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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(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, 20202021


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)
Delaware52-1568099
(State or other jurisdiction of incorporation or organization)(I.R.S. Employer Identification No.)
388 Greenwich Street,New YorkNY10013
(Address of principal executive offices)

(Zip code)
(212) (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 ☒    No ☐
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 ☒  No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filer☒Accelerated filer☐Non-accelerated filer☐Smaller reporting company☐
Emerging growth company☐

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 ☐    
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐    No ☒
Number of shares of Citigroup Inc. common stock outstanding on March 31, 2020: 2,081,808,0092021: 2,067,047,519

Available on the web at www.citigroup.com



CITIGROUP’S FIRST QUARTER 2020—2021—FORM 10-Q
OVERVIEW
1
MANAGEMENT’S DISCUSSION AND

  ANALYSIS OF FINANCIAL CONDITION AND

  RESULTS OF OPERATIONS
3
Executive Summary
3
COVID-19 OverviewCiti’s Consent Order Compliance
5
    RISK FACTORS
9
Summary of Selected Financial Data
116
SEGMENT AND BUSINESS—INCOME (LOSS)

  AND REVENUES
138
SEGMENT BALANCE SHEET
149
Global Consumer Banking (GCB)
1610
North America GCB
1812
Latin America GCB
2014
Asia GCB
2216
Institutional Clients Group
2418
Corporate/Other
2822
OFF-BALANCE SHEET ARRANGEMENTSCAPITAL RESOURCES
2923
CAPITAL RESOURCES
30
MANAGING GLOBAL RISK TABLE OF

  CONTENTS
4436
MANAGING GLOBAL RISK
4537
SIGNIFICANT ACCOUNTING POLICIES AND

  SIGNIFICANT ESTIMATES
8177
DISCLOSURE CONTROLS AND

  PROCEDURES
8482
DISCLOSURE PURSUANT TO SECTION 219 OF

  THE IRAN THREAT REDUCTION AND SYRIA

  HUMAN RIGHTS ACT
8482
FORWARD-LOOKING STATEMENTS
8583
FINANCIAL STATEMENTS AND NOTES

  TABLE OF CONTENTS
87
CONSOLIDATED FINANCIAL STATEMENTS
88
NOTES TO CONSOLIDATED FINANCIAL

  STATEMENTS (UNAUDITED)
96
UNREGISTERED SALES OF EQUITY SECURITIES,

  REPURCHASES OF EQUITY SECURITIES AND

  DIVIDENDS
200202



















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, 2019 (20192020 (2020 Annual Report on Form 10-K).
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” tab and selecting “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.www.sec.gov.
Certain reclassifications including a realignment of certain businesses,and updates have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information, on certain recent reclassifications, see Note 1 to the Consolidated Financial Statements below and Notes 1 and 3 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K.Statements.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.



Please see “COVID-19 Pandemic Overview” and “Risk Factors” in Citi’s 2020 Annual Report on Form 10-K for a discussion of the trends, uncertainties and material risks that will or could impact Citigroup’s businesses, results of operations and financial condition.
1



Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional Clients Group, with the remaining operations in Corporate/Other.Other.
CITIGROUP SEGMENTS
Global
Consumer Banking
(GCB)		Institutional Clients
Group
(ICG)		Corporate/
Other
•North America
•Latin America(1)
•Asia(2)

Consisting of:
•Retail banking and wealth management, including
–Residential real estate
–Small business banking
•Citi-branded cards in
all regions
•Citi retail services in North America
•Banking
–Investment banking
–Treasury and trade solutions
–Corporate lending
–Private bank
•Markets and
securities services
–Fixed income markets
–Equity markets
–Securities services
•Corporate Treasury
•Operations and technology
•Global staff functions and other corporate expenses
•Legacy non-core assets:
–Consumer loans
–Certain portfolios of securities, loans and other assets
•Discontinued operations

citisegments123119.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citiregions18q1a12.jpg

(1)
Latin America GCBCITIGROUP REGIONS consists of Citi’s consumer banking businessin Mexico.(3)
(2)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(3)North
America
Europe,
Middle East
and Africa
North (EMEA)
Latin
America includes the U.S., Canada and Puerto Rico, Latin America includes Mexico and 		Asia includes Japan.

(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.

As previously reported, Citi will focus its consumer banking franchise in Asia and EMEA on four wealth centers—Singapore, Hong Kong, the United Arab Emirates (UAE) and London—and intends to pursue exits of its consumer franchises in 13 markets across the two regions. ICG will continue to serve clients, including its commercial banking clients, in all of these markets. For additional information, see “Executive Summary” and “Asia GCB” below.

2

MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
AND RESULTS OF OPERATIONS

EXECUTIVE SUMMARY
EXECUTIVE SUMMARY

First Quarter of 2020—2021—Results Demonstrated Financial Strength and Operational Resilience in a Challenging EnvironmentSolid Performance
As described further throughout this Executive Summary, during the first quarter of 2020,2021, Citi demonstrated financiala solid performance, driven by a benefit from cost of credit and a constructive capital markets environment:

•    Citi’s earnings increased significantly, reflecting an allowance for credit loss (ACL) release of $3.9 billion as a result of the improved macroeconomic outlook and lower loan balances (see “Cost of Credit” below).
•    Citi’s revenues declined, as continued strength in investment banking and operational resilience, despite a significant deteriorationequity markets in economic conditions lateInstitutional Clients Group (ICG) was more than offset by the impact of lower interest rates and the absence of the prior-year period’s mark-to-market gains on loan hedges within ICG, as well as lower card volumes in the quarterGlobal Consumer Banking (GCB), due to the rapidly evolvingcontinued impact of the COVID-19 pandemic and while protecting the health, safety and welfare ofpandemic.
•    Citi continued to invest in its employees andtransformation, including infrastructure supporting its customersrisk and communities:

•
Citi’s earnings were significantly reduced by higher reserves taken during the quarter. Citi built approximately $4.9 billion of net loan loss reserves, reflecting the impact of changes in Citi’s economic outlook on estimated lifetime losses on the March 31, 2020 portfolios under the new Current Expected Credit Losses (CECL) standard due to the COVID-19 pandemic. Despite the challengingcontrol environment, Citi had solid revenue growth in Institutional Clients Group (ICG), reflecting strong performance in fixed income and equity markets, as well as mark-to-market gains on loan hedges, partially offset by a decline in treasury and trade solutions, due to the impact of lower interest rates and lower corporate lending revenues.
•
Citi also had revenue growth in Global Consumer Banking (GCB), as solid performance in Citi-branded cards in North America GCB was partially offset by lower revenues in Asia GCB,reflecting the initial impact of the COVID-19 pandemic on customer behavior.
Citi demonstrated good expense discipline, resulting in expenses that were largely unchanged from the prior year, as well as positive operating leverageother strategic investments.
•    Citi had broad-based deposit growth across GCB and 27% improvementICG, reflecting consistent client engagement, with both corporate and consumer clients continuing to hold higher levels of liquidity, while loans declined reflecting lower spending activity in operating margin.GCB, as well as higher repayments across both GCB and ICG.
Citi maintained credit discipline, while supporting clients.
•
Citi had broad-based loan and deposit growth across GCB and ICG.
•    Citi returned $4.0$2.7 billion of capital to its shareholders in the form of $1.1 billion in dividends and $1.6 billion in common stockshare repurchases, and dividends; Citi repurchasedtotaling approximately 4123 million common shares, contributing towhile maintaining robust regulatory capital ratios.

Citi recently announced strategic actions as part of its ongoing strategy refresh, including the announcement of a 10% reduction in average outstanding common shares from the prior year. As previously announced, in March 2020,dedicated management team for Citi along with other major U.S. banks took the proactive step to suspend share repurchases to further bolster capital and liquidity positions, in order to allow additional capacity to support clients during this time of uncertainty.
Citi continues to support its customers and clientsGlobal Wealth, as well as its decision to focus its consumer banking franchise in Asia and EMEA on four wealth centers, in Singapore, Hong Kong, the broader economy during this challenging time, even as roughly 80% of its workforce is working remotely,UAE and maintained strong regulatory capital and liquidity metrics.
For further information on Citi’s measures to support its employees, customers and clients in response to the COVID-19 pandemic, see “COVID-19 Overview” below.
London. As a result, Citi intends to pursue exits of its remaining consumer businesses in the COVID-19 pandemic, the economic outlook for 2020 has been lowered substantially,two regions (for additional information, see “Citigroup Segments” above and continued uncertainties around COVID-19, including, among others, the length and severity of the economic and public health impacts, have created a much more volatile operating environment that could negatively impact Citi’s businesses and future results during the remainder of 2020. “Asia GCB” below).
For a discussion of risks and uncertainties related to the pandemic, see “COVID-19 Overview,” “Risk Factors” and each respective business’sthat will or could impact Citi’s businesses, results of operations below. For a discussion of additional risks and uncertainties that could affect Citi,financial condition during 2021, see “Forward-Looking Statements” below and each respective business’s results of operations and “Forward-Looking Statements” below, and “COVID-19 Pandemic Overview,” “Risk Factors” and “Managing Global Risk” and “Risk Factors” in Citi’s 20192020 Annual Report on Form 10-K.


First Quarter of 20202021 Results Summary

Citigroup
Citigroup reported net income of $2.5$7.9 billion, or $1.05$3.62 per share, compared to net income of $4.7$2.5 billion, or $1.87$1.06 per share, in the prior-year period. Net income declined 46%, primarilyincreased significantly, driven by higher loan loss reserves, reflecting the impactlower cost of changes in Citi’s economic outlook on estimated lifetime losses under CECL due to the COVID-19 pandemic.credit. Earnings per share decreased 44%, asalso increased significantly, reflecting the declineincrease in net income, was partially offset byas well as a 10% reductionslight decline in average diluted shares outstanding.
Citigroup revenues of $20.7$19.3 billion in the first quarter of 2020 increased 12%2021 decreased 7% from the prior-year period, primarily reflecting higherlower revenues in both GCB and ICG,including higher revenues in fixed income and equity markets as well as the benefit of mark-to-market gains on loan hedges..
Citigroup’s end-of-period loans increased 6%decreased 8% to $721$666 billion. Excluding the impact of FX translation, Citigroup’s end-of-period loans grew 8%decreased 10%, reflecting lower spend activity in GCB, as 9% aggregate growthwell as a higher level of repayments in both GCB and ICGand GCB was partially offset by the continued wind-down of legacy assets in Corporate/Other. Citigroup’s end-of-period deposits increased 15%10% to $1.2$1.3 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 17%7%, primarily driven by 21%17% growth in GCB and 5% growth in ICG, reflecting consistent client engagement and 8% growthelevated levels of liquidity in GCB.the financial system. (Citi’s results of operations and financial condition excluding the impact of FX translation are non-GAAP financial measures.)

Expenses
Citigroup operating expenses of $10.6$11.1 billion were largely unchanged versusincreased 4% from the prior-year period, as continuedprimarily driven by investments in the franchise, higher compensationCiti’s transformation, including infrastructure supporting its risk and volume-related expenses werecontrol environment, as well as other strategic investments, partially offset by efficiency savings and the wind-down of legacy assets.savings. Year-over-year, GCB and operating expenses remained largely unchanged, whileCorporate/Other ICG operating expenses declined 1% and 24%, respectively, while ICG expenses increased 3%8%.



Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims was a benefit of $7.0$2.1 billion compared to $2.0a cost of $7.0 billion in the prior-year period. The increaseperiod, reflecting net ACL reserve releases across ICG, GCB and Corporate/Other. Citi’s net ACL release of $3.9 billion primarily reflected the loan loss reserve builds related to the impact of changesan improvement in Citi’s economicmacroeconomic outlook, as well as lower loan balances. For additional information on estimated lifetime losses on the March 31, 2020 portfolios under the CECL standard due to the COVID-19 pandemic.Citi’s ACL, see “Significant Accounting Policies and Significant Estimates—Citi’s Allowance for Credit Losses (ACL)” below.
Net credit losses of $2.1$1.7 billion increased 8%.decreased 15% from the prior-year period. Consumer net credit losses of $2.0$1.6 billion increased 6%decreased 19%, primarily reflecting volume growthlower loan volumes and seasoningimproved delinquencies in the North Americacards portfolios. Corporate net credit losses increased to $127$186 million from $79$127 million in the prior-year 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.


3

Capital
Citigroup’s Common Equity Tier 1 (CET1) Capital ratio was 11.2%11.8% as of March 31, 2021, compared to 11.1% as of March 31, 2020, both based on the Basel III Advanced Approaches framework for determining risk-weighted assets, compared to 11.9% as of March 31, 2019, based on the Basel III Standardized Approach for determining risk-weighted assets. The declineincrease in the ratio primarily reflected higher net income, partially offset by the return of capital to common shareholders and an increase in risk-weighted assets, as Citi further supported its clients during the quarter, as well as increased market volatility and the widening of credit spreads. assets.
Citigroup’s Supplementary Leverage ratio as of March 31, 20202021 was 6.0%7.0%, compared to 6.4%6.0% as of March 31, 2019.2020. The increase was primarily driven by a decrease in Total Leverage Exposure, reflecting the benefit of temporary relief granted by the Federal Reserve Board. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Global Consumer Banking
GCB net income of $2.2 billion compared to a net loss of $0.8 billion, compared to income of $1.3 billion$740 million in the prior-year period, reflected higherreflecting lower cost of credit, partially offset by higher revenues and lower expenses.revenues. GCB operating expenses of $4.4 billion decreased 1%.were largely unchanged from the prior-year period. Excluding the impact of FX translation, expenses were largely unchanged, asdecreased 1%, primarily driven by efficiency savings wereand lower volume-related expenses, partially offset by continued investments in the franchise and volume-driven growth.investments.
GCBrevenues of $8.2$7.0 billion increased 1%decreased 14%. Excluding the impact of FX translation, revenues increased 2%decreased 15%, as strong deposit growth and momentum in wealth management were more than offset by lower card volumes and lower interest rates across all regions, reflecting the continued impact of the pandemic.
North America GCBwas partially offset by revenues of $4.4 billion decreased 15%, with lower revenues in Asia GCB,across Citi-branded cards, Citi retail services and retail banking, largely reflecting the earlycontinued impact of the COVID-19 pandemic on customer behavior. North America GCB pandemic. Citi-branded cards revenues of $5.2$2.1 billion increased 4%decreased 11%, reflecting higher payment rates driving lower average loans. Citi retail services revenues of $1.3 billion decreased 26%, primarily driven by growth in Citi-branded cards and Citi retail services, while retail banking revenues were largely unchanged. In North America GCB,Citi-branded cards revenues of $2.3 billion increased 7%, reflecting volume growthhigher partner payments as well as spread expansion. Citi retail servicesrevenues of $1.7 billion increased 4%, reflecting a reduction in partner payments and higherlower average loans. Retail banking revenues of $1.1$1.0 billion were largely unchanged versusdecreased 8%, as the prior-year period, asbenefit of stronger deposit growth and higher mortgage revenues werevolumes was more than offset by lower deposit spreads.
Year-over-year, North America GCB average deposits of $161$197 billion increased 8% year-over-year,22%, average retail banking loans of $51$52 billion increased 6% year-over-year3% and assets under
management of $62$82 billion declined 6% (including the impact of market movements)increased 32%. Average Citi-branded card loans of $92$79 billion increased 5%decreased 15%, while average Citi retail services loans of $44 billion decreased 13%, both reflecting higher payment rates. Citi-branded card purchase sales of $86 billion increased 3%, including pressure during the latter part of March, driven by reduced client activity related to the COVID-19 pandemic. Average Citi retail services loans of $51 billion increased 1%,were largely unchanged, while Citi retail services purchase sales of $18$19 billion decreased 3%increased 4%, including pressure during the latter part of March, driven by reduced client activity and store closures related to COVID-19.reflecting a continued recovery in sales activity. For additional information on the results of operations of North America GCB for the first quarter of 2020,2021, 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 $3.0$2.6 billion declined 5%12% versus the prior-year period. Excluding the impact of FX translation, international GCBrevenues declined 1%.14%, largely
reflecting the continued impact of the pandemic. On this basis, Latin America GCBrevenues were largely unchanged. Excluding the impact of a residual gain in the prior-year period on the sale of an asset management business, revenues increased 3%declined 16%, driven by lower loan volumes and lower deposit growth and improved spreads, in cards.partially offset by strong deposit growth. Asia GCBrevenues decreased 1%12%, as growth in fees on investmentslower card revenues and foreign currency transactions was more thanlower deposit spreads were partially offset by lowerhigher investments revenues in cards, reflecting lower sales volumes due to COVID-19.and strong deposit growth. For additional information on the results of operations of Latin America GCBand Asia GCB for the first quarter of 2020,2021, 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, excluding the impact of FX translation, international GCB average deposits of $129$148 billion increased 8%12%, average retail banking loans of $73$76 billion increased 6%,were largely unchanged and assets under management of $83$141 billion decreased 6% (including the impact of market movements),increased 23%. On this basis, international GCB average card loans of $24$22 billion increased 1%decreased 14% and card purchase sales of $24 billion decreased 4%5%, all excludingboth driven by continued lower customer activity related to the impact of FX translation.pandemic.

Institutional Clients Group
ICGnet income of $3.6$5.9 billionincreased 7%64%, primarily driven by higher revenues,lower cost of credit, partially offset by higher cost of creditexpenses and expenses.lower revenues. ICG operating expenses increased 3%8% to $5.8$6.3 billion, primarily driven by investments in infrastructure and controls as well as other strategic investments, higher compensation costs continued investments and volume-driven growth, partially offset by efficiency savings.
ICG revenues of $12.5$12.2 billion increased 25%decreased 2%, reflecting a 13% increase7% decrease in Banking revenues, andpartially offset by a 37%2% increase in Markets and securities servicesrevenues. The increasedecrease in Bankingrevenues included the impact of $816$81 million of gainslosses on loan hedges related to corporate lending and the private bank, compared to lossesgains of $231$816 million related to corporate lending and the private bank in the prior-year period.
Banking revenues of $5.2 billion (excludingExcluding the impact of gains (losses) on loan hedges) decreased 6%hedges, Banking revenues of $5.6 billion increased 9%, as declines in both corporate lending and treasury and trade solutions were partially offset by higher revenues in investment banking, the private bank. Investment banking revenues of $1.4 billionbank and corporate lending were largely unchanged, as growth in advisory and equity underwriting waspartially offset by a decline in treasury and trade solutions. Investment banking revenues of $2.0 billion increased 46%, primarily driven by strength in equity underwriting and growth in debt underwriting.underwriting, partially offset by a decline in advisory revenues. Advisory revenues


increased 2% decreased 27% to $386$281 million, equity underwriting revenues increased 5%significantly to $180$876 million and debt underwriting revenues declined 2%increased 4% to $784$816 million.
Treasury and trade solutions revenues of $2.4$2.2 billion declined 5%11%, and 2%or 10% excluding the impact of FX translation, as stronggood client engagement and growth in deposits were more than offset by the impact of lower USD and non-USD interest rates.rates and reduced commercial cards spend. Private bank revenues of $949 million increased 8% (excluding1% to $1.0 billion. Excluding the impact of gains (losses) on loan hedges)hedges, private bank revenues increased 8%, driven by higher lendingloan volumes and deposit volumesspreads, as well as increased capital markets activity,higher deposit volumes and managed investments revenue, partially offset by lower deposit spreads.spreads reflecting the impact of lower interest rates. Corporate lending revenues of $1.3 billion increased from $518$411 million in the prior-year period.decreased 66%. Excluding the impact of gains (losses) on loan hedges, corporate lending revenues decreased 40%of $483 million
4

increased 8%, primarily reflecting an adjustmentdue to the residual valueabsence of a lease financing, as well as other marks on the portfolio.portfolio driven by the elevated market volatility related to the pandemic in the prior-year period, partially offset by lower loan volumes.
Markets and securities services revenues of $6.5$6.7 billion increased 37%2%.Fixed income markets revenues of $4.8$4.6 billion increased 39%decreased 5%, primarily reflecting strength in rates and currencies and commodities.in the prior-year period, partially offset by higher revenues in spread products. Equity markets revenues of $1.2$1.5 billion increased 39%26%, with strong performancedriven by strength in cash equities, derivatives including an increase inand prime finance, reflecting solid client activity due to higher volatility.and favorable market conditions. Securities services revenues of $645$653 million increased 1%, and 5% excluding. Excluding the impact of FX translation, reflecting higher client activity andsecurities services revenues were unchanged, as growth in deposit volumes, partiallyassets under custody and settlement volumes was offset by lower spreads.deposit spreads, given lower interest rates. For additional information on the results of operations of ICG for the first quarter of 2020,2021, see “Institutional Clients Group” below.

Corporate/Other
Corporate/Other net loss was $351$170 million in the first quarter of 2020,2021, compared to a net loss of $11$351 million in the prior-year period, driven primarily by higherlower cost of credit, reflecting loan loss reservesa net ACL release on Citi’s residual legacy portfolio under the CECL standard, and lower revenues, partially offset by a decrease in expenses.portfolio. Operating expenses of $416$413 million declined 24%1%, reflecting the continued wind-down of legacy assets, partiallyas investments in infrastructure, risk and controls were largely offset by higher infrastructurethe allocation of certain costs as well as incremental costs associated with COVID-19, including special compensation awarded to 75,000 employees most directly impacted byGCB and ICG. (For additional information about these cost allocations, see Note 3 to the pandemic. Consolidated Financial Statements.)
Corporate/Other revenues of $70 million declined from $73 million declined 84%, reflectingin the wind-down of legacy assets,prior-year period, as the impact of lower interest rates andwas offset by the absence of marks on legacy securities.versus the prior-year period, as well as episodic gains in the current quarter. For additional information on the results of operations of Corporate/Other for the first quarter of 2020,2021, see “Corporate/Other” below.



CITI’S CONSENT ORDER COMPLIANCE
Citi’s multiyear transformation efforts continue. This includes efforts to effectively implement the October 2020 Federal Reserve Board and Office of the Comptroller of the Currency (OCC) consent orders issued to Citigroup and Citibank, respectively. In the second quarter of 2021, Citi made a submission to the OCC. Citi continues to work closely with the regulators to meet their expectations and intends to submit its complete plan to both regulators no later than the third quarter of 2021.
For additional information about Citi’s transformation and the consent orders, see “Citi’s Consent Order Compliance” and “Risk Factors—Compliance Risks” in Citi’s 2020 Annual Report on Form 10-K.

COVID-19 OVERVIEWPANDEMIC
In addition to the widespread public health implications, the emergence of the COVID-19 pandemic has hadcontinued to have an extraordinary impact on macroeconomic conditions in the U.S. and around the world. The health and safety of Citi’s employees and their families, as well as Citi’s customers, clients and communities it serves, are of the utmost importance. As this health crisis has unfolded,Despite these impacts, Citi has continued to take proactive measures to preserve their well-being while maintaining its ability to serve customers and clients.
During the pandemic, Citi remained well positioned from a capital and liquidity perspective, and has maintained strong business operations. At quarter end, Citi had a CET1 Capital ratio of 11.2%, a Supplementary Leverage Ratio of 6.0% and a Liquidity Coverage Ratio of 115%, with $840 billion of available liquidity (see “Managing Global Risk—Liquidity Risk” below). As discussed below and elsewhere throughout this Form 10-Q, Citi's businesses, results of operations and financial condition have been impacted by economic dislocations caused by the COVID-19 pandemic. Governments and central banks globally have taken a series of aggressive actions to support the economy and mitigate the systemic impacts of the pandemic, and Citi continues to proactively assess and utilize these measures where appropriate.

Citi’s COVID-19 Response—Supporting Employees, Customers and Communities

Citi Employees

Approximately 80% of Citi employees around the world are working remotely.
Citi is providing more than 75,000 employees globally with a special compensation award to help ease the financial burden of the crisis. This includes a $1,000 special payment to eligible colleagues in the U.S. Outside the U.S., the amount of the award is based on local market compensation levels.
Employees who cannot work due to COVID-19-related challenges continue to be compensated.
Clinical staff have been working to support our employees.
Extra cleaning protocols and protective supplies have been put in place at Citi sites, branches and ATMs, and staff have been educated on preventive measures.

Global Consumer Banking Customers

North America GCB:In the U.S., Citi was one of the first banks to announce assistance measures for impacted customers and has since expanded its support. These measures include:
Credit Cards: Waivers on late fees and deferral of minimum payments for two payment cycles.
Retail Banking / Small Businesses: Waivers on fees including non-Citi ATM fees and monthly service fees.


Mortgages: In addition to extending existing treatment options, Citi is suspending foreclosures for 60 days.
Small Businesses: Citi is participating in the Small Business Administration’s (SBA) Paycheck Protection Program (see “Small Business Administration’s Paycheck Protection Program” below).

Asia GCB:Citi`s assistance measures include a wide array of programs for different types of products, providing short- and medium-term relief to customers in various countries. In certain countries, the local regulators mandated relief programs to counter the economic stress as a result of the
COVID-19 outbreak. Relief has been provided to credit card, mortgage, margin product and personal loan customers in the form of:
Payment deferrals for revolving products and overdrafts of up to 3 months
Payment deferrals for installment loans up to 12 months
Interest and fee waivers
Reduction in minimum due payments

Latin America GCB:In Mexico, assistance measures for impacted credit card, mortgage, personal loan, payroll loan and small business banking customers in the form of:
Deferral of minimum payments for up to 6 months
Temporary interest rate reductions
Waivers on certain fees

Although some of Citi`s customer relief programs were introduced recently, programs in effect during the first quarter totaled approximately $1 billion of loan balances as of quarter end, excluding troubled debt restructurings (see “Troubled Debt Restructuring (TDR) Relief” below). These loan balances are expected to increase in the second quarter of 2020, as many programs were introduced toward the end of the first quarter of 2020 and have subsequently expanded. Loan balances for programs in effect during the first quarter were primarily concentrated in Asia GCB.

Corporate Clients

Citi is prudently extending credit to corporate clients to support their liquidity objectives and business needs.
Clients have drawn approximately $25 billion in financing on previously extended credit facilities.
More than $21 billion of new credit facilities have been approved.
Citi facilitated $292 billion of clients’ new debt issuances in the investment-grade debt markets during the first quarter of 2020.
Citi is leveraging digital capabilities to assist clients with supply chain management and liquidity optimization.

Communities
Citi, the Citi Foundation and Citi colleagues are supporting those immediately impacted by the crisis through a variety of efforts. Citi is donating its net profits earned through its participation in the Paycheck Protection Program to the Citi Foundation. The Citi Foundation will use the funds to expand
its COVID-19 U.S. Small Business Relief Program to support efforts by Community Development Financial Institutions to serve small, diverse entrepreneurs who may not fully qualify for federal government stimulus funding. To date, Citi and the Citi Foundation have committed over $65 million in support of COVID-19 community relief efforts. Citi has also launched an employee matching campaign to further extend employee contributions in support of COVID-19 relief efforts. Citi has also organized donations of Personal Protective Equipment (PPE) to healthcare workers and is facilitating other assistance measures such as meals for food banks.

Citi’s Management of COVID-19 Risks
Citi has responded on multiple fronts to the recent challenges of the COVID-19 pandemic to support the ongoing needs of its customers and clients, while concurrently maintaining safety and soundness standards throughout the crisis.
Citi’s dedicated continuity of business and crisis management groups are managing Citi’s protocols in response to the COVID-19 pandemic. These protocols provide for the safety and well-being of Citi’s staff, while continuing to maintain high levels of client servicing across all of the markets in which Citi operates. These protocols address the prioritization of critical processing; ability of staff and third parties to support these processes from remote work locations; deployment of new hardware to support technology needs; and ongoing monitoring to assess controls and service levels. Planning for Citi’s return-to-office strategy is ongoing.
Citi’s organizational response to the COVID-19 pandemic was governed by Citi’s Executive Management Team and driven through regional task forces that were deployed initially in Asia and subsequently in EMEA, North America and Latin America as the pandemic spread. Led by regional CEOs and their management teams, these groups focused on COVID-19 pandemic responses, the implementation of continuity of business plans, locational and staffing strategies and responses to customer and client needs.
Throughout the crisis, Citi has also worked closely with U.S. authorities and host governments on implementing immediate policy responses and financial assistance structures to mitigate the systemic impacts of the pandemic. Citi also continues to engage closely with customers and clients, regulators and other relevant stakeholders to assure alignment on all COVID-19 pandemic-related matters.
Citi expects that overall revenues in the near term, including GCB and ICG revenues, could be adversely impacted by the lower interest rate environment as well as the challenging macroeconomic and market conditions, including the effects related to the severity and duration of the COVID-19 pandemic as well as the responses of governments, customers and clients. In particular, Asia GCB experienced some initial impact of the COVID-19 pandemic on customer behavior in the first quarter of 2020, while North America GCB and Latin America GCB began to experience impacts, such as significant declines in cards purchase sales, only during the second half of March 2020. Citi expects that these impacts to its GCB businesses, including lower purchase sales and loan volumes, will continue at least through the second quarter of 2020.


In addition, Citi’s operating expenses may be impacted by uncertainties related to the pandemic, including, among other things, the continued efforts to protect and support Citigroup’s employees and to support Citi’s customers and clients digitally.
Moreover, Citi, including GCB and ICG, expects to experience higher net credit losses given Citi’s current economic forecasts, and a continued significant impact on its reserves for credit losses, especially if the economic environment continues to, or under the CECL standard is forecasted to, deteriorate. ICG expects net credit loss reserve builds due to further credit downgrades. For additional information about significant risks to Citi from the COVID-19 pandemic, see “Risk Factors” below.

Balance Sheet and Other Impacts Related to COVID-19
Balance Sheet Trends
As of March 31, 2020, Citi’s end-of-period balance sheet grew 13% from the prior-year period (16% excluding the impact of FX translation) and 14% sequentially (16% excluding the
impact of FX translation), as it supported both its consumer
and institutional clients through the uncertainty caused by the COVID-19 pandemic, while maintaining a strong capital and
liquidity profile. This included year-over-year loan growth of 6% (8% excluding the impact of FX translation) and deposit growth of 15% (17% excluding the impact of FX translation), both reflecting significant growth in ICG. For additional information, see “Liquidity Risk” below.

Impact of CECL on Citi’s Allowance for Credit Losses
On January 1, 2020, Citi adopted the new CECL standard and recorded a $4.1 billion, or an approximate 29%, increase in the allowance for credit losses. As discussed above, during the quarter Citi also built approximately $4.9 billion of net loan loss reserves, reflecting the impact of changes in Citi’s
economic outlook on estimated lifetime losses under the CECL standard due to the COVID-19 pandemic.
The table below shows the impact of Citi’s adoption of CECL and the credit reserve builds during the quarter. For additional information on Citi’s updated accounting policy on accounting for credit losses under CECL, see Notes 1 and 14 to the Consolidated Financial Statements.

 Allowance for credit losses (ACL)
In millions of dollarsBalance December 31, 2019CECL transition impactBalance January 1, 2020
Build
in first quarter of 2020
FX/Other in first quarter of 2020Balance March 31, 2020
ACLL/EOP loans March 31, 2020(1)
Cards(1)
$8,419
$4,456
$12,875
$2,420
$(215)$15,080
9.48%
All other GCB
1,200
566
1,766
413
(217)1,962
 
Global Consumer Banking$9,619
$5,022
$14,641
$2,833
$(432)$17,042
6.10%
Institutional Clients Group2,886
(717)2,169
1,316
(34)3,451
0.81
Corporate/Other278
(104)174
187
(13)348
 
Allowance for credit losses on loans (ACLL)$12,783
$4,201
$16,984
$4,336
$(479)$20,841
2.91%
Allowance for credit losses on unfunded lending commitments1,456
(194)1,262
557
(6)1,813
 
Other—
96
96
2
32
130
 
Total allowance for credit losses (ACL)$14,239
$4,103
$18,342
$4,895
$(453)$22,784



(1)
As of March 31, 2020, in North America GCB, Citi-branded cards ACLL/EOP loans was 8.2% and Citi retail services ACLL/EOP loans was 12.6%.

Accumulated Other Comprehensive Income (AOCI)
In the first quarter of 2020, Citi's AOCI was a net after-tax gain of $3.8 billion, driven primarily by COVID-19-related economic disruptions in financial markets. Citi’s own credit spreads widened, resulting in a $3.1 billion (after-tax) DVA gain on Citi’s debt accounted for under the fair value option. Currency fluctuations resulted in a $4.1 billion currency translation adjustment loss, which was driven by the strengthening of the U.S. dollar against most currencies. Other significant drivers were a net $3.1 billion increase in unrealized gains on AFS investment securities, which was driven by the reductions in interest rates, and a $1.9 billion gain on cash flow hedges. The DVA gain and cash flow hedge gain do not have an impact on regulatory capital. For
additional information on the components of Citi’s AOCI, see Note 17 to the Consolidated Financial Statements.

Common Stock Repurchases
As discussed above, on March 15, 2020, Citi joined other major U.S. banks in suspending stock repurchases to further bolster Citi’s capital and liquidity positions in order to allow additional capacity to support clients in light of the COVID-19 pandemic. There was no change to Citi’s dividend policy.with consistently strong business operations. For additional information, see “Equity Security Repurchases” below.


Principal Transactions Revenues
Global trading markets experienced significant increases in volatility, trading volumes and movements. Citi’s principal transactions revenues, recorded in ICG, were $5.4 billion in the first quarter of 2020, an increase of $2.7 billion from the prior-year period. For additional information on Citi’s trading results, see “Institutional Clients Group” and Note 6 to the Consolidated Financial Statements.

Goodwill and Intangible Assets and Other Long-Lived Assets
Goodwill, intangible assets and other long-lived assets were evaluated for impairment triggers assupport of March 31, 2020 and it was determined that there was no indication of impairment. For additional information, see Note 15 to the Consolidated Financial Statements.

Certain Key Government Actions in Support of the Economy

U.S. Government-Sponsored Liquidity Programs
During the first quarter of 2020, the Federal Reserve Board (FRB) introduced several liquidity facilities in response to the funding market volatility caused by the COVID-19 pandemic. Citi has participated in several of the U.S. government-sponsored liquidity programs, including the Money Market Mutual Fund Liquidity Facility (MMLF), the Primary Dealer Credit Facility (PDCF) and Discount Window (DW) in order to facilitate client activity and support the FRB actions to provide additional liquidity into the market. Citi has also participated in the Paycheck Protection Program Lending Facility (PPPLF), which was established to facilitate lendingunder the SBA’s Paycheck Protection Program (see “Small Business Administration’s Paycheck Protection Program” below). The amounts Citi sourced from these facilities were not significant to Citi’s overall liquidity profile, which remains strong and highly liquid. For additional information about Citi’s liquidity resources, see “Managing Global Risk—Liquidity Risk” below.

U.S. Banking Agencies Regulatory Capital Relief
The U.S. banking agencies issued several interim final rules during March and April 2020 to revise the current regulatory capital standards applicable to Citi, in light of the COVID-19 pandemic. These interim final rules revised regulatory capital requirements to provide banking organizations with additional flexibility to support households and businesses. These include:

Easing of capital distribution limits in the event of regulatory capital buffer breaches, which provides some flexibility to continue distributing capital under certain circumstances.
Modification of the CECL transition provision to defer the January 1, 2020 capital impact to January 1, 2022 and to provide additional capital relief for ongoing increases in credit reserves. Citi’s reported Common Equity Tier 1 Capital ratio at March 31, 2020, reflecting the modified CECL transition provision, was 33 bps higher than Citi’s Common Equity Tier 1 Capital ratio reflecting the full
impact of CECL on regulatory capital.
Temporary Supplementary Leverage Ratio (SLR) relief for bank holding companies, commencing in the second quarter of 2020, allowing Citigroup to temporarily expand its balance sheet by excluding U.S. Treasury securities and deposits with the FRB from the SLR denominator. If the rule had been in effect at March 31, 2020, Citigroup’s SLR would have increased by 69 bps. The SLR requirements for Citibank were unchanged by the FRB’s interim final rule.

For additional information about regulatory capital relief provided by the U.S. banking agencies, see “Capital Resources” below.

