loans was more than offset by continued growth in the rest of Citi’s franchise.5% year-over-year. TTS loans declined 1%5% year-over-year, despite strong growth in origination volumes, as Citi continued to utilize its distribution capabilities to optimize the balance sheet and drive returns. Corporatereturns while maintaining support to its clients. Loans in corporate lending growth moderatedincreased 2% year-over-year, as Citi continued to 4% year-over-year, reflecting the episodic nature ofsupport its clients’ strategic financing needs, as well as an active quarter in debt capital markets origination.needs. Private bank loans increased 10%13%, reflecting growth across regions, driven by both new client onboarding, as well asclients and the deepening of relationships with existing high net worth clients. Finally, continued strong year-over-year Markets and securities services loan growth year-over-year was driven primarily by real-estate relatedresidential and commercial real estate warehouse lending activities.lending.
Average Corporate/Other loans continued to decline (down 39%34%), driven by the wind-down of legacy assets.
 
Deposits
The table below details the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
In billions of dollarsMar. 31, 2019
Dec. 31, 2018

Mar. 31, 2018

Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
Global Consumer Banking  
North America$182.3
$180.6
$180.9
$186.0
$183.0
$180.2
Latin America28.6
28.2
28.9
29.2
29.2
29.4
Asia(1)
99.3
97.7
99.1
100.6
100.7
97.6
Total$310.2
$306.5
$308.9
$315.8
$312.9
$307.2
Institutional Clients Group  
Treasury and trade solutions (TTS)$472.4
$470.8
$440.3
$501.7
$484.2
$456.7
Banking ex-TTS130.2
128.4
128.2
137.1
133.2
124.6
Markets and securities services90.0
86.7
84.1
95.8
94.0
86.7
Total$692.6
$685.9
$652.6
$734.6
$711.4
$668.0
Corporate/Other$14.4
$13.3
$20.4
$15.9
$15.6
$10.5
Total Citigroup deposits (AVG)$1,017.2
$1,005.7
$981.9
$1,066.3
$1,039.9
$985.7
Total Citigroup deposits (EOP)$1,030.4
$1,013.2
$1,001.2
$1,087.8
$1,045.6
$1,005.2
(1)
Includes deposits in certain EMEA countries for all periods presented.

End-of-period deposits increased 3%8% year-over-year and 2%4% sequentially. On an average basis, deposits increased 4%8% year-over-year and 1%3% sequentially.
Excluding the impact of FX translation, average deposits grew 6%9% from the prior-year period.
In GCB, deposits increased 2%4%, driven by growth across all regions. In North America GCB, deposits increased 1%deposit growth accelerated to 3%, reflecting growth in both branch-based deposits and digital channels.as Citi continued to make progress against its strategy of delivering a more integrated, multi-product relationship model.
Within ICG, average deposits grew 9%11% year-over-year, primarily driven by continued high-quality deposit growth in TTS.





Long-Term Debt
The weighted-average maturity of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year was approximately 8.68.4 years as of March 31,September 30, 2019, an increase fromcompared to 8.8 years as of the prior-year period (8.5 years)prior year and unchanged from8.5 years as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security, except forsecurity. For securities whichthat are redeemable prior to maturity at the option of the holder, andthe weighted-average maturity is calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes senior and subordinated debt and 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 complements benchmark debt issuance as a source of funding for Citi’s 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 dates indicated:
In billions of dollarsMar. 31, 2019Dec. 31, 2018Mar. 31, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
Parent and other(1)












Benchmark debt:  
Senior debt$109.7
$104.6
$112.0
$104.3
$111.2
$107.2
Subordinated debt24.9
24.5
25.5
25.9
25.5
25.1
Trust preferred1.7
1.7
1.7
1.7
1.7
1.7
Customer-related debt42.4
37.1
32.4
50.1
47.9
35.4
Local country and other(2)
3.3
2.9
1.6
5.3
3.3
3.8
Total parent and other$182.0
$170.8
$173.2
$187.3
$189.6
$173.2
Bank











FHLB borrowings$10.5
$10.5
$15.7
$5.5
$7.7
$10.5
Securitizations(3)
25.9
28.4
30.2
22.8
25.9
27.4
Citibank benchmark senior debt21.4
18.8
15.0
23.1
25.4
21.0
Local country and other(2)
3.8
3.5
3.8
3.5
3.6
3.2
Total bank$61.5
$61.2
$64.8
$54.9
$62.6
$62.1
Total long-term debt$243.6
$232.0
$237.9
$242.2
$252.2
$235.3
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)“Parent and other”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 March 31,September 30, 2019, “parentParent and other”other included $32.2$42.0 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Citi’s total long-term debt outstanding increased year-over-year, primarily driven by the issuance of customer-related debt at the Citigroup parent company and unsecured senior benchmark debt at the bank,non-bank entities, partially offset by a decline in FHLB advancesborrowings and securitizations. Sequentially, Citi’s total long-term debt outstanding increased,decreased, primarily driven by the issuance of unsecured senior benchmark debt and customer-related debt at the Citigroup parent company, as growtha decline in unsecured senior benchmark debt at the bank was offset by declines in securitizations.non-bank entities.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs. During the firstthird quarter of 2019, Citi repurchased and called an aggregate of approximately $1.0$2.3 billion of its outstanding long-term debt, excluding the exercise of call options on securities with a remaining life of three months or less.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:
1Q194Q181Q183Q192Q193Q18
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other























Benchmark debt:        
 
Senior debt$0.2
$4.6
$3.5
$—
$3.5
$5.4
$6.9
$—
$5.1
$4.5
$4.2
$4.5
Subordinated debt—
—
1.0
—
1.6
0.2
—
—
—
—
—
—
Trust preferred—
—
—
—
—
—
—
—
—
—
—
—
Customer-related debt1.0
5.2
1.5
4.4
2.5
4.9
2.7
6.1
3.2
7.5
1.2
2.9
Local country and other—
0.3
0.7
—
0.1
0.1
—
0.1
0.3
0.2
0.3
0.2
Total parent and other$1.2
$10.1
$6.7
$4.4
$7.7
$10.7
$9.6
$6.2
$8.6
$12.2
$5.7
$7.6
Bank























FHLB borrowings$—
$—
$1.5
$1.5
$6.5
$3.9
$4.3
$2.1
$2.8
$—
$3.3
$—
Securitizations2.6
—
0.1
1.0
2.9
2.8
3.2
—
0.1
—
2.9
1.9
Citibank benchmark senior debt2.5
5.0
2.3
—
—
2.5
2.3
—
—
3.9
—
2.5
Local country and other0.3
0.5
0.4
0.7
0.8
0.8
0.1
—
0.4
0.2
0.2
0.3
Total bank$5.4
$5.5
$4.2
$3.2
$10.2
$10.1
$9.9
$2.1
$3.3
$4.1
$6.4
$4.7
Total$6.6
$15.6
$10.9
$7.6
$17.9
$20.8
$19.5
$8.3
$11.9
$16.3
$12.1
$12.3

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) during the first quarter ofyear-to-date in 2019, as well as its aggregate expected annualremaining long-term debt maturities by year as of March 31,September 30, 2019:
1Q19Maturities2019 YTDMaturities
In billions of dollars201920202021202220232024ThereafterTotal201920202021202220232024ThereafterTotal
Parent and other



































Benchmark debt:   
   
Senior debt$0.2
$13.9
$8.8
$14.2
$9.3
$12.5
$7.0
$44.0
$109.7
$12.2
$1.8
$8.9
$14.2
$9.3
$12.5
$7.9
$49.7
$104.3
Subordinated debt—
—
—
—
0.7
1.1
0.8
22.2
$24.9
—
—
—
—
0.7
1.3
1.4
22.5
25.9
Trust preferred—
—
—
—
—
—
—
1.7
1.7
—
—
—
—
—
—
—
1.7
1.7
Customer-related debt1.0
0.6
5.1
6.2
3.9
3.5
3.1
20.1
42.4
6.8
1.5
9.7
5.3
4.6
2.8
2.3
23.9
50.1
Local country and other—
1.4
0.5
—
0.1
0.1
—
1.2
3.3
0.4
0.8
0.6
1.1
1.5
0.1
—
1.2
5.3
Total parent and other$1.2
$15.9
$14.4
$20.4
$13.9
$17.2
$10.9
$89.3
$182.0
$19.4
$4.1
$19.2
$20.6
$16.1
$16.7
$11.6
$99.0
$187.3
Bank



































FHLB borrowings$—
$5.6
$4.9
$—
$—
$—
$—
$—
$10.5
$7.1
$—
$5.5
$—
$—
$—
$—
$—
$5.5
Securitizations2.6
5.3
4.5
7.2
2.2
2.5
1.2
2.9
25.9
5.8
2.1
4.5
7.2
2.2
2.5
1.2
3.1
22.8
Citibank benchmark debt2.5
2.2
8.7
6.1
1.8
—
2.6
—
21.4
4.7
—
8.7
6.1
5.6
—
2.7
—
23.1
Local country and other0.3
0.3
0.8
1.7
0.3
0.3
0.1
0.4
3.8
0.9
0.6
1.4
0.4
0.3
0.1
0.4
0.3
3.5
Total bank$5.4
$13.4
$18.9
$14.9
$4.3
$2.7
$3.9
$3.3
$61.5
$18.5
$2.7
$20.1
$13.7
$8.1
$2.6
$4.3
$3.4
$54.9
Total long-term debt$6.6
$29.3
$33.3
$35.3
$18.2
$19.9
$14.8
$92.6
$243.6
$37.9
$6.8
$39.3
$34.3
$24.2
$19.3
$15.9
$102.4
$242.2













 










Secured Funding Transactions and Other 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)repos, and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants.
Outside of secured funding transactions, Citi’s short-term borrowings of $39 billion increased 9% from $36 billion year-over-year and 22% from $32 billion sequentially. The increase year-over-year and sequential increases were driven by Citi’s commercial paper programs, including the introduction of a commercial paper program in Citi’s broker-dealer. Sequentially, the increase was also driven by FHLB advances (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).

Secured Funding Transactions
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government debt securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and securities inventory.
Secured funding of $190$195 billion as of March 31,September 30, 2019 increased 11% from the prior-year period and 7%8% sequentially.Excluding the impact of FX translation, secured funding increased 16%14% from the prior-year period and 7%10% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $184$198 billion for the quarter ended March 31,September 30, 2019.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less-liquid securities, including equity securities, corporate bonds and asset-backed securities. The tenor of Citi’s matched book liabilities is generally equal to or longer than the tenor of the corresponding matched book assets.
The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and stipulating financing tenor. The weighted average maturity of Citi’s secured funding of less-liquid securities inventory was greater than 110 days as of March 31,September 30, 2019.
 
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.

Short-Term Borrowings
Citi’s short-term borrowings of $35 billion increased 4% year-over-year, reflecting growth in total commercial paper outstanding, partially offset by lower FHLB advances. Sequentially, short-term borrowings declined 17%, primarily driven by a reduction in FHLB advances and total commercial paper outstanding (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).


















Credit Ratings
While not included in the table below, the long-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 March 31,September 30, 2019.


 


Ratings as of March 31,September 30, 2019
 Citigroup Inc.Citibank, N.A.
 
Senior
debt
Commercial
paper
Outlook
Long-
term
Short-
term
Outlook
Fitch Ratings (Fitch)AF1StableA+F1Stable
Moody’s Investors Service (Moody’s)A3P-2StableAa3P-1Stable
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable


Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivative triggers, which could take the form of cash obligations and collateral requirements.
The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical, simultaneous
ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors— Liquidity Risks” in Citi’s 2018 Annual Report on Form 10-K.


 

Citigroup Inc. and Citibank—Potential Derivative Triggers
As of March 31,September 30, 2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.3 billion, compared to $0.2 billion as of December 31, 2018.unchanged from June 30, 2019. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of March 31,September 30, 2019, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity by approximately $0.7 billion, compared to $0.5 billion unchanged from December 31, 2018.as of June 30, 2019.
In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in increased aggregate cash obligations and collateral requirements of approximately $0.8$1.0 billion, compared to $0.7$0.8 billion as of December 31, 2018June 30, 2019 (see also Note 19 to the Consolidated Financial Statements). As detailed under “High-Quality Liquid Assets” above, the liquidity resources that are eligible for inclusion in the calculation of Citi’s consolidated HQLA were approximately $320$342 billion for Citibank and approximately $75$80 billion for Citi’s non-bank and other entities, for a total of approximately $395$423 billion for the quarter ended March 31,September 30, 2019. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could


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

Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential downgrade of Citibank’s senior debt/long-term rating across any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of March 31,September 30, 2019, Citibank had liquidity commitments of approximately $13.1$10.0 billion to consolidated asset-backed commercial paper conduits, compared to $13.2$12.9 billion as of December 31, 2018June 30, 2019 (as referenced in Note 18 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.


MARKET RISK

Market risk emanates from both Citi’s trading and non-trading portfolios. For additional information on market risk and market risk management at Citi, see “Market Risk” and ���Risk“Risk Factors” in Citi’s 2018 Annual Report on Form 10-K.
 




Market Risk of Non-Trading Portfolios
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point (bps) increase in interest rates:
In millions of dollars, except as otherwise notedMar. 31, 2019Dec. 31, 2018Mar. 31, 2018Sept. 30, 2019Jun. 30, 2019Sept. 30, 2018
Estimated annualized impact to net interest revenue  
U.S. dollar(1)
$527
$758
$1,243
$292
$404
$879
All other currencies677
661
651
605
659
649
Total$1,204
$1,419
$1,894
$897
$1,063
$1,528
As a percentage of average interest-earning assets0.07%0.08%0.11%0.05%0.06%0.09%
Estimated initial impact to AOCI (after-tax)(2)
$(3,828)$(3,920)$(4,955)$(4,055)$(3,738)$(4,597)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(25)(28)(33)(24)(23)(31)

(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 $(204)$(203) million for a 100 bps instantaneous increase in interest rates as of March 31,September 30, 2019.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

The estimated impact to net interest revenue decreased on a sequential basis, reflecting changes in balance sheet composition including increased sensitivity in deposits combined withand Citi Treasury positioning. The decreaseincrease in the estimated impact to AOCI primarily reflected changes to the positioning of Citi Treasury’s investment securities and related interest rate derivatives portfolio.
In the event of an unanticipated parallel instantaneous 100 bps 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 March 31,September 30, 2019, Citi expects that the negative $3.8$4.1 billion impact to AOCI in such a scenario could potentially be offset over approximately 2131 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 five different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies.

In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 5Scenario 1Scenario 2Scenario 3Scenario 4Scenario 5
Overnight rate change (bps)100
100
—
—
(100)100
100
—
—
(100)
10-year rate change (bps)100
—
100
(100)(100)100
—
100
(100)(100)
Estimated annualized impact to net interest revenue
  
U.S. dollar$527
$481
$35
$(52)$(810)$292
$343
$52
$(79)$(744)
All other currencies677
628
39
(39)(532)605
558
34
(34)(395)
Total$1,204
$1,109
$74
$(91)$(1,342)$897
$901
$86
$(113)$(1,139)
Estimated initial impact to AOCI (after-tax)(1)
$(3,828)$(2,312)$(1,620)$1,116
$3,141
$(4,055)$(2,599)$(1,505)$1,125
$3,405
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(25)(15)(11)7
19
(24)(16)(9)6
18
Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.
(1)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.


As shown in the table above, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under scenario 2 as compared to scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter- and intermediate-term maturities.

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of March 31,September 30, 2019, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.5 billion, or 1.0%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro and the Indian rupee.Australian dollar.
 
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements.


For the quarter endedFor the quarter ended
In millions of dollars, except as otherwise notedMar. 31, 2019Dec. 31, 2018Mar. 31, 2018Sept. 30, 2019Jun. 30, 2019 Sept. 30, 2018
Change in FX spot rate(1)
0.4%(1.6)%2.5%(3.0)%0.4%(0.2)%
Change in TCE due to FX translation, net of hedges$65
$(491)$676
$(1,192)$56
$(354)
As a percentage of TCE—%(0.3)%0.4%(0.8)%—%(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)
—
(1)(2)(1)—
—

(1)FX spot rate change is a weighted average based upon Citi’s quarterly average GAAP capital exposure to foreign countries.




Interest Revenue/Expense and Net Interest Margin (NIM)
a1q19chartforwdesk.jpga3q19chartforwdeska01.jpg
1st Qtr. 4th Qtr. 1st Qtr. Change3rd Qtr. 2nd Qtr. 3rd Qtr. Change
In millions of dollars, except as otherwise noted2019 2018 2018 1Q19 vs. 1Q182019 2019 2018 3Q19 vs. 3Q18
Interest revenue(1)
$19,140
 $18,845
 $16,396
 17% $19,224
 $19,761
 $18,228
 5 % 
Interest expense(2)
7,317
 6,853
 5,160
 42
 7,536
 7,762
 6,368
 18
 
Net interest revenue$11,823
 $11,992
 $11,236
 5% 
Net interest revenue, taxable equivalent basis$11,688
 $11,999
 $11,860
 (1)% 
Interest revenue—average rate(3)
4.40% 4.26% 3.85% 55
bps4.21% 4.40% 4.15% 6
bps
Interest expense—average rate2.10
 1.95
 1.56
 54
bps2.04
 2.14
 1.83
 21
bps
Net interest margin(3)(4)
2.72
 2.71
 2.64
 8
bps2.56
 2.67
 2.70
 (14)bps
Interest-rate benchmarks                
Two-year U.S. Treasury note—average rate2.49% 2.80% 2.16% 33
bps1.69% 2.13% 2.67% (98)bps
10-year U.S. Treasury note—average rate2.65
 3.04
 2.76
 (11)bps1.80
 2.34
 2.92
 (112)bps
10-year vs. two-year spread16
bps24
bps60
bps 
 11
bps21
bps25
bps 
 
Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments outside of the U.S. As of the fourth quarter of 2018, Citi’s FDIC surcharge was eliminated (approximately $130 million per quarter).
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018) of $64$47 million, $69$49 million and $64$58 million for the three months ended March 31,September 30, 2019, December 31, 2018June 30, 2019 and March 31,September 30, 2018, respectively.
(2)
Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated 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.

Citi’s net interest revenue in the firstthird quarter of 2019 increased 5%decreased 1% to $11.8$11.6 billion versus the prior-year period. Citi’s net interest revenue on a taxable equivalent basis also decreased 1% (as set forth in the table above, up 5% on a taxable equivalent basis) versus the prior-year period.above). Excluding the impact of FX translation, net interest revenue increased 8%,was largely unchanged, as total net interest revenue ex-markets (fixed income markets and equity markets) growth of 3% or approximately $860$270 million was offset by a decline in markets net interest revenue of 25% or $280 million. The increase in total net interest revenue ex-markets was driven mainly by higher interest rates, loan growth and a favorable loan mix, as well asalong with the impact of eliminationabsence of the FDIC surcharge. The increasedecline in markets net interest revenue was partially offsetdriven by a modest decrease fromongoing
changes in the lower trading-relatedcomposition and mix of the business’s revenues between net interest revenue and the continued wind-down of legacy assets.non-interest revenue.
As set forth above, Citi’s NIM was 2.72%2.56% on a taxable equivalent basis in the firstthird quarter of 2019, an increasea decrease of 111 basis pointpoints from the prior quarter. The increase reflected higher rates and improved loan mix.quarter, primarily driven by the lower markets net interest revenue.


Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3) 
Taxable Equivalent Basis
Average volumeInterest revenue% Average rateAverage volumeInterest revenue% Average rate
1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.
In millions of dollars, except rates20192018201820192018201820192018201920192018201920192018201920192018
Assets        
  
  
  
Deposits with banks(4)
$171,369
$175,251
$170,867
$607
$649
$432
1.44%1.47%1.03%$194,972
$192,483
$186,907
$736
$736
$629
1.50%1.53%1.34%
Federal funds sold and securities
borrowed or purchased under
agreements to resell(5)
     


Securities borrowed or purchased under agreements to resell(5)








In U.S. offices$152,530
$151,760
$140,357
$1,262
$1,202
$713
3.36%3.14%2.06%$145,267
$147,677
$154,120
$1,198
$1,345
$1,065
3.27%3.65%2.74%
In offices outside the U.S.(4)
123,109
124,372
113,920
528
490
326
1.74
1.56
1.16
118,741
118,973
114,389
549
552
360
1.83
1.86
1.25
Total$275,639
$276,132
$254,277
$1,790
$1,692
$1,039
2.63%2.43%1.66%$264,008
$266,650
$268,509
$1,747
$1,897
$1,425
2.63%2.85%2.11%
Trading account assets(6)(7)
    











In U.S. offices$95,904
$93,877
$97,558
$940
$938
$869
3.98%3.96%3.61%$113,711
$108,993
$92,034
$1,062
$1,014
$1,048
3.71%3.73%4.52%
In offices outside the U.S.(4)
124,673
112,983
118,603
752
567
512
2.45
1.99
1.75
137,514
136,733
112,979
834
1,129
614
2.41
3.31
2.16
Total$220,577
$206,860
$216,161
$1,692
$1,505
$1,381
3.11%2.89%2.59%$251,225
$245,726
$205,013
$1,896
$2,143
$1,662
2.99%3.50%3.22%
Investments    











In U.S. offices    











Taxable$225,733
$232,169
$229,407
$1,509
$1,449
$1,224
2.71%2.48%2.16%$218,823
$217,593
$227,282
$1,224
$1,273
$1,343
2.22%2.35%2.34%
Exempt from U.S. income tax16,287
16,838
17,531
129
181
170
3.21
4.26
3.93
14,649
15,233
17,088
126
196
175
3.41
5.16
4.06
In offices outside the U.S.(4)
108,988
103,144
105,307
940
907
877
3.50
3.49
3.38
118,991
114,575
103,120
1,083
1,060
903
3.61
3.71
3.47
Total$351,008
$352,151
$352,245
$2,578
$2,537
$2,271
2.98%2.86%2.61%$352,463
$347,401
$347,490
$2,433
$2,529
$2,421
2.74%2.92%2.76%
Loans (net of unearned income)(8)
     












In U.S. offices$393,398
$392,460
$380,357
$7,649
$7,606
$6,732
7.89%7.69%7.18%$396,038
$393,694
$385,610
$7,708
$7,614
$7,331
7.72%7.76%7.54%
In offices outside the U.S.(4)
285,811
283,014
287,568
4,341
4,375
4,177
6.16
6.13
5.89
288,942
285,928
284,663
4,304
4,385
4,326
5.91
6.15
6.03
Total$679,209
$675,474
$667,925
$11,990
$11,981
$10,909
7.16%7.04%6.62%$684,980
$679,622
$670,273
$12,012
$11,999
$11,657
6.96%7.08%6.90%
Other interest-earning assets(9)
$66,925
$69,243
$66,761
$483
$481
$364
2.93%2.76%2.21%$63,869
$67,885
$63,741
$400
$457
$434
2.48%2.70%2.70%
Total interest-earning assets$1,764,727
$1,755,111
$1,728,236
$19,140
$18,845
$16,396
4.40%4.26%3.85%$1,811,517
$1,799,767
$1,741,933
$19,224
$19,761
$18,228
4.21%4.40%4.15%
Non-interest-earning assets(6)
$174,687
$181,680
$175,987
      $188,565
$179,357
$180,871
      
Total assets$1,939,414
$1,936,791
$1,904,223
   $2,000,082
$1,979,124
$1,922,804
   
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018) of $64$47 million, $69$49 million and $64$58 million for the three months ended March 31,September 30, 2019, December 31, 2018June 30, 2019 and March 31,September 30, 2018, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(6)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)Includes cash-basis loans.
(9)
Includes brokerage receivables.Brokerage receivables.


Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3) 
Taxable Equivalent Basis
Average volumeInterest expense% Average rateAverage volumeInterest expense% Average rate
1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.3rd Qtr.2nd Qtr.3rd Qtr.
In millions of dollars, except rates20192018201820192018201820192018201920192018201920192018201920192018
Liabilities                
Deposits              
In U.S. offices(4)
$366,247
$354,613
$323,355
$1,489
$1,331
$897
1.65%1.49%1.13%$400,445
$377,651
$341,679
$1,699
$1,627
$1,231
1.68%1.73%1.43%
In offices outside the U.S.(5)
473,142
463,533
446,416
1,538
1,464
1,100
1.32
1.25
1.00
491,472
485,069
452,197
1,670
1,657
1,349
1.35
1.37
1.18
Total$839,389
$818,146
$769,771
$3,027
$2,795
$1,997
1.46%1.36%1.05%$891,917
$862,720
$793,876
$3,369
$3,284
$2,580
1.50%1.53%1.29%
Federal funds purchased and
securities loaned or sold under
agreements to repurchase(6)
     





Securities loaned or sold under
agreements to repurchase(6)
     





In U.S. offices$111,033
$104,647
$99,015
$1,107
$1,048
$604
4.04%3.97%2.47%$117,823
$112,386
$105,194
$1,087
$1,149
$872
3.66%4.10%3.29%
In offices outside the U.S.(5)
72,904
72,411
65,450
482
418
345
2.68
2.29
2.14
81,677
76,659
70,638
543
575
378
2.64
3.01
2.12
Total$183,937
$177,058
$164,465
$1,589
$1,466
$949
3.50%3.28%2.34%$199,500
$189,045
$175,832
$1,630
$1,724
$1,250
3.24%3.66%2.82%
Trading account liabilities(7)(8)
     





     





In U.S. offices$40,163
$40,735
$33,996
$196
$178
$127
1.98%1.73%1.52%$37,465
$35,939
$38,385
$228
$215
$167
2.41%2.40%1.73%
In offices outside the U.S.(5)
55,127
59,157
57,725
131
99
88
0.96
0.66
0.62
48,985
59,065
57,746
117
105
106
0.95
0.71
0.73
Total$95,290
$99,892
$91,721
$327
$277
$215
1.39%1.10%0.95%$86,450
$95,004
$96,131
$345
$320
$273
1.58%1.35%1.13%
Short-term borrowings(9)
     





     





In U.S. offices$75,440
$80,903
$89,202
$571
$555
$389
3.07%2.72%1.77%$75,179
$84,091
$85,592
$517
$630
$502
2.73%3.00%2.33%
In offices outside the U.S.(5)
23,740
23,693
23,482
81
82
82
1.38
1.37
1.42
17,576
22,114
22,579
92
85
76
2.08
1.54
1.34
Total$99,180
$104,596
$112,684
$652
$637
$471
2.67%2.42%1.70%$92,755
$106,205
$108,171
$609
$715
$578
2.60%2.70%2.12%
Long-term debt(10)
    





    





In U.S. offices$191,903
$193,317
$199,924
$1,685
$1,637
$1,482
3.56%3.36%3.01%$192,943
$197,578
$200,199
$1,569
$1,685
$1,647
3.23%3.42%3.26%
In offices outside the U.S.(5)
5,060
4,857
4,353
37
41
46
2.97
3.35
4.29
4,698
4,946
5,390
14
34
40
1.18
2.76
2.94
Total$196,963
$198,174
$204,277
$1,722
$1,678
$1,528
3.55%3.36%3.03%$197,641
$202,524
$205,589
$1,583
$1,719
$1,687
3.18%3.40%3.26%
Total interest-bearing liabilities$1,414,759
$1,397,866
$1,342,918
$7,317
$6,853
$5,160
2.10%1.95%1.56%$1,468,263
$1,455,498
$1,379,599
$7,536
$7,762
$6,368
2.04%2.14%1.83%
Demand deposits in U.S. offices$26,893
$32,629
$35,528
    $27,538
$29,929
$31,697
    
Other non-interest-bearing liabilities(7)
301,259
310,369
324,002
   307,586
296,747
312,174
   
Total liabilities$1,742,911
$1,740,864
$1,702,448
   $1,803,387
$1,782,174
$1,723,470
   
Citigroup stockholders’ equity$195,705
$195,101
$200,833
   $196,034
$196,237
$198,494
   
Noncontrolling interest798
827
942
   661
713
840
   
Total equity$196,503
$195,928
$201,775
   $196,695
$196,950
$199,334
   
Total liabilities and stockholders’ equity$1,939,414
$1,936,792
$1,904,223
   $2,000,082
$1,979,124
$1,922,804
   
Net interest revenue as a percentage of average interest-earning assets(11)
            
In U.S. offices$996,567
$1,007,400
$973,752
$7,232
$7,423
$6,717
2.94%2.92%2.80%$1,026,273
$1,015,979
$1,005,236
$7,036
$7,029
$7,307
2.72%2.77%2.88%
In offices outside the U.S.(6)
768,160
747,711
754,484
4,591
4,569
4,519
2.42
2.42
2.43
785,244
783,788
736,697
4,652
4,970
4,553
2.35
2.54
2.45
Total$1,764,727
$1,755,111
$1,728,236
$11,823
$11,992
$11,236
2.72%2.71%2.64%$1,811,517
$1,799,767
$1,741,933
$11,688
$11,999
$11,860
2.56%2.67%2.70%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018) of $64$47 million, $69$49 million and $64$58 million for the three months ended March 31,September 30, 2019, December 31, 2018June 30, 2019 and March 31,September 30, 2018, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.
(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.


(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.


(9)
Includes brokerage payables.Brokerage payables.
(10)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as 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 Balances and Interest Rates—Assets(1)(2)(3)
Taxable Equivalent Basis
 Average volumeInterest revenue% Average rate
 Nine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates201920182019201820192018
Assets      
Deposits with banks(4)
$186,275
$177,975
$2,079
$1,554
1.49%1.17%
Securities borrowed or purchased under agreements to resell(5)
      
In U.S. offices$148,492
$149,251
$3,805
$2,616
3.43%2.34%
In offices outside the U.S.(4)
120,274
115,469
1,629
1,184
1.81
1.37
Total$268,766
$264,720
$5,434
$3,800
2.70%1.92%
Trading account assets(6)(7)
      
In U.S. offices$106,203
$94,128
$3,016
$2,768
3.80%3.93%
In offices outside the U.S.(4)
132,973
116,474
2,715
2,048
2.73
2.35
Total$239,176
$210,602
$5,731
$4,816
3.20%3.06%
Investments      
In U.S. offices      
Taxable$220,716
$227,525
$4,006
$3,882
2.43%2.28%
Exempt from U.S. income tax15,390
17,319
451
525
3.92
4.05
In offices outside the U.S.(4)
114,185
104,330
3,083
2,693
3.61
3.45
Total$350,291
$349,174
$7,540
$7,100
2.88%2.72%
Loans (net of unearned income)(8)
      
In U.S. offices$394,376
$382,980
$22,971
$21,021
7.79%7.34%
In offices outside the U.S.(4)
286,894
286,334
13,030
12,754
6.07
5.96
Total$681,270
$669,314
$36,001
$33,775
7.07%6.75%
Other interest-earning assets(9)
$66,225
$66,614
$1,340
$1,192
2.71%2.39%
Total interest-earning assets$1,792,003
$1,738,399
$58,125
$52,237
4.34%4.02%
Non-interest-earning assets(6)
$180,870
$176,311
  
  
Total assets$1,972,873
$1,914,710
  
  
(1)
Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 21% in 2019 and 2018) of $160 million and $185 million for the nine months ended September 30, 2019 and 2018, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)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 FIN 41 (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 in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)Includes cash-basis loans.
(9)
Includes Brokerage receivables.








Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)
Taxable Equivalent Basis
 Average volumeInterest expense% Average rate
 Nine MonthsNine MonthsNine MonthsNine MonthsNine MonthsNine Months
In millions of dollars, except rates201920182019201820192018
Liabilities      
Deposits      
In U.S. offices(4)
$381,447
$332,542
$4,815
$3,169
1.69%1.27%
In offices outside the U.S.(5)
483,228
450,546
4,865
3,652
1.35
1.08
Total$864,675
$783,088
$9,680
$6,821
1.50%1.16%
Securities loaned or sold under agreements to repurchase(6)
      
In U.S. offices$113,747
$102,242
$3,343
$2,272
3.93%2.97%
In offices outside the U.S.(5)
77,080
68,215
1,600
1,151
2.78
2.26
Total$190,827
$170,457
$4,943
$3,423
3.46%2.68%
Trading account liabilities(7)(8)
      
In U.S. offices$37,856
$36,161
$639
$434
2.26%1.60%
In offices outside the U.S.(5)
54,392
58,840
353
290
0.87
0.66
Total$92,248
$95,001
$992
$724
1.44%1.02%
Short-term borrowings(9)
      
In U.S. offices$78,237
$86,377
$1,718
$1,330
2.94%2.06%
In offices outside the U.S.(5)
21,143
23,305
258
242
1.63
1.39
Total$99,380
$109,682
$1,976
$1,572
2.66%1.92%
Long-term debt(10)
      
In U.S. offices$194,142
$199,471
$4,939
$4,749
3.40%3.18%
In offices outside the U.S.(5)
4,901
4,908
85
124
2.32
3.38
Total$199,043
$204,379
$5,024
$4,873
3.37%3.19%
Total interest-bearing liabilities$1,446,173
$1,362,607
$22,615
$17,413
2.09%1.71%
Demand deposits in U.S. offices$28,120
$33,654
  
  
Other non-interest-bearing liabilities(7)
301,864
317,696
  
  
Total liabilities$1,776,157
$1,713,957
  
  
Citigroup stockholders’ equity(11)
$195,992
$199,874
  
  
Noncontrolling interest724
879
  
  
Total equity(11)
$196,716
$200,753
  
  
Total liabilities and stockholders’ equity$1,972,873
$1,914,710
  
  
Net interest revenue as a percentage of average interest-earning assets      
In U.S. offices$1,012,940
$987,592
$21,298
$20,734
2.81%2.81%
In offices outside the U.S.(5)
779,064
750,807
14,213
14,090
2.44
2.51
Total$1,792,004
$1,738,399
$35,511
$34,824
2.65%2.68%
(1)
Net interestrevenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 21% in 2019 and 2018) of $160 million and $185 million for the nine months ended September 30, 2019 and 2018, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)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.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of 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 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 allocations for capital and funding costs based on the location of the asset.


Analysis of Changes in Interest Revenue(1)(2)(3) 
1st Qtr. 2019 vs. 4th Qtr. 20181st Qtr. 2019 vs. 1st Qtr. 20183rd Qtr. 2019 vs. 2nd Qtr. 20193rd Qtr. 2019 vs. 3rd Qtr. 2018
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits with banks(4)(3)
$(14)$(28)$(42)$1
$174
$175
$9
$(9)$—
$28
$79
$107
Federal funds sold and securities borrowed or
purchased under agreements to resell
   
Securities borrowed or purchased under agreements to resell      
In U.S. offices$6
$54
$60
$67
$482
$549
$(22)$(125)$(147)$(64)$197
$133
In offices outside the U.S.(4)
(5)43
38
28
174
202
In offices outside the U.S.(3)
(1)(2)(3)14
175
189
Total$1
$97
$98
$95
$656
$751
$(23)$(127)$(150)$(50)$372
$322
Trading account assets(5)(4)
         
In U.S. offices$20
$(18)$2
$(15)$86
$71
$44
$4
$48
$222
$(208)$14
In offices outside the U.S.(4)
63
122
185
27
213
240
In offices outside the U.S.(3)
6
(301)(295)143
77
220
Total$83
$104
$187
$12
$299
$311
$50
$(297)$(247)$365
$(131)$234
Investments(1)
         
In U.S. offices$(46)$54
$8
$(28)$272
$244
$4
$(123)$(119)$(66)$(102)$(168)
In offices outside the U.S.(4)
51
(18)33
31
32
63
In offices outside the U.S.(3)
40
(17)23
143
37
180
Total$5
$36
$41
$3
$304
$307
$44
$(140)$(96)$77
$(65)$12
Loans (net of unearned income)(6)(5)
         
In U.S. offices$18
$25
$43
$237
$680
$917
$45
$49
$94
$201
$176
$377
In offices outside the U.S.(4)
43
(77)(34)(26)190
164
In offices outside the U.S.(3)
46
(127)(81)64
(86)(22)
Total$61
$(52)$9
$211
$870
$1,081
$91
$(78)$13
$265
$90
$355
Other interest-earning assets(7)(6)
$(16)$18
$2
$1
$118
$119
$(26)$(31)$(57)$1
$(35)$(34)
Total interest revenue$120
$175
$295
$323
$2,421
$2,744
$145
$(682)$(537)$686
$310
$996
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018 and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)(5)Includes cash-basis loans.
(7)(6)
Includes brokerage receivables.Brokerage receivables.



Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3) 
1st Qtr. 2019 vs. 4th Qtr. 20181st Qtr. 2019 vs. 1st Qtr. 20183rd Qtr. 2019 vs. 2nd Qtr. 20193rd Qtr. 2019 vs. 3rd Qtr. 2018
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits         
In U.S. offices$45
$113
$158
$131
$461
$592
$97
$(25)$72
$230
$238
$468
In offices outside the U.S.(4)
31
43
74
69
369
438
In offices outside the U.S.(3)
22
(9)13
123
198
321
Total$76
$156
$232
$200
$830
$1,030
$119
$(34)$85
$353
$436
$789
Federal funds purchased and securities loaned
or sold under agreements to repurchase		    
Securities loaned or sold under agreements to repurchase      
In U.S. offices$64
$(5)$59
$81
$422
$503
$54
$(116)$(62)$111
$104
$215
In offices outside the U.S.(4)
3
61
64
42
95
137
In offices outside the U.S.(3)
36
(68)(32)65
100
165
Total$67
$56
$123
$123
$517
$640
$90
$(184)$(94)$176
$204
$380
Trading account liabilities(5)(4)
         
In U.S. offices$(3)$21
$18
$26
$43
$69
$9
$4
$13
$(4)$65
$61
In offices outside the U.S.(4)
(7)39
32
(4)47
43
In offices outside the U.S.(3)
(20)32
12
(18)29
11
Total$(10)$60
$50
$22
$90
$112
$(11)$36
$25
$(22)$94
$72
Short-term borrowings(6)(5)
         
In U.S. offices$(39)$55
$16
$(68)$250
$182
$(64)$(49)$(113)$(65)$80
$15
In offices outside the U.S.(4)
—
(1)(1)1
(2)(1)
In offices outside the U.S.(3)
(20)27
7
(20)36
16
Total$(39)$54
$15
$(67)$248
$181
$(84)$(22)$(106)$(85)$116
$31
Long-term debt         
In U.S. offices$(12)$60
$48
$(61)$264
$203
$(39)$(77)$(116)$(59)$(19)$(78)
In offices outside the U.S.(4)
2
(6)(4)7
(16)(9)
In offices outside the U.S.(3)
(2)(18)(20)(5)(21)(26)
Total$(10)$54
$44
$(54)$248
$194
$(41)$(95)$(136)$(64)$(40)$(104)
Total interest expense$84
$380
$464
$224
$1,933
$2,157
$73
$(299)$(226)$358
$810
$1,168
Net interest revenue$36
$(205)$(169)$100
$487
$587
$72
$(383)$(311)$328
$(500)$(172)
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax ratesrate of 21% in 2019 and 2018 and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)(5)
Includes Brokerage payables.











Analysis of Changes in Interest Revenue(1)(2)(3)
 Nine Months 2019 vs. Nine Months 2018
 
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Deposits with banks(3)
$75
$450
$525
Securities borrowed or purchased under agreements to resell   
In U.S. offices$(13)$1,202
$1,189
In offices outside the U.S.(3)
51
394
445
Total$38
$1,596
$1,634
Trading account assets(4)
   
In U.S. offices$345
$(97)$248
In offices outside the U.S.(3)
312
355
667
Total$657
$258
$915
Investments(1)
   
In U.S. offices$(161)$211
$50
In offices outside the U.S.(3)
262
128
390
Total$101
$339
$440
Loans (net of unearned income)(5)
   
In U.S. offices$638
$1,312
$1,950
In offices outside the U.S.(3)
25
251
276
Total$663
$1,563
$2,226
Other interest-earning assets(6)
$(7)$155
$148
Total interest revenue$1,527
$4,361
$5,888
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 21% in 2019 and 2018 and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(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.cash-basis loans.
(6)
Includes Brokerage receivables.



Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
 Nine Months 2019 vs. Nine Months 2018
 
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Deposits   
In U.S. offices$513
$1,133
$1,646
In offices outside the U.S.(3)
280
933
1,213
Total$793
$2,066
$2,859
Securities loaned or sold under agreements to repurchase   
In U.S. offices$277
$794
$1,071
In offices outside the U.S.(3)
162
287
449
Total$439
$1,081
$1,520
Trading account liabilities(4)
   
In U.S. offices$21
$184
$205
In offices outside the U.S.(3)
(23)86
63
Total$(2)$270
$268
Short-term borrowings(5)
   
In U.S. offices$(135)$523
$388
In offices outside the U.S.(3)
(24)40
16
Total$(159)$563
$404
Long-term debt   
In U.S. offices$(129)$319
$190
In offices outside the U.S.(3)
—
(39)(39)
Total$(129)$280
$151
Total interest expense$942
$4,260
$5,202
Net interest revenue$585
$101
$686
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 21% in 2019 and 2018 and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(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.











Market Risk of Trading Portfolios

Value at Risk
As of March 31,September 30, 2019, Citi estimates that the conservative features of its VAR calibration contributed an approximate 26% add-on to what would be a VAR estimated under the assumption of stable and perfectly normal distributed markets. As of December 31, 2018,June 30, 2019, the add-on was 20%25%.
As set forth in the table below, Citi's average trading VAR as of March 31,decreased from June 30, 2019 decreased compared to December 31, 2018.September 30, 2019. The decrease was mainly due to lowera decrease in mark-to-market interest rate riskhedging exposure in the Markets businesses within ICG. The decrease ofCiti’s average trading and credit portfolio VAR wasalso decreased from June 30, 2019 to September 30, 2019, in line with the decrease in average trading VAR.

Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
 First Quarter Fourth Quarter First Quarter Third Quarter Second Quarter Third Quarter
In millions of dollarsMarch 31, 20192019 AverageDecember 31, 20182018 AverageMarch 31, 20182018 AverageSeptember 30, 20192019 AverageJune 30, 20192019 AverageSeptember 30, 20182018 Average
Interest rate$32
$37
$48
$54
$84
$68
$29
$33
$40
$36
$33
$58
Credit spread43
48
55
51
52
49
40
41
46
43
45
42
Covariance adjustment(1)
(21)(23)(23)(22)(24)(25)(24)(23)(24)(20)(17)(24)
Fully diversified interest rate and credit spread(2)
$54
$62
$80
$83
$112
$92
$45
$51
$62
$59
$61
$76
Foreign exchange15
26
18
21
33
30
12
20
29
25
18
21
Equity20
17
25
23
20
22
13
17
22
13
23
21
Commodity30
28
23
20
19
20
16
26
25
25
17
21
Covariance adjustment(1)
(66)(67)(66)(65)(73)(71)(48)(60)(69)(63)(58)(68)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$53
$66
$80
$82
$111
$93
$38
$54
$69
$59
$61
$71
Specific risk-only component(3)
$2
$3
$4
$78
$3
$3
$(5)$2
$2
$2
$7
$1
Total trading VAR—general market risk factors only (excluding credit portfolios)$51
$63
$76
$4
$108
$90
$43
$52
$67
$57
$54
$70
Incremental impact of the credit portfolio(4)
$14
$15
$18
$13
$5
$9
$16
$12
$7
$10
$11
$11
Total trading and credit portfolio VAR$67
$81
$98
$95
$116
$102
$54
$66
$76
$69
$72
$82

(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.



 

The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
First QuarterFourth QuarterFirst QuarterThird QuarterSecond QuarterThird Quarter
20192018201920192018
In millions of dollarsLowHighLowHighLowHighLowHighLowHighLowHigh
Interest rate$30
$58
$34
$81
$50
$89
$25
$42
$27
$47
$33
$80
Credit spread41
55
45
53
45
53
37
47
39
48
38
47
Fully diversified interest rate and credit spread$51
$89
$61
$106
$78
$117
$45
$60
$49
$72
$61
$95
Foreign exchange15
34
15
26
24
44
12
29
20
32
13
27
Equity10
29
17
33
16
32
11
24
7
22
16
28
Commodity19
43
17
23
16
23
16
75
20
33
16
27
Total trading$53
$87
$62
$102
$79
$118
$38
$84
$46
$69
$56
$91
Total trading and credit portfolio62
103
74
112
88
124
54
93
59
77
66
101
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 dollarsMar. 31, 2019Sept. 30, 2019
Total—all market risk factors, including
general and specific risk
  
Average—during quarter$65
$54
High—during quarter86
85
Low—during quarter53
39

Regulatory VAR Back-testing
In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model. Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (i.e., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss and changes in reserves.
Based on a 99% confidence level, Citi would expect two to three days in any one year where buy-and-hold losses exceeded the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.
As of March 31,September 30, 2019, there was onewere no back-testing exceptionexceptions observed for Citi’s Regulatory VAR for the prior 12 months, due to market moves triggered by political events in Italy.months.


STRATEGIC RISK
For additional information on strategic risk at Citi, see “Strategic Risk” in Citi’s 2018 Annual Report on Form 10-K.