Troubled Debt Restructuring (TDR) Relief
Under U.S. GAAP, banks are required to assess modifications to a loan’s terms for potential classification as a TDR. A loan to a borrower experiencing financial difficulty is classified as a TDR when a lender grants a concession that it would otherwise not consider, such as a payment deferral or interest concession. In order to encourage banks to work with impacted borrowers, the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) and U.S. banking agencies have provided relief from TDR accounting. The main benefits of TDR relief include a capital benefit in the form of reduced risk-weighted assets, as TDRs are more heavily risk-weighted for capital purposes; aging of the loans is frozen, i.e., they will continue to be reported in the same delinquency bucket they were in at the time of modification; and the loans are generally not reported as non-accrual during the modification period.

Small Business Administration’s Paycheck Protection Program
The Paycheck Protection Program (PPP) authorizes the origination of forgivable loans to small businesses to pay their employees during the COVID-19 pandemic. Loan terms are the same for all businesses. Citi is participating in the PPP and has approved applications representing more than $3.3 billion in loans as of May 1, 2020. Citi remains committed to supporting small businesses.



RISK FACTORS

Macroeconomic and Other Challenges and Uncertainties Related to the COVID-19 Pandemic Will Likely Continue to Have Negative Impacts on Citi’s Businesses and Results of Operations and Financial Condition.
The COVID-19 pandemic has had, and will likely continue to have, negative impacts on Citi’s businesses, revenues, expenses, credit costs and overall results of operations and financial condition, which could be material. The pandemic and responses to it have had, and will likely continue to have, a severe impact on global economic conditions, including:

sharply reduced U.S. and global economic output and employment;
disruption of global supply chains;
significant disruption and volatility in financial markets;
temporary closures, reduced activity and failures of many businesses, leading to loss of revenues and net losses; and
the institution of social distancing and restrictions on movement in the United States and other countries.

The extent of the COVID-19 pandemic’s impact on Citi’s financial performance and operations, including its ability to execute its business initiatives and strategies, will depend on future developments in the U.S. and globally, which are uncertain and cannot be predicted, including the duration and further spread of the disease. The impact will in part be dependent on government and other actions taken to lessen the health and economic repercussions, such as restrictions on movement of people, transportation and businesses, and various fiscal, monetary and other governmental actions. Ongoing legislative and regulatory changes in the U.S. and globally to address the economic impact from the pandemic, such as consumer and corporate relief measures, could further affect Citi’s businesses and results. Citi could also face challenges, including legal and reputational, and scrutiny in its implementation of and ongoing efforts to provide these relief measures. In addition, the different types of government actions could vary in scale and duration across jurisdictions and regions with varying degrees of effectiveness. The impact of the pandemic on Citi’s consumer and corporate borrowers will also vary by region, sector or industry, with some borrowers experiencing greater stress levels, which could lead to increased pressure on the results of operations and financial condition of such borrowers, increased borrowings or ratings downgrades, thus likely leading to higher loan losses. In addition, stress levels ultimately experienced by Citi’s borrowers may be different from and more intense than assumptions made in earlier estimates or models used by Citi during or prior to the emergence of the pandemic.
The pandemic may not be fully contained for an extended period of time, with the re-emergence of widespread infections possible. A prolonged health crisis could continue to reduce economic activity in the U.S. and other countries, resulting in a further decline in employment and business and consumer confidence. These factors could further negatively impact global economic activity and Citi’s consumercolleagues, customers and corporate clients; cause a continued decline in Citi’s revenues
communities and the use of its products and services; and further increase Citi’s credit and other costs. These factors could also cause a continued increase in Citi’s balance sheet and risk-weighted assets, resulting in a decline in regulatory capital ratios or liquidity measures. Moreover, any disruption or failure of Citi’s performance of, or its ability to perform, key business functions, as a result of the continued spread of COVID-19 or otherwise, could adversely affect Citi’s operations.
A substantial portion of Citi’s employees have been affected by local COVID-19 restrictions and have been forced to work remotely. As a result, any disruption to Citi’s information technology systems, including from cyber incidents, could have adverse effects on Citi’s businesses. In addition, these systems interface with and depend on third-party systems, and Citi could experience service denials or disruptions if demand for such systems were to exceed capacity or if a third-party system fails or experiences any interruptions. Citi has also taken measures to maintain the health and safety of its employees; however, widespread illness could negatively affect staffing within certain functions, businesses or geographies. In addition, Citi’s ability to recruit, hire and onboard employees in key areas could be negatively impacted by global COVID-19 restrictions.
Further, it is unclear how the macroeconomic business environment or societal norms may be impacted after the pandemic. The post-COVID-19 environment may undergo unexpected developments or changes in financial markets, the fiscal, tax and regulatory environments and consumer customer and corporate client behavior. These developments and changes could have an adverse impact on Citi’s results of operations and financial condition. Ongoing business and regulatory uncertainties and changes may make Citi’s longer-term business, balance sheet and budget planning more difficult or costly. Citi, its management and its businesses may also experience increased or different competitive and other challenges in this environment. To the extent that Citi is not able to adapt or compete effectively, the Company could experience loss of business and its results of operations and financial condition could suffer.
For additional information about trends, uncertainties and risks related to the COVID-19 pandemic as well as Citi’s management of COVID-19-related risks, see “COVID-19 Overview,” above.
For information about the other most significant risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition, which could be exacerbated or realized by the COVID-19-related risks discussed above, see “Risk Factors”Pandemic Overview” in Citi’s 2019Citigroup’s 2020 Annual Report on Form 10-K.




















































5





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RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1DATA
Citigroup Inc. and Consolidated Subsidiaries
First Quarter
In millions of dollars, except per share amounts2021
2020(1)
% Change
Net interest revenue$10,166 $11,492 (12)%
Non-interest revenue9,161 9,239 (1)
Revenues, net of interest expense$19,327 $20,731 (7)%
Operating expenses11,073 10,643 4 
Provisions for credit losses and for benefits and claims(2,055)6,960 NM
Income from continuing operations before income taxes$10,309 $3,128 NM
Income taxes2,332 580 NM
Income from continuing operations$7,977 $2,548 NM
Income (loss) from discontinued operations, net of taxes(2)(18)89 %
Net income before attribution of noncontrolling interests$7,975 $2,530 NM
Net income attributable to noncontrolling interests33 (6)NM
Citigroup’s net income$7,942 $2,536 NM
Earnings per share
Basic
Income from continuing operations$3.64 $1.07 NM
Net income3.64 1.06 NM
Diluted
Income from continuing operations$3.62 $1.06 NM
Net income3.62 1.06 NM
Dividends declared per common share0.51 0.51 — %
Common dividends$1,074 $1,081 (1)%
Preferred dividends(2)
292 291 — 
Common share repurchases1,600 2,925 (45)
 First Quarter 
In millions of dollars, except per share amounts20202019% Change
Net interest revenue$11,492
$11,759
(2)%
Non-interest revenue9,239
6,817
36
Revenues, net of interest expense$20,731
$18,576
12 %
Operating expenses10,594
10,584
—
Provisions for credit losses and for benefits and claims7,027
1,980
NM
Income from continuing operations before income taxes$3,110
$6,012
(48)%
Income taxes576
1,275
(55)
Income from continuing operations$2,534
$4,737
(47)%
Income (loss) from discontinued operations, net of taxes(18)(2)NM
Net income before attribution of noncontrolling interests$2,516
$4,735
(47)%
Net income attributable to noncontrolling interests(6)25
NM
Citigroup’s net income$2,522
$4,710
(46)%
Earnings per share  

Basic  

Income from continuing operations$1.06
$1.88
(44)%
Net income1.05
1.88
(44)
Diluted  

Income from continuing operations$1.06
$1.87
(43)%
Net income1.05
1.87
(44)
Dividends declared per common share0.51
0.45
13
Common dividends$1,081
$1,075
1 %
Preferred dividends(1)
291
262
11
Common share repurchases2,925
4,055
(28)

Table continues on the next page, including footnotes.


6

SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2DATA
(Continued)
Citigroup Inc. and Consolidated Subsidiaries
In millions of dollars, except per share amounts, ratios and
direct staff		First Quarter
2021
2020(1)
% Change
At March 31:
Total assets$2,314,266 $2,220,114 4 %
Total deposits1,300,975 1,184,911 10 
Long-term debt256,335 266,098 (4)
Citigroup common stockholders’ equity182,269 174,695 4 
Total Citigroup stockholders’ equity202,549 192,675 5 
Average assets2,316,793 2,080,054 11 
Direct staff (in thousands)
211 201 5 %
Performance metrics
Return on average assets1.39 %0.49 %
Return on average common stockholders’ equity(3)
17.2 5.2 
Return on average total stockholders’ equity(3)
16.1 5.3 
Return on tangible common equity (RoTCE)(4)
20.1 6.1 
Efficiency ratio (total operating expenses/total revenues, net)57.3 51.3 
Basel III ratios
Common Equity Tier 1 Capital(5)
11.78 %11.11 %
Tier 1 Capital(5)
13.49 12.54 
Total Capital(5)
15.64 14.97 
Supplementary Leverage ratio6.96 5.96 
Citigroup common stockholders’ equity to assets7.88 %7.87 %
Total Citigroup stockholders’ equity to assets8.75 8.68 
Dividend payout ratio(6)
14 48 
Total payout ratio(7)
35 178 
Book value per common share$88.18 $83.92 5 %
Tangible book value (TBV) per share(4)
75.50 71.69 5 
 First Quarter 
In millions of dollars, except per share amounts, ratios and direct staff20202019% Change
At March 31:   
Total assets$2,219,770
$1,958,413
13 %
Total deposits1,184,911
1,030,355
15
Long-term debt266,098
243,566
9
Citigroup common stockholders’ equity174,351
178,272
(2)
Total Citigroup stockholders’ equity192,331
196,252
(2)
Average assets2,079,719
1,939,414
7
Direct staff (in thousands)
201
203
(1)
Performance metrics  

Return on average assets0.49%0.98%

Return on average common stockholders’ equity(2)
5.2
10.2


Return on average total stockholders’ equity(2)
5.3
9.8


Return on tangible common equity (RoTCE)(3)
6.0
11.9
 
Efficiency ratio (total operating expenses/total revenues)51.1
57.0


Basel III ratios   
Common Equity Tier 1 Capital(4)
11.17%11.91% 
Tier 1 Capital(4)
12.61
13.44
 
Total Capital(4)
15.11
16.41
 
Supplementary Leverage ratio5.97
6.43
 
Citigroup common stockholders’ equity to assets7.85%9.10% 
Total Citigroup stockholders’ equity to assets8.66
10.02
 
Dividend payout ratio(5)
48.6
24.1
 
Total payout ratio(6)
179.6
115.3
 
Book value per common share$83.75
$77.09
9 %
Tangible book value (TBV) per share(3)
71.52
65.55
9
(1)    In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows: an increase to beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other assets related to income taxes; a decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively; and increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively. See Note 1 to the Consolidated Financial Statements for additional information.
(1)Certain series of preferred stock have semi-annual payment dates. See Note 9 to the Consolidated Financial Statements.
(2)
(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.
(4)    RoTCE and TBV are non-GAAP financial measures. For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Return on Equity” below.
(5)    Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital as of March 31, 2021 and March 31, 2020 were derived under the Basel III Advanced Approaches frameworks.
(6)    Dividend payout ratio is calculated as dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(3)For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.
(4)Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of March 31, 2020, and the Basel III Standardized Approach as of March 31, 2019, whereas Citi’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework for all periods presented. This reflects the U.S. Basel III requirement to report the lower of risk-based capital ratios under both the Standardized Approach and Advanced Approaches in accordance with the Collins Amendment of the Dodd-Frank Act.
(5)Dividends declared per common share as a percentage of net income per diluted share.
(7)    Total payout ratio is calculated as total common dividends declared plus common share as a percentage of net income per diluted share.
(6)
Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders (Net income, less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
NM Not Meaningfulmeaningful




7

SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
First Quarter
In millions of dollars20212020% Change
Income (loss) from continuing operations
Global Consumer Banking
  North America$1,857 $(916)NM
  Latin America53 (29)NM
  Asia(1)
264 204 29 %
Total$2,174 $(741)NM
Institutional Clients Group
  North America$2,798 $896 NM
  EMEA1,476 1,035 43 %
  Latin America646 526 23 
  Asia1,052 1,169 (10)
Total$5,972 $3,626 65 %
Corporate/Other(169)(337)50 
Income from continuing operations$7,977 $2,548 NM
Discontinued operations$(2)$(18)89 %
Less: Net income attributable to noncontrolling interests33 (6)NM
Citigroup’s net income$7,942 $2,536 NM
 First Quarter 
In millions of dollars20202019% Change
Income (loss) from continuing operations   
Global Consumer Banking   
  North America$(910)$707
NM
  Latin America(36)216
NM
  Asia(1)
191
397
(52)
Total$(755)$1,320
NM
Institutional Clients Group

 

  North America$896
$748
20 %
  EMEA1,035
1,125
(8)
  Latin America526
540
(3)
  Asia1,169
999
17
Total$3,626
$3,412
6 %
Corporate/Other(337)5
NM
Income from continuing operations$2,534
$4,737
(47)%
Discontinued operations$(18)$(2)NM
Less: Net income attributable to noncontrolling interests(6)25
NM
Citigroup’s net income$2,522
$4,710
(46)%


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


CITIGROUP REVENUES
First Quarter
In millions of dollars20212020% Change
Global Consumer Banking
  North America$4,428 $5,224 (15)%
  Latin America1,008 1,199 (16)
  Asia(1)
1,601 1,751 (9)
Total$7,037 $8,174 (14)%
Institutional Clients Group
  North America$4,898 $4,947 (1)%
  EMEA3,713 3,470 7 
  Latin America1,136 1,418 (20)
  Asia2,473 2,649 (7)
Total$12,220 $12,484 (2)%
Corporate/Other70 73 (4)
Total Citigroup net revenues$19,327 $20,731 (7)%
(1)    Asia GCB includes the results of operations of GCB activities in certain EMEA countries.




8
 First Quarter 
In millions of dollars20202019% Change
Global Consumer Banking   
  North America$5,224
$5,000
4 %
  Latin America1,199
1,272
(6)
  Asia(1)
1,751
1,818
(4)
Total$8,174
$8,090
1 %
Institutional Clients Group

 

  North America$4,947
$3,269
51 %
  EMEA3,470
3,170
9
  Latin America1,418
1,268
12
  Asia2,649
2,311
15
Total$12,484
$10,018
25 %
Corporate/Other73
468
(84)
Total Citigroup net revenues$20,731
$18,576
12 %
(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.






SEGMENT BALANCE SHEET(1)—MARCH 31, 20202021
In millions of dollarsGlobal
Consumer
Banking		Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Assets    
Cash and deposits with banks, net of allowance$7,403 $82,109 $235,170 $— $324,682 
Securities borrowed and purchased under agreements to resell, net of allowance235 314,639 198 — 315,072 
Trading account assets1,828 345,604 13,227 — 360,659 
Investments, net of allowance1,239 129,331 342,389 — 472,959 
Loans, net of unearned income and allowance
for credit losses on loans		250,566 387,916 5,868 — 644,350 
Other assets, net of allowance39,902 114,004 42,638 — 196,544 
Net inter-segment liquid assets(4)
137,666 402,604 (540,270)— — 
Total assets$438,839 $1,776,207 $99,220 $— $2,314,266 
Liabilities and equity   
Total deposits$353,423 $938,292 $9,260 $— $1,300,975 
Securities loaned and sold under agreements
to repurchase		2,095 217,071 2 — 219,168 
Trading account liabilities1,208 177,139 770 — 179,117 
Short-term borrowings— 28,078 4,009 — 32,087 
Long-term debt(3)
1,174 74,804 16,258 164,099 256,335 
Other liabilities, net of allowance19,267 82,471 21,573 — 123,311 
Net inter-segment funding (lending)(3)
61,672 258,352 46,624 (366,648)— 
Total liabilities$438,839 $1,776,207 $98,496 $(202,549)$2,110,993 
Total stockholders’ equity(5)
— — 724 202,549 203,273 
Total liabilities and equity$438,839 $1,776,207 $99,220 $— $2,314,266 

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of March 31, 2021. 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 are reflected on the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage ratio (LCR) assumptions.
(5)Corporate/Other equity represents noncontrolling interests.






9
In millions of dollars
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Assets     
Cash and deposits with banks, net of allowance$6,432
$88,038
$191,450
$—
$285,920
Securities borrowed and purchased under agreements to resell, net of allowance93
262,157
286
—
262,536
Trading account assets2,609
350,705
11,686
—
365,000
Investments, net of allowance1,002
128,915
268,966
—
398,883
Loans, net of unearned income and
  allowance for credit losses on loans
262,277
429,128
8,774
—
700,179
Other assets, net of allowance36,398
132,238
38,616
—
207,252
Net inter-segment liquid assets(4)
94,042
331,746
(425,788)—
—
Total assets$402,853
$1,722,927
$93,990
$—
$2,219,770
Liabilities and equity    
Total deposits$293,896
$878,252
$12,763
$—
$1,184,911
Securities loaned and sold under
  agreements to repurchase
1,253
221,048
23
—
222,324
Trading account liabilities1,929
161,608
458
—
163,995
Short-term borrowings289
31,222
23,440
—
54,951
Long-term debt(3)
1,246
61,648
46,743
156,461
266,098
Other liabilities, net of allowance17,077
98,262
19,170
—
134,509
Net inter-segment funding (lending)(3)
87,163
270,887
(9,258)(348,792)—
Total liabilities$402,853
$1,722,927
$93,339
$(192,331)$2,026,788
Total stockholders’ equity(5)
—
—
651
192,331
192,982
Total liabilities and equity$402,853
$1,722,927
$93,990
$—
$2,219,770

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of March 31, 2020. The respective segment information depicts the assets and liabilities managed by each segment as of such date.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
(3)The total stockholders’ equity and the majority of long-term debt of Citigroup reside on the Citigroup parent company balance sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquid assets (primarily consisting of cash, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
(5)
Corporate/Other equity represents noncontrolling interests.





































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GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, Citi-branded cards and, in the U.S., Citi retail services (for additional information on these businesses, see “Citigroup Segments” above).services. GCB is focused on its priority markets in the U.S., Mexico and Asia. As of March 31, 2021, AsiaGCB with 2,333had 2,241 branches in 19 countries and jurisdictions as of March 31, 2020. At March 31, 2020, GCB had approximately $403with $439 billion in assets and $294$353 billion in retail banking deposits.
GCB’s overall strategy is to leverage Citi’sits global footprint and be the pre-eminent bank for the affluentdigital capabilities to develop multi-product relationships with customers—both in and emerging affluent consumersout of Citi’s branch footprint. To achieve this, GCB strives to optimize its clients’ experiences across lending, payments and wealth management through continued digitization, new partnerships and innovation. For information on Citi’s recently announced strategic actions, including its intention to pursue exits of consumer franchises in large urban centers. In credit cards13 markets across Asia and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies.EMEA, see “Asia GCB” below.
First Quarter First Quarter
In millions of dollars, except as otherwise noted20202019% ChangeIn millions of dollars, except as otherwise noted20212020% Change
Net interest revenue$7,072
$6,940
2 %Net interest revenue$5,953 $7,072 (16)%
Non-interest revenue1,102
1,150
(4)Non-interest revenue1,084 1,102 (2)
Total revenues, net of interest expense$8,174
$8,090
1 %Total revenues, net of interest expense$7,037 $8,174 (14)%
Total operating expenses$4,368
$4,416
(1)%Total operating expenses$4,396 $4,417 — %
Net credit losses on loans$1,983
$1,868
6 %Net credit losses on loans$1,580 $1,934 (18)%
Credit reserve build (release) for loans2,829
96
NM
Credit reserve build (release) for loans(1,806)2,811 NM
Provision (release) for credit losses on unfunded lending commitments(1)(3)67
Provision (release) for credit losses on unfunded lending commitments— (1)100 
Provisions for benefits and claims, HTM debt securities and other assets20
12
67
Provisions for benefits and claims, HTM debt securities and other assets35 20 75 
Provisions for credit losses and for benefits and claims (PBC)$4,831
$1,973
NM
Provisions (releases) for credit losses and for benefits and claims (PBC)Provisions (releases) for credit losses and for benefits and claims (PBC)$(191)$4,764 NM
Income (loss) from continuing operations before taxes$(1,025)$1,701
NM
Income (loss) from continuing operations before taxes$2,832 $(1,007)NM
Income taxes (benefits)(270)381
NM
Income taxes (benefits)658 (266)NM
Income (loss) from continuing operations$(755)$1,320
NM
Income (loss) from continuing operations$2,174 $(741)NM
Noncontrolling interests(1)—
(100)Noncontrolling interests(3)(1)NM
Net income (loss)$(754)$1,320
NM
Net income (loss)$2,177 $(740)NM
Balance Sheet data and ratios (in billions of dollars)


 

EOP assets$403
$379
6 %
Average assets406
380
7
Balance Sheet data and ratiosBalance Sheet data and ratios
EOP assets (in billions of dollars)
EOP assets (in billions of dollars)
$439 $403 9 %
Average assets (in billions of dollars)
Average assets (in billions of dollars)
439 406 8 
Return on average assets(0.75)%1.41%

Return on average assets2.01 %(0.73)%
Efficiency ratio53
55


Efficiency ratio62 54 
Average deposits$290.1
$271.7
7
Average retail banking deposits (in billions of dollars)
Average retail banking deposits (in billions of dollars)
$345 $290 19 
Net credit losses as a percentage of average loans2.75 %2.70%

Net credit losses as a percentage of average loans2.36 %2.68 %
Revenue by business

 

Revenue by business
Retail banking$3,046
$3,106
(2)%Retail banking$2,844 $3,046 (7)%
Cards(1)
5,128
4,984
3
Cards(1)
4,193 5,128 (18)
Total$8,174
$8,090
1 %Total$7,037 $8,174 (14)%
Income (loss) from continuing operations by business

 

Income (loss) from continuing operations by business
Retail banking$120
$409
(71)%Retail banking$261 $127 NM
Cards(1)
(875)911
NM
Cards(1)
1,913 (868)NM
Total$(755)$1,320
NM
Total$2,174 $(741)NM
Table continues on the next page, including footnotes.



10

Foreign currency (FX) translation impact 

Foreign currency (FX) translation impact
Total revenue—as reported$8,174
$8,090
1 %Total revenue—as reported$7,037 $8,174 (14)%
Impact of FX translation(2)
—
(115)

Impact of FX translation(2)
— 69 
Total revenues—ex-FX(3)
$8,174
$7,975
2 %
Total revenues—ex-FX(3)
$7,037 $8,243 (15)%
Total operating expenses—as reported$4,368
$4,416
(1)%Total operating expenses—as reported$4,396 $4,417 — %
Impact of FX translation(2)
—
(66)

Impact of FX translation(2)
— 44 
Total operating expenses—ex-FX(3)
$4,368
$4,350
— %
Total operating expenses—ex-FX(3)
$4,396 $4,461 (1)%
Total provisions for credit losses and PBC—as reported$4,831
$1,973
NM
Total provisions for credit losses and PBC—as reported$(191)$4,764 NM
Impact of FX translation(2)
—
(26)

Impact of FX translation(2)
— 20 
Total provisions for credit losses and PBC—ex-FX(3)
$4,831
$1,947
NM
Total provisions for credit losses and PBC—ex-FX(3)
$(191)$4,784 NM
Net income—as reported$(754)$1,320
NM
Net income—as reported$2,177 $(740)NM
Impact of FX translation(2)
—
(15)

Impact of FX translation(2)
— 3 
Net income—ex-FX(3)
$(754)$1,305
NM
Net income—ex-FX(3)
$2,177 $(737)NM
(1)Includes both Citi-branded cards and Citi retail services.
(2)
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the first quarter of 2020 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
Note: For information on the impact of Citi’s January 1, 2020 adoptionFX translation into U.S. dollars at the first quarter of the new accounting standard on credit losses (CECL), see Note 1 to the Consolidated Financial Statements.2021 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful




11

NORTH AMERICA GCB
North America GCB provides traditional retail banking and Citi-branded and Citi retail services card products to retail and small business customers in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards, as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Best Buy and Macy’s) within Citi retail services.
At March 31, 2020,2021, North America GCB had 686687 retail bank branches 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, 2020,2021, North America GCB had approximately $50.8$50.9 billion in retail banking loans and $166.4$204.0 billion in retail banking deposits. In addition, North America GCB had approximately $137.3$121.0 billion in outstanding card loan balances.
First Quarter First Quarter
In millions of dollars, except as otherwise noted20202019% ChangeIn millions of dollars, except as otherwise noted20212020% Change
Net interest revenue$5,036
$4,897
3 %Net interest revenue$4,307 $5,036 (14)%
Non-interest revenue188
103
83
Non-interest revenue121 188 (36)
Total revenues, net of interest expense$5,224
$5,000
4 %Total revenues, net of interest expense$4,428 $5,224 (15)%
Total operating expenses$2,536
$2,572
(1)%Total operating expenses$2,478 $2,572 (4)%
Net credit losses on loans$1,526
$1,408
8 %Net credit losses on loans$950 $1,490 (36)%
Credit reserve build for loans2,362
118
NM
Credit reserve build (release) for loansCredit reserve build (release) for loans(1,417)2,371 NM
Provision (release) for credit losses on unfunded lending commitments(1)(3)67
Provision (release) for credit losses on unfunded lending commitments— (1)100 
Provisions for benefits and claims, HTM debt securities and other assets5
6
(17)Provisions for benefits and claims, HTM debt securities and other assets2 5 (60)
Provisions for credit losses and for benefits and claims$3,892
$1,529
NM
Provisions (releases) for credit losses and for benefits and claimsProvisions (releases) for credit losses and for benefits and claims$(465)$3,865 NM
Income (loss) from continuing operations before taxes$(1,204)$899
NM
Income (loss) from continuing operations before taxes$2,415 $(1,213)NM
Income taxes (benefits)(294)192
NM
Income taxes (benefits)558 (297)NM
Income (loss) from continuing operations$(910)$707
NM
Income (loss) from continuing operations$1,857 $(916)NM
Noncontrolling interests—
—
—
Noncontrolling interests— — — %
Net income (loss)$(910)$707
NM
Net income (loss)$1,857 $(916)NM
Balance Sheet data and ratios (in billions of dollars)


 

Average assets$246
$226
9 %
Balance Sheet data and ratiosBalance Sheet data and ratios
Average assets (in billions of dollars)
Average assets (in billions of dollars)
$265 $246 8 %
Return on average assets(1.49)%1.27%

Return on average assets2.84 %(1.50)%
Efficiency ratio49
51


Efficiency ratio56 49 
Average deposits$161.3
$149.6
8
Average retail banking deposits (in billions of dollars)
Average retail banking deposits (in billions of dollars)
$197 $161 22 
Net credit losses as a percentage of average loans3.18 %3.08%

Net credit losses as a percentage of average loans2.21 %3.10 %
Revenue by business

 

Revenue by business
Retail banking$1,130
$1,131
— %Retail banking$1,041 $1,130 (8)%
Citi-branded cards2,347
2,195
7
Citi-branded cards2,091 2,347 (11)
Citi retail services1,747
1,674
4
Citi retail services1,296 1,747 (26)
Total$5,224
$5,000
4 %Total$4,428 $5,224 (15)%
Income (loss) from continuing operations by business

 

Income (loss) from continuing operations by business
Retail banking$(73)$21
NM
Retail banking$3 $(73)NM
Citi-branded cards(529)382
NM
Citi-branded cards1,119 (523)NM
Citi retail services(308)304
NM
Citi retail services735 (320)NM
Total$(910)$707
NM
Total$1,857 $(916)NM

NM Not meaningful


12
1Q20
1Q21 vs. 1Q191Q20
Net lossincome was $910 million in the first quarter of 2020,$1.9 billion, compared to a net incomeloss of $707$916 million in the prior-year period, reflecting significantly higherlower cost of credit and lower expenses, partially offset by higher revenues and lower expenses.revenues.
Revenues increased 4%decreased 15%, reflecting growthlower revenues in bothCiti retail services, Citi-branded cards and Citi retail services.banking, primarily reflecting the continued impact of the pandemic, including lower interest rates.
Retail banking revenues were largely unchanged,decreased 8%, as the benefit of stronger deposit volumes and growth and higher mortgage revenues werein assets under management (increase of 32%) was more than offset by lower deposit spreads, reflecting lower interest rates. Average deposits increased 8%22%, while assets under management decreased 6%, reflectingdriven by government stimulus payments and a reduction in overall consumer spending related to the impact of market movements.pandemic, as well as continued strategic efforts to drive organic growth.
Cards revenues increased 6%decreased 17%. In Citi-branded cards revenues decreased 11%, primarily reflecting lower average loans (decline of 15%), driven by higher payment rates, reflecting increased 7%,customer liquidity from government stimulus. Purchase sales were largely unchanged, reflecting volume growth, as well as spread expansion. Average loans increased 5% and purchasea continued recovery in sales increased 3%, reflecting momentum in the first two months of the first quarter, partially offset by the impact of the COVID-19 pandemic on customer behavior during the second half of March.activity.
Citi retail services revenues decreased 26%, primarily driven by higher contractual partner payments, reflecting higher income sharing as a result of lower forecasted losses, as well as lower average loans. (For additional information on partner payments, see Note 5 to the Consolidated Financial Statements.) Average loans were down 13%, reflecting higher payment rates, driven by the increased customer liquidity. Purchase sales increased 4%, primarily reflecting a reductioncontinued recovery in partner payments and higher average loans (up 1%), while purchase sales decreased 3%, including the impact of the COVID-19 pandemic on customer behavior and store closures during the second half of March.activity.
Expensesdecreased 1%4%, as efficiency savings more thanprimarily driven by lower marketing costs and volume-related expenses, partially offset ongoing investments and higher volume-related expenses.by investments.
Provisions reflected a benefit of $465 million in the first quarter of 2021 compared to costs of $3.9 billion increased $2.4 billion fromin the prior-year period, primarily driven by a higher net credit loss reserveACL release in the current period compared to a net ACL build and higherin the prior-year period, as well as lower net credit losses. Net credit losses increased 8%decreased 36%, primarily driven by highercomprised of lower net credit losses in Citi-branded cards (up 13% to $795 million) and Citi retail services (up 5%(down 44% to $694$373 million). The increase in net credit losses reflected volume growth and seasoning in bothCiti-branded cards portfolios.(down 29% to $551 million), primarily reflecting lower loan volumes and improved delinquencies, due to the benefits of relief programs, higher levels of liquidity and lower overall customer spending activity.
The net loan loss reserve buildACL release in the currentfirst quarter was $2.4$1.4 billion reflecting the impact of changes in the economic outlook, primarily driven by the COVID-19 pandemic, on estimated lifetime credit losses under CECL (compared to a build of $115 million$2.4 billion in the prior-year period under prior accounting standards).period), reflecting lower loan volumes, as well as the impact of Citi’s improved macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on North America GCB’s retail banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.
For additional information on CECL, see “Significant Accounting Policies and Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the COVID-19 pandemic,North America GCB’s future results, see the “COVID-19 Pandemic Overview” and “Risk Factors” sections above.Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.










13

LATIN AMERICA GCB
Latin America GCB provides traditional retail banking and Citi-branded card products to retail and small business customers in Mexico through Citibanamex, one of Mexico’s largest banks.
At March 31, 2020,2021, Latin America GCB had 1,4111,331 retail branches in Mexico, with approximately $9.2$9.1 billion in retail banking loans and $19.8$24.0 billion in deposits. In addition, the business had approximately $4.5$4.3 billion in outstanding card loan balances.
First Quarter
In millions of dollars, except as otherwise noted20212020% Change
Net interest revenue$658 $887 (26)%
Non-interest revenue350 312 12 
Total revenues, net of interest expense$1,008 $1,199 (16)%
Total operating expenses$701 $705 (1)%
Net credit losses on loans$365 $271 35 %
Credit reserve build (release) for loans(163)256 NM
Provision for credit losses on unfunded lending commitments— — — 
Provisions for benefits and claims, HTM debt securities and other assets29 15 93 
Provisions for credit losses and for benefits and claims (PBC)$231 $542 (57)%
Income (loss) from continuing operations before taxes$76 $(48)NM
Income taxes (benefits)23 (19)NM
Income (loss) from continuing operations$53 $(29)NM
Net income (loss)$53 $(29)NM
Balance Sheet data and ratios
Average assets (in billions of dollars)
$34 $35 (3)%
Return on average assets0.63 %(0.33)%
Efficiency ratio70 59 
Average deposits (in billions of dollars)
$25 $23 9 
Net credit losses as a percentage of average loans10.65 %6.53 %
Revenue by business
Retail banking$723 $783 (8)%
Citi-branded cards285 416 (31)
Total$1,008 $1,199 (16)%
Income (loss) from continuing operations by business
Retail banking$41 $(20)NM
Citi-branded cards12 (9)NM
Total$53 $(29)NM
FX translation impact
Total revenues—as reported$1,008 $1,199 (16)%
Impact of FX translation(1)
— 2 
Total revenues—ex-FX(2)
$1,008 $1,201 (16)%
Total operating expenses—as reported$701 $705 (1)%
Impact of FX translation(1)
— 1 
Total operating expenses—ex-FX(2)
$701 $706 (1)%
Provisions for credit losses and PBC—as reported$231 $542 (57)%
Impact of FX translation(1)
— 1 
Provisions for credit losses and PBC—ex-FX(2)
$231 $543 (57)%
Net income (loss)—as reported$53 $(29)NM
Impact of FX translation(1)
— — 
Net income (loss)—ex-FX(2)
$53 $(29)NM
 First Quarter 
In millions of dollars, except as otherwise noted20202019% Change
Net interest revenue$887
$877
1 %
Non-interest revenue312
395
(21)
Total revenues, net of interest expense$1,199
$1,272
(6)%
Total operating expenses$699
$673
4 %
Net credit losses on loans$277
$296
(6)%
Credit reserve build (release) for loans265
(2)NM
Provision for credit losses on unfunded lending commitments—
—
—
Provisions for benefits and claims, HTM debt securities and other assets15
6
NM
Provisions for credit losses and for benefits and claims (PBC)$557
$300
86 %
Income (loss) from continuing operations before taxes$(57)$299
NM
Income taxes (benefits)(21)83
NM
Income (loss) from continuing operations$(36)$216
NM
Net income (loss)$(36)$216
NM
Balance Sheet data and ratios (in billions of dollars)


 

Average assets$35
$33
6 %
Return on average assets(0.41)%2.65%

Efficiency ratio58
53


Average deposits$22.9
$22.7
1
Net credit losses as a percentage of average loans6.67 %6.98%

Revenue by business

 

Retail banking$783
$899
(13)%
Citi-branded cards416
373
12
Total$1,199
$1,272
(6)%
Income (loss) from continuing operations by business

 

Retail banking$(23)$161
NM
Citi-branded cards(13)55
NM
Total$(36)$216
NM
FX translation impact

 

Total revenues—as reported$1,199
$1,272
(6)%
Impact of FX translation(1)
—
(74)

Total revenues—ex-FX(2)
$1,199
$1,198
— %
Total operating expenses—as reported$699
$673
4 %
Impact of FX translation(1)
—
(36)

Total operating expenses—ex-FX(2)
$699
$637
10 %
Provisions for credit losses and PBC—as reported$557
$300
86 %
Impact of FX translation(1)
—
(19)

Provisions for credit losses and PBC—ex-FX(2)
$557
$281
98 %
Net income (loss)—as reported$(36)$216
NM
Impact of FX translation(1)
—
(12)

Net income (loss)—ex-FX(2)
$(36)$204
NM
(1)Reflects the impact of FX translation into U.S. dollars at the first quarter of 2021 average exchange rates for all periods presented.
(1)Reflects the impact of FX translation into U.S. dollars at the first quarter of 2020 average exchange rates for all periods presented.
(2)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
(2)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful

14

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.

1Q201Q21 vs. 1Q191Q20
Net lossincome was $36$53 million, in the first quarter of 2020, compared to a net incomeloss of $204$29 million in the prior-year period, reflecting significantly higherlower cost of credit, and higher expenses.partially offset by lower revenues.
Revenues weredecreased 16%, reflecting lower cards and retail banking revenues, largely unchanged. Excludingreflecting the continued impact of a residual gain (approximately $30 million)the pandemic and the ongoing slowdown in the prior-year period on the sale of an asset management business, revenues increased 3%, primarily driven by depositoverall economic growth and improved spreadsindustry volumes in cards.Mexico.
Retail banking revenues decreased 8%. Excluding the residual gain, driven by a decline in the prior-year period, retail banking revenues decreased 4%, as improvedloan volumes and lower deposit spreads, were more thanpartially offset by lower retirement services and insurance-related revenues.deposit growth. Average deposits were up 4%increased 9%, while average loans were largely unchanged.decreased 13%, reflecting the impact of the pandemic on customer activity, as well as the ongoing economic slowdown. Assets under management increased 17%, including the continued benefit of market movements, as well as improved client engagement.
Cards revenues increased 18%decreased 32%, primarily driven by improved spreads and volume growth. Average cards loans grew 2%, whilelower purchase sales were down 3%(down 8%) and lower average loans (down 17%), includingreflecting the continued impact of the COVID-19 pandemic on customer behavior duringactivity and the second half of March.ongoing economic slowdown.
Expenses increased 10%decreased 1%, as ongoing investment spending and episodic items were partiallyefficiency savings more than offset by efficiency savings.investments.
Provisions increased $276 million,decreased 57%, primarily driven by a net ACL release compared to a net ACL build in the prior-year period, partially offset by higher net credit loss reservelosses. Net credit losses increased 34%, driven by the expiration of consumer relief programs and the continued adverse pandemic-related macroeconomic impacts in Mexico.
The net ACL release in the first quarter was $163 million, compared to a build of $265$256 million in the current quarter (versus a $2 million net credit lossprior-year period. The release in the prior-year period) reflecting the impact of changes in the economicreflected Citi’s improved macroeconomic outlook, due to the COVID-19 pandemicas well as lower loan volumes. For additional information on estimated lifetime credit losses under the CECL standard.Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on Latin America GCB’s retail banking and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information on CECL, see “Significant Accounting Policies and Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the COVID-19 pandemic,Latin America GCB’s future results, see the “COVID-19 Pandemic Overview” and “Risk Factors” sections above.Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.











15

ASIA GCB
Asia GCB provides traditional retail banking and Citi-branded card products to retail and small business customers. During the first quarter of 2020,2021, Asia GCB’s most significant revenues in Asia were from Singapore, Hong Kong, Singapore, South Korea, Taiwan, Australia, India, Australia, Thailand, China, the Philippines Indonesia and Malaysia.Indonesia. Included within Asia GCB, are traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily the United Arab Emirates, PolandUAE, Russia and Russia.Poland.
At March 31, 2020,2021, on a combined basis, the businesses had 236223 retail branches, approximately $60.2$65.8 billion in retail banking loans and $107.8$125.3 billion in deposits. In addition, the businesses had approximately $17.3$16.8 billion in outstanding card loan balances.
As discussed above, Citi will focus its consumer banking franchise in Asia and EMEA on four wealth centers: Singapore, Hong Kong, the UAE and London. As a result, Citi intends to pursue exits of its consumer franchises in the remaining 13 markets across the two regions: Australia, Bahrain, China, India, Indonesia, South Korea, Malaysia, the Philippines, Poland, Russia, Taiwan, Thailand and Vietnam. These consumer franchises had a combined $82 billion of assets, $56 billion of total loans and $56 billion in deposits as of December 31, 2020.
First Quarter
In millions of dollars, except as otherwise noted(1)
20212020% Change
Net interest revenue$988 $1,149 (14)%
Non-interest revenue613 602 2 
Total revenues, net of interest expense$1,601 $1,751 (9)%
Total operating expenses$1,217 $1,140 7 %
Net credit losses on loans$265 $173 53 %
Credit reserve build (release) for loans(226)184 NM
Provisions for HTM debt securities and other assets4 — 100 
Provisions for credit losses$43 $357 (88)%
Income from continuing operations before taxes$341 $254 34 %
Income taxes77 50 54 
Income from continuing operations$264 $204 29 %
Noncontrolling interests(3)(1)NM
Net income$267 $205 30 %
Balance Sheet data and ratios
Average assets (in billions of dollars)
$140 $125 12 %
Return on average assets0.77 %0.66 %
Efficiency ratio76 65 
Average deposits (in billions of dollars)
$124 $106 17 
Net credit losses as a percentage of average loans1.29 %0.87 %
Revenue by business
Retail banking$1,080 $1,133 (5)%
Citi-branded cards521 618 (16)
Total$1,601 $1,751 (9)%
Income (loss) from continuing operations by business
Retail banking$217 $220 (1)%
Citi-branded cards47 (16)NM
Total$264 $204 29 %
16

 First Quarter 
In millions of dollars, except as otherwise noted(1)
20202019% Change
Net interest revenue$1,149
$1,166
(1)%
Non-interest revenue602
652
(8)
Total revenues, net of interest expense$1,751
$1,818
(4)%
Total operating expenses$1,133
$1,171
(3)%
Net credit losses on loans$180
$164
10 %
Credit reserve build (release) for loans202
(20)NM
Provision for credit losses on unfunded lending commitments—
—
—
Provisions for credit losses$382
$144
NM
Income from continuing operations before taxes$236
$503
(53)%
Income taxes45
106
(58)
Income from continuing operations$191
$397
(52)%
Noncontrolling interests(1)—
—
Net income$192
$397
(52)%
Balance Sheet data and ratios (in billions of dollars)






Average assets$125
$121
3 %
Return on average assets0.62%1.33%

Efficiency ratio65
64
 
Average deposits$105.9
$99.4
7
Net credit losses as a percentage of average loans0.90%0.85%

Revenue by business   
Retail banking$1,133
$1,076
5 %
Citi-branded cards618
742
(17)
Total$1,751
$1,818
(4)%
Income from continuing operations by business





Retail banking$216
$227
(5)%
Citi-branded cards(25)170
NM
Total$191
$397
(52)%
FX translation impact


Total revenues—as reported$1,751
$1,818
(4)%
  Impact of FX translation(2)
—
(41)

Total revenues—ex-FX(3)
$1,751
$1,777
(1)%
Total operating expenses—as reported$1,133
$1,171
(3)%
Impact of FX translation(2)
—
(30)

Total operating expenses—ex-FX(3)
$1,133
$1,141
(1)%
Provisions for credit losses—as reported$382
$144
NM
Impact of FX translation(2)
—
(7)

Provisions for credit losses—ex-FX(3)
$382
$137
NM
Net income—as reported$192
$397
(52)%
Impact of FX translation(2)
—
(3)

Net income—ex-FX(3)
$192
$394
(51)%
FX translation impact
Total revenues—as reported$1,601 $1,751 (9)%
Impact of FX translation(2)
— 67 
Total revenues—ex-FX(3)
$1,601 $1,818 (12)%
Total operating expenses—as reported$1,217 $1,140 7 %
Impact of FX translation(2)
— 43 
Total operating expenses—ex-FX(3)
$1,217 $1,183 3 %
Provisions for credit losses—as reported$43 $357 (88)%
Impact of FX translation(2)
— 19 
Provisions for credit losses—ex-FX(3)
$43 $376 (89)%
Net income—as reported$267 $205 30 %
Impact of FX translation(2)
— 3 
Net income—ex-FX(3)
$267 $208 28 %

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

(1)    Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(2)    Reflects the impact of FX translation into U.S. dollars at the first quarter of 2021 average exchange rates for all periods presented.
(3)    Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful

(2)Reflects the impact of FX translation into U.S. dollars at the first quarter of 2020 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.

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.


1Q201Q21 vs. 1Q191Q20
Net income decreased 51%increased 28%, reflecting significantly higherlower cost of credit, and lower revenues, partially offset by lower revenues and higher expenses.
Revenues decreased 1%12%, reflecting lower cards and retail banking revenues, largely due to the continued impact of the pandemic, including lower interest rates.
Retail banking revenues decreased 8%, primarily driven by lower deposit spreads due to lower interest rates and lower FX revenues, partially offset by strong investment revenues and deposit growth. Average deposits increased 13% and average loans increased 2%. Assets under management increased 29% and investment sales increased 49%, reflecting strong client engagement as well as favorable market conditions. The decline in retail banking was also impacted by a 2% decrease in retail lending revenues, as growth in fees on investments and foreign currency transactionsmortgages was more than offset by lower revenuesa decline in cards and insurance, reflectingpersonal loans, driven by the initialcontinued impact of the COVID-19 pandemic on customer behavior.
Retail banking revenues increased 7%, primarily driven by higher fees on investments and foreign currency transactions due to higher volumes and volatility, partially offset by lower deposit spreads and insurance revenues. Average deposits increased 8% and average loans increased 7%. Assets under management declined 11%, reflecting the impact of market movements, while investment sales increased 53%. Retail lending revenues improved, reflecting growth in personal loans and mortgages.pandemic.
Cards revenues decreased 14%19%, primarily driven by lower spreads and by lower average loans (down 13%) and purchase sales (down 4%5%), largely reflecting the initialcontinued impact of the COVID-19 pandemic on customer behavioractivity, including lower travel spend in the region, given Citi’s skew to an affluent client base and a modest one-time gain in the prior-year quarter.greater proportion of fee revenues coming from travel-related interchange and foreign transaction fees.
Expenses decreased 1%increased 3%, asprimarily driven by investments, partially offset by efficiency savings more than offset investment spending and volume-driven growth.volume-related expenses.
Provisions increased $245 million,decreased 89%, primarily driven by a net credit loss reserveACL release compared to a net ACL build in the current quarter (versus a $21 million net credit loss release in the prior-year period, under prior accounting standards), reflecting the impact of changes in the economic outlook due to the COVID-19 pandemic on estimated lifetime credit losses under the CECL standard, as well aspartially offset by higher net credit losses. Net credit losses (increase of 14%)increased 46%, primarily driven by volume growth.the expiration of consumer relief programs and the continued adverse pandemic-related macroeconomic impacts in the region.
The net ACL release in the first quarter was $226 million, compared to a build of $194 million in the prior-year period.
The release reflected Citi’s improved macroeconomic outlook. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
For additional information on Asia GCB’s retail banking portfolios and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information on CECL, see “Significant Accounting Policies and Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the COVID-19 pandemic,Asia GCB’s future results, see the “COVID-19 Pandemic Overview” and “Risk Factors” sections above.Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.
















17

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 Clients Group” in Citi’s 20192020 Annual Report on Form 10-K.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 9796 countries and jurisdictions. At March 31, 2020,2021, ICG had approximately $1.7$1.8 trillion in assets and $878$938 billion in deposits, while two of its businesses—securities services and issuer services—managed approximately $18.7$24.8 trillion in assets under custody compared to $20.3$24.0 trillion at December 31, 20192020 and $18.4$18.7 trillion at March 31, 2019.2020.
First Quarter
In millions of dollars, except as otherwise noted20212020% Change
Commissions and fees$1,252 $1,222 2 %
Administration and other fiduciary fees814 691 18 
Investment banking1,800 1,231 46 
Principal transactions3,842 5,359 (28)
Other360 (114)NM
Total non-interest revenue$8,068 $8,389 (4)%
Net interest revenue (including dividends)4,152 4,095 1 
Total revenues, net of interest expense$12,220 $12,484 (2)%
Total operating expenses$6,264 $5,810 8 %
Net credit losses on loans$186 $127 46 %
Credit reserve build (release) for loans(1,312)1,316 NM
Provision (release) for credit losses on unfunded lending commitments(621)553 NM
Provisions (releases) for credit losses on HTM debt securities and other assets(5)8 NM
Provisions (releases) for credit losses$(1,752)$2,004 NM
Income from continuing operations before taxes$7,708 $4,670 65 %
Income taxes1,736 1,044 66 
Income from continuing operations$5,972 $3,626 65 %
Noncontrolling interests37 (1)NM
Net income$5,935 $3,627 64 %
Balance Sheet data and ratios (in billions of dollars)
EOP assets (in billions of dollars)
$1,776 $1,723 3 %
Average assets (in billions of dollars)
1,787 1,580 13 
Return on average assets1.35 %0.92 %
Efficiency ratio51 47 
Revenues by region
North America$4,898 $4,947 (1)%
EMEA3,713 3,470 7 
Latin America1,136 1,418 (20)
Asia2,473 2,649 (7)
Total$12,220 $12,484 (2)%
Income from continuing operations by region
North America$2,798 $896 NM
EMEA1,476 1,035 43 %
Latin America646 526 23 
Asia1,052 1,169 (10)
Total$5,972 $3,626 65 %
18

 First Quarter 
In millions of dollars, except as otherwise noted20202019% Change
Commissions and fees$1,222
$1,154
6 %
Administration and other fiduciary fees691
683
1
Investment banking1,231
1,113
11
Principal transactions5,359
2,638
NM
Other(114)280
NM
Total non-interest revenue$8,389
$5,868
43 %
Net interest revenue (including dividends)4,095
4,150
(1)
Total revenues, net of interest expense$12,484
$10,018
25 %
Total operating expenses$5,810
$5,619
3 %
Net credit losses on loans$127
$78
63 %
Credit reserve build (release) for loans1,316
(74)NM
Provision for credit losses on unfunded lending commitments

553
28
NM
Provisions for credit losses for HTM debt securities and other assets

8
—
— %
Provisions for credit losses$2,004
$32
NM
Income from continuing operations before taxes$4,670
$4,367
7 %
Income taxes1,044
955
9
Income from continuing operations$3,626
$3,412
6 %
Noncontrolling interests(1)11
NM
Net income$3,627
$3,401
7 %
Balance Sheet data and ratios (in billions of dollars)
   
EOP assets (in billions of dollars)
$1,723
$1,472
17 %
Average assets (in billions of dollars)
1,580
1,460
8
Return on average assets0.92%0.94%

Efficiency ratio47
56


Revenues by region  

North America$4,947
$3,269
51 %
EMEA3,470
3,170
9
Latin America1,418
1,268
12
Asia2,649
2,311
15
Total$12,484
$10,018
25 %
Income from continuing operations by region  

North America$896
$748
20 %
EMEA1,035
1,125
(8)
Latin America526
540
(3)
Asia1,169
999
17
Total$3,626
$3,412
6 %
Average loans by region (in billions of dollars)
North America$195 $196 (1)%
EMEA89 88 1 
Latin America32 38 (16)
Asia71 73 (3)
Total$387 $395 (2)%
EOP deposits by business (in billions of dollars)
Treasury and trade solutions$649 $622 4 %
All other ICG businesses
289 256 13 
Total$938 $878 7 %

Average loans by region (in billions of dollars)
  

North America$196
$185
6 %
EMEA88
84
5
Latin America38
42
(10)
Asia73
74
(1)
Total$395
$385
3 %
EOP deposits by business (in billions of dollars)
   
Treasury and trade solutions$621
$512
21 %
All other ICG businesses
257
227
13
Total$878
$739
19 %

NM Not meaningful

ICG Revenue Details
First Quarter
In millions of dollars20212020% Change
Investment banking revenue details
Advisory$281 $386 (27)%
Equity underwriting876 180 NM
Debt underwriting816 788 4 
Total investment banking$1,973 $1,354 46 %
Treasury and trade solutions2,165 2,423 (11)
Corporate lending—excluding gains (losses) on loan hedges(1)
483 448 8 
Private bank—excluding gains (losses) on loan hedges(1)
1,027 949 8 
Total Banking revenues (ex-gains (losses) on loan hedges)
$5,648 $5,174 9 %
Gains (losses) on loan hedges(1)
$(81)$816 NM
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense
$5,567 $5,990 (7)%
Fixed income markets$4,550 $4,786 (5)%
Equity markets1,476 1,169 26 
Securities services653 645 1 
Other(26)(106)75 
Total Markets and securities services revenues, net of interest expense
$6,653 $6,494 2 %
Total revenues, net of interest expense$12,220 $12,484 (2)%
  Commissions and fees$200 $189 6 %
  Principal transactions(2)
2,930 3,549 (17)
  Other356 (63)NM
  Total non-interest revenue$3,486 $3,675 (5)%
  Net interest revenue1,064 1,111 (4)
Total fixed income markets(3)
$4,550 $4,786 (5)%
  Rates and currencies$3,039 $4,034 (25)%
  Spread products/other fixed income1,511 752 NM
Total fixed income markets$4,550 $4,786 (5)%
  Commissions and fees$392 $362 8 %
  Principal transactions(2)
835 774 8 
  Other32 8 NM
  Total non-interest revenue$1,259 $1,144 10 %
  Net interest revenue217 25 NM
Total equity markets(3)
$1,476 $1,169 26 %
(1)    Credit derivatives are used to economically hedge a portion of the private bank and 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
19
 First Quarter 
In millions of dollars20202019% Change
Investment banking revenue details
   
Advisory$386
$378
2 %
Equity underwriting180
172
5
Debt underwriting784
804
(2)
Total investment banking$1,350
$1,354
— %
Treasury and trade solutions2,423
2,539
(5)
Corporate lending—excluding gains (losses) on loan hedges(1)
448
749
(40)
Private bank—excluding gains (losses) on loan hedges(1)

949
880
8
Total Banking revenues (ex-gains (losses) on loan hedges)
$5,170
$5,522
(6)%
Gains (losses) on loan hedges(1)
$816
$(231)NM
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense
$5,986
$5,291
13 %
Fixed income markets$4,790
$3,452
39 %
Equity markets1,169
842
39
Securities services645
638
1
Other(106)(205)48
Total Markets and securities services revenues, net of interest expense
$6,498
$4,727
37 %
Total revenues, net of interest expense$12,484
$10,018
25 %
  Commissions and fees$189
$174
9 %
  Principal transactions(2)
3,549
2,377
49
  Other(59)150
NM
  Total non-interest revenue$3,679
$2,701
36 %
  Net interest revenue1,111
751
48
Total fixed income markets(3)
$4,790
$3,452
39 %
  Rates and currencies$4,038
$2,402
68 %
  Spread products/other fixed income752
1,050
(28)
Total fixed income markets$4,790
$3,452
39 %
  Commissions and fees$362
$293
24 %
  Principal transactions(2)
774
396
95
  Other8
7
14
  Total non-interest revenue$1,144
$696
64 %
  Net interest revenue25
146
(83)
Total equity markets(3)
$1,169
$842
39 %


(1)Credit derivatives are used to economically hedge a portion of the private bank and corporate loan portfolio that includes both accrual loans and loans at fair value. Gains (losses) on loan hedges includes the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The

fixed premium costs of these hedges are netted against the private bank and corporate lending revenues to reflect the cost of credit protection. Gains (losses) on loan hedges include $(72) million and $754 million related to the corporate loan portfolio and $(9) million and $62 million related to the private bank for the three months ended March 31, 2021 and March 31, 2020, respectively. All of gains (losses) on loan hedges are related to corporate loan portfolio for the three months ended March 31, 2020. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
(2)
Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(3)
(2)    Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(3)    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.

1Q201Q21 vs. 1Q191Q20
Net income increased 7%, as significant growth in revenues was64% primarily driven by significantly lower cost of credit, partially offset by significantly higher cost of creditlower revenues and higher expenses.
Revenues were up 25%declined 2%, reflecting lower Banking revenues (decline of 7% including the impact of gains (losses) on loan hedges), partially offset by higher Markets and securities services revenues (increase of 37%2%) and higher Banking revenues (increase of 13% including the gains (losses) on loan hedges). Excluding the impact of the gains gains/(losses) on loan hedges, Bankingrevenues were down 6%up 9%, driven by higher revenues in investment banking, corporate lending and the private bank, partially offset by lower revenues in treasury and trade solutions and corporate lending, partially offset by higher revenues in the private bank, while investment banking was largely unchanged.solutions. Markets and securities services revenues were up 37%2%, primarily drivenreflecting higher revenues in equity markets, partially offset by higherlower revenues in fixed income markets.
Citi expects that revenues in its markets and equity markets, reflecting increased client activity dueinvestment banking businesses will likely continue to higherreflect the overall market volatility, particularly laterenvironment in the quarter related to the impact of the COVID-19 pandemic.near term.

Within Banking:

•
•Investment banking revenues were up 46%, reflecting growth in overall market wallet as well as gains in wallet share, particularly in equity underwriting. Advisory revenues decreased 27%, largely reflecting a decline in wallet share, driven by North America, partially offset by EMEA. Equity underwriting revenues increased significantly, driven by continued strength in the market wallet as well as wallet share gains, with growth in all regions. The increase in equity underwriting also reflected higher underwriting activity for special purpose acquisition companies (SPAC). Debt underwriting revenues increased 4%, reflecting strength in EMEA, Asia and Latin America, largely driven by the higher market wallet, partially offset by a decline in wallet share.
•Treasury and trade solutions revenues decreased 11%. Excluding the impact of FX translation, revenues declined 10%, reflecting declines in all regions. The decline in revenues was driven by the cash business, reflecting the continued impact of lower USD and non-USD interest rates and a slowdown in commercial cards spend both due to the continued impact of the pandemic, partially offset by strong deposit volumes. Average deposit balances increased 16% (14% excluding the impact of FX translation), due to strong client engagement and an elevated level of liquidity in the financial system. In trade, revenues were largely unchanged, as a decline in loans, driven by continued softness in underlying trade flows revenues were largely unchanged, as growth in equity underwriting and advisory revenues was offset by lower debt underwriting revenues. The increase in revenues reflected an improved market share despite a decline in the overall market wallet. Advisory revenues increased 2%, primarily driven by strength in North America. Equity underwriting revenues increased 5%, driven by growth in the market wallet, as well as share gains. Debt underwriting revenues decreased 2%, reflecting lower revenues in EMEA, Asia and Latin America,while investment-grade debt underwriting was up double digits, as the business assisted clients with sourcing liquidity in the evolving environment.
•
Treasury and trade solutions revenues decreased 5%. Excluding the impact of FX translation, revenues decreased 2%, reflecting a decline in both the cash and trade businesses. The decline in revenues in the cash business reflected the continued impact of lower rates, partially offset by strong deposit volumes. End-of-period deposits increased 21% (24% excluding the impact of FX translation), while average deposit balances increased 12% (13% excluding the impact of FX translation), both reflecting strong client engagement and solid growth across all regions. In trade, revenues were impacted by a decline in average trade loans (decline of 4%, or 3% excluding the impact of FX translation), as well as a decline in spreads. However, the business experienced an increase in demand for working capital finance solutions toward the end of the quarter.

•
due to the pandemic, was offset by improved loan spreads.
•Corporate lending revenues decreased 66%, including the impact of gains (losses) on loan hedges, primarily driven by the widening of credit spreads in the prior-year period, reflecting market volatility related to the pandemic. Excluding the impact of gains (losses) on loan hedges, revenues increased 8%, primarily due to the absence of marks on the portfolio driven by the elevated market volatility related to the pandemic in the prior-year period. The increase was partially offset by lower average loan volumes, reflecting paydowns on draws in 2020 and continued weakness in demand given stronger client liquidity positions.
•Private bank revenues increased 1%. Excluding the impact of gains (losses) on loan hedges, revenues increased 8%, reflecting growth across all regions. The increase was driven by higher loan volumes and spreads, as well as higher deposit volumes and managed investments revenue, all driven by continued client activity, partially offset by lower deposit spreads due to the ongoing low interest rate environment.

revenues increased $746 million to $1.3 billion, reflecting gains on loan hedges as credit spreads widened during the quarter, reflecting the market volatility related to the COVID-19 pandemic. Excluding the impact of gains (losses) on loan hedges, revenues decreased 40%, driven primarily by an adjustment to the residual value of a lease financing asset, as well as marks on the portfolio, driven by the market volatility related to the pandemic. End-of-period loans were up 11% from December 31, 2019, as Citi continued to support clients during a challenging market environment with additional liquidity.
•
Private bank revenues increased 15%. Excluding the impact of gains on loan hedges, revenues increased 8%, reflecting particular strength in Asia. The increase in revenues reflected strong client activity, which drove higher capital markets revenues and higher loan and deposit volumes, partially offset by the continued impact of lower deposit spreads due to the lower interest rate environment.

Within Markets and securities services:

•
Fixed income markets revenues increased 39%, reflecting higher revenues across all regions, particularly later in the quarter due to the impact of market conditions related to the COVID-19 pandemic. Non-interest revenues increased, reflecting higher corporate and investor client activity as volatility, volumes and spreads reached record levels, particularly
•Fixed income markets revenues decreased 5%, as growth in North America and EMEA were more than offset by declines in Asia and Latin America, reflecting a strong performance in rates and currencies and commodities. Net interest revenues also increased, reflecting lower funding costs as well as a change in the mix of trading positions in support of client activity.
•
Rates and currencies revenues increased 68%, primarily driven by higher G10 rates and currencies revenues in North America and EMEA, as Citi helped corporate and investor clients reposition their portfolios in a challenging market environment related to the impact of the COVID-19 pandemic, including record levels of volatility. Spread products and other fixed income revenues decreased 28%, as higher revenues in commodities, reflecting increased volatility related to the impact of the COVID-19 pandemic, were offset by lower revenues in spread products, reflecting a challenging environment, particularly in North America and EMEA.
•
Equity markets revenues increased 39%, driven by higher equity derivatives revenues across all regions, partially offset by a modest decline in prime finance, while cash equities revenues were largely unchanged. The increase in equity derivatives revenues reflected increased client

activity due to higher volatility, particularly later in the quarterprior-year period. Non-interest revenues decreased, reflecting lower corporate and investor activity in rates and currencies, partially offset by higher activity in spread products. Net interest revenues also decreased, largely reflecting a change in the mix of trading positions.
Rates and currencies revenues decreased 25%, primarily reflecting the strong performance in the prior-year period, particularly in G10 rates and currencies, driven by record volatility related to the impact of the COVID-19 pandemic. PrimeSpread products and other fixed income revenues increased significantly, reflecting strong client activity, as clients searched for yield in a low-rate environment, with steady demand across flow trading and structured products.
•Equity markets revenues increased 26%, driven by growth across all products. Cash equities revenues increased, reflecting elevated levels of client activity as well as favorable market conditions, particularly in North America and Asia. Equity derivatives revenues increased, due to strong client activity and favorable market
20

conditions, particularly in North America. The increase in prime finance revenues declined modestlywas largely due to higher client balances as underlying client momentum was more than offset by lower financing balances.well as favorable market conditions. Non-interest revenues increased, primarily driven by higher principal transactions and commissions and fee revenues, primarily due to the higher client activityactivity.
•Securities services revenues increased 1%. Excluding the impact of FX translation, revenues were unchanged, as an increase in fee revenues, driven by growth in assets under custody and a more volatile trading environment related to the COVID-19 pandemic,settlement volumes as well as a change inhigher deposit volumes, was offset by lower deposit spreads due to the mix of trading positions in support of client activity.continued low interest rate environment.
•
Securities services

 revenues were up 1%. Excluding the impact of FX translation, revenues increased 5%, reflecting higher client activity and deposit volumes, partially offset by lower interest revenue as interest rates declined.

For additional information on trends in ICG’s deposit and trade loans, see “Managing Global Risk—Liquidity Risk—Loans” and “—Deposits” below.

Expenses increased 3%were up 8%, reflecting continued investments in infrastructure and controls, as efficiency savings were more than offset bywell as other strategic investments, higher compensation costs continued investments in the businesses and volume-related growth.volume-driven growth, partially offset by efficiency savings.
Provisions increased to $2.0 billion. Provisions for credit losses includedthe quarter reflected a net benefit of $1.8 billion, driven by an ACL release, partially offset by higher net credit losses of $127$186 million, compared to $78$127 million in the prior-year period under prior accounting standards, and a net credit loss reserve build ofperiod.
The ACL release for the quarter was $1.9 billion, compared to a net credit loss releasebuild of $46 million$1.9 billion in the prior-year period under prior accounting standards.
period. The increase in the net credit loss reserve buildrelease was primarily reflected the impact of deterioration in the economic outlook driven by Citi’s improved macroeconomic outlook, including global GDP, and modest improvements in portfolio credit quality. For additional information on Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below.
As of March 31, 2021, reserves held on Citi’s balance sheet represented 1.1% of funded loans, compared to 1.4% as of December 31, 2020, including 3.6% of reserves held against the COVID-19 pandemic across multiple sectors under the CECL standard,non-investment grade portion, compared to 4.4% as well as some downgrades, along with volume growth in the portfolio.of December 31, 2020.
For additional information on ICG’s corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information on CECL, see “Significant Accounting Policies and Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the COVID-19 pandemic,ICG’s future results, see the “COVID-19 Pandemic Overview” and “Risk Factors” sections above.Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.








21

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, 2020,2021, Corporate/Other had $94$99 billion in assets.
First Quarter First Quarter
In millions of dollars20202019% ChangeIn millions of dollars20212020% Change
Net interest revenue$325
$669
(51)%Net interest revenue$61 $325 (81)%
Non-interest revenue(252)(201)(25)Non-interest revenue9 (252)NM
Total revenues, net of interest expense$73
$468
(84)%Total revenues, net of interest expense$70 $73 (4)%
Total operating expenses$416
$549
(24)%Total operating expenses$413 $416 (1)%
Net credit losses (recoveries) on loans$(2)$2
NM
Net credit losses (recoveries) on loans$(18)$(2)NM
Credit reserve build (release) for loans191
(26)NM
Credit reserve build (release) for loans(109)191 NM
Provision (release) for credit losses on unfunded lending commitments5
(1)NM
Provision (release) for credit losses on unfunded lending commitments(5)5 NM
Provisions for benefits and claims, HTM debt securities and other assets(2)—
—
Provisions (releases) for benefits and claims, HTM debt securities and other assetsProvisions (releases) for benefits and claims, HTM debt securities and other assets20 (2)NM
Provisions (release) for credit losses and for benefits and claims$192
$(25)NM
Provisions (release) for credit losses and for benefits and claims$(112)$192 NM
Income (loss) from continuing operations before taxes$(535)$(56)NM
Income (loss) from continuing operations before taxes$(231)$(535)57 %
Income taxes (benefits)(198)(61)NM
Income taxes (benefits)(62)(198)69 
Income (loss) from continuing operations$(337)$5
NM
Income (loss) from continuing operations$(169)$(337)50 %
Income (loss) from discontinued operations, net of taxes(18)(2)NM
Income (loss) from discontinued operations, net of taxes(2)(18)89 
Net income (loss) before attribution of noncontrolling interests$(355)$3
NM
Net income (loss) before attribution of noncontrolling interests$(171)$(355)52 %
Noncontrolling interests(4)14
NM
Noncontrolling interests(1)(4)75 
Net income (loss)$(351)$(11)NM
Net income (loss)$(170)$(351)52 %
NM Not meaningful

1Q201Q21 vs. 1Q191Q20
Net loss was $351$170 million, compared to a net loss of $11$351 million in the prior-year period, largely driven by lower revenues and significantly higherlower cost of credit, partially offset by lower expenses.credit.
Revenues decreased 84%, reflectingof $70 million declined from $73 million in the wind-down of legacy assets,prior-year period, as the impact of lower interest rates andwas largely offset by the absence of marks on legacy securities as spreads widened duringin the prior-year period and certain episodic gains in the current quarter.
Expenses decreased 24%1%, primarily reflecting the wind-down of legacy assets, partiallyas investments in infrastructure, risk and controls were largely offset by higher infrastructurethe allocation of certain costs as well as incremental costs associated with the COVID-19 pandemic, including special compensation awarded to approximately 75,000 employees most directly impacted by the pandemic.GCB and ICG.
Provisions increased $217reflected a benefit of $112 million, compared to costs of $192 million in the prior-year period, primarily driven by a net credit loss reserve buildACL release on legacy assets in the current period.
The net ACL release in the first quarter (versuswas $109 million, compared to a net credit loss releasebuild of $191 million in the prior-year period, under prior accounting standards),primarily reflecting the impact of changes in the economic outlook due to COVID-19 on estimated lifetime credit losses under the CECL standard.Citi’s improved macroeconomic outlook.
For additional information on CECL,Citi’s ACL, see “Significant Accounting Policies and Significant Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.below.





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 about trends, uncertainties and risks related to Corporate Other’s future results, see “Off-Balance Sheet Arrangements”“COVID-19 Pandemic Overview” and Notes 1, 21 and 26 to the Consolidated Financial Statements“Risk Factors—Strategic Risks” in Citigroup’s 2019Citi’s 2020 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.


22

CAPITAL RESOURCES
For additional information about capital resources, including Citi’s capital management, current regulatory capital standards, regulatory capital buffers, 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 20192020 Annual Report on Form 10-K.
As previously announced, Citi commenced share repurchases in February 2021. During the first quarter of 2020,2021, Citi returned a total of $4.0$2.7 billion of capital to common shareholders in the form of share repurchases (approximately 4123 million common shares) and dividends. As discussed above, on March 15, 2020, Citi announced it had joined other major U.S. banks in suspending stock repurchases to support clients in light of the COVID-19 pandemic. Citi stated there was no change to its dividend policy. For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends—Equity Security Repurchases” below.

RegulatoryCommon Equity Tier 1 Capital Relief Resulting fromRatio
Citi’s Common Equity Tier 1 Capital ratio was 11.8% as of March 31, 2021, compared to 11.7% as of December 31, 2020, both under the COVID-19 PandemicBasel III Advanced Approaches framework, as quarterly net income of $7.9 billion was partially offset by a net increase in risk-weighted assets, the return of $2.7 billion of capital to common shareholders in the form of share repurchases and dividends, and adverse net movements in Accumulated other comprehensive income (AOCI).
The U.S. banking agencies issued several interim final rules during March 2020 to revise the current regulatory capital standards applicable to Citi, in light of the COVID-19 pandemic.

Use of Regulatory Capital BuffersTemporary Supplementary Leverage Ratio Relief
In March 2021, the Federal Reserve Board announced that temporary Supplementary Leverage ratio relief for bank holding companies would expire as scheduled on March 31, 2021. The temporary Supplementary Leverage ratio relief has been in place since the second quarter of 2020 and has permitted Citigroup to exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. Commencing April 1, 2021, U.S. Treasuries and deposits at Federal Reserve Banks will once again be included in Citigroup’s Total Leverage Exposure.
During the U.S. banking agencies issuedfirst quarter of 2021, as a statement encouraging banking organizations to use their regulatory capital buffers as they respond to the challenges presented by the effectsresult of the COVID-19 pandemic.
Consistent with the statement, in March 2020, the U.S. banking agencies issued an interim final rule that eases capital distribution limitations in the U.S. Basel III rules, in an effort to reduce the impact of using regulatory capital buffers. The changes in the rule have the potential to prevent a complete and sudden cessation of capital distributions due to a breach of regulatory capital buffers, which include the GSIB surcharge, Capital Conservation Buffer, and any Countercyclical Capital Buffer (currently 0%). The interim final rule became effective in March 2020, and applies to risk-based capital ratios and thetemporary relief, Citigroup’s reported Supplementary Leverage ratio.
More specifically, under the U.S. Basel III rules, banking organizations that fall below their regulatory capital buffers are subject to limitations on capital distributions based on a percentageratio of “Eligible Retained Income” (ERI), with increasing restrictions based upon the severity of the breach. The original definition of ERI in the U.S. Basel III rules was equal to the bank’s net income for the four calendar quarters preceding the current calendar quarter, net of any distributions and tax effects not already reflected in net income. The interim final rule revises the definition of ERI to equal the greater of: (i) the bank’s net income for the four calendar quarters preceding the current calendar quarter, net of any distributions and tax effects not already reflected in net income, and (ii) the average of the
bank’s net income for the four calendar quarters preceding the current calendar quarter.
As of March 31, 2020, Citi’s regulatory capital ratios exceeded effective regulatory minimum requirements. Therefore, Citi is not subject to any payout limitations.
The impact of the interim final rule on Citibank, N.A. (Citibank) is limited, because the minimum requirements to be considered “well-capitalized” under the Prompt Corrective Action (PCA) framework are unchanged.7.0% benefited approximately 100 basis points. For additional information on the PCA framework,temporary Supplementary Leverage ratio relief, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework”Temporary Supplementary Leverage Ratio Relief” in Citi’s 20192020 Annual Report on Form 10-K.