Country Risk

Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of March 31,September 30, 2019. The total exposure as of March 31,September 30, 2019 to the top 25 countries disclosed below, in combination with the U.S., would represent approximately 96% of Citi’s exposure to all countries. For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will
generally be categorized as a loan in China. In addition, Citi has
developed regional booking centers in certain countries, most significantly in the United Kingdom (U.K.) and Ireland, in order to more efficiently serve its corporate customers. As an
example, with respect to the U.K., only 31%29% of corporate
loans presented in the table below are to U.K. domiciled
entities (33%(31% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 84%85% of the total U.K. funded loans and 91%90% of
the total U.K. unfunded commitments were investment grade
as of March 31,September 30, 2019. Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.

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
1Q19
Total
as of
4Q18
Total
as of
1Q18
Total as a % of Citi as of 1Q19
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
3Q19
Total
as of
2Q19
Total
as of
3Q18
Total as a % of Citi as of 3Q19
United Kingdom$41.1
$—
$4.9
$62.9
$16.5
$(4.4)$4.9
$(3.6)$122.3
$111.6
$125.7
7.5%$47.6
$—
$4.6
$52.5
$11.4
$(3.4)$6.8
$(2.9)$116.6
$117.7
$123.7
7.1%
Mexico10.0
25.2
0.3
8.1
0.5
(0.7)13.7
6.3
63.4
59.6
63.9
3.9
9.5
24.8
0.3
8.1
2.8
(0.8)16.0
6.6
67.3
66.8
61.9
4.1
Hong Kong17.7
13.2
0.8
8.2
1.1
(0.4)7.1
2.6
50.3
48.1
45.9
3.1
18.4
14.7
0.7
7.0
1.2
(0.1)7.8
2.8
52.5
49.5
45.9
3.2
Singapore12.2
12.7
0.2
4.7
1.1
(0.2)8.6
1.7
41.0
40.7
43.0
2.5
13.6
13.3
0.4
4.4
1.3
(0.4)7.2
1.5
41.3
42.7
41.0
2.5
Ireland12.9
—
1.3
19.7
0.3
—
—
0.6
34.8
32.9
31.1
2.1
Korea1.9
18.1
0.2
2.4
1.5
(0.4)9.5
0.5
33.7
33.8
35.8
2.1
1.7
17.1
0.1
2.1
1.5
(0.4)8.2
0.9
31.2
31.6
33.7
1.9
Ireland13.3
—
0.8
18.2
0.4
—
—
0.8
33.5
33.7
32.6
2.1
India4.8
7.1
0.8
5.7
2.1
(0.7)9.5
2.7
32.0
30.2
31.7
2.0
4.1
7.3
0.7
5.2
1.1
(0.5)10.0
1.7
29.6
31.3
27.2
1.8
Brazil12.7
—
—
2.9
5.3
(0.9)3.5
3.3
26.8
26.0
26.9
1.7
11.8
—
—
3.0
4.6
(0.9)3.9
3.3
25.7
26.4
25.9
1.6
Australia5.6
9.9
0.2
6.8
1.2
(0.4)1.5
(1.9)22.9
23.5
24.6
1.4
4.6
9.4
—
5.8
1.6
(0.4)1.5
(1.7)20.8
21.8
24.1
1.3
China6.1
4.7
0.5
1.8
1.1
(0.4)4.4
0.4
18.6
18.3
18.8
1.1
Japan2.5
—
0.1
3.1
3.9
(1.5)5.8
4.4
18.3
19.0
18.4
1.1
Germany0.4
—
0.1
6.1
3.6
(3.4)9.1
6.3
22.2
17.4
14.7
1.4
0.4
—
0.1
5.9
2.8
(3.5)8.5
3.8
18.0
18.8
19.7
1.1
Taiwan5.1
8.8
0.1
1.1
0.5
(0.1)1.2
0.9
17.6
17.4
20.3
1.1
5.6
8.8
0.1
1.0
0.3
(0.1)0.8
0.7
17.2
17.6
17.8
1.0
China6.4
4.7
0.4
1.7
0.8
(0.4)4.4
(0.6)17.4
18.0
19.8
1.1
Canada2.3
0.6
0.4
6.8
2.4
(0.4)2.7
0.5
15.3
16.0
15.6
0.9
2.3
0.7
0.3
6.7
2.4
(0.5)3.1
0.9
15.9
16.4
16.4
1.0
Poland3.8
1.9
0.1
3.9
0.1
(0.1)4.3
1.3
15.3
13.2
14.7
0.9
3.7
1.9
0.1
2.8
0.5
(0.1)3.9
0.8
13.6
15.3
14.4
0.8
Japan2.6
—
0.1
2.7
3.7
(1.5)6.2
0.6
14.4
17.6
18.4
0.9
Jersey7.6
—
0.2
5.8
—
—
—
—
13.6
12.8
10.3
0.8
United Arab Emirates7.1
1.5
0.1
3.5
0.2
(0.1)—
0.1
12.4
9.6
11.0
0.8
6.7
1.5
0.2
3.0
0.2
(0.1)0.1
—
11.6
11.8
9.8
0.7
Malaysia1.8
4.6
0.3
1.2
0.1
(0.1)1.4
0.7
10.0
10.0
10.0
0.6
1.7
4.4
0.2
1.0
0.1
(0.1)1.4
0.4
9.1
9.7
9.6
0.6
Jersey7.0
—
0.3
2.7
0.1
(0.2)—
—
9.9
10.4
9.0
0.6
Thailand0.8
2.5
0.1
1.6
—
—
1.4
0.4
6.8
7.4
7.4
0.4
0.7
2.7
0.1
1.7
—
—
1.7
0.9
7.8
8.5
7.2
0.5
Indonesia2.3
1.0
—
1.5
—
(0.1)1.2
0.2
6.1
6.3
6.5
0.4
2.1
1.0
—
1.4
—
(0.1)1.3
0.2
5.9
6.2
5.8
0.4
Russia1.8
0.8
—
0.7
0.3
(0.1)1.0
0.5
5.0
5.4
4.1
0.3
Philippines0.6
1.3
0.1
0.4
1.3
—
1.8
0.4
5.9
5.3
4.3
0.4
0.7
1.4
—
0.5
0.1
—
1.7
0.2
4.6
5.2
4.9
0.3
Russia2.1
0.9
—
0.8
0.4
(0.1)0.7
(0.1)4.7
4.6
5.5
0.3
Luxembourg—
—
—
—
0.8
(0.3)3.2
0.3
4.0
4.9
5.7
0.2
Cayman Islands—
—
—
—
0.1
—
2.6
1.1
3.8
2.2
2.6
0.2
Czechia0.9
—
—
0.5
2.4
—
—
—
3.8
4.0
3.3
0.2
South Africa1.2
—
0.1
0.9
0.2
(0.1)1.6
—
3.9
4.5
4.7
0.2
1.5
—
—
0.5
0.3
(0.1)1.5
—
3.7
4.1
5.0
0.2
Argentina1.7
—
—
0.1
0.6
—
—
0.9
3.3
3.4
4.3
0.2
Total  36.7%
Total as a % of Citi’s Total ExposureTotal as a % of Citi’s Total Exposure  35.9%
Total as a % of Citi’s non-U.S. Total ExposureTotal as a % of Citi’s non-U.S. Total Exposure  89.5%

(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of March 31,September 30, 2019, private bank loans in the table above totaled $26.5$29.7 billion, concentrated in Hong Kong ($8.29.3 billion), Singapore ($6.8 billion) and the U.K. ($6.47.2 billion) and Singapore ($7.2 billion).         
(2)
Other funded includes other direct exposure 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.
    

VenezuelaArgentina
Citi continues to monitor the political and economic environment and uncertaintiesoperates in Venezuela.Argentina through its ICG businesses. As of December 31, 2018,September 30, 2019, Citi’s net investment in its on-shore VenezuelanArgentine operations was approximately $40$570 million. In addition,As previously disclosed, Citi uses the U.S. dollar as the functional currency for its operations in early 2015,Argentina because the Central BankArgentine economy is considered highly inflationary under U.S. GAAP.
During the third quarter of Venezuela (BCV) sold gold held at2019, the BankArgentine peso depreciated 36% against the U.S. dollar, and the U.S. rating agencies downgraded Argentina’s sovereign debt rating given renewed concerns of Englanda debt default. Additionally, the government of Argentina announced a debt re-profiling on
certain short-term obligations, and also implemented new capital and currency controls during the quarter. As of June 30, 2019, Citi had already remitted all available earnings from its Argentine operations that could be remitted during the 2019 calendar year, although the new capital controls will restrict Citi’s ability to a Citi entityaccess U.S. dollars in Argentina and remit earnings from its Argentine operations in the U.K., giving future.
Citi ownership and full legal titleeconomically hedges its foreign currency risk in its net investment in Argentina to the gold for $1.6 billion. Simultaneously,extent possible and prudent through the BCV entered intouse of non-deliverable forward purchase agreements (collectively,(NDF) derivative instruments that are executed outside of Argentina. During the Agreements) withthird quarter of 2019, the international NDF market lost liquidity as a result of the capital controls on foreign exchange transactions mentioned above. Given the lack of liquidity in the international NDF market, Citi requiring the BCV to purchase the same quantity of gold from Citi on predetermined dates. The next and final such datefaces a risk that it will be unable to economically hedge its Argentine peso exposure if these contracts do not begin trading again in April 2020 at which time the BCV willnear term. As a result, devaluations on Citi’s net Argentine peso-denominated assets would be requiredrecorded in earnings, without any benefit from a change in the fair value of derivative positions used to purchaseeconomically hedge the remaining amount of gold from exposure.
Citi under the terms of the Agreements.consistently 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 is protected against markethas 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 September 30, 2019. However, given the recent events in Argentina, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’scost of credit, based on the perceived country risk related to the Agreements. The Agreements were accounted for as a financing on Citi’s books under ASC 470-40.associated with its Argentine exposures.



Potential Exit of U.K. from EU
As widely reported, the U.K. and the EU agreed to further extend the U.K.’s scheduled exit from the EU to Octoberuntil January 31, 2019.2020. For additional information regarding the U.K’sU.K.’s potential exit from the EU, see “Risk Factors—Strategic Risk” and “Strategic Risk—Potential Exit fromof U.K. from EU” in Citi’s 2018 Annual Report on Form 10-K.

LIBOR Transition Risk
Citi continues to actively identify and manage its LIBOR transition risks. Citi’s LIBOR governance and implementation program remains focused on identifying and addressing the transition impact to Citi’s clients, operational capabilities, and legal and financial contracts, among others. Citi also continues to engage on transition issues with regulators and others, such as the Alternative Reference Rates Committee (ARRC) convened by the Federal Reserve Board, in addition to various industry working groups. 
For additional information on Citi’s LIBOR transition risks and actions, see “Risk Factors—Strategic Risks” and “Managing Global Risk—Strategic Risks—LIBOR Transition Risk” in Citi’s 2018 Annual Report on Form 10-K.



INCOME TAXES

Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Notes 1 and 9 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
At March 31,September 30, 2019, Citigroup had recorded net DTAs of approximately $22.8$22.5 billion, an increase of $0.2 billion from June 30, 2019 and a decrease of $0.1$0.4 billion from December 31, 2018. The decreaseincrease for the quarter was primarily driven by gains in Other comprehensive income.the DTA valuation allowance (VA) release as discussed below.
The table below summarizes Citi’s net DTAs balance:
Jurisdiction/ComponentDTAs balanceDTAs balance
In billions of dollarsMarch 31,
2019		December 31, 2018September 30,
2019		December 31, 2018
Total U.S.$20.6
$20.7
$20.6
$20.7
Total foreign2.2
2.2
1.9
2.2
Total$22.8
$22.9
$22.5
$22.9

Of Citi’s total net DTAs of $22.8$22.5 billion as of March 31,September 30, 2019, $10.8$10.2 billion (primarily relating to net operating losses, foreign tax credits and general business credit carry-forwards, which Citi reduced by $0.2 billion in the current quarter)quarter and $0.7 billion year-to-date, excluding the VA release), was deducted in calculating Citi’s regulatory capital. Net DTAs resulting from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). For the quarter ended March 31,September 30, 2019, Citi did not have any such DTAs. Accordingly, the remaining $12.0$12.3 billion of net DTAs as of March 31,September 30, 2019 was not deducted in calculating regulatory capital pursuant to Basel III standards and was appropriately risk weighted under those rules.

DTA Valuation Allowance (VA) Release
In the third quarter of 2019, Citi committed to a plan as part of the Company’s liquidity management program, to increase its ownership of certain types of non-U.S. securities and to hold such securities in its U.S. operations. This action will generate incremental foreign source income in Citi’s U.S. tax returns over time. Based on these actions, the Company views it to be more-likely-than-not that Citi will utilize $182 million of FTC carry-forwards against which it had previously recorded a VA. Therefore, Citi released the associated approximately $182 million of VA in the third quarter.
Citi continues to look for other actions that may improve foreign source income in the U.S. and thus affect the VA. These actions can include the relocation of certain businesses to the U.S., each of which can raise client, regulatory or operational issues. No other action was deemed prudent and feasible as of September 30, 2019. In addition, in the fourth quarter of 2019, as part of its normal planning process, Citi updates its forecasts of operating income and foreign source income, which in turn can affect the VA.

Overall DTA Realizability
Citi believes that the realization of the recognized net DTAs of $22.5 billion at September 30, 2019 is more-likely-than-not, based upon management’s expectations as to future taxable income in the jurisdictions in which the DTAs arise, as well as consideration of available tax planning strategies (as defined in ASC Topic 740, Income Taxes).

Effective Tax Rate
Citi’s reported effective tax rate for the firstthird quarter of 2019 was 21.2%approximately 18%, which included discrete items related to a tax audit settlement and the VA release discussed above, compared to 23.7%24% in the prior-year period. The 21.2% was lower than the roughly 23% expectedCiti’s effective tax rate for 2019 due to certainexcluding those discrete items was approximately 22%.The 23% expected 2019 rate is slightly lower than 2018 due to changes in Citi’s earnings mix.








FUTURE APPLICATION OF ACCOUNTING STANDARDS

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


Losses (CECL) Methodology” in Citi’s 2018 Annual Report on Form 10-K.

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

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




DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of March 31,September 30, 2019 and, based on that evaluation, the CEO and CFO have concluded that at that date, Citigroup’s disclosure controls and procedures were effective.

DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT

Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012, which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities that are subject to sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law. Citi, in its related quarterly reports on Form 10-Q, previously disclosed reportable activities pursuant to Section 219 for the first and second quarters of 2019.
During the firstthird quarter of 2019, as a result of an operational error, the Hungarian branch of Citibank Europe plc, a subsidiary of Citibank,Citi, acting as the beneficiaryan intermediary bank, inadvertently processed a domestic payment within Hungary for a fee relatedtwo transactions between two Irish banks paid to the operating expenses of the Iranian Embassy in Budapest.Ireland. The total aggregate value of the paymentpayments was HUF 135,636.00EUR 250.00 (approximately USD 489.79)279.00). The transaction did not result in any revenueThese transactions were for Citi. The transaction was voluntarily self-disclosedvisa-related fees and are exempt pursuant to the U.S. OfficeIranian Transactions and Sanctions Regulations. Citibank Europe plc realized nominal fees for the processing of Foreign Asset Control (OFAC).these payments.






 







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 2018 Annual Report on Form 10-K;10-K and other SEC filings; (ii) the factors listed and described under “Risk Factors” in Citi’s 2018 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:

the potential impact on Citi’s ability to return capital to common shareholders, consistent with its capital planning efforts and targets, due to, among other things, regulatory approval, Citi’s results of operations, financial condition and effectiveness in managing its level of risk-weighted assets and GSIB surcharge, potential changes to the regulatory capital framework, the CCAR process and the results of regulatory stress tests, such as the proposed integration of the annual stress testing requirements with ongoing regulatory capital requirements, including introduction of a firm-specific “stress capital buffer” (SCB), and any resulting year-to-year variability in the SCB, impact on Citi’s estimated management buffer and the impact of incorporating CECL in future stress testing requirements;
the ongoing regulatory and other uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, such as potential fiscal, monetary and regulatory or other changes from the U.S. Presidential administration and Congress, potential changes to various aspects of the regulatory capital framework and the terms of and other uncertainties resulting from the U.K.’s potential exit from the European Union, and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structure and compliance risks and costs;
Citi’s ability 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 its ability to generate U.S. taxable income and by the provisions of and guidance issued in connection with the Tax Reform;Cuts and Jobs Act;
the potential impact to Citi if its interpretation or application of the complex tax laws to which it is subject, such as withholding, tax obligations and stamp, service and other transactionalnon-income taxes, differs from those of the relevant governmental authorities;
Citi’s ability to achieve its expected results from its continued investments and efficiency initiatives, such as revenue growth and expense savings, as part of Citi’s operational and financial objectives and targets, including as a result of factors that Citi cannot control;
the potential impact from a deterioration in or failure to maintain Citi’s co-branding or private label credit card relationship,relationships, for example with Sears, due to, among other things, external factors outside the control of either party to the relationship, including the general economic environment, declining sales and revenues or other operational difficulties of the retailer or merchant, termination of a particular relationship, or other factors, such as bankruptcies, liquidations, restructurings, consolidations or other similar events;
the potential impact to Citi’s businesses, loan volumes, credit costs, revenues or other results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties and volatility,volatilities, including, among others, weakening economic conditions in the U.S. or Citi’s other target markets, changes in U.S. trade policies and resulting retaliatory measures from other countries, including imposition of tariffs, geopolitical tensions and conflicts changes in governmental fiscal and monetary actions, or expected actions, such as interest rate and other policies, and the terms or conditions regarding the U.K.’s potential withdrawal from the European Union;
the various risks faced by Citi as a result of weakening economic conditions in the U.S. or Citi’s other markets;
the potential impact to Citi from changes in monetary policy, such as reductions in interest rates and other actions by central banks;
the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, limitations of hedges on net investments, foreign currency volatility, sovereign volatility, regulatory changes and political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyperinflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets, as well as the resulting increased compliance, regulatory and legal risks and costs;
Citi’s ability in its resolution plan submissions to address any deficiencies identified or future guidance, including resolution plan guidance, provided by the Federal Reserve Board and FDIC;
the potential impact on Citi’s performance and the performance of its individual businesses, including its competitive position and ability to effectively manage its businesses and continue to execute its strategies, if Citi is unable to attract, retain and motivate highly qualified employees;


Citi’s ability to effectively compete with U.S. and non-U.S. financial services companies and others, including as a result of emerging technologies;


the possibletransition from or discontinuance of LIBOR or any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi;
the potential impact on Citi’s results of operations from the CECL methodology, subsequent to its initial adoption on January 1, 2020, including due to changes in estimates of expected credit losses resulting from Citi’s CECL models and assumptions, existing and forecasted macroeconomic conditions and the credit quality, composition and other characteristics of Citi’s loan and other applicable portfolios;
the reclassification of any foreign currency translation adjustment (CTA) components of AOCI, including related hedges and taxes, into earnings, due to the sale or substantial liquidation of any foreign entity, such as those related to Citi’s legacy operations;
the potential impact of credit risk and concentrations of risk on Citi’s results of operations, whether due to a default of or deterioration involving consumer, corporate or public sector counterparties in the U.S. or in various countries and jurisdictions globally;globally, including as a result of any decline in commodity prices;
the potential impactsimpact to Citi if the economic situation in a non-U.S. jurisdiction where Citi operates were to deteriorate to such a level that U.S. regulators impose mandatory loan loss or other reserve requirements on Citi;
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 U.S. retail deposits, market disruptions and governmental fiscal and monetary policies as well as regulatory changes or negative investor perceptions of Citi’s creditworthiness;
the impact of ratings downgrades of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as the results of operations of certain of its businesses;
the potential impact to Citi from a disruption of its operational systems, including as a result of, among other things, human error, fraud or malice, accidental technological failure, electrical or telecommunication outages or failure of computer servers, 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 activities faced by financial institutions and others, including Citi and third parties with whom it does business, such as, among other things, theft, loss, misuse or disclosure of confidential or proprietary client, customer or corporate information or assets and a disruption of computer or network systems, and the potential impact from such risks, including reputational damage, regulatory penalties, loss of revenues, additional
costs (including credit, remediation and other costs), exposure to litigation and other financial losses;
the potential impact of incorrect assumptions or estimates in Citi’s financial statements, or the impact of ongoing changes to financial accounting and reporting standards or interpretations, on how Citi records and reports its financial condition and results of operations;
the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management and mitigation processes, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, or require refinement, modification or enhancement, or any related approval is withdrawn by Citi’s U.S. banking regulators;
the potential impact to Citi of ongoing implementation and interpretation of regulatory changes and requirements in the U.S. and globally, including on Citi’s compliance risks and costs and reputational and legal risks as well as the impact of any remediation and other financial costs, such as penalties and fines; and
the potential outcomes of the extensive legal and regulatory proceedings, as well as regulatory examinations, investigations and other inquiries, to which Citi is or may be subject at any given time, particularly given the increased focus on conduct and controls risk and the severity of the remedies sought and potential collateral consequences to Citi arising from such outcomes.

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 forward-looking statements were made.
































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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS 
Consolidated Statement of Income (Unaudited)—

For the Three and Nine Months Ended March 31,September 30, 2019
and 2018
7280
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three and Nine Months Ended March 31,
September 30, 2019 and 2018
7381
Consolidated Balance Sheet—March 31,September 30, 2019 (Unaudited) and December 31, 2018
7482
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three and Nine Months Ended March 31,September 30, 2019 and 2018
7684
Consolidated Statement of Cash Flows (Unaudited)—

For the ThreeNine Months Ended March 31,September 30, 2019 and 2018
7786

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 
Note 1—Basis of Presentation and Accounting Changes
7988
Note 2—Discontinued Operations and Significant Disposals
8089
Note 3—Business Segments
8190
Note 4—Interest Revenue and Expense
8291
Note 5—Commissions and Fees; Administration and Other
                 Fiduciary Fees
8392
Note 6—Principal Transactions
8594
Note 7—Incentive Plans
8695
Note 8—Retirement Benefits
8695
Note 9—Earnings per Share
9099
Note 10—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
91100
Note 11—Brokerage Receivables and Brokerage Payables
94103
Note 12—Investments
95104
 


  
Note 13—Loans
107118
Note 14—Allowance for Credit Losses
118131
Note 15—Goodwill and Intangible Assets
120133
Note 16—Debt
121135
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
122136
Note 18—Securitizations and Variable Interest Entities
126142
Note 19—Derivatives Activities
133151
Note 20—Fair Value Measurement
143162
Note 21—Fair Value Elections
157181
Note 22—Guarantees, Leases and Commitments
161185
Note 23—Contingencies
167191
Note 24—Condensed Consolidating Financial Statements
169193




CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) Citigroup Inc. and Subsidiaries
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars, except per share amounts201920182019201820192018
Revenues    
 
Interest revenue$19,076
$16,332
$19,177
$18,170
$57,965
$52,052
Interest expense7,317
5,160
7,536
6,368
22,615
17,413
Net interest revenue$11,759
$11,172
$11,641
$11,802
$35,350
$34,639
Commissions and fees$2,926
$3,030
$2,906
$2,803
$8,713
$8,944
Principal transactions2,804
3,242
2,802
2,364
7,480
7,732
Administration and other fiduciary fees839
905
880
911
2,588
2,750
Realized gains on sales of investments, net130
170
361
69
959
341
Impairment losses on investments    
Gross impairment losses(8)(28)(14)(70)(27)(113)
Net impairment losses recognized in earnings$(8)$(28)$(14)$(70)$(27)$(113)
Other revenue$126
$381
$(2)$510
$845
$1,437
Total non-interest revenues$6,817
$7,700
$6,933
$6,587
$20,558
$21,091
Total revenues, net of interest expense$18,576
$18,872
$18,574
$18,389
$55,908
$55,730
Provisions for credit losses and for benefits and claims    
 
Provision for loan losses$1,944
$1,803
$2,062
$1,906
$6,095
$5,504
Policyholder benefits and claims12
26
17
26
48
73
Provision for unfunded lending commitments24
28
9
42
18
66
Total provisions for credit losses and for benefits and claims$1,980
$1,857
$2,088
$1,974
$6,161
$5,643
Operating expenses    
 
Compensation and benefits$5,658
$5,807
$5,329
$5,319
$16,368
$16,578
Premises and equipment564
593
580
565
1,713
1,728
Technology/communication1,720
1,758
1,783
1,806
5,227
5,361
Advertising and marketing359
381
378
378
1,171
1,170
Other operating2,283
2,386
2,394
2,243
7,069
7,111
Total operating expenses$10,584
$10,925
$10,464
$10,311
$31,548
$31,948
Income from continuing operations before income taxes$6,012
$6,090
$6,022
$6,104
$18,199
$18,139
Provision for income taxes1,275
1,441
1,079
1,471
3,727
4,356
Income from continuing operations$4,737
$4,649
$4,943
$4,633
$14,472
$13,783
Discontinued operations    
 
Loss from discontinued operations$(2)$(7)$(15)$(8)$(27)$(17)
Benefit for income taxes—
—
(27)(17)
Loss from discontinued operations, net of taxes$(2)$(7)$(15)$(8)$—
$—
Net income before attribution of noncontrolling interests$4,735
$4,642
$4,928
$4,625
$14,472
$13,783
Noncontrolling interests25
22
15
3
50
51
Citigroup’s net income$4,710
$4,620
$4,913
$4,622
$14,422
$13,732
Basic earnings per share(1)
    
 
Income from continuing operations$1.88
$1.68
$2.09
$1.74
$5.92
$5.04
Income from discontinued operations, net of taxes—
—
(0.01)—
—
—
Net income$1.88
$1.68
$2.09
$1.73
$5.92
$5.04
Weighted average common shares outstanding (in millions)
2,340.4
2,561.6
2,220.8
2,479.8
2,282.4
2,524.1
Diluted earnings per share(1)
    
 
Income from continuing operations$1.87
$1.68
$2.08
$1.74
$5.89
$5.04
Income (loss) from discontinued operations, net of taxes—
—
(0.01)—
—
—
Net income$1.87
$1.68
$2.07
$1.73
$5.89
$5.04
Adjusted weighted average common shares outstanding
(in millions)
2,342.4
2,563.0
2,237.1
2,481.4
2,298.2
2,525.5

(1)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.



CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars201920182019201820192018
Citigroup’s net income$4,710
$4,620
$4,913
$4,622
$14,422
$13,732
Add: Citigroup's other comprehensive income   
   
 
Net change in unrealized gains and losses on debt securities, net of taxes(1)
$1,135
$(1,058)$307
$(605)$2,145
$(2,161)
Net change in debt valuation adjustment (DVA), net of taxes(1)
(571)128
210
(287)(358)159
Net change in cash flow hedges, net of taxes286
(222)253
(74)1,056
(397)
Benefit plans liability adjustment, net of taxes(64)88
(250)26
(567)415
Net change in foreign currency translation adjustment, net of taxes and hedges58
1,120
(1,442)(221)(1,293)(1,968)
Net change in excluded component of fair value hedges, net of taxes

18
(4)(10)10
52
(22)
Citigroup’s total other comprehensive income$862
$52
$(932)$(1,151)$1,035
$(3,974)
Citigroup’s total comprehensive income$5,572
$4,672
$3,981
$3,471
$15,457
$9,758
Add: Other comprehensive income (loss) attributable to
noncontrolling interests
$(13)$14
$(33)$8
$(26)$(35)
Add: Net income attributable to noncontrolling interests25
22
15
3
50
51
Total comprehensive income$5,584
$4,708
$3,963
$3,482
$15,481
$9,774

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


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



CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
March 31, September 30, 
2019December 31,2019December 31,
In millions of dollars(Unaudited)2018(Unaudited)2018
Assets 
 
 
 
Cash and due from banks (including segregated cash and other deposits)$24,448
$23,645
$24,086
$23,645
Deposits with banks181,445
164,460
196,357
164,460
Federal funds sold and securities borrowed and purchased under agreements to resell (including $162,116 and $147,701 as of March 31, 2019 and December 31, 2018, respectively, at fair value)264,495
270,684
Securities borrowed and purchased under agreements to resell (including $148,368 and $147,701 as of September 30, 2019 and December 31, 2018, respectively, at fair value)261,125
270,684
Brokerage receivables44,500
35,450
54,215
35,450
Trading account assets (including $125,102 and $112,932 pledged to creditors at March 31, 2019 and December 31, 2018, respectively)286,511
256,117
Trading account assets (including $138,658 and $112,932 pledged to creditors at September 30, 2019 and December 31, 2018, respectively)306,824
256,117
Investments:  
Available-for-sale debt securities (including $13,140 and $9,289 pledged to creditors as of March 31, 2019 and December 31, 2018, respectively)275,132
288,038
Held-to-maturity debt securities (including $986 and $971 pledged to creditors as of March 31, 2019 and December 31, 2018, respectively)66,842
63,357
Equity securities (including $1,012 and $1,109 at fair value as of March 31, 2019 and December 31, 2018, respectively)7,307
7,212
Available-for-sale debt securities (including $9,821 and $9,289 pledged to creditors as of September 30, 2019 and December 31, 2018, respectively)275,425
288,038
Held-to-maturity debt securities (including $1,601 and $971 pledged to creditors as of September 30, 2019 and December 31, 2018, respectively)75,841
63,357
Equity securities (including $1,136 and $1,109 at fair value as of September 30, 2019 and December 31, 2018, respectively)7,117
7,212
Total investments$349,281
$358,607
$358,383
$358,607
Loans: 
 
 
 
Consumer (including $20 and $20 as of March 31, 2019 and December 31, 2018, respectively, at fair value)319,887
330,487
Corporate (including $3,854 and $3,203 as of March 31, 2019 and December 31, 2018, respectively, at fair value)362,459
353,709
Consumer (including $18 and $20 as of September 30, 2019 and December 31, 2018, respectively, at fair value)326,038
330,487
Corporate (including $3,838 and $3,203 as of September 30, 2019 and December 31, 2018, respectively, at fair value)365,705
353,709
Loans, net of unearned income$682,346
$684,196
$691,743
$684,196
Allowance for loan losses(12,329)(12,315)(12,530)(12,315)
Total loans, net$670,017
$671,881
$679,213
$671,881
Goodwill22,037
22,046
21,822
22,046
Intangible assets (including MSRs of $551 and $584 as of March 31, 2019 and December 31, 2018, at fair value)5,196
5,220
Other assets (including $19,818 and $20,788 as of March 31, 2019 and December 31, 2018, respectively, at fair value)110,483
109,273
Intangible assets (including MSRs of $472 and $584 as of September 30, 2019 and December 31, 2018, at fair value)4,844
5,220
Other assets (including $15,568 and $20,788 as of September 30, 2019 and December 31, 2018, respectively, at fair value)107,933
109,273
Total assets$1,958,413
$1,917,383
$2,014,802
$1,917,383

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, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
March 31, September 30, 
2019December 31,2019December 31,
In millions of dollars(Unaudited)2018(Unaudited)2018
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$105
$270
$110
$270
Trading account assets1,706
917
5,932
917
Investments1,805
1,796
1,400
1,796
Loans, net of unearned income  
  
Consumer45,885
49,403
46,153
49,403
Corporate17,995
19,259
15,150
19,259
Loans, net of unearned income$63,880
$68,662
$61,303
$68,662
Allowance for loan losses(1,858)(1,852)(1,852)(1,852)
Total loans, net$62,022
$66,810
$59,451
$66,810
Other assets140
151
109
151
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$65,778
$69,944
$67,002
$69,944
Statement continues on the next page.


CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
March 31, September 30, 
2019December 31,2019December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2018(Unaudited)2018
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$101,354
$105,836
$99,731
$105,836
Interest-bearing deposits in U.S. offices (including $1,408 and $717 as of March 31, 2019 and December 31, 2018, respectively, at fair value)373,339
361,573
Interest-bearing deposits in U.S. offices (including $1,658 and $717 as of September 30, 2019 and December 31, 2018, respectively, at fair value)407,872
361,573
Non-interest-bearing deposits in offices outside the U.S.80,594
80,648
82,723
80,648
Interest-bearing deposits in offices outside the U.S. (including $936 and $758 as of March 31, 2019 and December 31, 2018, respectively, at fair value)475,068
465,113
Interest-bearing deposits in offices outside the U.S. (including $999 and $758 as of September 30, 2019 and December 31, 2018, respectively, at fair value)497,443
465,113
Total deposits$1,030,355
$1,013,170
$1,087,769
$1,013,170
Federal funds purchased and securities loaned and sold under agreements to repurchase (including $46,241 and $44,510 as of March 31, 2019 and December 31, 2018, respectively, at fair value)190,372
177,768
Securities loaned and sold under agreements to repurchase (including $52,273 and $44,510 as of September 30, 2019 and December 31, 2018, respectively, at fair value)195,047
177,768
Brokerage payables62,656
64,571
63,342
64,571
Trading account liabilities136,392
144,305
135,596
144,305
Short-term borrowings (including $5,172 and $4,483 as of March 31, 2019 and December 31, 2018, respectively, at fair value)39,322
32,346
Long-term debt (including $44,088 and $38,229 as of March 31, 2019 and December 31, 2018, respectively, at fair value)243,566
231,999
Other liabilities (including $14,577 and $15,906 as of March 31, 2019 and December 31, 2018, respectively, at fair value)58,735
56,150
Short-term borrowings (including $4,823 and $4,483 as of September 30, 2019 and December 31, 2018, respectively, at fair value)35,230
32,346
Long-term debt (including $51,491 and $38,229 as of September 30, 2019 and December 31, 2018, respectively, at fair value)242,238
231,999
Other liabilities (including $9,500 and $15,906 as of September 30, 2019 and December 31, 2018, respectively, at fair value)58,510
56,150
Total liabilities$1,761,398
$1,720,309
$1,817,732
$1,720,309
Stockholders’ equity 
 
 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2019— 719,200 and as of December 31, 2018—738,400, at aggregate liquidation value
$17,980
$18,460
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2019—3,099,601,505 and as of December 31, 2018—3,099,567,177
31
31
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of September 30, 2019—779,200 and as of December 31, 2018—738,400, at aggregate liquidation value
$19,480
$18,460
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of September 30, 2019—3,099,602,856 and as of December 31, 2018—3,099,567,177
31
31
Additional paid-in capital107,551
107,922
107,741
107,922
Retained earnings154,859
151,347
161,797
151,347
Treasury stock, at cost: March 31, 2019—787,133,784 shares and
December 31, 2018—731,099,833 shares
(47,861)(44,370)
Treasury stock, at cost: September 30, 2019—916,408,916 shares and
December 31, 2018—731,099,833 shares
(56,541)(44,370)
Accumulated other comprehensive income (loss) (AOCI)(36,308)(37,170)(36,135)(37,170)
Total Citigroup stockholders’ equity$196,252
$196,220
$196,373
$196,220
Noncontrolling interest763
854
697
854
Total equity$197,015
$197,074
$197,070
$197,074
Total liabilities and equity$1,958,413
$1,917,383
$2,014,802
$1,917,383

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.
March 31, September 30, 
2019December 31,2019December 31,
In millions of dollars(Unaudited)2018(Unaudited)2018
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup
 
 
 
 
Short-term borrowings$13,071
$13,134
$10,268
$13,134
Long-term debt25,952
28,514
24,999
28,514
Other liabilities940
697
1,935
697
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup
$39,963
$42,345
$37,202
$42,345
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.


CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY Citigroup Inc. and Subsidiaries
(UNAUDITED)  
 Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars2019201820192018
Preferred stock at aggregate liquidation value   
 
Balance, beginning of period$17,980
$19,035
$18,460
$19,253
Issuance of new preferred stock1,500
—
1,500
—
Redemption of preferred stock—
—
(480)(218)
Balance, end of period$19,480
$19,035
$19,480
$19,035
Common stock and additional paid-in capital   
 
Balance, beginning of period$107,688
$107,755
$107,953
$108,039
Employee benefit plans69
98
(201)(187)
Preferred stock issuance expense(4)—
(4)—
Other19
3
24
4
Balance, end of period$107,772
$107,856
$107,772
$107,856
Retained earnings   
 
Balance, beginning of period$158,321
$145,211
$151,347
$138,425
Adjustment to opening balance, net of taxes(1)
—
—
151
(84)
Adjusted balance, beginning of period$158,321
$145,211
$151,498
$138,341
Citigroup’s net income4,913
4,622
14,422
13,732
Common dividends(2)
(1,183)(1,127)(3,299)(2,777)
Preferred dividends(254)(270)(812)(860)
Other(3)
—
—
(12)—
Balance, end of period$161,797
$148,436
$161,797
$148,436
Treasury stock, at cost   
 
Balance, beginning of period$(51,427)$(34,413)$(44,370)$(30,309)
Employee benefit plans(4)
6
6
579
477
Treasury stock acquired(5)
(5,120)(5,271)(12,750)(9,846)
Balance, end of period$(56,541)$(39,678)$(56,541)$(39,678)
Citigroup’s accumulated other comprehensive income (loss)   
 
Balance, beginning of period$(35,203)$(37,494)$(37,170)$(34,668)
Adjustment to opening balance, net of taxes—
—
—
(3)
Adjusted balance, beginning of period$(35,203)$(37,494)$(37,170)$(34,671)
Citigroup’s total other comprehensive income(932)(1,151)1,035
(3,974)
Balance, end of period$(36,135)$(38,645)$(36,135)$(38,645)
Total Citigroup common stockholders’ equity$176,893
$177,969
$176,893
$177,969
Total Citigroup stockholders’ equity$196,373
$197,004
$196,373
$197,004
Noncontrolling interests   
 
Balance, beginning of period$751
$874
$854
$932
Transactions between Citigroup and the noncontrolling-interest shareholders(34)(23)(133)(39)
Net income attributable to noncontrolling-interest shareholders15
3
50
51
Distributions paid to noncontrolling-interest shareholders(3)(2)(40)(38)
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
(33)8
(26)(35)
Other1
(1)(8)(12)
Net change in noncontrolling interests$(54)$(15)$(157)$(73)
Balance, end of period$697
$859
$697
$859
Total equity$197,070
$197,863
$197,070
$197,863
 Three Months Ended March 31,
In millions of dollars20192018
Preferred stock at aggregate liquidation value 
 
Balance, beginning of period$18,460
$19,253
Redemption of preferred stock(480)(97)
Balance, end of period$17,980
$19,156
Common stock and additional paid-in capital 
 
Balance, beginning of period$107,953
$108,039
Employee benefit plans(382)(405)
Other11
(4)
Balance, end of period$107,582
$107,630
Retained earnings 
 
Balance, beginning of period$151,347
$138,425
Adjustment to opening balance, net of taxes(1)
151
(84)
Adjusted balance, beginning of period$151,498
$138,341
Citigroup’s net income4,710
4,620
Common dividends(2)
(1,075)(826)
Preferred dividends(262)(272)
Other(3)
(12)—
Balance, end of period$154,859
$141,863
Treasury stock, at cost 
 
Balance, beginning of period$(44,370)$(30,309)
Employee benefit plans(4)
564
469
Treasury stock acquired(5)
(4,055)(2,275)
Balance, end of period$(47,861)$(32,115)
Citigroup’s accumulated other comprehensive income (loss) 
 
Balance, beginning of period$(37,170)$(34,668)
Adjustment to opening balance, net of taxes—
(3)
Adjusted balance, beginning of period$(37,170)$(34,671)
Citigroup’s total other comprehensive income862
52
Balance, end of period$(36,308)$(34,619)
Total Citigroup common stockholders’ equity$178,272
$182,759
Total Citigroup stockholders’ equity$196,252
$201,915
Noncontrolling interests 
 
Balance, beginning of period$854
$932
Transactions between Citigroup and the noncontrolling-interest shareholders(99)(15)
Net income attributable to noncontrolling-interest shareholders25
22
Distributions paid to noncontrolling-interest shareholders(4)—
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
(13)14
Other—
(2)
Net change in noncontrolling interests$(91)$19
Balance, end of period$763
$951
Total equity$197,015
$202,866



(1)See Note 1 to the Consolidated Financial Statements for additional details.
(2)Common dividends declared were $0.45 per share in the first quarterand second quarters of 2019 and $0.51 per share in the third quarter of 2019. Common dividends declared were $0.32 forper share in the first and second quarters of 2018 and $0.45 per share in the third quarter of 2018.
(3)
Includes the impact of ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. See Note 1 to the Consolidated Financial Statements.Statements in Citi’s 2018 Annual Report on Form 10-K.
(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)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 dollars20192018
Cash flows from operating activities of continuing operations 
 
Net income before attribution of noncontrolling interests$14,472
$13,783
Net income attributable to noncontrolling interests50
51
Citigroup’s net income$14,422
$13,732
Income from discontinued operations, net of taxes—
—
Income from continuing operations—excluding noncontrolling interests$14,422
$13,732
Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations 
 
Net gains on significant disposals(1)
—
(247)
Depreciation and amortization2,866
2,800
Provision for loan losses6,095
5,504
Realized gains from sales of investments(959)(341)
Net impairment losses on investments, goodwill and intangible assets28
113
Change in trading account assets(50,790)(4,831)
Change in trading account liabilities(8,709)22,482
Change in brokerage receivables net of brokerage payables(19,994)9,709
Change in loans HFS287
1,380
Change in other assets2,866
(8,696)
Change in other liabilities2,360
(848)
Other, net16,170
(10,691)
Total adjustments$(49,780)$16,334
Net cash provided by (used in) operating activities of continuing operations$(35,358)$30,066
Cash flows from investing activities of continuing operations 
 
   Change in securities borrowed and purchased under agreements to resell$9,559
$(48,462)
   Change in loans(11,518)(16,131)
   Proceeds from sales and securitizations of loans2,717
4,021
   Purchases of investments(196,733)(112,554)
   Proceeds from sales of investments96,400
52,170
   Proceeds from maturities of investments91,656
66,440
   Proceeds from significant disposals(1)
—
314
   Capital expenditures on premises and equipment and capitalized software(4,360)(2,682)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
82
174
   Other, net105
147
Net cash used in investing activities of continuing operations$(12,092)$(56,563)
Cash flows from financing activities of continuing operations 
 
   Dividends paid$(4,048)$(3,616)
   Issuance of preferred stock1,496
—
   Redemption of preferred stock(480)(218)
   Treasury stock acquired(12,495)(9,848)
   Stock tendered for payment of withholding taxes(360)(479)
   Change in securities loaned and sold under agreements to repurchase17,279
19,638
   Issuance of long-term debt40,174
53,027
   Payments and redemptions of long-term debt(37,898)(47,201)
   Change in deposits74,599
45,354
   Change in short-term borrowings2,884
(10,681)
 Three Months Ended March 31,
In millions of dollars20192018
Cash flows from operating activities of continuing operations 
 
Net income before attribution of noncontrolling interests$4,735
$4,642
Net income attributable to noncontrolling interests25
22
Citigroup’s net income$4,710
$4,620
Loss from discontinued operations, net of taxes(2)(7)
Income from continuing operations—excluding noncontrolling interests$4,712
$4,627
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
Depreciation and amortization931
926
Provision for loan losses1,944
1,803
Realized gains from sales of investments(130)(170)
Net impairment losses on investments, goodwill and intangible assets8
28
Change in trading account assets(30,427)(16,054)
Change in trading account liabilities(7,913)18,791
Change in brokerage receivables net of brokerage payables(10,965)155
Change in loans HFS1,439
1,627
Change in other assets(2,961)(3,503)
Change in other liabilities2,585
1,561
Other, net3,161
(2,835)
Total adjustments$(42,328)$2,329
Net cash provided by (used in) operating activities of continuing operations$(37,616)$6,956
Cash flows from investing activities of continuing operations 
 
   Change in federal funds sold and securities borrowed and purchased under agreements to resell$6,189
$(25,409)
   Change in loans(892)(8,717)
   Proceeds from sales and securitizations of loans2,062
1,654
   Purchases of investments(69,673)(41,030)
   Proceeds from sales of investments31,436
20,688
   Proceeds from maturities of investments47,363
21,509
   Capital expenditures on premises and equipment and capitalized software(518)(969)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
38
101
   Other, net38
49
Net cash provided by (used in) investing activities of continuing operations$16,043
$(32,124)
Cash flows from financing activities of continuing operations 
 
   Dividends paid$(1,320)$(1,095)
   Redemption of preferred stock(480)(97)
   Treasury stock acquired(4,055)(2,378)
   Stock tendered for payment of withholding taxes(358)(475)
   Change in federal funds purchased and securities loaned and sold under agreements to repurchase12,604
15,482
   Issuance of long-term debt15,552
20,769
   Payments and redemptions of long-term debt(6,568)(17,882)
   Change in deposits17,186
41,397
   Change in short-term borrowings6,976
(8,358)



CONSOLIDATED STATEMENT OF CASH FLOWS 
(UNAUDITED) (Continued) 
 Nine Months Ended September 30,
In millions of dollars20192018
Net cash provided by financing activities of continuing operations$81,151
$45,976
Effect of exchange rate changes on cash and due from banks$(1,363)$(709)
Change in cash and due from banks and deposits with banks$32,338
$18,770
Cash, due from banks and deposits with banks at beginning of period188,105
180,516
Cash, due from banks and deposits with banks at end of period$220,443
$199,286
Cash and due from banks$24,086
$25,727
Deposits with banks196,357
173,559
Cash, due from banks and deposits with banks at end of period$220,443
$199,286
Supplemental disclosure of cash flow information for continuing operations 
 
Cash paid during the period for income taxes$3,735
$3,261
Cash paid during the period for interest22,343
16,278
Non-cash investing activities 
 
Transfers to loans HFS from loans$4,400
$3,300

CONSOLIDATED STATEMENT OF CASH FLOWS 
(UNAUDITED) (Continued)Three Months Ended March 31,
In millions of dollars20192018
Net cash provided by financing activities of continuing operations$39,537
$47,363
Effect of exchange rate changes on cash and due from banks$(176)$(7)
Change in cash and due from banks and deposits with banks$17,788
$22,188
Cash, due from banks and deposits with banks at beginning of period188,105
180,516
Cash, due from banks and deposits with banks at end of period$205,893
$202,704
Cash and due from banks$24,448
$21,850
Deposits with banks181,445
180,854
Cash, due from banks and deposits with banks at end of period$205,893
$202,704
Supplemental disclosure of cash flow information for continuing operations 
 
Cash paid during the period for income taxes$1,325
$738
Cash paid during the period for interest6,931
4,586
Non-cash investing activities 
 
Transfers to loans HFS from loans$2,000
$900
Transfers to OREO and other repossessed assets36
26


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


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

Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of March 31,September 30, 2019 and for the three-monththree- and nine-month periods ended March 31,September 30, 2019 and 2018 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, 2018 (2018 Annual Report on Form 10-K) and Citigroup’s Quarterly Reports on Form 10-Q for the quarters ended March 31, 2019 (First Quarter of 2019 Form 10-Q) and June 30, 2019 (Second Quarter of 2019 Form 10-Q).
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management uses its best judgment, actual results could differ from those estimates.
As noted above, the Notes to Consolidated Financial Statements are unaudited.
Throughout these Notes, “Citigroup,” “Citi” and the “Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.