Federal Reserve Board Limitations on Capital Distributions
In March 2020,2021, the Federal Reserve Board issued another interim final rule clarifyingannounced that it was extending for an additional quarter several measures that were previously announced for the ERI revisions also applyfirst quarter of 2021 to external Total Loss-Absorbing Capacity (TLAC) buffers,ensure that large banks maintain a high level of capital resilience. Through the end of the second quarter of 2021, the Federal Reserve Board has authorized firms, including Citi, to pay common stock dividends and are intended to provide the same easingmake share repurchases that, in the automatic distribution restrictions if a U.S. global systemically important bank holding company, such as Citi, breaches its RWA-based or leverage-based TLAC buffers. Long-Term Debt requirementsaggregate, do not include any buffers, and are therefore unaffected by the interim final rule. For additional information on Citi’s TLAC-related requirements, see “Liquidity Risk—Long-Term Debt—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance, Conduct and Legal Risks” in Citi’s 2019 Annual Report on Form 10-K.

Regulatory Capital Treatment—Modified Transition of the Current Expected Credit Losses Methodology
In March 2020, the U.S. banking agencies issued an interim final rule that modifies the regulatory capital transition provision related to the Current Expected Credit Losses (CECL) methodology.
The interim final rule permits banks to delay for two years the “Day One” adverse regulatory capital effects resulting from adoption of the CECL methodology on January 1, 2020 until January 1, 2022, followed by a three-year transition to phase out the regulatory capital benefit provided by the delay.
In addition, for the ongoing impact of CECL, the agencies utilize a 25% scaling factor as an approximation of the increased reserve build under CECL compared to the previous incurred loss model, and therefore allows banks to add back to Common Equity Tier 1 Capitalexceed an amount equal to 25%the average of the change in CECL-based allowances recognized through earnings in each quarter between January 1, 2020 and December 31, 2021. Beginning January 1, 2022,firm’s net income for the cumulative 25% change in CECL-based allowances recognized through earnings between January 1, 2020 and December 31, 2021 will be phased in to regulatory capital at 25% per year on January 1 of each year over the three-year transition period, along with the delayed “Day One” impact.
Citigroup and Citibank have elected the modified CECL transition provision providedfour preceding calendar quarters, unless otherwise specified by the interim final


rule beginning with the quarter ended March 31, 2020. Accordingly, the Day One regulatory capital effects resulting from adoption of the CECL methodology, as well as the ongoing adjustments for 25% of the change in CECL-based allowances recognized through earnings in each quarter between January 1, 2020 and December 31, 2021, will now commence phase-in on January 1, 2022 and will be fully reflected in Citi’s regulatory capital as of January 1, 2025.
For additional information on the U.S. banking agencies’ original regulatory capital transition provision related to the “Day One” adverse regulatory capital effects resulting from adoption of the CECL methodology, see “Capital Resources—Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit Losses (CECL) Methodology” in Citi’s 2019 Annual Report on Form 10-K. Neither the March 2020 interim final rule nor the agencies’ prior guidance has any impact on U.S. GAAP accounting.

Regulatory Capital Impact of the Money Market Mutual Fund Liquidity Facility
In March 2020, the Federal Reserve Board, establishedprovided that the Money Market Mutual Fund Liquidity Facility (MMLF), to further supportfirm does not exceed the flowamount of credit to households and businesses by taking steps to enhance
common stock dividends paid in the liquidity and functioningsecond quarter of crucial money markets. Through2020. Additionally, through the MMLF,end of the second quarter of 2021, the Federal Reserve BankBoard has authorized firms to make share repurchases relating to issuances of Boston cancommon stock related to employee stock ownership plans, and to redeem and make non-recourse loans availablescheduled payments on Additional Tier 1 Capital and Tier 2 Capital instruments.
Under the Federal Reserve Board’s capital distribution limitations, Citi is permitted to eligible financial institutions securedreturn capital to common shareholders of up to $4.1 billion during the second quarter of 2021, including the previously announced common dividends of $0.51 per share in the quarter.
The Federal Reserve Board also announced in March 2021 that the temporary limitations on capital distributions that are currently in place will be lifted for most firms after June 30, 2021, based on the results of the Federal Reserve Board’s 2021 Comprehensive Capital Analysis and Review (CCAR), which will be released by high-quality assets purchased byJuly 1, 2021. If firms, including Citi, remain above all of their minimum risk-based requirements in the financial institution from money market mutual funds.
To ensure that financial institutions2021 CCAR, the temporary limitations on capital distributions will end after June 30 and those firms will be subject to the normal Stress Capital Buffer framework. However, if firms, including Citi, fall below any of their minimum risk-based capital requirements in the 2021 CCAR, those firms will remain subject to the temporary limitations on capital distributions for an additional three months through September 30, 2021. For the fourth quarter of 2021 and onward, unless the Federal Reserve Board further extends the temporary limitations on capital distributions, Citi and all other firms would be ableauthorized to effectively use the MMLF, in March 2020, the U.S. banking agencies issued an interim final rule that permits banking organizations to exclude exposures acquired pursuant to a non-recourse loan as part of the MMLF from risk-weighted assets under the Standardized Approach and Advanced Approaches, as well as quarterly adjusted average total assets and Total Leverage Exposure. The interim final rule is effective commencingmake distributions consistent with the quarter ended March 31, 2020.their Stress Capital Buffer requirements.

Standardized Approach for Counterparty Credit Risk
In January 2020, the U.S. banking agencies issued a final rule to introduce the Standardized Approach for Counterparty Credit Risk (SA-CCR) in the U.S. The mandatory compliance date of the SA-CCR final rule is January 1, 2022, and early adoption was originally permitted beginning April 1, 2020. For additional information on the SA-CCR final rule, see “Capital Resources—Regulatory Capital Standards Developments” in Citi’s 2019 Annual Report on Form 10-K.
In March 2020, the U.S. banking agencies issued an interim final rule permitting banks to early adopt the SA-CCR final rule beginning with the quarter ended March 31, 2020.
Citi did not adopt the SA-CCR final rule in the quarter ended March 31, 2020. Citi continues to evaluate a decision on its intended implementation date for SA-CCR, including consideration of the impact of SA-CCR on both Citigroup’s and Citibank’s regulatory capital ratios.


23


Citigroup’s Capital Resources
The following tables set forth Citi’s capital components and ratios:
Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Effective Minimum Requirement(1)
March 31,
2021		December 31,
2020		March 31,
2021		December 31,
2020
Common Equity Tier 1 Capital(2)
$148,944 $147,274 $148,944 $147,274 
Tier 1 Capital170,484 167,053 170,484 167,053 
Total Capital (Tier 1 Capital
+ Tier 2 Capital)(2)
197,700 195,959 206,971 204,849 
Total Risk-Weighted Assets1,263,926 1,255,284 1,260,080 1,221,576 
   Credit Risk(2)
$845,718 $844,374 $1,143,975 $1,109,435 
   Market Risk112,592 107,812 116,105 112,141 
   Operational Risk305,616 303,098 — — 
Common Equity Tier 1
Capital ratio(3)
10.0 %11.78 %11.73 %11.82 %12.06 %
Tier 1 Capital ratio(3)
11.5 13.49 13.31 13.53 13.68 
Total Capital ratio(3)
13.5 15.64 15.61 16.43 16.77 
  Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Effective Minimum Requirement(1)
March 31, 2020December 31, 2019March 31, 2020December 31, 2019
Common Equity Tier 1 Capital(2)
 $136,695
$137,798
$136,695
$137,798
Tier 1 Capital 154,304
155,805
154,304
155,805
Total Capital (Tier 1 Capital
    + Tier 2 Capital)(2)
 184,902
181,337
194,369
193,682
Total Risk-Weighted Assets(3)


1,224,085
1,135,553
1,217,805
1,166,523
   Credit Risk(2)
 $839,439
$771,508
$1,136,874
$1,107,775
   Market Risk 78,915
57,317
80,931
58,748
   Operational Risk 305,731
306,728
—
—
Common Equity Tier 1
  Capital ratio(4)
10.0%11.17%12.13%11.22%11.81%
Tier 1 Capital ratio(4)
11.5
12.61
13.72
12.67
13.36
Total Capital ratio(4)
13.5
15.11
15.97
15.96
16.60
In millions of dollars, except ratiosEffective Minimum RequirementMarch 31,
2021		December 31,
2020
Quarterly Adjusted Average Total Assets(2)(4)
$2,282,935 $2,265,615 
Total Leverage Exposure(2)(5)
2,450,412 2,386,881 
Tier 1 Leverage ratio4.0 %7.47 %7.37 %
Supplementary Leverage ratio5.0 6.96 7.00 

(1)Citi’s effective minimum risk-based capital requirements include the 2.5% Stress Capital Buffer and 3.0% GSIB surcharge under the Standardized Approach, and the 2.5% Capital Conservation Buffer and 3.0% GSIB surcharge under the Advanced Approaches (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were derived under the Basel III Advanced Approaches framework as of March 31, 2021 and December 31, 2020.
(4)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(5)Supplementary Leverage ratio denominator. Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. This temporary Supplementary Leverage ratio relief expired as scheduled on March 31, 2021. During the first quarter of 2021, as a result of the temporary relief, Citigroup’s reported Supplementary Leverage ratio benefited approximately 100 basis points. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.
In millions of dollars, except ratiosEffective Minimum RequirementMarch 31, 2020December 31, 2019
Quarterly Adjusted Average Total Assets(2)(3)(5)
 $2,044,340
$1,957,039
Total Leverage Exposure(2)(3)(6)
 2,585,730
2,507,891
Tier 1 Leverage ratio4.0%7.55%7.96%
Supplementary Leverage ratio5.0
5.97
6.21

(1)Citi’s effective minimum risk-based capital requirements include 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)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences, and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Commencing with the quarter ended March 31, 2020, exposures acquired pursuant to a non-recourse loan as part of the MMLF are excluded from risk-weighted assets under the Advanced Approaches and Standardized Approach, as well as quarterly adjusted average total assets and Total Leverage Exposure.
(4)Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of March 31, 2020, and the Basel III Standardized Approach as of December 31, 2019, whereas Citi’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework for all periods presented.
(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, Citigroup’s risk-based capital ratios at March 31, 20202021 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, 2020.2021.

Common Equity Tier 1 Capital Ratio
Citi’s reportable Common Equity Tier 1 Capital was 11.2%, the lower derived under the Basel III Advanced Approaches framework as of March 31, 2020, and 11.8% under the

Basel III Standardized Approach as of December 31, 2019. Citi’s Common Equity Tier 1 Capital ratio decline from year-end 2019 was largely attributable to increases in credit and market risk-weighted assets, the return of $4.0 billion of capital to common shareholders and foreign currency translation loss of $4.1 billion, partially offset by unrealized gains on AFS debt securities of $3.1 billion, net income of $2.5 billion, and the relief of the modified CECL transition provision for the quarter.24



Components of Citigroup Capital
In millions of dollarsMarch 31,
2021		December 31,
2020
Common Equity Tier 1 Capital
Citigroup common stockholders’ equity(1)
$182,402 $180,118 
Add: Qualifying noncontrolling interests132 141 
Regulatory capital adjustments and deductions:
Add: CECL transition and 25% provision deferral(2)
4,359 5,348 
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax1,037 1,593 
Less: Cumulative unrealized net gain (loss) related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax
(1,172)(1,109)
Less: Intangible assets:
Goodwill, net of related DTLs(3)
20,854 21,124 
Identifiable intangible assets other than MSRs, net of related DTLs
4,054 4,166 
Less: Defined benefit pension plan net assets1,485 921 
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards(4)
11,691 11,638 
Total Common Equity Tier 1 Capital (Advanced Approaches and Standardized Approach)$148,944 $147,274 
Additional Tier 1 Capital
Qualifying noncumulative perpetual preferred stock(1)
$20,147 $19,324 
Qualifying trust preferred securities(5)
1,395 1,393 
Qualifying noncontrolling interests33 35 
Regulatory capital deductions:
Less: Permitted ownership interests in covered funds(6)
— 917 
Less: Other35 56 
Total Additional Tier 1 Capital (Advanced Approaches and Standardized Approach)$21,540 $19,779 
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Advanced Approaches and Standardized Approach)
$170,484 $167,053 
Tier 2 Capital
Qualifying subordinated debt$21,890 $23,481 
Qualifying trust preferred securities(7)
248 331 
Qualifying noncontrolling interests39 41 
Excess of eligible credit reserves over expected credit losses(2)(8)
5,081 5,084 
Regulatory capital deduction:
Less: Other42 31 
Total Tier 2 Capital (Advanced Approaches)$27,216 $28,906 
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$197,700 $195,959 
Adjustment for eligible allowance for credit losses(2)(8)
$9,271 $8,890 
Total Tier 2 Capital (Standardized Approach)$36,487 $37,796 
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$206,971 $204,849 
In millions of dollarsMarch 31,
2020		December 31, 2019
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$174,502
$175,414
Add: Qualifying noncontrolling interests138
154
Regulatory capital adjustments and deductions:  
Add: CECL transition and 25% provision deferral(2)
4,300
—
Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax2,020
123
Less: Cumulative unrealized net gain (loss) related to changes in fair value of
   financial liabilities attributable to own creditworthiness, net of tax
2,838
(679)
Less: Intangible assets:  
Goodwill, net of related DTLs(3)
20,123
21,066
Identifiable intangible assets other than MSRs, net of related DTLs 
3,953
4,087
Less: Defined benefit pension plan net assets1,052
803
Less: DTAs arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(4)
12,259
12,370
Total Common Equity Tier 1 Capital (Advanced Approaches and Standardized Approach)$136,695
$137,798
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$17,829
$17,828
Qualifying trust preferred securities(5)
1,390
1,389
Qualifying noncontrolling interests40
42
Regulatory capital deductions:  
Less: Permitted ownership interests in covered funds(6)
1,622
1,216
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(7)
28
36
Total Additional Tier 1 Capital (Advanced Approaches and Standardized Approach)$17,609
$18,007
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Advanced Approaches and Standardized Approach)
$154,304
$155,805
Tier 2 Capital  
Qualifying subordinated debt$25,461
$23,673
Qualifying trust preferred securities(8)
318
326
Qualifying noncontrolling interests42
46
Excess of eligible credit reserves over expected credit losses(2)(9)
4,805
1,523
Regulatory capital deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(7)
28
36
Total Tier 2 Capital (Advanced Approaches)$30,598
$25,532
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$184,902
$181,337
Adjustment for eligible allowance for credit losses(2)(9)
$9,467
$12,345
Total Tier 2 Capital (Standardized Approach)

$40,065
$37,877
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$194,369
$193,682


(1)Issuance costs of $151 million as of March 31, 2020 and $152 million as of December 31, 2019 are related to outstanding noncumulative perpetual preferred stock, are excluded from common stockholders’ equity and are netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax) and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.
(3)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.

(1)Issuance costs of $133 million and $156 million related to outstanding noncumulative perpetual preferred stock as of March 31, 2021 and December 31, 2020, respectively, are excluded from common stockholders’ equity and are netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax) and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date.
(3)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.


Footnotes continue on the following page.

25


(4)Of Citi’s $22.1 billion of net DTAs at March 31, 2020, $13.1(4)Of Citi’s $24.2 billion of net DTAs at March 31, 2021, $14.4 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.8 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of March 31, 2021 was $11.7 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit tax carry-forwards. The amount excluded was reduced by $1.9 billion of net DTLs primarily associated with goodwill and certain other intangible assets that are separately deducted from capital. DTAs arising from tax carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. DTAs arising from temporary differences are required to be deducted from capital only if these DTAs exceed 10%/15% limitations under the U.S. Basel III rules. Citi’s DTAs do not currently exceed these limitations and, therefore, are not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.
(5)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(6)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Commencing January 1, 2021, Citi no longer deducts permitted market making positions in third-party covered funds from Tier 1 Capital, in accordance with the revised Volcker Rule 2.0 issued by the U.S. agencies in November 2019. Upon the removal of the capital deduction, permitted market making positions in third-party covered funds are included in risk-weighted assets.
(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 Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach, in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets. The total amount of allowance for credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Standardized Approach framework was $14.4 billion and $14.0 billion at March 31, 2021 and December 31, 2020, respectively.
26

Citigroup Capital Rollforward
In millions of dollarsThree Months Ended
March 31, 2021
Common Equity Tier 1 Capital, pursuantbeginning of period$147,274
Net income7,942
Common and preferred dividends declared(1,366)
Net increase in treasury stock(1,132)
Net decrease in common stock and additional paid-in capital(175)
Net change in foreign currency translation adjustment net of hedges, net of tax(1,274)
Net increase in unrealized gains (losses) on debt securities AFS, net of tax(1,785)
Net decrease in defined benefit plans liability adjustment, net of tax714
Net change in adjustment related to the U.S. Basel III rules, while $9.0 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital aschange in fair value of March 31, 2020 was $12.3 billionfinancial liabilities attributable to own creditworthiness, net of tax21
Net increase in excluded component of fair value hedges(10)
Net decrease in goodwill, net of related DTLs270
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs112
Net increase in defined benefit pension plan net assets(564)
Net increase in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards which was reduced by $3.3 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(53)
Net decrease in arriving atCECL 25% provision deferral(989)
Other(41)
Net increase in 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 Capital$1,670
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 rulesend of period
(Advanced Approaches and therefore not subject to deduction from Common EquityStandardized Approach)
$148,944
Additional Tier 1 Capital, but are subject to risk weighting at 250%.beginning of period
$19,779
(5)Net increase in qualifying perpetual preferred stockRepresents Citigroup Capital XIII823
Net increase in qualifying trust preferred securities which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
2
(6)Banking entities are required to beNet decrease in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. The U.S. agencies issued a revised Volcker Rule 2.0 in November 2019 that removes permitted investments in third-party covered funds from capital deduction requirements, among other changes. Upon the removal of the capital deduction, permitted investments in third-party covered funds will be included in risk-weighted assets. Mandatory compliance with the revised Volcker Rule 2.0 is required by January 1, 2021, with early adoption permitted, in whole or in part, beginning January 1, 2020. Citi continues to deduct from Tier 1 Capital all permitted ownership interests in covered funds for all periods presented.
917
(7)Other50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of19
Net increase in Additional Tier 1 Capital and Tier 2 Capital.
$1,761
(8)
Tier 1 Capital, end of period
(Advanced Approaches and Standardized Approach)
Represents the amount$170,484
Tier 2 Capital, beginning of non-grandfathered trust preferred securitiesperiod (Advanced Approaches)$28,906
Net decrease in qualifying subordinated debt(1,591)
Net decrease in excess of eligible for inclusioncredit reserves over expected credit losses(3)
Other(96)
Net decrease in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of (Advanced Approaches)$(1,690)
Tier 2 Capital, by January 1, 2022.end of period (Advanced Approaches)
$27,216
(9)Total Capital, end of period (Advanced Approaches)Under the Advanced Approaches framework,$197,700
Tier 2 Capital, beginning of period (Standardized Approach)$37,796
Net decrease in qualifying subordinated debt(1,591)
Net increase in eligible credit reserves that exceed expectedallowance for credit losses are eligible for inclusion378
Other(96)
Net decrease in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach, in which the allowance for credit losses is eligible for inclusion in (Standardized Approach)$(1,309)
Tier 2 Capital, up to 1.25%end of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets. The total amountperiod (Standardized Approach)$36,487
Total Capital, end of allowance for credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Standardized Approach framework was $14.3 billion and $13.9 billion at March 31, 2020 and December 31, 2019, respectively.period (Standardized Approach)$206,971


Citigroup Capital Rollforward
27
In millions of dollarsThree Months Ended 
 March 31, 2020
Common Equity Tier 1 Capital, beginning of period$137,798
Net income2,522
Common and preferred dividends declared(1,372)
Net increase in treasury stock(2,487)
Net decrease in common stock and additional paid-in capital(291)
Net change in foreign currency translation adjustment net of hedges, net of tax(4,109)
Net decrease in unrealized losses on debt securities AFS, net of tax3,128
Net increase in defined benefit plans liability adjustment, net of tax(286)
Net change in adjustment related to change in fair value of financial liabilities attributable to own creditworthiness, net of tax(377)
Net change in excluded component of fair value hedges27
Net decrease in goodwill, net of related DTLs943
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs134
Net increase in defined benefit pension plan net assets(249)
Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards111
CECL 25% provision deferral1,232
Other(29)
Net decrease in Common Equity Tier 1 Capital$(1,103)
Common Equity Tier 1 Capital, end of period
    (Advanced Approaches and Standardized Approach)
$136,695
Additional Tier 1 Capital, beginning of period$18,007
Net increase in qualifying perpetual preferred stock1
Net increase in qualifying trust preferred securities1
Net increase in permitted ownership interests in covered funds(406)
Other6
Net decrease in Additional Tier 1 Capital$(398)
Tier 1 Capital, end of period
  (Advanced Approaches and Standardized Approach)
$154,304
Tier 2 Capital, beginning of period (Advanced Approaches)$25,532
Net increase in qualifying subordinated debt1,788
Net increase in excess of eligible credit reserves over expected credit losses3,282
Other(4)
Net increase in Tier 2 Capital (Advanced Approaches)$5,066
Tier 2 Capital, end of period (Advanced Approaches)$30,598
Total Capital, end of period (Advanced Approaches)$184,902
Tier 2 Capital, beginning of period (Standardized Approach)$37,877
Net increase in qualifying subordinated debt1,788
Net increase in eligible allowance for credit losses

404
Other(4)
Net change in Tier 2 Capital (Standardized Approach)$2,188
Tier 2 Capital, end of period (Standardized Approach)$40,065
Total Capital, end of period (Standardized Approach)$194,369




Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollarsThree Months Ended 
 March 31, 2020
 Total Risk-Weighted Assets, beginning of period$1,135,553
Changes in Credit Risk-Weighted Assets 
Retail exposures(1)
(7,589)
Wholesale exposures(2)
21,881
Repo-style transactions(3)
15,102
Securitization exposures(1,390)
Equity exposures(2,427)
Over-the-counter (OTC) derivatives(4)
14,723
Derivatives CVA(5)
20,129
Other exposures(6)
4,796
Supervisory 6% multiplier2,706
Net increase in Credit Risk-Weighted Assets$67,931
Changes in Market Risk-Weighted Assets 
Risk levels(7)
$13,245
Model and methodology updates(7)
8,353
Net increase in Market Risk-Weighted Assets$21,598
Net decrease in Operational Risk-Weighted Assets$(997)
Total Risk-Weighted Assets, end of period$1,224,085

(1)In millions of dollarsRetail exposures decreased during the three months ended Three Months Ended
March 31, 2020 primarily due to seasonal holiday spending repayments.2021
 Total Risk-Weighted Assets, beginning of period$1,255,284
(2)Wholesale exposures increased during the three months ended March 31, 2020 primarily due to growthChanges in commercial loans and changes in obligor ratings, partially offset by decrease due to annual model parameter updates reflecting Citi’s loss experiences.
Credit Risk-Weighted Assets
(3)
Retail exposures(1)
Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions increased during the three months ended March 31, 2020 mainly driven by market volatility.
(10,755)
(4)
Wholesale exposures(2)
OTC derivatives increased during the three months ended March 31, 2020 primarily due to increases in mark to market gains and notionals for bilateral derivatives.
9,420
(5)Repo-style transactionsDerivatives CVA increased during the three months ended March 31, 2020 primarily due to widening of credit spreads and market volatility.
(2,786)
(6)
Securitization exposures(3)
Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the three months ended March 31, 2020 primarily due to increases in notional for client cleared derivatives.
3,729
(7)Equity exposures(586)
Over-the-counter (OTC) derivatives(4)
7,824
Derivatives CVA(5)
(7,779)
Other exposures(6)
1,866
Supervisory 6% multiplier411
Net increase in Credit Risk-Weighted Assets$1,344
Changes in Market risk-weighted assets increased during the three months ended March 31, 2020 primarily due to increasesRisk-Weighted Assets
Risk levels(7)
$4,222
Model and methodology updates558
 Net increase in market volatility and exposure levels subject to various Market risk-weighted assets components.Risk-Weighted Assets$4,780
Net change in Operational Risk-Weighted Assets(8)
$2,518
Total Risk-Weighted Assets, end of period$1,263,926


As set forth in(1)Retail exposures decreased during the table above, total risk-weighted assets underthree months ended March 31, 2021, primarily driven by seasonal holiday spending repayments and less spending on qualifying revolving (cards) exposures.
(2)Wholesale exposures increased during the Basel III Advanced Approaches increased from year-end 2019 primarily due to higher credit and market risk-weighted assets, slightly offset by a decrease in operational risk-weighted assets. The increase in credit risk-weighted assets wasthree months ended March 31, 2021, primarily due to an increase in wholesale loan commitments.
(3)Securitization exposures mainly driven by an increase in commercial loans, derivatives CVA mainly due to widening of credit spreads, OTC derivatives trade activities, repo-style transactions primarily due to market volatility, and other exposures, partially offset by decreases in retail exposures. Market risk-weighted assets increased from year-end 2019during the three months ended March 31, 2021, primarily due to increases in market volatilitynew deals.
(4)OTC derivatives increased during the three months ended March 31, 2021, primarily due to changes in risk parameters, partially offset by a decrease in exposure.
(5)Derivatives CVA decreased during the three months ended March 31, 2021, primarily driven by a decrease in exposure.
(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.
(7)Risk levels increased during the three months ended March 31, 2021, primarily due to exposure levels.changes.
(8)Operational risk-weighted assets increased during the three months ended March 31, 2021, mainly driven by changes in operational loss severity.




28



Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
In millions of dollarsThree Months Ended 
 March 31, 2020
 Total Risk-Weighted Assets, beginning of period$1,166,523
Changes in Credit Risk-Weighted Assets 
General credit risk exposures(1)
20,904
Repo-style transactions(2)
3,505
Securitization exposures(919)
Equity exposures(3)
(2,233)
Over-the-counter (OTC) derivatives(4)
23,867
Other exposures1,354
Off-balance sheet exposures(5)
(17,379)
Net increase in Credit Risk-Weighted Assets$29,099
Changes in Market Risk-Weighted Assets 
Risk levels(6)
$13,830
Model and methodology updates(6)
8,353
Net increase in Market Risk-Weighted Assets$22,183
Total Risk-Weighted Assets, end of period$1,217,805

(1)In millions of dollarsThree Months Ended
March 31, 2021
 Total Risk-Weighted Assets, beginning of period$1,221,576
Changes in Credit Risk-Weighted Assets
General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three months ended March 31, 2020 primarily due to growth in commercial loans, partially offset by seasonal holiday spending repayments.(1)
(12,940)
(2)
Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions increased during the three months ended March 31, 2020 primarily due to volume and exposure driven increases.(2)
3,038
Securitization exposures(3)
Equity exposures decreased during the three months ended March 31, 2020, primarily due to a decrease in market value of investments.
3,647
(4)Equity exposuresOTC derivatives increased during the three months ended March 31, 2020, primarily due to increases in mark to market gains and notionals for bilateral derivatives.
(579)
(5)
Over-the-counter (OTC) derivatives(4)
Off-balance sheet exposures decreased during the three months ended March 31, 2020, primarily due to drawdowns in loan commitments.
19,628
(6)
Other exposures(5)
11,306
Off-balance sheet exposures(6)
10,440
Net change in Credit Risk-Weighted Assets$34,540
Changes in Market risk-weighted assets increased during the three months ended March 31, 2020 primarily due to increasesRisk-Weighted Assets
Risk levels(7)
$3,406
Model and methodology updates558
Net increase in market volatility and exposure levels subject to various Market risk-weighted assets components.Risk-Weighted Assets$3,964
Total Risk-Weighted Assets, end of period$1,260,080


As set forth in(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures decreased during the table above, total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2019three months ended March 31, 2021, primarily due to higher creditseasonal holiday spending repayments and market risk-weighted assets. The increase in credit risk-weighted assets wasless spending on qualifying revolving (cards).
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions increased during the three months ended March 31, 2021, primarily due to changes in OTC derivatives activities, an increase in commercial loansvolume- and repo-style transactions mainly due to market volatility, partially offset by a decrease in loan commitments primarily due to drawdowns and a decrease in equity exposures. Market risk-weighted assetsexposure-driven increases.
(3)Securitization exposures increased from year-end 2019during the three months ended March 31, 2021, primarily due to increases in market volatilitynew deals.
(4)OTC derivatives increased during the three months ended March 31, 2021, mainly due to changes in risk parameters and an increase in notionals.
(5)Other exposures include cleared transactions, unsettled transactions and other assets. Other exposures increased during the three months ended March 31, 2021, primarily due to an increase in various other assets.
(6)Off-balance sheet exposures increased during the three months ended March 31, 2021, primarily due to an increase in wholesale loan commitments.
(7)Risk levels increased during the three months ended March 31, 2021, primarily due to exposure levels.changes.





29



Supplementary Leverage Ratio
The following table sets forth Citi’s Supplementary Leverage ratio and related components:
In millions of dollars, except ratiosMarch 31, 2021December 31, 2020
Tier 1 Capital$170,484 $167,053 
Total Leverage Exposure
On-balance sheet assets(1)(2)(3)
$1,906,422 $1,864,374 
Certain off-balance sheet exposures:(4)
   Potential future exposure on derivative contracts201,735 183,604 
   Effective notional of sold credit derivatives, net(5)
27,164 32,640 
   Counterparty credit risk for repo-style transactions(6)
21,805 20,168 
   Unconditionally cancellable commitments71,293 71,163 
   Other off-balance sheet exposures260,112 253,754 
Total of certain off-balance sheet exposures$582,109 $561,329 
Less: Tier 1 Capital deductions38,119 38,822 
Total Leverage Exposure(3)
$2,450,412 $2,386,881 
Supplementary Leverage ratio6.96 %7.00 %
In millions of dollars, except ratiosMarch 31, 2020December 31, 2019
Tier 1 Capital$154,304
$155,805
Total Leverage Exposure  
On-balance sheet assets(1)
$2,083,377
$1,996,617
Certain off-balance sheet exposures:(2)
  
   Potential future exposure on derivative contracts169,296
169,478
   Effective notional of sold credit derivatives, net(3)
38,910
38,481
   Counterparty credit risk for repo-style transactions(4)
22,386
23,715
   Unconditionally cancellable commitments71,453
70,870
   Other off-balance sheet exposures239,345
248,308
Total of certain off-balance sheet exposures$541,390
$550,852
Less: Tier 1 Capital deductions(39,037)(39,578)
Total Leverage Exposure$2,585,730
$2,507,891
Supplementary Leverage ratio5.97%6.21%


(1)Represents the daily average of on-balance sheet assets for the quarter.
(1)Represents the daily average of on-balance sheet assets for the quarter. Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.
(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.
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in DTAs arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in Total Leverage Exposure.
(3)Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure temporarily excluded U.S. Treasuries and deposits at Federal Reserve Banks. This temporary Supplementary Leverage ratio relief expired as scheduled on March 31, 2021. During the first quarter of 2021, as a result of the temporary relief, Citigroup’s reported Supplementary Leverage ratio benefited approximately 100 basis points. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.
(4)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(5)Under the U.S. Basel III rules, banking organizations are required to include in Total Leverage Exposure the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(6)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.

As set forth in the table above, Citigroup’s Supplementary Leverage ratio was 6.0% forapproximately 7.0% at March 31, 2021 and December 31, 2020, as the first quarterreturn of 2020, comparedcapital to 6.2% forcommon shareholders in the fourth quarterform of 2019. The ratio decreased from the fourth quarter of 2019, primarily driven byshare repurchases and dividends, adverse net movements in AOCI and an increase in Total Leverage Exposure mainly due to growthan increase in both average on-balance sheet assets the return of $4.0 billion of capital to common shareholders and foreign currency translation loss of $4.1 billion, partiallyaverage off-balance sheet exposures were offset by unrealized gains on AFS debt securities of $3.1 billion, net income of $2.5 billion, andin the relief of the modified CECL transition provision for the quarter.

30



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’sthe capital components and ratios:ratios for Citibank, Citi’s primary subsidiary U.S. depository institution:






Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Effective Minimum Requirement(1)
March 31, 2021December 31, 2020March 31, 2021December 31, 2020
Common Equity Tier 1 Capital(2)
$146,359 $142,854 $146,359 $142,854 
Tier 1 Capital148,487 144,962 148,487 144,962 
Total Capital (Tier 1 Capital
+ Tier 2 Capital)(2)(3)
164,921 161,319 173,212 169,303 
Total Risk-Weighted Assets(4)
1,043,858 1,021,479 1,069,933 1,038,031 
   Credit Risk(2)
$731,159 $716,513 $1,011,308 $977,366 
   Market Risk57,808 59,815 58,625 60,665 
   Operational Risk254,891 245,151 — — 
Common Equity Tier 1
Capital ratio(4)(5)
7.0 %14.02 %13.99 %13.68 %13.76 %
Tier 1 Capital ratio(4)(5)
8.5 14.22 14.19 13.88 13.97 
Total Capital ratio(4)(5)
10.5 15.80 15.79 16.19 16.31 
In millions of dollars, except ratiosEffective Minimum RequirementMarch 31, 2021December 31, 2020
Quarterly Adjusted Average Total Assets(2)(6)
$1,665,791 $1,680,026 
Total Leverage Exposure(2)(7)
2,182,668 2,180,821 
Tier 1 Leverage ratio(5)
5.0 %8.91 %8.63 %
Supplementary Leverage ratio(5)
6.0 6.80 6.65 

(1)Citibank’s effective minimum risk-based capital requirements are inclusive of the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citibank has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ September 2020 final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citibank is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses (pretax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. In addition, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the ACL is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess ACL being deducted in arriving at credit risk-weighted assets.
(4)Citibank’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework as of March 31, 2021 and December 31, 2020, whereas Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach framework for all periods presented.
(5)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.”
(6)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(7)Supplementary Leverage ratio denominator. Citibank did not elect to temporarily exclude U.S. Treasuries and deposits at Federal Reserve Banks from Total Leverage Exposure. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Temporary Supplementary Leverage Ratio Relief” in Citi’s 2020 Annual Report on Form 10-K.





31
  Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Effective Minimum Requirement(1)
March 31, 2020December 31, 2019March 31, 2020December 31, 2019
Common Equity Tier 1 Capital(2)
 $134,835
$130,720
$134,835
$130,720
Tier 1 Capital 136,919
132,847
136,919
132,847
Total Capital (Tier 1 Capital
    + Tier 2 Capital)(2)(3)
 153,194
145,918
161,629
157,253
Total Risk-Weighted Assets 1,008,709
931,743
1,058,427
1,019,266
   Credit Risk(2)
 $722,304
$664,139
$1,010,662
$989,669
   Market Risk 47,579
29,167
47,765
29,597
   Operational Risk 238,826
238,437
—
—
Common Equity Tier 1
  Capital ratio(4)(5)
7.0%13.37%14.03%12.74%12.82%
Tier 1 Capital ratio(4)(5)
8.5
13.57
14.26
12.94
13.03
Total Capital ratio(4)(5)
10.5
15.19
15.66
15.27
15.43

In millions of dollars, except ratiosEffective Minimum RequirementMarch 31, 2020December 31, 2019
Quarterly Adjusted Average Total Assets(2)(6)
 $1,512,382
$1,459,780
Total Leverage Exposure(2)(7)
 1,994,180
1,951,630
Tier 1 Leverage ratio(5)
5.0%9.05%9.10%
Supplementary Leverage ratio(5)
6.0
6.87
6.81

(1)Citibank’s effective minimum risk-based capital requirements include the 2.5% Capital Conservation Buffer (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citibank has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences, and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citibank is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(4)Citibank’s reportable Total Capital ratio was derived under the Basel III Advanced Approaches framework as of March 31, 2020, and the Basel III Standardized Approach as of December 31, 2019, whereas Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach framework for all periods presented.
(5)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.” For additional information, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework” in Citigroup’s 2019 Annual Report on Form 10-K.
(6)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(7)Supplementary Leverage ratio denominator.


As indicated in the table above, Citibank’s capital ratios at March 31, 20202021 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, 2020.2021.

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, 2020.2021. 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
In basis points
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Citigroup
Advanced Approaches0.80.90.81.10.81.2
Standardized Approach0.80.90.81.10.81.3
Citibank
Advanced Approaches1.01.31.01.41.01.5
Standardized Approach0.91.30.91.30.91.5
Tier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.40.30.40.3
Citibank0.60.50.50.3

 
Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratio
In basis points
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Citigroup      
Advanced Approaches0.80.90.81.00.81.2
Standardized Approach0.80.90.81.00.81.3
Citibank      
Advanced Approaches1.01.31.01.31.01.5
Standardized Approach0.91.20.91.20.91.4

 Tier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.50.40.40.2
Citibank0.70.60.50.3
32



Citigroup Broker-Dealer Subsidiaries
At March 31, 2020,2021, 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 $6.8$11.8 billion, which exceeded the minimum requirement by $2.6$8.1 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $21.0$27.0 billion at March 31, 2020,2021, which exceeded the PRA'sPRA’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, 2020.
2021.

Total Loss-Absorbing Capacity (TLAC)
The table below details Citi’s eligible external TLAC and long-term debt (LTD) amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement.
As of March 31, 2020,2021, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $14$24 billion surplus above its binding TLAC requirement of LTD as a percentage of Advanced Approaches risk-weighted assets.
March 31, 2021
In billions of dollars, except ratiosExternal TLACLTD
Total eligible amount$313 $138 
% of Advanced Approaches risk-
weighted assets		24.8 %10.9 %
Effective minimum requirement(1)(2)
22.5 %9.0 %
Surplus amount$29 $24 
% of Total Leverage Exposure(3)
12.8 %5.6 %
Effective minimum requirement9.5 %4.5 %
Surplus amount$81 $28 

(1)    External TLAC includes Method 1 GSIB surcharge of 2.0%.
(2)    LTD includes Method 2 GSIB surcharge of 3.0%.
(3)    Commencing with the second quarter of 2020, Citigroup’s Total Leverage Exposure.Exposure temporarily excludes U.S. Treasuries and deposits at Federal Reserve Banks. These exclusions expired as scheduled on March 31, 2021. Excluding the temporary relief, Citigroup’s binding TLAC requirement would have been LTD as a percentage of Total Leverage Exposure, with a surplus of $9 billion. For additional information, see “Temporary Supplementary Leverage Ratio Relief” above.
 March 31, 2020
In billions of dollars, except ratios
External TLAC

LTD
Total eligible amount$291
$130
% of Advanced Approaches risk-
  weighted assets
23.7%10.6%
Effective minimum requirement(1)(2)
22.5%9.0%
Surplus amount$15
$20
% of Total Leverage Exposure11.2%5.0%
Effective minimum requirement9.5%4.5%
Surplus amount$45
$14


(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—“Capital Resources—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance Conduct and Legal Risks” in Citi’s 20192020 Annual Report on Form 10-K.


33

Capital Resources (Full Adoption of CECL)CECL, and Excluding Temporary Supplementary Leverage Ratio Relief for Citigroup)
The following tables set forth Citigroup’s and Citibank’s capital components and ratios reflecting the full impact of CECL, on regulatory capitaland excluding temporary Supplementary Leverage ratio relief for Citigroup, as of March 31, 2020:2021:
CitigroupCitibank
Effective Minimum RequirementAdvanced ApproachesStandardized ApproachEffective Minimum RequirementAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital ratio10.0 %11.46 %11.50 %7.0 %13.67 %13.33 %
Tier 1 Capital ratio11.5 13.17 13.21 8.5 13.87 13.53 
Total Capital ratio13.5 15.33 16.12 10.5 15.45 15.85 
Effective Minimum RequirementCitigroupEffective Minimum RequirementCitibank
Tier 1 Leverage ratio4.0 %7.29 %5.0 %8.69 %
Supplementary Leverage ratio(1)
5.0 5.80 6.0 6.63 

 CitigroupCitibank
 Advanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital ratio10.84%10.90%13.00%12.39%
Tier 1 Capital ratio12.28
12.35
13.21
12.59
Total Capital ratio14.80
15.65
14.84
14.93
 CitigroupCitibank
Tier 1 Leverage ratio7.35%8.81%
Supplementary Leverage ratio5.81
6.68



Regulatory Capital Standards Developments

Stress Capital Buffer
In March 2020, the Federal Reserve Board issued the final Stress Capital Buffer (SCB) rule, integrating the annual stress testing requirements with ongoing regulatory capital requirements.
For Citigroup, the SCB rule replaces the fixed 2.5% Capital Conservation Buffer under the Standardized Approach, and would equal the peak-to-trough Common Equity Tier 1 Capital ratio decline under the Supervisory Severely Adverse scenario used in the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST), plus four quarters of planned common stock dividends, subject to a floor of 2.5%. The fixed 2.5% Capital Conservation Buffer will continue to apply under the Advanced Approaches. SCB-based minimum capital requirements will be updated once per year as part of the CCAR process. Similar to the current Capital Conservation Buffer, a breach of the SCB will result in graduated limitations on capital distributions. For additional information regarding limitations on capital distributions, see “Capital Resources—Regulatory Capital Relief Resulting from the COVID-19 Pandemic—Use of Regulatory Capital Buffers” above. For additional information regarding CCAR and DFAST, see “Capital Resources—Current Regulatory Capital Standards—Stress Testing Component of Capital Planning” in Citi’s 2019 Annual Report on Form 10-K.
Since firms will be required to maintain risk-based capital ratio minimum requirements that integrate stress test results, the SCB final rule eliminated a number of previous CCAR requirements, including the once-a-year quantitative objection, the pre-approval requirement from the Federal Reserve Board for making distributions in excess of planned capital actions, and the 30% dividend payout ratio as a criterion for heightened supervisory scrutiny.
(1)Citigroup’s first SCB requirement will be announced by the Federal Reserve Board by June 30, 2020, based on the results of 2020 CCAR, and the SCB will become effective for Citigroup on October 1, 2020. Accordingly, Citigroup’s effective minimum risk-based capital requirements under the Standardized Approach may increase as of October 1, 2020, as a result of the SCB that will be announced by the Federal Reserve Board.
The SCB applies to Citigroup only. The regulatory capital framework applicable to Citibank, including the Capital Conservation Buffer, is unchanged by the SCB final rule.

Temporary Supplementary Leverage Ratio Relief for Citigroup
In April 2020, the Federal Reserve Board issued an interim final rule that will temporarily change the calculation of the Supplementary Leverage ratio, for bank holding companies, by excludingas presented in the table above, reflects the full impact of CECL as well as the inclusion of U.S. Treasuries and deposits at Federal Reserve banks fromBanks in Total Leverage Exposure. Reverse repurchase receivables on U.S. Treasuries are not in scope for this relief. The Supplementary Leverage ratio is a non-

risk-sensitive measure, and the temporary exclusion allows banking organizations to expand their balance sheet, as appropriate, to continue to serve as financial intermediaries and to provide credit to households and businesses during the COVID-19 pandemic.
The interim final rule will become effective for Citigroup’s Supplementary Leverage ratio, as well as for Citigroup’s leverage-based TLAC and LTD requirements, beginning with the quarter ended June 30, 2020, and will continue through March 31, 2021.
Supplementary Leverage ratio requirements for Citibank are unchanged by the Federal Reserve Board’s interim final rule.

Regulatory Capital Impact of the Paycheck Protection ProgramHoldings
In April 2020, as part of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) and in recognition of the exigent circumstances faced by small businesses, Congress created the Paycheck Protection Program (PPP). PPP covered loans are fully guaranteed as to principal and accrued interest by the Small Business Administration (SBA). As a general matter, SBA guarantees are backed by the full faith and credit of the U.S. government.
In order to provide liquidity to small business lenders and the broader credit markets, and to help stabilize the financial system, in April 2020 the Federal Reserve Board authorized each of the Federal Reserve Banks to extend credit under the Paycheck Protection Program Lending Facility (PPPLF). Under the PPPLF, Federal Reserve Banks will extend non-recourse loans to institutions that are eligible to make PPP covered loans. Eligible institutions may pledge PPP covered loans as collateral to the Federal Reserve Banks.
In April 2020, in recognition of CARES Act requirements, and to facilitate the use of the PPPLF,January 2021, the U.S. banking agencies issued an interima final rule that allowscreates a new regulatory capital deduction applicable to Advanced Approaches banking organizations to neutralizefor certain regulatory capital effects of PPP loans.investments in covered debt instruments issued by GSIBs. The interim final rule statesbecame effective for Citigroup and Citibank on April 1, 2021, and did not have a significant impact on either Citigroup’s or Citibank’s regulatory capital. For additional information, see “Capital Resources—Regulatory Capital Standards Developments—U.S. Banking Agencies—TLAC Holdings” in Citi’s 2020 Annual Report on Form 10-K.

Regulatory Capital Standards Developments

Supplementary Leverage Ratio
In March 2021, the Federal Reserve Board announced that PPP covered loans originated by a banking organization under the PPP will be risk-weighted at 0% under the Standardized Approach and the Advanced Approaches. Additionally, the interim final rule permits banking organizations to exclude exposures pledged as collateralit would soon invite public comment on several potential modifications to the PPPLF from quarterly adjusted average total assetsSupplementary Leverage ratio. The Federal Reserve Board noted that, because of recent growth in the supply of central bank reserves and Total Leverage Exposure. The interim final rule is effective commencing withissuance of U.S. Treasuries, the quarter ended June 30, 2020.

Deferral of Basel III Revisions
In April 2020, in lightFederal Reserve Board may need to address the current design and calibration of the COVID-19 pandemic, the Basel CommitteeSupplementary Leverage ratio over time to prevent strains from developing that could both constrain economic growth and undermine financial stability. Additional details on Banking Supervision (Basel Committee) announced that the implementation date of the Basel III post-crisis regulatory reforms finalized in December 2017 has been deferred by one year to January 1, 2023. The reforms relate to the methodologies in deriving credit and operational risk-weighted assets, the imposition of a new aggregate output floor for risk-weighted assets, and revisions to the leverage ratio framework. The Baselany forthcoming proposals are not yet available.









Committee also announced that the implementation date of the revised market risk framework finalized in January 2019 has been deferred by one year to January 1, 2023.34

The U.S. banking agencies may revise the U.S. Basel III rules in the future, in response to the Basel Committee’s Basel III post-crisis regulatory reforms and revised market risk framework.



Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and ReturnsReturn 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 returnsreturn on average TCE are non-GAAP financial measures. Citi believes the presentation of TCE, TBV per share and return on average TCE provides alternate measures of capital strength and performance that are commonly used by investors and industry analysts.




















In millions of dollars or shares, except per share amountsMarch 31,
2021		December 31,
2020
Total Citigroup stockholders’ equity$202,549 $199,442 
Less: Preferred stock20,280 19,480 
Common stockholders’ equity$182,269 $179,962 
Less:
  Goodwill21,905 22,162 
  Identifiable intangible assets (other than MSRs)4,308 4,411 
Tangible common equity (TCE)$156,056 $153,389 
Common shares outstanding (CSO)2,067.0 2,082.1 
Book value per share (common equity/CSO)$88.18 $86.43 
Tangible book value per share (TCE/CSO)75.50 73.67 

Three Months Ended March 31,
In millions of dollars20212020
Net income available to common shareholders$7,650 $2,245 
Average common stockholders’ equity180,421 174,468 
Average TCE154,723 149,024 
Return on average common stockholders’ equity17.2 %5.2 %
Return on average TCE (RoTCE)(1)
20.1 6.1 

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
























35

In millions of dollars or shares, except per share amountsMarch 31,
2020		December 31,
2019
Total Citigroup stockholders’ equity$192,331
$193,242
Less: Preferred stock17,980
17,980
Common stockholders’ equity$174,351
$175,262
Less:  
    Goodwill21,264
22,126
    Identifiable intangible assets (other than MSRs)4,193
4,327
Tangible common equity (TCE)$148,894
$148,809
Common shares outstanding (CSO)2,081.8
2,114.1
Book value per share (common equity/CSO)$83.75
$82.90
Tangible book value per share (TCE/CSO)71.52
70.39


 
Three Months Ended
March 31,
In millions of dollars20202019
Net income available to common shareholders$2,231
$4,448
Average common stockholders’ equity174,217
177,485
Average TCE148,852
151,334
Return on average common stockholders’ equity5.2%10.2%
Return on average TCE (RoTCE)(1)
6.0
11.9

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



Managing Global Risk Table of Contents

MANAGING GLOBAL RISK
4537

CREDIT RISK(1)
4537

Consumer Credit
4537

Corporate Credit
5144

Additional Consumer and Corporate Credit Details
5550

 Loans Outstanding
5550

 Details of Credit Loss Experience
5651

     Allowance for Credit Losses on Loans (ACLL)57
52
     Non-Accrual Loans and Assets and Renegotiated Loans
5854

LIQUIDITY RISK
6157

High-Quality Liquid Assets (HQLA)
6157

Liquidity Coverage Ratio (LCR)
6157

Loans62
58
Deposits62
58
Long-Term Debt63
59
Secured Funding Transactions and Short-Term Borrowings65
61
Credit Ratings66
62
MARKET RISK(1)
6864

Market Risk of Non-Trading Portfolios
6864

Market Risk of Trading Portfolios
7672

STRATEGIC RISK
7974

CountryLIBOR Transition Risk
7974

ArgentinaCountry Risk
8075

Argentina
76

(1)For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.

(1)    For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.


36

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 guiding 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 20192020 Annual Report on Form 10-K. As discussed above, Citi is continuing its efforts to comply with the Federal Reserve Board and OCC consent orders, relating principally to various aspects of risk management, compliance, data quality management and governance, and internal controls. See “Citi’s Consent Order Compliance” above and in Citi’s 2020 Annual Report on Form 10-K..




CREDIT RISK

For additionalmore information on credit risk, including Citi’s credit risk management, measurement and stress testing, and Citi’s consumer and corporate credit portfolios, see “Credit Risk” and “Risk Factors” in Citi’s 20192020 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’192Q’193Q’194Q’191Q’20In billions of dollars1Q’202Q’203Q’204Q’201Q’21
Retail banking:   Retail banking:
Mortgages$80.8
$81.9
$83.0
$85.1
$83.3
Mortgages$83.6 $86.0 $87.5 $88.9 $86.7 
Personal, small business and other37.3
37.8
37.6
39.7
36.9
Personal, small business and other36.6 37.6 38.3 40.1 39.1 
Total retail banking$118.1
$119.7
$120.6
$124.8
$120.2
Total retail banking$120.2 $123.6 $125.8 $129.0 $125.8 
Cards: Cards:
Citi-branded cards$111.4
$115.5
$115.8
$122.2
$110.2
Citi-branded cards$110.2 $103.6 $102.2 $106.7 $99.6 
Citi retail services48.9
49.6
50.0
52.9
48.9
Citi retail services48.9 45.4 44.4 46.4 42.5 
Total cards$160.3
$165.1
$165.8
$175.1
$159.1
Total cards$159.1 $149.0 $146.6 $153.1 $142.1 
Total GCB
$278.4
$284.8
$286.4
$299.9
$279.3
Total GCB
$279.3 $272.6 $272.4 $282.1 $267.9 
GCB regional distribution:
 
GCB regional distribution:
North America66%66%66%66%67%North America67 %66 %66 %65 %64 %
Latin America6
6
6
6
5
Latin America5 5 5 5 5 
Asia(2)
28
28
28
28
28
Asia(2)
28 29 29 30 31 
Total GCB
100%100%100%100%100%
Total GCB
100 %100 %100 %100 %100 %
Corporate/Other(3)
$12.6
$11.7
$11.0
$9.6
$9.1
Corporate/Other(3)
$9.1 $8.5 $7.6 $6.7 $6.1 
Total consumer loans$291.0
$296.5
$297.4
$309.5
$288.4
Total consumer loans$288.4 $281.1 $280.0 $288.8 $274.0 

(1)End-of-period loans include interest and fees on credit cards.
(2)
(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.

 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.





37

Overall Consumer Credit Trends
Global Consumer Banking
c-20210331_g1.jpg

c-20210331_g2.jpg

As shown in the chart above, GCB did not experience significant delinquency or’s net credit loss impacts from the COVID-19 pandemic during the first quarter. Citi expects that during the remainder of 2020,rate and the 90+ days past due delinquency rate decreased year-over-year as of the first quarter of 2021, driven by North AmericaGCB, primarily reflecting the benefit of significant government stimulus and assistance, and lower customer spending.
Quarter-over-quarter, GCB’s net credit loss ratesrate increased and its 90+ days past due rate decreased, driven by Asia GCB and Latin America GCB, as Citi charged off most of the spike in delinquencies from the fourth quarter of 2020 related to customer accounts exiting consumer relief programs, as well as the seasonality observed in North America GCB, Latin America GCB and Asia GCB will be adversely impacted by the evolving macroeconomic and market conditions, including the severity and duration of the impact from the COVID-19 pandemic. This impact could be delayed or partially offset by government stimulus and assistance packages, as well as Citi’s consumer relief programs and any decline in loan volumes. Citi’s consumer relief programs may have an impact in the timing of the 90+ days past due delinquency and’s net credit loss rates. As in most programs, customers are not required to make payments for a period of time and they remain in the same delinquency bucket as when they entered the program during this period.rate.
For additional information abouton consumer credit trends, uncertainties and risks related to the COVID-19 pandemic, see “COVID-19 Overview” and “Risk Factors” above.“Managing Global Risk—Credit Risk—Overall Consumer Credit Trends” in Citi’s 2020 Annual Report on Form 10-K.
The following charts show the quarterly trends in delinquencies (90+ days past due (90+ DPD) ratio) and the net credit loss (NCL) ratio across both retail banking and cards for
total GCB and by region.

Global Consumer BankingNorth America GCB
c-20210331_g1.jpg
cctglobal2a04.jpgc-20210331_g3.jpg

North America GCB
legendc27.jpg
cctna2a03.jpg

North America GCBprovides mortgage, home equity, small business and personal loans through Citi’s retail banking network and card products through Citi-branded cards and Citi retail services businesses. The retail bank is concentrated in six major metropolitan cities in the United StatesU.S. (for additional information on the U.S. retail bank, see “North America GCB” above).
As of March 31, 2020,2021, approximately 73%70% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB(for (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 as of the first quarter of 2021 increased quarter-over-quarter, primarily driven by seasonality in both cards portfolios, and decreased year-over-year, primarily driven by the continued impacts of government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate in North America GCB increaseddecreased quarter-over-quarter, primarilyreflecting higher payment rates driven by seasonalitygovernment stimulus. Year-over-year, the decrease in both cards portfolios.
The net credit loss rate andthe 90+ days past due delinquency rate increased year-over-year, primarilywas driven by seasoningthe continued impacts of more recent vintages in Citi-branded cardsgovernment stimulus, unemployment benefits and an increase in net flow rates in later delinquency buckets in Citi retail services.consumer relief programs.

Latin America GCB
c-20210331_g1.jpg
cctlatam2a03.jpgc-20210331_g4.jpg

Latin America GCBoperates in Mexico through
Citibanamex, one of Mexico’s largest banks, and provides
credit cards, consumer mortgages and small business and personal loans. Latin America GCBserves a more mass-market segment in Mexico and focuses on developing multi-productmultiproduct relationships with customers.
As shown in the chart above, the net credit loss rate in Latin America GCB as of the first quarter of 2021 increased quarter-over-quarter, primarily due to seasonality, whilesignificantly quarter-over quarter and year-over-year, driven by a majority of customers exiting consumer relief programs at the end of the third quarter of 2020 as well as the continued adverse pandemic-related macroeconomic impacts.
The 90+ days past due delinquency rate remained broadly stable.
The net credit loss rate decreasedincreased year-over-year, primarily due to growth in recent vintages for cards as well as a slower pace of acquisitions in the retail portfolios during 2019, while thecontinued adverse pandemic-related macroeconomic impacts, including lower loan balances. The 90+ days past due delinquency rate remained stable.decreased quarter-over-quarter, primarily due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs.


38

Asia(1) GCB
c-20210331_g1.jpg
cctasia2a06.jpgc-20210331_g5.jpg
(1)Asia includes GCB activities in certain EMEA countries for all periods presented.

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

Asia GCBoperates in 17 countries and jurisdictions in Asiaand EMEA
and provides credit cards, consumer mortgages and small business and personal loans.
As shown in the chart above, the net credit loss rate in Asia GCB as of the first quarter of 2021 increased quarter-over-quarter primarilyand year-over-year, driven by customers exiting consumer relief programs in certain countries, as well as the continued adverse pandemic-related macroeconomic impacts in the region.
The 90+ days past due to seasonality, whiledelinquency rate was largely unchanged year-over-year. Quarter-over-quarter, the 90+ days past due delinquency rate remained broadly stable quarter-over-quarter.
The net credit loss rate anddecreased due to the 90+ days past due delinquency rate were broadly stable year-over-year.charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs in 2020.
The stability inperformance of Asia GCB’s portfolios reflectscontinues to reflect the strong credit profiles in the region’s target customer segments. Regulatory changes in many markets in Asia over the past few years have also resulted in stable portfolioimproved 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 NoteNotes 13 and 14 to the Consolidated Financial Statements.

Credit Card Trends

Global Cards
c-20210331_g1.jpg
c-20210331_g6.jpg

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 Citi’sLatin America and Asia Citi-branded cards portfolios.

GlobalNorth America Citi-Branded Cards
c-20210331_g1.jpg
ccglobalcardsa20.jpgc-20210331_g7.jpg

North America Citi-Branded Cards
legendc32.jpg
ccnacardsa04.jpg

North America GCB’s Citi-branded cards portfolio issuesproprietary and co-branded cards.
As shown in the chart above, the net credit loss rate in Citi-branded cards as of the first quarter of 2021 increased quarter-over-quarter, primarily driven by seasonality, and decreased year-over-year, primarily reflecting the benefit of significant government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate in North America Citi-branded cards increaseddecreased quarter-over-quarter, primarilyreflecting higher payment rates due to seasonality.
The net credit loss rate andgovernment stimulus. Year-over-year, the 90+ days past due delinquency rate increased year-over-year, primarilydecreased, driven by portfolio growththe continued impact of government stimulus, unemployment benefits and seasoning of more recent vintages.consumer relief programs.

39

North America Citi Retail Services
c-20210331_g1.jpg
ccnaretaila03.jpgc-20210331_g8.jpg

Citi retail services partners directly with more than 20 retailers and dealers to offer private label and co-branded cards. Citi retail services’ target market is focusedfocuses on select industry segments such as home improvement, specialty retail, consumer electronics and fuel.
Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
As shown in the chart above, the net credit loss rate in Citi retail services as of the first quarter of 2021 increased quarter-over-quarter, primarily due to seasonality, and decreased year-over-year, primarily reflecting the benefit of significant government stimulus, unemployment benefits and consumer relief programs.
The 90+ days past due delinquency rate in Citi retail services increased quarter-over-quarter, primarily due to seasonality.
The net credit loss rate andwas largely unchanged quarter-over-quarter. Year-over-year, the 90+ days past due delinquency rate increased year-over-year, primarilydeclined, driven by an increase in net flow rates in later delinquency buckets.the continued impact of government stimulus, unemployment benefits and consumer relief programs.



Latin America Citi-Branded Cards
c-20210331_g1.jpg
cclatamcardsa04.jpgc-20210331_g9.jpg

Latin America GCBissues proprietary and co-branded cards.
cards. As shown in the chart above, the net credit loss rate in Latin America Citi-branded cards as of the first quarter of 2021 increased quarter-over-quarter, primarilysignificantly quarter-over quarter and year-over-year, driven by a majority of customers exiting
consumer relief programs at the end of the third quarter in 2020, as well as the continued adverse pandemic-related macroeconomic impacts.
The 90+ days past due delinquency rate increased year-over-year, due to seasonality, while the continued adverse pandemic-related macroeconomic impacts, including lower loan balances. The 90+ days past due delinquency rate decreased alsoquarter-over-
quarter, primarily due to seasonality.the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 related to customers exiting consumer relief programs.
The net credit loss rate and 90+ days past due delinquency rate decreased year-over-year, primarily due to growth in recent vintages.

Asia Citi-Branded Cards(1)
c-20210331_g1.jpg
ccasiacards2a04.jpg

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

c-20210331_g10.jpg
Asia GCB
(1)issues proprietaryAsia includes loans and co-branded cards.leases in certain EMEA countries for all periods presented.

As set forthshown in the chart above, the net credit loss rate in Asia Citi-branded cards as of the first quarter of 2021 increased quarter-over-quarter and year-over-year, primarily due to seasonality, anddriven by customers exiting consumer relief programs in certain countries, as well as the 90+ days past due delinquency rate increased, mainly due tocontinued adverse pandemic-related macroeconomic impacts in the impact of recent regulatory changes on collections. region.
The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, due to the impactcontinued adverse macroeconomic impacts of recent regulatory changes on collections. the pandemic, and decreased quarter-over-quarter, due to the charge-off of most of the spike in delinquent balances from the fourth quarter of 2020 relating to customers exiting consumer relief programs in 2020.
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.


40

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 distribution(1)
March 31, 2021December 31, 2020March 31, 2020
  > 76046 %46 %39 %
   680–76040 39 42 
  < 68014 15 19 
Total100 %100 %100 %
Citi-Branded Cards
FICO distribution(1)
March 31, 2020December 31, 2019March 31, 2019
  > 76039%42%41%
   680–76042
40
41
  < 68019
18
18
Total100%100%100%


Citi Retail Services
FICO distribution(1)
March 31, 2020December 31, 2019March 31, 2019
FICO distribution(1)
March 31, 2021December 31, 2020March 31, 2020
> 76023%25%23% > 76026 %27 %23 %
680–76042
42
43
 680–76045 44 42 
< 68035
33
34
 < 68029 29 35 
Total100%100%100%Total100 %100 %100 %

(1)The FICO bands in the tables are consistent with general industry peer presentations.
(1)    The FICO bands in the tables are consistent with general industry peer presentations.

The FICO distribution of both cards portfolios remained broadly stable compared to the prior quarter, and improved compared to the prior year, demonstrating strong underlying credit quality.quality, as well as a benefit from the impact of government stimulus, unemployment benefits, customer relief programs and lower credit utilization due to reduced customer spending. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.













41

Additional Consumer Credit Details

Consumer Loan Delinquencies Amounts and Ratios(1)
 
EOP
loans(2)
90+ days past due(3)
30–89 days past due(3)
In millions of dollars,
except EOP loan amounts in billions		March 31,
2021		March 31,
2021		December 31,
2020		March 31,
2020		March 31,
2021		December 31,
2020		March 31,
2020
Global Consumer Banking(4)(5)
Total$267.9 $2,175 $2,507 $2,603 $2,003 $2,517 $2,870 
Ratio0.81 %0.89 %0.93 %0.75 %0.89 %0.90 %
Retail banking
Total$125.8 $598 $632 $429 $662 $860 $794 
Ratio0.48 %0.49 %0.36 %0.53 %0.67 %0.66 %
North America50.9 263 299 161 220 328 298 
Ratio0.52 %0.58 %0.32 %0.44 %0.63 %0.59 %
Latin America9.1 142 130 90 164 220 140 
Ratio1.56 %1.33 %0.98 %1.80 %2.24 %1.52 %
Asia(6)
65.8 193 203 178 278 312 356 
Ratio0.29 %0.31 %0.30 %0.42 %0.47 %0.59 %
Cards
Total$142.1 $1,577 $1,875 $2,174 $1,341 $1,657 $2,076 
Ratio1.11 %1.22 %1.37 %0.94 %1.08 %1.30 %
North America—Citi-branded
78.5 590 686 891 484 589 770 
Ratio0.75 %0.82 %1.01 %0.62 %0.70 %0.87 %
North America—Citi retail services
42.5 591 644 958 513 639 903 
Ratio1.39 %1.39 %1.96 %1.21 %1.38 %1.85 %
Latin America4.3 173 233 121 115 170 132 
Ratio4.02 %4.85 %2.69 %2.67 %3.54 %2.93 %
Asia(6)
16.8 223 312 204 229 259 271 
Ratio1.33 %1.74 %1.18 %1.36 %1.45 %1.57 %
Corporate/Other—Consumer(7)
Total$6.1 $277 $313 $281 $138 $179 $252 
Ratio4.86 %5.13 %3.23 %2.42 %2.93 %2.90 %
Total Citigroup$274.0 $2,452 $2,820 $2,884 $2,141 $2,696 $3,122 
Ratio0.90 %0.98 %1.00 %0.78 %0.94 %1.09 %
(1)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020.
(2)End-of-period (EOP) loans include interest and fees on credit cards.
(3)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(4)The 90+ days past due balances for North America—Citi-brandedand North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(5)The 90+ days past due and 30–89 days past due and related ratios for North America GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $176 million ($0.7 billion), $171 million ($0.7 billion) and $124 million ($0.5 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $84 million ($0.7 billion), $98 million ($0.7 billion) and $64 million ($0.5 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively.
(6)Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(7)The loans 90+ days past due and related ratios exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies since the potential loss predominantly resides with the U.S. agencies. The amounts excluded for 90+ days past due and (EOP loans) for each period were $169 million ($0.4 billion), $183 million ($0.5 billion) and $167 million ($0.4 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $55 million ($0.4 billion), $73 million ($0.5 billion) and $58 million ($0.4 billion) as of March 31, 2021, December 31, 2020 and March 31, 2020, respectively.
42
 
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,
2020		March 31,
2020		December 31,
2019		March 31,
2019		March 31,
2020		December 31,
2019		March 31,
2019
Global Consumer Banking(3)(4)
       
Total$279.3
$2,603
$2,737
$2,505
$2,870
$3,001
$2,751
Ratio 0.93%0.91%0.90%1.03%1.00%0.99%
Retail banking       
Total$120.2
$429
$438
$394
$794
$816
$744
Ratio 0.36%0.35%0.34%0.66%0.66%0.63%
North America50.8
161
146
132
298
334
263
Ratio 0.32%0.29%0.28%0.59%0.67%0.56%
Latin America9.2
90
106
95
140
180
185
Ratio 0.98%0.91%0.84%1.52%1.54%1.64%
Asia(5)
60.2
178
186
167
356
302
296
Ratio 0.30%0.30%0.28%0.59%0.48%0.50%
Cards       
Total$159.1
$2,174
$2,299
$2,111
$2,076
$2,185
$2,007
Ratio 1.37%1.31%1.32%1.30%1.25%1.25%
North America—Citi-branded
88.4
891
915
828
770
814
731
Ratio 1.01%0.95%0.95%0.87%0.85%0.84%
North America—Citi retail services
48.9
958
1,012
918
903
945
859
Ratio 1.96%1.91%1.88%1.85%1.79%1.76%
Latin America4.5
121
165
165
132
159
161
Ratio 2.69%2.75%2.95%2.93%2.65%2.88%
Asia(5)
17.3
204
207
200
271
267
256
Ratio 1.18%1.04%1.06%1.57%1.34%1.36%
Corporate/Other—Consumer(6)
       
Total$9.1
$281
$278
$354
$252
$295
$348
Ratio 3.23%3.02%2.97%2.90%3.21%2.92%
Total Citigroup$288.4
$2,884
$3,015
$2,859
$3,122
$3,296
$3,099
Ratio 1.00%0.98%0.99%1.09%1.07%1.07%

(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-brandedand North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(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 agencies since the potential loss predominantly resides with the U.S. government-sponsored agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $124 million ($0.5 billion), $135 million ($0.5 billion) and $173 million ($0.6 billion) as of March 31, 2020, December 31, 2019 and March 31, 2019, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) were $64 million ($0.5 billion), $72 million ($0.5 billion) and $78 million ($0.6 billion) as of March 31, 2020, December 31, 2019 and March 31, 2019, 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 $167 million ($0.4 billion), $172 million ($0.4 billion) and $309 million ($0.7 billion) as of March 31, 2020, December 31, 2019 and March 31, 2019, respectively. The amounts excluded for loans 30–89 days past due and (EOP loans) for each period were $58 million ($0.4 billion), $55 million ($0.4 billion) and $118 million ($0.7 billion) as of March 31, 2020, December 31, 2019 and March 31, 2019, respectively.


Consumer Loan Net Credit Losses and Ratios
 
Average
loans(1)
Net credit losses(2)
In millions of dollars, except average loan amounts in billions1Q211Q214Q201Q20
Global Consumer Banking  
Total$271.7 $1,580 $1,272 $1,934 
Ratio2.36 %1.83 %2.68 %
Retail banking
Total$127.4 $274 $185 $230 
Ratio0.87 %0.58 %0.75 %
North America51.9 26 31 37 
Ratio0.20 %0.23 %0.29 %
Latin America9.4 168 68 127 
Ratio7.25 %2.82 %4.60 %
Asia(3)
66.1 80 86 66 
Ratio0.49 %0.52 %0.43 %
Cards
Total$144.3 $1,306 $1,087 $1,704 
Ratio3.67 %2.91 %4.10 %
North America—Citi-branded
78.7 551 500 781 
Ratio2.84 %2.43 %3.40 %
North America—Citi retail services
43.8 373 339 672 
Ratio3.45 %3.00 %5.35 %
Latin America4.5 197 94 144 
Ratio17.75 %7.96 %10.34 %
Asia(3)
17.3 185 154 107 
Ratio4.34 %3.56 %2.29 %
Corporate/Other—Consumer
Total$6.4 $(18)$(10)$(2)
Ratio(1.14)%(0.54)%(0.09)%
Total Citigroup$278.1 $1,562 $1,262 $1,932 
Ratio2.28 %1.77 %2.59 %
(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.
















43

 
Average
loans(1)
Net credit losses(2)
In millions of dollars, except average loan amounts in billions1Q201Q204Q191Q19
Global Consumer Banking    
Total$290.3
$1,983
$1,842
$1,868
Ratio 2.75 %2.51%2.70%
Retail banking    
Total$123.1
$235
$227
$233
Ratio 0.77 %0.73%0.80%
North America50.5
37
42
39
Ratio 0.29 %0.33%0.33%
Latin America11.1
130
116
136
Ratio 4.71 %3.97%4.80%
Asia(3)
61.5
68
69
58
Ratio 0.44 %0.44%0.40%
Cards    
Total$167.2
$1,748
$1,615
$1,635
Ratio 4.20 %3.81%4.08%
North America—Citi-branded
92.3
795
723
706
Ratio 3.46 %3.10%3.26%
North America—Citi retail services
50.5
694
643
663
Ratio 5.53 %5.05%5.36%
Latin America5.6
147
143
160
Ratio 10.56 %9.78%11.38%
Asia(3)
18.8
112
106
106
Ratio 2.40 %2.18%2.25%
Corporate/Other—Consumer
    
Total$9.4
$(2)$(12)$1
Ratio (0.09)%0.45%0.03%
Total Citigroup$299.7
$1,981
$1,830
$1,869
Ratio 2.66 %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

Overall Corporate Credit Trends
For information about Citi’s corporate credit trends, uncertainties and risks related to the COVID-19 pandemic, see the “COVID-19 Overview” and “Risk Factor” sections above. For additional information on CECL, see “Significant Accounting Policies and Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements. For additional information on Citi’s corporate loan portfolios, see Note 13 to the Consolidated Financial Statements.  