ACCOUNTING CHANGES

Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842), which increases the transparency and comparability of accounting for lease transactions. The ASU requires lessees to recognize liabilities for operating leases and offsettingcorresponding right-of-use (ROU) assets on the balance sheet. The ASU also requires quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessee accounting for finance leases, as well as lessor accounting, are largely unchanged.
Effective January 1, 2019, the Company prospectively adopted the provisions of the ASU. At adoption, Citi recognized a lease liability and a corresponding ROU asset of approximately $4.4 billion on the Consolidated Balance Sheet related to its future lease payments as a lessee under operating leases. Additionally, the Company recorded a $151 million increase in Retained Earningsearnings for the cumulative
effect of recognizing previously deferred gains on sale/leaseback transactions. Adoption of the ASU did not have a material impact on the Consolidated Income Statement.Statement of Income. See Notes 13 and 22 for additional details.
The Company has elected not to separate lease and non-lease components in its lease contracts and accounts for them as a single lease component. Citi has also elected not to record aan ROU asset for short-term leases that have a term of 12 months or less and do not contain purchase options that Citi is reasonably certain to exercise. The cost of short-term leases is recognized in the Consolidated Statement of Income on a straight-line basis over the lease term. Additionally, Citi applies the portfolio approach to account for certain equipment leases with nearly identical contractual terms.

Lessee accounting
Operating lease ROU assets and lease liabilities are included in Other Assetsassets and Other Liabilitiesliabilities, respectively, on the Consolidated Balance Sheet. Finance lease assets and liabilities are included in Other Assetsassets and Long-term Debtdebt, respectively, on the Consolidated Balance Sheet. The Company uses its incremental borrowing rate, factoring in the lease term, to determine the lease liability, which is measured at the present value of future lease payments. The ROU asset at adoption of the ASU, is recordedinitially measured at the amount of the lease liability plus any prepaid rent and remaining initial direct costs, less any remaining lease incentives and acrruedaccrued rent. The ROU asset is subject to impairment, during the lease term, in a manner consistent with the impairment of long-lived assets. The lease terms include periods covered by options to extend or terminate the lease depending on whether Citi is reasonably certain to exercise such options.

Lessor accounting
Lessor accounting is largely unchanged under the ASU. Citi acts as a lessor for power, railcar, shipping and aircraft assets, where the Company has executed operating, direct financing and leveraged leasing arrangements. In a direct financing or a leveraged lease, Citi derecognizes the leased asset and records a lease financing receivable at lease commencement in Loans. Upon lease termination, Citi may obtain control of the asset, which is then recorded in Other assets on the consolidated balance sheetConsolidated Balance Sheet and any remaining receivable for the asset’s residual value is derecognized. Under the ASU, leveraged lease accounting is grandfathered and may continue to be applied until the leveraged lease is terminated or modified. Upon modification, the lease must be classified as an operating, direct finance or sales-type lease in accordance with the ASU.
Separately, as part of managing its real estate footprint, Citi subleases excess real estate space via operating lease arrangements, while retaining its obligationobligations as a lessee.




2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

The Company’s Discontinued operations consisted of residual activities related to the salesales of the German Retail Banking operations and the Egg Banking plc Credit Card Businessbusiness in 2011.2008 and 2011, respectively. All Discontinued operations results are recorded within Corporate/Other.Other.
The following summarizes financial information for all Discontinued operations:

Three Months Ended
March 31,
Three Months Ended
September 30,
Nine Months Ended
September 30,
In millions of dollars201920182019201820192018
Total revenues, net of interest expense$—
$—
$—
$—
$—
$—
Loss from discontinued operations(1)$(2)$(7)$(15)$(8)$(27)$(17)
Benefit for income taxes(2)—
—
—
—
(27)(17)
Loss from discontinued operations, net of taxes$(2)$(7)$(15)$(8)$—
$—


(1)The loss from Discontinued operations in each period relates to Egg. Citi has a full tax valuation allowance on Egg, so there is no tax impact recorded.
(2)The nine months ended September 30, 2019 includes a settlement for a tax audit in Germany.

Cash flows from Discontinued operations were not material for the periods presented. For a description of the Company’s significant disposal transactions and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.



 











3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the following business segments: Global Consumer Banking (GCB) and Institutional Clients Group (ICG). In addition, Corporate/Other includes activities not assigned to a specific business segment, as well as certain North America 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, 2019, financial data was reclassified to reflect:

•
the re-attribution of certain costs between Corporate/Other and GCB and ICG; and
certain other immaterial reclassifications.

Citi’s consolidated results remain unchanged for all periods presented as a result of thethese changes and reclassifications discussed above.

reclassifications.
For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
The following table presents certain information regarding the Company’s continuing operations by segment:














Three Months Ended March 31, Three Months Ended September 30, 
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
In millions of dollars, except identifiable assets in billions201920182019201820192018March 31,
2019		December 31, 2018201920182019201820192018September 30,
2019		December 31, 2018
Global Consumer Banking$8,451
$8,426
$422
$454
$1,437
$1,390
$426
$432
$8,658
$8,648
$499
$493
$1,586
$1,564
$440
$432
Institutional Clients Group9,694
9,855
924
1,056
3,322
3,334
1,425
1,394
9,514
9,248
835
862
3,170
3,121
1,479
1,394
Corporate/Other431
591
(71)(69)(22)(75)107
91
402
493
(255)116
187
(52)96
91
Total$18,576
$18,872
$1,275
$1,441
$4,737
$4,649
$1,958
$1,917
$18,574
$18,389
$1,079
$1,471
$4,943
$4,633
$2,015
$1,917
(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $8.3$8.5 billion and $8.2$8.5 billion; in EMEA of $3.2$3.1 billion and $3.2$2.9 billion; in Latin America of $2.5$2.6 billion and $2.6$2.7 billion; and in Asia of $4.1$4.0 billion and $4.1$3.8 billion for the three months ended March 31,September 30, 2019 and 2018, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $2.0 billion and $1.9 billion; in the ICG results of $21$91 million and $(41)$71 million; and in the Corporate/Other results of $(25)$(15) million and $(7)$(30) million for the three months ended March 31,September 30, 2019 and 2018, respectively.

 Nine Months Ended September 30,
 
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
In millions of dollars201920182019201820192018
Global Consumer Banking$25,614
$25,318
$1,338
$1,358
$4,436
$4,230
Institutional Clients Group28,929
28,800
2,678
2,889
9,835
9,696
Corporate/Other1,365
1,612
(289)109
201
(143)
Total$55,908
$55,730
$3,727
$4,356
$14,472
$13,783

(1)
Includes total revenues, net of interest expense, in North America of $25.4 billion and $25.4 billion; in EMEA of $9.3 billion and $9.1 billion; in Latin America of $7.7 billion and $7.8 billion; and in Asia of $12.1 billion and $11.8 billion for the nine months ended September 30, 2019 and 2018, respectively. Regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $6.0 billion and $5.7 billion; in the ICG results of $215 million and $55 million; and in the Corporate/Other results of $(62) million and $(155) million for the nine months ended September 30, 2019 and 2018, respectively.




4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars201920182019201820192018
Interest revenue    
Loan interest, including fees$11,969
$10,892
$11,993
$11,639
$35,942
$33,721
Deposits with banks607
432
736
629
2,079
1,554
Federal funds sold and securities borrowed or purchased under agreements to resell1,783
1,039
Securities borrowed or purchased under agreements to resell1,745
1,425
5,422
3,800
Investments, including dividends2,548
2,234
2,411
2,388
7,464
6,996
Trading account assets(1)
1,686
1,371
1,893
1,655
5,719
4,789
Other interest483
364
399
434
1,339
1,192
Total interest revenue$19,076
$16,332
$19,177
$18,170
$57,965
$52,052
Interest expense    
Deposits(2)
$3,027
$1,997
$3,369
$2,580
$9,680
$6,821
Federal funds purchased and securities loaned or sold under agreements to repurchase1,589
949
Securities loaned or sold under agreements to repurchase1,630
1,250
4,943
3,423
Trading account liabilities(1)
327
215
345
273
992
724
Short-term borrowings652
471
609
578
1,976
1,572
Long-term debt1,722
1,528
1,583
1,687
5,024
4,873
Total interest expense$7,317
$5,160
$7,536
$6,368
$22,615
$17,413
Net interest revenue$11,759
$11,172
$11,641
$11,802
$35,350
$34,639
Provision for loan losses1,944
1,803
2,062
1,906
6,095
5,504
Net interest revenue after provision for loan losses$9,815
$9,369
$9,579
$9,896
$29,255
$29,135

(1)
Interest expense on Trading account liabilities is reported as a reduction of interest revenue from Trading account assets.
(2)Includes deposit insurance fees and charges of $193$199 million and $376$311 million for the three months ended March 31,September 30, 2019 and 2018, respectively, and $581 million and $1,006 million for the nine months ended September 30, 2019 and 2018, respectively.





5.  COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES

For additional information on Citi’s Commissionscommissions and Fees; Administrationfees, and Other Fiduciary Fees,administration and other fiduciary fees, see Note 5 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

The following tables present Commissions and fees revenue:
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
201920192019
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Investment banking$910
$4
$—
$914
$911
$—
$—
$911
$2,755
$—
$—
$2,755
Brokerage commissions471
186
—
657
456
228
—
684
1,365
625
—
1,990
Credit- and bank-card income  

  

   
Interchange fees278
1,984
—
2,262
324
2,181
—
2,505
915
6,363
—
7,278
Card-related loan fees13
160
—
173
15
191
—
206
44
534
—
578
Card rewards and partner payments(153)(2,061)—
(2,214)(192)(2,253)—
(2,445)(519)(6,591)—
(7,110)
Deposit-related fees(1)
245
139
—
384
256
136
—
392
748
413
—
1,161
Transactional service fees195
35
—
230
187
37
—
224
576
108
—
684
Corporate finance(2)
178
1
—
179
128
1
—
129
456
3
—
459
Insurance distribution revenue(3)
4
132
—
136
4
137
—
141
10
398
—
408
Insurance premiums(3)
—
29
(1)28
—
21
—
21
—
76
—
76
Loan servicing42
30
6
78
—
4
7
11
42
50
16
108
Other17
81
1
99
48
78
1
127
67
257
2
326
Total commissions and fees(4)(3)
$2,200
$720
$6
$2,926
$2,137
$761
$8
$2,906
$6,459
$2,236
$18
$8,713


Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
201820182018
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Investment banking$822
$5
$—
$827
$861
$—
$—
$861
$2,695
$—
$—
$2,695
Brokerage commissions566
248
—
814
453
200
—
653
1,510
654
—
2,164
Credit- and bank-card income         
Interchange fees260
1,874
5
2,139
268
2,064
1
2,333
804
5,963
11
6,778
Card-related loan fees14
155
6
175
16
172
—
188
47
474
12
533
Card rewards and partner payments(124)(1,874)(5)(2,003)(125)(2,142)11
(2,256)(375)(6,081)—
(6,456)
Deposit-related fees(1)
236
183
1
420
239
159
—
398
711
502
2
1,215
Transactional service fees190
21
2
213
171
22
1
194
543
64
4
611
Corporate finance(2)
142
1
—
143
145
2
—
147
506
4
—
510
Insurance distribution revenue(3)
5
143
5
153
3
140
—
143
13
425
10
448
Insurance premiums(3)
—
33
(1)32
—
27
—
27
—
92
—
92
Loan servicing38
22
12
72
47
27
10
84
118
89
31
238
Other15
28
2
45
5
23
3
31
20
90
6
116
Total commissions and fees(4)(3)
$2,164
$839
$27
$3,030
$2,083
$694
$26
$2,803
$6,592
$2,276
$76
$8,944
(1)Includes overdraft fees of $31$33 million and $32$33 million for the three months ended March 31,September 30, 2019 and 2018, respectively, and $94 million and $95 million for the nine months ended September 30, 2019 and 2018, respectively. Overdraft fees are accounted for under ASC 310.
(2)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.


(3)Previously reported as insurance premiums in the Consolidated Statement of Income.
(4)
Commissions and fees includes $(1,721)$(2,039) million and $(1,545)$(1,769) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended March 31,September 30, 2019 and 2018.2018, respectively, and $(5,785) million and $(4,962) million for the nine months ended September 30, 2019 and 2018, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.




Administration and Other Fiduciary Fees
The following table presents Administration and other fiduciary fees: revenue:
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
201920192019
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Custody fees$364
$3
$16
$383
$370
$5
$20
$395
$1,115
$14
$54
$1,183
Fiduciary fees152
146
12
310
170
160
13
343
485
460
24
969
Guarantee fees130
14
2
146
126
15
1
142
388
43
5
436
Total administration and other fiduciary fees(1)
$646
$163
$30
$839
$666
$180
$34
$880
$1,988
$517
$83
$2,588
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
201820182018
In millions of dollarsICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotalICGGCBCorporate/OtherTotal
Custody fees$368
$47
$16
$431
$371
$41
$18
$430
$1,138
$133
$50
$1,321
Fiduciary fees167
147
7
321
160
158
12
330
492
455
31
978
Guarantee fees137
14
2
153
136
14
1
151
403
43
5
451
Total administration and other fiduciary fees(1)
$672
$208
$25
$905
$667
$213
$31
$911
$2,033
$631
$86
$2,750

(1)
Administration and other fiduciary fees includes $146$142 million and $153$151 million for the three months ended March 31,September 30, 2019 and 2018, respectively, and $436 million and $451 million for the nine months ended September 30, 2019 and 2018, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.



6. PRINCIPAL TRANSACTIONS
Principal transactions revenue consists of realized and unrealized gains and losses from trading activities. Trading activities include revenues from fixed income, equities, credit and commodities products and foreign 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 related to trading activities, which is an
integral part of trading activities’ profitability. See Note 4 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 ICG.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 March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars201920182019201820192018
Interest rate risks(1)
$1,718
$1,566
$1,744
$1,451
$4,782
$4,567
Foreign exchange risks(2)
473
730
406
458
1,306
1,363
Equity risks(3)
456
589
418
277
873
986
Commodity and other risks(4)
119
101
244
242
452
551
Credit products and risks(5)
38
256
(10)(64)67
265
Total$2,804
$3,242
$2,802
$2,364
$7,480
$7,732
(1)Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(3)Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5)Includes revenues from structured credit products.


7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2018 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 2018 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 March 31,Three Months Ended September 30,
Pension plansPostretirement benefit plansPension plansPostretirement benefit plans
U.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars2019201820192018201920182019201820192018201920182019201820192018
Benefits earned during the period$—
$1
$36
$38
$—
$—
$2
$2
$1
$—
$37
$35
$—
$—
$2
$2
Interest cost on benefit obligation130
123
75
75
7
6
26
26
112
132
70
73
6
6
25
26
Expected return on plan assets(203)(213)(68)(78)(5)(3)(21)(23)(208)(210)(72)(71)(5)(4)(20)(22)
Amortization of unrecognized: 
  
 
 
 
 
 
 
  
 
 
 
 
 
Prior service cost (benefit)1
—
(1)(1)—
—
(2)(2)1
—
(1)(1)—
—
(2)(2)
Net actuarial loss44
47
15
13
—
—
5
7
52
39
15
14
—
—
5
7
Settlement loss(1)
—
—
—
4
—
—
—
—
Curtailment loss(1)
1
—
(5)—
—
—
—
—
Total net (benefit) expense$(28)$(42)$57
$51
$2
$3
$10
$10
$(41)$(39)$44
$50
$1
$2
$10
$11

 























(1)Losses dueCurtailment relates to repositioning and divestiture activities.

 Nine Months Ended September 30,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20192018201920182019201820192018
Benefits earned during the period$1
$1
$108
$111
$—
$—
$6
$7
Interest cost on benefit obligation365
381
218
220
19
19
77
77
Expected return on plan assets(613)(634)(208)(221)(14)(10)(62)(67)
Amortization of unrecognized:



 
 
  
 
 
Prior service cost (benefit)1
—
(3)(3)—
—
(7)(7)
Net actuarial loss144
128
45
41
—
—
16
22
Curtailment loss (gain)(1)
1
1
(5)—
—
—
—
—
Settlement loss(1)
—
—
2
5
—
—
—
—
Total net (benefit) expense$(101)$(123)$157
$153
$5
$9
$30
$32

(1)Curtailment and settlement relate to repositioning and divestiture activities.



Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following table summarizes the funded status and amounts recognized on the Consolidated Balance Sheet for the Company’s
Significant Plans:
 Three Months Ended March 31, 2019
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in projected benefit obligation 
 
 
 
Projected benefit obligation at beginning of year$12,655
$7,149
$662
$1,159
Plans measured annually(25)(1,862)—
(307)
Projected benefit obligation at beginning of year—Significant Plans$12,630
$5,287
$662
$852
Benefits earned during the period—
20
—
1
Interest cost on benefit obligation130
63
7
23
Actuarial loss493
252
13
38
Benefits paid, net of participants’ contributions and government subsidy(215)(55)(7)(11)
Foreign exchange impact and other—
13
—
11
Projected benefit obligation at period end—Significant Plans$13,038
$5,580
$675
$914

Three Months Ended March 31, 2019Nine Months Ended September 30, 2019
Pension plansPostretirement benefit plansPension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in projected benefit obligation 
 
 
 
Projected benefit obligation at beginning of year$12,655
$7,149
$662
$1,159
Plans measured annually(25)(1,862)—
(307)
Projected benefit obligation at beginning of year—Significant Plans$12,630
$5,287
$662
$852
First quarter activity408
293
13
62
Second quarter activity437
177
35
61
Projected benefit obligation at June 30, 2019—Significant Plans$13,475
$5,757
$710
$975
Benefits earned during the period1
22
—
2
Interest cost on benefit obligation112
58
6
22
Actuarial loss469
254
17
50
Benefits paid, net of participants’ contributions and government subsidy(246)(75)(14)(17)
Curtailment loss(1)
1
—
—
—
Foreign exchange impact and other—
(146)—
(26)
Projected benefit obligation at period end—Significant Plans$13,812
$5,870
$719
$1,006
Change in plan assets 
 
 
 
 
 
 
 
Plan assets at fair value at beginning of year$11,490
$6,699
$345
$1,036
$11,490
$6,699
$345
$1,036
Plans measured annually—
(1,248)—
(9)—
(1,248)—
(9)
Plan assets at fair value at beginning of year—Significant Plans
$11,490
$5,451
$345
$1,027
Plan assets at fair value at beginning of year—Significant Plans$11,490
$5,451
$345
$1,027
First quarter activity487
257
2
32
Second quarter activity654
391
1
25
Plan assets at fair value at June 30, 2019—Significant Plans$12,631
$6,099
$348
$1,084
Actual return on plan assets688
273
15
29
258
311
5
28
Company contributions, net of reimbursements14
14
(6)—
13
16
7
—
Benefits paid, net of participants’ contributions and government subsidy

(215)(55)(7)(11)(246)(75)(14)(17)
Foreign exchange impact and other—
25
—
14
—
(134)—
(29)
Plan assets at fair value at period end—Significant Plans$11,977
$5,708
$347
$1,059
$12,656
$6,217
$346
$1,066
Funded status of the Significant Plans      
Qualified plans(1)
$(391)$128
$(328)$145
$(447)$347
$(373)$60
Nonqualified plans(670)—
—
—
(709)—
—
—
Funded status of the plans at period end—Significant Plans$(1,061)$128
$(328)$145
$(1,156)$347
$(373)$60
Net amount recognized at period end 
 
 
 
 
 
 
 
Benefit asset$—
$766
$—
$145
$—
$935
$—
$60
Benefit liability(1,061)(638)(328)—
(1,156)(588)(373)—
Net amount recognized on the balance sheet—Significant Plans$(1,061)$128
$(328)$145
$(1,156)$347
$(373)$60
Amounts recognized in AOCI at period endAmounts recognized in AOCI at period end 
 
 
Amounts recognized in AOCI at period end 
 
 
Prior service benefit$—
$15
$—
$73
$—
$12
$—
$68
Net actuarial (loss) gain(6,848)(978)50
(314)(7,470)(959)(3)(350)
Net amount recognized in equity (pretax)—Significant Plans$(6,848)$(963)$50
$(241)$(7,470)$(947)$(3)$(282)
Accumulated benefit obligation at period end—Significant Plans$13,029
$5,302
$675
$914
$13,806
$5,564
$719
$1,006

(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, 2019 and no minimum required funding is expected for 2019.




The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:
In millions of dollarsThree Months Ended 
 March 31, 2019		For Year Ended December 31, 2018Three Months Ended 
 September 30, 2019		Nine Months Ended  
  September 30, 2019
Beginning of period balance, net of tax(1)(2)
$(6,257)$(6,183)$(6,574)$(6,257)
Actuarial assumptions changes and plan experience(795)1,288
(788)(2,397)
Net asset gain (loss) due to difference between actual and expected returns690
(1,732)306
1,439
Net amortization62
214
70
198
Prior service cost—
(7)—
(5)
Curtailment/settlement gain(3)
—
7
(5)(3)
Foreign exchange impact and other(25)136
61
14
Change in deferred taxes, net4
20
106
187
Change, net of tax$(64)$(74)$(250)$(567)
End of period balance, net of tax(1)(2)
$(6,321)$(6,257)$(6,824)$(6,824)

(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 periodThree Months EndedThree Months Ended
Mar. 31, 2019Dec. 31, 2018Sept. 30, 2019June 30, 2019
U.S. plans  
Qualified pension4.25%4.30%3.45%3.85%
Nonqualified pension4.254.303.50
3.90
Postretirement4.204.203.35
3.80
Non-U.S. plans   
Pension0.75-10.750.95-10.750.30-9.550.45-10.30
Weighted average5.095.084.52
4.74
Postretirement10.7510.109.70
10.30


The discount rates utilized at period-end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows:
Plan obligations assumed discount rates at period endedSept. 30, 2019Jun. 30, 2019Mar. 31, 2019
U.S. plans   
Qualified pension3.10%3.45%3.85%
Nonqualified pension3.10
3.50
3.90
Postretirement3.00
3.35
3.80
Non-U.S. plans   
Pension-0.05-9.000.30-9.550.45-10.30
Weighted average4.05
4.52
4.74
Postretirement9.20
9.70
10.30
 
Plan obligations assumed discount rates at period endedMar. 31, 2019Dec. 31, 2018Mar. 31, 2018
U.S. plans   
Qualified pension3.85%4.25%3.95%
Nonqualified pension3.904.253.95
Postretirement3.804.203.90
Non-U.S. plans   
Pension0.45-10.300.75-10.750.75-9.90
Weighted average4.745.094.88
Postretirement10.3010.759.50
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 March 31, 2019Three Months Ended September 30, 2019
In millions of dollarsOne-percentage-point increaseOne-percentage-point decreaseOne-percentage-point increaseOne-percentage-point decrease
Pension  
U.S. plans$5
$(8)$8
$(12)
Non-U.S. plans(2)6
(3)6
Postretirement  
U.S. plans—
(1)1
(1)
Non-U.S. plans(2)2
(2)2







Contributions
Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first threenine months of 2019.

 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 threenine months ended March 31,September 30, 2019 and 2018, as well as estimated expected Company contributions for the remainder of 2019 and the actual contributions made for the remainder ofin 2018:
Pension plans Postretirement plans Pension plans Postretirement plans 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars2019201820192018201920182019201820192018201920182019201820192018
Company contributions(2) for the three months ended
March 31
$14
$14
$34
$29
$—
$—
$3
$3
Company contributions(2) for the nine months ended
September 30
$467
$42
$98
$143
$6
$150
$225
$7
Company contributions made during the remainder
of the year
—
41
—
153
—
150
—
6
—
13
—
39
—
—
—
2
Company contributions expected to be made during
the remainder of the year
43
—
107
—
—
—
7
—
15
—
35
—
1
—
2
—

(1)The U.S. 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 March 31,Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars201920182019201820192018
U.S. plans$99
$104
$99
$90
$296
$293
Non-U.S. plans68
76
71
68
209
216

 


Post Employment Plans
The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars201920182019201820192018
Service-related expense







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











Prior service benefit—
(8)—
(8)—
(23)
Net actuarial loss1
1
1
1
2
2
Total service-related benefit$1
$(7)
Non-service-related expense$4
$6
Total net (benefit) expense$5
$(1)
Total service-related (benefit) expense$1
$(7)$2
$(21)
Non-service-related expense (benefit)$4
$4
$10
$7
Total net expense (benefit)$5
$(3)$12
$(14)




















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 March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars, except per share amounts201920182019201820192018
Earnings per common share   
Income from continuing operations before attribution of noncontrolling interests$4,737
$4,649
$4,943
$4,633
$14,472
$13,783
Less: Noncontrolling interests from continuing operations25
22
15
3
50
51
Net income from continuing operations (for EPS purposes)$4,712
$4,627
$4,928
$4,630
$14,422
$13,732
Loss from discontinued operations, net of taxes(2)(7)(15)(8)—
—
Citigroup's net income$4,710
$4,620
$4,913
$4,622
$14,422
$13,732
Less: Preferred dividends(1)
262
272
254
270
812
860
Net income available to common shareholders$4,448
$4,348
$4,659
$4,352
$13,610
$12,872
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS59
51
Net income allocated to common shareholders for basic and diluted EPS4,389
4,297
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS27
51
88
151
Net income allocated to common shareholders for basic EPS$4,632
$4,301
$13,522
$12,721
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,220.8
2,479.8
2,282.4
2,524.1
Basic earnings per share(2)
   
Income from continuing operations$2.09
$1.74
$5.92
$5.04
Discontinued operations(0.01)—
—
—
Net income per share—basic$2.09
$1.73
$5.92
$5.04
Diluted earnings per share   
Net income allocated to common shareholders for basic EPS$4,632
$4,301
$13,522
$12,721
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable9
—
24
—
Net income allocated to common shareholders for diluted EPS$4,641
$4,301
$13,546
$12,721
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,340.4
2,561.6
2,220.8
2,479.8
2,282.4
2,524.1
Effect of dilutive securities    
Options(2)
0.1
0.1
Options(3)
0.1
0.2
0.1
0.1
Other employee plans1.9
1.3
16.2
1.4
15.7
1.3
Adjusted weighted-average common shares outstanding applicable to diluted EPS(3)
2,342.4
2,563.0
Basic earnings per share(4)
 
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4)
2,237.1
2,481.4
2,298.2
2,525.5
Diluted earnings per share(2)
    
Income from continuing operations$1.88
$1.68
$2.08
$1.74
$5.89
$5.04
Discontinued operations—
—
(0.01)—
—
—
Net income$1.88
$1.68
Diluted earnings per share(4)
 
Income from continuing operations$1.87
$1.68
Discontinued operations—
—
Net income$1.87
$1.68
Net income per share—diluted$2.07
$1.73
$5.89
$5.04
(1)On October 22, 2019, Citi declared preferred dividends of approximately $296 million for the fourth quarter of 2019. During the third quarter of 2019, Citi issued 1.5 million Series U preferred shares for $1.5 billion. Semi-annual dividends, assuming such dividends are declared by the Citi Board of Directors, will be distributed beginning in the first quarter of 2020. On October 15, 2019, Citi announced its plan to redeem all of its Series N preferred shares for $1.5 billion. The Series N preferred shares will be redeemed at par value. As of March 31,November 1, 2019, Citi estimates it will distribute preferred dividends of approximately $846$291 million, during the remainder of 2019, assuming such dividends are declared by the Citi Board of Directors. During$253 million, $291 million and $253 million in the first, quartersecond, third and fourth quarters of 2019, Citi redeemed all of its 19.2 million Series L preferred shares for $480 million in February 2019.2020, respectively.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(3)During the firstthird quarter of 2019, no significant options to purchase shares of common stock were outstanding. During the firstthird quarter of 2018, weighted-average options to purchase 0.5 million shares of common stock were outstanding but not included in the computation of earnings per share because the weighted-average exercise price of $149.41$142.30 per share was anti-dilutive.
(3)(4)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.
(4)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.



10. FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS
For additional information on the Company’s resale and repurchase agreements and securities borrowing and lending agreements, see Note 11 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
Federal funds sold and securitiesSecurities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2019		December 31, 2018September 30,
2019		December 31, 2018
Federal funds sold$—
$—
Securities purchased under agreements to resell163,382
159,364
$169,756
$159,364
Deposits paid for securities borrowed101,113
111,320
91,369
111,320
Total(1)
$264,495
$270,684
$261,125
$270,684


Federal funds purchased and securitiesSecurities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2019		December 31, 2018September 30,
2019		December 31, 2018
Federal funds purchased$—
$—
Securities sold under agreements to repurchase172,231
166,090
$180,875
$166,090
Deposits received for securities loaned18,141
11,678
14,172
11,678
Total(1)
$190,372
$177,768
$195,047
$177,768

(1)
The above tables do not include securities-for-securities lending transactions of $14.6$9.5 billion and $15.9 billion at March 31,September 30, 2019 and December 31, 2018, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.

 

It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.
A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 20 and 21 to the Consolidated Financial Statements. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.
A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 21 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending
agreements and the related offsetting amountamounts permitted under ASC 210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default 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 March 31, 2019As of September 30, 2019
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities purchased under agreements to resell$268,095
$104,713
$163,382
$129,911
$33,471
$272,676
$102,920
$169,756
$133,878
$35,878
Deposits paid for securities borrowed101,113
—
101,113
28,040
73,073
94,342
2,973
91,369
25,456
65,913
Total$369,208
$104,713
$264,495
$157,951
$106,544
$367,018
$105,893
$261,125
$159,334
$101,791



In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$276,944
$104,713
$172,231
$91,923
$80,308
$283,795
$102,920
$180,875
$92,860
$88,015
Deposits received for securities loaned18,141
—
18,141
5,351
12,790
17,145
2,973
14,172
4,629
9,543
Total$295,085
$104,713
$190,372
$97,274
$93,098
$300,940
$105,893
$195,047
$97,489
$97,558


As of December 31, 2018As of December 31, 2018
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities purchased under agreements to resell$246,788
$87,424
$159,364
$124,557
$34,807
$246,788
$87,424
$159,364
$124,557
$34,807
Deposits paid for securities borrowed111,320
—
111,320
35,766
75,554
111,320
—
111,320
35,766
75,554
Total$358,108
$87,424
$270,684
$160,323
$110,361
$358,108
$87,424
$270,684
$160,323
$110,361
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$253,514
$87,424
$166,090
$82,823
$83,267
$253,514
$87,424
$166,090
$82,823
$83,267
Deposits received for securities loaned11,678
—
11,678
3,415
8,263
11,678
—
11,678
3,415
8,263
Total$265,192
$87,424
$177,768
$86,238
$91,530
$265,192
$87,424
$177,768
$86,238
$91,530
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)The total of this column for each period excludes federal funds sold/purchased. See tables above.
(3)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(4)(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

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

As of March 31, 2019As of September 30, 2019
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotalOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$140,262
$60,664
$33,724
$42,294
$276,944
$143,154
$67,183
$31,487
$41,971
$283,795
Deposits received for securities loaned12,567
459
2,691
2,424
18,141
11,123
481
2,201
3,340
17,145
Total$152,829
$61,123
$36,415
$44,718
$295,085
$154,277
$67,664
$33,688
$45,311
$300,940


 As of December 31, 2018
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$108,405
$70,850
$29,898
$44,361
$253,514
Deposits received for securities loaned6,296
774
2,626
1,982
11,678
Total$114,701
$71,624
$32,524
$46,343
$265,192


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

As of March 31, 2019As of September 30, 2019
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotalRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$101,780
$—
$101,780
$103,718
$91
$103,809
State and municipal securities1,644
—
1,644
2,170
4
2,174
Foreign government securities106,764
565
107,329
108,497
264
108,761
Corporate bonds22,264
660
22,924
21,255
474
21,729
Equity securities14,616
16,570
31,186
14,092
16,011
30,103
Mortgage-backed securities20,112
—
20,112
23,813
—
23,813
Asset-backed securities5,861
—
5,861
5,808
—
5,808
Other3,903
346
4,249
4,442
301
4,743
Total$276,944
$18,141
$295,085
$283,795
$17,145
$300,940

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




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 2018 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsMarch 31,
2019		December 31, 2018September 30,
2019		December 31, 2018
Receivables from customers$14,945
$14,415
$19,470
$14,415
Receivables from brokers, dealers and clearing organizations29,555
21,035
34,745
21,035
Total brokerage receivables(1)
$44,500
$35,450
$54,215
$35,450
Payables to customers$37,240
$40,273
$42,256
$40,273
Payables to brokers, dealers and clearing organizations25,416
24,298
21,086
24,298
Total brokerage payables(1)
$62,656
$64,571
$63,342
$64,571

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


12.   INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for other-than-temporary impairment (OTTI), see Note 13 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

 






The following table presents Citi’s investments by category:
 In millions of dollarsMarch 31,
2019		December 31,
2018
 
 Debt securities available-for-sale (AFS)$275,132
$288,038
 
Debt securities held-to-maturity (HTM)(1)
66,842
63,357
 
Marketable equity securities carried at fair value(2)
208
220
 
Non-marketable equity securities carried at fair value(2)
804
889
 
Non-marketable equity securities measured using the measurement alternative(3)


630
538
 
Non-marketable equity securities carried at cost(4)
5,665
5,565
 Total investments$349,281
$358,607
 In millions of dollarsSeptember 30,
2019		December 31,
2018
 
 Debt securities available-for-sale (AFS)$275,425
$288,038
 
Debt securities held-to-maturity (HTM)(1)
75,841
63,357
 
Marketable equity securities carried at fair value(2)
510
220
 
Non-marketable equity securities carried at fair value(2)
627
889
 
Non-marketable equity securities measured using the measurement alternative(3)


688
538
 
Non-marketable equity securities carried at cost(4)
5,292
5,565
 Total investments$358,383
$358,607

(1)Carried at adjusted amortized cost basis, net of any credit-related impairment.
(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.
(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 March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars201920182019201820192018
Taxable interest$2,372
$2,042
$2,291
$2,195
$6,987
$6,395
Interest exempt from U.S. federal income tax127
130
75
130
328
392
Dividend income49
62
45
63
149
209
Total interest and dividend income$2,548
$2,234
$2,411
$2,388
$7,464
$6,996



The following table presents realized gains and losses on the sales of investments, which exclude OTTI losses:
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars201920182019201820192018
Gross realized investment gains$168
$345
$393
$153
$1,036
$550
Gross realized investment losses(38)(175)(32)(84)(77)(209)
Net realized gains on sale of investments$130
$170
$361
$69
$959
$341


 




Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
March 31, 2019December 31, 2018September 30, 2019December 31, 2018
In millions of dollars
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Debt securities AFS          
Mortgage-backed securities(1)
          
U.S. government-sponsored agency guaranteed$39,228
$539
$434
$39,333
$43,504
$241
$725
$43,020
$38,735
$777
$311
$39,201
$43,504
$241
$725
$43,020
Alt-A1
—
—
1
1
—
—
1
1
—
—
1
1
—
—
1
Non-U.S. residential1,117
4
1
1,120
1,310
4
2
1,312
789
3
—
792
1,310
4
2
1,312
Commercial138
1
1
138
173
1
2
172
84
1
—
85
173
1
2
172
Total mortgage-backed securities$40,484
$544
$436
$40,592
$44,988
$246
$729
$44,505
$39,609
$781
$311
$40,079
$44,988
$246
$729
$44,505
U.S. Treasury and federal agency securities           
U.S. Treasury$100,267
$25
$1,003
$99,289
$109,376
$33
$1,339
$108,070
$102,384
$56
$474
$101,966
$109,376
$33
$1,339
$108,070
Agency obligations8,472
2
90
8,384
9,283
1
132
9,152
6,293
5
31
6,267
9,283
1
132
9,152
Total U.S. Treasury and federal agency securities$108,739
$27
$1,093
$107,673
$118,659
$34
$1,471
$117,222
$108,677
$61
$505
$108,233
$118,659
$34
$1,471
$117,222
State and municipal$8,012
$162
$65
$8,109
$9,372
$96
$262
$9,206
$5,997
$149
$192
$5,954
$9,372
$96
$262
$9,206
Foreign government101,296
455
395
101,356
100,872
415
596
100,691
105,041
716
228
105,529
100,872
415
596
100,691
Corporate12,366
59
115
12,310
11,714
42
157
11,599
11,207
86
110
11,183
11,714
42
157
11,599
Asset-backed securities(1)
1,421
1
2
1,420
845
2
4
843
541
2
2
541
845
2
4
843
Other debt securities3,671
1
—
3,672
3,973
—
1
3,972
3,906
1
1
3,906
3,973
—
1
3,972
Total debt securities AFS$275,989
$1,249
$2,106
$275,132
$290,423
$835
$3,220
$288,038
$274,978
$1,796
$1,349
$275,425
$290,423
$835
$3,220
$288,038
(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 months12 months or longerTotalLess than 12 months12 months or longerTotal
In millions of dollars
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
March 31, 2019   
September 30, 2019     
Debt securities AFS        
Mortgage-backed securities        
U.S. government agency guaranteed$9,176
$268
$8,102
$166
$17,278
$434
$13,850
$261
$2,346
$50
$16,196
$311
Non-U.S. residential387
1
1
—
388
1
101
—
1
—
102
—
Commercial14
—
104
1
118
1
11
—
37
—
48
—
Total mortgage-backed securities$9,577
$269
$8,207
$167
$17,784
$436
$13,962
$261
$2,384
$50
$16,346
$311
U.S. Treasury and federal agency securities        
U.S. Treasury$8,496
$48
$80,174
$955
$88,670
$1,003
$30,024
$210
$41,972
$264
$71,996
$474
Agency obligations126
2
8,098
88
8,224
90
355
1
5,699
30
6,054
31
Total U.S. Treasury and federal agency securities$8,622
$50
$88,272
$1,043
$96,894
$1,093
$30,379
$211
$47,671
$294
$78,050
$505
State and municipal$928
$6
$968
$59
$1,896
$65
$249
$149
$351
$43
$600
$192
Foreign government32,453
159
11,945
236
44,398
395
29,617
130
9,132
98
38,749
228
Corporate3,252
96
2,127
19
5,379
115
2,423
105
427
5
2,850
110
Asset-backed securities306
2
56
—
362
2
253
2
16
—
269
2
Other debt securities816
—
—
—
816
—
1,819
1
—
—
1,819
1
Total debt securities AFS$55,954
$582
$111,575
$1,524
$167,529
$2,106
$78,702
$859
$59,981
$490
$138,683
$1,349
December 31, 2018 
 
 
 
 
 
 
 
 
 
 
 
Debt securities AFS 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agency guaranteed$11,160
$286
$13,143
$439
$24,303
$725
$11,160
$286
$13,143
$439
$24,303
$725
Non-U.S. residential284
2
2
—
286
2
284
2
2
—
286
2
Commercial79
1
82
1
161
2
79
1
82
1
161
2
Total mortgage-backed securities$11,523
$289
$13,227
$440
$24,750
$729
$11,523
$289
$13,227
$440
$24,750
$729
U.S. Treasury and federal agency securities 
 
 
 
 
 
 
 
 


 
 
U.S. Treasury$8,389
$42
$77,883
$1,297
$86,272
$1,339
$8,389
$42
$77,883
$1,297
$86,272
$1,339
Agency obligations277
2
8,660
130
8,937
132
277
2
8,660
130
8,937
132
Total U.S. Treasury and federal agency securities$8,666
$44
$86,543
$1,427
$95,209
$1,471
$8,666
$44
$86,543
$1,427
$95,209
$1,471
State and municipal$1,614
$34
$1,303
$228
$2,917
$262
$1,614
$34
$1,303
$228
$2,917
$262
Foreign government40,655
265
15,053
331
55,708
596
40,655
265
15,053
331
55,708
596
Corporate4,547
115
2,077
42
6,624
157
4,547
115
2,077
42
6,624
157
Asset-backed securities441
4
55
—
496
4
441
4
55
—
496
4
Other debt securities1,790
1
—
—
1,790
1
1,790
1
—
—
1,790
1
Total debt securities AFS$69,236
$752
$118,258
$2,468
$187,494
$3,220
$69,236
$752
$118,258
$2,468
$187,494
$3,220





The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
March 31, 2019December 31, 2018September 30, 2019December 31, 2018
In millions of dollars
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Mortgage-backed securities(1)
      
Due within 1 year$68
$68
$14
$14
$15
$15
$14
$14
After 1 but within 5 years706
707
662
661
564
565
662
661
After 5 but within 10 years1,824
1,922
2,779
2,828
1,738
1,908
2,779
2,828
After 10 years(2)
37,886
37,895
41,533
41,002
37,292
37,591
41,533
41,002
Total$40,484
$40,592
$44,988
$44,505
$39,609
$40,079
$44,988
$44,505
U.S. Treasury and federal agency securities      
Due within 1 year$39,674
$39,554
$41,941
$41,867
$51,529
$51,392
$41,941
$41,867
After 1 but within 5 years68,442
67,520
76,139
74,800
56,986
56,673
76,139
74,800
After 5 but within 10 years597
573
489
462
137
138
489
462
After 10 years(2)
26
26
90
93
25
30
90
93
Total$108,739
$107,673
$118,659
$117,222
$108,677
$108,233
$118,659
$117,222
State and municipal      
Due within 1 year$1,674
$1,673
$2,586
$2,586
$1,255
$1,105
$2,586
$2,586
After 1 but within 5 years1,542
1,546
1,676
1,675
1,100
973
1,676
1,675
After 5 but within 10 years573
595
585
602
290
266
585
602
After 10 years(2)
4,223
4,295
4,525
4,343
3,352
3,610
4,525
4,343
Total$8,012
$8,109
$9,372
$9,206
$5,997
$5,954
$9,372
$9,206
Foreign government        
Due within 1 year$41,824
$41,806
$39,078
$39,028
$40,374
$40,409
$39,078
$39,028
After 1 but within 5 years46,950
46,936
50,125
49,962
54,451
54,750
50,125
49,962
After 5 but within 10 years11,034
11,083
10,153
10,149
8,648
8,763
10,153
10,149
After 10 years(2)
1,488
1,531
1,516
1,552
1,568
1,607
1,516
1,552
Total$101,296
$101,356
$100,872
$100,691
$105,041
$105,529
$100,872
$100,691
All other(3)
        
Due within 1 year$6,867
$6,865
$6,166
$6,166
$6,609
$6,612
$6,166
$6,166
After 1 but within 5 years8,199
8,188
8,459
8,416
8,129
8,140
8,459
8,416
After 5 but within 10 years1,429
1,410
1,474
1,427
731
719
1,474
1,427
After 10 years(2)
963
939
433
405
185
159
433
405
Total$17,458
$17,402
$16,532
$16,414
$15,654
$15,630
$16,532
$16,414
Total debt securities AFS$275,989
$275,132
$290,423
$288,038
$274,978
$275,425
$290,423
$288,038
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate, asset-backed and other debt securities.



Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:
In millions of dollars
Carrying
value
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Carrying
value
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
March 31, 2019   
Debt securities held-to-maturity   
September 30, 2019   
Debt securities HTM   
Mortgage-backed securities(1)
      
U.S. government agency guaranteed(2)
$38,286
$392
$296
$38,382
$43,135
$979
$26
$44,088
Prime32
—
—
32
Non-U.S. residential1,313
13
1
1,325
693
5
1
697
Commercial424
1
1
424
502
—
1
501
Total mortgage-backed securities$40,023
$406
$298
$40,131
$44,362
$984
$28
$45,318
State and municipal$7,648
$285
$70
$7,863
$8,823
$539
$14
$9,348
Foreign government1,000
—
11
989
1,869
39
1
1,907
Asset-backed securities(1)
18,171
6
86
18,091
20,787
15
58
20,744
Total debt securities held-to-maturity$66,842
$697
$465
$67,074
Total debt securities HTM$75,841
$1,577
$101
$77,317
December 31, 2018 
 
 
 
 
 
 
 
Debt securities held-to-maturity 
 
 
 
Debt securities HTM 
 
 
 
Mortgage-backed securities(1)
 
 
 
 
 
 
 
 
U.S. government agency guaranteed$34,239
$199
$578
$33,860
$34,239
$199
$578
$33,860
Non-U.S. residential1,339
12
1
1,350
1,339
12
1
1,350
Commercial368
—
—
368
368
—
—
368
Total mortgage-backed securities$35,946
$211
$579
$35,578
$35,946
$211
$579
$35,578
State and municipal$7,628
$167
$138
$7,657
$7,628
$167
$138
$7,657
Foreign government1,027
—
24
1,003
1,027
—
24
1,003
Asset-backed securities(1)
18,756
8
112
18,652
18,756
8
112
18,652
Total debt securities held-to-maturity$63,357
$386
$853
$62,890
Total debt securities HTM$63,357
$386
$853
$62,890

(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.
(2)In March 2019, Citibank transferred $5 billion of agency residential mortgage-backed securities (RMBS) from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized loss position of $56 million. The loss amounts will remain in AOCI and be amortized over the remaining life of the securities.



















The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position:
Less than 12 months12 months or longerTotalLess than 12 months12 months or longerTotal
In millions of dollarsFair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses
March 31, 2019     
September 30, 2019     
Debt securities held-to-maturity          
Mortgage-backed securities$4,577
$11
$18,150
$287
$22,727
$298
$2,816
$8
$2,448
$20
$5,264
$28
State and municipal206
6
954
64
1,160
70
25
—
1,050
14
1,075
14
Foreign government989
11
—
—
989
11
1,907
1
—
—
1,907
1
Asset-backed securities12,581
86
—
—
12,581
86
4,092
9
574
49
4,666
58
Total debt securities held-to-maturity$18,353
$114
$19,104
$351
$37,457
$465
$8,840
$18
$4,072
$83
$12,912
$101
December 31, 2018          
Debt securities held-to-maturity          
Mortgage-backed securities$2,822
$20
$18,086
$559
$20,908
$579
$2,822
$20
$18,086
$559
$20,908
$579
State and municipal981
34
1,242
104
2,223
138
981
34
1,242
104
2,223
138
Foreign government1,003
24
—
—
1,003
24
1,003
24
—
—
1,003
24
Asset-backed securities13,008
112
—
—
13,008
112
13,008
112
—
—
13,008
112
Total debt securities held-to-maturity$17,814
$190
$19,328
$663
$37,142
$853
$17,814
$190
$19,328
$663
$37,142
$853
Note: Excluded from the gross unrecognized losses presented in the table above are $(683)$(623) million and $(653) million of net unrealized losses recorded in AOCI as of March 31,September 30, 2019 and December 31, 2018, respectively, primarily related to the difference between the amortized cost and carrying value of HTM debt securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at March 31,September 30, 2019 and December 31, 2018.


The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
March 31, 2019December 31, 2018September 30, 2019December 31, 2018
In millions of dollarsCarrying valueFair valueCarrying valueFair valueCarrying valueFair valueCarrying valueFair value
Mortgage-backed securities      
Due within 1 year$3
$3
$3
$3
$3
$3
$3
$3
After 1 but within 5 years544
547
539
540
483
489
539
540
After 5 but within 10 years1,822
1,845
997
1,011
1,733
1,832
997
1,011
After 10 years(1)
37,654
37,736
34,407
34,024
42,143
42,994
34,407
34,024
Total$40,023
$40,131
$35,946
$35,578
$44,362
$45,318
$35,946
$35,578
State and municipal      
Due within 1 year$37
$37
$37
$37
$13
$25
$37
$37
After 1 but within 5 years221
228
168
174
117
195
168
174
After 5 but within 10 years487
500
540
544
594
631
540
544
After 10 years(1)
6,903
7,098
6,883
6,902
8,099
8,497
6,883
6,902
Total$7,648
$7,863
$7,628
$7,657
$8,823
$9,348
$7,628
$7,657
Foreign government      
Due within 1 year$20
$20
$60
$36
$642
$645
$60
$36
After 1 but within 5 years980
969
967
967
1,227
1,262
967
967
After 5 but within 10 years—
—
—
—
—
—
—
—
After 10 years(1)
—
—
—
—
—
—
—
—
Total$1,000
$989
$1,027
$1,003
$1,869
$1,907
$1,027
$1,003
All other(2)
      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
—
—
—
—
After 5 but within 10 years3,039
3,041
2,535
2,539
6,177
6,180
2,535
2,539
After 10 years(1)
15,132
15,050
16,221
16,113
14,610
14,564
16,221
16,113
Total$18,171
$18,091
$18,756
$18,652
$20,787
$20,744
$18,756
$18,652
Total debt securities held-to-maturity$66,842
$67,074
$63,357
$62,890
Total debt securities HTM$75,841
$77,317
$63,357
$62,890
(1)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(2)Includes corporate and asset-backed securities.




Evaluating Investments for Other-Than-Temporary Impairment (OTTI)

Debt Securities

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

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

The Company’s review for impairment generally entails:

identification and evaluation of impaired investments;
analysis of individual investmentspositions that have fair values less than amortized cost, including consideration of the length of time the investmentposition 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 investmentspositions to qualify as having other-than-temporary impairment and those that would not support other-than-temporary impairment; and
documentation of the results of these analyses, as required under business policies.

The entire difference between amortized cost basis and fair value is recognized in earnings as OTTI for impaired debt securities that the Company has an intent to sell or for which
the Company believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those debt securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairment is recorded in AOCI.
For debt securities, credit impairment exists where management does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security.
The sections below describe the Company’s process for identifying credit-related impairments for debt security types that have the most significant unrealized losses as of March 31,September 30, 2019.

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



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

Equity Method Investments
Management assesses equity method investments that have fair values that are less than their respective carrying values for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 20 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would 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 OTTI
The following tables present total OTTI on Investments recognized in earnings:

Three Months Ended 
 March 31, 2019		Three Months Ended 
 September 30, 2019		Nine Months Ended  
  September 30, 2019
In millions of dollarsAFSHTMTotalAFSHTMTotal
AFS(1)
HTMTotal
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:       
Total OTTI losses recognized during the period$—
$—
$—
$—
$—
$—
$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$—
$—
$—
$—
$—
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise3
—
3
13
—
13
18
—
18
Total OTTI losses recognized in earnings$3
$—
$3
$13
$—
$13
$18
$—
$18


Three Months Ended 
  March 31, 2018		Three Months Ended 
  September 30, 2018		Nine Months Ended 
  September 30, 2018
In millions of dollarsAFSHTMTotalAFSHTMTotal
AFS(1)
HTMTotal
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:       
Total OTTI losses recognized during the period$—
$—
$—
$—
$—
$—
$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$—
$—
$—
$—
$—
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise27
—
27
70
—
70
109
—
109
Total impairment losses recognized in earnings$27
$—
$27
$70
$—
$70
$109
$—
$109



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

 Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDecember 31, 2018 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Changes due to
credit-impaired
securities sold,
transferred or
matured		March 31, 2019 balance
AFS debt securities     
Mortgage-backed securities$1
$—
$—
$—
$1
State and municipal—
—
—
—
—
Foreign government securities—
—
—
—
—
Corporate4
—
—
—
4
All other debt securities—
—
—
—
—
Total OTTI credit losses recognized for AFS debt securities$5
$—
$—
$—
$5
HTM debt securities     
Mortgage-backed securities$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$—
$—
$—
$—
$—

 Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsJune 30, 2019 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Changes due to
credit-impaired
securities sold,
transferred or
matured		September 30, 2019 balance
AFS debt securities     
Mortgage-backed securities(1)
$1
$—
$—
$—
$1
State and municipal—
—
—
—
—
Foreign government securities—
—
—
—
—
Corporate4
—
—
—
4
All other debt securities—
—
—
—
—
Total OTTI credit losses recognized for AFS debt securities$5
$—
$—
$—
$5
HTM debt securities     
Mortgage-backed securities(2)
$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$—
$—
$—
$—
$—


Cumulative OTTI credit losses recognized in earnings on debt securities still heldCumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDecember 31, 2017 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Reductions due to
credit-impaired
securities sold,
transferred or
matured(1)
March 31, 2018 balanceJune 30, 2018 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Changes due to
credit-impaired
securities sold,
transferred or
matured		September 30, 2018 balance
AFS debt securities      
Mortgage-backed securities(2)(1)
$38
$—
$—
$(13)$25
$1
$—
$—
$—
$1
State and municipal4
—
—
(4)—
—
—
—
—
—
Foreign government securities—
—
—
—
—
—
—
—
—
—
Corporate4
—
—
—
4
4
—
—
—
4
All other debt securities2
—
—
—
2
2
—
—
—
2
Total OTTI credit losses recognized for AFS debt securities$48
$—
$—
$(17)$31
$7
$—
$—
$—
$7
HTM debt securities        
Mortgage-backed securities(3)(2)
$54
$—
$—
$(54)$—
$—
$—
$—
$—
$—
State and municipal3
—
—
(3)—
—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$57
$—
$—
$(57)$—
$—
$—
$—
$—
$—
(1)Primarily consists of Prime securities.
(2)Primarily consists of Alt-A securities.



The following are nine-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities that the Company does not intend to sell nor likely will be required to sell:
 Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDecember 31, 2018 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Changes due to
credit-impaired
securities sold,
transferred or
matured		September 30, 2019 balance
AFS debt securities     
Mortgage-backed securities(1)
$1
$—
$—
$—
$1
State and municipal—
—
—
—
—
Foreign government securities—
—
—
—
—
Corporate4
—
—
—
4
All other debt securities—
—
—
—
—
Total OTTI credit losses recognized for AFS debt securities$5
$—
$—
$—
$5
HTM debt securities     
Mortgage-backed securities(2)
$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$—
$—
$—
$—
$—
 Cumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDecember 31, 2017 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Changes due to
credit-impaired
securities sold,
transferred or
matured(3)
September 30, 2018 balance
AFS debt securities     
Mortgage-backed securities(1)
$38
$—
$—
$(37)$1
State and municipal4
—
—
(4)—
Foreign government securities—
—
—
—
—
Corporate4
—
—
—
4
All other debt securities2
—
—
—
2
Total OTTI credit losses recognized for AFS debt securities$48
$—
$—
$(41)$7
HTM debt securities     
Mortgage-backed securities(2)
$54
$—
$—
$(54)$—
State and municipal3
—
—
(3)—
Total OTTI credit losses recognized for HTM debt securities$57
$—
$—
$(57)$—
(1)Primarily consists of Prime securities.
(2)Primarily consists of Alt-A securities.
(3)
Includes $18 million in cumulative OTTI reclassified from HTM to AFS due to the transfer of the related debt securities from HTM to AFS. Citi adopted ASU 2017-12, Targeted Improvements to Accounting for Hedge Activities, on January 1, 2018 and transferred approximately $4 billion of HTM debt securities into AFS classification as permitted as a one-time transfer under the standard.
(2)Primarily consists of Prime securities.
(3)Primarily consists of Alt-A securities.



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 March 31,September 30, 2019 and December 31, 2018:
In millions of dollarsMarch 31, 2019December 31, 2018September 30, 2019December 31, 2018
Measurement alternative:  
Carrying value$630
$538
$688
$538

Below are amounts recognized in earnings for the three months ended March 31, 2019 and 2018, and life-to-date amounts as of March 31, 2019 onfor non-marketable equity securities measured using the measurement alternative:

Three Months Ended
March 31,
Three Months Ended
September 30,
Nine Months
Ended
September 30,
In millions of dollars201920182019201820192018
Measurement alternative:







 
Impairment losses(1)
$5
$1
$1
$—
$9
$4
Downward changes for observable prices(1)
—
2
4
14
16
18
Upward changes for observable prices(1)
66
123
23
21
108
133

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

Life-to-date amounts on securities still heldLife-to-date amounts on securities still held
In millions of dollarsMarch 31, 2019September 30, 2019
Measurement alternative:  
Impairment losses$12
$16
Downward changes for observable prices18
34
Upward changes for observable prices285
327




 
A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three and nine months ended March 31,September 30, 2019 and 2018, there was no0 impairment loss recognized in earnings for non-marketable equity securities carried at cost.

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



Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollarsMarch 31,
2019		December 31, 2018March 31,
2019		December 31, 2018 September 30,
2019		December 31, 2018September 30,
2019		December 31, 2018 
Hedge funds$—
$—
$—
$—
Generally quarterly10–95 days$—
$—
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
160
168
62
62
—135
168
62
62
—
Real estate funds(2)(3)
14
14
19
19
—10
14
17
19
—
Mutual/collective investment funds25
25
—
—
—24
25
—
—
—
Total$199
$207
$81
$81
—$169
$207
$79
$81
—
(1)Private equity funds include funds that invest in infrastructure, emerging markets and venture capital.
(2)With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
(3)Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.


13.   LOANS

Citigroup loans are reported in two2 categories: consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans. For additional information regarding Citi’s consumer and corporate loans, including related accounting policies, see Note 14 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

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

In millions of dollarsMarch 31,
2019		December 31, 2018
In U.S. offices  
Mortgage and real estate(1)
$57,461
$60,127
Installment, revolving credit and other3,257
3,398
Cards135,206
143,788
Commercial and industrial8,859
8,256
Total$204,783
$215,569
In offices outside the U.S.  
Mortgage and real estate(1)
$43,184
$43,379
Installment, revolving credit and other27,525
27,609
Cards24,763
25,400
Commercial and industrial18,884
17,773
Lease financing47
49
Total$114,403
$114,210
Total consumer loans$319,186
$329,779
Net unearned income$701
$708
Consumer loans, net of unearned income$319,887
$330,487

(1)Loans secured primarily by real estate.

During the three months ended March 31, 2019 and 2018, the Company sold and/or reclassified to HFS $1.9 billion and $0.8 billion, respectively, of consumer loans.

 










Consumer Loan DelinquencyLoans, Delinquencies and Non-Accrual Details at March 31,September 30, 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
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices(5)        
Residential first mortgages(5)(6)
$44,047
$393
$234
$677
$45,351
$564
$456
$45,126
$409
$215
$587
$46,337
$558
$371
Home equity loans(7)(8)
10,527
174
236
—
10,937
500
—
9,513
149
188
—
9,850
433
—
Credit cards132,572
1,590
1,746
—
135,908
—
1,746
138,009
1,743
1,730
—
141,482
—
1,730
Installment and other3,257
41
15
—
3,313
21
—
3,305
41
15
—
3,361
18
—
Commercial banking loans10,303
9
48
—
10,360
145
—
10,576
83
21
—
10,680
159
—
Total$200,706
$2,207
$2,279
$677
$205,869
$1,230
$2,202
$206,529
$2,425
$2,169
$587
$211,710
$1,168
$2,101
In offices outside North America(5)         
Residential first mortgages(5)(6)
$35,777
$203
$134
$—
$36,114
$397
$—
$36,289
$219
$136
$—
$36,644
$392
$—
Credit cards23,561
417
365
—
24,343
297
234
23,542
410
348
—
24,300
288
231
Installment and other25,687
244
97
—
26,028
130
—
26,297
237
105
—
26,639
125
—
Commercial banking loans27,415
53
64
—
27,532
151
—
26,640
52
53
—
26,745
212
—
Total$112,440
$917
$660
$—
$114,017
$975
$234
$112,768
$918
$642
$—
$114,328
$1,017
$231
Total GCB and Corporate/Other—
Consumer
$313,146
$3,124
$2,939
$677
$319,886
$2,205
$2,436
Other(8)
1
—
—
—
1
—
—
Total Citigroup$313,147
$3,124
$2,939
$677
$319,887
$2,205
$2,436
Total Citigroup(9)
$319,297
$3,343
$2,811
$587
$326,038
$2,185
$2,332
(1)Loans less than 30 days past due are presented as current.
(2)Includes $20$18 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 $0.5$0.4 billion.
(5)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(6)(7)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(7)(8)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(8)(9)
RepresentsConsumer loans classified asare net of unearned income of $745 million. Unearned income on consumer loans on the Consolidated Balance Sheet that are not included in GCB or Corporate/Other consumer credit metrics.
primarily represents unamortized origination fees and costs, premiums and discounts.


During the three and nine months ended September 30, 2019 and 2018, the Company sold and/or reclassified to HFS $0.1 billion and $2.4 billion and $0.3 billion and $3.0 billion, respectively, of consumer loans.



Consumer Loan DelinquencyLoans, Delinquencies and Non-Accrual Details at December 31, 2018
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices(5)      
Residential first mortgages(5)(6)
$45,953
$420
$253
$786
$47,412
$583
$549
$45,953
$420
$253
$786
$47,412
$583
$549
Home equity loans(7)(8)
11,135
161
247
—
11,543
527
—
11,135
161
247
—
11,543
527
—
Credit cards141,106
1,687
1,764
—
144,557
—
1,764
141,106
1,687
1,764
—
144,557
—
1,764
Installment and other3,394
43
16
—
3,453
22
—
3,395
43
16
—
3,454
22
—
Commercial banking loans9,662
20
46
—
9,728
109
—
9,662
20
46
—
9,728
109
—
Total$211,250
$2,331
$2,326
$786
$216,693
$1,241
$2,313
$211,251
$2,331
$2,326
$786
$216,694
$1,241
$2,313
In offices outside North America(5)        
Residential first mortgages(5)(6)
$35,624
$203
$145
$—
$35,972
$383
$—
$35,624
$203
$145
$—
$35,972
$383
$—
Credit cards24,131
425
370
—
24,926
312
235
24,131
425
370
—
24,926
312
235
Installment and other25,085
254
107
—
25,446
152
—
25,773
254
107
—
26,134
152
—
Commercial banking loans27,345
51
53
—
27,449
138
—
26,657
51
53
—
26,761
138
—
Total$112,185
$933
$675
$—
$113,793
$985
$235
$112,185
$933
$675
$—
$113,793
$985
$235
Total GCB and Corporate/Other—
Consumer
$323,435
$3,264
$3,001
$786
$330,486
$2,226
$2,548
Other(8)
1
—
—
—
1
—
—
Total Citigroup$323,436
$3,264
$3,001
$786
$330,487
$2,226
$2,548
Total Citigroup(9)
$323,436
$3,264
$3,001
$786
$330,487
$2,226
$2,548
(1)Loans less than 30 days past due are presented as current.
(2)Includes $20 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.
(4)Consists of residential first mortgages that are 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 $0.6 billion.
(5)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(6)(7)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(7)(8)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(8)(9)
RepresentsConsumer loans classified asare net of unearned income of $708 million. Unearned income on consumer loans on the Consolidated Balance Sheet that are not included in GCB or Corporate/Other consumer credit metrics.
primarily represents unamortized origination fees and costs, premiums and discounts.


Consumer Credit Scores (FICO)
The following tables provide details on the FICO scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables (commercial banking loans are excluded from the table since they are business based and FICO scores are not a primary driver in their credit evaluation). FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.
FICO score distribution in U.S. portfolio(1)(2)
March 31, 2019September 30, 2019
In millions of dollarsLess than
680		680 to 760Greater
than 760		Less than
680		680 to 760Greater
than 760
Residential first mortgages$4,169
$12,922
$25,874
$3,924
$13,484
$25,671
Home equity loans2,321
4,093
4,188
2,107
3,756
3,880
Credit cards32,056
55,975
45,934
32,350
57,837
49,110
Installment and other611
1,009
1,105
591
1,024
979
Total$39,157
$73,999
$77,101
$38,972
$76,101
$79,640

 

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

In millions of dollars
Less than
680
680 to 760
Greater
than 760
Residential first mortgages$4,530
$13,848
$26,546
Home equity loans2,438
4,296
4,471
Credit cards32,686
58,722
51,299
Installment and other625
1,097
1,121
Total$40,279
$77,963
$83,437
(1)Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSC) with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where FICO was not available. Such amounts are not material.



Loan to Value (LTV) Ratios
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
LTV distribution in U.S. portfolio(1)(2)
March 31, 2019September 30, 2019
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$40,112
$2,745
$234
$41,117
$2,705
$106
Home equity loans8,955
1,224
380
8,574
902
267
Total$49,067
$3,969
$614
$49,691
$3,607
$373

LTV distribution in U.S. portfolio(1)(2)
December 31, 2018
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$42,379
$2,474
$197
Home equity loans9,465
1,287
390
Total$51,844
$3,761
$587
(1)Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where LTV was not available. Such amounts are not material.



Impaired Consumer Loans
The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
 Three Months Ended 
 March 31,		 Three Months Ended 
 September 30,		Nine Months Ended 
 September 30,
Balance at March 31, 201920192018Balance at September 30, 20192019201820192018
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Interest income
recognized(5)
Interest income
recognized(5)
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$2,085
$2,289
$162
$2,250
$17
$21
$1,925
$2,121
$198
$2,041
$16
$21
$51
$63
Home equity loans672
938
123
698
2
7
632
887
120
660
2
2
6
10
Credit cards1,860
1,891
702
1,818
26
30
1,896
2,158
744
1,862
25
24
77
79
Installment and other         
Individual installment and other397
429
146
402
5
6
399
600
141
399
7
5
18
17
Commercial banking274
527
38
282
3
3
401
637
50
343
11
2
20
10
Total$5,288
$6,074
$1,171
$5,450
$53
$67
$5,253
$6,403
$1,253
$5,305
$61
$54
$172
$179
(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)$508415 million of residential first mortgages, $255$230 million of home equity loans and $4$9 million of commercial market loans do not have a specific allowance.
(3)    Included in the Allowance for loan losses.
(4)Average carrying value represents the average recorded investment ending balance for the last four4 quarters and does not include the related specific allowance.
(5)    Includes amounts recognized on both an accrual and cash basis.

Balance, December 31, 2018Balance at December 31, 2018
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Mortgage and real estate  
Residential first mortgages$2,130
$2,329
$178
$2,483
$2,130
$2,329
$178
$2,483
Home equity loans684
946
122
698
684
946
122
698
Credit cards1,818
1,842
677
1,815
1,818
1,842
677
1,815
Installment and other  
Individual installment and other400
434
146
414
400
434
146
414
Commercial banking252
432
55
286
252
432
55
286
Total$5,284
$5,983
$1,178
$5,696
$5,284
$5,983
$1,178
$5,696
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2)$484 million of residential first mortgages, $263 million of home equity loans and $2 million of commercial market loans do not have a specific allowance.
(3)
Included in the Allowance for loan losses.
(4)Average carrying value represents the average recorded investment ending balance for the last four4 quarters and does not include the related specific allowance.





Consumer Troubled Debt Restructurings
For the Three Months Ended March 31, 2019For the Three Months Ended September 30, 2019
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction		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 mortgages493
$74
$—
$—
$—
—%175
$26
$—
$—
$—
—%
Home equity loans206
21
1
—
—
2
219
24
1
—
—
1
Credit cards72,247
305
—
—
—
18
66,925
296
—
—
—
17
Installment and other revolving351
3
—
—
—
6
499
4
—
—
—
6
Commercial banking(6)
15
38
—
—
—
—
4
—
—
—
—
2
Total(8)
73,312
$441
$1
$—
$—


67,822
$350
$1
$—
$—


International      
Residential first mortgages725
$20
$—
$—
$—
—%572
$22
$—
$—
$—
—%
Credit cards18,493
75
—
—
3
16
16,703
66
—
—
2
17
Installment and other revolving7,552
45
—
—
2
10
7,122
44
—
—
2
10
Commercial banking(6)
99
32
—
—
—
—
126
21
—
—
—
—
Total(8)
26,869
$172
$—
$—
$5


24,523
$153
$—
$—
$4



For the Three Months Ended March 31, 2018For the Three Months Ended September 30, 2018
In millions of dollars, except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
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 mortgages588
$89
$1
$—
$—
—%461
$66
$—
$—
$—
—%
Home equity loans456
41
2
—
—
1
261
26
1
—
—
1
Credit cards63,203
244
—
—
—
18
61,508
253
—
—
—
18
Installment and other revolving342
3
—
—
—
5
322
2
—
—
—
5
Commercial banking(6)
9
1
—
—
—
—
11
3
—
—
—
—
Total(8)
64,598
$378
$3
$—
$—
 
62,563
$350
$1
$—
$—
 
International      
Residential first mortgages549
$18
$—
$—
$—
—%660
$22
$—
$—
$—
—%
Credit cards23,394
94
—
—
2
15
18,413
77
—
—
2
17
Installment and other revolving9,325
59
—
—
2
10
6,421
34
—
—
2
10
Commercial banking(6)
145
28
—
—
—
2
131
9
—
—
—
—
Total(8)
33,413
$199
$—
$—
$4
 
25,625
$142
$—
$—
$4
 

(1)Post-modification balances include past duepast-due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $7$3 million of residential first mortgages and $2 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31,September 30, 2019. These amounts include $4$2 million of residential first mortgages and $2 million of home equity loans that were newly classified as TDRs in the three months ended March 31,September 30, 2019, based on previously received OCC guidance.
(3)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6)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 $11$10 million of residential first mortgages and $4$2 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31,September 30, 2018. These amounts include $8$7 million of residential first mortgages and $3$2 million of home equity loans that were newly classified as TDRs in the three months ended March 31,September 30, 2018, based on previously received OCC guidance.
(8)The above tables reflect activity for loans outstanding that were considered TDRs as of the end of the reporting period.






 For the Nine Months Ended September 30, 2019
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages805
$120
$—
$—
$—
—%
Home equity loans613
66
2
—
—
1
Credit cards202,453
874
—
—
—
17
Installment and other revolving1,190
10
—
—
—
6
Commercial banking(6)
31
48
—
—
—
—
Total(8)
205,092
$1,118
$2
$—
$—
 
International      
Residential first mortgages1,935
$59
$—
$—
$—
—%
Credit cards53,649
214
—
—
8
17
Installment and other revolving21,747
132
—
—
5
10
Commercial banking(6)
314
63
—
—
—
—
Total(8)
77,645
$468
$—
$—
$13
 

 For the Nine Months Ended September 30, 2018
In millions of dollars, except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages1,544
$233
$2
$—
$—
—%
Home equity loans1,097
104
4
—
—
1
Credit cards180,170
717
—
—
—
18
Installment and other revolving956
7
—
—
—
5
Commercial banking(6)
37
5
—
—
—
—
Total(8)
183,804
$1,066
$6
$—
$—
 
International      
Residential first mortgages1,833
$62
$—
$—
$—
—%
Credit cards59,589
249
—
—
7
16
Installment and other revolving22,918
136
—
—
6
10
Commercial banking(6)
433
60
—
—
—
1
Total(8)
84,773
$507
$—
$—
$13
 

(1)Post-modification balances include past-due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $15 million of residential first mortgages and $6 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2019. These amounts include $9 million of residential first mortgages and $5 million of home equity loans that were newly classified as TDRs in the nine months ended September 30, 2019, based on previously received OCC guidance.
(3)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6)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 $29 million of residential first mortgages and $10 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the nine months ended September 30, 2018. These amounts include $20 million of residential first mortgages and $9 million of home equity loans that were newly classified as TDRs in the nine months ended September 30, 2018, based on previously received OCC guidance.
(8)The above tables reflect activity for loans outstanding that were considered TDRs as of the end of the reporting period.




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 March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars201920182019201820192018
North America    
Residential first mortgages$23
$44
$19
$31
$69
$105
Home equity loans3
10
4
5
11
21
Credit cards70
59
74
57
217
173
Installment and other revolving1
1
1
1
3
2
Commercial banking—
8
—
1
1
22
Total$97
$122
$98
$95
$301
$323
International    
Residential first mortgages$3
$2
$1
$2
$8
$6
Credit cards38
53
34
48
109
156
Installment and other revolving18
24
18
18
54
62
Commercial banking—
—
3
7
5
17
Total$59
$79
$56
$75
$176
$241



Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
In millions of dollarsMarch 31,
2019		December 31,
2018		September 30,
2019		December 31,
2018
In U.S. offices 
In North America offices(1)
 
Commercial and industrial$56,698
$52,063
$49,475
$52,063
Financial institutions49,985
48,447
52,678
48,447
Mortgage and real estate(1)(2)
49,746
50,124
52,972
50,124
Installment, revolving credit and other32,768
33,247
31,303
32,425
Lease financing1,405
1,429
1,314
1,429
$190,602
$185,310
In offices outside the U.S.  
Total$187,742
$184,488
In offices outside North America(1)
  
Commercial and industrial$97,844
$94,701
$102,432
$94,701
Financial institutions39,155
36,837
37,908
36,837
Mortgage and real estate(1)(2)
7,005
7,376
7,811
7,376
Installment, revolving credit and other24,868
25,684
26,774
25,684
Lease financing95
103
80
103
Governments and official institutions3,698
4,520
2,958
4,520
$172,665
$169,221
Total corporate loans$363,267
$354,531
Net unearned income$(808)$(822)
Corporate loans, net of unearned income$362,459
$353,709
Total$177,963
$169,221
Corporate loans, net of unearned income(3)
$365,705
$353,709
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($780) million and ($822) million at September 30, 2019 and December 31, 2018, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
 

The Company sold and/or reclassified to held-for-sale $0.1$0.8 billion and $2.1 billion of corporate loans during the three and nine months ended March 31,September 30, 2019, respectively, and 2018.$0.3 billion and $0.8 billion during the three and nine months ended September 30, 2018, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and nine months ended March 31,September 30, 2019 or 2018.

Lease financing
Citi is a lessor in the power, railcars, shipping and aircraft sectors, where the Company has executed operating, direct financing and leveraged leases. Citi’s $1.5$1.4 billion of lease financing receivables, as of March 31,September 30, 2019, is composed of approximately equal balances of direct financing lease receivables and net investments in leveraged leases. Citi uses the interest rate implicit in the lease to determine the present value of its lease financing receivables. Citi recognized $21 million of interestInterest income on direct financing and leveraged leases during the three and nine months ended March 31, 2019.September 30, 2019 was not material.
The Company’s leases have an average remaining maturity of approximately 4four years. In certain cases, Citi obtains residual value insurance from third parties and/or the lessee to manage the risk associated with the residual value of the leased assets. The receivable related to the residual value of the leased assets is approximately $0.9 billion as of March 31,September 30, 2019, while the amount covered by residual value guarantees is approximately $0.3 billion.
The Company’s operating leases, where Citi is a lessor, are not significant to the consolidated financial statements.Consolidated Financial Statements.


Corporate Loan Delinquency and Non-Accrual Details at March 31,September 30, 2019
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrial$455
$125
$580
$1,177
$151,074
$152,831
$668
$24
$692
$1,232
$148,162
$150,086
Financial institutions301
136
437
92
86,487
87,016
559
175
734
36
87,760
88,530
Mortgage and real estate191
—
191
182
56,359
56,732
316
4
320
171
60,288
60,779
Leases16
19
35
—
1,465
1,500
Lease financing7
9
16
—
1,378
1,394
Other128
76
204
31
60,291
60,526
113
33
146
88
60,844
61,078
Loans at fair value   3,854
   3,838
Total$1,091
$356
$1,447
$1,482
$355,676
$362,459
$1,663
$245
$1,908
$1,527
$358,432
$365,705


Corporate Loan Delinquency and Non-Accrual Details at December 31, 2018
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrial$365
$42
$407
$919
$143,960
$145,286
$365
$42
$407
$919
$143,960
$145,286
Financial institutions87
7
94
102
83,672
83,868
87
7
94
102
83,672
83,868
Mortgage and real estate128
5
133
215
57,116
57,464
128
5
133
215
57,116
57,464
Leases5
10
15
—
1,516
1,531
Lease financing5
10
15
—
1,516
1,531
Other151
52
203
75
62,079
62,357
151
52
203
75
62,079
62,357
Loans at fair value   3,203
   3,203
Total$736
$116
$852
$1,311
$348,343
$353,709
$736
$116
$852
$1,311
$348,343
$353,709
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are 90 days or more past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest and/or principal is doubtful.
(3)Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.






Corporate Loans Credit Quality Indicators
Recorded investment in loans(1)
Recorded investment in loans(1)
In millions of dollarsMarch 31,
2019		December 31,
2018		September 30,
2019		December 31,
2018
Investment grade(2)
  
Commercial and industrial$108,423
$102,722
$104,958
$102,722
Financial institutions75,708
73,080
77,077
73,080
Mortgage and real estate25,068
25,855
27,514
25,855
Leases1,229
1,036
Lease financing1,148
1,036
Other53,919
57,299
53,287
57,299
Total investment grade$264,347
$259,992
$263,984
$259,992
Non-investment grade(2)
  
Accrual  
Commercial and industrial$43,230
$41,645
$43,896
$41,645
Financial institutions11,216
10,686
11,417
10,686
Mortgage and real estate3,468
3,793
2,899
3,793
Leases271
496
Lease financing246
496
Other6,577
4,981
7,703
4,981
Non-accrual   
Commercial and industrial1,177
919
1,232
919
Financial institutions92
102
36
102
Mortgage and real estate182
215
171
215
Leases—
—
Lease financing—
—
Other31
75
88
75
Total non-investment grade$66,244
$62,912
$67,688
$62,912
Non-rated private bank loans managed on a delinquency basis(2)
$28,014
$27,602
$30,195
$27,602
Loans at fair value3,854
3,203
3,838
3,203
Corporate loans, net of unearned income$362,459
$353,709
$365,705
$353,709
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Held-for-investment loans are accounted for on an amortized cost basis.
 













Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
March 31, 2019Three Months Ended 
 March 31, 2019		September 30, 2019Three Months Ended 
 September 30, 2019		Nine Months Ended 
 September 30, 2019
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Interest
 income recognized(3)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Interest
 income recognized(3)
Interest income recognized(3)
Non-accrual corporate loans       
Commercial and industrial$1,177
$1,336
$127
$1,079
$14
$1,232
$1,504
$127
$1,098
$1
$16
Financial institutions92
113
34
101
—
36
59
9
67
—
—
Mortgage and real estate182
376
15
231
—
171
379
10
193
—
—
Lease financing—
—
—
10
—
—
—
—
—
—
—
Other31
117
19
69
—
88
197
38
75
7
7
Total non-accrual corporate loans$1,482
$1,942
$195
$1,490
$14
$1,527
$2,139
$184
$1,433
$8
$23
 December 31, 2018
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Non-accrual corporate loans    
Commercial and industrial$919
$1,070
$183
$1,099
Financial institutions102
123
35
99
Mortgage and real estate215
323
39
233
Lease financing—
28
—
21
Other75
165
6
83
Total non-accrual corporate loans$1,311
$1,709
$263
$1,535
March 31, 2019December 31, 2018September 30, 2019December 31, 2018
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with valuation allowances      
Commercial and industrial$450
$127
$603
$183
$622
$127
$603
$183
Financial institutions64
34
76
35
10
9
76
35
Mortgage and real estate83
15
100
39
45
10
100
39
Lease financing—
—
—
—
—
—
—
—
Other14
19
24
6
79
38
24
6
Total non-accrual corporate loans with specific allowance$611
$195
$803
$263
$756
$184
$803
$263
Non-accrual corporate loans without specific allowance      
Commercial and industrial$727
 
$316
 
$610
 
$316
 
Financial institutions28
 
26
 
26
 
26
 
Mortgage and real estate99
 
115
 
126
 
115
 
Lease financing—
 
—
 
—
 
—
 
Other17
 
51
 
9
 
51
 
Total non-accrual corporate loans without specific allowance$871
N/A
$508
N/A
$771
N/A
$508
N/A
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowance.
(3)Interest income recognized for the three and nine months ended March 31,September 30, 2018 was $4 million.$8 million and $25 million, respectively.
N/A Not applicable


Corporate Troubled Debt Restructurings

For the three months ended March 31,September 30, 2019:
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$16
$—
$—
$16
$24
$—
$—
$24
Mortgage and real estate4
—
—
4
3
—
—
3
Other—
—
—
—
Total$20
$—
$—
$20
$27
$—
$—
$27

For the three months ended March 31,September 30, 2018:
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Carrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$2
$—
$—
$2
$62
$1
$4
$57
Mortgage and real estate1
—
—
1
3
—
—
3
Total$3
$—
$—
$3
$65
$1
$4
$60

For the nine months ended September 30, 2019:
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$82
$19
$—
$63
Mortgage and real estate10
—
—
10
Other6
6
—
—
Total$98
$25
$—
$73
For the nine months ended September 30, 2018:
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$103
$5
$8
$90
Mortgage and real estate6
—
—
6
Total$109
$5
$8
$96
(1)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.



The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
 TDR loans in payment default TDR loans in payment default
In millions of dollarsTDR balances at March 31, 2019
TDR loans in payment default during the three months ended
March 31, 2019
TDR balances at
March 31, 2018
TDR loans in payment default during the three months ended
March 31, 2018
TDR balances at September 30, 2019
Three Months Ended
September 30, 2019
Nine Months Ended
September 30, 2019
TDR balances at
September 30, 2018
Three Months Ended
September 30, 2018
Nine Months Ended
September 30, 2018
Commercial and industrial$410
$—
$507
$59
$398
$—
$19
$480
$—
$70
Financial institutions13
—
40
—
9
—
—
21
—
—
Mortgage and real estate112
—
98
—
75
—
—
71
—
—
Other4
—
41
—
4
—
—
42
—
—
Total(1)
$539
$—
$686
$59
$486
$—
$19
$614
$—
$70


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





14. ALLOWANCE FOR CREDIT LOSSES
 
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars201920182019201820192018
Allowance for loan losses at beginning of period$12,315
$12,355
$12,466
$12,126
$12,315
$12,355
Gross credit losses(2,345)(2,296)(2,281)(2,094)(6,980)(6,499)
Gross recoveries(1)
397
429
368
338
1,156
1,172
Net credit losses (NCLs)$(1,948)$(1,867)$(1,913)$(1,756)$(5,824)$(5,327)
NCLs$1,948
$1,867
$1,913
$1,756
$5,824
$5,327
Net reserve builds (releases)67
102
132
169
252
302
Net specific reserve builds (releases)(71)(166)17
(19)19
(125)
Total provision for loan losses$1,944
$1,803
$2,062
$1,906
$6,095
$5,504
Other, net (see table below)18
63
(85)60
(56)(196)
Allowance for loan losses at end of period$12,329
$12,354
$12,530
$12,336
$12,530
$12,336
Allowance for credit losses on unfunded lending commitments at beginning of period$1,367
$1,258
$1,376
$1,278
$1,367
$1,258
Provision (release) for unfunded lending commitments24
28
9
42
18
66
Other, net—
4
—
1
—
(3)
Allowance for credit losses on unfunded lending commitments at end of period(2)
$1,391
$1,290
$1,385
$1,321
$1,385
$1,321
Total allowance for loans, leases and unfunded lending commitments$13,720
$13,644
$13,915
$13,657
$13,915
$13,657

(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

Other, net detailsThree Months Ended March 31,Three Months Ended September 30,Nine Months Ended 
 September 30,
In millions of dollars201920182019201820192018
Sales or transfers of various consumer loan portfolios to HFS    
Transfer of real estate loan portfolios$—
$(53)$(5)$(2)$(9)$(88)
Transfer of other loan portfolios—
(2)—
(3)—
(109)
Sales or transfers of various consumer loan portfolios to HFS$—
$(55)$(5)$(5)$(9)$(197)
FX translation, consumer26
118
(65)62
(26)16
Other(8)—
(15)3
(21)(15)
Other, net$18
$63
$(85)$60
$(56)$(196)



Allowance for Credit Losses and End-of-Period Loans
 Three Months Ended
 March 31, 2019March 31, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,365
$9,950
$12,315
$2,486
$9,869
$12,355
Charge-offs(73)(2,272)(2,345)(139)(2,157)(2,296)
Recoveries17
380
397
43
386
429
Replenishment of net charge-offs56
1,892
1,948
96
1,771
1,867
Net reserve builds (releases)7
60
67
(19)121
102
Net specific reserve builds (releases)(61)(10)(71)(155)(11)(166)
Other(8)26
18
3
60
63
Ending balance$2,303
$10,026
$12,329
$2,315
$10,039
$12,354


 Three Months Ended
 September 30, 2019September 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,353
$10,113
$12,466
$2,330
$9,796
$12,126
Charge-offs(107)(2,174)(2,281)(36)(2,058)(2,094)
Recoveries18
350
368
6
332
338
Replenishment of net charge-offs89
1,824
1,913
30
1,726
1,756
Net reserve builds (releases)11
121
132
34
135
169
Net specific reserve builds (releases)(17)34
17
(27)8
(19)
Other(16)(69)(85)2
58
60
Ending balance$2,331
$10,199
$12,530
$2,339
$9,997
$12,336



 March 31, 2019December 31, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
   
Collectively evaluated in accordance with ASC 450$2,108
$8,853
$10,961
$2,102
$8,770
$10,872
Individually evaluated in accordance with ASC 310-10-35195
1,171
1,366
263
1,178
1,441
Purchased credit impaired in accordance with ASC 310-30—
2
2
—
2
2
Total allowance for loan losses$2,303
$10,026
$12,329
$2,365
$9,950
$12,315
Loans, net of unearned income      
Collectively evaluated in accordance with ASC 450$357,210
$314,454
$671,664
$349,292
$325,055
$674,347
Individually evaluated in accordance with ASC 310-10-351,395
5,288
6,683
1,214
5,284
6,498
Purchased credit impaired in accordance with ASC 310-30—
125
125
—
128
128
Held at fair value3,854
20
3,874
3,203
20
3,223
Total loans, net of unearned income$362,459
$319,887
$682,346
$353,709
$330,487
$684,196
 Nine Months Ended
 September 30, 2019September 30, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,365
$9,950
$12,315
$2,486
$9,869
$12,355
Charge-offs(263)(6,717)(6,980)(195)(6,304)(6,499)
Recoveries48
1,108
1,156
71
1,101
1,172
Replenishment of net charge-offs215
5,609
5,824
124
5,203
5,327
Net reserve builds (releases)56
196
252
(15)317
302
Net specific reserve builds (releases)(69)88
19
(119)(6)(125)
Other(21)(35)(56)(13)(183)(196)
Ending balance$2,331
$10,199
$12,530
$2,339
$9,997
$12,336


 September 30, 2019December 31, 2018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
   
Collectively evaluated in accordance with ASC 450$2,149
$8,945
$11,094
$2,102
$8,770
$10,872
Individually evaluated in accordance with ASC 310-10-35182
1,253
1,435
263
1,178
1,441
Purchased credit impaired in accordance with ASC 310-30—
1
1
—
2
2
Total allowance for loan losses$2,331
$10,199
$12,530
$2,365
$9,950
$12,315
Loans, net of unearned income      
Collectively evaluated in accordance with ASC 450$360,455
$320,650
$681,105
$349,292
$325,055
$674,347
Individually evaluated in accordance with ASC 310-10-351,412
5,253
6,665
1,214
5,284
6,498
Purchased credit impaired in accordance with ASC 310-30—
117
117
—
128
128
Held at fair value3,838
18
3,856
3,203
20
3,223
Total loans, net of unearned income$365,705
$326,038
$691,743
$353,709
$330,487
$684,196








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

(77)(166)(243)
Balance at September 30, 2019$12,651
$9,171
$21,822


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

segments. For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

The Company performed its annual goodwill impairment test as of July 1, 2019. The fair values of the Company’s reporting units exceeded their carrying values by approximately 33% to 134% and no reporting unit is at risk of impairment. Further, there were no triggering events identified and 0 goodwill impaired during the three and nine months ended September 30, 2019.



Intangible Assets
The components of intangible assets were as follows:
March 31, 2019December 31, 2018September 30, 2019December 31, 2018
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,734
$3,985
$1,749
$5,733
$3,936
$1,797
$5,662
$4,008
$1,654
$5,733
$3,936
$1,797
Credit card contract-related intangibles(1)
5,375
2,875
2,500
5,225
2,791
2,434
5,316
2,983
2,333
5,225
2,791
2,434
Core deposit intangibles424
422
2
419
415
4
416
415
1
419
415
4
Other customer relationships453
288
165
470
299
171
463
306
157
470
299
171
Present value of future profits33
29
4
32
29
3
32
29
3
32
29
3
Indefinite-lived intangible assets220
—
220
218
—
218
216
—
216
218
—
218
Other84
79
5
84
75
9
81
73
8
84
75
9
Intangible assets (excluding MSRs)$12,323
$7,678
$4,645
$12,181
$7,545
$4,636
$12,186
$7,814
$4,372
$12,181
$7,545
$4,636
Mortgage servicing rights (MSRs)(2)
551
—
551
584
—
584
472
—
472
584
—
584
Total intangible assets$12,874
$7,678
$5,196
$12,765
$7,545
$5,220
$12,658
$7,814
$4,844
$12,765
$7,545
$5,220

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



The changes in intangible assets were as follows:
 Net carrying
amount at		   
Net carrying
amount at
In millions of dollarsDecember 31,
2018
Acquisitions/
divestitures
AmortizationFX translation and otherMarch 31,
2019
Purchased credit card relationships(1)
$1,797
$—
$(48)$—
$1,749
Credit card contract-related intangibles(2)
2,434
—
(84)150
2,500
Core deposit intangibles4
—
(2)—
2
Other customer relationships171
—
(6)—
165
Present value of future profits3
—
—
1
4
Indefinite-lived intangible assets218
—
—
2
220
Other9
—
(4)—
5
Intangible assets (excluding MSRs)$4,636
$—
$(144)$153
$4,645
Mortgage servicing rights (MSRs)(3)
584
   551
Total intangible assets$5,220
   $5,196


 Net carrying
amount at		    
Net carrying
amount at
In millions of dollarsDecember 31,
2018
Acquisitions/
divestitures
AmortizationImpairmentsFX translation and otherSeptember 30,
2019
Purchased credit card relationships(1)
$1,797
$—
$(142)$—
$(1)$1,654
Credit card contract-related intangibles(2)
2,434
—
(252)—
151
2,333
Core deposit intangibles4
—
(4)—
1
1
Other customer relationships171
—
(18)—
4
157
Present value of future profits3
—
—
—
—
3
Indefinite-lived intangible assets218
—
—
1
(3)216
Other9
—
(8)—
7
8
Intangible assets (excluding MSRs)$4,636
$—
$(424)$1
$159
$4,372
Mortgage servicing rights (MSRs)(3)
584
    472
Total intangible assets$5,220
    $4,844
(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract intangibles and include credit card accounts primarily in the Costco, Macy’s and Sears portfolios. The increase since December 31, 2018 reflects the purchase of certain rights related to credit card accounts in the Sears portfolio.
(2)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco, Sears and AT&T credit card program agreements, which represented 97% of the aggregate net carrying amount at March 31,September 30, 2019 and December 31, 2018.
(3)For additional information on Citi’s MSRs, including the rollforward for the threenine months ended March 31,September 30, 2019, see Note 18 to the Consolidated Financial Statements.



16.   DEBT
For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 17 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.

Short-Term Borrowings
In millions of dollarsMarch 31,
2019		December 31,
2018		September 30,
2019		December 31,
2018
Commercial paper 
 
Bank(1)
$13,060
$13,238
$10,036
$13,238
Broker-dealer and other(2)
1,974
—
4,647
—
Total commercial paper$15,034
$13,238
$14,683
$13,238
Other borrowings(3)
24,288
19,108
20,547
19,108
Total$39,322
$32,346
$35,230
$32,346


(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 March 31,September 30, 2019 and December 31, 2018, collateralized short-term advances from the Federal Home Loan Banks were $13.3$9.5 billion and $9.5 billion, respectively.

 




Long-Term Debt
In millions of dollarsMarch 31,
2019		December 31, 2018September 30,
2019		December 31, 2018
Citigroup Inc.(1)
$149,830
$143,767
$145,342
$143,767
Bank(2)
61,522
61,237
54,896
61,237
Broker-dealer and other(3)
32,214
26,995
42,000
26,995
Total$243,566
$231,999
$242,238
$231,999

(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At March 31,September 30, 2019 and December 31, 2018, collateralized long-term advances from the Federal Home Loan Banks were $10.5$5.5 billion and $10.5 billion, respectively.
(3)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.

Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both March 31,September 30, 2019 and December 31, 2018.


The following table summarizes Citi’s outstanding trust preferred securities at March 31,September 30, 2019:
    Junior subordinated debentures owned by trust    Junior subordinated debentures owned by trust
Trust
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
In millions of dollars, except securities and share amounts
In millions of dollars, except securities and share amounts








In millions of dollars, except securities and share amounts








Citigroup Capital IIIDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemableDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemable
Citigroup Capital XIIISept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
1,000
2,246
Oct. 30, 2040Oct. 30, 2015Sept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
1,000
2,246
Oct. 30, 2040Oct. 30, 2015
Citigroup Capital XVIIIJun. 200799,901
130
3 mo LIBOR + 88.75 bps
50
130
Jun. 28, 2067June 28, 2017Jun. 200799,901
123
3 mo LIBOR + 88.75 bps
50
123
Jun. 28, 2067Jun. 28, 2017
Total obligated  
$2,570
  $2,576
   
$2,563
  $2,569
 

Note: Distributions on the trust preferred securities and interest on the subordinated debentures are payable semiannually for Citigroup Capital III and Citigroup Capital XVIII and quarterly for Citigroup Capital XIII.
(1)Represents the notional value received by outside investors from the trusts at the time of issuance.
(2)In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.


17.   CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:
Three Months Ended March 31,September 30, 2019
In millions of dollarsNet
unrealized
gains (losses)
on debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2018$(2,250)$192
$(728)$(6,257)$(28,070)$(57)$(37,170)
Balance, June 30, 2019$(412)$(376)$75
$(6,574)$(27,921)$5
$(35,203)
Other comprehensive income before reclassifications1,226
(575)186
(110)58
18
803
566
215
172
(300)(1,442)(10)(799)
Increase (decrease) due to amounts reclassified from AOCI(91)4
100
46
—
—
59
(259)(5)81
50
—
—
(133)
Change, net of taxes$1,135
$(571)$286
$(64)$58
$18
$862
$307
$210
$253
$(250)$(1,442)$(10)$(932)
Balance at March 31, 2019$(1,115)$(379)$(442)$(6,321)$(28,012)$(39)$(36,308)
Balance at September 30, 2019$(105)$(166)$328
$(6,824)$(29,363)$(5)$(36,135)
Nine Months Ended September 30, 2019
In millions of dollarsNet
unrealized
gains (losses)
on debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2018$(2,250)$192
$(728)$(6,257)$(28,070)$(57)$(37,170)
Other comprehensive income before reclassifications2,842
(374)772
(715)(1,293)52
1,284
Increase (decrease) due to amounts reclassified from AOCI(697)16
284
148
—
—
(249)
Change, net of taxes 
$2,145
$(358)$1,056
$(567)$(1,293)$52
$1,035
Balance at September 30, 2019$(105)$(166)$328
$(6,824)$(29,363)$(5)$(36,135)
Note: Footnotes to the tables above appear on the following page.


Three Months Ended March 31,September 30, 2018
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, June 30, 2018$(2,717)$(475)$(1,021)$(5,794)$(27,455)$(32)$(37,494)
Other comprehensive income before reclassifications(603)(294)(114)(14)(221)10
(1,236)
Increase (decrease) due to amounts reclassified from AOCI(2)7
40
40
—
—
85
Change, net of taxes$(605)$(287)$(74)$26
$(221)$10
$(1,151)
Balance at September 30, 2018$(3,322)$(762)$(1,095)$(5,768)$(27,676)$(22)$(38,645)
Nine Months Ended September 30, 2018
In millions of dollarsNet
unrealized
gains (losses)
on debt securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2017$(1,158)$(921)$(698)$(6,183)$(25,708)$—
$(34,668)$(1,158)$(921)$(698)$(6,183)$(25,708)$—
$(34,668)
Adjustment to opening balance, net of taxes(6)
(3)—
—
—
—
—
(3)(3)—
—
—
—
—
(3)
Adjusted balance, beginning of period$(1,161)$(921)$(698)$(6,183)$(25,708)$—
$(34,671)$(1,161)$(921)$(698)$(6,183)$(25,708)$—
$(34,671)
Other comprehensive income before reclassifications(949)101
(243)41
1,120
(4)66
(1,984)123
(512)288
(1,968)(22)(4,075)
Increase (decrease) due to amounts reclassified from AOCI(109)27
21
47
—
—
(14)(177)36
115
127
—
—
101
Change, net of taxes
$(1,058)$128
$(222)$88
$1,120
$(4)$52
$(2,161)$159
$(397)$415
$(1,968)$(22)$(3,974)
Balance, March 31, 2018$(2,219)$(793)$(920)$(6,095)$(24,588)$(4)$(34,619)
Balance at September 30, 2018$(3,322)$(762)$(1,095)$(5,768)$(27,676)$(22)$(38,645)
(1)Changes in DVA are reflected as a component of AOCI, pursuant to the adoption of only the provisions of ASU 2016-01 relating to the presentation of DVA on fair value options liabilities. See Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
(2)Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Euro, Korean won and Chilean peso Chinese yuan and Russian ruble against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31,September 30, 2019. Primarily reflects the movements in (by order of impact) the Korean won, Euro, Brazilian real, Mexican peso, Japanese yen, Euro and Indian rupee against the U.S. dollar and changes in related tax effects and hedges for the nine months ended September 30, 2019. Primarily reflects the movements in (by order of impact) the Indian rupee, Chinese yuan renminbi, Turkish lira and Brazilian real against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31,September 30, 2018. Primarily reflects the movements in (by order of impact) the Brazilian real, Indian rupee, Australian dollar and Argentine peso against the U.S. dollar and changes in related tax effects and hedges for the nine months ended September 30, 2018. 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.
(5)
Beginning in the first quarter of 2018, changes in the excluded component of fair value hedges are reflected as a component of AOCI, pursuant to the early adoption of ASU 2017-12, Targeted Improvements to Accounting for Hedging Activities. See Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K for further information regarding this change.
(6)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to Retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.



The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended March 31,September 30, 2019
In millions of dollarsPretax
Tax effect(1)
After-tax
Balance, December 31, 2018$(44,082)$6,912
$(37,170)
Change in net unrealized gains (losses) on debt securities1,500
(365)1,135
Debt valuation adjustment (DVA)(725)154
(571)
Cash flow hedges378
(92)286
Benefit plans(68)4
(64)
Foreign currency translation adjustment69
(11)58
Excluded component of fair value hedges24
(6)18
Change$1,178
$(316)$862
Balance, March 31, 2019$(42,904)$6,596
$(36,308)
In millions of dollarsPretaxTax effectAfter-tax
Balance, June 30, 2019$(41,472)$6,269
$(35,203)
Change in net unrealized gains (losses) on debt securities419
(112)307
Debt valuation adjustment (DVA)273
(63)210
Cash flow hedges333
(80)253
Benefit plans(356)106
(250)
Foreign currency translation adjustment(1,442)—
(1,442)
Excluded component of fair value hedges(10)—
(10)
Change$(783)$(149)$(932)
Balance at September 30, 2019$(42,255)$6,120
$(36,135)
Nine Months Ended September 30,2019
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2018$(44,082)$6,912
$(37,170)
Change in net unrealized gains (losses) on debt securities2,855
(710)2,145
Debt valuation adjustment (DVA)(449)91
(358)
Cash flow hedges1,391
(335)1,056
Benefit plans(753)186
(567)
Foreign currency translation adjustment(1,290)(3)(1,293)
Excluded component of fair value hedges73
(21)52
Change$1,827
$(792)$1,035
Balance at September 30, 2019$(42,255)$6,120
$(36,135)



Three Months Ended March 31,September 30, 2018
In millions of dollarsPretax
Tax effect(1)
After-taxPretax
Tax effect(1)
After-tax
Balance, December 31, 2017(1)
$(41,228)$6,560
$(34,668)
Adjustment to opening balance(2)
(4)1
(3)
Adjusted balance, beginning of period$(41,232)$6,561
$(34,671)
Balance, June 30, 2018$(44,407)$6,913
$(37,494)
Change in net unrealized gains (losses) on debt securities(1,380)322
(1,058)(810)205
(605)
Debt valuation adjustment (DVA)167
(39)128
(377)90
(287)
Cash flow hedges(290)68
(222)(97)23
(74)
Benefit plans91
(3)88
55
(29)26
Foreign currency translation adjustment1,130
(10)1,120
(192)(29)(221)
Excluded component of fair value hedges(5)1
(4)13
(3)10
Change$(287)$339
$52
$(1,408)$257
$(1,151)
Balance, March 31, 2018$(41,519)$6,900
$(34,619)
Balance at September 30, 2018$(45,815)$7,170
$(38,645)

Nine Months Ended September 30, 2018
In millions of dollarsPretax
Tax effect(1)
After-tax
Balance, December 31, 2017(1)
$(41,228)$6,560
$(34,668)
Adjustment to opening balance(2)
(4)1
(3)
Adjusted balance, beginning of period$(41,232)$6,561
$(34,671)
Change in net unrealized gains (losses) on debt securities(2,861)700
(2,161)
Debt valuation adjustment (DVA)208
(49)159
Cash flow hedges(519)122
(397)
Benefit plans549
(134)415
Foreign currency translation adjustment(1,931)(37)(1,968)
Excluded component of fair value hedges(29)7
(22)
Change$(4,583)$609
$(3,974)
Balance at September 30, 2018$(45,815)$7,170
$(38,645)
(1)
Includes the impact of ASU 2018-02, which transferred amounts from AOCI to Retained earnings. For additional information, see Note 19 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
(2)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to Retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.









The Company recognized pretax gains (losses) related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:
Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income
Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20192019
Realized (gains) losses on sales of investments$(130)$(361)$(959)
Gross impairment losses3
13
18
Subtotal, pretax$(127)$(348)$(941)
Tax effect36
89
244
Net realized (gains) losses on investments after-tax(1)
$(91)$(259)$(697)
Realized DVA (gains) losses on fair value option liabilities$5
$(6)$21
Subtotal, pretax$5
$(6)$21
Tax effect(1)1
(5)
Net realized debt valuation adjustment, after-tax$4
$(5)$16
Interest rate contracts$130
$96
$360
Foreign exchange contracts2
2
6
Subtotal, pretax$132
$98
$366
Tax effect(32)(17)(82)
Amortization of cash flow hedges, after-tax(2)
$100
$81
$284
Amortization of unrecognized  
Prior service cost (benefit)$(4)$(3)$(9)
Net actuarial loss65
73
207
Curtailment/settlement impact(3)
—
(4)(2)
Subtotal, pretax$61
$66
$196
Tax effect(15)(16)(48)
Amortization of benefit plans, after-tax(3)
$46
$50
$148
Excluded component of fair value hedges, pretax$—
$—
Tax effect—
—
Excluded component of fair value hedges, after-tax$—
$—
Foreign currency translation adjustment$—
$—
$—
Tax effect—
—
—
Foreign currency translation adjustment$—
$—
$—
Total amounts reclassified out of AOCI, pretax$71
$(190)$(358)
Total tax effect(12)57
109
Total amounts reclassified out of AOCI, after-tax$59
$(133)$(249)
(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses in the Consolidated Statement of Income. See Note 12 to the Consolidated Financial Statements for additional details.
(2)See Note 19 to the Consolidated Financial Statements for additional details.
(3)See Note 8 to the Consolidated Financial Statements for additional details.


The Company recognized pretax gains (losses) related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:
Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income
Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars20182018
Realized (gains) losses on sales of investments$(170)$(69)$(341)
OTTI gross impairment losses27
70
109
Subtotal, pretax$(143)$1
$(232)
Tax effect34
(3)55
Net realized (gains) losses on investment securities, after-tax(1)
$(109)$(2)$(177)
Realized DVA (gains) losses on fair value option liabilities$35
$9
$46
Subtotal, pretax$35
$9
$46
Tax effect(8)(2)(10)
Net realized debt valuation adjustment, after-tax$27
$7
$36
Interest rate contracts$31
$54
$142
Foreign exchange contracts(2)(2)8
Subtotal, pretax$29
$52
$150
Tax effect(8)(12)(35)
Amortization of cash flow hedges, after-tax(2)
$21
$40
$115
Amortization of unrecognized  
Prior service cost (benefit)$(11)$(10)$(32)
Net actuarial loss69
60
193
Curtailment/settlement impact(3)
4
—
6
Subtotal, pretax$62
$50
$167
Tax effect(15)(10)(40)
Amortization of benefit plans, after-tax(3)
$47
$40
$127
Foreign currency translation adjustment$—
$—
$—
Tax effect—
—
—
Foreign currency translation adjustment$—
$—
$—
Total amounts reclassified out of AOCI, pretax$(17)$112
$131
Total tax effect3
(27)(30)
Total amounts reclassified out of AOCI, after-tax$(14)$85
$101

(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses in the Consolidated Statement of Income. See Note 12 to the Consolidated Financial Statements for additional details.
(2)See Note 19 to the Consolidated Financial Statements for additional details.
(3)See Note 8 to the Consolidated Financial Statements for additional details.




18. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES

For additional information regarding Citi’s use of special purpose entities (SPEs) and variable interest entities (VIEs), see Note 21 to the Consolidated Financial Statements in Citi’s 2018 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 March 31, 2019As of September 30, 2019
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures(2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$42,790
$42,790
$—
$—
$—
$—
$—
$—
$42,653
$42,653
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
         
U.S. agency-sponsored116,062
—
116,062
3,251
—
—
61
3,312
117,312
—
117,312
2,934
—
—
73
3,007
Non-agency-sponsored32,769
1,424
31,345
500
—
—
1
501
42,449
1,220
41,229
856
—
—
1
857
Citi-administered asset-backed commercial paper conduits17,494
17,494
—
—
—
—
—
—
14,628
14,628
—
—
—
—
—
—
Collateralized loan obligations (CLOs)21,612
—
21,612
5,408
—
—
9
5,417
17,444
—
17,444
4,557
—
—
—
4,557
Asset-based financing105,765
612
105,153
22,940
834
10,394
—
34,168
155,773
5,315
150,458
23,478
902
9,049
—
33,429
Municipal securities tender option bond trusts (TOBs)8,165
1,787
6,378
21
—
4,278
—
4,299
7,323
1,717
5,606
21
—
3,628
—
3,649
Municipal investments18,518
1
18,517
2,768
3,932
2,641
—
9,341
19,403
—
19,403
2,800
4,258
2,766
—
9,824
Client intermediation1,649
1,403
246
171
—
—
8
179
1,333
1,269
64
4
—
—
—
4
Investment funds1,037
265
772
14
—
20
—
34
927
199
728
11
—
17
3
31
Other62
2
60
49
—
11
—
60
341
1
340
178
—
32
—
210
Total$365,923
$65,778
$300,145
$35,122
$4,766
$17,344
$79
$57,311
$419,586
$67,002
$352,584
$34,839
$5,160
$15,492
$77
$55,568

 As of December 31, 2018
    
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$46,232
$46,232
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored116,563
—
116,563
3,038
—
—
60
3,098
Non-agency-sponsored30,886
1,498
29,388
431
—
—
1
432
Citi-administered asset-backed commercial paper conduits18,750
18,750
—
—
—
—
—
—
Collateralized loan obligations (CLOs)21,837
—
21,837
5,891
—
—
9
5,900
Asset-based financing99,433
628
98,805
21,640
715
9,757
—
32,112
Municipal securities tender option bond trusts (TOBs)7,998
1,776
6,222
9
—
4,262
—
4,271
Municipal investments18,044
3
18,041
2,813
3,922
2,738
—
9,473
Client intermediation858
614
244
172
—
—
2
174
Investment funds1,272
440
832
12
—
1
1
14
Other63
3
60
37
—
23
—
60
Total$361,936
$69,944
$291,992
$34,043
$4,637
$16,781
$73
$55,534

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s March 31,September 30, 2019 and December 31, 2018 Consolidated Balance Sheet.
(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.


The previous tables do not include:

certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);
certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
certain VIEs structured by third parties in which the Company holds securities in inventory, as these investments are made on arm’s-length terms;
•
certain positions in mortgage- and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, in which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 20 to the Consolidated Financial Statements);
•
certain representations and warranties exposures in legacy ICG-sponsored mortgage- and asset-backed securitizations in which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 in which the Company has no variable interest or continuing involvement as servicer was approximately $6 billion and $7 billion at March 31,September 30, 2019 and December 31, 2018;2018, respectively;
certain representations and warranties exposures in Citigroup residential mortgage securitizations, in which the original mortgage loan balances are no longer outstanding; and
VIEs such as trust preferredtrust-preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.

 

The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., loan or security) and the Company’s standard accounting policies for the asset type and line of business.
The asset balances for unconsolidated VIEs in 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:
March 31, 2019December 31, 2018September 30, 2019December 31, 2018
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$—
$10,394
$—
$9,757
$—
$9,049
$—
$9,757
Municipal securities tender option bond trusts (TOBs)4,278
—
4,262
—
3,628
—
4,262
—
Municipal investments—
2,641
—
2,738
—
2,766
—
2,738
Investment funds—
20
—
1
—
17
—
1
Other—
11
—
23
—
32
—
23
Total funding commitments$4,278
$13,066
$4,262
$12,519
$3,628
$11,864
$4,262
$12,519

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 dollarsMarch 31, 2019December 31, 2018September 30, 2019December 31, 2018
Cash$—
$—
$—
$—
Trading account assets3.4
3.0
2.9
3.0
Investments10.3
10.7
10.0
10.7
Total loans, net of allowance25.7
24.5
26.6
24.5
Other0.5
0.5
0.5
0.5
Total assets$39.9
$38.7
$40.0
$38.7

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 dollarsMarch 31, 2019December 31, 2018September 30, 2019December 31, 2018
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$24.8
$27.3
$21.7
$27.3
Retained by Citigroup as trust-issued securities7.6
7.6
6.3
7.6
Retained by Citigroup via non-certificated interests10.5
11.3
14.8
11.3
Total$42.9
$46.2
$42.8
$46.2

The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
Three Months Ended March 31,Three Months Ended September 30,
In billions of dollars2019201820192018
Proceeds from new securitizations$—
$2.8
$—
$1.9
Pay down of maturing notes(2.5)(2.8)(3.1)(2.9)

 Nine Months Ended September 30,
In billions of dollars20192018
Proceeds from new securitizations$—
$5.8
Pay down of maturing notes(5.6)(8.3)


Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 3.1 years as of March 31, 2019 and 3.0 years as of September 30, 2019 and December 31, 2018.

In billions of dollarsMar. 31, 2019Dec. 31, 2018
Term notes issued to third parties$23.3
$25.8
Term notes retained by Citigroup affiliates5.7
5.7
Total Master Trust liabilities$29.0
$31.5


 
In billions of dollarsSept. 30, 2019Dec. 31, 2018
Term notes issued to third parties$20.2
$25.8
Term notes retained by Citigroup affiliates4.4
5.7
Total Master Trust liabilities$24.6
$31.5


Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.21.9 years as of March 31,September 30, 2019 and 1.42.7 years as of December 31, 2018.
In billions of dollarsMar. 31, 2019Dec. 31, 2018Sept. 30, 2019Dec. 31, 2018
Term notes issued to third parties$1.5
$1.5
$1.5
$1.5
Term notes retained by Citigroup affiliates1.9
1.9
1.9
1.9
Total Omni Trust liabilities$3.4
$3.4
$3.4
$3.4



Mortgage Securitizations
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
 Three Months Ended March 31,
 20192018
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$1.0
$2.7
$1.2
$—
Proceeds from new securitizations1.0
2.7
1.2
1.6
Purchases of previously transferred financial assets—
—
0.1
—
 Three Months Ended September 30,
 20192018
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$1.7
$3.8
$1.0
$0.7
Proceeds from new securitizations1.7
4.0
1.1
0.7
Purchases of previously transferred financial assets—
—
0.1
—
 Nine Months Ended September 30,
 20192018
In billions of dollarsU.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$3.8
$12.6
$3.2
$1.7
Proceeds from new securitizations3.9
12.8
3.4
3.3
Purchases of previously transferred financial assets0.1
—
0.3
—


Note: Excludes re-securitization transactions.
(1)The principal securitized and proceeds from new securitizations in 2019 include $0.2 billion related to personal loan securitizations.

During the first quarter of 2019, there were no gainsGains recognized on the securitization of U.S. agency-sponsored mortgages.mortgages were $9 million and $14 million for the three and nine months ended September 30, 2019, respectively. For the three and nine months ended September 30, 2019, gains recognized on the securitization of non-agency sponsored mortgages were $16 million and $59 million, respectively.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $4 million and $15 million for the three and nine months ended September 30, 2018, respectively. There were 0 gains recognized on the securitization of non-agency sponsored mortgages for the three months ended September 30, 2018. Gains recognized on the securitization of non-agency sponsored mortgages during the first quarter of 2019 were $17 million.
Agency and non-agency securitization gains$18 million for the quarternine months ended March 31, 2018 were $5 million and $12 million, respectively.September 30, 2018.

 March 31, 2019December 31, 2018
  
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollarsU.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests(2)
$531
$366
$55
$564
$300
$51
 September 30, 2019December 31, 2018
  
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollarsU.S. agency-
sponsored mortgages
Senior
interests(3)
Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests(2)
$461
$812
$99
$564
$300
$51

(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Retained interests consist of Level 2 or Level 3 assets depending on the observability of significant inputs. See Note 20 to the Consolidated Financial Statements for more information about fair value measurements.
(3)Senior interests in non-agency-sponsored mortgages include $150 million related to personal loan securitizations at September 30, 2019.



Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
March 31, 2019Three Months Ended September 30, 2019
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate6.6%3.6%7.1%11.4%3.7%4.0%
Weighted average constant prepayment rate14.1%6.0%6.0%14.6%17.6%8.4%
Weighted average anticipated net credit losses(2)
NM
5.0%3.5%NM
2.6%2.7%
Weighted average life6.1 years
7.6 years
19.4 years
6.6 years
5.4 years
11.0 years

March 31, 2018Three Months Ended September 30, 2018
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate10.4%3.4%3.0%10.0%4.1%5.6%
Weighted average constant prepayment rate4.5%12.0%12.0%6.2%7.9%8.2%
Weighted average anticipated net credit losses(2)
   NM
5.0%2.0%NM
3.6%3.6%
Weighted average life7.7 years
6.9 years
2.5 years
7.2 years
3.6 years
11.4 years
 Nine Months Ended September 30, 2019
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate8.4%3.6%4.3%
Weighted average constant prepayment rate14.8%11.3%7.8%
Weighted average anticipated net credit losses(2)
NM
3.6%2.8%
Weighted average life6.2 years
6.1 years
12.0 years
 Nine Months Ended September 30, 2018
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate9.9%3.7%4.4%
Weighted average constant prepayment rate5.5%8.8%9.1%
Weighted average anticipated net credit losses(2)
NM
4.4%3.4%
Weighted average life7.6 years
5.8 years
6.7 years

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



The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
The key Key assumptions used to value retained interests, and the sensitivity ofin measuring the fair value to adverse changes of 10% and 20% in eachretained interests at period end or securitization of the key assumptions, are presented in the tables below.mortgage receivables were as follows:
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.
 March 31, 2019
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate7.2%5.9%18.4%
Weighted average constant prepayment rate11.1%1.9%1.3%
Weighted average anticipated net credit losses(2)
NM
47.0%—
Weighted average life6.0 years
3.1 years
22.0 years
 September 30, 2019
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate10.2%6.6%7.8%
Weighted average constant prepayment rate11.2%2.4%5.6%
Weighted average anticipated net credit losses(2)
NM
6.2%2.5%
Weighted average life6.2 years
7.1 years
26.6 years

 December 31, 2018
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate7.8%9.3%—
Weighted average constant prepayment rate9.1%8.0%—
Weighted average anticipated net credit losses(2)
   NM
40.0%—
Weighted average life6.4 years
6.6 years
—

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

The sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are presented 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.
March 31, 2019September 30, 2019
 Non-agency-sponsored mortgages Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate  
Adverse change of 10%$(14)$—
$—
$(16)$—
$(1)
Adverse change of 20%(27)—
—
(31)(1)(1)
Constant prepayment rate  
Adverse change of 10%(22)—
—
(19)—
—
Adverse change of 20%(43)—
—
(36)—
—
Anticipated net credit losses  
Adverse change of 10%NM
—
—
NM
—
—
Adverse change of 20%NM
—
—
NM
—
(1)



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

NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.

The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities:
 Three Months Ended March 31, Liquidation losses
Securitized assets90 days past dueLiquidation lossesSecuritized assets90 days past dueThree Months Ended September 30,Nine Months Ended September 30,
In billions of dollarsMar. 31, 2019Dec. 31, 2018Mar. 31, 2019Dec. 31, 201820192018
In billions of dollars, except liquidation losses in millionsSept. 30, 2019Dec. 31, 2018Sept. 30, 2019Dec. 31, 20182019201820192018
Securitized assets            
Residential mortgage$5.4
$5.2
$0.4
$0.4
$—
$—
Residential mortgages(1)
$11.6
$5.2
$0.3
$0.4
$20
$10
$40
$42
Commercial and other14.5
13.1
—
—
—
—
17.0
13.1
—
—
—
—
—
—
Total$19.9
$18.3
$0.4
$0.4
$—
$—
$28.6
$18.3
$0.3
$0.4
$20
$10
$40
$42


(1)    Securitized assets include $0.3 billion of personal loan securitizations as of September 30, 2019.

Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $551$472 million and $587$618 million at March 31,September 30, 2019 and 2018, respectively. The MSRs correspond to principal loan balances of $61$59 billion and $64$62 billion as of March 31,September 30, 2019 and 2018, respectively. The following table summarizes the changes in capitalized MSRs:
 Three Months Ended September 30,
In millions of dollars20192018
Balance, as of June 30$508
$596
Originations19
14
Changes in fair value of MSRs due to changes in inputs and assumptions(35)25
Other changes(1)
(20)(17)
Sales of MSRs—
—
Balance, as of September 30$472
$618
In millions of dollars20192018
Balance, beginning of year$584
$558
Originations12
17
Changes in fair value of MSRs due to changes in inputs and assumptions(27)46
Other changes(1)
(18)(17)
Sale of MSRs—
(17)
Balance, as of March 31$551
$587
 Nine Months Ended September 30,
In millions of dollars20192018
Balance, beginning of year$584
$558
Originations47
46
Changes in fair value of MSRs due to changes in inputs and assumptions(99)82
Other changes(1)
(60)(50)
Sales of MSRs—
(18)
Balance, as of September 30$472
$618

(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.


The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars201920182019201820192018
Servicing fees$41
$46
$36
$41
$112
$130
Late fees2
1
2
1
6
3
Ancillary fees1
3
—
1
1
7
Total MSR fees$44
$50
$38
$43
$119
$140


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

Re-securitizations
The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private label) securities to re-securitization entities during the quartersthree and nine months ended March 31,September 30, 2019 and 2018. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of March 31,September 30, 2019, Citi held no0 retained interests in private label re-securitization transactions structured by Citi. As of December 31, 2018, the fair value of Citi-retained interests in private label re-securitization transactions structured by Citi totaled approximately $16 million (all related to re-securitization transactions executed prior to 2016). Of this amount, substantially all was related to subordinated beneficial interests. The original par value of


private label re-securitization transactions in which Citi held a retained interest as of December 31, 2018 was approximately $271 million.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the quartersthree and nine months ended March 31,September 30, 2019, and 2018, Citi transferred agency securities with a fair value of approximately $7.6$8.9 billion and $7.0$23.4 billion, respectively, to re-securitization entities.entities compared to approximately $6.8 billion and $20.4 billion for the three and nine months ended September 30, 2018, respectively.
As of March 31,September 30, 2019, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.8$2.5 billion (including $1.1$1.3 billion related to re-securitization transactions executed in 2019) compared to $2.5 billion as of December 31, 2018 (including $1.4 billion related to re-securitization transactions executed in 2018), 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 March 31,September 30, 2019 and December 31, 2018 waswere approximately $70.7$72.9 billion and $70.9 billion, respectively.
As of March 31,September 30, 2019 and December 31, 2018, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits
At March 31,September 30, 2019 and December 31, 2018, the commercial paper conduits administered by Citi had approximately $17.5$14.6 billion and $18.8 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $14.9$17.2 billion and $14.0 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At March 31,September 30, 2019 and December 31, 2018, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 5241 and 53 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 $1.6$1.3 billion and $1.7 billion as of March 31,September 30, 2019 and December 31, 2018, respectively. The net result across multi-seller conduits administered by the Company is that, in the event that defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.
At March 31,September 30, 2019 and December 31, 2018, the Company owned $4.4$4.6 billion and $5.5 billion, respectively, of the commercial paper issued by its administered conduits. The Company's investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.

Collateralized Loan Obligations (CLOs)
There were no new securitizations during the quartersthree or nine months ended March 31,September 30, 2019 and 2018. The following table summarizes selected retained interests related to Citigroup CLOs:
In millions of dollarsMar. 31, 2019Dec. 31, 2018Sept. 30, 2019Dec. 31, 2018
Carrying value of retained interests$2,766
$3,142
$1,404
$3,142


All of Citi’s retained interests were held-to-maturity securities as of March 31,September 30, 2019 and December 31, 2018.



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.
March 31, 2019September 30, 2019
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$25,189
$6,530
$29,539
$6,740
Corporate loans7,438
7,277
7,729
6,210
Hedge funds and equities444
53
445
51
Airplanes, ships and other assets72,082
20,308
112,745
20,428
Total$105,153
$34,168
$150,458
$33,429
 December 31, 2018
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$23,918
$6,928
Corporate loans6,973
5,744
Hedge funds and equities388
53
Airplanes, ships and other assets67,526
19,387
Total$98,805
$32,112


Municipal Securities Tender Option Bond (TOB) Trusts
At March 31,September 30, 2019 and December 31, 2018, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At March 31,September 30, 2019 and December 31, 2018, liquidity agreements provided with respect to customer TOB trusts totaled $3.6 billion and $4.3 billion, respectively, of which $2.2$1.7 billion and $2.3 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the residual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.
The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $7.1 billion and $6.1 billion as of March 31,September 30, 2019 and December 31, 2018.2018, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.


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 2018 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 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. 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 instrumentsHedging instruments under
ASC 815		Trading derivative instruments
In millions of dollarsMarch 31,
2019		December 31,
2018		March 31,
2019		December 31,
2018		September 30,
2019		December 31,
2018		September 30,
2019		December 31,
2018
Interest rate contracts      
Swaps$284,066
$273,636
$19,877,888
$18,138,686
$303,106
$273,636
$19,412,991
$18,138,686
Futures and forwards—
—
6,301,489
4,632,257
—
—
6,086,806
4,632,257
Written options—
—
3,014,698
3,018,469
—
—
2,425,174
3,018,469
Purchased options—
—
2,625,618
2,532,479
—
—
2,116,884
2,532,479
Total interest rate contract notionals$284,066
$273,636
$31,819,693
$28,321,891
Total interest rate contracts$303,106
$273,636
$30,041,855
$28,321,891
Foreign exchange contracts      
Swaps$59,696
$57,153
$7,004,203
$6,738,158
$56,006
$57,153
$7,126,361
$6,738,158
Futures, forwards and spot39,885
41,410
5,767,521
5,115,504
37,234
41,410
5,143,659
5,115,504
Written options1,369
1,726
1,749,838
1,566,717
—
1,726
1,300,917
1,566,717
Purchased options1,699
2,104
1,744,873
1,543,516
—
2,104
1,332,247
1,543,516
Total foreign exchange contract notionals$102,649
$102,393
$16,266,435
$14,963,895
Total foreign exchange contracts$93,240
$102,393
$14,903,184
$14,963,895
Equity contracts        
Swaps$—
$—
$216,741
$217,580
$—
$—
$242,202
$217,580
Futures and forwards—
—
61,707
52,053
—
—
84,711
52,053
Written options—
—
464,551
454,675
—
—
537,389
454,675
Purchased options—
—
345,934
341,018
—
—
377,442
341,018
Total equity contract notionals$—
$—
$1,088,933
$1,065,326
Total equity contracts$—
$—
$1,241,744
$1,065,326
Commodity and other contracts        
Swaps$—
$—
$83,460
$79,133
$—
$—
$77,152
$79,133
Futures and forwards831
802
153,109
146,647
908
802
157,939
146,647
Written options—
—
68,930
62,629
—
—
108,092
62,629
Purchased options—
—
68,302
61,298
—
—
102,829
61,298
Total commodity and other contract notionals$831
$802
$373,801
$349,707
Total commodity and other contracts$908
$802
$446,012
$349,707
Credit derivatives(1)
      
Protection sold$—
$—
$701,018
$724,939
$—
$—
$680,809
$724,939
Protection purchased—
—
757,539
795,649
—
—
773,629
795,649
Total credit derivatives$—
$—
$1,458,557
$1,520,588
$—
$—
$1,454,438
$1,520,588
Total derivative notionals$387,546
$376,831
$51,007,419
$46,221,407
$397,254
$376,831
$48,087,233
$46,221,407


(1)Credit derivatives are arrangements designed to allow one party (protection buyer)purchaser) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.


The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts as of March 31,September 30, 2019 and December 31, 2018. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the following tables reflect rule changes adopted by clearing organizations that require or allow entities 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 tables reflect a reduction of approximately $120$200 billion and $100 billion as of March 31,September 30, 2019 and December 31, 2018, respectively, of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now legally settled and not subject to collateral. The 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 March 31, 2019
Derivatives classified in
Trading account assets/liabilities(1)(2)
In millions of dollars at September 30, 2019
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$283
$128
$2,390
$233
Cleared1,241
80
240
160
Interest rate contracts$1,524
$208
$2,630
$393
Over-the-counter$1,211
$834
$1,094
$723
Cleared—
3
—
13
Foreign exchange contracts$1,211
$837
$1,094
$736
Total derivatives instruments designated as ASC 815 hedges$2,735
$1,045
$3,724
$1,129
Derivatives instruments not designated as ASC 815 hedges  
Over-the-counter$170,941
$137,554
$221,942
$204,714
Cleared13,534
29,063
13,241
12,507
Exchange traded124
89
173
213
Interest rate contracts$184,599
$166,706
$235,356
$217,434
Over-the-counter$131,291
$129,524
$139,748
$140,078
Cleared1,821
1,691
425
1,425
Exchange traded43
56
18
12
Foreign exchange contracts$133,155
$131,271
$140,191
$141,515
Over-the-counter$17,049
$19,203
$17,950
$19,018
Cleared4
54
8
15
Exchange traded8,730
12,371
10,751
11,894
Equity contracts$25,783
$31,628
$28,709
$30,927
Over-the-counter$14,399
$17,249
$12,807
$16,417
Exchange traded581
429
1,087
849
Commodity and other contracts$14,980
$17,678
$13,894
$17,266
Over-the-counter$3,786
$6,906
$9,976
$10,901
Cleared6,898
4,579
1,333
1,460
Credit derivatives$10,684
$11,485
$11,309
$12,361
Total derivatives instruments not designated as ASC 815 hedges$369,201
$358,768
$429,459
$419,503
Total derivatives$371,936
$359,813
$433,183
$420,632
Cash collateral paid/received(3)
$11,349
$13,886
$14,693
$16,494
Less: Netting agreements(4)
(292,121)(292,121)(337,235)(337,235)
Less: Netting cash collateral received/paid(5)
(39,750)(33,190)(52,239)(46,435)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$51,414
$48,388
$58,402
$53,456
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(607)$(88)$(698)$(161)
Less: Non-cash collateral received/paid(11,393)(15,144)(13,255)(14,528)
Total net receivables/payables(6)
$39,414
$33,156
$44,449
$38,767
(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 $44,539$61,128 million and $53,636$68,733 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $33,190$46,435 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $39,750$52,239 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $283$317 billion, $0$9 billion and $9$11 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 counterparty under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $5 billion of derivative asset and $4$5 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.


In millions of dollars at December 31, 2018
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,631
$172
Cleared238
53
Interest rate contracts$1,869
$225
Over-the-counter$1,402
$736
Cleared—
4
Foreign exchange contracts$1,402
$740
Total derivatives instruments designated as ASC 815 hedges$3,271
$965
Derivatives instruments not designated as ASC 815 hedges  
Over-the-counter$161,183
$146,909
Cleared8,489
7,594
Exchange traded91
99
Interest rate contracts$169,763
$154,602
Over-the-counter$159,099
$156,904
Cleared1,900
1,671
Exchange traded53
40
Foreign exchange contracts$161,052
$158,615
Over-the-counter$18,253
$21,527
Cleared17
32
Exchange traded11,623
12,249
Equity contracts$29,893
$33,808
Over-the-counter$16,661
$19,894
Exchange traded894
795
Commodity and other contracts$17,555
$20,689
Over-the-counter$6,967
$6,155
Cleared3,798
4,196
Credit derivatives$10,765
$10,351
Total derivatives instruments not designated as ASC 815 hedges$389,028
$378,065
Total derivatives$392,299
$379,030
Cash collateral paid/received(3)
$11,518
$13,906
Less: Netting agreements(4)
(311,089)(311,089)
Less: Netting cash collateral received/paid(5)
(38,608)(29,911)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$54,120
$51,936
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(767)$(164)
Less: Non-cash collateral received/paid(13,509)(13,354)
Total net receivables/payables(6)
$39,844
$38,418
(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 $41,429 million and $52,514 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $29,911 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $38,608 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $296 billion, $4 billion and $11 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 counterparty under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $5 billion of derivative asset and $7 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.



For the three and nine months ended March 31,September 30, 2019 and 2018, the 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 (losses) on the economically hedged items to the extent that such amounts are also recorded in Other revenue.
Gains (losses) included in
Other revenue
Gains (losses) included in
Other revenue

Three Months Ended
March 31,
Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars201920182019201820192018
Interest rate contracts$27
$(28)$14
$(22)$76
$(65)
Foreign exchange(58)527
22
7
35
20
Total$(31)$499
$36
$(15)$111
$(45)


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 either total cash flows or benchmark-only cash flows are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability.
In the first quarter of 2019, Citigroup executed a last-of-layer hedge, which permits an entity to hedge the interest rate risk of a stated portion of a closed portfolio of pre-payable financial assets that are expected to remain outstanding for the designated tenor of the hedge. In accordance with ASC 815, an entity may exclude prepayment risk when measuring the change in fair value of the hedged item attributable to interest rate risk under the last-of-layer approach. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk will be presented in Interest revenue along with the change in the fair value of the hedging instrument..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, which may be within or outside the U.S.debt. The hedging instrument may beis generally a forward foreign exchange contract or a cross-currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and is generally reflected directly in earnings over the life of the hedge. Citi also excludes changes in cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other comprehensive income.

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


























The following table summarizes the gains (losses) on the Company’s fair value hedges:
 
Gains (losses) on fair value hedges(1)
 Three Months Ended September 30,Nine Months Ended September 30,
 2019201820192018
In millions of dollarsOther revenueNet interest revenueOther revenueNet interest revenue
Other
revenue
Net interest revenueOther revenueNet interest revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges        
Interest rate hedges$—
$1,363
$—
$(857)$—
$4,179
$—
$(497)
Foreign exchange hedges(1,180)—
(142)—
(1,192)—
(1,502)—
Commodity hedges60
—
(7)—
(42)—
(8)—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$(1,120)$1,363
$(149)$(857)$(1,234)$4,179
$(1,510)$(497)
Gain (loss) on the hedged item in designated and qualifying fair value hedges        
Interest rate hedges$—
$(1,320)$—
$871
$—
$(3,982)$—
$525
Foreign exchange hedges1,180
—
142
—
1,192
—
1,502
—
Commodity hedges(60)—
8
—
42
—
9
—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$1,120
$(1,320)$150
$871
$1,234
$(3,982)$1,511
$525
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges        
Interest rate hedges$—
$(4)$—
$—
$—
$(8)$—
$(5)
Foreign exchange hedges(2)
25
—
(7)—
(96)—
(2)—
Commodity hedges11
—
(7)—
34
—
(7)—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$36
$(4)$(14)$—
$(62)$(8)$(9)$(5)

 
Gains (losses) on fair value hedges(1)
 Three Months Ended March 31,
 20192018
In millions of dollarsOther revenueNet interest revenueOther revenueNet interest revenue
Gain (loss) on the derivatives in designated and qualifying fair value hedges    
Interest rate hedges$—
$963
$—
$878
Foreign exchange hedges165
—
179
—
Commodity hedges88
—
(2)—
Total gain (loss) on the derivatives in designated and qualifying fair value hedges$253
$963
$177
$878
Gain (loss) on the hedged item in designated and qualifying fair value hedges    
Interest rate hedges$—
$(879)$—
$(866)
Foreign exchange hedges(168)—
(249)—
Commodity hedges(70)—
1
—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$(238)$(879)$(248)$(866)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges    
Foreign exchange hedges(2)
$(2)$—
$23
$—
Commodity hedges(18)—
1
—
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges$(20)$—
$24
$—

(1)
Gain (loss) amounts for hedges of 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) whichthat are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts also includerelated to cross-currency basis, which isare recognized in accumulated other comprehensive income andAOCI, are not reflected in the table above. The amount of cross-currency basis that was included in accumulated other comprehensive incomeAOCI was $24$(10) million and $(5)$73 million for the three and nine months ended March 31,September 30, 2019 and March 31,$13 million and $(29) million for the three and nine months ended September 30, 2018, respectively.