The following table details Citi’s corporate credit portfolio within ICG (excluding certain loans in the private bank)bank, which are managed on a delinquency basis), and before consideration of collateral or hedges, by remaining tenor for the periods indicated:

 March 31, 2021December 31, 2020March 31, 2020
In billions of dollarsDue
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)
$182 $142 $22 $346 $177 $142 $25 $344 $195 $175 $24 $394 
Unfunded lending commitments (off-balance sheet)(2)
170 284 12 466 158 272 11 441 152 231 11 394 
Total exposure$352 $426 $34 $812 $335 $414 $36 $785 $347 $406 $35 $788 


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








 March 31, 2020December 31, 2019
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings (on-balance sheet)(1)
$152
$147
$22
$321
$141
$117
$23
$281
Unfunded lending commitments (off-balance sheet)(2)
137
217
10
364
145
249
17
411
Total exposure$289
$364
$32
$685
$286
$366
$40
$692

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

Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following details the allocation of Citi’s total corporate credit portfolio by industry (excluding private bank):
 Total exposure
 March 31,
2020		December 31,
2019		March 31,
2019
Transportation and industrials22%21%21%
Consumer retail12
12
10
Health5
5
4
Technology, media and telecom11
12
12
Power, chemicals, metals and mining10
11
11
Banks and finance companies9
8
8
Securities firms—
—
—
Real estate9
8
9
Energy and commodities8
8
8
Public sector4
4
4
Insurance4
4
4
Asset managers and funds3
4
4
Financial markets infrastructure2
2
3
Other industries1
1
2
Total100%100%100%


The following table details Citi’s corporate credit portfolio by industry as of March 31, 2020:
In millions of dollarsTotal credit exposure
Funded(1)
UnfundedInvestment gradeNon-investment grade
Credit derivative hedges(2)
Transportation and industrials$151,127
$73,368
$77,759
$118,023
$33,104
$(8,836)
   Autos(3)
51,525
27,537
23,988
43,915
7,610
(3,331)
   Transportation31,265
17,680
13,585
20,093
11,172
(1,899)
   Industrials68,337
28,151
40,186
54,015
14,322
(3,606)
Consumer retail82,005
41,816
40,189
60,213
21,792
(4,545)
Health32,655
9,960
22,695
25,689
6,966
(1,775)
Technology, media and telecom77,050
35,373
41,677
58,923
18,127
(6,904)
Power, chemicals, metals and mining69,046
29,931
39,115
52,087
16,959
(5,422)
  Power29,348
9,332
20,016
24,165
5,183
(2,373)
  Chemicals24,034
11,878
12,156
18,719
5,315
(2,193)
  Metals and mining15,664
8,721
6,943
9,203
6,461
(856)
Banks and finance companies59,188
39,087
20,101
49,413
9,775
(956)
Securities firms1,307
497
810
1,003
304
(1)
Real estate58,298
41,560
16,738
47,149
11,149
(628)
Energy and commodities(4)
55,427
19,313
36,114
42,256
13,171
(3,350)
Public sector26,218
13,867
12,351
22,096
4,122
(1,260)
Insurance25,555
3,173
22,382
24,478
1,077
(2,255)
Asset managers and funds22,798
6,828
15,970
21,530
1,268
(151)
Financial markets infrastructure14,028
421
13,607
14,028
—
(12)
Other industries10,433
5,434
4,999
3,888
6,545
(64)
Total$685,135
$320,628
$364,507
$540,776
$144,359
$(36,159)

(1)Excludes $111,962 million of private bank loans at March 31, 2020.
(2)Represents the notional amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures.
(3)Autos total credit exposure includes securitization financing facilities secured by auto loans and leases extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $19.2 billion ($11.0 billion in funded, with more than 99% rated investment grade) as of March 31, 2020.
(4)In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrial sector (e.g., off-shore drilling entities) included in the table above. As of March 31, 2020, Citi’s total exposure to these energy-related entities remained largely consistent with December 31, 2019, at approximately $5 billion, of which approximately $3 billion consisted of direct outstanding funded loans.



The following table details Citi’s corporate credit portfolio by industry as of December 31, 2019:
In millions of dollarsTotal credit exposure
Funded(1)
UnfundedInvestment gradeNon-investment grade
Credit derivative hedges(2)
Transportation and industrials$146,643
$59,726
$86,917
$120,777
$25,866
$(8,481)
   Autos(3)
48,604
21,564
27,040
43,570
5,034
(3,160)
   Transportation29,984
14,550
15,434
23,021
6,963
(1,640)
   Industrials68,055
23,612
44,443
54,186
13,869
(3,681)
Consumer retail81,338
36,117
45,221
62,993
18,345
(4,536)
Health35,008
8,790
26,218
27,791
7,217
(1,779)
Technology, media and telecom83,199
31,333
51,866
63,845
19,354
(6,820)
Power, chemicals, metals and mining73,961
24,377
49,584
58,670
15,291
(5,378)
  Power34,349
7,683
26,666
29,317
5,032
(2,284)
  Chemicals23,721
9,152
14,569
18,790
4,931
(2,261)
  Metals and mining15,891
7,542
8,349
10,563
5,328
(833)
Banks and finance companies52,036
32,571
19,465
43,663
8,373
(1,021)
Securities firms1,151
423
728
801
350
(1)
Real estate55,518
38,058
17,460
49,461
6,057
(616)
Energy and commodities(4)
53,317
17,428
35,889
42,996
10,321
(3,136)
Public sector27,194
14,226
12,968
23,294
3,900
(1,094)
Insurance24,305
1,658
22,647
23,370
935
(2,273)
Asset managers and funds24,763
6,942
17,821
22,357
2,406
(107)
Financial markets infrastructure16,838
22
16,816
16,838
—
(12)
Other industries16,842
9,282
7,560
8,300
8,542
35
Total$692,113
$280,953
$411,160
$565,156
$126,957
$(35,219)

(1)Excludes $108,982 million of private bank loans at December 31, 2019.
(2)Represents the notional amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures.
(3)Autos total credit exposure includes securitization financing facilities secured by auto loans and leases extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $17.9 billion ($7.7 billion in funded) as of December 31, 2019, of which more than 99% were investment grade at December 31, 2019.
(4)In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and transportation and industrial sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2019, Citi’s total exposure to these energy-related entities remained largely consistent with September 30, 2019, at approximately $6 billion, of which approximately $3 billion consisted of direct outstanding funded loans.

Portfolio Mix—Geography and Counterparty
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region (excluding the delinquency-managed private bank)bank portfolio) based on Citi’s internal management geography:
March 31,
2021		December 31,
2020		March 31,
2020
North America57 %56 %57 %
EMEA25 25 25 
Asia13 13 12 
Latin America5 6 6 
Total100 %100 %100 %
 March 31,
2020		December 31,
2019		March 31,
2019
North America55%55%54%
EMEA26
26
28
Asia12
12
11
Latin America7
7
7
Total100%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 by 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 (excluding the delinquency-managed private bank)bank portfolio) by facility risk rating as a percentage of the total corporate credit portfolio:
 Total exposure
 March 31,
2021		December 31,
2020		March 31,
2020
AAA/AA/A50 %49 %48 %
BBB31 31 33 
BB/B16 17 17 
CCC or below3 3 2 
Total100 %100 %100 %
 Total exposure
 March 31,
2020		December 31,
2019		March 31,
2019
AAA/AA/A44%46%49%
BBB35
36
35
BB/B19
16
15
CCC or below2
2
1
Total100%100%100%

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

In addition to the obligor and facility risk ratings assigned to all exposures, Citi may classify exposures in the corporate credit portfolio. These classifications are consistent with Citi’s interpretation of the U.S. banking regulators’ definition of criticized exposures, which may categorize exposures as special mention, substandard, doubtful, or loss.
Risk ratings and classifications are reviewed regularly, and adjusted as appropriate. The credit review process incorporates quantitative and qualitative factors, including financial and non-financial disclosures or metrics, idiosyncratic events or changes to the competitive, regulatory or macroeconomic environment. This includes but is not limited to exposures in those sectors significantly impacted by the pandemic (including consumer retail, commercial real estate and transportation).
Citigroup believes the corporate credit portfolio to be appropriately rated and classified as of March 31, 2021. Since the onset of the COVID-19 pandemic, Citigroup has taken action to adjust internal ratings and classifications of exposures as both the macroeconomic environment and obligor-specific factors have changed, particularly where additional stress has been seen.
As obligor risk ratings are downgraded, the probability of default increases. Downgrades of obligor risk ratings tend to result in a higher provision for credit losses. In addition,
44

downgrades may result in the purchase of additional credit derivatives or other risk mitigants to hedge the incremental credit risk, or may result in Citi’s seeking to reduce exposure to an obligor or an industry sector. Citi will continue to review exposures to ensure that the appropriate probability of default is incorporated into all risk assessments.
For additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.

Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following details the allocation of Citi’s total corporate credit portfolio by industry (excluding the delinquency-managed private bank portfolio):
 Total exposure
 March 31,
2021		December 31,
2020		March 31,
2020
Transportation and industrials19 %19 %19 %
Private bank14 14 13 
Consumer retail10 10 11 
Technology, media and telecom11 11 10 
Real estate8 8 7 
Power, chemicals, metals and mining8 8 9 
Banks and finance companies7 7 8 
Energy and commodities6 6 7 
Health5 5 4 
Public sector3 3 3 
Insurance3 3 3 
Asset managers and funds3 3 3 
Financial markets infrastructure2 2 2 
Securities firms— — — 
Other industries1 1 1 
Total100 %100 %100 %
45

The following table details Citi’s corporate credit portfolio by industry as of March 31, 2021:
Non-investment gradeSelected metrics
In millions of dollarsTotal credit exposure
Funded(1)
Unfunded(1)
Investment gradeNon-criticizedCriticized performing
Criticized non-performing(2)
30 days or more past due and accruing(3)
Net charge-offs (recoveries)(4)
Credit derivative hedges(5)
Transportation and industrials$149,737 $57,653 $92,084 $109,655 $19,267 $19,083 $1,732 $209 $75 $(8,628)
   Autos(6)
51,939 23,993 27,946 41,823 4,895 5,018 203 50 1 (3,521)
   Transportation31,387 13,436 17,951 20,581 3,354 6,064 1,388 16 57 (1,140)
   Industrials66,411 20,224 46,187 47,251 11,018 8,001 141 143 17 (3,967)
Private bank116,606 78,556 38,050 111,784 2,243 2,364 215 898 (1)(1,080)
Consumer retail79,201 33,424 45,777 59,944 11,452 7,129 676 148 9 (5,394)
Technology, media and telecom89,307 29,314 59,993 69,458 14,801 4,785 263 72 1 (6,929)
Real estate66,712 43,938 22,774 55,302 5,929 5,141 340 90 13 (597)
Power, chemicals, metals and mining64,069 21,086 42,983 49,505 10,474 3,837 253 102 51 (5,426)
  Power26,922 6,278 20,644 23,055 3,036 626 205 7 47 (2,624)
  Chemicals22,962 8,499 14,463 16,838 4,429 1,685 10 9 4 (2,170)
  Metals and mining14,185 6,309 7,876 9,612 3,009 1,526 38 86 — (632)
Banks and finance companies56,327 32,840 23,487 46,764 4,775 4,760 28 90 — (867)
Energy and commodities(7)
47,741 14,024 33,717 33,749 7,465 5,899 628 101 33 (3,934)
Health39,384 8,126 31,258 29,701 7,403 2,093 187 43 — (2,059)
Public sector27,699 14,522 13,177 22,939 2,090 2,654 16 27 (3)(1,146)
Insurance27,869 2,517 25,352 27,055 712 102 — — — (2,541)
Asset managers and funds20,158 4,793 15,365 18,358 1,228 572 — 1 — (82)
Financial markets infrastructure15,531 853 14,678 15,504 27 — — — — (8)
Securities firms1,422 227 1,195 762 563 89 8 12 — (6)
Other industries10,319 4,597 5,722 5,523 2,431 2,077 288 22 6 (94)
Total$812,082 $346,470 $465,612 $656,003 $90,860 $60,585 $4,634 $1,815 $184 $(38,791)

(1)    Excludes $45,484 million and $6,774 million of funded and unfunded exposure at March 31, 2021, respectively, primarily related to the delinquency-managed private bank portfolio.
(2)    Includes non-accrual loan exposures and criticized unfunded exposures.
(3)    Excludes $411 million of past due loans primarily related to delinquency-managed private bank portfolio.
(4)    Net charge-offs (recoveries) are for the three months ended March 31, 2021 and exclude delinquency-managed private bank charge-offs of $2 million.
(5)    Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8 billion of purchased credit protection, $36.8 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6)    Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $19.1 billion ($9.8 billion in funded, with more than 99% rated investment grade) as of March 31, 2021.
(7)    In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrial sector (e.g., off-shore drilling entities) included in the table above. As of March 31, 2021, Citi’s total exposure to these energy-related entities was approximately $6.9 billion, of which approximately $3.6 billion consisted of direct outstanding funded loans.




46

Exposure to Commercial Real Estate
As of March 31, 2021, ICG’s total corporate credit exposure to commercial real estate (CRE) was $62 billion, with $44 billion consisting of direct outstanding funded loans (mainly included in the real estate and private bank categories in the above table), or 7% of Citi’s total outstanding loans. In addition, as of March 31, 2021, more than 70% of ICG’s total corporate CRE exposure was to borrowers in the United States. Also as of March 31, 2021, approximately 73% of ICG’s total corporate CRE exposure was rated investment grade.
As of March 31, 2021, the ACLL was 1.8% of funded CRE exposure, including 4.3% of funded non-investment grade exposure.

Of the total CRE exposure:

•$20 billion of the exposure ($13 billion of direct outstanding funded loans) relates to Community Reinvestment Act-related lending provided pursuant to Citi’s regulatory requirements to meet the credit needs of borrowers in low and moderate income neighborhoods.
•$18 billion of the exposure ($15 billion of direct outstanding funded loans) relates to exposure secured by mortgages on underlying properties or in well-rated securitization exposures.
•$13 billion of the exposure ($5 billion of direct outstanding funded loans) relates to unsecured loans to large REITs, with nearly 74% of the exposure rated investment grade.
•$11 billion of exposure ($11 billion of direct outstanding funded loans) relates to CRE exposure in the private bank of which 100% is secured by mortgages. In addition, 44% of the exposure is also full recourse to the client. As of March 31, 2021, 78% of the exposure was rated investment grade.

47

The following table details Citi’s corporate credit portfolio by industry as of December 31, 2020:
Non-investment gradeSelected metrics
In millions of dollarsTotal credit exposure
Funded(1)
Unfunded(1)
Investment gradeNon-criticizedCriticized performing
Criticized non-performing(2)
30 days or more past due and accruing(3)
Net charge-offs (recoveries)(4)
Credit derivative hedges(5)
Transportation and industrials$147,218 $60,122 $87,096 $106,041 $17,452 $21,927 $1,798 $136 $239 $(8,110)
   Autos(6)
53,874 25,310 28,564 43,059 4,374 6,167 274 8 45 (3,220)
   Transportation27,693 14,107 13,586 16,410 2,993 6,872 1,418 17 144 (1,166)
   Industrials65,651 20,705 44,946 46,572 10,085 8,888 106 111 50 (3,724)
Private bank109,397 75,693 33,704 104,244 2,395 2,510 248 963 78 (1,080)
Consumer retail82,129 34,809 47,320 60,741 11,653 9,418 317 146 64 (5,493)
Technology, media and telecom82,657 30,880 51,777 61,296 15,924 5,214 223 107 74 (7,237)
Real estate65,392 43,285 22,107 54,413 5,342 5,453 184 334 18 (642)
Power, chemicals, metals and mining63,926 20,810 43,116 47,923 11,554 4,257 192 59 70 (5,341)
  Power26,916 6,379 20,537 22,665 3,336 761 154 14 57 (2,637)
  Chemicals22,356 7,969 14,387 16,665 3,804 1,882 5 32 8 (2,102)
  Metals and mining14,654 6,462 8,192 8,593 4,414 1,614 33 13 5 (602)
Banks and finance companies52,925 29,856 23,069 43,831 4,648 4,387 59 27 79 (765)
Energy and commodities(7)
49,524 15,086 34,438 34,636 7,345 6,546 997 70 285 (4,199)
Health35,504 8,658 26,846 29,164 4,354 1,749 237 17 17 (1,964)
Public sector26,887 13,599 13,288 22,276 1,887 2,708 16 45 9 (1,089)
Insurance26,576 1,925 24,651 25,864 575 136 1 27 1 (2,682)
Asset managers and funds19,745 4,491 15,254 18,528 1,013 191 13 41 (1)(84)
Financial markets infrastructure12,610 229 12,381 12,590 20 — — — — (9)
Securities firms976 430 546 573 298 97 8 — — (6)
Other industries9,307 4,545 4,762 4,980 2,702 1,442 183 10 43 (138)
Total$784,773 $344,418 $440,355 $627,100 $87,162 $66,035 $4,476 $1,982 $976 $(38,839)

(1)    Excludes $42.6 billion and $4.4 billion of funded and unfunded exposure at December 31, 2020, respectively, primarily related to the delinquency-managed private bank portfolio.
(2)    Includes non-accrual loan exposures and criticized unfunded exposures.
(3)    Excludes $162 million of past due loans primarily related to the delinquency-managed private bank portfolio.
(4)    Net charge-offs (recoveries) are for the year ended December 31, 2020 and exclude delinquency-managed private bank charge-offs of $10 million.
(5)    Represents the amount of purchased credit protection in the form of derivatives to economically hedge funded and unfunded exposures. Of the $38.8 billion of purchased credit protection, $36.8 billion represents the total notional amount of purchased credit derivatives on individual reference entities. The remaining $2.0 billion represents the first loss tranche of portfolios of purchased credit derivatives with a total notional of $16.1 billion, where the protection seller absorbs the first loss on the referenced loan portfolios.
(6)    Autos total credit exposure includes securitization financing facilities secured by auto loans and leases, extended mainly to the finance company subsidiaries of global auto manufacturers, bank subsidiaries and independent auto finance companies, of approximately $20.2 billion ($10.3 billion in funded, with more than 99% rated investment grade) as of December 31, 2020.
(7)    In addition to this exposure, Citi has energy-related exposure within the public sector (e.g., energy-related state-owned entities) and the transportation and industrials sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2020, Citi’s total exposure to these energy-related entities was approximately $7.0 billion, of which approximately $3.8 billion consisted of direct outstanding funded loans.







48

Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. Citi may enter into partial-term hedges as well as full-term hedges. In advance of the expiration of partial-term hedges, Citi will determine, among other factors, the economic feasibility of hedging the remaining life of the instrument. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactions in the Consolidated Statement of Income.
At March 31, 2020,2021, December 31, 20192020 and March 31, 2019,2020, ICG (excluding the delinquency-managed private bank)bank portfolio) had economic hedges in place on the corporate credit portfolio of $36.2$38.8 billion, $35.2$38.8 billion and $30.4$33.0 billion, respectively. Citigroup’s expected credit loss model used in the calculation of its loan loss reserveACL 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 ICG (excluding the delinquency-managed private bank)bank portfolio) corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure
March 31,
2021		December 31,
2020		March 31,
2020
AAA/AA/A32 %30 %32 %
BBB47 48 52 
BB/B18 19 14 
CCC or below3 3 2 
Total100 %100 %100 %



 March 31,
2020		December 31,
2019		March 31,
2019
AAA/AA/A28%32%36%
BBB52
51
48
BB/B18
15
15
CCC or below2
2
1
Total100%100%100%



49


ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20212020202020202020
Consumer loans
In North America offices(1)
Residential first mortgages(2)
$45,739 $47,778 $48,370 $48,167 $47,260 
Home equity loans(2)
6,638 7,128 7,625 8,524 8,936 
Credit cards121,048 130,385 125,485 128,032 137,316 
Personal, small business and other4,600 4,509 4,689 4,859 3,675 
Total$178,025 $189,800 $186,169 $189,582 $197,187 
In offices outside North America(1)
Residential first mortgages(2)
$39,833 $39,969 $38,507 $37,194 $35,744 
Credit cards21,137 22,692 21,108 20,966 21,801 
Personal, small business and other35,039 36,378 34,241 33,371 33,698 
Total$96,009 $99,039 $93,856 $91,531 $91,243 
Consumer loans, net of unearned income(3)
$274,034 $288,839 $280,025 $281,113 $288,430 
Corporate loans
In North America offices(1)
Commercial and industrial$55,497 $57,731 $59,921 $70,755 $81,231 
Financial institutions57,009 55,809 52,884 53,860 60,653 
Mortgage and real estate(2)
60,976 60,675 59,340 57,821 55,428 
Installment and other29,186 26,744 26,858 25,602 30,591 
Lease financing539 673 704 869 988 
Total$203,207 $201,632 $199,707 $208,907 $228,891 
In offices outside North America(1)
Commercial and industrial$102,666 $104,072 $108,551 $115,471 $121,703 
Financial institutions34,729 32,334 32,583 35,173 37,003 
Mortgage and real estate(2)
11,166 11,371 10,424 10,332 9,639 
Installment and other35,347 33,759 32,323 30,678 31,728 
Lease financing56 65 63 66 72 
Governments and official institutions4,783 3,811 3,235 3,552 3,554 
Total$188,747 $185,412 $187,179 $195,272 $203,699 
Corporate loans, net of unearned income(4)
$391,954 $387,044 $386,886 $404,179 $432,590 
Total loans—net of unearned income$665,988 $675,883 $666,911 $685,292 $721,020 
Allowance for credit losses on loans (ACLL)(21,638)(24,956)(26,426)(26,420)(20,841)
Total loans—net of unearned income and ACLL$644,350 $650,927 $640,485 $658,872 $700,179 
ACLL as a percentage of total loans—
net of unearned income(5)
3.29 %3.73 %4.00 %3.87 %2.84 %
ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5)
6.41 %6.77 %6.96 %6.93 %5.87 %
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
1.06 %1.42 %1.82 %1.71 %0.81 %
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Consumer loans are net of unearned income of $700 million, $749 million, $739 million, $734 million and $771 million at March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)Corporate loans include private bank loans and are net of unearned income of $(844) million, $(844) million, $(857) million, $(854) million and $(791) million at March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
50
 1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20202019201920192019
Consumer loans




In North America offices(1)





Residential first mortgages(2)
$47,260
$47,008
$46,337
$45,474
$45,351
Home equity loans(2)
8,936
9,223
9,850
10,404
10,937
Credit cards137,316
149,163
141,560
140,246
135,893
Personal, small business and other3,675
3,699
3,793
3,873
3,932
Total$197,187
$209,093
$201,540
$199,997
$196,113
In offices outside North America(1)
     
Residential first mortgages(2)
$35,400
$37,686
$36,644
$36,580
$36,114
Credit cards21,801
25,909
24,367
24,975
24,343
Personal, small business and other34,042
36,860
34,849
34,953
34,398
Total$91,243
$100,455
$95,860
$96,508
$94,855
Consumer loans, net of unearned income(3)
$288,430
$309,548
$297,400
$296,505
$290,968
Corporate loans




In North America offices(1)





Commercial and industrial$81,231
$55,929
$59,645
$64,601
$66,455
Financial institutions60,653
53,922
52,678
47,610
49,985
Mortgage and real estate(2)
55,428
53,371
52,972
51,321
49,746
Installment and other30,591
31,238
31,303
33,555
31,960
Lease financing988
1,290
1,314
1,385
1,405
Total$228,891
$195,750
$197,912
$198,472
$199,551
In offices outside North America(1)





Commercial and industrial$121,703
$112,668
$120,900
$117,759
$117,006
Financial institutions37,003
40,211
37,908
37,523
39,155
Mortgage and real estate(2)
9,639
9,780
7,811
7,577
7,005
Installment and other31,728
27,303
26,774
27,333
24,868
Lease financing72
95
80
92
95
Governments and official institutions3,554
4,128
2,958
3,409
3,698
Total$203,699
$194,185
$196,431
$193,693
$191,827
Corporate loans, net of unearned income(4)
$432,590
$389,935
$394,343
$392,165
$391,378
Total loans—net of unearned income$721,020
$699,483
$691,743
$688,670
$682,346
Allowance for credit losses on loans (ACLL)(20,841)(12,783)(12,530)(12,466)(12,329)
Total loans—net of unearned income 
and ACLL		$700,179
$686,700
$679,213
$676,204
$670,017
ACLL as a percentage of total loans—
net of unearned income(5)
2.91%1.84%1.82%1.82%1.82%
ACLL for consumer loan losses as a percentage of
total consumer loans—net of unearned income(5)
6.03%3.20%3.27%3.26%3.30%
ACLL for corporate loan losses as a percentage of
total corporate loans—net of unearned income(5)
0.81%0.75%0.72%0.72%0.70%
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification of corporate loans between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Consumer loans are net of unearned income of $771 million, $783 million, $783 million, $751 million and $735 million at March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019, respectively. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(4)Corporate loans include private bank loans and are net of unearned income of $(791) million, $(814) million, $(818) million, $(853) million and $(843) million at March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
(5)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.



Details of Credit Loss Experience
1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20212020202020202020
Allowance for credit losses on loans (ACLL) at beginning of period$24,956 $26,426 $26,298 $20,380 $12,783 
Adjustment to opening balance:
Financial instruments—credit losses (CECL)(1)
— — — — 4,201 
Variable post-charge-off third-party collection costs(2)
— — — — (443)
Adjusted ACLL at beginning of period$24,956 $26,426 $26,298 $20,380 $16,541 
Provision for credit losses on loans (PCLL)
Consumer(2)
$(354)$1,034 $1,500 $4,297 $4,934 
Corporate(1,125)(1,410)431 3,693 1,443 
Total$(1,479)$(376)$1,931 $7,990 $6,377 
Gross credit losses on loans
Consumer
In U.S. offices$1,247 $1,130 $1,479 $1,675 $1,763 
In offices outside the U.S.758 524 537 506 577 
Corporate
In U.S. offices156 159 194 177 117 
In offices outside the U.S.47 76 157 170 22 
Total$2,208 $1,889 $2,367 $2,528 $2,479 
Credit recoveries on loans(2)
Consumer
In U.S. offices$316 $270 $304 $235 $274 
In offices outside the U.S.127 122 118 109 134 
Corporate
In U.S. offices10 16 8 12 7 
In offices outside the U.S.7 9 18 11 5 
Total$460 $417 $448 $367 $420 
Net credit losses on loans (NCLs)
In U.S. offices$1,077 $980 $1,361 $1,605 $1,599 
In offices outside the U.S.671 492 558 556 460 
Total$1,748 $1,472 $1,919 $2,161 $2,059 
Other—net(3)(4)(5)(6)(7)(8)
$(91)$378 $116 $89 $(479)
Allowance for credit losses on loans (ACLL) at end of period$21,638 $24,956 $26,426 $26,298 $20,380 
ACLL as a percentage of EOP loans(9)
3.29 %3.73 %4.00 %3.87 %2.84 %
Allowance for credit losses on unfunded lending commitments (ACLUC)(10)(11)
$2,012 $2,655 $2,299 $1,859 $1,813 
Total ACLL and ACLUC$23,650 $27,611 $28,725 $28,157 $22,193 
Net consumer credit losses on loans$1,562 $1,262 $1,594 $1,837 $1,932 
As a percentage of average consumer loans2.28 %1.77 %2.26 %2.63 %2.59 %
Net corporate credit losses on loans$186 $210 $325 $324 $127 
As a percentage of average corporate loans0.20 %0.22 %0.33 %0.31 %0.13 %
ACLL by type at end of period(12)
Consumer$17,554 $19,554 $19,488 $19,474 $16,929 
Corporate4,084 5,402 6,938 6,824 3,451 
Total$21,638 $24,956 $26,426 $26,298 $20,380 
(1)On January 1, 2020, Citi adopted Accounting Standards Update (ASC) 326, Financial Instruments—Credit Losses (CECL). The ASU introduces a new credit loss methodology requiring earlier recognition of credit losses while also providing additional transparency about credit risk. On January 1, 2020, Citi recorded a $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the consumer allowance for credit losses due to longer estimated tenors for cards than under the incurred loss methodology under prior U.S. GAAP, net of recoveries; and (ii) a $(0.8) billion decrease to the corporate allowance for
51

 1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20202019201920192019
Allowance for credit losses on loans (ACLL) at beginning of period$12,783
$12,530
$12,466
$12,329
$12,315
Adjustment to opening balance for CECL adoption(1)
4,201
—
—
—
—
Adjusted ACLL at beginning of period$16,984
$12,530
$12,466
$12,329
$12,315
Provision for credit losses on loans (PCLL)     
Consumer$5,001
$1,948
$1,916
$1,947
$1,940
Corporate1,443
175
146
142
4
Total$6,444
$2,123
$2,062
$2,089
$1,944
Gross credit losses on loans     
Consumer     
In U.S. offices$1,763
$1,672
$1,564
$1,659
$1,643
In offices outside the U.S.578
535
588
591
602
Corporate     
In U.S. offices116
68
98
62
60
In offices outside the U.S.22
86
31
42
40
Total$2,479
$2,361
$2,281
$2,354
$2,345
Credit recoveries on loans(2)
     
Consumer
    
In U.S. offices$239
$249
$231
$253
$242
In offices outside the U.S.121
128
118
123
134
Corporate     
In U.S. offices6
9
13
7
7
In offices outside the U.S.5
31
6
8
14
Total$371
$417
$368
$391
$397
Net credit losses on loans (NCLs)     
In U.S. offices$1,634
$1,482
$1,418
$1,461
$1,454
In offices outside the U.S.474
462
495
502
494
Total$2,108
$1,944
$1,913
$1,963
$1,948
Other—net(3)(4)(5)(6)(7)(8)
$(479)$74
$(85)$11
$18
Allowance for credit losses on loans (ACLL) at end of period$20,841
$12,783
$12,530
$12,466
$12,329
ACLL as a percentage of EOP loans(9)
2.91%1.84%1.82%1.82%1.82%
Allowance for credit losses on unfunded lending commitments (ACLUC)(10)
$1,813
$1,456
$1,385
$1,376
$1,391
Total ACLL and ACLUC$22,654
$14,239
$13,915
$13,842
$13,720
Net consumer credit losses on loans$1,981
$1,830
$1,803
$1,874
$1,869
As a percentage of average consumer loans2.66%2.41%2.42%2.57%2.58%
Net corporate credit losses on loans$127
$114
$110
$89
$79
As a percentage of average corporate loans0.13%0.12%0.11%0.09%0.08%
ACLL by type at end of period(11)
     
Consumer$17,390
$9,897
$9,727
$9,679
$9,598
Corporate3,451
2,886
2,803
2,787
2,731
Total$20,841
$12,783
$12,530
$12,466
$12,329
(1)
On January 1, 2020, Citi adopted Accounting Standards Update (ASC) 326, Financial Instruments—Credit Losses (CECL). The ASU introduces a new credit loss methodology requiring earlier recognition of credit losses while also providing additional transparency about credit risk. On January 1, 2020, Citi recorded a $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Consumer allowance for credit losses due to longer estimated tenors than under the incurred loss methodology under prior U.S. GAAP, net of recoveries; and (ii) a $(0.8) billion decrease to the Corporate allowance for credit losses due to shorter remaining tenors, incorporation of recoveries and use of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies. See Note 1 to the Consolidated Financial Statements for further discussion on the impact of Citi’s adoption of CECL.
(2)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.

(2)Citi had a change in accounting related to its variable post-charge-off third-party collection costs that was recorded as an adjustment to its January 1, 2020 opening allowance for credit losses on loans of $443 million. See Note 1 to the Consolidated Financial Statements.
(3)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.
(4)The first quarter of 2021 includes a decrease of approximately $108 million related to FX translation.
(5)The fourth quarter of 2020 includes an increase of approximately $376 million related to FX translation.
(6)The third quarter of 2020 includes an increase of approximately $116 million related to FX translation.
(7)The second quarter of 2020 includes an increase of approximately $88 million related to FX translation.
(8)The first quarter of 2020 includes a decrease of approximately $483 million related to FX translation.
(9)March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, exclude $7.5 billion, $6.9 billion, $5.5 billion, $5.8 billion and $4.0 billion, respectively, of loans that are carried at fair value.
(10)At June 30, 2020, the corporate ACLUC includes a non-provision transfer of $68 million, representing reserves on performance guarantees as of March 31, 2020. The reserves on these contracts have been reclassified out of the allowance for credit losses on unfunded lending commitments and into other liabilities as of June 30, 2020.
(11)Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(12)See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.

(3)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.
(4)The first quarter of 2020 includes a decrease of approximately $483 million related to FX translation.
(5)The fourth quarter of 2019 includes an increase of approximately $86 million related to FX translation.
(6)The third quarter of 2019 includes a decrease of approximately $65 million related to FX translation.
(7)The second quarter of 2019 includes an increase of approximately $13 million related to FX translation.
(8)The first quarter of 2019 includes an increase of approximately $26 million related to FX translation.
(9)March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019, exclude $4.0 billion, $4.1 billion, $3.9 billion, $3.8 billion and $3.9 billion, respectively, of loans that are carried at fair value.
(10)
Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(11)See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.

Allowance for Credit Losses on Loans (ACLL)
The following tables detail information on Citi’s ACLL, loans and coverage ratios:
 March 31, 2021
In billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
North America cards(2)
$13.3 $121.0 11.0 %
North America mortgages(3)
0.5 52.4 1.0 
North America other
0.3 4.6 6.5 
International cards1.8 21.1 8.5 
International other(4)
1.6 74.9 2.1 
Total consumer$17.5 $274.0 6.4 %
Total corporate4.1 392.0 1.1 
Total Citigroup$21.6 $666.0 3.3 %
(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $13.3 billion of loan loss reserves represented approximately 43 months of coincident net credit loss coverage. As of March 31, 2021, North America Citi-branded cards ACLL as a percentage of EOP loans was 9.8% and North America Citi retail services ACLL as a percentage of EOP loans was 13.4%.
(3)Of the $0.5 billion, approximately $0.2 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.4 billion and $0.1 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $52.4 billion in loans, approximately $50.6 billion and $1.8 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.
 December 31, 2020
In billions of dollarsACLLEOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
North America cards(2)
$14.7 $130.4 11.3 %
North America mortgages(3)
0.7 54.9 1.3 
North America other
0.3 4.5 6.7 
International cards2.1 22.7 9.3 
International other(4)
1.8 76.3 2.4 
Total consumer$19.6 $288.8 6.8 %
Total corporate5.4 387.1 1.4 
Total Citigroup$25.0 $675.9 3.7 %
(1)Loans carried at fair value do not have an ACLL and are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $14.7 billion of loan loss reserves represented approximately 53 months of coincident net credit loss coverage. As of December 31, 2020, North America Citi-branded cards ACLL as a percentage of EOP loans was 10.0% and North America Citi retail services ACLL as a percentage of EOP loans was 13.6%.
(3)Of the $0.7 billion, approximately $0.3 billion was allocated to North America mortgages in Corporate/Other, including approximately $0.5 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $54.9 billion in loans, approximately $53.0 billion and $1.9 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.
52

 March 31, 2020
In billions of dollarsACLL
EOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
North America cards(2)
$13.4
$137.3
9.8%
North America mortgages(3)
0.6
56.2
1.1
North America other
0.3
3.7
8.1
International cards1.7
21.8
7.8
International other(4)
1.4
69.4
2.0
Total consumer$17.4
$288.4
6.0%
Total corporate3.4
432.6
0.8
Total Citigroup$20.8
$721.0
2.9%
The following table details Citi’s corporate credit allowance for credit losses on loans (ACLL) by industry exposure:
(1)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $13.4 billion of loan loss reserves represented approximately 27 months of coincident net credit loss coverage. As of March 31, 2020, North America Citi-branded cards ACLL as a percentage of EOP loans was 8.2% and North America Citi retail services ACLL as a percentage of EOP loans was 12.6%.
(3)
Of the $0.6 billion, approximately $0.3 billion was allocated
March 31, 2021
In millions of dollars, except percentages
Funded exposure(1)
ACLL(2)(3)
ACLL as a % of funded exposure
Transportation and industrials$55,775 $1,075 1.9 %
Private bank78,556 228 0.3 
Consumer retail33,415 414 1.2 
Technology, media and telecom28,288 275 1.0 
Real estate42,977 594 1.4 
Power, chemicals, metals and mining20,148 202 1.0 
Banks and finance companies32,581 85 0.3 
Energy and commodities13,844 446 3.2 
Health8,063 102 1.3 
Public sector14,353 229 1.6 
Insurance2,517 9 0.4 
Asset managers and funds4,793 21 0.4 
Financial markets infrastructure853 1 0.1 
Securities firms227 5 2.2 
Other industries2,570 85 3.3 
Total$338,960 $3,771 1.1 %

(1)    Funded exposure excludes approximately $45.5 billion, primarily related to the delinquency-managed credit portfolio of the private bank, with an associated ACLL of $313 million and $7.5 billion of loans at fair value that are not subject to ACLL under the CECL standard.
(2)    As of March 31, 2021, the ACLL shown above reflects coverage of 0.3% of funded investment-grade exposure and 3.6% of funded non-investment-grade exposure.
(3)    Excludes $313 million of ACLL associated with delinquency-managed private bank exposures at March 31, 2021. Including those reserves and exposures, the total ACLL is 1.1% of total funded exposure, including 0.4% of funded investment-grade exposure and 3.6% of funded non-investment-grade exposure.


North America mortgages in Corporate/Other, including approximately $0.5 billion and $0.1 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $56.2 billion in loans, approximately $54.3 billion and $1.9 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.

53

 December 31, 2019
In billions of dollarsACLL
EOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
North America cards(2)
$7.0
$149.2
4.7%
North America mortgages(3)
0.3
56.2
0.5
North America other
0.1
3.7
2.7
International cards0.7
25.9
2.7
International other(4)
1.8
74.9
2.4
Total consumer$9.9
$309.9
3.2%
Total corporate2.9
389.9
0.7
Total Citigroup$12.8
$699.8
1.8%
(1)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $7.0 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
(3)
Of the $0.3 billion, nearly all was allocated to North America mortgages in Corporate/Other, including $0.1 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $56.2 billion in loans, approximately $54.2 billion and $2.0 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.