Cumulative Basis Adjustment
Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative changes in the hedged risk. The hedge basis adjustment, whether from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at March 31,September 30, 2019 and December 31, 2018, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities.
(In millions of dollars)
In millions of dollarsIn millions of dollars
Balance sheet line item in which hedged item is recordedCarrying amount of hedged asset/ liabilityCumulative fair value hedging adjustment increasing (decreasing) the carrying amountCarrying amount of hedged asset/ liabilityCumulative fair value hedging adjustment increasing (decreasing) the carrying amount
ActiveDe-designatedActiveDe-designated
As of March 31, 2019 
Debt securities
AFS(1)
$98,902
$302
$329
As of September 30, 2019As of September 30, 2019 
Debt securities
AFS(1)(2)
$107,544
$122
$770
Long-term debt157,139
2,275
1,236
155,524
5,219
2,373
As of December 31, 2018As of December 31, 2018 As of December 31, 2018 
Debt securities
AFS(2)		$81,632
$(196)$295
$81,632
$(196)$295
Long-term
debt		149,054
1,211
869
149,054
1,211
869


(1)These amounts include thea cumulative basis adjustment ($46of $35 million for active hedges and $176 million for de-designated hedges as of March 31, 2019)September 30, 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 $2approximately $1.3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $16.5 billion)$25.9 billion as of September 30, 2019) in a last-of-layer hedging relationship.relationship, which commenced in the first quarter of 2019.


(2)Carrying amount represents the amortized cost.


Cash Flow Hedges
Citigroup hedges the variability of forecasted cash flows due to changes in contractually specified interest rates associated with floating-rate assets/liabilities and other forecasted transactions. These cash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.
For cash flow hedges, the entire change in the fair value of the hedging derivative is recognized in AOCI and then reclassified to earnings in the same period that the forecasted hedged cash flows impact earnings. The net gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of March 31,September 30, 2019 is approximately $334$71 million. The maximum length of time over which forecasted cash flows are hedged is 10 years.
The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17 to the Consolidated Financial Statements.

Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars201920182019201820192018
Amount of gain (loss) recognized in AOCI on derivative      
Interest rate contracts(1)
$254 $(322)$241 $(146)$1,040 $(665)
Foreign exchange contracts(8)6 (6)(3)(15)(4)
Total gain (loss) recognized in AOCI$246 $(316)$235 $(149)$1,025 $(669)
Amount of gain (loss) reclassified from AOCI to earnings
Other
revenue
Net interest
revenue
Other
revenue
Net interest revenue
Other
revenue
Net interest
revenue
Other
revenue

Net interest
revenue

Other
revenue
Net interest
revenue
Other
revenue
Net interest
revenue
Interest rate contracts(1)
$—
$(130)$—
$(31)$—
$(96)$—
$(54)$—
$(360)$—
$(142)
Foreign exchange contracts(2)

2
—
(2)—
2
—
(6)—
(8)—
Total gain (loss) reclassified from AOCI into earnings$(2)$(130)$2
$(31)$(2)$(96)$2
$(54)$(6)$(360)$(8)$(142)
Net pretax change in cash flow hedges included within AOCI $378
 $(287)
$333

$(97) $1,391
 $(519)
(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 onin the Consolidated Income Statement.Statement of Income.




Net Investment Hedges
The pretax gain (loss) recorded in the Foreignforeign currency translation adjustment account within AOCI, related to net investment hedges, is $(164)$394 million and $(491)$96 million for the three and nine months ended March 31,September 30, 2019 and March 31,$(46) million and $1,096 million for the three and nine months ended September 30, 2018, respectively.






Credit Derivatives
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
Fair valuesNotionalsFair valuesNotionals
In millions of dollars at March 31, 2019
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty   
In millions of dollars at September 30, 2019
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty   
Banks$4,855
$4,613
$202,581
$213,437
$4,450
$4,333
$183,263
$188,606
Broker-dealers1,776
1,670
57,539
68,978
1,929
1,634
63,607
63,261
Non-financial80
93
5,509
2,801
93
86
2,917
1,905
Insurance and other financial
institutions
3,973
5,109
491,910
415,802
4,837
6,308
523,842
427,037
Total by industry/counterparty$10,684
$11,485
$757,539
$701,018
Total by industry of counterparty$11,309
$12,361
$773,629
$680,809
By instrument      
Credit default swaps and options$10,173
$10,514
$733,530
$690,880
$10,449
$10,438
$749,061
$669,514
Total return swaps and other511
971
24,009
10,138
860
1,923
24,568
11,295
Total by instrument$10,684
$11,485
$757,539
$701,018
$11,309
$12,361
$773,629
$680,809
By rating   
By rating of reference entity   
Investment grade$4,788
$5,032
$597,069
$544,124
$5,992
$5,976
$597,001
$519,575
Non-investment grade5,896
6,453
160,470
156,894
5,317
6,385
176,628
161,234
Total by rating$10,684
$11,485
$757,539
$701,018
Total by rating of reference entity$11,309
$12,361
$773,629
$680,809
By maturity      
Within 1 year$1,400
$1,874
$217,434
$210,754
$1,504
$2,432
$223,743
$175,978
From 1 to 5 years7,051
7,448
450,084
411,686
7,927
8,170
453,995
418,675
After 5 years2,233
2,163
90,021
78,578
1,878
1,759
95,891
86,156
Total by maturity$10,684
$11,485
$757,539
$701,018
$11,309
$12,361
$773,629
$680,809

(1)The fair value amount receivable is composed of $3,686$4,247 million under protection purchased and $6,998$7,062 million under protection sold.
(2)The fair value amount payable is composed of $7,987$8,551 million under protection purchased and $3,498$3,810 million under protection sold.


Fair valuesNotionalsFair valuesNotionals
In millions of dollars at December 31, 2018
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty   
By industry of counterparty   
Banks$4,785
$4,432
$214,842
$218,273
$4,785
$4,432
$214,842
$218,273
Broker-dealers1,706
1,612
62,904
63,014
1,706
1,612
62,904
63,014
Non-financial64
87
2,687
1,192
64
87
2,687
1,192
Insurance and other financial
institutions
4,210
4,220
515,216
442,460
4,210
4,220
515,216
442,460
Total by industry/counterparty$10,765
$10,351
$795,649
$724,939
Total by industry of counterparty$10,765
$10,351
$795,649
$724,939
By instrument      
Credit default swaps and options$10,030
$9,755
$771,865
$712,623
$10,030
$9,755
$771,865
$712,623
Total return swaps and other735
596
23,784
12,316
735
596
23,784
12,316
Total by instrument$10,765
$10,351
$795,649
$724,939
$10,765
$10,351
$795,649
$724,939
By rating   
By rating of reference entity   
Investment grade$4,725
$4,544
$637,790
$568,849
$4,725
$4,544
$637,790
$568,849
Non-investment grade6,040
5,807
157,859
156,090
6,040
5,807
157,859
156,090
Total by rating$10,765
$10,351
$795,649
$724,939
Total by rating of reference entity$10,765
$10,351
$795,649
$724,939
By maturity      
Within 1 year$2,037
$2,063
$251,994
$225,597
$2,037
$2,063
$251,994
$225,597
From 1 to 5 years6,720
6,414
493,096
456,409
6,720
6,414
493,096
456,409
After 5 years2,008
1,874
50,559
42,933
2,008
1,874
50,559
42,933
Total by maturity$10,765
$10,351
$795,649
$724,939
$10,765
$10,351
$795,649
$724,939

(1)The fair value amount receivable is composed of $5,126 million under protection purchased and $5,639 under protection sold.
(2)The fair value amount payable is composed of $5,882 million under protection purchased and $4,469 million under protection sold.

Credit Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.
The fair value (excluding CVA) of all derivative instruments with credit risk-related contingent features that were in a net liability position at both March 31,September 30, 2019 and December 31, 2018 was $35$32 billion and $33 billion, respectively. The Company posted $35$29 billion and $33 billion as collateral for this exposure in the normal course of business as of March 31,September 30, 2019 and December 31, 2018, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three3 major rating agencies as of March 31,September 30, 2019, the Company could be required to post an additional $0.7$1.0 billion as either collateral or settlement of the derivative transactions. Additionally, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $0.8$0.9 billion.

 

Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale by the Company and 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 (and still outstanding), both the asset amounts derecognized and the gross cash proceeds received as of the date of derecognition were $4.6$3.4 billion and $4.1$4.6 billion as of March 31,September 30, 2019 and December 31, 2018, respectively.
At March 31,September 30, 2019, the fair value of these previously derecognized assets was $4.6$3.4 billion. The fair value of the total return swaps as of March 31,September 30, 2019 was $89$31 million recorded as gross derivative assets and $7$13 million recorded as gross derivative liabilities. At December 31, 2018, the fair value of these previously derecognized assets was $4.1$4.5 billion, and the fair value of the total return swaps was $55 million recorded as gross derivative assets and $9$40 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 2018 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 March 31,September 30, 2019 and December 31, 2018:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsMarch 31,
2019		December 31,
2018		September 30,
2019		December 31,
2018
Counterparty CVA$(982)$(1,085)$(866)$(1,085)
Asset FVA(524)(544)(640)(544)
Citigroup (own-credit) CVA402
482
446
482
Liability FVA87
135
119
135
Total CVA—derivative instruments(1)
$(1,017)$(1,012)$(941)$(1,012)

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

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
Credit/funding/debt valuation
adjustments gain (loss)
Credit/funding/debt valuation
adjustments gain (loss)
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars201920182019201820192018
Counterparty CVA$74
$23
$2
$94
$104
$117
Asset FVA20
9
(78)74
(97)123
Own-credit CVA(92)75
85
(75)(20)24
Liability FVA(48)(7)14
(23)(16)(8)
Total CVA—derivative instruments$(46)$100
$23
$70
$(29)$256
DVA related to own FVO liabilities(1)
$(725)$167
$273
$(377)$(449)$208
Total CVA and DVA(2)
$(771)$267
$296
$(307)$(478)$464

(1)See Notes 1 and Note 17 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K.
(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 March 31,September 30, 2019 and December 31, 2018. The Company may hedge positions that have been classified in the Level 3 category with
other financial instruments (hedging instruments) that may be
classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:


Fair Value Levels
In millions of dollars at March 31, 2019
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at September 30, 2019Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets    
Federal funds sold and securities borrowed and purchased under agreements to resell$—
$241,414
$66
$241,480
$(79,364)$162,116
Securities borrowed and purchased under agreements to resell$—
$242,754
$118
$242,872
$(94,504)$148,368
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
26,285
154
26,439
—
26,439
—
30,684
272
30,956
—
30,956
Residential—
574
128
702
—
702
—
632
164
796
—
796
Commercial—
1,359
69
1,428
—
1,428
—
1,298
212
1,510
—
1,510
Total trading mortgage-backed securities$—
$28,218
$351
$28,569
$—
$28,569
$—
$32,614
$648
$33,262
$—
$33,262
U.S. Treasury and federal agency securities$36,579
$4,966
$—
$41,545
$—
$41,545
$33,269
$5,283
$6
$38,558
$—
$38,558
State and municipal—
2,425
178
2,603
—
2,603
—
3,160
178
3,338
—
3,338
Foreign government51,976
23,108
39
75,123
—
75,123
59,978
20,539
84
80,601
—
80,601
Corporate1,949
14,371
378
16,698
—
16,698
1,987
16,703
406
19,096
—
19,096
Equity securities46,995
8,798
127
55,920
—
55,920
47,371
9,405
111
56,887
—
56,887
Asset-backed securities—
1,578
1,429
3,007
—
3,007
—
1,742
1,337
3,079
—
3,079
Other trading assets(3)(2)
40
10,550
1,042
11,632
—
11,632
75
13,047
479
13,601
—
13,601
Total trading non-derivative assets$137,539
$94,014
$3,544
$235,097
$—
$235,097
$142,680
$102,493
$3,249
$248,422
$—
$248,422
Trading derivatives
  
  
Interest rate contracts$283
$184,259
$1,581
$186,123
  $61
$235,910
$2,015
$237,986
  
Foreign exchange contracts1
134,011
354
134,366
  1
140,206
1,078
141,285
  
Equity contracts453
24,988
342
25,783
  73
28,330
306
28,709
  
Commodity contracts—
14,246
734
14,980
  3
13,087
804
13,894
  
Credit derivatives—
9,934
750
10,684
  —
10,620
689
11,309
  
Total trading derivatives$737
$367,438
$3,761
$371,936
  $138
$428,153
$4,892
$433,183
  
Cash collateral paid(4)(3)
 $11,349
   $14,693
  
Netting agreements $(292,121)  $(337,235) 
Netting of cash collateral received (39,750)  (52,239) 
Total trading derivatives$737
$367,438
$3,761
$383,285
$(331,871)$51,414
$138
$428,153
$4,892
$447,876
$(389,474)$58,402
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$39,301
$32
$39,333
$—
$39,333
$—
$39,170
$31
$39,201
$—
$39,201
Residential—
1,121
—
1,121
—
1,121
—
793
—
793
—
793
Commercial—
138
—
138
—
138
—
85
—
85
—
85
Total investment mortgage-backed securities$—
$40,560
$32
$40,592
$—
$40,592
$—
$40,048
$31
$40,079
$—
$40,079
U.S. Treasury and federal agency securities$98,793
$8,880
$—
$107,673
$—
$107,673
$101,792
$6,441
$—
$108,233
$—
$108,233
State and municipal—
7,199
910
8,109
—
8,109
—
5,073
881
5,954
—
5,954
Foreign government60,695
40,590
71
101,356
—
101,356
67,088
38,329
112
105,529
—
105,529
Corporate4,722
7,528
60
12,310
—
12,310
4,826
6,310
47
11,183
—
11,183
Marketable equity securities194
14
—
208
—
208
63
447
—
510
—
510
Asset-backed securities—
614
806
1,420
—
1,420
—
500
41
541
—
541
Other debt securities—
3,672
—
3,672
—
3,672
—
3,906
—
3,906
—
3,906
Non-marketable equity securities(5)(4)
—
100
505
605
—
605
—
23
435
458
—
458
Total investments$164,404
$109,157
$2,384
$275,945
$—
$275,945
$173,769
$101,077
$1,547
$276,393
$—
$276,393
Table continues on the next page.


In millions of dollars at March 31, 2019
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at September 30, 2019Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—
$3,501
$373
$3,874
$—
$3,874
$—
$3,541
$315
$3,856
$—
$3,856
Mortgage servicing rights—
—
551
551
—
551
—
—
472
472
—
472
Non-trading derivatives and other financial assets measured on a recurring basis$14,577
$5,241
$—
$19,818
$—
$19,818
$9,262
$6,304
$2
$15,568
$—
$15,568
Total assets$317,257
$820,765
$10,679
$1,160,050
$(411,235)$748,815
$325,849
$884,322
$10,595
$1,235,459
$(483,978)$751,481
Total as a percentage of gross assets(6)(5)
27.6%71.5%0.9%





26.7%72.4%0.9%





Liabilities    
Interest-bearing deposits$—
$1,297
$1,047
$2,344
$—
$2,344
$—
$1,515
$1,142
$2,657
$—
$2,657
Federal funds purchased and securities loaned and sold under agreements to repurchase—
124,564
1,041
125,605
(79,364)46,241
Securities loaned and sold under agreements to repurchase—
122,222
834
123,056
(70,783)52,273
Trading account liabilities    
Securities sold, not yet purchased74,650
13,222
15
87,887
—
87,887
68,639
13,431
42
82,112
—
82,112
Other trading liabilities—
117
—
117
—
117
—
27
—
27
—
27
Total trading liabilities$74,650
$13,339
$15
$88,004
$—
$88,004
$68,639
$13,458
$42
$82,139
$—
$82,139
Trading derivatives    
Interest rate contracts$179
$165,038
$1,697
$166,914
  $96
$215,848
$1,883
$217,827
  
Foreign exchange contracts3
131,797
308
132,108
  (9)141,233
1,027
142,251
  
Equity contracts207
29,734
1,687
31,628
  223
29,201
1,503
30,927
  
Commodity contracts—
17,248
430
17,678
  —
16,421
845
17,266
  
Credit derivatives—
10,769
716
11,485
  —
11,642
719
12,361
  
Total trading derivatives$389
$354,586
$4,838
$359,813
  $310
$414,345
$5,977
$420,632
  
Cash collateral received(7)(6)
 $13,886
   $16,494
  
Netting agreements $(292,121)  $(337,235) 
Netting of cash collateral paid (33,190)  (46,435) 
Total trading derivatives$389
$354,586
$4,838
$373,699
$(325,311)$48,388
$310
$414,345
$5,977
$437,126
$(383,670)$53,456
Short-term borrowings$—
$5,002
$170
$5,172
$—
$5,172
$—
$4,805
$18
$4,823
$—
$4,823
Long-term debt—
30,354
13,734
44,088
—
44,088
—
35,625
15,866
51,491
—
51,491
Total non-trading derivatives and other financial liabilities measured on a recurring basis$14,577
$—
$—
$14,577
$—
$14,577
$9,262
$235
$3
$9,500
$—
$9,500
Total liabilities$89,616
$529,142
$20,845
$653,489
$(404,675)$248,814
$78,211
$592,205
$23,882
$710,792
$(454,453)$256,339
Total as a percentage of gross liabilities(6)(5)
14.0%82.7%3.3%  11.3%85.3%3.4%  


(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 $44,539$61,128 million gross cash collateral paid, of which $33,190$46,435 million was used to offset trading derivative liabilities.
(4)
Amounts exclude $0.2 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(5)
Amounts exclude $0.2 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(6)Reflects the net amount $53,636$68,733 million of gross cash collateral received, of which $39,750$52,239 million was used to offset trading derivative assets.



Fair Value Levels
In millions of dollars at December 31, 2018
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance		Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets    
Federal funds sold and securities borrowed and purchased under agreements to resell$—
$214,570
$115
$214,685
$(66,984)$147,701
Securities borrowed and purchased under agreements to resell$—
$214,570
$115
$214,685
$(66,984)$147,701
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
24,090
156
24,246
—
24,246
—
24,090
156
24,246
—
24,246
Residential—
709
268
977
—
977
—
709
268
977
—
977
Commercial—
1,323
77
1,400
—
1,400
—
1,323
77
1,400
—
1,400
Total trading mortgage-backed securities$—
$26,122
$501
$26,623
$—
$26,623
$—
$26,122
$501
$26,623
$—
$26,623
U.S. Treasury and federal agency securities$26,439
$4,802
$1
$31,242
$—
$31,242
$26,439
$4,802
$1
$31,242
$—
$31,242
State and municipal—
3,782
200
3,982
—
3,982
—
3,782
200
3,982
—
3,982
Foreign government43,309
21,179
31
64,519
—
64,519
43,309
21,179
31
64,519
—
64,519
Corporate1,026
14,510
360
15,896
—
15,896
1,026
14,510
360
15,896
—
15,896
Equity securities36,342
7,308
153
43,803
—
43,803
36,342
7,308
153
43,803
—
43,803
Asset-backed securities—
1,429
1,484
2,913
—
2,913
—
1,429
1,484
2,913
—
2,913
Other trading assets(3)(2)
3
12,198
818
13,019
—
13,019
3
12,198
818
13,019
—
13,019
Total trading non-derivative assets$107,119
$91,330
$3,548
$201,997
$—
$201,997
$107,119
$91,330
$3,548
$201,997
$—
$201,997
Trading derivatives    
Interest rate contracts$101
$169,860
$1,671
$171,632
  $101
$169,860
$1,671
$171,632
  
Foreign exchange contracts—
162,108
346
162,454
  —
162,108
346
162,454
  
Equity contracts647
28,903
343
29,893
  647
28,903
343
29,893
  
Commodity contracts—
16,788
767
17,555
  —
16,788
767
17,555
  
Credit derivatives—
9,839
926
10,765
  —
9,839
926
10,765
  
Total trading derivatives$748
$387,498
$4,053
$392,299
  $748
$387,498
$4,053
$392,299
  
Cash collateral paid(4)(3)
 $11,518
   $11,518
  
Netting agreements $(311,089)  $(311,089) 
Netting of cash collateral received (38,608)  (38,608) 
Total trading derivatives$748
$387,498
$4,053
$403,817
$(349,697)$54,120
$748
$387,498
$4,053
$403,817
$(349,697)$54,120
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$42,988
$32
$43,020
$—
$43,020
$—
$42,988
$32
$43,020
$—
$43,020
Residential—
1,313
—
1,313
—
1,313
—
1,313
—
1,313
—
1,313
Commercial—
172
—
172
—
172
—
172
—
172
—
172
Total investment mortgage-backed securities$—
$44,473
$32
$44,505
$—
$44,505
$—
$44,473
$32
$44,505
$—
$44,505
U.S. Treasury and federal agency securities$107,577
$9,645
$—
$117,222
$—
$117,222
$107,577
$9,645
$—
$117,222
$—
$117,222
State and municipal—
8,498
708
9,206
—
9,206
—
8,498
708
9,206
—
9,206
Foreign government58,252
42,371
68
100,691
—
100,691
58,252
42,371
68
100,691
—
100,691
Corporate4,410
7,033
156
11,599
—
11,599
4,410
7,033
156
11,599
—
11,599
Marketable equity securities

206
14
—
220
—
220
206
14
—
220
—
220
Asset-backed securities—
656
187
843
—
843
—
656
187
843
—
843
Other debt securities—
3,972
—
3,972
—
3,972
—
3,972
—
3,972
—
3,972
Non-marketable equity securities(5)(4)
—
96
586
682
—
682
—
96
586
682
—
682
Total investments$170,445
$116,758
$1,737
$288,940
$—
$288,940
$170,445
$116,758
$1,737
$288,940
$—
$288,940
Table continues on the next page.


In millions of dollars at December 31, 2018
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance		Level 1Level 2Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$2,946
$277
$3,223
$—
$3,223
$—
$2,946
$277
$3,223
$—
$3,223
Mortgage servicing rights—
—
584
584
—
584
—
—
584
584
—
584
Non-trading derivatives and other financial assets measured on a recurring basis$15,839
$4,949
$—
$20,788
$—
$20,788
$15,839
$4,949
$—
$20,788
$—
$20,788
Total assets$294,151
$818,051
$10,314
$1,134,034
$(416,681)$717,353
$294,151
$818,051
$10,314
$1,134,034
$(416,681)$717,353
Total as a percentage of gross assets(6)(5)
26.2%72.9%0.9%  26.2%72.9%0.9%  
Liabilities    
Interest-bearing deposits$—
$980
$495
$1,475
$—
$1,475
$—
$980
$495
$1,475
$—
$1,475
Federal funds purchased and securities loaned and sold under agreements to repurchase—
110,511
983
111,494
(66,984)44,510
Securities loaned and sold under agreements to repurchase—
110,511
983
111,494
(66,984)44,510
Trading account liabilities    
Securities sold, not yet purchased78,872
11,364
586
90,822
—
90,822
78,872
11,364
586
90,822
—
90,822
Other trading liabilities—
1,547
—
1,547
—
1,547
—
1,547
—
1,547
—
1,547
Total trading liabilities$78,872
$12,911
$586
$92,369
$—
$92,369
$78,872
$12,911
$586
$92,369
$—
$92,369
Trading account derivatives    
Interest rate contracts$71
$152,931
$1,825
$154,827
  $71
$152,931
$1,825
$154,827
  
Foreign exchange contracts—
159,003
352
159,355
  —
159,003
352
159,355
  
Equity contracts351
32,330
1,127
33,808
  351
32,330
1,127
33,808
  
Commodity contracts—
19,904
785
20,689
  —
19,904
785
20,689
  
Credit derivatives—
9,486
865
10,351
  —
9,486
865
10,351
  
Total trading derivatives$422
$373,654
$4,954
$379,030
  $422
$373,654
$4,954
$379,030
  
Cash collateral received(7)(6)
 $13,906
   $13,906
  
Netting agreements $(311,089)  $(311,089) 
Netting of cash collateral paid (29,911)  (29,911) 
Total trading derivatives$422
$373,654
$4,954
$392,936
$(341,000)$51,936
$422
$373,654
$4,954
$392,936
$(341,000)$51,936
Short-term borrowings$—
$4,446
$37
$4,483
$—
$4,483
$—
$4,446
$37
$4,483
$—
$4,483
Long-term debt—
25,659
12,570
38,229
—
38,229
—
25,659
12,570
38,229
—
38,229
Non-trading derivatives and other financial liabilities measured on a recurring basis$15,839
$67
$—
$15,906
$—
$15,906
$15,839
$67
$—
$15,906
$—
$15,906
Total liabilities$95,133
$528,228
$19,625
$656,892
$(407,984)$248,908
$95,133
$528,228
$19,625
$656,892
$(407,984)$248,908
Total as a percentage of gross liabilities(6)(5)
14.8%82.1%3.1%  14.8%82.1%3.1%  


(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 $41,429 million of gross cash collateral paid, of which $29,911 million was used to offset trading derivative liabilities.
(4)
Amounts exclude $0.2 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(5)
Amounts exclude $0.2 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(6)Reflects the net amount of $52,514 million of gross cash collateral received, of which $38,608 million was used to offset 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 nine months ended March 31,September 30, 2019 and 2018. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example,
the gains and losses for assets and liabilities in the Level 3
category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2019Jun. 30, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2019
Assets      
Federal funds sold and
securities borrowed and
purchased under
agreements to resell
$115
$(4)$—
$(4)$3
$45
$—
$—
$(89)$66
$(2)
Securities borrowed and
purchased under
agreements to resell
$122
$(5)$—
$—
$—
$51
$—
$—
$(50)$118
$5
Trading non-derivative assets                
Trading mortgage-
backed securities
      
U.S. government-sponsored agency guaranteed156
—
—
—
(25)48
—
(25)—
154
3
187
2
—
53
—
70
—
(40)—
272
2
Residential268
1
—
5
(31)69
—
(184)—
128
10
131
8
—
29
(21)65
—
(48)—
164
7
Commercial77
2
—
2
(1)24
—
(35)—
69
1
53
5
—
127
(3)52
—
(22)—
212
(2)
Total trading mortgage-
backed securities
$501
$3
$—
$7
$(57)$141
$—
$(244)$—
$351
$14
$371
$15
$—
$209
$(24)$187
$—
$(110)$—
$648
$7
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
$(14)$—
$—
$—
$20
$—
$—
$—
$6
$(2)
State and municipal200
(1)—
—
(19)1
—
(3)—
178
—
177
—
—
1
—
1
—
(1)—
178
—
Foreign government31
(1)—
9
—
3
—
(3)—
39
1
20
(12)—
—
—
81
—
(5)—
84
—
Corporate360
90
—
21
(26)69
(33)(103)—
378
(35)454
(14)—
111
(17)79
4
(204)(7)406
(45)
Marketable equity securities

153
(10)—
1
(11)9
—
(15)—
127
14
123
(23)—
6
3
53
—
(51)—
111
(16)
Asset-backed securities1,484
(26)—
7
(32)221
—
(225)—
1,429
38
1,411
(96)—
31
(8)191
—
(192)—
1,337
(42)
Other trading assets818
5
—
13
(32)340
4
(102)(4)1,042
(20)740
(46)—
9
(114)46
17
(163)(10)479
(4)
Total trading non-
derivative assets
$3,548
$60
$—
$58
$(177)$784
$(29)$(695)$(5)$3,544
$12
$3,296
$(190)$—
$367
$(160)$658
$21
$(726)$(17)$3,249
$(102)
Trading derivatives, net(4)
      
Interest rate contracts$(154)$(51)$—
$(15)$27
$6
$12
$—
$59
$(116)$(60)$(109)$295
$—
$(50)$56
$15
$(2)$(9)$(64)$132
$143
Foreign exchange contracts(6)60
—
(15)15
3
—
(4)(7)46
28
(97)249
—
74
(150)15
—
(36)(4)51
206
Equity contracts(784)(294)—
(154)9
(1)(59)2
(64)(1,345)(222)(1,194)102
—
(32)163
(119)—
(1)(116)(1,197)249
Commodity contracts(18)280
—
(3)10
54
—
(34)15
304
300
147
(29)—
(5)(49)83
—
(95)(93)(41)32
Credit derivatives61
(319)—
(18)232
—
—
—
78
34
(320)86
(78)—
(108)(13)—
—
—
83
(30)(70)
Total trading derivatives,
net(4)
$(901)$(324)$—
$(205)$293
$62
$(47)$(36)$81
$(1,077)$(274)$(1,167)$539
$—
$(121)$7
$(6)$(2)$(141)$(194)$(1,085)$560
Table continues on the next page.











 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2019Jun. 30, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2019
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$32
$—
$—
$—
$—
$—
$—
$—
$—
$32
$(2)$31
$—
$—
$—
$—
$—
$—
$—
$—
$31
$—
Residential—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$32
$—
$—
$—
$—
$—
$—
$—
$—
$32
$(2)$31
$—
$—
$—
$—
$—
$—
$—
$—
$31
$—
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal708
—
52
3
—
185
—
(38)—
910
44
1,026
—
16
—
(153)9
—
(17)—
881
26
Foreign government68
—
(4)—
—
39
—
(32)—
71
(1)77
—
(1)—
—
56
—
(20)—
112
(2)
Corporate156
—
—
—
(94)—
—
(2)—
60
—
56
—
(9)—
—
—
—
—
—
47
—
Marketable equity securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Asset-backed securities187
—
(2)94
—
550
—
(23)—
806
(4)59
—
(8)27
(27)—
—
(10)—
41
—
Other debt securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities586
—
22
—
—
4
—
(86)(21)505
(11)448
—
(27)13
—
2
—
(1)—
435
(7)
Total investments$1,737
$—
$68
$97
$(94)$778
$—
$(181)$(21)$2,384
$26
$1,697
$—
$(29)$40
$(180)$67
$—
$(48)$—
$1,547
$17
Loans$277
$—
$45
$125
$(70)$6
$—
$(10)$—
$373
$45
$419
$—
$(5)$20
$(117)$—
$—
$—
$(2)$315
$5
Mortgage servicing rights584
—
(27)—
—
—
12
—
(18)551
(25)508
—
(35)—
—
—
19
—
(20)472
(27)
Other financial assets measured on a recurring basis—
—
16
—
—
—
(2)(4)(10)—
12
—
—
1
6
(6)2
37
(4)(34)2
(7)
Liabilities


   
Interest-bearing deposits$495
$—
$(10)$1
$(4)$—
$674
$—
$(129)$1,047
$(157)$1,182
$—
$(1)$—
$(20)$—
$33
$—
$(54)$1,142
$14
Federal funds purchased and securities loaned and sold under agreements to repurchase983
4
—
(1)4
—
—
1
58
1,041
(2)
Securities loaned and sold under agreements to repurchase1,085
82
—
—
—
—
—
(169)—
834
(8)
Trading account liabilities


   
Securities sold, not yet purchased586
124
—
1
(441)—
—
—
(7)15
13
28
9
—
20
(1)19
—
(12)(3)42
7
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings37
23
—
9
(6)—
153
—
—
170
18
154
4
—
3
(6)—
1
—
(130)18
134
Long-term debt12,570
(407)—
877
(1,601)—
5,950
(3)(4,466)13,734
(1,001)14,938
(320)—
879
(860)3
651
(1)(64)15,866
(507)
Other financial liabilities measured on a recurring basis—
—
—
—
—
—
—
—
—
—
—
1
—
—
—
—
—
2
—
—
3
—

(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 March 31,September 30, 2019.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.





 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2018Dec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2019
Assets 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Federal funds sold and securities borrowed and purchased under agreements to resell$16
$18
$—
$—
$—
$—
$—
$—
$(18)$16
$3
Securities borrowed and purchased under agreements to resell$115
$(4)$—
$5
$(4)$145
$—
$—
$(139)$118
$3
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed163
1
—
86
(49)116
—
(111)—
206
—
156
8
—
54
(27)160
(1)(78)—
272
9
Residential164
22
—
35
(77)46
—
(47)—
143
3
268
19
—
51
(61)195
—
(308)—
164
10
Commercial57
1
—
4
(35)15
—
(7)—
35
3
77
9
—
132
(38)114
—
(82)—
212
(7)
Total trading mortgage-backed securities$384
$24
$—
$125
$(161)$177
$—
$(165)$—
$384
$6
$501
$36
$—
$237
$(126)$469
$(1)$(468)$—
$648
$12
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$1
$(14)$—
$—
$—
$20
$—
$—
$(1)$6
$(2)
State and municipal274
6
—
—
(44)—
—
(25)—
211
(1)200
(1)—
1
(19)2
—
(5)—
178
—
Foreign government16
—
—
2
—
14
—
(11)—
21
—
31
(11)—
9
—
84
—
(29)—
84
1
Corporate275
43
—
49
(72)34
—
(77)—
252
84
360
331
—
173
(48)257
(29)(629)(9)406
(20)
Marketable equity securities120
75
—
1
(15)168
—
(112)—
237
(3)153
(20)—
5
(8)110
—
(129)—
111
(48)
Asset-backed securities1,590
58
—
18
(15)316
—
(370)—
1,597
73
1,484
(102)—
44
(55)654
—
(688)—
1,337
(19)
Other trading assets615
135
—
58
(10)112
—
(194)(5)716
6
818
4
—
24
(281)483
27
(577)(19)479
(4)
Total trading non-derivative assets$3,274
$341
$—
$253
$(317)$821
$—
$(954)$(5)$3,418
$165
$3,548
$223
$—
$493
$(537)$2,079
$(3)$(2,525)$(29)$3,249
$(80)
Trading derivatives, net(4)
      
Interest rate contracts$(422)$381
$—
$5
$37
$7
$—
$(16)$2
$(6)$(94)$(154)$176
$—
$(124)$220
$—
$29
$(1)$(14)$132
$(27)
Foreign exchange contracts130
(62)—
(1)8
1
—
—
12
88
(155)(6)200
—
74
(126)18
—
(42)(67)51
(22)
Equity contracts(2,027)(136)—
(57)472
13
—
(7)1
(1,741)156
(784)(9)—
(224)272
(118)(147)(1)(186)(1,197)(153)
Commodity contracts(1,861)(33)—
(47)8
20
—
—
4
(1,909)(42)(18)8
—
1
(43)203
—
(141)(51)(41)178
Credit derivatives(799)(62)—
1
(2)2
—
1
—
(859)(203)61
(338)—
(127)181
—
—
14
179
(30)(355)
Total trading derivatives, net(4)
$(4,979)$88
$—
$(99)$523
$43
$—
$(22)$19
$(4,427)$(338)$(901)$37
$—
$(400)$504
$103
$(118)$(171)$(139)$(1,085)$(379)
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$24
$—
$(1)$—
$—
$—
$—
$—
$—
$23
$2
$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(3)
Residential—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial3
—
2
—
—
—
—
—
—
5
—
—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$27
$—
$1
$—
$—
$—
$—
$—
$—
$28
$2
$32
$—
$(1)$—
$—
$—
$—
$—
$—
$31
$(3)
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal737
—
(16)—
(9)29
—
(59)—
682
(33)708
—
110
14
(153)430
—
(228)—
881
110
Foreign government92
—
(1)—
(2)57
—
(76)—
70
—
68
—
—
—
—
112
—
(68)—
112
(2)
Corporate71
—
(1)3
—
3
—
—
—
76
—
156
—
(9)—
(94)—
—
(6)—
47
—
Marketable equity securities2
—
—
—
—
—
—
(1)—
1
—
—
—
—
—
—
—
—
—
—
—
—
Asset-backed securities827
—
10
2
(342)—
—
—
—
497
7
187
—
—
122
(612)550
—
(206)—
41
2
Other debt securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities681
—
24
30
—
15
—
—
(16)734
22
586
—
(7)19
—
9
—
(151)(21)435
2
Total investments$2,437
$—
$17
$35
$(353)$104
$—
$(136)$(16)$2,088
$(2)$1,737
$—
$93
$155
$(859)$1,101
$—
$(659)$(21)$1,547
$109


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2018Dec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2019
Loans$550
$—
$19
$—
$(1)$4
$—
$(16)$(2)$554
$26
$277
$—
$103
$148
$(187)$11
$—
$(35)$(2)$315
$191
Mortgage servicing rights558
—
46
—
—
—
17
(17)(17)587
46
584
—
(99)—
—
—
47
—
(60)472
(60)
Other financial assets measured on a recurring basis16
—
8
—
—
4
12
—
(27)13
18
—
—
26
6
(2)2
32
(12)(50)2
(65)
Liabilities      
Interest-bearing deposits$286
$—
$26
$12
$—
$—
$20
$—
$—
$292
$29
$495
$—
$(50)$3
$(42)$—
$836
$—
$(200)$1,142
$(201)
Federal funds purchased and securities loaned and sold under agreements to repurchase726
14
—
—
—
—
147
—
(2)857
14
Securities loaned and sold under agreements to repurchase983
44
—
1
4
—
—
(168)58
834
(35)
Trading account liabilities      
Securities sold, not yet purchased22
(105)—
3
(19)—
—
3
(66)48
(7)586
127
—
36
(448)19
—
(12)(12)42
10
Other trading liabilities5
5
—
—
—
—
—
—
—
—
(5)—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings18
7
—
45
—
—
25
—
—
81
(2)37
29
—
12
(37)—
166
—
(131)18
130
Long-term debt13,082
(236)—
940
(764)36
3
(44)(5)13,484
254
12,570
(1,546)—
2,503
(3,821)23
7,501
(5)(4,451)15,866
(3,337)
Other financial liabilities measured on a recurring basis8
—
—
—
(5)—
2
—
(2)3
(1)—
—
4
5
—
—
2
—
—
3
(9)
(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 December 31,September 30, 2019.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.







































  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsJun. 30, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2018
Assets 
 
 
 
 
 
 
 
 
 
 
Securities borrowed and purchased under agreements to resell$66
$—
$—
$(1)$—
$(61)$—
$—
$(61)$65
$4
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed99
(2)—
3
(7)38
—
(3)—
128
(2)
Residential132
111
—
17
(36)8
—
(17)—
215
(2)
Commercial51
(2)—
4
(8)29
—
(17)—
57
(1)
Total trading mortgage-backed securities$282
$107
$—
$24
$(51)$75
$—
$(37)$—
$400
$(5)
U.S. Treasury and federal agency securities$7
$—
$—
$—
$—
$—
$—
$—
$(1)$6
$—
State and municipal226
6
—
—
(52)22
—
(2)—
200
6
Foreign government36
27
—
—
(8)4
—
(7)—
52
26
Corporate520
(214)—
24
(15)110
—
(172)—
253
7
Marketable equity securities293
(87)—
7
(21)24
—
(46)—
170
(99)
Asset-backed securities1,688
(44)—
20
(39)305
—
(477)—
1,453
(45)
Other trading assets542
78
—
94
(10)185
2
(157)(4)730
53
Total trading non-derivative assets$3,594
$(127)$—
$169
$(196)$725
$2
$(898)$(5)$3,264
$(57)
Trading derivatives, net(4)
           
Interest rate contracts$86
$10
$—
$(11)$(2)$—
$8
$—
$28
$119
$59
Foreign exchange contracts239
(16)—
(15)56
4
—
(66)(13)189
(51)
Equity contracts(1,446)265
—
3
372
3
(15)(3)(93)(914)283
Commodity contracts(1,906)(67)—
44
(16)12
—
(8)136
(1,805)1
Credit derivatives(848)(240)—
(6)7
—
—
—
81
(1,006)(231)
Total trading derivatives, net(4)
$(3,875)$(48)$—
$15
$417
$19
$(7)$(77)$139
$(3,417)$61
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$34
$—
$—
$—
$—
$—
$—
$—
$—
$34
$—
Residential—
—
—
—
—
—
—
—
—
—
—
Commercial6
—
—
—
(1)—
—
—
—
5
—
Total investment mortgage-backed securities$40
$—
$—
$—
$(1)$—
$—
$—
$—
$39
$—
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal762
—
(10)—
—
17
—
(87)—
682
(7)
Foreign government54
—
(3)—
(2)45
—
(13)—
81
(3)
Corporate68
—
—
—
(64)—
—
(4)—
—
—
Marketable equity securities1
—
—
—
—
—
—
—
(1)—
—
Asset-backed securities456
—
(6)—
(177)34
—
(23)—
284
(5)
Other debt securities—
—
—
—
—
—
—
—
—
—
—


  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsJun. 30, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2018
Non-marketable equity securities611
—
(73)163
—
71
—
(40)1
733
(70)
Total investments$1,992
$—
$(92)$163
$(244)$167
$—
$(167)$—
$1,819
$(85)
Loans$381
$—
$(27)$—
$(46)$79
$—
$(3)$(1)$383
$95
Mortgage servicing rights596
—
25
—
—
—
14
—
(17)618
26
Other financial assets measured on a recurring basis—
—
15
—
—
—
—
(4)(11)—
14
Liabilities           
Interest-bearing deposits$320
$—
$14
$—
$—
$—
$—
$—
$(3)$303
$14
Securities loaned and sold under agreements to repurchase966
(31)—
—
—
—
—
—
—
997
24
Trading account liabilities           
Securities sold, not yet purchased189
(137)—
28
(55)14
121
(45)(2)387
(90)
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings90
1
—
—
(18)—
5
—
(37)39
19
Long-term debt13,781
(231)—
445
(646)—
(42)(1)23
13,791
(298)
Other financial liabilities 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 September 30, 2018.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.




























  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2018
Assets 
 
 
 
 
 
 
 
 
 
 
Securities borrowed and purchased under agreements to resell$16
$19
$—
$48
$—
$61
$—
$—
$(79)$65
$10
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed163
—
—
92
(97)191
—
(221)—
128
—
Residential164
116
—
75
(124)99
—
(115)—
215
(1)
Commercial57
(3)—
15
(45)67
—
(34)—
57
2
Total trading mortgage-backed securities$384
$113
$—
$182
$(266)$357
$—
$(370)$—
$400
$1
U.S. Treasury and federal agency securities$—
$—
$—
$6
$—
$1
$—
$—
$(1)$6
$—
State and municipal274
16
—
—
(96)35
—
(29)—
200
8
Foreign government16
26
—
2
(13)50
—
(29)—
52
26
Corporate275
(119)—
85
(106)389
—
(271)—
253
(1)
Marketable equity securities120
(5)—
24
(41)266
—
(194)—
170
(68)
Asset-backed securities1,590
31
—
65
(86)994
—
(1,141)—
1,453
(6)
Other trading assets615
161
—
179
(52)342
7
(509)(13)730
31
Total trading non-derivative assets$3,274
$223
$—
$543
$(660)$2,434
$7
$(2,543)$(14)$3,264
$(9)
Trading derivatives, net(4)
           
Interest rate contracts$(422)$597
$—
$(6)$(74)$8
$8
$(16)$24
$119
$540
Foreign exchange contracts130
89
—
(28)59
11
—
(71)(1)189
52
Equity contracts(2,027)163
—
(70)1,123
20
(15)(14)(94)(914)66
Commodity contracts1,861
(241)—
1
82
39
—
(8)183
(1,805)(70)
Credit derivatives(799)(338)—
(15)19
2
—
1
124
(1,006)(468)
Total trading derivatives, net(4)
$(4,979)$270
$—
$(118)$1,209
$80
$(7)$(108)$236
$(3,417)$120
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$24
$—
$10
$—
$—
$—
$—
$—
$—
$34
$(12)
Residential—
—
—
—
—
—
—
—
—
—
—
Commercial3
—
2
1
(1)—
—
—
—
5
—
Total investment mortgage-backed securities$27
$—
$12
$1
$(1)$—
$—
$—
$—
$39
$(12)
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal737
—
(23)—
(18)157
—
(171)—
682
(32)
Foreign government92
—
(7)1
(4)107
—
(108)—
81
(3)
Corporate71
—
(1)3
(66)3
—
(10)—
—
—
Marketable equity securities2
—
—
—
—
—
—
(1)(1)—
—
Asset-backed securities827
—
(21)3
(521)45
—
(49)—
284
(6)
Other debt securities—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities681
—
(103)193
—
86
—
(73)(51)733
(56)
Total investments$2,437
$—
$(143)$201
$(610)$398
$—
$(412)$(52)$1,819
$(109)


  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsSept. 30, 2018
Loans$550
$—
$(282)$—
$13
$130
$—
$(25)$(3)$383
$286
Mortgage servicing rights558
—
82
—
—
—
46
(18)(50)618
83
Other financial assets measured on a recurring basis16
—
37
—
(11)4
12
(8)(50)—
53
Liabilities           
Interest-bearing deposits$286
$—
$37
$12
$—
$—
$45
$—
$(3)$303
$(104)
Securities loaned and sold under agreements to repurchase726
8
—
—
—
—
243
—
36
997
52
Trading account liabilities           
Securities sold, not yet purchased22
(384)—
35
(86)14
121
(36)(67)387
(128)
Other trading liabilities5
5
—
—
—
—
—
—
—
—
—
Short-term borrowings18
2
—
48
(39)—
54
—
(40)39
22
Long-term debt13,082
(474)—
2,200
(1,950)36
(35)(45)29
13,791
(1,709)
Other financial liabilities measured on a recurring basis8
—
(2)1
(10)—
2
—
(3)—
(9)


(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 September 30, 2018.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

Level 3 Fair Value Rollforward
The following were the significant Level 3 transfers for the period December 31, 2018 to March 31, 2019.September 30, 2019:

•
TransfersDuring the three and nine months ended September 30, 2019, transfers of Long-term debt of $0.9 billion and $2.5 billion from Level 2 to Level 3, and of $1.6$0.9 billion and $3.8 billion from Level 3 to Level 2, mainly related to structured debt, reflectingrespectively, reflect changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.observable, related to structured debt.