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 20192020 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,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollars20202019In millions of dollars20212020
Corporate non-accrual loans(1)
 
Corporate non-accrual loans(1)(2)
Corporate non-accrual loans(1)(2)
North America$1,138
$1,214
$1,056
$913
$1,061
North America$1,566 $1,928 $2,018 $2,466 $1,138 
EMEA720
430
307
321
317
EMEA591 661 720 812 720 
Latin America447
473
399
353
305
Latin America739 719 609 585 447 
Asia179
71
84
80
49
Asia210 219 237 153 179 
Total corporate non-accrual loans$2,484
$2,188
$1,846
$1,667
$1,732
Total corporate non-accrual loans$3,106 $3,527 $3,584 $4,016 $2,484 
Consumer non-accrual loans(2)
 
Consumer non-accrual loansConsumer non-accrual loans
North America$926
$905
$1,013
$1,082
$1,090
North America$961 $1,059 $934 $928 $926 
Latin America489
632
595
629
614
Latin America720 774 493 608 489 
Asia(3)
284
279
258
260
251
Asia(3)
303 308 263 293 284 
Total consumer non-accrual loans$1,699
$1,816
$1,866
$1,971
$1,955
Total consumer non-accrual loans$1,984 $2,141 $1,690 $1,829 $1,699 
Total non-accrual loans$4,183
$4,004
$3,712
$3,638
$3,687
Total non-accrual loans$5,090 $5,668 $5,274 $5,845 $4,183 
(1)Approximately 50%, 44%, 41%, 48% and 46% of Citi’s corporate non-accrual loans were performing at March 31, 2020, December 31, 2019, September 30, 2019, June 30, 2019 and March 31, 2019, respectively.
(2)
Excludes purchased credit deteriorated loans, as they are generally accreting interest. The carrying value of these loans was $129 million at March 31, 2020, $128 millionat December 31, 2019, $117 million at September 30, 2019, $123 million at June 30, 2019 and $125 million at March 31, 2019.
(1)Approximately 51%, 59%, 58%, 63% and 45% of Citi’s corporate non-accrual loans were performing at March 31, 2021, December 31, 2020, September 30, 2020, June 30, 2020 and March 31, 2020, respectively.
(2)The March 31, 2021 corporate non-accrual loans represented 0.79% oftotal corporate loans.
(3)    Asia GCB includes balances in certain EMEA countries for all periods presented.






54

(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 Ended
March 31, 2021March 31, 2020
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$3,527 $2,141 $5,668 $2,188 $1,816 $4,004 
Additions491 682 1,173 816 952 1,768 
Sales and transfers to HFS(1)(58)(59)(1)(20)(21)
Returned to performing(46)(189)(235)(48)(91)(139)
Paydowns/settlements(773)(120)(893)(354)(324)(678)
Charge-offs(75)(445)(520)(91)(327)(418)
Other(17)(27)(44)(26)(307)(333)
Ending balance$3,106 $1,984 $5,090 $2,484 $1,699 $4,183 
 Three Months EndedThree Months Ended
 March 31, 2020March 31, 2019
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,188
$1,816
$4,004
$1,311
$2,027
$3,338
Additions816
952
1,768
723
722
1,445
Sales and transfers to HFS(1)(20)(21)(5)(34)(39)
Returned to performing(48)(91)(139)(28)(142)(170)
Paydowns/settlements(354)(324)(678)(485)(174)(659)
Charge-offs(91)(327)(418)(35)(402)(437)
Other(26)(307)(333)251
(42)209
Ending balance$2,484
$1,699
$4,183
$1,732
$1,955
$3,687





The table below summarizes Citigroup’s other real estate owned (OREO) assets. OREO is recorded on the Consolidated Balance Sheet within Other assets. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollars20212020202020202020
OREO
North America$14 $19 $22 $32 $35 
EMEA— — — — 1 
Latin America10 7 8 6 6 
Asia19 17 12 6 8 
Total OREO$43 $43 $42 $44 $50 
Non-accrual assets
Corporate non-accrual loans$3,106 $3,527 $3,584 $4,016 $2,484 
Consumer non-accrual loans1,984 2,141 1,690 1,829 1,699 
Non-accrual loans (NAL)$5,090 $5,668 $5,274 $5,845 $4,183 
OREO$43 $43 $42 $44 $50 
Non-accrual assets (NAA)$5,133 $5,711 $5,316 $5,889 $4,233 
NAL as a percentage of total loans0.76 %0.84 %0.79 %0.85 %0.58 %
NAA as a percentage of total assets0.22 0.25 0.24 0.26 0.19 
ACLL as a percentage of NAL(1)
425 %440 %501 %450 %487 %

(1)The ACLL 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).
 Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollars20202019201920192019
OREO     
North America$35
$39
$51
$47
$63
EMEA1
1
1
1
1
Latin America6
14
14
14
13
Asia8
7
6
20
21
Total OREO$50
$61
$72
$82
$98
Non-accrual assets     
Corporate non-accrual loans$2,484
$2,188
$1,846
$1,667
$1,732
Consumer non-accrual loans1,699
1,816
1,866
1,971
1,955
Non-accrual loans (NAL)$4,183
$4,004
$3,712
$3,638
$3,687
OREO$50
$61
$72
$82
$98
Non-accrual assets (NAA)$4,233
$4,065
$3,784
$3,720
$3,785
NAL as a percentage of total loans0.58%0.57%0.54%0.53%0.54%
NAA as a percentage of total assets0.19
0.21
0.19
0.19
0.19
ACLL as a percentage of NAL(1)
498%319%338%343%334%
55

(1)The allowance for credit on loans includes the allowance for Citi’s credit card portfolios and purchased distressed loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios) and purchased credit deteriorated loans as these continue to accrue interest until charge-off.


Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
In millions of dollarsMar. 31, 2021Dec. 31, 2020
Corporate renegotiated loans(1)
In U.S. offices
Commercial and industrial(2)
$175 $193 
Mortgage and real estate56 60 
Financial institutions— — 
Other31 30 
Total$262 $283 
In offices outside the U.S.
Commercial and industrial(2)
$108 $132 
Mortgage and real estate27 32 
Financial institutions— — 
Other4 3 
Total$139 $167 
Total corporate renegotiated loans$401 $450 
Consumer renegotiated loans(3)
In U.S. offices
Mortgage and real estate$1,808 $1,904 
Cards1,483 1,449 
Installment and other34 33 
Total$3,325 $3,386 
In offices outside the U.S.
Mortgage and real estate$357 $361 
Cards509 533 
Installment and other542 519 
Total$1,408 $1,413 
Total consumer renegotiated loans$4,733 $4,799 
(1)Includes $372 million and $415 million of non-accrual loans included in the non-accrual loans table above at March 31, 2021 and December 31, 2020, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at March 31, 2021 and December 31, 2020, Citi also modified none and $47 million, respectively, of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession or because the modifications qualified for exemptions from TDR accounting provided by the CARES Act or Interagency Guidance.
(3)Includes $864 million and $873 million of non-accrual loans included in the non-accrual loans table above at March 31, 2021 and December 31, 2020, respectively. The remaining loans were accruing interest.

In millions of dollarsMar. 31, 2020Dec. 31, 2019
Corporate renegotiated loans(1)
  
In U.S. offices  
Commercial and industrial(2)
$332
$226
Mortgage and real estate56
57
Financial institutions—
—
Other3
4
Total$391
$287
In offices outside the U.S.  
Commercial and industrial(2)
$353
$200
Mortgage and real estate21
22
Financial institutions—
—
Other12
40
Total$386
$262
Total corporate renegotiated loans$777
$549
Consumer renegotiated loans(3)
  
In U.S. offices  
Mortgage and real estate$1,916
$1,956
Cards1,489
1,464
Installment and other19
17
Total$3,424
$3,437
In offices outside the U.S.  
Mortgage and real estate$243
$305
Cards424
466
Installment and other388
400
Total$1,055
$1,171
Total consumer renegotiated loans$4,479
$4,608
(1)Includes $514 million and $472 million of non-accrual loans included in the non-accrual loans table above at March 31, 2020 and December 31, 2019, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at March 31, 2020 and December 31, 2019, Citi also modified $25 million and $26 million, respectively, of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession.
(3)Includes $747 million and $814 million of non-accrual loans included in the non-accrual loans table above at March 31, 2020 and December 31, 2019, respectively. The remaining loans are accruing interest.

56


LIQUIDITY RISK

For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors”Factors—Liquidity Risks” in Citi’s 20192020 Annual Report on Form 10-K.




High-Quality Liquid Assets (HQLA)
CitibankCiti non-bank and other entitiesTotal
In billions of dollarsMar. 31, 2021Dec. 31, 2020Mar. 31, 2020Mar. 31, 2021Dec. 31, 2020Mar. 31, 2020Mar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Available cash$276.6 $304.3 $170.9 $3.0 $2.1 $3.1 $279.6 $306.4 $174.0 
U.S. sovereign85.0 77.8 92.1 67.7 64.8 34.7 152.7 142.6 126.8 
U.S. agency/agency MBS37.0 31.8 52.4 6.3 6.5 7.2 43.3 38.3 59.6 
Foreign government debt(1)
43.6 39.6 66.3 13.7 16.2 12.7 57.3 55.8 78.9 
Other investment grade1.4 1.2 1.5 0.6 0.5 1.1 2.0 1.7 2.7 
Total HQLA (AVG)$443.6 $454.7 $383.2 $91.3 $90.1 $58.8 $534.8 $544.8 $442.0 
 CitibankCiti non-bank and other entitiesTotal
In billions of dollarsMar. 31, 2020Dec. 31, 2019Mar. 31, 2019Mar. 31, 2020Dec. 31, 2019Mar. 31, 2019Mar. 31, 2020Dec. 31, 2019Mar. 31, 2019
Available cash$170.9
$158.7
$94.7
$3.1
$2.1
$34.9
$174.0
$160.8
$129.6
U.S. sovereign92.1
100.2
94.9
34.7
29.6
29.5
126.8
129.8
124.4
U.S. agency/agency MBS52.4
56.9
59.3
7.2
4.4
5.3
59.6
61.3
64.6
Foreign government debt(1)
66.3
66.4
67.7
12.7
16.5
3.5
78.9
82.9
71.2
Other investment grade1.5
2.4
3.5
1.1
0.5
1.6
2.7
2.8
5.1
Total HQLA (AVG)$383.2
$384.6
$320.1
$58.8
$53.1
$74.8
$442.0
$437.6
$394.9

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.applicable under the U.S. LCR rule. 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, Malaysia, India and South Korea.
(1)    Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Japan, Mexico, Hong Kong, South Korea and India.

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 Ratioratio (LCR), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to other entities within Citigroup. Citigroup’s HQLA increased modestlydecreased quarter-over-quarter, primarily due to long-term debt issuance. Whilereflecting a decrease in cash as Citi saw strong deposit growth in the first quarter of 2020, it occurred late in the quarteroptimized its overall HQLA and therefore did not have a meaningful impact on Citigroup’s average HQLA.deployed liquidity.
As of March 31, 2020,2021, Citigroup had approximately $840$957 billion of available liquidity resources to support client and business needs, including end-of-period HQLA assets; additional unencumbered securities, including excess liquidity held at bank entities that is non-transferable to other entities within Citigroup; and available assets not already accounted for within the Company’sCiti’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.


Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)
In addition to internal 30-day liquidity stress testing performed for Citi’s major entities, operating subsidiaries and countries, Citi also monitors its liquidity by reference to the LCR. The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
In billions of dollarsMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
HQLA$534.8 $544.8 $442.0 
Net outflows463.7 460.7 385.8 
LCR115 %118 %115 %
HQLA in excess of net outflows$71.1 $84.1 $56.2 
In billions of dollarsMar. 31, 2020Dec. 31, 2019Mar. 31, 2019
HQLA$442.0
$437.6
$394.9
Net outflows385.8
382.0
331.6
LCR115%115%119%
HQLA in excess of net outflows$56.2
$55.6
$63.3

Note: The amounts are presented on an average basis.

As of March 31, 2020,2021, Citigroup’s average LCR remained unchangeddecreased from the fourth quarter ended December 31, 2019, as an increaseof 2020. The decrease was primarily driven by Citi’s deploying liquidity and optimizing its overall HQLA.

57

Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
As previously disclosed, in October 2020, the average HQLA reflectingU.S. banking agencies adopted a final rule to assess the issuanceavailability of a bank’s stable funding against a required level.
In general, a bank’s available stable funding will include portions of equity, deposits and long-term debt, was offset by an increasewhile its required stable funding will be based on the liquidity characteristics of its assets, derivatives and commitments. The ratio of available stable funding to required stable funding will be required to be greater than 100%.
The final rule becomes effective beginning July 1, 2021, while public disclosure requirements to report the ratio will occur on a semi-annual basis beginning June 30, 2023. Citi expects to be in compliance with the average net outflows.final rule upon its effective date.



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, 2021Dec. 31, 2020Mar. 31, 2020
Global Consumer Banking
North America$174.4 $179.4 $193.3 
Latin America13.9 14.3 16.7 
Asia(1)
83.4 82.4 80.3 
Total$271.7 $276.1 $290.3 
Institutional Clients Group
Corporate lending$138.0 $146.2 $159.9 
Treasury and trade solutions (TTS)67.9 67.1 73.1 
Private bank119.8 113.3 109.9 
Markets and securities services
and other
61.7 56.1 52.1 
Total$387.4 $382.7 $395.0 
Total Corporate/Other
$6.9 $7.4 $9.4 
Total Citigroup loans (AVG)$666.0 $666.2 $694.7 
Total Citigroup loans (EOP)$666.0 $676.1 $721.0 
In billions of dollarsMar. 31, 2020Dec. 31, 2019Mar. 31, 2019
Global Consumer Banking   
North America$193.3
$192.7
$185.5
Latin America16.7
17.4
17.2
Asia(1)
80.3
80.9
77.9
Total$290.3
$291.0
$280.6
Institutional Clients Group   
Corporate lending$159.9
$154.2
$161.7
Treasury and trade solutions (TTS)73.1
74.5
75.1
Private bank109.9
106.6
97.2
Markets and securities services
  and other
52.1
56.0
51.0
Total$395.0
$391.3
$385.0
Total Corporate/Other
$9.4
$10.3
$13.6
Total Citigroup loans (AVG)$694.7
$692.6
$679.2
Total Citigroup loans (EOP)$721.0
$699.5
$682.3

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

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

End-of-period loans increased 6% year-over-year and 3% sequentially. Excluding the impact of FX translation, end-of-period loans increaseddeclined 8% year-over-year and 5% sequentially.1% quarter-over-quarter.
On an average basis, loans increased 2%declined 4% year-over-year and remained largelywere unchanged sequentially. Excluding the impact of FX translation, average loans increased 3%declined 5% year-over-year and 4% in aggregate across GCB and ICG. Average1% sequentially. On this basis, average GCB loans grew 4%declined 8% year-over-year, driven by growth across regions.primarily reflecting higher payment rates given high levels of liquidity due to U.S. fiscal stimulus and the impact of lower customer spending, primarily in Citi’s cards businesses in Asia and Mexico.
Excluding the impact of FX translation, average ICG loans increased 4% year-over-year, driven primarily by the private bank.declined 3% year-over-year. Loans in corporate lending were largely unchangeddeclined 15% on an average basis, but grew 22% on an end-of-period basis, reflecting drawdownsnet repayments as Citi continued to assist its clients in accessing the capital markets, as well as lower demand. Private bank loans
increased 8%, largely driven by secured lending to high-net-worth clients, including residential real estate lending. TTS loans decreased 8%, reflecting weakness in underlying trade flows and new facilities as Citi’s clients built liquiditythe continued low level of spend in response tocommercial cards driven by the COVID-19impact of the pandemic.
AverageCorporate/OtherOther loans continued to decline (down 31%32%), 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, 2021Dec. 31, 2020Mar. 31, 2020
Global Consumer Banking(1)
North America$197.0 $188.9 $161.3 
Latin America24.5 24.3 22.9 
Asia(2)
123.8 120.0 105.9 
Total$345.3 $333.2 $290.1 
Institutional Clients Group
Treasury and trade solutions (TTS)$661.4 $686.5 $571.3 
Banking ex-TTS
165.6 163.2 140.1 
Markets and securities services120.2 109.3 100.1 
Total$947.3 $959.0 $811.5 
Corporate/Other$11.4 $13.1 $12.9 
Total Citigroup deposits (AVG)$1,304.0 $1,305.3 $1,114.5 
Total Citigroup deposits (EOP)$1,301.0 $1,280.7 $1,184.9 
In billions of dollarsMar. 31, 2020Dec. 31, 2019Mar. 31, 2019
Global Consumer Banking   
North America$161.3
$156.2
$149.6
Latin America22.9
23.0
22.7
Asia(1)
105.9
103.4
99.4
Total$290.1
$282.6
$271.7
Institutional Clients Group   
Treasury and trade solutions (TTS)$571.3
$558.7
$510.9
Banking ex-TTS
140.1
140.7
130.1
Markets and securities services100.1
95.0
90.0
Total$811.5
$794.4
$731.0
Corporate/Other$12.9
$12.5
$14.4
Total Citigroup deposits (AVG)$1,114.5
$1,089.5
$1,017.1
Total Citigroup deposits (EOP)$1,184.9
$1,070.6
$1,030.4
(1)Reflects deposits within retail banking.
(1)
(2)Includes deposits in certain EMEA countriesfor all periods presented.

EMEA countriesfor all periods presented.

End-of-period deposits increased 15%10% year-over-year and 11% sequentially. Excluding the impact of FX translation, end-of-period deposits increased 17% year-over-year and 13%2% sequentially.
On an average basis, deposits increased 10%17% year-over-year and 2%were largely unchanged sequentially. Excluding the impact of FX translation, average deposits grew 11%15% from the prior-year period.
Inperiod and declined 1% sequentially. The year-over-year increase reflected continued client engagement as well as the elevated level of liquidity in the financial system. On this basis, average deposits in GCB increased 18%, average deposit growth accelerated to 8%, driven bywith strong growth across all regions. In
Excluding the impact of FX translation, average deposits in North America GCBICG, strong average deposit grew 15% year-over-year, primarily driven by growth of 8% reflected digital deposit sales,in TTS, as well as good engagement with existing clients.continued growth in the private bank and securities services.
Within ICG, deposits grew 12% year-over-year on an average basis, and 21% on an end-of-period basis, primarily driven by strong deposit inflows in TTS and securities services, from both corporate and investor clients, particularly in March.




58

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 9.08.9 years as of March 31, 2020,2021, compared to 8.69.0 years as of the prior year and 8.48.6 years as of the prior quarter. The weighted-average maturity is calculated based on the contractual maturity of each security. For securities that are redeemable prior to maturity at the option of the holder, the weighted-average maturity is calculated based on the earliest date an option becomes exercisable.
Citi’s long-term debt outstanding at the Citigroup parent company includes benchmark senior and subordinated debt and 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 includes benchmark senior debt,bank notes, 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, 2020Dec. 31, 2019Mar. 31, 2019In billions of dollarsMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Parent and other(1)






Non-bank(1)
Non-bank(1)
Benchmark debt: Benchmark debt:
Senior debt$115.5
$106.6
$109.7
Senior debt$120.1 $126.2 $115.5 
Subordinated debt27.5
25.5
24.9
Subordinated debt25.9 27.1 27.5 
Trust preferred1.7
1.7
1.7
Trust preferred1.7 1.7 1.7 
Customer-related debt51.7
53.8
42.4
Customer-related debt66.2 65.2 51.7 
Local country and other(2)
7.3
7.9
3.4
Local country and other(2)
5.9 6.7 7.3 
Total parent and other$203.7
$195.5
$182.1
Total non-bankTotal non-bank$219.8 $226.9 $203.7 
Bank





Bank
FHLB borrowings$16.0
$5.5
$10.5
FHLB borrowings$10.9 $10.9 $16.0 
Securitizations(3)
20.8
20.7
25.9
Securitizations(3)
12.8 16.6 20.8 
Citibank benchmark senior debt22.2
23.1
21.4
Citibank benchmark senior debt9.2 13.6 22.2 
Local country and other(2)
3.4
4.0
3.7
Local country and other(2)
3.6 3.7 3.4 
Total bank$62.4
$53.3
$61.5
Total bank$36.5 $44.8 $62.4 
Total long-term debt$266.1
$248.8
$243.6
Total long-term debt$256.3 $271.7 $266.1 
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet that, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)Parent and other includes long-term debt issued to third parties by the parent holding company (Citigroup) and Citi’s non-bank subsidiaries (including broker-dealer subsidiaries) that are consolidated into Citigroup. As of March 31, 2020, Parent and other included $47.2 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries.
(2)Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within parent and other, certain secured financing is also included.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.
(1)Non-bank 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, 2021, non-bank included $55.7 billion of long-term debt issued by Citi’s broker-dealer and other subsidiaries, as well as certain Citigroup consolidated hedging activities.
(2)Local country and other includes debt issued by Citi’s affiliates in support of their local operations. Within non-bank, certain secured financing is also included.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Citi’s total long-term debt outstanding increased bothdecreased year-over-year, and sequentially. The increase year-over-year was primarily driven by declines in unsecured benchmark senior debt, FHLB borrowings and securitizations at the bank, partially offset by the issuance of customer-related debt and unsecured senior benchmark debt at the non-bank entities, as an increase in FHLB borrowings was offset by a decline in securitizations at the bank. Sequentially, the increase in Citi’s total long-term debt outstanding was primarily driven by the an increase in FHLB borrowings at the bank and the issuance of unsecured senior benchmark debt and customer-related debt at the non-bank entities. Sequentially, long-term debt outstanding decreased, driven primarily by declines in unsecured benchmark senior debt at the non-bank entities, as well as declines in unsecured benchmark senior debt and securitizations at the bank.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to redeem or repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such redemptions and repurchases help reduce Citi’s overall funding costs. During the first quarter of 2020,2021, Citi redeemed or repurchased and called an aggregate of approximately $9.4$10.7 billion of its outstanding long-term debt, including early redemptions of FHLB advances.debt.





59

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:
 1Q214Q201Q20
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Non-bank
Benchmark debt:
Senior debt$4.3 $2.5 $3.0 $2.5 $2.1 $7.6 
Subordinated debt— — — — — — 
Trust preferred— — — — — — 
Customer-related debt8.6 12.2 6.3 7.4 6.4 7.9 
Local country and other1.4 0.5 1.6 0.2 0.4 0.2 
Total non-bank$14.3 $15.2 $10.9 $10.1 $8.9 $15.7 
Bank
FHLB borrowings$— $— $3.8 $— $2.4 $12.9 
Securitizations3.7 — 0.1 0.3 0.1 — 
Citibank benchmark senior debt4.3 — 0.7 — 1.0 — 
Local country and other0.1 0.3 0.4 0.5 0.7 0.3 
Total bank$8.1 $0.3 $5.0 $0.8 $4.2 $13.2 
Total$22.4 $15.5 $15.9 $10.9 $13.1 $28.9 
 1Q204Q191Q19
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other











Benchmark debt:   
  
Senior debt$2.1
$7.6
$4.3
$7.0
$0.2
$4.6
Subordinated debt—
—
—
—
—
—
Trust preferred—
—
—
—
—
—
Customer-related debt6.4
7.9
5.9
6.3
1.0
5.2
Local country and other0.4
0.2
0.6
5.0
—
0.3
Total parent and other$8.9
$15.7
$10.8
$18.3
$1.2
$10.1
Bank











FHLB borrowings$2.4
$12.9
$—
$—
$—
$—
Securitizations0.1
—
2.1
0.1
2.6
—
Citibank benchmark senior debt1.0
—
—
—
2.5
5.0
Local country and other0.7
0.3
0.2
0.6
0.3
0.5
Total bank$4.2
$13.2
$2.3
$0.7
$5.4
$5.5
Total$13.1
$28.9
$13.1
$19.0
$6.6
$15.6

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) during the first quarter of 2020,year-to-date in 2021, as well as its aggregate expected remaining long-term debt maturities by year as of March 31, 2020:2021:
1Q20Maturities 1Q21Maturities
In billions of dollars202020212022202320242025ThereafterTotalIn billions of dollars202120222023202420252026ThereafterTotal
Parent and other

















Non-bankNon-bank
Benchmark debt:   
Benchmark debt:
Senior debt$2.1
$4.4
$14.2
$11.5
$12.6
$7.0
$7.4
$58.5
$115.5
Senior debt$4.3 $10.2 $11.5 $12.8 $11.2 $7.3 $18.8 $48.2 $120.1 
Subordinated debt—
—
—
0.7
1.3
1.1
5.2
19.1
27.5
Subordinated debt— — 0.8 1.3 1.1 5.2 2.6 15.0 25.9 
Trust preferred—
—
—
—
—
—
—
1.7
1.7
Trust preferred— — — — — — — 1.7 1.7 
Customer-related debt6.4
5.3
6.1
6.1
3.9
3.2
2.1
25.0
51.7
Customer-related debt8.6 5.9 9.6 7.5 4.9 4.8 2.9 30.6 66.2 
Local country and other0.4
1.0
3.7
1.5
—
—
—
1.1
7.3
Local country and other1.4 0.7 1.5 2.3 — 0.1 0.7 0.7 5.9 
Total parent and other$8.9
$10.7
$24.0
$19.8
$17.8
$11.3
$14.7
$105.4
$203.7
Total non-bankTotal non-bank$14.3 $16.8 $23.4 $23.9 $17.2 $17.4 $25.0 $96.2 $219.8 
Bank

















Bank
FHLB borrowings$2.4
$3.1
$7.7
$5.2
$—
$—
$—
$—
$16.0
FHLB borrowings$— $5.7 $5.3 $— $— $— $— $— $10.9 
Securitizations0.1
4.3
7.1
2.2
2.5
1.1
0.4
3.3
20.8
Securitizations3.7 3.4 2.1 2.4 1.3 0.4 — 3.2 12.8 
Citibank benchmark senior debt1.0
8.8
5.1
5.6
—
2.8
—
—
22.2
Citibank benchmark senior debt4.3 — 2.5 4.0 — 2.7 — — 9.2 
Local country and other0.7
1.2
0.7
0.5
0.1
0.5
—
0.2
3.4
Local country and other0.1 0.8 1.4 0.2 0.6 0.1 0.1 0.3 3.6 
Total bank$4.2
$17.4
$20.6
$13.5
$2.6
$4.4
$0.4
$3.5
$62.4
Total bank$8.1 $9.9 $11.3 $6.6 $1.9 $3.2 $0.1 $3.5 $36.5 
Total long-term debt$13.1
$28.1
$44.6
$33.3
$20.4
$15.7
$15.1
$108.9
$266.1
Total long-term debt$22.4 $26.7 $34.7 $30.5 $19.1 $20.6 $25.1 $99.7 $256.3 



















60

Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term financings that generally include (i) secured funding transactions consisting of securities loaned or sold under agreements to repurchase, i.e., repos, and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants.

Secured Funding Transactions
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both (i) secured lending activity and (ii) a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which are typically collateralized by 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 $222$219 billion as of March 31, 2020 increased 17%2021 declined 1% from the prior-year period and 34%increased 10% sequentially. Excluding the impact of FX translation, secured funding increased 21%declined 6% from the prior-year period and 39%increased 12% sequentially, both driven by normal business activity. The average balancesbalance for secured funding werewas approximately $199$235 billion for the quarter ended March 31, 2020.2021.
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 which 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 establishing minimum required funding tenors. The weighted average maturity of Citi’s secured funding of less liquid securities inventory was greater than 110 days as ofMarch 31, 2020.2021.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors,tenor, haircut, collateral profile and client actions. In addition, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.

Short-Term Borrowings
Citi’s short-term borrowings of $55$32 billion increased 40%decreased 42% year-over-year, and 22% sequentially, primarily driven by an increasea decline in FHLB advances as well as Citi’s participation in the FRB’s Money Market Mutual Fund Liquidity Facility (as described in “U.S. Government-Sponsored Liquidity Programs” above) to facilitate client activity and support Federal Reserve Board actions to provide additional liquidity into the marketadvances. Sequentially, short-term borrowings increased by 9%, driven by customer-related debt issuance (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).

















61

Credit Ratings
While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/F1 at Fitch as of March 31, 2020.2021.


Ratings as of March 31, 2020
2021
Citigroup Inc.Citibank, N.A.
Senior

debt
Commercial

paper
Outlook
Long-

term
Short-

term
Outlook
Fitch Ratings (Fitch)AF1StableNegativeA+F1StableNegative
Moody’s Investors Service (Moody’s)A3P-2StableAa3P-1Stable
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable

Recent Credit Rating Developments
On April 22, 2020, Fitch Ratings affirmed Citi’s Long-Term and Short-Term Issuer Default Ratings (IDR) at A and F1, respectively. The Rating Outlook is revised to Negative from Stable reflecting the disruption to economic activity and financial markets from the COVID-19 pandemic. As part of this action, the outlooks for operating subsidiaries have also been revised from Stable to Negative in line with the parent company.
In addition, per Fitch’s updated Bank Rating Criteria, published February 28, 2020, Fitch downgraded Citi’s subordinated debt by one notch to BBB+ and removed it from under criteria observation (UCO) to reflect the change in baseline notching for loss severity. Citi’s preferred stock rating was upgraded by one notch to BBB- and removed from UCO to reflect a reduction in incremental non-performance risk notching under the new criteria.


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 20192020 Annual Report on Form 10-K.





Citigroup Inc. and Citibank—Potential Derivative Triggers
As of March 31, 2020,2021, 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 $0.6$1.5 billion, compared to $0.5$0.6 billion fromas of December 31, 2019.2020. 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, 2020,2021, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity due to derivative triggers by approximately $0.6$0.5 billion, compared to $0.3$0.4 billion as of December 31, 2019.2020. Other funding sources, such as secured funding transactions and other margin requirements, for which there are no explicit triggers, could also be adversely impacted.
In total, as of March 31, 2020,2021, Citi estimates that a one-notch downgrade of Citigroup and Citibank across all three major rating agencies could result in increased aggregate cash obligations and collateral requirements of approximately $1.2$1.9 billion, compared to $0.8$1.0 billion as of December 31, 20192020 (see also Note 19 to the Consolidated Financial Statements). As detailed under “High-Quality Liquid Assets” above, Citigroup has various liquidity resources available to its bank and non-bank entities 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 fromat 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.

62

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, 2020,2021, Citibank had liquidity commitments of approximately $12.2$10.0 billion to consolidated asset-backed commercial paper conduits, compared to $10.2 billion as of December 31, 2019 (as referenced inunchanged from the prior quarter (for additional information, see 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 clientsclients’ adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.

63

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 Factors” in Citi’s 20192020 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, 2020Dec. 31, 2019Mar. 31, 2019In millions of dollars, except as otherwise notedMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Estimated annualized impact to net interest revenue Estimated annualized impact to net interest revenue
U.S. dollar(1)
$(142)$20
$527
U.S. dollar(1)
$102 $373 $(142)
All other currencies660
606
677
All other currencies636 683 660 
Total$518
$626
$1,204
Total$738 $1,056 $518 
As a percentage of average interest-earning assets0.03%0.03%0.07%As a percentage of average interest-earning assets0.03 %0.05 %0.03 %
Estimated initial impact to AOCI (after-tax)(2)
$(5,746)$(5,002)$(3,828)
Estimated initial negative impact to AOCI (after-tax)(2)
Estimated initial negative impact to AOCI (after-tax)(2)
$(5,395)$(5,645)$(5,746)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(34)(31)(25)Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(32)(34)(34)

(1)
(1)Certain trading-oriented businesses within Citi have accrual-accounted positions that are excluded from the estimated impact to net interest revenue in the table, since these exposures are managed economically in combination with mark-to-market positions. The U.S. dollar interest rate exposure associated with these businesses was $(325) million for a 100 bps instantaneous increase in interest rates as of March 31, 2020.
(2)
Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

As shown on the table above, during the first quarter of 2020, Citi Treasury continued its strategy of reducing the impact to net interest revenue fromin 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 $(9) million for a 100 bps instantaneous increase in interest rates as of March 31, 2021.
(2)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, Citi decreased its net interest revenue exposure due to an increase in interest rates. The reductiondecrease was predominantly in U.S. dollar exposure, which changed from an asset-sensitive $20 million as of December 31, 2019 to a liability-sensitive $(142)was $102 million as of March 31, 2020.2021, primarily driven by an increase in investment securities.
The increaserelatively small quarterly change in the estimated impact to AOCI primarily reflected changes toa continuation of the positioning strategy of Citi Treasury’s investment securities and related interest rate derivatives portfolio. In the event of a parallel instantaneous 100 bps increase in interest rates, Citi expects that the negative impact to AOCI would be offset in stockholders’ equity through the expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio over a period of time. As of March 31, 2020,2021, Citi expects that the negative $5.7$5.4 billion impact to AOCI in such a scenario could potentially be offset over approximately 4135 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. The 100 bps downward rate scenarios are impacted by the low level of interest rates in several countries and the assumption that market interest rates, as well as rates paid to depositors and charged to borrowers, do not fall below zero (i.e., the “flooring assumption”). The rate scenarios are also impacted by convexity related to mortgage products.
Additionally,In addition, in the table below, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under Scenario 2 as compared to Scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter- and intermediate-term maturities.

In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 5
Overnight rate change (bps)100
100
—
—
(100)
10-year rate change (bps)100
—
100
(100)(100)
Estimated annualized impact to net interest revenue 
     
U.S. dollar$(142)$14
$211
$(176)$(553)
All other currencies660
582
46
(36)(368)
Total$518
$596
$257
$(212)$(921)
Estimated initial impact to AOCI (after-tax)(1)
$(5,746)$(3,861)$(2,120)$1,895
$3,368
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(34)(23)(13)11
15


In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 5
Overnight rate change (bps)100 100 — — (100)
10-year rate change (bps)100 — 100 (100)(100)
Estimated annualized impact to net interest revenue
U.S. dollar$102 $167 $64 $(264)$(549)
All other currencies636 594 37 (37)(391)
Total$738 $761 $101 $(301)$(940)
Estimated initial impact to AOCI (after-tax)(1)
$(5,395)$(3,356)$(2,361)$1,843 $3,301 
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(32)(20)(15)11 16 
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)
(1)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
64

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of March 31, 2020,2021, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.4$1.8 billion, or 1.0%1.1%, 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, Indian rupee, Euro and Australian dollar.Indian rupee.

This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-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 ended
In millions of dollars, except as otherwise notedMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
Change in FX spot rate(1)
(2.3)%5.5 %(9.2)%
Change in TCE due to FX translation, net of hedges$(1,030)$1,829 $(3,201)
As a percentage of TCE(0.7)%1.2 %(2.1)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps)		(1)2 (5)

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


65


 For the quarter ended
In millions of dollars, except as otherwise notedMar. 31, 2020Dec. 31, 2019 Mar. 31, 2019
Change in FX spot rate(1)
(9.2)%2.8%0.4%
Change in TCE due to FX translation, net of hedges$(3,201)$659
$65
As a percentage of TCE(2.1)%0.4%—%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
  to changes in FX translation, net of hedges (bps)
(5)(3)—

(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)
a1qcharta01.jpgc-20210331_g11.jpg
1st Qtr.
4th Qtr.
1st Qtr.
Change1st Qtr.4th Qtr.1st Qtr.Change
In millions of dollars, except as otherwise noted2020 2019 2019
1Q20 vs. 1Q19In millions of dollars, except as otherwise noted2021 2020 20201Q21 vs. 1Q20
Interest revenue(1)
$17,185
 $18,593
 $19,140
 (10)% 
Interest revenue(1)
$12,587  $13,095  $17,185 (27)%
Interest expense(2)
5,647
 6,548
 7,317
 (23) 
Interest expense(2)
2,368  2,564  5,647 (58)
Net interest revenue, taxable equivalent basis$11,538
 $12,045
 $11,823
 (2)% Net interest revenue, taxable equivalent basis$10,219  $10,531  $11,538 (11)%
Interest revenue—average rate(3)
3.69% 4.07% 4.40% (71)bps
Interest revenue—average rate(3)
2.41 %2.48 %3.69 %(128)bps
Interest expense—average rate1.49
 1.76
 2.10
 (61)bpsInterest expense—average rate0.56 0.60 1.49 (93)bps
Net interest margin(3)(4)
2.48
 2.63
 2.72
 (24)bps
Net interest margin(3)(4)
1.95 2.00 2.48 (53)bps
Interest-rate benchmarks        Interest-rate benchmarks 
Two-year U.S. Treasury note—average rate1.08% 1.62% 2.49% (141)bpsTwo-year U.S. Treasury note—average rate0.13 %0.15 %1.08 %(95)bps
10-year U.S. Treasury note—average rate1.37
 1.79
 2.65
 (128)bps10-year U.S. Treasury note—average rate1.34  0.86  1.37 (3)bps
10-year vs. two-year spread29
bps17
bps16
bps 
 10-year vs. two-year spread121 bps71 bps29 bps 
Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments outside of the U.S.
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21% in 2020
(1)Net interest revenue includes the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of $53 million, $48 million and 2019) of $46 million, $48 million and $64 million for the three months ended March 31, 2021, December 31, 2020 and March 31, 2020, December 31, 2019 and March 31, 2019, respectively.
(2)
Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal transactions in the Consolidated Statement of Income and is therefore not reflected in Interest expense in the table above.
(3)The average rate on interest revenue and net interest margin reflects the taxable equivalent gross-up adjustment. See footnote 1 on “Average Balances and Interest Rates—Assets” below.
(4)Citi’s net interest margin (NIM) is calculated by dividing net interest revenue by average interest-earning assets.