The following were the significant Level 3 transfers for the period December 31, 2017 to March 31, 2018.September 30, 2018:

•
TransfersDuring the three and nine months ended September 30, 2018, transfers of Long-term debt of $0.9$0.4 billion and $2.2 billion from Level 2 to Level 3, and of $0.8$0.6 billion and $2.0 billion from Level 3 to Level 2, mainly related to structured debt, reflectingrespectively, reflect changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.observable, related to structured debt.








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 March 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of September 30, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets        
Federal funds sold and securities borrowed and purchased under agreements to resell$66
Model-basedInterest rate2.27 %3.67%3.40%
Securities borrowed and purchased under agreements to resell$118
Model-basedInterest rate1.58 %3.67%2.78%
Mortgage-backed securities$192
Yield analysisYield2.49 %4.63%3.47%$337
Price-basedPrice$0.01
$120.00
$90.77
166
Price-basedPrice$35.00
$320.00
$91.58
323
Yield analysisYield2.20 %7.82%3.16%
State and municipal, foreign government, corporate and other debt securities$1,436
Price-basedPrice$—
$568.28
$78.53
$1,366
Model-basedPrice35 bps
383 bps
202 bps
1,037
Model-basedCredit spread35 bps
375 bps
238 bps
619
Price-basedCredit spread$—
$1,148.80
$79.61
Marketable equity securities(5)
$110
Price-basedPrice$0.01
$28,822.00
$2,698.08
$72
Price-basedPrice$—
$41,713.00
$3,396.75
39
Model-basedWAL0.72 year
0.72 year
0.72 year
16
Model-based 





  
Recovery
(in millions)
$5,450.00
$5,450.00
$5,450.00
Asset-backed securities$2,154
Price-basedPrice$4.20
$101.20
$79.18
$1,337
Price-basedPrice$3.50
$100.13
$64.52
Non-marketable equities$266
Comparables analysisDiscount to price— %10.00%1.11%$248
Comparables analysisEBITDA multiples6.50x
17.00x
10.73x
219
Price basedEBITDA multiples7.75x11.50x8.66x154
Price-basedPrice$—
$1,472.84
$748.70
  Price$13.80
$1,345.00
$711.39
  Appraised value308,065
32,289,321
8,609,001

 Revenue multiple1.50x18.40x7.17x  Discount to price— %10.00%2.52%
Derivatives—gross(6)
      
Interest rate contracts (gross)$3,248
Model-basedInflation volatility0.22 %2.63%0.79%$3,898
Model-basedMean reversion1.00 %20.00%10.50%
  Mean reversion1.00 %20.00%10.50%  Inflation volatility0.22 %2.74%0.80%
  IR normal volatility0.16 %71.90%49.46%  IR normal volatility0.20 %0.87%0.54%
Foreign exchange contracts (gross)$597
Model-basedFX volatility3.15 %18.85%11.34%$2,105
Model-basedFX rate$0.01
$143.81
$53.46

 IR-IR correlation(51.00)%40.00%31.87%
 FX volatility5.82 %12.16%10.60%
  IR-FX correlation40.00 %60.00%50.00%  Interest rate0.04 %159.05%18.73%
  Interest rate5.05 %12.89%9.00%
  Credit spread34 bps
642 bps
403 bps
  IR Normal Volatility0.16 %71.90%50.81%
Equity contracts (gross)$2,026
Model-basedEquity volatility3.00 %82.43%41.37%
Equity contracts (gross)(7)
$1,809
Model-basedEquity volatility3.10 %58.87%29.73%
  Forward price64.31 %132.11%108.84%  Forward price57.68 %100.64%89.68%
Commodity and other contracts (gross)$1,163
Model-basedForward price71.67 %524.74%137.37%$1,649
Model-basedForward price60.29 %689.42%149.58%
  Commodity volatility6.88 %55.75%18.17%  Commodity volatility9.75 %78.50%24.70%
  Commodity correlation(38.66)%89.50%48.87%  Commodity correlation(45.00)%88.13%60.21%
Credit derivatives (gross)$816
Model-basedUpfront points6.17 %99.00%61.76%$840
Model-basedUpfront points5.91 %99.00%56.09%
650
Price-basedCredit spread3 bps
530 bps
86 bps
568
Price-basedCredit spread8 bps
280 bps
70 bps
  Credit correlation25.00 %85.00%43.55%  Credit correlation25.00 %85.00%43.52%
  Recovery rate5.00 %65.00%42.85%  Price$20.04
$100.00
$82.46
  Price$12.00
$98.00
$76.69
  Recovery rate20 %65%46%


As of March 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of September 30, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Loans and leases$353
Model-basedCredit spread115 bps
470 bps
129 bps
$315
Model-basedCredit spread17 bps
94 bps
85 bps


 Equity volatility26.53 %30.83%28.66%

 Equity volatility3.00 %63.00%30.11%
  Yield— %—%—%  Yield— %—%—%
Mortgage servicing rights$467
Cash flowYield4.42 %12.00%7.30%$395
Cash flowYield1.95 %12.00%9.88%
83
Model-basedWAL3.35 years
6.91 years
5.99 years
77
Model-basedWAL3.76 years
7.81 years
6.18 years
Liabilities      
Interest-bearing deposits$1,047
Model-basedMean reversion1.00 %20.00%10.50%$1,142
Model-basedMean reversion1.00 %20.00%10.50%
Federal funds purchased and securities loaned and sold under agreement to repurchase$1,041
Model-basedInterest rate2.27 %2.89%2.52%
Securities loaned and sold under agreement to repurchase$834
Model-basedInterest rate1.58 %2.10%1.70%
Trading account liabilities      
Securities sold, not yet purchased$8
Price-basedPrice$—
$994.85
$89.80
$38
Price-basedPrice$—
$865.86
$104.74
6
Model-based 
4
Model-based 
Short-term borrowings and long-term debt$14,026
Model-basedMean reversion1.00 %20.00%10.50%$15,884
Model-basedMean reversion1.00 %20.00%10.50%
  Forward price64.31 %524.74%109.75%  Forward price57.68 %689.42%96.18%
  IR normal volatility0.16 %71.90%52.74%  IR normal volatility0.20 %0.87%0.48%
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
Assets   
    
 
Federal funds sold and securities borrowed and purchased under agreements to resell$115
Model-basedInterest rate2.52 %7.43%5.08 %
Securities borrowed and purchased under agreements to resell$115
Model-basedInterest rate2.52 %7.43%5.08 %
Mortgage-backed securities$313
Price-basedPrice$11.25
$110.35
$90.07
$313
Price-basedPrice$11.25
$110.35
$90.07
198
Yield analysisYield2.27 %8.70%3.74 %198
Yield analysisYield2.27 %8.70%3.74 %
State and municipal, foreign government, corporate and other debt securities$1,212
Price-basedPrice$—
$103.75
$91.39
$1,212
Price-basedPrice$—
$103.75
$91.39
938
Model-basedCredit spread35 bps
446 bps
238 bps
938
Model-basedCredit spread35 bps
446 bps
238 bps
Marketable equity securities(5)
$108
Price-basedPrice$—
$20,255.00
$1,247.85
$108
Price-basedPrice$—
$20,255.00
$1,247.85
45
Model-basedWAL1.47years
1.47years
1.47years
45
Model-basedWAL1.47 years
1.47 years
1.47 years
Asset-backed securities$1,608
Price-basedPrice$2.75
$101.03
$66.18
$1,608
Price-basedPrice$2.75
$101.03
$66.18
Non-marketable equity$293
Comparables analysisDiscount to price— %100.00%0.66 %$293
Comparables analysisDiscount to price— %100.00%0.66 %
255
Price-basedEBITDA multiples5.00x34.00x9.73x255
Price-basedEBITDA multiples5.00x
34.00x
9.73x


 Net operating income multiple24.70x24.70x24.70x

 Net operating income multiple24.70x
24.70x
24.70x
  Price$2.38
$1,073.80
$420.24
  Price$2.38
$1,073.80
$420.24
  Revenue multiple2.25x16.50x7.06x  Revenue multiple2.25x
16.50x
7.06x
Derivatives—gross(6)

 



 


Interest rate contracts (gross)$3,467
Model-basedMean reversion1.00 %20.00%10.50 %$3,467
Model-basedMean reversion1.00 %20.00%10.50 %
  Inflation volatility0.22 %2.65%0.77 %  Inflation volatility0.22 %2.65%0.77 %
  IR Normal volaitility0.16 %86.31%56.24 %  IR normal volatility0.13 %0.86%0.56 %
Foreign exchange contracts (gross)$626
Model-basedForeign exchange (FX) volatility3.15 %17.35%11.37 %$626
Model-basedForeign exchange (FX) volatility3.15 %17.35%11.37 %
73
Cash flowIR-IR correlation(51.00)%40.00%32.69 %73
Cash flowIR-IR correlation(51.00)%40.00%32.69 %
  IR-FX correlation40.00 %60.00%50.00 %  IR-FX correlation40.00 %60.00%50.00 %


 Credit spread39 bps
676 bps
423 bps


 Credit spread39 bps
676 bps
423 bps
  IR basis(0.65)%0.11%(0.17)%
  Yield6.98 %7.48%7.23 %
Equity contracts (gross)(7)
$1,467
Model-basedEquity volatility3.00 %78.39%37.53 %


As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)

High(2)(3)
Weighted
average(4)
  IR basis(0.65)%0.11%(0.17)%
  Yield6.98 %7.48%7.23 %
Equity contracts (gross)(7)
$1,467
Model-basedEquity volatility3.00 %78.39%37.53 %
  Forward price64.66 %144.45%98.55 %  Forward price64.66 %144.45%98.55 %
  Equity-Equity correlation(81.39)%100.00%35.49 %  Equity-Equity correlation(81.39)%100.00%35.49 %
  Equity-FX correlation(86.27)%70.00%(1.20)%  Equity-FX correlation(86.27)%70.00%(1.20)%


 WAL1.47 years
1.47 years
1.47 years


 WAL1.47 years
1.47 years
1.47 years
Commodity contracts (gross)$1,552
Model-basedForward price15.30 %585.07%145.08 %$1,552
Model-basedForward price15.30 %585.07%145.08 %
  Commodity volatility8.92 %59.86%20.34 %  Commodity volatility8.92 %59.86%20.34 %


 Commodity correlation(51.90)%92.11%40.71 %

 Commodity correlation(51.90)%92.11%40.71 %
Credit derivatives (gross)$1,089
Model-basedCredit correlation5.00 %85.00%41.06 %$1,089
Model-basedCredit correlation5.00 %85.00%41.06 %
701
Price-basedUpfront points7.41 %99.04%58.95 %701
Price-basedUpfront points7.41 %99.04%58.95 %
  Credit spread2 bps
1127 bps
87 bps
  Credit spread2 bps
1,127 bps
87 bps
  Recovery rate5.00 %65.00%46.40 %  Recovery rate5.00 %65.00%46.40 %
  Price$16.59
$98.00
$81.19
  Price$16.59
$98.00
$81.19
Loans and leases$248
Model-basedCredit spread138 bps
255 bps
147 bps
$248
Model-basedCredit spread138 bps
255 bps
147 bps
29
Price-basedYield0.30 %0.47%0.32 %29
Price-basedYield0.30 %0.47%0.32 %
  Price$55.83
$110.00
$92.40
  Price$55.83
$110.00
$92.40
Mortgage servicing rights$500
Cash flowYield4.60 %12.00%7.79 %$500
Cash flowYield4.60 %12.00%7.79 %
84
Model-basedWAL3.55 years
7.45 years
6.39 years
84
Model-basedWAL3.55 years
7.45 years
6.39 years
Liabilities      
Interest-bearing deposits$495
Model-basedMean reversion1.00 %20.00%10.50 %$495
Model-basedMean reversion1.00 %20.00%10.50 %
  Forward price64.66 %144.45%98.55 %  Forward price64.66 %144.45%98.55 %


 Equity volatility3.00 %78.39%43.49 %

 Equity volatility3.00 %78.39%43.49 %
Federal funds purchased and securities loaned and sold under agreements to repurchase$983
Model-basedInterest rate2.52 %3.21%2.87 %
Securities loaned and sold under agreements to repurchase$983
Model-basedInterest rate2.52 %3.21%2.87 %
Trading account liabilities      
Securities sold, not yet purchased$509
Model-basedForward price15.30 %585.07%105.69 %$509
Model-basedForward price15.30 %585.07%105.69 %
77
Price-basedEquity volatility3.00 %78.39%43.49 %77
Price-basedEquity volatility3.00 %78.39%43.49 %
  Equity-Equity correlation(81.39)%100.00%34.04 %  Equity-Equity correlation(81.39)%100.00%34.04 %
  Equity-FX correlation(86.27)%70.00%(1.20)%  Equity-FX correlation(86.27)%70.00%(1.20)%
  Commodity volatility8.92 %59.86%20.34 %  Commodity volatility8.92 %59.86%20.34 %
  Commodity correlation(51.90)%92.11%40.71 %  Commodity correlation(51.90)%92.11%40.71 %
  Equity-IR correlation(40.00)%70.37%30.80 %  Equity-IR correlation(40.00)%70.37%30.80 %
Short-term borrowings and long-term debt$12,289
Model-basedMean reversion1.00 %20.00%10.50 %$12,289
Model-basedMean reversion1.00 %20.00%10.50 %
  IR normal volatility0.16 %86.31%56.61 %  Forward price64.66 %144.45%98.58 %
  Forward price64.66 %144.45%98.58 %  Equity volatility3.00 %78.39%43.24 %
  Equity volatility3.00 %78.39%43.24 %
(1)The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.


(5)For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.




Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market value.
The following tables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
March 31, 2019  
September 30, 2019  
Loans HFS(1)
$3,304
$1,869
$1,435
$4,824
$2,974
$1,850
Other real estate owned67
55
12
23
6
17
Loans(2)
361
128
233
404
94
310
Non-marketable equity securities measured using the measurement alternative268
144
124
152
152
—
Total assets at fair value on a nonrecurring basis$4,000
$2,196
$1,804
$5,403
$3,226
$2,177

In millions of dollarsFair valueLevel 2Level 3
December 31, 2018   
Loans HFS(1)
$5,055
$3,261
$1,794
Other real estate owned78
62
16
Loans(2)
390
139
251
Non-marketable equity securities measured using the measurement alternative261
192
69
Total assets at fair value on a nonrecurring basis$5,784
$3,654
$2,130

(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.




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 March 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
As of September 30, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$1,334
Price-basedPrice$0.77
$100.00
$89.97
$1,854
Price-basedPrice$86.00
$100.00
$98.89
Other real estate owned$9
Price-based
Appraised value(4)
$2,993,681
$8,394,102
$6,974,411
$13
Price-based
Appraised value(4)
$2,196,044
$8,394,102
$5,627,285
$3
Cashflow
Discount to price(5)
13.00%13.00%13.00%3
Recovery analysis  
Loans(6)(5)
$184
Recovery analysisRecovery rate39.27%99.26%78.25%$128
Price-basedPrice$2.40
$57.00
$28.91
$27
Price-basedPrice$2.60
$54.00
$3.40
123
Recovery analysisRecovery Rate0.09%88.60%47.58%
35
Cash flowAppraised value$17,521,218$43,646,426$30,583,822
Non-marketable equity securities measured using the measurement alternative$78
Price-basedPrice$33.65
$2,018.12
$725.12

Price-basedPrice$13.36
$13.36
$13.36
40
Price-basedPrice$2.84
$2.84
$2.84

As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$1,729
Price-basedPrice$0.79
$100.00
$69.52
$1,729
Price-basedPrice$80.90
$100.00
$98.47
Other real estate owned$15
Price-based
Appraised value(4)
$8,394,102
$8,394,102
$8,394,102
$15
Price-based
Appraised value(4)
$8,394,102
$8,394,102
$8,394,102
2
Recovery analysis
Discount to price(5)
13.00%13.00%13.00%2
Recovery analysis
Discount to price(6)
13.00%13.00%13.00%


 Price$56.30
$83.08
$58.27


 Price$56.30
$83.08
$58.27
Loans(6)
$251
Recovery analysisRecovery rate30.60%100.00%50.51%$251
Recovery analysisRecovery rate30.60%100.00%50.51%


 Price$2.60
$85.04
$28.21


 Price$2.60
$85.04
$28.21
Non-marketable equity securities measured using the measurement alternative66
Price-basedPrice$45.80
$1,514.00
$570.26
$66
Price-basedPrice$45.80
$1,514.00
$570.26

(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)Appraised values are disclosed in whole dollars.
(5)Includes estimated costs to sell.
(6)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 tables 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 March 31,Three Months Ended September 30,
In millions of dollars201920192018
Loans HFS$(2)$(12)$(1)
Other real estate owned1
(1)(1)
Loans(1)
(27)(41)(22)
Non-marketable equity securities measured using the measurement alternative

61
18
7
Total nonrecurring fair value
gains (losses)
$33
$(36)$(17)
(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 March 31,Nine Months Ended September 30,
In millions of dollars201820192018
Loans HFS$(35)$—
$8
Other real estate owned(3)(2)(2)
Loans(1)
(32)(50)(51)
Non-marketable equity securities measured using the measurement alternative120
83
111
Total nonrecurring fair value gains
(losses)
$50
$31
$66
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.


Estimated Fair Value of Financial Instruments Not Carried at Fair Value
The following table presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes items measured at fair value on a recurring basis presented in the tables above.

March 31, 2019Estimated fair valueSeptember 30, 2019Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$72.5
$72.7
$1.0
$69.6
$2.1
$81.1
$82.6
$1.9
$78.7
$2.0
Federal funds sold and securities borrowed and purchased under agreements to resell102.4
102.4
—
102.2
0.2
Securities borrowed and purchased under agreements to resell112.8
115.7
—
115.6
0.1
Loans(1)(2)
664.6
669.3
—
11.0
658.3
673.9
680.4
—
—
680.4
Other financial assets(2)(3)
276.5
277.0
189.4
16.5
71.1
301.3
301.5
204.0
16.4
81.1
Liabilities  
Deposits$1,028.0
$1,026.2
$—
$824.0
$202.2
$1,085.1
$1,077.9
$—
$874.3
$203.6
Federal funds purchased and securities loaned and sold under agreements to repurchase144.1
144.1
—
144.1
—
Securities loaned and sold under agreements to repurchase142.8
142.8
—
142.8
—
Long-term debt(4)
199.4
204.0
—
188.0
16.0
190.7
200.9
—
185.8
15.1
Other financial liabilities(5)
111.2
111.2
—
18.9
92.3
113.2
113.2
—
18.2
95.0

December 31, 2018Estimated fair valueDecember 31, 2018Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$68.9
$68.5
$1.0
$65.4
$2.1
$68.9
$68.5
$1.0
$65.4
$2.1
Federal funds sold and securities borrowed and purchased under agreements to resell123.0
123.0
—
121.6
1.4
Securities borrowed and purchased under agreements to resell123.0
123.0
—
121.6
1.4
Loans(1)(2)
667.1
666.9
—
5.6
661.3
667.1
666.9
—
5.6
661.3
Other financial assets(2)(3)
249.7
250.1
172.3
15.8
62.0
249.7
250.1
172.3
15.8
62.0
Liabilities  
Deposits$1,011.7
$1,009.5
$—
$847.1
$162.4
$1,011.7
$1,009.5
$—
$847.1
$162.4
Federal funds purchased and securities loaned and sold under agreements to repurchase133.3
133.3
—
133.3
—
Securities loaned and sold under agreements to repurchase133.3
133.3
—
133.3
—
Long-term debt(4)
193.8
193.7
—
178.4
15.3
193.8
193.7
—
178.4
15.3
Other financial liabilities(5)
103.8
103.8
—
17.2
86.6
103.8
103.8
—
17.2
86.6
(1)
The carrying value of loans is net of the Allowance for loan losses of $12.3$12.5 billion for March 31,September 30, 2019 and $12.3 billion for December 31, 2018. In addition, the carrying values exclude $1.5$1.4 billion and $1.6 billion of lease finance receivables at March 31,September 30, 2019 and December 31, 2018, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.
(3)
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)
Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

The estimated fair values of the Company’s corporate unfunded lending commitments at March 31,September 30, 2019 and December 31, 2018 were liabilities of $7.4$7.1 billion and $7.8 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of
consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.



21.   FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not otherwise be revoked once an election is made. The changes in
 
changes in fair value are recorded in current earnings, other than DVA, which from January 1, 2016 areis reported in AOCI. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 20 to the Consolidated Financial Statements.
The Company has elected fair value accounting for its mortgage servicing rights. See Note 18 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.

The following table presents the changes in fair value of those items for which the fair value option has been elected:
Changes in fair value—gains (losses)Changes in fair value—gains (losses)
Three Months Ended March 31,Three Months Ended September 30,Nine Months Ended September 30,
In millions of dollars201920182019201820192018
Assets    
Federal funds sold and securities borrowed and purchased under agreements to resell$29
$(16)
Securities borrowed and purchased under agreements to resell$(14)$(17)$21
$(14)
Trading account assets167
(16)2
3
214
(98)
Investments—
—
—
—
—
—
Loans      
Certain corporate loans(133)(123)(320)11
(533)(115)
Certain consumer loans—
—
—
—
—
—
Total loans$(133)$(123)$(320)$11
$(533)$(115)
Other assets      
MSRs$(27)$46
$(35)$25
$(99)$82
Certain mortgage loans HFS(1)
16
2
30
9
67
21
Total other assets$(11)$48
$(5)$34
$(32)$103
Total assets$52
$(107)$(337)$31
$(330)$(124)
Liabilities      
Interest-bearing deposits$(91)$28
$(24)$(20)$(158)$18
Federal funds purchased and securities loaned and sold under agreements to repurchase35
(111)
Securities loaned and sold under agreements to repurchase172
230
258
104
Trading account liabilities11
(6)8
25
21
4
Short-term borrowings(2)(175)177
102
20
21
138
Long-term debt(2)
(2,681)618
(225)(270)(4,019)1,269
Total liabilities$(2,901)$706
$33
$(15)$(3,877)$1,533

(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 a loss of ($0.7) billion and a gain of $0.2 billion of DVA whichthat is included in AOCI forAOCI. See Notes 17 and 20 to the three months ended March 31, 2019 and 2018, respectively.Consolidated Financial Statements.


Own Debt Valuation Adjustments (DVA)
Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. Effective January 1, 2016, changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI. See Note 1 to the Consolidated Financial Statements for additional information.
Among other variables, the fair value of liabilities for which the fair value option has been elected (other than non-recourse debt and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated changes 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 gain of $273 million and a loss of $725 million and a gain of $167$377 million for the three months ended March 31,September 30, 2019 and 2018, respectively, and a loss of $449 million and a gain of $208 million for the nine months ended September 30, 2019 and 2018, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.

The Fair Value Option for Financial Assets and Financial Liabilities

Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Non-CollateralizedUncollateralized Short-Term Borrowings
The Company elected the fair value option for certain portfolios of fixed income securities purchased under agreements to resell and fixed income securities sold under agreements to repurchase, securities borrowed, securities loaned and certain non-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 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:
March 31, 2019December 31, 2018September 30, 2019December 31, 2018
In millions of dollarsTrading assetsLoansTrading assetsLoansTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$9,287
$3,874
$10,108
$3,224
$8,752
$3,856
$10,108
$3,224
Aggregate unpaid principal balance in excess of (less than) fair value870
750
435
741
463
565
435
741
Balance of non-accrual loans or loans more than 90 days past due—
1
—
1
—
1
—
1
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
—
—
Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due—
1
—
—



In addition to the amounts reported above, $1,142$1,062 million and $1,137 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of March 31,September 30, 2019 and December 31, 2018, respectively.
Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in Citi’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 threenine months ended March 31,September 30, 2019 and 2018 due to instrument-specific credit risk totaled to gainsa gain of $18$95 million and a loss of $19$13 million, respectively.

Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.5$0.9 billion and $0.4 billion at March 31,September 30, 2019 and December 31, 2018, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of March 31,September 30, 2019, there were approximately $9.6$15.2 billion and $6.9$10.6 billion of notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.

 
Certain Investments in Private Equity and
Real Estate Ventures
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.

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 dollarsMarch 31,
2019		December 31, 2018September 30,
2019		December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$459
$556
$730
$556
Aggregate fair value in excess of (less than) unpaid principal balance18
21
19
21
Balance of non-accrual loans or loans more than 90 days past due—
—
—
—
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
—
—



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 threenine months ended March 31,September 30, 2019 and 2018 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 dollarsMarch 31, 2019December 31, 2018September 30, 2019December 31, 2018
Interest rate linked$18.7
$17.3
$22.4
$17.3
Foreign exchange linked1.0
0.5
0.9
0.5
Equity linked17.9
14.8
20.1
14.8
Commodity linked1.2
1.2
1.5
1.2
Credit linked2.0
1.9
1.9
1.9
Total$40.8
$35.7
$46.8
$35.7

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, the portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions. Changes in the fair value of these structured liabilities include accrued interest, which is also included in the change in fair value reported in Principal transactions.

 
Certain Non-Structured Liabilities
The Company has elected the fair value option for certain non-structured liabilities with fixed and floating interest rates. The Company has elected the fair value option where the interest rate risk of such liabilities may be economically hedged with derivative contracts or the proceeds are used to purchase financial assets that will also be accounted for at fair value through earnings. The elections have been made to mitigate accounting mismatches and to achieve operational simplifications. These positions are reported in Short-term borrowings and Long-term debt on the Company’s Consolidated Balance Sheet. The portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions.
Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.

The following table provides information about long-term debt carried at fair value:
In millions of dollarsMarch 31, 2019December 31, 2018September 30, 2019December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$44,088
$38,229
$51,491
$38,229
Aggregate unpaid principal balance in excess of (less than) fair value2,610
3,814
1,073
3,814

The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsMarch 31, 2019December 31, 2018September 30, 2019December 31, 2018
Carrying amount reported on the Consolidated Balance Sheet$5,172
$4,483
$4,823
$4,483
Aggregate unpaid principal balance in excess of fair value631
861
Aggregate unpaid principal balance in excess of (less than) fair value742
861



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 2018 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at March 31,September 30, 2019 and December 31, 2018:

Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at March 31, 2019
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
In billions of dollars at September 30, 2019
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$33.5
$63.6
$97.1
$163
$32.6
$62.6
$95.2
$131
Performance guarantees8.2
3.9
12.1
28
7.6
4.4
12.0
23
Derivative instruments considered to be guarantees46.4
73.4
119.8
326
40.2
63.8
104.0
358
Loans sold with recourse—
1.3
1.3
8
—
1.3
1.3
8
Securities lending indemnifications(1)
105.1
—
105.1
—
101.5
—
101.5
—
Credit card merchant processing(1)(2)
85.6
—
85.6
—
91.1
—
91.1
—
Credit card arrangements with partners0.2
0.8
1.0
136
0.1
0.6
0.7
23
Custody indemnifications and other—
32.9
32.9
41
—
31.5
31.5
41
Total$279.0
$175.9
$454.9
$702
$273.1
$164.2
$437.3
$584
Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at December 31, 2018
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$31.8
$65.3
$97.1
$131
$32.1
$67.5
$99.6
$131
Performance guarantees7.7
4.2
11.9
29
7.7
4.2
11.9
29
Derivative instruments considered to be guarantees23.5
87.4
110.9
567
23.5
87.4
110.9
567
Loans sold with recourse—
1.2
1.2
9
—
1.2
1.2
9
Securities lending indemnifications(1)
98.3
—
98.3
—
98.3
—
98.3
—
Credit card merchant processing(1)(2)
95.0
—
95.0
—
94.7
—
94.7
—
Credit card arrangements with partners0.3
0.8
1.1
162
0.3
0.8
1.1
162
Custody indemnifications and other—
35.4
35.4
41
—
35.4
35.4
41
Total$256.6
$194.3
$450.9
$939
$256.6
$196.5
$453.1
$939
(1)The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At March 31,September 30, 2019 and December 31, 2018, this maximum potential exposure was estimated to be $86$91 billion and $95 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.










 












Loans Sold with Recourse
Loans sold with recourse represent Citi’s obligations to
reimburse the buyers for loan losses under certain
circumstances. Recourse refers to the clause in a sales
agreement under which a seller/lender will fully reimburse
the buyer/investor for any losses resulting from the
purchased loans. This may be accomplished by the seller
taking back any loans that become delinquent.
In addition to the amounts shown in the tables above,
Citi has recorded a repurchase reserve for its potential
repurchases or make-whole liability regarding residential
mortgage representation and warranty claims related to its
whole loan sales to U.S. government-sponsored
enterprises (GSEs) and, to a lesser extent, private investors.
The repurchase reserve was approximately $47$41 million and $49 million at March 31,September 30, 2019 and December 31, 2018, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.

Credit Card Arrangements with Partners
Citi, in certain of its credit card partner arrangements,
provides guarantees to the partner regarding the volume of
certain customer originations during the term of the
agreement. To the extent 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 Guarantees and Indemnifications

Credit Card Protection Programs
Citi, through its credit card businesses, provides various
cardholder protection programs on several of its card
products, including programs that provide insurance
coverage for rental cars, coverage for certain losses
associated with purchased products, price protection for
certain purchases and protection for lost luggage. These
guarantees are not included in the table, since the total
outstanding amount of the guarantees and Citi’s maximum
exposure to loss cannot be quantified. The protection is
limited to certain types of purchases and losses, and it is not
possible to quantify the purchases that would qualify for
these benefits at any given time. Citi assesses the probability
and amount of its potential liability related to these programs
based on the extent and nature of its historical loss
experience. At March 31,September 30, 2019 and December 31, 2018, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were
immaterial.

Value-Transfer Networks
Citi is a member of, or shareholder in, hundreds of value-transfer networks (VTNs) (payment, clearing and settlement
systems as well as exchanges) around the world. As a
condition of membership, many of these VTNs require that
members stand ready to pay a pro rata share of the losses
incurred by the organization due to another member’s default
on its obligations. Citi’s potential obligations may be limited
to its membership interests in the VTNs, contributions to the
 
VTN’s funds, or, in limited cases, the obligation may be unlimited. The maximum exposure cannot be estimated as
this would require an assessment of claims that have
not yet occurred. Citi believes the risk of loss is remote
given historical experience with the VTNs. Accordingly,
Citi’s participation in VTNs is not reported in the guarantees
tables above, and there are no amounts reflected on the
Consolidated Balance Sheet as of March 31,September 30, 2019 or
December 31, 2018 for potential obligations that could arise
from Citi’s involvement with VTN associations.

Long-Term Care Insurance Indemnification
In 2000, Travelers Life & Annuity (Travelers), then a subsidiary of Citi, entered into a reinsurance agreement to transfer the risks and rewards of its long-term care (LTC) business to GE Life (now Genworth Financial Inc., or Genworth), then a subsidiary of the General Electric Company (GE). As part of this transaction, the reinsurance obligations were provided by two regulated insurance subsidiaries of GE Life, which funded two2 collateral trusts with securities. Presently, as discussed below, the trusts are referred to as the Genworth Trusts.
As part of GE’s spin-off of Genworth in 2004, GE retained the risks and rewards associated with the 2000 Travelers reinsurance agreement by providing a reinsurance contract to Genworth through itsGE’s Union Fidelity Life Insurance Company (UFLIC) subsidiary that covers the Travelers LTC policies. In addition, GE provided a capital maintenance agreement in favor of UFLIC that is designed to assure 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 entire term of the Travelers 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 Genworth remains in place and Brighthouse is the sole beneficiary of the Genworth Trusts. The fair value of the Genworth Trusts is approximately $7.9$8.6 billion as of March 31,September 30, 2019, compared to approximately $7.5 billion at December 31, 2018. The Genworth Trusts are designed to provide collateral to Brighthouse in an amount equal to the statutory liabilities of Brighthouse in respect of the Travelers LTC policies. The assets in the Genworth Trusts are


evaluated and adjusted periodically to ensure that the fair value of the assets continues to provide collateral in an amount equal to these estimated statutory liabilities, as the 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 in a timely manner,or GE to perform under the capital maintenance agreement, and (ii) the assets of the two2 Genworth Trusts
are insufficient or unavailable, then Citi, through its LTC
reinsurance indemnification, must reimburse Brighthouse for
any losses incurred in connection with the LTC policies. Since both events would have to occur before Citi would become responsible for any payment to Brighthouse pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no0 liability reflected on the Consolidated Balance Sheet as of March 31,September 30, 2019 and December 31, 2018 related to this indemnification. 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.
Separately, Genworth announced that it had agreed to
be purchased by China Oceanwide Holdings Co., Ltd, subject to a series of conditions and regulatory approvals. Citi is monitoring these developments.

Futures and Over-the-Counter Derivatives Clearing
Citi provides clearing services on central clearing parties (CCP) for clients that need to clear exchange-traded and over-the-counter (OTC) derivative 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 and 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 derivative contracts where Citi does not obtain benefits from or control the client cash balances, the client cash initial margin collected from clients and remitted to the CCP or depository institutions is not reflected on Citi’s Consolidated
Balance Sheet. These conditions are met when Citi has contractually agreed with the client that (i) Citi will pass through to the client all interest paid by the CCP or depository institutions on the cash initial margin, (ii) Citi
will not utilize its right as a clearing member to transform cash margin into other assets, (iii) Citi does not guarantee and is not liable to the client for the performance of the CCP or the depository 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 $13.1$15.1 billion and $13.8 billion as of March 31,September 30, 2019 and December 31, 2018, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-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 March 31,September 30, 2019 and December 31, 2018, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $0.7$0.6 billion and $0.9 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.

Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $67$65 billion and $55 billion at March 31,September 30, 2019 and December 31, 2018, respectively. Securities and other marketable assets held as collateral amounted to approximately $57$56 billion and $55 billion at March 31,September 30, 2019 and December 31, 2018, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally, letters of credit in favor of Citi held as collateral amounted to $3.8$4.3 billion and $4.1 billion at March 31,September 30, 2019 and December 31, 2018.2018, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.



Performance Risk
Presented in the tables below are the maximum potential amounts of future payments that are classified based upon internal and external credit ratings. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
 



Maximum potential amount of future paymentsMaximum potential amount of future payments
In billions of dollars at March 31, 2019
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at September 30, 2019
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$69.4
$11.5
$16.2
$97.1
$67.4
$11.8
$16.0
$95.2
Performance guarantees9.8
1.9
0.4
12.1
9.5
2.1
0.4
12.0
Derivative instruments deemed to be guarantees—
—
119.8
119.8
—
—
104.0
104.0
Loans sold with recourse—
—
1.3
1.3
—
—
1.3
1.3
Securities lending indemnifications—
—
105.1
105.1
—
—
101.5
101.5
Credit card merchant processing—
—
85.6
85.6
—
—
91.1
91.1
Credit card arrangements with partners—
—
1.0
1.0
—
—
0.7
0.7
Custody indemnifications and other19.8
13.1
—
32.9
19.1
12.4
—
31.5
Total$99.0
$26.5
$329.4
$454.9
$96.0
$26.3
$315.0
$437.3

Maximum potential amount of future paymentsMaximum potential amount of future payments
In billions of dollars at December 31, 2018
Investment
grade
Non-investment
grade
Not
rated
Total
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$68.3
$11.8
$17.0
$97.1
$71.3
$11.9
$16.4
$99.6
Performance guarantees9.2
2.1
0.6
11.9
9.2
2.1
0.6
11.9
Derivative instruments deemed to be guarantees—
—
110.9
110.9
—
—
110.9
110.9
Loans sold with recourse—
—
1.2
1.2
—
—
1.2
1.2
Securities lending indemnifications—
—
98.3
98.3
—
—
98.3
98.3
Credit card merchant processing—
—
95.0
95.0
—
—
94.7
94.7
Credit card arrangements with partners—
—
1.1
1.1
—
—
1.1
1.1
Custody indemnifications and other22.2
13.2
—
35.4
22.2
13.2
—
35.4
Total$99.7
$27.1
$324.1
$450.9
$102.7
$27.2
$323.2
$453.1





Leases
The Company’s operating leases, where Citi is a lessee, include real estate, such as office space and branches, and various types of equipment. These leases have a weighted-average remaining lease term of approximately ninesix years as of March 31,September 30, 2019. The operating lease ROU asset and lease liability were both approximately $4.1$3.0 billion and $3.3 billion, respectively, as of March 31,September 30, 2019. The Company recognizes fixed lease costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. Additionally, variable lease costs are recognized in the period in which the obligation for those payments is incurred. The total operating lease expense (principally for offices, branches and equipment), net of approximately $19$10 million and $45 million of sublease income, was approximately $270$275 million and $812 million for the three and nine months ended March 31,September 30, 2019, respectively. The decrease in the lease liability and related financial information for operating leases from January 1, 2019 reflects the impact of the purchase of a previously leased property in London during the second quarter of 2019. See Note 1 for additional details and balances at January 1, 2019. The purchased property is included in Other assets on the Consolidated Balance Sheet at September 30, 2019.
While Citi has, as a lessee, certain equipment finance leases, such leases are not material to the Company's Consolidated Financial Statements.
Citi’s lease arrangements that have not yet commenced as of March 31,September 30, 2019 and the Company’s short-term lease, costs, variable lease costs and finance lease costs, for the three and nine months ended March 31,September 30, 2019, are not material to the Consolidated Financial Statements. Citi’s operating cash outflows related to operating leases were approximately $234$215 million and $701 million for the three and nine months ended March 31,September 30, 2019, respectively, while the future lease payments are as follows:
In millions of dollarsOperating leasesOperating leases
As of March 31, 2019 
2019 (excluding the three months ended
March 31, 2019)
$704
As of September 30, 2019 
Remaining 2019$241
2020755
779
2021638
665
2022514
528
2023405
400
Thereafter1,794
1,059
Total future lease payments$4,810
$3,672
Less imputed interest (based on weighted-average discount rate of 3.5%)(698)
Less imputed interest (based on weighted-average discount rate of 3.6%)(397)
Lease liability$4,112
$3,275











 










 


Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
In millions of dollarsU.S.
Outside of 
U.S.
March 31,
2019
December 31,
2018
U.S.
Outside of 
U.S.
September 30,
2019
December 31,
2018
Commercial and similar letters of credit$834
$5,061
$5,895
$5,461
$827
$4,631
$5,458
$5,461
One- to four-family residential mortgages1,750
1,669
3,419
2,671
2,605
1,579
4,184
2,671
Revolving open-end loans secured by one- to four-family residential properties9,977
1,335
11,312
11,374
9,596
1,256
10,852
11,374
Commercial real estate, construction and land development9,798
1,638
11,436
11,293
10,618
1,590
12,208
11,293
Credit card lines615,230
92,865
708,095
696,007
612,477
94,305
706,782
696,007
Commercial and other consumer loan commitments194,289
112,053
306,342
300,115
206,478
103,510
309,988
300,115
Other commitments and contingencies2,384
563
2,947
3,321
1,754
303
2,057
3,321
Total$834,262
$215,184
$1,049,446
$1,030,242
$844,355
$207,174
$1,051,529
$1,030,242


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 borrowing agreementsSecurities Borrowing Agreements and unsettled repurchaseUnsettled Repurchase and securities lending 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 March 31,September 30, 2019 and December 31, 2018, Citigroup had approximately $64.9$45.6 billion and $36.1 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $55.3$42.0 billion and $30.7 billion of unsettled repurchase and securities lending agreements, respectively. For a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements, see Note 10 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 dollarsMarch 31,
2019
December 31,
2018
September 30,
2019
December 31,
2018
Cash and due from banks$3,601
$4,000
$3,377
$4,000
Deposits with banks23,832
27,208
24,474
27,208
Total$27,433
$31,208
$27,851
$31,208









23.   CONTINGENCIES

The following information supplements and amends, as applicable, the disclosure in Note 2723 to the Consolidated Financial Statements of Citigroup’s Second Quarter of 2019 Form 10-Q and First Quarter of 2019 Form 10-Q and Note 27 to the Consolidated Financial Statements in Citi’s 2018 Annual Report on Form 10-K. For purposes of this Note, Citigroup, its affiliates and subsidiaries and current and former officers, directors, and employees, are sometimes collectively referred to as Citigroup and Related Parties.
In accordance with ASC 450, Citigroup establishes accruals for contingencies, including the litigation, regulatory, and regulatorytax matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.
If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible, Citigroup discloses the matter. In addition, for such matters, Citigroup discloses an estimate of the aggregate reasonably possible loss or range of loss in excess of the amounts accrued for those matters as to which an estimate can be made. At March 31,September 30, 2019, Citigroup’s estimate of the reasonably possible unaccrued loss for these matters was materially unchanged from the estimate of approximately $1.0$1.2 billion in the aggregate as of December 31, 2018.June 30, 2019.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation, and regulatory, proceedingstax, or other matters are subject to particular uncertainties. For example, at the time of making an estimate, Citigroup may have only preliminary, incomplete, or inaccurate information about the facts underlying the claim; its assumptions about the future rulings of the court or other tribunal on significant issues, or the behavior and incentives of adverse parties, regulators, or regulators,tax authorities may prove to be wrong; and the outcomes it is attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimates because it had deemed such an outcome to be remote. For all these reasons, the amount of loss in excess of accruals ultimately incurred for the matters as to which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.
Subject to the foregoing, it is the opinion of Citigroup's management, based on current knowledge and after taking into account its current legal accruals, that the eventual outcome of all matters described in this Note would not be likely to have a
material adverse effect on the consolidated financial condition of Citigroup. Nonetheless, given the substantial or
indeterminate amounts sought in certain of these matters and the inherent unpredictability of such matters, an adverse outcome in certain of these matters could, from time to time, have a material adverse effect on Citigroup’s consolidated results of operations or cash flows in particular quarterly or annual periods.
For further information on ASC 450 and Citigroup's accounting and disclosure framework for contingencies, including for the litigation, regulatory, and regulatorytax matters disclosed herein, see Note 27 to the Consolidated Financial Statements of Citigroup’sin Citi’s 2018 Annual Report on Form 10-K.

Credit Crisis-Related Litigation and Other Matters

Mortgage-Related Litigation and Other Matters
Mortgage-Backed Securities Trustee Actions: On March 20,September 24, 2019, the parties filed a stipulation discontinuing the state court granted Citibank’s motion to dismisslitigation captioned FIXED INCOME SHARES: SERIES M, ET AL. v. CITIBANK N.A., and the Federal Deposit Insurance Corporation’s amended complaint.case was dismissed. Additional information concerning this action is publicly available in court filings under the docket number 15-cv-6574 (S.D.N.Y.653891/2015 (N.Y. Sup. Ct.) (Carter,(Borrok, J.).

Tribune Company Bankruptcy
On April 4, 2019, the litigation trustee in KIRSCHNER v. FITZSIMONS, ET AL. filed a motion for leave to amend the complaint to avoid and recover as constructive fraudulent transfers the transfers of Tribune stock that occurred as a part of the leveraged buyout. The motion was denied on April 23, 2019.
On February 21, 2019, the litigation trustee appealed to the United States Court of Appeals for the Second Circuit from the January 23, 2019 dismissal of a separate action related to Citigroup Global Markets Inc.’s (CGMI) role as advisor to Tribune. Additional information concerning these actions is publicly available in court filings under the docket numbers 08-13141 (Bankr. D. Del.) (Carey, J.), 11 MD 02296 (S.D.N.Y.) (Cote, J.), 12 MC 2296 (S.D.N.Y.) (Cote, J.), 13-3992, 13-3875, 13-4196, 19-449 (2d Cir.) and 16-317 (U.S.).

Foreign Exchange Matters
Antitrust and Other Litigation: On March 1,July 9, 2019, in NYPL, ET AL. v. JPMORGAN CHASE & CO., ET AL., the court denied plaintiffs’ motion to reconsider the court’s earlier denial of plaintiffs’ motion for leave to amend their complaint to add new allegations concerning credit card, ATM, debit card, and wire transactions. 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 July 25, 2019, in ALLIANZ GLOBAL INVESTORS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., plaintiffs filed an amended complaint. On April 1, 2019, Citigroup, Citibank, CGMI, and other defendants filed a motionmoved to dismiss theplaintiffs’ 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 25,July 29, 2019, in CONTANT, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., the court granted preliminary approval to the settlement between plaintiffs and Citigroup, Citibank, Citicorp, and Citigroup Global Markets Inc. (CGMI). Additional information concerning this action is publicly available in court filings under the docket number 17 Civ. 3139 (S.D.N.Y.) (Schofield, J.).
On July 31, 2019, in ALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v. BARCLAYS BANK PLC AND OTHERS, defendants responded to plaintiffs’ claims. On September 23, 2019, plaintiffs served their claim on Citigroup and Citibank.reply. Additional information concerning this action is publicly available in court filings under the docket number CL-2018-000840.
In JanuaryOn September 12, 2019, motions for certification of class actions alleging manipulation of foreign exchange markets were consolidated into a single proceeding in NYPL v. JPMORGAN CHASE & CO., ET AL., plaintiffs renewed their previousthe Tel Aviv Central District Court in Israel. Subsequently, an amended motion for leave to amend their complaint, which defendants have opposed. Additional information concerning thiscertification of a class action was filed and served on Citibank. The consolidated case is captioned GERTLER, ET AL. v. DEUTSCHE BANK AG, and additional


information concerning this action is publicly available in court filings under the docket number 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).CA 29013-09-18.

Interbank Offered Rates-Related Litigation and Other
Matters
Antitrust and Other Litigation:On March 25,July 26, 2019, in FUND LIQUIDATION HOLDINGS LLC AS ASSIGNOR AND SUCCESSOR-IN-INTEREST TO FRONTPOINT ASIAN EVENT DRIVEN FUND L.P., ET AL. v. CITIBANK, N.A., ET AL., the court dismissed all claims against the non-settling defendants based on lack of subject-matter jurisdiction. The court also found that the lack of jurisdiction deprived the court of the power to approve settlements, and thus denied plaintiffs’ motion for preliminary approval of their settlement with Citibank. Plaintiffs filed an appeal of the court’s decision on August 26, 2019. Additional information concerning this action is publicly available in court filings under the docket numbers 16 Civ. 5263 (S.D.N.Y.) (Hellerstein, J.) and 19-2719 (2d Cir.).
On September 5, 2019, in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST
LITIGATION, the court issued an opinion grantinggranted preliminary approval to the revised plan of distribution submitted by exchange-based plaintiffs in part motionsconnection with their settlement with Citigroup, Citibank, and CGMI. The exchange-based plaintiffs’ motion for leave to further amend complaints filed by certain plaintiffs asserting individual claims.preliminary approval of the settlement is pending. On August 7, 2019, the court ordered a stipulation of dismissal of all of Federal National Mortgage Association’s claims against Citigroup and Citibank. Additional information concerning these actions 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 March 28,August 30, 2019, in SCS BANQUE DELUBAC & CIE v. CITIGROUP INC. ET AL., the Court of Appeal of Nîmes held that neither the Commercial Court of Aubenas nor the Commercial Court of Marseille has territorial jurisdiction over Banque Delubac’s claims. This case is in the Commercial Court of Marseille, RG no. 2018F02750, and was in the Court of Appeal of Nîmes, no. 18/04390.
On January 31 and on March 4, 2019, two additional putative class actions, which have been consolidated with PUTNAM BANK v. INTERCONTINENTAL EXCHANGE, INC., ET AL., were filed in the United States District Court for the Southern District of New York against ICE, Citigroup, Citibank, CGMI, and various other banks. Each of these complaints asserts claims under the Sherman Act and for unjust enrichment based on alleged suppression of the ICE LIBOR and seeks disgorgement and treble damages where authorized by statute.defendants moved to dismiss plaintiffs’ consolidated amended complaint. Additional information relating to this action is publicly available in court filings under the docket number 19 Civ. 00439439 (S.D.N.Y.) (Daniels, J.).

Interest Rate Swaps Matters
Antitrust and Other Litigation: On February 20,July 30, 2019, the putative class plaintiffs in TERA GROUP, INC., ET AL. v. CITIGROUP, INC., ET AL., the action captioned IN RE: INTEREST RATE SWAPS ANTITRUST LITIGATION moved for class certification and appointment of class counsel. On March 13, 2019, the district court granted in part and denied in part defendants’ motion to dismiss. Additional information concerning this action is publicly available in court filings under the putative classdocket number 17 Civ. 4302 (S.D.N.Y.) (Sullivan, J.).

Oceanografía Fraud and Related Matters
Other Litigation: On August 10, 2019, in the action commenced against Citigroup by Oceanografía and its controlling shareholder, the court denied both plaintiffs’ motion for reconsideration of the court’s prior decision granting defendants’ motion to dismiss and plaintiffs’ motion for leave to file a fourthamend the complaint. On September 6, 2019, judgment was entered for defendants, which plaintiffs have appealed. Additional information concerning this action is publicly available in court filings under docket numbers 1:17 Civ. 01434 (S.D.N.Y.) (Sullivan, J.) and 19-3110 (2d Cir.).

Sovereign Securities Matters
Antitrust and Other Litigation: On September 30, 2019, in the consolidated class action captioned IN RE MEXICAN GOVERNMENT BONDS ANTITRUST LITIGATION, the court granted defendants’ motion to dismiss the consolidated amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 16-MD-270418 Civ. 2830 (S.D.N.Y.) (Engelmayer,(Oetken, J.).
Parmalat Litigation
On April 15,September 3, 2019, in IN RE GSE BONDS ANTITRUST LITIGATION, the Italian Supreme Court upheldcourt issued an order granting without prejudice CGMI’s and other defendants’ motion to dismiss the 2014 decision of an Italiansecond consolidated amended class action complaint. On September 10, 2019, plaintiffs filed a third consolidated amended class action complaint. On September 17, 2019, CGMI and the other previously dismissed defendants moved to dismiss the complaint, which the court of appeal in Citigroup’s favor.denied. Additional information concerningrelating to this action is publicly available in court filings under the docket number 27618/2014 or decision number 10540/2019.19 Civ. 1704 (S.D.N.Y.) (Rakoff, J.).

Sovereign Securities Matters
Antitrust and Other Litigation: On February 7,September 23, 2019, a putative class action captioned STACHONin STATE OF LOUISIANA v. BANK OF AMERICA, N.A., ET AL., wasthe State of Louisiana filed suit in the United States District Court for the SouthernMiddle District of New YorkLouisiana against Citigroup, Citibank, CGMI and Citigroup Global Markets Limited (CGML) and other defendants, on behalfasserting a claim for a violation of indirect
purchasers of supranational, sub-sovereign and agency (SSA) bonds. Plaintiffs assert claims under New York antitrust lawsthe Sherman Act based on the same conductdefendants’ alleged inconspiracy to manipulate the previously filed SSA bond lawsuitsmarket for government-sponsored enterprises bonds, and seekseeking treble damages and injunctive relief. The action is currently stayed pending a decision on the motion to dismiss in the consolidated direct purchaser action captioned IN RE SSA BONDS ANTITRUST LITIGATION. Additional information relating to these actionsthis action is publicly available in court filings under the docket numbersnumber 19 Civ. 01205 (S.D.N.Y.638 (M.D. La.) (Swain, J.(Dick, C.J.), and 16-cv-03711.
On September 30, 2019, in IN RE SSA BONDS ANTITRUST LITIGATION, the court issued an order granting with prejudice defendants’ motion to dismiss certain defendants for lack of personal jurisdiction. Additional information relating to this action is publicly available in court filings under the docket number 16 Civ. 03711 (S.D.N.Y.) (Ramos, J.).
On January 24,October 7, 2019, in JOSEPH MANCINELLI ET AL v. BANK OF AMERICA CORPORATION ET AL, purchasers of supranational, sub-sovereign, and agency (SSA) bonds filed an action filedamended claim in the Canadian Federal Court, related to the SSA bond market, plaintiffs delivered an amended statement of claim, in which they continue to assert claims for breach of the competition law and breach of foreign law, while also asserting additional claims of civil conspiracy, unjust enrichment, waiver of tort, and breach of contract. Additional information relating to this action is publicly available in court filings under the docket number T-1871-17 (Fed. Ct.).
Between February 22 and April 11,On October 21, 2019, 12 putative class actions, which have been consolidated underin CITY OF BATON ROUGE, ET AL. v. BANK OF AMERICA, N.A., ET AL., the caption IN RE GSE BONDS ANTITRUST LITIGATION, wereCity of Baton Rouge filed suit in the United States District Court for the SouthernMiddle District of New YorkLouisiana against Citigroup, CGMI and numerous other defendants, on behalfasserting a claim for a violation of purported classes of persons or entities that transacted in bonds issued by United States government-sponsored entities with one or more of the defendants. Plaintiffs assert claims under the Sherman Act and for unjust enrichment based on the defendants’ alleged conspiracy to manipulate the market for suchgovernment-sponsored enterprises bonds, and seekseeking treble damages and injunctive relief. Additional information relating to this action is publicly available in court filings under the docket number 19 Civ. 1704 (S.D.N.Y.725 (M.D. La.) (Rakoff, J.(Dick, C.J.).

Variable Rate Demand Obligation Litigation
In February and March 2019, certain financial institutions that served as remarketing agents for municipal bonds called variable rate demand obligations (VRDOs), including Citigroup, Citibank, CGMI, CGML and numerous other industry participants, were named as defendants in putative class actions filed by the City of Philadelphia and the City of Baltimore in the United States District Court for the Southern District of New York. Plaintiffs allege that defendants colluded to set artificially high VRDO interest rates. The complaints assert violations of the Sherman Act, as well as claims for breach of contract and unjust enrichment, and seek damages and injunctive relief. On April 5, 2019, the two suits were consolidated for pre-trial purposes. Additional information concerning these actions is publicly available in court filings under the docket numbers 19-CV-1608 (S.D.N.Y.) (Furman, J.) and 19-CV-2667 (S.D.N.Y.) (Furman, J.).

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




24.   CONDENSED CONSOLIDATING FINANCIAL STATEMENTS

Citigroup amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to add its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the three and nine months ended March 31,September 30, 2019 and 2018, Condensed Consolidating Balance Sheet as of March 31,September 30, 2019 and December 31, 2018 and Condensed Consolidating Statement of Cash Flows for the threenine months ended March 31,September 30, 2019 and 2018 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 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 March 31, 2019Three Months Ended September 30, 2019
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$9,167
 $—
 $—
 $(9,167) $—
$4,829
 $—
 $—
 $(4,829) $—
Interest revenue—
 2,572
 16,504
 —
 19,076
2
 2,595
 16,580
 —
 19,177
Interest revenue—intercompany1,325
 503
 (1,828) —
 —
1,240
 502
 (1,742) —
 —
Interest expense1,271
 1,824
 4,222
 —
 7,317
1,214
 1,831
 4,491
 —
 7,536
Interest expense—intercompany312
 1,075
 (1,387) —
 —
246
 1,088
 (1,334) —
 —
Net interest revenue$(258) $176
 $11,841
 $—
 $11,759
$(218) $178
 $11,681
 $—
 $11,641
Commissions and fees$—
 $1,307
 $1,619
 $—
 $2,926
$—
 $1,296
 $1,610
 $—
 $2,906
Commissions and fees—intercompany(1) 121
 (120) —
 —
(19) 39
 (20) —
 —
Principal transactions(825) (1,034) 4,663
 —
 2,804
(1,535) 291
 4,046
 —
 2,802
Principal transactions—intercompany447
 2,036
 (2,483) —
 —
284
 693
 (977) —
 —
Other income319
 99
 669
 —
 1,087
1,213
 67
 (55) —
 1,225
Other income—intercompany(34) 42
 (8) —
 —
(95) 30
 65
 —
 —
Total non-interest revenues$(94) $2,571
 $4,340
 $—
 $6,817
$(152) $2,416
 $4,669
 $—
 $6,933
Total revenues, net of interest expense$8,815
 $2,747
 $16,181
 $(9,167) $18,576
$4,459
 $2,594
 $16,350
 $(4,829) $18,574
Provisions for credit losses and for benefits and claims$—
 $—
 $1,980
 $—
 $1,980
$—
 $—
 $2,088
 $—
 $2,088
Operating expenses    

        

    
Compensation and benefits$33
 $1,284
 $4,341
 $—
 $5,658
$(6) $1,277
 $4,058
 $—
 $5,329
Compensation and benefits—intercompany26
 —
 (26) —
 —
54
 —
 (54) —
 —
Other operating5
 553
 4,368
 —
 4,926
(38) 571
 4,602
 —
 5,135
Other operating—intercompany5
 582
 (587) —
 —
6
 625
 (631) —
 —
Total operating expenses$69
 $2,419
 $8,096
 $—
 $10,584
$16
 $2,473
 $7,975
 $—
 $10,464
Equity in undistributed income of subsidiaries$(4,203) $—
 $—
 $4,203
 $—
$328
 $—
 $—
 $(328) $—
Income (loss) from continuing operations before income taxes$4,543
 $328
 $6,105
 $(4,964) $6,012
$4,771
 $121
 $6,287
 $(5,157) $6,022
Provision (benefit) for income taxes(167) 140
 1,302
 —
 1,275
(142) 12
 1,209
 —
 1,079
Income (loss) from continuing operations$4,710
 $188
 $4,803
 $(4,964) $4,737
$4,913
 $109
 $5,078
 $(5,157) $4,943
Loss from discontinued operations, net of taxes—
 —
 (2) —
 (2)
Income (loss) from discontinued operations, net of taxes—
 —
 (15) —
 (15)
Net income before attribution of noncontrolling interests$4,710
 $188
 $4,801
 $(4,964) $4,735
$4,913
 $109
 $5,063
 $(5,157) $4,928
Noncontrolling interests—
 —
 25
 —
 25
—
 —
 15
 —
 15
Net income (loss)$4,710
 $188
 $4,776
 $(4,964) $4,710
$4,913
 $109
 $5,048
 $(5,157) $4,913
Comprehensive income                  
Add: Other comprehensive income (loss)$862
 $(289) $999
 $(710) $862
$(932) $41
 $2,895
 $(2,936) $(932)
Total Citigroup comprehensive income (loss)$5,572

$(101)
$5,775

$(5,674)
$5,572
$3,981

$150

$7,943

$(8,093)
$3,981
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
 $(13) $—
 $(13)$—
 $—
 $(33) $—
 $(33)
Add: Net income attributable to noncontrolling interests—
 —
 25
 —
 25
—
 —
 15
 —
 15
Total comprehensive income (loss)$5,572

$(101)
$5,787

$(5,674)
$5,584
$3,981

$150

$7,925

$(8,093)
$3,963










Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended March 31, 2018Three Months Ended September 30, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$5,585
 $—
 $—
 $(5,585) $—
$7,948
 $—
 $—
 $(7,948) $—
Interest revenue52
 1,656
 14,624
 —
 16,332
1
 2,291
 15,878
 —
 18,170
Interest revenue—intercompany1,130
 383
 (1,513) —
 —
1,281
 424
 (1,705) —
 —
Interest expense1,238
 1,013
 2,909
 —
 5,160
1,068
 1,405
 3,895
 —
 6,368
Interest expense—intercompany259
 772
 (1,031) —
 —
492
 899
 (1,391) —
 —
Net interest revenue$(315) $254
 $11,233
 $—
 $11,172
$(278) $411
 $11,669
 $—
 $11,802
Commissions and fees$—
 $1,252
 $1,778
 $—
 $3,030
$—
 $1,194
 $1,609
 $—
 $2,803
Commissions and fees—intercompany—
 —
 —
 —
 —
—
 72
 (72) —
 —
Principal transactions1,031
 921
 1,290
 —
 3,242
(100) 581
 1,883
 —
 2,364
Principal transactions—intercompany(386) 192
 194
 —
 —
(303) (10) 313
 —
 —
Other income(928) 153
 2,203
 —
 1,428
265
 325
 830
 —
 1,420
Other income—intercompany55
 55
 (110) —
 —
(45) 57
 (12) —
 —
Total non-interest revenues$(228) $2,573
 $5,355

$—
 $7,700
$(183) $2,219
 $4,551

$—
 $6,587
Total revenues, net of interest expense$5,042
 $2,827
 $16,588
 $(5,585) $18,872
$7,487
 $2,630
 $16,220
 $(7,948) $18,389
Provisions for credit losses and for benefits and claims$—
 $—
 $1,857
 $—
 $1,857
$—
 $3
 $1,971
 $—
 $1,974
Operating expenses                  
Compensation and benefits$134
 $1,265
 $4,408
 $—
 $5,807
$14
 $1,148
 $4,157
 $—
 $5,319
Compensation and benefits—intercompany34
 —
 (34) —
 —
19
 —
 (19) —
 —
Other operating43
 550
 4,525
 —
 5,118
(201) 558
 4,635
 —
 4,992
Other operating—intercompany12
 582
 (594) —
 —
13
 564
 (577) —
 —
Total operating expenses$223
 $2,397
 $8,305
 $—
 $10,925
$(155) $2,270
 $8,196
 $—
 $10,311
Equity in undistributed income of subsidiaries$(446) $—
 $—
 $446
 $—
$(3,099) $—
 $—
 $3,099
 $—
Income (loss) from continuing operations before income
taxes
$4,373
 $430
 $6,426
 $(5,139) $6,090
$4,543
 $357
 $6,053
 $(4,849) $6,104
Provision (benefit) for income taxes(247)—
65
 1,623
 —
 1,441
(79)—
169
 1,381
 —
 1,471
Income (loss) from continuing operations$4,620
 $365
 $4,803
 $(5,139) $4,649
$4,622
 $188
 $4,672
 $(4,849) $4,633
Loss from discontinued operations, net of taxes—
 —
 (7) —
 (7)
Income (loss) from discontinued operations, net of taxes—
 —
 (8) —
 (8)
Net income (loss) before attribution of noncontrolling interests$4,620
 $365
 $4,796
 $(5,139) $4,642
$4,622
 $188
 $4,664
 $(4,849) $4,625
Noncontrolling interests—
 —
 22
 —
 22
—
 —
 3
 —
 3
Net income (loss)$4,620
 $365
 $4,774
 $(5,139) $4,620
$4,622
 $188
 $4,661
 $(4,849) $4,622
Comprehensive income                  
Add: Other comprehensive income (loss)$52
 $82
 $(3,156) $3,074
 $52
$(1,151) $(196) $(458) $654
 $(1,151)
Total Citigroup comprehensive income (loss)$4,672


$447


$1,618

$(2,065)
$4,672
$3,471


$(8)

$4,203

$(4,195)
$3,471
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$14
 $—
 $14
$—
 $—
—
$8
 $—
 $8
Add: Net income attributable to noncontrolling interests—
 —
—
22
 —
 22
—
 —
—
3
 —
 3
Total comprehensive income (loss)$4,672


$447


$1,654

$(2,065) $4,708
$3,471


$(8)

$4,214

$(4,195) $3,482












Condensed Consolidating Statements of Income and Comprehensive Income
 Nine Months Ended September 30, 2019
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$19,045
 $—
 $—
 $(19,045) $—
Interest revenue2
 8,351
 49,612
 —
 57,965
Interest revenue—intercompany3,892
 1,523
 (5,415) —
 —
Interest expense3,763
 5,566
 13,286
 —
 22,615
Interest expense—intercompany760
 3,315
 (4,075) —
 —
Net interest revenue$(629) $993
 $34,986
 $—
 $35,350
Commissions and fees$—
 $3,912
 $4,801
 $—
 $8,713
Commissions and fees—intercompany(20) 254
 (234) —
 —
Principal transactions(2,925) 399
 10,006
 —
 7,480
Principal transactions—intercompany1,522
 2,054
 (3,576) —
 —
Other income1,164
 664
 2,537
 —
 4,365
Other income—intercompany(120) 86
 34
 —
 —
Total non-interest revenues$(379) $7,369
 $13,568
 $—
 $20,558
Total revenues, net of interest expense$18,037
 $8,362
 $48,554
 $(19,045) $55,908
Provisions for credit losses and for benefits and claims$—
 $—
 $6,161
 $—
 $6,161
Operating expenses    
    
Compensation and benefits$31
 $3,727
 $12,610
 $—
 $16,368
Compensation and benefits—intercompany97
 —
 (97) —
 —
Other operating(24) 1,664
 13,540
 —
 15,180
Other operating—intercompany16
 1,789
 (1,805) —
 —
Total operating expenses$120
 $7,180
 $24,248
 $—
 $31,548
Equity in undistributed income of subsidiaries$(4,021) $—
 $—
 $4,021
 $—
Income (loss) from continuing operations before income
taxes
$13,896
 $1,182
 $18,145
 $(15,024) $18,199
Provision (benefit) for income taxes(526)—
160
 4,093
 —
 3,727
Income (loss) from continuing operations$14,422
 $1,022
 $14,052
 $(15,024) $14,472
Income (loss) from discontinued operations, net of taxes—
 —
 —
 —
 —
Net income (loss) before attribution of noncontrolling interests$14,422
 $1,022
 $14,052
 $(15,024) $14,472
Noncontrolling interests—
 —
 50
 —
 50
Net income (loss)$14,422
 $1,022
 $14,002
 $(15,024) $14,422
Comprehensive income         
Add: Other comprehensive income (loss)$1,035
 $(260) $4,628
 $(4,368) $1,035
Total Citigroup comprehensive income (loss)$15,457
 $762
 $18,630
 $(19,392) $15,457
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$(26) $—
 $(26)
Add: Net income attributable to noncontrolling interests—
 —
—
50
 —
 50
Total comprehensive income (loss)$15,457
 $762
 $18,654
 $(19,392) $15,481












Condensed Consolidating Statements of Income and Comprehensive Income
 Nine Months Ended September 30, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$16,648
 $—
 $—
 $(16,648) $—
Interest revenue67
 6,344
 45,641
 —
 52,052
Interest revenue—intercompany3,636
 1,206
 (4,842) —
 —
Interest expense3,119
 3,732
 10,562
 —
 17,413
Interest expense—intercompany1,467
 2,567
 (4,034) —
 —
Net interest revenue$(883) $1,251
 $34,271
 $—
 $34,639
Commissions and fees$—
 $3,793
 $5,151
 $—
 $8,944
Commissions and fees—intercompany(1) 163
 (162) —
 —
Principal transactions(275) 805
 7,202
 —
 7,732
Principal transactions—intercompany(1,161) 1,461
 (300) —
 —
Other income817
 666
 2,932
 —
 4,415
Other income—intercompany(111) 88
 23
 —
 —
Total non-interest revenues$(731) $6,976
 $14,846

$—
 $21,091
Total revenues, net of interest expense$15,034
 $8,227
 $49,117
 $(16,648) $55,730
Provisions for credit losses and for benefits and claims$—
 $(21) $5,664
 $—
 $5,643
Operating expenses         
Compensation and benefits$149
 $3,695
 $12,734
 $—
 $16,578
Compensation and benefits—intercompany82
 —
 (82) —
 —
Other operating(210) 1,684
 13,896
 —
 15,370
Other operating—intercompany38
 1,835
 (1,873) —
 —
Total operating expenses$59
 $7,214
 $24,675
 $—
 $31,948
Equity in undistributed income of subsidiaries$(2,060) $—
 $—
 $2,060
 $—
Income (loss) from continuing operations before income
taxes
$12,915
 $1,034
 $18,778
 $(14,588) $18,139
Provision (benefit) for income taxes(817)—
853
 4,320
 —
 4,356
Income (loss) from continuing operations$13,732
 $181
 $14,458
 $(14,588) $13,783
Income (loss) from discontinued operations, net of taxes—
 —
 —
 —
 —
Net income (loss) before attribution of noncontrolling interests$13,732
 $181
 $14,458
 $(14,588) $13,783
Noncontrolling interests—
 —
 51
 —
 51
Net income (loss)$13,732
 $181
 $14,407
 $(14,588) $13,732
Comprehensive income         
Add: Other comprehensive income (loss)$(3,974) $(186) $1,787
 $(1,601) $(3,974)
Total Citigroup comprehensive income (loss)$9,758
 $(5) $16,194
 $(16,189) $9,758
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$(35) $—
 $(35)
Add: Net income attributable to noncontrolling interests—
 —
—
51
 —
 51
Total comprehensive income (loss)$9,758
 $(5) $16,210
 $(16,189) $9,774



Condensed Consolidating Balance Sheet
March 31, 2019September 30, 2019
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets                  
Cash and due from banks$1
 $963
 $23,484
 $—
 $24,448
$—
 $899
 $23,187
 $—
 $24,086
Cash and due from banks—intercompany11
 3,953
 (3,964) —
 —
15
 4,602
 (4,617) —
 —
Deposits with banks—
 5,287
 176,158
 —
 181,445
—
 4,578
 191,779
 —
 196,357
Deposits with banks—intercompany3,000
 6,235
 (9,235) —
 —
3,000
 7,404
 (10,404) —
 —
Federal funds sold and resale agreements—
 210,012
 54,483
 —
 264,495
Federal funds sold and resale agreements—intercompany—
 16,034
 (16,034) —
 —
Securities borrowed and purchased under resale agreements—
 199,421
 61,704
 —
 261,125
Securities borrowed and purchased under resale agreements—intercompany—
 24,459
 (24,459) —
 —
Trading account assets296
 163,582
 122,633
 —
 286,511
323
 177,504
 128,997
 —
 306,824
Trading account assets—intercompany825
 1,770
 (2,595) —
 —
1,932
 4,322
 (6,254) —
 —
Investments5
 241
 349,035
 —
 349,281
1
 543
 357,839
 —
 358,383
Loans, net of unearned income—
 1,731
 680,615
 —
 682,346
—
 2,444
 689,299
 —
 691,743
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,329) —
 (12,329)—
 —
 (12,530) —
 (12,530)
Total loans, net$—
 $1,731
 $668,286
 $—
 $670,017
$—
 $2,444
 $676,769
 $—
 $679,213
Advances to subsidiaries$142,884
 $—
 $(142,884) $—
 $—
$143,997
 $—
 $(143,997) $—
 $—
Investments in subsidiaries201,016
 —
 —
 (201,016) —
201,557
 —
 —
 (201,557) —
Other assets(1)
11,957
 63,919
 106,340
 —
 182,216
11,678
 70,347
 106,789
 —
 188,814
Other assets—intercompany3,734
 50,591
 (54,325) —
 —
2,871
 48,388
 (51,259) —
 —
Total assets$363,729
 $524,318
 $1,271,382
 $(201,016) $1,958,413
$365,374
 $544,911
 $1,306,074
 $(201,557) $2,014,802
Liabilities and equity

 
 
 
 
        
Deposits$—
 $—
 $1,030,355
 $—
 $1,030,355
$—
 $—
 $1,087,769
 $—
 $1,087,769
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned and sold—
 163,595
 26,777
 —
 190,372
Federal funds purchased and securities loaned and sold—intercompany—
 28,561
 (28,561) —
 —
Securities loaned and sold under repurchase agreements—
 167,830
 27,217
 —
 195,047
Securities loaned and sold under repurchase agreements—intercompany—
 34,707
 (34,707) —
 —
Trading account liabilities14
 94,159
 42,219
 —
 136,392
4
 91,348
 44,244
 —
 135,596
Trading account liabilities—intercompany1,863
 1,919
 (3,782) —
 —
3,712
 4,199
 (7,911) —
 —
Short-term borrowings234
 6,485
 32,603
 —
 39,322
238
 9,511
 25,481
 —
 35,230
Short-term borrowings—intercompany—
 20,468
 (20,468) —
 —
—
 23,151
 (23,151) —
 —
Long-term debt149,830
 30,542
 63,194
 —
 243,566
145,342
 36,177
 60,719
 —
 242,238
Long-term debt—intercompany—
 73,094
 (73,094) —
 —
—
 71,604
 (71,604) —
 —
Advances from subsidiaries11,634
 —
 (11,634) —
 —
16,638
 —
 (16,638) —
 —
Other liabilities3,308
 62,484
 55,599
 —
 121,391
2,872
 62,474
 56,506
 —
 121,852
Other liabilities—intercompany594
 10,443
 (11,037) —
 —
195
 10,724
 (10,919) —
 —
Stockholders’ equity196,252
 32,568
 169,211
 (201,016) 197,015
196,373
 33,186
 169,068
 (201,557) 197,070
Total liabilities and equity$363,729
 $524,318
 $1,271,382
 $(201,016) $1,958,413
$365,374
 $544,911
 $1,306,074
 $(201,557) $2,014,802

(1)
Other assets for Citigroup parent company at March 31,September 30, 2019 included $47.4$36.7 billion of placements to Citibank and its branches, of which $35.8$27.8 billion had a remaining term of less than 30 days.





Condensed Consolidating Balance Sheet
 December 31, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets         
Cash and due from banks$1
 $689
 $22,955
 $—
 $23,645
Cash and due from banks—intercompany19
 3,545
 (3,564) —
 —
Deposits with banks—
 4,915
 159,545
 —
 164,460
Deposits with banks—intercompany3,000
 6,528
 (9,528) —
 —
Securities borrowed and purchased under resale agreements—
 212,720
 57,964
 —
 270,684
Securities borrowed and purchased under resale agreements—intercompany—
 20,074
 (20,074) —
 —
Trading account assets302
 146,233
 109,582
 —
 256,117
Trading account assets—intercompany627
 1,728
 (2,355) —
 —
Investments7
 224
 358,376
 —
 358,607
Loans, net of unearned income—
 1,292
 682,904
 —
 684,196
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,315) —
 (12,315)
Total loans, net$—
 $1,292
��$670,589
 $—
 $671,881
Advances to subsidiaries$143,119
 $—
 $(143,119) $—
 $—
Investments in subsidiaries205,337
 —
 —
 (205,337) —
Other assets(1)
9,861
 59,734
 102,394
 —
 171,989
Other assets—intercompany3,037
 44,255
 (47,292) —
 —
Total assets$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383
Liabilities and equity         
Deposits$—
 $—
 $1,013,170
 $—
 $1,013,170
Deposits—intercompany—
 —
 —
 —
 —
Securities loaned and sold under repurchase agreements—
 155,830
 21,938
 —
 177,768
Securities loaned and sold under repurchase agreements—intercompany—
 21,109
 (21,109) —
 —
Trading account liabilities1
 95,571
 48,733
 —
 144,305
Trading account liabilities—intercompany410
 1,398
 (1,808) —
 —
Short-term borrowings207
 3,656
 28,483
 —
 32,346
Short-term borrowings—intercompany—
 11,343
 (11,343) —
 —
Long-term debt143,767
 25,986
 62,246
 —
 231,999
Long-term debt—intercompany—
 73,884
 (73,884) —
 —
Advances from subsidiaries21,471
 —
 (21,471) —
 —
Other liabilities3,011
 66,732
 50,978
 —
 120,721
Other liabilities—intercompany223
 13,763
 (13,986) —
 —
Stockholders’ equity196,220
 32,665
 173,526
 (205,337) 197,074
Total liabilities and equity$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383
 December 31, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets         
Cash and due from banks$1
 $689
 $22,955
 $—
 $23,645
Cash and due from banks—intercompany19
 3,545
 (3,564) —
 —
Deposits with banks—
 4,915
 159,545
 —
 164,460
Deposits with banks—intercompany3,000
 6,528
 (9,528) —
 —
Federal funds sold and resale agreements—
 212,720
 57,964
 —
 270,684
Federal funds sold and resale agreements—intercompany—
 20,074
 (20,074) —
 —
Trading account assets302
 146,233
 109,582
 —
 256,117
Trading account assets—intercompany627
 1,728
 (2,355) —
 —
Investments7
 224
 358,376
 —
 358,607
Loans, net of unearned income—
 1,292
 682,904
 —
 684,196
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,315) —
 (12,315)
Total loans, net$—
 $1,292
 $670,589
 $—
 $671,881
Advances to subsidiaries$143,119
 $—
 $(143,119) $—
 $—
Investments in subsidiaries205,337
 —
 —
 (205,337) —
Other assets(1)
9,861
 59,734
 102,394
 —
 171,989
Other assets—intercompany3,037
 44,255
 (47,292) —
 —
Total assets$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383
Liabilities and equity
 
 
 
 

Deposits$—
 $—
 $1,013,170
 $—
 $1,013,170
Deposits—intercompany—
 —
 —
 —
 —
Federal funds purchased and securities loaned and sold—
 155,830
 21,938
 —
 177,768
Federal funds purchased and securities loaned and sold—intercompany—
 21,109
 (21,109) —
 —
Trading account liabilities1
 95,571
 48,733
 —
 144,305
Trading account liabilities—intercompany410
 1,398
 (1,808) —
 —
Short-term borrowings207
 3,656
 28,483
 —
 32,346
Short-term borrowings—intercompany—
 11,343
 (11,343) —
 —
Long-term debt143,768
 25,986
 62,245
 —
 231,999
Long-term debt—intercompany—
 73,884
 (73,884) —
 —
Advances from subsidiaries21,471
 —
 (21,471) —
 —
Other liabilities3,010
 66,732
 50,979
 —
 120,721
Other liabilities—intercompany223
 13,763
 (13,986) —
 —
Stockholders’ equity196,220
 32,665
 173,526
 (205,337) 197,074
Total liabilities and equity$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383


(1)
Other assets for Citigroup parent company at December 31, 2018 included $34.7 billion of placements to Citibank and its branches, of which $22.4 billion had a remaining term of less than 30 days.




Condensed Consolidating Statement of Cash Flows
Three Months Ended March 31, 2019Nine Months Ended September 30, 2019
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$10,950
 $(30,786) $(17,780) $—
 $(37,616)$23,879
 $(51,748) $(7,489) $—
 $(35,358)
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $—
 $(69,673) $—
 $(69,673)$—
 $—
 $(196,733) $—
 $(196,733)
Proceeds from sales of investments—
 —
 31,436
 —
 31,436
4
 —
 96,396
 —
 96,400
Proceeds from maturities of investments—
 —
 47,363
 —
 47,363
—
 —
 91,656
 —
 91,656
Change in loans—
 —
 (892) —
 (892)—
 —
 (11,518) —
 (11,518)
Proceeds from sales and securitizations of loans—
 —
 2,062
 —
 2,062
—
 —
 2,717
 —
 2,717
Change in federal funds sold and resales—
 6,748
 (559) —
 6,189
Change in securities borrowed and purchased under agreements to resell

—
 8,914
 645
 —
 9,559
Changes in investments and advances—intercompany(106) (6,636) 6,742
 —
 —
(2,045) (6,204) 8,249
 —
 —
Other investing activities—
 (17) (425) —
 (442)—
 (44) (4,129) —
 (4,173)
Net cash provided by (used in) investing activities of continuing operations$(106) $95
 $16,054
 $—
 $16,043
$(2,041) $2,666
 $(12,717) $—
 $(12,092)
Cash flows from financing activities of continuing operations                  
Dividends paid$(1,320) $—
 $—
 $—
 $(1,320)$(4,048) $(155) $155
 $—
 $(4,048)
Issuance of preferred stock1,496
 —
 —
 —
 1,496
Redemption of preferred stock(480) —
 —
 —
 (480)(480) —
 —
 —
 (480)
Treasury stock acquired(4,055) —
 —
 —
 (4,055)(12,495) —
 —
 —
 (12,495)
Proceeds (repayments) from issuance of long-term debt, net5,199
 5,576
 (1,791) —
 8,984
(1,122) 10,136
 (6,738) —
 2,276
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (1,295) 1,295
 —
 —
—
 (5,683) 5,683
 —
 —
Change in deposits—
 —
 17,186
 —
 17,186
—
 —
 74,599
 —
 74,599
Change in federal funds purchased and repos—
 15,217
 (2,613) —
 12,604
Change in securities loaned and sold under agreements to repurchase

—
 25,598
 (8,319) —
 17,279
Change in short-term borrowings—
 2,829
 4,147
 —
 6,976
—
 5,855
 (2,971) —
 2,884
Net change in short-term borrowings and other advances—intercompany(9,838) 9,125
 713
 —
 —
(4,834) 15,211
 (10,377) —
 —
Capital contributions from (to) parent—
 (74) 74
 —
 —
Other financing activities(358) —
 —
 —
 (358)(360) —
 —
 —
 (360)
Net cash provided by (used in) financing activities of continuing operations$(10,852) $31,452
 $18,937
 $—
 $39,537
$(21,843) $50,888
 $52,106
 $—
 $81,151
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(176) $—
 $(176)$—
 $—
 $(1,363) $—
 $(1,363)
Change in cash and due from banks and deposits with banks

$(8)
$761

$17,035

$—
 $17,788
$(5)
$1,806

$30,537

$—
 $32,338
Cash and due from banks and deposits with banks at beginning of period3,020
 15,677
 169,408
 —
 188,105
3,020
 15,677
 169,408
 —
 188,105
Cash and due from banks and deposits with banks at end of period$3,012
 $16,438
 $186,443
 $—
 $205,893
$3,015
 $17,483
 $199,945
 $—
 $220,443
Cash and due from banks$12
 $4,916
 $19,520
 $—
 $24,448
$15
 $5,501
 $18,570
 $—
 $24,086
Deposits with banks3,000
 11,522
 166,923
 —
 181,445
3,000
 11,982
 181,375
 —
 196,357
Cash and due from banks and deposits with banks at end of period$3,012
 $16,438
 $186,443
 $—
 $205,893
$3,015
 $17,483
 $199,945
 $—
 $220,443
Supplemental disclosure of cash flow information for continuing operations                  
Cash paid during the year for income taxes$306
 $57
 $962
 $—
 $1,325
Cash paid during the year for interest956
 2,694
 3,281
 —
 6,931
Cash paid during the period for income taxes$(274) $281
 $3,728
 $—
 $3,735
Cash paid during the period for interest3,107
 8,893
 10,343
 —
 22,343
Non-cash investing activities                  
Transfers to loans HFS from loans$—
 $—
 $2,000
 $—
 $2,000
$—
 $—
 $4,400
 $—
 $4,400
Transfers to OREO and other repossessed assets—
 —
 36
 —
 36


Condensed Consolidating Statement of Cash Flows
Three Months Ended March 31, 2018Nine Months Ended September 30, 2018
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$5,268
 $7,046
 $(5,358) $—
 $6,956
$12,581
 $16,232
 $1,253
 $—
 $30,066
Cash flows from investing activities of continuing operations        

        

Purchases of investments$(7,955) $—
 $(33,075) $—
 $(41,030)$(7,955) $(18) $(104,581) $—
 $(112,554)
Proceeds from sales of investments—
 —
 20,688
 —
 20,688
7,634
 3
 44,533
 —
 52,170
Proceeds from maturities of investments—
 —
 21,509
 —
 21,509
—
 —
 66,440
 —
 66,440
Change in loans—
 —
 (8,717) —
 (8,717)—
 —
 (16,131) —
 (16,131)
Proceeds from sales and securitizations of loans—
 —
 1,654
 —
 1,654
—
 —
 4,021
 —
 4,021
Proceeds from significant disposals—
 —
 —
 —
 —
—
 —
 314
 —
 314
Change in federal funds sold and resales—
 (22,167) (3,242) —
 (25,409)
Change in securities borrowed and purchased under agreements to resell—
 (47,943) (519) —
 (48,462)
Changes in investments and advances—intercompany(1,463) (3,603) 5,066
 —
 —
(7,769) (2,338) 10,107
 —
 —
Other investing activities(729) (9) (81) —
 (819)214
 (41) (2,534) —
 (2,361)
Net cash provided by (used in) investing activities of continuing operations$(10,147) $(25,779) $3,802
 $—
 $(32,124)$(7,876) $(50,337) $1,650
 $—
 $(56,563)
Cash flows from financing activities of continuing operations                  
Dividends paid$(1,095) $—
 $—
 $—
 $(1,095)$(3,616) $—
 $—
 $—
 $(3,616)
Redemption of preferred stock(97) —
 —
 —
 (97)(218) —
 —
 —
 (218)
Treasury stock acquired(2,378) —
 —
 —
 (2,378)(9,848) —
 —
 —
 (9,848)
Proceeds from issuance of long-term debt, net699
 2,004
 184
 —
 2,887
(883) 7,538
 (829) —
 5,826
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (412) 412
 —
 —
—
 5,048
 (5,048) —
 —
Change in deposits—
 —
 41,397
 —
 41,397
—
 —
 45,354
 —
 45,354
Change in federal funds purchased and repos—
 11,359
 4,123
 —
 15,482
Change in securities loaned and sold under agreements to repurchase

—
 35,804
 (16,166) —
 19,638
Change in short-term borrowings—
 (409) (7,949) —
 (8,358)32
 790
 (11,503) —
 (10,681)
Net change in short-term borrowings and other advances—intercompany14
 8,226
 (8,240) —
 —
2,312
 (14,771) 12,459
 —
 —
Capital contributions from parent—
 (585) 585
 —
 —
—
 (663) 663
 —
 —
Other financing activities(261) —
 (214) —
 (475)(479) —
 —
 —
 (479)
Net cash provided by (used in) financing activities of continuing operations$(3,118) $20,183
 $30,298
 $—
 $47,363
$(12,700) $33,746
 $24,930
 $—
 $45,976
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(7) $—
 $(7)$—
 $—
 $(709) $—
 $(709)
Change in cash and due from banks and deposits with banks

$(7,997) $1,450
 $28,735
 $—
 $22,188
$(7,995) $(359) $27,124
 $—
 $18,770
Cash and due from banks and deposits with banks at beginning of period11,013
 12,695
 156,808
 —
 180,516
11,013
 12,695
 156,808
 —
 180,516
Cash and due from banks and deposits with banks at end of period$3,016
 $14,145
 $185,543
 $—
 $202,704
$3,018
 $12,336
 $183,932
 $—
 $199,286
Cash and due from banks$16
 $5,648
 $16,186
 $—
 $21,850
$18
—
$2,648
 $23,061
 $—
 $25,727
Deposits with banks3,000
 8,497
 169,357
 —
 180,854
3,000
 9,688
 160,871
 —
 173,559
Cash and due from banks and deposits with banks at end of period$3,016
 $14,145
 $185,543
 $—
 $202,704
$3,018
 $12,336
 $183,932
 $—
 $199,286
Supplemental disclosure of cash flow information for continuing operations                  
Cash paid (received) during the year for income taxes$(266) $29
 $975
 $—
 $738
Cash paid during the year for interest883
 1,627
 2,076
 —
 4,586
Cash paid (received) during the period for income taxes$873
 $138
 $2,250
 $—
 $3,261
Cash paid during the period for interest2,870
 6,045
 7,363
 —
 16,278
Non-cash investing activities             

    
Transfers to loans HFS from loans$—
 $—
 $900
 $—
 $900
$—
 $—
 $3,300
 $—
 $3,300
Transfers to OREO and other repossessed assets—
 —
 26
 —
 26
—
 —
 94
 —
 94



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

Unregistered Sales of Equity Securities
None.

Equity Security Repurchases
The following table summarizes Citi’s common stock repurchases:

In millions, except per share amounts
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
January 2019  
July 2019  
Open market repurchases(1)
24.1
$59.35
$6,201
20.2
$71.46
$15,654
Employee transactions(2)
—
—
N/A
—
—
N/A
February 2019  
August 2019  
Open market repurchases(1)
21.1
63.60
4,857
34.9
64.46
13,404
Employee transactions(2)
—
—
N/A
—
—
N/A
March 2019  
September 2019  
Open market repurchases(1)
20.4
62.98
3,575
20.8
68.43
11,980
Employee transactions(2)
—
—
N/A
—
—
N/A
Total for 1Q19 and remaining program balance as of March 31, 201965.6
$61.85
$3,575
Total for 3Q19 and remaining program balance as of September 30, 201975.9
$67.41
$11,980
(1)Represents repurchases under the $17.6$17.1 billion 20182019 common stock repurchase program (2018(2019 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 28, 2018.27, 2019. The 20182019 Repurchase Program was part of the planned capital actions included by Citi in its 2018as part of the 2019 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 2019 Repurchase Program were added to treasury stock. The 20182019 Repurchase Program expires on June 30, 2019. Shares repurchased under the 2018 Repurchase Program were added to treasury stock.2020.
(2)Consisted of shares added to treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted share awards where shares are withheld to satisfy tax requirements.
N/A Not applicable

Dividends
In addition to Board of Directors’ approval, Citi’s ability to pay common stock dividends substantially depends on regulatory approval, including an annual regulatory review of the results of the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act. For additional information regarding Citi’s capital planning and stress testing, see “Capital Resources—Stress Testing Component of Capital Planning” andPlanning,” “Capital Resources—Regulatory Capital Standards Developments” and “Risk Factors—Strategic Risks” in Citi’s 2018 Annual Report on Form 10-K. Any dividend on Citi’s outstanding common stock would also need to be made in compliance with Citi’s obligations on 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 2018 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 30th1st day of April,November, 2019.



CITIGROUP INC.
(Registrant)





By    /s/ Mark A. L. Mason
Mark A. L. Mason
Chief Financial Officer
(Principal Financial Officer)



By    /s/ Raja J. Akram
Raja J. Akram
Controller and Chief Accounting Officer
(Principal Accounting Officer)




EXHIBIT INDEX
 
Exhibit  
Number Description of Exhibit
3.013.01++
 
Restated Certificate of Incorporation of the Company,Citigroup Inc., as amended, as in effect on the date hereof.
10.01+*
Form of Citigroup Inc. Performance Share Unit Award Agreement (for awards granted on February 14, 2019 and in future years).

   
10.02+*10.01*+
 
Form of Citigroup Inc. CAP/DCAP AwardCAP Agreement (for awards granted on February 14, 2019 and in future years).

   
31.01+
 
Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
31.02+
 
Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
32.01+
 
Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
   
99.01+
Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL.

101.01+
 
Financial statements from the Quarterly Report on Form 10-Q of the Company for the quarter ended March 31,September 30, 2019, filed on April 30,November 1, 2019, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Shareholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements.
104See 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.    




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