Net (2)Interest Revenue Excluding 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 above.
(4)Citi’s net interest margin (NIM) is calculated by dividing net interest revenue by average interest-earning assets.

66

Non-ICG Markets Net Interest Revenue
 1st Qtr. 4th Qtr. 1st Qtr. Change
In millions of dollars2020 2019 2019 1Q20 vs. 1Q19
Net interest revenue—taxable equivalent basis(1) per above
$11,538
 $12,045
 $11,823
 (2)%
ICG Markets net interest revenue—taxable equivalent basis(1)
1,182
 1,257
 961
 23
Net interest revenue excluding ICG Markets—taxable equivalent basis(1)
$10,356
 $10,788
 $10,862
 (5)%
1st Qtr.4th Qtr.1st Qtr.Change
In millions of dollars2021 2020 20201Q21 vs. 1Q20
Net interest revenue (NIR)—taxable equivalent basis(1) per above
$10,219 $10,531 $11,538 (11)%
ICG Markets NIR—taxable equivalent basis(1)
1,334 1,348 1,182 13 
Non-ICG Markets NIR—taxable equivalent basis(1)
$8,885 $9,183 $10,356 (14)%


(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21% in 2020
(1)Net interest revenue includes the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of $53 million, $48 million and 2019) of $46 million, $48 million and $64 million for the three months ended March 31, 2021, December 31, 2020 and March 31, 2020, December 31, 2019 and March 31, 2019, respectively.

Citi’s net interest revenue (NIR) in the first quarter of 20202021 decreased 2%12% to $11.5$10.2 billion versus the prior-year period. Citi’s net interest revenueNIR on a taxable equivalent basis also decreased 2%11% (as set forth in the table above). Excluding the impact of FX translation, net interest revenuethis NIR declined slightly year over yearyear-over-year by approximately $60 million$1.4 billion, as a decline of $320 millionapproximately $1.5 billion in net interest revenue excluding non-ICG Markets NIR was partially offset by a $260$140 million increase in ICG Markets (fixed income markets and equity markets) net interest revenue.NIR. The decrease in non-ICG Markets net interest revenue wasNIR primarily driven byreflected the impact of lower interest rates partially offset by overalland lower loan growth and one additional daybalances in the current quarter.consumer businesses as well as the impact of one fewer day versus last year. The increase in ICG Markets net interest revenue was primarily driven by ongoing changesNIR largely reflected a change in the composition and mix of the business’s revenues between net interest revenue and non-interest revenue. Citi expects its net interest revenue to declinetrading positions in the near term, reflecting the full-quarter impactsupport of lower interest rates, as well as a more pronounced impact from the COVID-19 pandemic.client activity.

Citi’s NIM was 2.48%1.95% on a taxable equivalent basis in the first quarter of 2020,2021, a decrease of 155 basis points from the prior quarter, withprimarily reflecting the lower net interest revenue driving approximately half of the declineNIR, partially offset by Citi Treasury actions and the remainder reflecting growth in Citi’s balance sheet. sheet optimization.
Citi’s ICG Markets NIR and non-ICG Markets net interest revenuesNIR are non-GAAP financial measures. Citi reviews non-
ICG Markets
net interest revenue

to assess the performance of its lending, investing and deposit-raising activities. Citi believes disclosure of this metric assists in providing a meaningful depiction of the underlying fundamentals of its non-ICG Markets businesses.

67

Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)
Taxable Equivalent Basis
Quarterly—AssetsAverage volumeInterest revenue% Average rate
1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates202120202020202120202020202120202020
Deposits with banks(4)
$307,340 $334,056 $207,130 $145 $126 $527 0.19 %0.15 %1.02 %
Securities borrowed and purchased under agreements to resell(5)
In U.S. offices$163,790 $158,013 $141,351 $117 $126 $749 0.29 %0.32 %2.13 %
In offices outside the U.S.(4)
142,591 140,628 127,549 177 196 459 0.50 0.55 1.45 
Total$306,381 $298,641 $268,900 $294 $322 $1,208 0.39 %0.43 %1.81 %
Trading account assets(6)(7)
In U.S. offices$154,798 $147,080 $130,138 $752 $835 $975 1.97 %2.26 %3.01 %
In offices outside the U.S.(4)
153,019 148,317 122,320 586 571 619 1.55 1.53 2.04 
Total$307,817 $295,397 $252,458 $1,338 $1,406 $1,594 1.76 %1.89 %2.54 %
Investments
In U.S. offices
Taxable$295,570 $282,847 $238,298 $806 $801 $1,158 1.11 %1.13 %1.95 %
Exempt from U.S. income tax12,902 13,300 14,170 118 91 109 3.71 2.72 3.09 
In offices outside the U.S.(4)
149,477 146,221 128,867 856 873 1,038 2.32 2.38 3.24 
Total$457,949 $442,368 $381,335 $1,780 $1,765 $2,305 1.58 %1.59 %2.43 %
Loans (net of unearned income)(8)
In U.S. offices$379,956 $383,623 $403,558 $6,042 $6,334 $7,318 6.45 %6.57 %7.29 %
In offices outside the U.S.(4)
286,014 282,606 291,117 2,891 3,055 3,950 4.10 4.30 5.46 
Total$665,970 $666,229 $694,675 $8,933 $9,389 $11,268 5.44 %5.61 %6.52 %
Other interest-earning assets(9)
$76,091 $62,587 $68,737 $97 $87 $283 0.52 %0.55 %1.66 %
Total interest-earning assets$2,121,548 $2,099,278 $1,873,235 $12,587 $13,095 $17,185 2.41 %2.48 %3.69 %
Non-interest-earning assets(6)
$195,245 $200,002 $206,819 
Total assets$2,316,793 $2,299,280 $2,080,054 
(1)Net interest revenue includes the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of $53 million, $48 million and $46 million for the three months ended March 31, 2021, December 31, 2020 and March 31, 2020, 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.

68
 Average volumeInterest revenue% Average rate
 1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates202020192019202020192019202020192019
Assets
  
  
  
Deposits with banks(4)
$207,130
$195,268
$171,369
$527
$603
$607
1.02%1.23%1.44%
Securities borrowed and purchased under agreements to resell(5)










In U.S. offices$141,351
$138,647
$152,530
$749
$947
$1,262
2.13%2.71%3.36%
In offices outside the U.S.(4)
127,549
117,375
123,109
459
504
528
1.45
1.70
1.74
Total$268,900
$256,022
$275,639
$1,208
$1,451
$1,790
1.81%2.25%2.63%
Trading account assets(6)(7)












In U.S. offices$130,138
$117,650
$95,904
$975
$1,083
$940
3.01%3.65%3.98%
In offices outside the U.S.(4)
122,320
125,947
124,673
619
874
752
2.04
2.75
2.45
Total$252,458
$243,597
$220,577
$1,594
$1,957
$1,692
2.54%3.19%3.11%
Investments











In U.S. offices











Taxable$238,298
$225,435
$225,733
$1,158
$1,156
$1,509
1.95%2.03%2.71%
Exempt from U.S. income tax14,170
14,737
16,287
109
126
129
3.09
3.39
3.21
In offices outside the U.S.(4)
128,867
127,561
108,988
1,038
1,139
940
3.24
3.54
3.50
Total$381,335
$367,733
$351,008
$2,305
$2,421
$2,578
2.43%2.61%2.98%
Loans (net of unearned income)(8)












In U.S. offices$403,558
$400,037
$393,397
$7,318
$7,592
$7,648
7.29%7.53%7.88%
In offices outside the U.S.(4)
291,117
292,594
285,811
3,950
4,236
4,342
5.46
5.74
6.16
Total$694,675
$692,631
$679,208
$11,268
$11,828
$11,990
6.52%6.78%7.16%
Other interest-earning assets(9)
$68,737
$58,609
$66,925
$283
$333
$483
1.66%2.25%2.93%
Total interest-earning assets$1,873,235
$1,813,860
$1,764,726
$17,185
$18,593
$19,140
3.69%4.07%4.40%
Non-interest-earning assets(6)
$206,484
$182,757
$174,688
      
Total assets$2,079,719
$1,996,617
$1,939,414
      
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21% in 2020 and 2019) of $46 million, $48 million and $64 million for the three months ended March 31, 2020, December 31, 2019 and March 31, 2019, respectively.

(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(6)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)Includes cash-basis loans.
(9)
Includes Brokerage receivables.


Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)
Taxable Equivalent Basis
Quarterly—LiabilitiesAverage volumeInterest expense% Average rate
1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates202120202020202120202020202120202020
Deposits   
In U.S. offices(4)
$505,694 $516,844 $427,957 $531 $606 $1,360 0.43 %0.47 %1.28 %
In offices outside the U.S.(5)
568,133 564,257 506,494 521 555 1,254 0.37 0.39 1.00 
Total$1,073,827 $1,081,101 $934,451 $1,052 $1,161 $2,614 0.40 %0.43 %1.13 %
Securities loaned and sold under agreements to repurchase(6)
In U.S. offices$146,942 $138,118 $128,499 $171 $166 $718 0.47 %0.48 %2.25 %
In offices outside the U.S.(5)
88,321 89,139 70,011 82 81 367 0.38 0.36 2.11 
Total$235,263 $227,257 $198,510 $253 $247 $1,085 0.44 %0.43 %2.20 %
Trading account liabilities(7)(8)
In U.S. offices$51,797 $41,271 $36,453 $22 $44 $138 0.17 %0.42 %1.52 %
In offices outside the U.S.(5)
65,567 54,204 48,047 92 78 101 0.57 0.57 0.85 
Total$117,364 $95,475 $84,500 $114 $122 $239 0.39 %0.51 %1.14 %
Short-term borrowings and other interest-bearing liabilities(9)
In U.S. offices$72,414 $69,785 $86,710 $— $6 $326 — %0.03 %1.51 %
In offices outside the U.S.(5)
20,930 18,768 19,850 31 12 58 0.60 0.25 1.18 
Total$93,344 $88,553 $106,560 $31 $18 $384 0.13 %0.08 %1.45 %
Long-term debt(10)
In U.S. offices$201,491 $217,148 $198,006 $905 $1,016 $1,318 1.82 %1.86 %2.68 %
In offices outside the U.S.(5)
4,773 3,810 4,186 13 — 7 1.10 — 0.67 
Total$206,264 $220,958 $202,192 $918 $1,016 $1,325 1.80 %1.83 %2.64 %
Total interest-bearing liabilities$1,726,062 $1,713,344 $1,526,213 $2,368 $2,564 $5,647 0.56 %0.60 %1.49 %
Demand deposits in U.S. offices$56,632 $33,739 $26,709 
Other non-interest-bearing liabilities(7)
333,113 355,944 333,293 
Total liabilities$2,115,807 $2,103,027 $1,886,215 
Citigroup stockholders’ equity$200,301 $195,584 $193,198 
Noncontrolling interests685 669 641 
Total equity$200,986 $196,253 $193,839 
Total liabilities and stockholders’ equity$2,316,793 $2,299,280 $2,080,054 
Net interest revenue as a percentage of average interest-earning assets(11)
In U.S. offices$1,231,795 $1,231,902 $1,077,873 $6,335 $6,477 $7,001 2.09 %2.09 %2.61 %
In offices outside the U.S.(6)
889,753 867,376 795,362 3,884 4,054 4,537 1.77 1.86 2.29 
Total$2,121,548 $2,099,278 $1,873,235 $10,219 $10,531 $11,538 1.95 %2.00 %2.48 %
(1)Net interest revenue includes the taxable equivalent adjustments primarily related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21%) of $53 million, $48 million and $46 million for the three months ended March 31, 2021, December 31, 2020 and March 31, 2020, 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.
69

 Average volumeInterest expense% Average rate
 1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates202020192019202020192019202020192019
Liabilities         
Deposits         
In U.S. offices(4)
$427,957
$411,452
$366,247
$1,360
$1,489
$1,489
1.28%1.44%1.65%
In offices outside the U.S.(5)
506,494
499,587
473,142
1,254
1,464
1,538
1.00
1.16
1.32
Total$934,451
$911,039
$839,389
$2,614
$2,953
$3,027
1.13%1.29%1.46%
Securities loaned and sold under
  agreements to repurchase(6)
      





In U.S. offices$128,499
$110,261
$111,033
$718
$851
$1,107
2.25%3.06%4.04%
In offices outside the U.S.(5)
70,011
77,892
72,904
367
469
482
2.11
2.39
2.68
Total$198,510
$188,153
$183,937
$1,085
$1,320
$1,589
2.20%2.78%3.50%
Trading account liabilities(7)(8)
      





In U.S. offices$36,453
$34,829
$40,163
$138
$179
$196
1.52%2.04%1.98%
In offices outside the U.S.(5)
48,047
44,091
55,127
101
137
131
0.85
1.23
0.96
Total$84,500
$78,920
$95,290
$239
$316
$327
1.14%1.59%1.39%
Short-term borrowings(9)
      





In U.S. offices$86,710
$78,211
$75,440
$326
$420
$571
1.51%2.13%3.07%
In offices outside the U.S.(5)
19,850
18,868
23,740
58
69
81
1.18
1.45
1.38
Total$106,560
$97,079
$99,180
$384
$489
$652
1.45%2.00%2.67%
Long-term debt(10)
      





In U.S. offices$198,006
$193,463
$191,903
$1,318
$1,459
$1,685
2.68%2.99%3.56%
In offices outside the U.S.(5)
4,186
4,509
5,060
7
11
37
0.67
0.97
2.97
Total$202,192
$197,972
$196,963
$1,325
$1,470
$1,722
2.64%2.95%3.55%
Total interest-bearing liabilities$1,526,213
$1,473,163
$1,414,759
$5,647
$6,548
$7,317
1.49%1.76%2.10%
Demand deposits in U.S. offices$26,709
$26,586
$26,893
      
Other non-interest-bearing liabilities(7)
333,210
301,662
301,259
      
Total liabilities$1,886,132
$1,801,411
$1,742,911
      
Citigroup stockholders’ equity$192,946
$194,553
$195,705
      
Noncontrolling interests641
653
798
      
Total equity$193,587
$195,206
$196,503
      
Total liabilities and stockholders’ equity$2,079,719
$1,996,617
$1,939,414
      
Net interest revenue as a percentage of average interest-earning assets(11)
         
In U.S. offices$1,077,872
$1,029,263
$996,569
$7,001
$7,169
$7,233
2.61%2.76%2.94%
In offices outside the U.S.(6)
795,362
784,598
768,157
4,537
4,876
4,590
2.29
2.47
2.42
Total$1,873,235
$1,813,860
$1,764,726
$11,538
$12,045
$11,823
2.48%2.63%2.72%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21% in 2020 and 2019) of $46 million, $48 million and $64 million for the three months ended March 31, 2020, December 31, 2019 and March 31, 2019, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(5)Average 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(9)Includes Brokerage payables.
(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 (10)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.

(11)Includes allocations for capital and funding costs based on the location of the asset.

Analysis of Changes in Interest Revenue(1)(2)(3)
 1Q21 vs. 4Q201Q21 vs. 1Q20
 Increase (decrease)
due to change in:		Increase (decrease)
due to change in:
In millions of dollarsAverage
volume		Average
rate		Net
change		Average
volume		Average
rate		Net
change
Deposits with banks(3)
$(11)$30 $19 $178 $(560)$(382)
Securities borrowed and purchased under agreements to resell
In U.S. offices$4 $(13)$(9)$103 $(735)$(632)
In offices outside the U.S.(3)
3 (22)(19)49 (331)(282)
Total$7 $(35)$(28)$152 $(1,066)$(914)
Trading account assets(4)
In U.S. offices$42 $(125)$(83)$162 $(385)$(223)
In offices outside the U.S.(3)
18 (3)15 136 (169)(33)
Total$60 $(128)$(68)$298 $(554)$(256)
Investments(1)
In U.S. offices$37 $(5)$32 $241 $(584)$(343)
In offices outside the U.S.(3)
19 (36)(17)149 (331)(182)
Total$56 $(41)$15 $390 $(915)$(525)
Loans (net of unearned income)(5)
In U.S. offices$(60)$(232)$(292)$(411)$(865)$(1,276)
In offices outside the U.S.(3)
36 (200)(164)(68)(991)(1,059)
Total$(24)$(432)$(456)$(479)$(1,856)$(2,335)
Other interest-earning assets(6)
$18 $(8)$10 $27 $(213)$(186)
Total interest revenue$106 $(614)$(508)$566 $(5,164)$(4,598)
(1)The taxable equivalent adjustments primarily related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2021 and 2020, are included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes cash-basis loans.
(6)Includes Brokerage receivables.

70
 1st Qtr. 2020 vs. 4th Qtr. 20191st Qtr. 2020 vs. 1st Qtr. 2019
 
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits with banks(3)
$35
$(111)$(76)$111
$(191)$(80)
Securities borrowed and purchased under agreements to resell      
In U.S. offices$18
$(216)$(198)$(87)$(426)$(513)
In offices outside the U.S.(3)
41
(86)(45)19
(87)(68)
Total$59
$(302)$(243)$(68)$(513)$(581)
Trading account assets(4)
      
In U.S. offices$107
$(215)$(108)$288
$(253)$35
In offices outside the U.S.(3)
(24)(231)(255)(14)(119)(133)
Total$83
$(446)$(363)$274
$(372)$(98)
Investments(1)
      
In U.S. offices$64
$(79)$(15)$68
$(439)$(371)
In offices outside the U.S.(3)
12
(113)(101)163
(65)98
Total$76
$(192)$(116)$231
$(504)$(273)
Loans (net of unearned income)(5)
      
In U.S. offices$66
$(340)$(274)$194
$(525)$(331)
In offices outside the U.S.(3)
(21)(265)(286)79
(471)(392)
Total$45
$(605)$(560)$273
$(996)$(723)
Other interest-earning assets(6)
$51
$(101)$(50)$13
$(213)$(200)
Total interest revenue$349
$(1,757)$(1,408)$834
$(2,789)$(1,955)
(1)The taxable equivalent adjustments related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2020 and 2019, are included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(5)Includes cash-basis loans.
(6)
Includes Brokerage receivables.



Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
 1Q21 vs. 4Q201Q21 vs. 1Q20
 Increase (decrease)
due to change in:		Increase (decrease)
due to change in:
In millions of dollarsAverage
volume		Average
rate		Net
change		Average
volume		Average
rate		Net
change
Deposits
In U.S. offices$(13)$(62)$(75)$212 $(1,041)$(829)
In offices outside the U.S.(3)
4 (38)(34)137 (870)(733)
Total$(9)$(100)$(109)$349 $(1,911)$(1,562)
Securities loaned and sold under agreements to repurchase
In U.S. offices$11 $(6)$5 $90 $(637)$(547)
In offices outside the U.S.(3)
(1)2 1 77 (362)(285)
Total$10 $(4)$6 $167 $(999)$(832)
Trading account liabilities(4)
In U.S. offices$9 $(31)$(22)$42 $(158)$(116)
In offices outside the U.S.(3)
16 (2)14 30 (39)(9)
Total$25 $(33)$(8)$72 $(197)$(125)
Short-term borrowings and other interest-bearing liabilities(5)
In U.S. offices$— $(6)$(6)$(46)$(280)$(326)
In offices outside the U.S.(3)
2 17 19 3 (30)(27)
Total$2 $11 $13 $(43)$(310)$(353)
Long-term debt
In U.S. offices$(71)$(40)$(111)$23 $(436)$(413)
In offices outside the U.S.(3)
— 13 13 1 5 6 
Total$(71)$(27)$(98)$24 $(431)$(407)
Total interest expense$(43)$(153)$(196)$569 $(3,848)$(3,279)
Net interest revenue$151 $(463)$(312)$(3)$(1,316)$(1,319)
(1)The taxable equivalent adjustments primarily related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2021 and 2020, are included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(5)Includes Brokerage payables.











71
 1st Qtr. 2020 vs. 4th Qtr. 20191st Qtr. 2020 vs. 1st Qtr. 2019
 
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits      
In U.S. offices$58
$(187)$(129)$227
$(356)$(129)
In offices outside the U.S.(3)
20
(230)(210)103
(387)(284)
Total$78
$(417)$(339)$330
$(743)$(413)
Securities loaned and sold under agreements to repurchase      
In U.S. offices$126
$(259)$(133)$154
$(543)$(389)
In offices outside the U.S.(3)
(45)(57)(102)(18)(97)(115)
Total$81
$(316)$(235)$136
$(640)$(504)
Trading account liabilities(4)
      
In U.S. offices$8
$(49)$(41)$(17)$(41)$(58)
In offices outside the U.S.(3)
11
(47)(36)(16)(14)(30)
Total$19
$(96)$(77)$(33)$(55)$(88)
Short-term borrowings(5)
      
In U.S. offices$42
$(136)$(94)$75
$(320)$(245)
In offices outside the U.S.(3)
3
(14)(11)(12)(11)(23)
Total$45
$(150)$(105)$63
$(331)$(268)
Long-term debt      
In U.S. offices$34
$(175)$(141)$52
$(419)$(367)
In offices outside the U.S.(3)
(1)(3)(4)(5)(25)(30)
Total$33
$(178)$(145)$47
$(444)$(397)
Total interest expense$256
$(1,157)$(901)$543
$(2,213)$(1,670)
Net interest revenue$92
$(599)$(507)$292
$(577)$(285)
(1)The taxable equivalent adjustments related to the tax-exempt bond portfolio, based on the U.S. federal statutory tax rate of 21% in 2020 and 2019, are included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(4)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.

(5)
Includes Brokerage payables.



















Market Risk of Trading Portfolios

Value at Risk (VAR)
As of March 31, 2020,2021, Citi believes its VAR model is conservatively calibrated to incorporate fat-tail scaling and the greater of short-term (approximately the most recent month) and long-term (three years) market volatility, and estimates that the quick-responsiveconservative features of the VAR calibration contribute an approximate 348%34% add-on to what would be a VAR estimated under the assumption of normalstable and stableperfectly, normally distributed markets. As of December 31, 2019,2020, the add-on was 26%32%.
Realized volatilities in February and March 2020 increased by multiples of 6.7, 2.4, 34 and 9 for the S&P 500, U.S. 5-year Treasury yield, USD BBB bond spread and CDX IG credit spread, respectively, as illustrated for the following key market benchmarks:
varwdeska01.jpg


While often broadly similar in magnitude to the financial crisis experience in 2008, the increase in volatility was more sudden, unfolding over a four-week period rather than a two-month period, as depicted in the volatility index chart below:
vixwdesk.jpg


As set forth in the table below, Citi’s average trading VAR increased to $102 million at March 31, 2021 from $93 million at December 31, 2020, mainly due to an increase in foreign exchange and commodity exposures in ICG’s Markets businesses, while average trading and credit portfolio VAR both increaseddeclined to $123 million from December 31, 2019 to March 31, 2020. The increases were mainly$126 million due to an increasea reduction in market volatility in March due to the COVID-19 pandemic. As Citi uses log normal credit spread risk rather than a normal modeling approach, the VAR increase from the credit spread risk contribution to the trading VAR was magnified by the increase in credit spread levels, as well as the increase in realized volatilities. The proportionally higher increase in trading and credit portfolio VAR was also reflective of this modeling impact on the relative contribution of credit valuation adjustment (CVA) exposures and mark-to-market credit default swap (CDS) hedges of loan exposures accounted for under accrual methods.

volatility.

Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
First QuarterFourth QuarterFirst Quarter
In millions of dollarsMarch 31, 20212021 AverageDec. 31, 20202020 AverageMarch 31, 20202020 Average
Interest rate$68 $66 $72 $64 $78 $38 
Credit spread67 72 70 73 157 55 
Covariance adjustment(1)
(43)(43)(51)(47)(55)(26)
Fully diversified interest rate and credit spread(2)
$92 $95 $91 $90 $180 $67 
Foreign exchange45 45 40 33 29 21 
Equity37 30 31 32 92 37 
Commodity30 29 17 21 45 16 
Covariance adjustment(1)
(105)(97)(85)(83)(155)(66)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$99 $102 $94 $93 $191 $75 
Specific risk-only component(3)
$(2)$5 $(1)$3 $(16)$7 
Total trading VAR—general market risk factors only (excluding credit portfolios)$101 $97 $95 $90 $207 $68 
Incremental impact of the credit portfolio(4)
$28 $21 $29 $33 $217 $44 
Total trading and credit portfolio VAR$127 $123 $123 $126 $408 $119 

(1)Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each risk type. The benefit reflects the fact that the risks within individual and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.
  First Quarter Fourth Quarter First Quarter
In millions of dollarsMarch 31, 20202020 AverageDecember 31, 20192019 AverageMarch 31, 20192019 Average
Interest rate$78
$38
$32
$33
$32
$37
Credit spread157
55
44
44
43
48
Covariance adjustment(1)
(55)(26)(27)(26)(21)(23)
Fully diversified interest rate and credit spread(2)
$180
$67
$49
$51
$54
$62
Foreign exchange29
21
22
21
15
26
Equity92
37
21
17
20
17
Commodity45
16
13
16
30
28
Covariance adjustment(1)
(155)(66)(52)(54)(66)(67)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$191
$75
$53
$51
$53
$66
Specific risk-only component(3)
$(16)$7
$3
$3
$2
$3
Total trading VAR—general market risk factors only (excluding credit portfolios)$207
$68
$50
$48
$51
$63
Incremental impact of the credit portfolio(4)
$217
$44
$30
$16
$14
$15
Total trading and credit portfolio VAR$408
$119
$83
$67
$67
$81
(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.

(1)Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each risk type. The benefit reflects the fact that the risks within individual and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.
(2)
The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG,with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
(3)(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.


(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���sCiti’s total trading VAR, inclusive of specific risk:
First QuarterFourth QuarterFirst Quarter First QuarterFourth QuarterFirst Quarter
2020201920212020
In millions of dollarsLowHighLowHighLowHighIn millions of dollarsLowHighLowHighLowHigh
Interest rate$28
$78
$28
$45
$30
$58
Interest rate$51 $84 $40 $89 $28 $78 
Credit spread36
162
36
54
41
55
Credit spread63 82 63 78 36 162 
Fully diversified interest rate and credit spread$44
$180
$43
$60
$51
$89
Fully diversified interest rate and credit spread$86 $106 $80 $106 $44 $180 
Foreign exchange14
32
13
29
15
34
Foreign exchange41 49 27 40 14 32 
Equity13
141
12
24
10
29
Equity21 37 26 41 13 141 
Commodity12
45
12
19
19
43
Commodity17 42 15 29 12 45 
Total trading$47
$191
$40
$59
$53
$87
Total trading$89 $120 $77 $112 $47 $191 
Total trading and credit portfolio58
414
56
83
62
103
Total trading and credit portfolio108 139 115 135 58 414 
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.
72

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, 2021
Total—all market risk factors, including
general and specific risk
Average—during quarter$104
High—during quarter123
Low—during quarter90
In millions of dollarsMar. 31, 2020
Total—all market risk factors, including
  general and specific risk
 
Average—during quarter$71
High—during quarter188
Low—during quarter44

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 exceed 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, 2020,2021, there were fourno back-testing exceptions observed for Citi’s Regulatory VAR for the prior 12 months. All of those exceptions occurred during March 2020 due to the significant market volatility in response to the COVID-19 pandemic.






















73



STRATEGIC RISK
For additional information onregarding strategic risk, at Citi,including Citi’s management of strategic risk, see “Strategic“Managing Global Risk—Strategic Risk” in Citi’s 20192020 Annual Report on Form 10-K.

LIBOR Transition Risk
Citi has continued its efforts to transition away from LIBOR, including implementing its LIBOR transition action plans and associated roadmaps under its key workstreams, as well as working with clients, regulators and various industry groups such as the Alternative Reference Rates Committee (ARRC). In addition, Citi has been monitoring regulatory, legislative and market developments regarding LIBOR transition, including the following:
•In March 2021, following the completion of its consultation, the ICE Benchmark Administration, the authorized LIBOR administrator, notified the U.K. Financial Conduct Authority of its intention to cease publication of GBP, EUR, CHF and JPY LIBOR settings for all tenors, as well as USD LIBOR settings for one-week and two-month tenors after December 31, 2021, while the publication of USD LIBOR settings for overnight and one-, three-, six- and 12-month tenors would cease after June 30, 2023.
•In April 2021, New York State legislation addressing USD LIBOR discontinuance became effective. The legislation addresses the transition away from USD LIBOR for legacy contracts that are governed by New York law and that lack fallback provisions or contain fallback provisions that are based in any way on USD LIBOR. Upon USD LIBOR’s permanent discontinuance, USD LIBOR in such contracts will be replaced with a rate based on SOFR plus a spread adjustment by operation of law.

For additional information about Citi’s actions to address a transition away from and discontinuance of LIBOR, see “Managing Global Risk—Strategic Risk—LIBOR Transition Risk” in Citi’s 2020 Annual Report on Form 10-K. For information about Citi’s LIBOR transition risks, see “Risk Factors—Strategic Risks” in Citi’s 2020 Annual Report on Form 10-K.


74

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, 2020. The2021. (Including the U.S, the total exposure as of March 31, 20202021 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, forwith respect to the U.K. exposure,, only 35% of corporate loans presented in the table below are to U.K. domiciled entities (and 38% of(38% for unfunded lending commitments are to U.K. domiciled entities)commitments), with the balance of the loans predominately outstanding to European domiciled counterparties. Approximately 81%82% of the total U.K. funded loans and 89%84% of the total U.K. unfunded lending commitments were investment grade as of March 31, 2020. 2021.
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
1Q21		Total
as of
4Q20		Total
as of
1Q20		Total as a % of Citi as of 1Q21
United Kingdom$45.4 $— $1.7 $54.9 $16.7 $(6.4)$4.7 $(1.7)$115.3 $115.2 $118.9 6.5 %
Mexico13.9 13.4 0.3 8.2 3.9 (0.9)19.1 4.3 62.2 64.5 56.9 3.5 
Hong Kong20.4 13.5 0.3 7.2 2.5 (6.5)8.7 1.7 47.8 49.0 49.3 2.7 
Ireland12.3 — 0.7 30.0 0.5 (0.1)— 0.7 44.1 43.9 40.5 2.5 
Singapore14.5 13.6 0.1 6.2 1.9 (3.5)7.0 1.7 41.5 45.8 44.6 2.4 
South Korea3.3 17.8 0.1 2.4 1.3 (0.8)10.6 0.3 35.0 35.8 33.5 2.0 
India6.9 4.1 1.0 6.3 2.2 (0.5)9.1 0.5 29.6 31.4 30.2 1.7 
Germany0.3 — 0.2 6.2 5.0 (3.9)9.9 8.1 25.8 24.4 21.5 1.5 
Brazil11.0 — — 2.8 3.4 (0.6)4.1 3.0 23.7 26.2 26.2 1.3 
Australia4.8 9.3 — 6.7 1.5 (0.7)1.4 0.1 23.1 21.7 22.6 1.3 
China8.5 3.5 0.6 3.7 1.1 (0.5)5.5 (1.3)21.1 21.8 21.5 1.2 
Japan2.0 — 0.1 3.2 4.8 (1.9)5.4 5.3 18.9 21.8 20.5 1.1 
Taiwan5.5 8.3 0.2 1.2 0.7 (0.1)0.2 1.0 17.0 17.3 16.6 1.0 
Canada2.0 0.5 0.1 7.6 2.4 (1.1)4.2 0.4 16.1 17.8 18.2 0.9 
Jersey7.1 — 0.1 7.2 — (0.4)— — 14.0 13.4 11.7 0.8 
United Arab Emirates7.0 1.3 — 3.7 0.3 (0.4)1.7 (0.1)13.5 12.4 14.2 0.8 
Poland3.6 1.8 — 2.7 0.2 (0.1)2.6 0.6 11.4 15.0 14.7 0.6 
Malaysia1.5 3.6 0.1 0.8 0.2 — 1.6 0.6 8.4 8.3 8.6 0.5 
Thailand0.9 2.8 — 2.2 — — 1.5 — 7.4 8.0 7.3 0.4 
Indonesia2.1 0.6 — 1.3 0.3 (0.1)1.7 0.2 6.1 6.0 5.3 0.3 
Luxembourg0.8 — — — 0.5 (1.0)5.0 0.2 5.5 5.1 6.1 0.3 
Cayman Islands— — — — 0.1 (0.8)5.1 0.7 5.1 2.1 3.1 0.3 
Russia2.0 0.8 — 0.9 0.1 (0.1)1.5 (0.1)5.1 5.2 5.1 0.3 
Czech Republic0.8 — — 0.7 2.2 — 0.7 0.1 4.5 4.3 3.3 0.3 
Philippines0.7 1.3 0.1 0.5 — — 1.7 (0.2)4.1 4.5 5.0 0.2 
Total as a % of Citi’s total exposure34.4 %
Total as a % of Citi’s non-U.S. total exposure91.2 %

(1)    ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of March 31, 2021, private bank loans in the table above totaled $33.5 billion, concentrated in Hong Kong ($10 billion), the U.K. ($8.5 billion) and Singapore ($7.3 billion).
(2)    Other funded includes other direct exposures such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.
(3)    Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
75

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
1Q20
Total
as of
4Q19
Total
as of
1Q19
Total as a % of Citi as of 1Q20
United Kingdom$46.0
$—
$3.6
$51.2
$19.6
$(5.4)$4.6
$(0.7)$118.9
$105.8
$122.3
6.9%
Mexico17.7
13.7
0.2
6.9
1.2
(0.9)13.8
4.3
56.9
65.0
63.4
3.3
Hong Kong20.7
12.2
0.9
5.9
1.1
(0.9)7.9
1.5
49.3
49.0
50.3
2.9
Singapore15.2
12.9
0.1
4.8
2.2
(0.5)8.3
1.6
44.6
43.3
41.0
2.6
Ireland13.5
—
0.6
25.3
0.5
—
—
0.6
40.5
39.9
33.5
2.4
South Korea3.3
15.7
0.1
2.0
0.9
(0.5)10.7
1.3
33.5
34.7
33.7
2.0
India6.6
4.4
0.8
5.9
2.5
(0.5)9.7
0.8
30.2
30.0
32.0
1.8
Brazil14.6
—
—
1.8
4.1
(0.8)3.5
3.0
26.2
28.3
26.8
1.5
Australia4.9
8.6
—
5.4
4.2
(0.4)1.4
(1.5)22.6
21.5
22.9
1.3
Germany0.8
—
0.1
4.6
7.6
(4.1)12.2
0.3
21.5
21.8
22.2
1.3
China7.8
3.2
0.5
2.7
2.3
(0.6)6.3
(0.7)21.5
18.7
17.4
1.3
Japan2.7
—
0.1
2.6
4.7
(1.8)5.8
6.4
20.5
17.0
14.4
1.2
Canada3.4
0.5
0.5
5.8
2.9
(0.6)4.8
0.9
18.2
15.2
15.3
1.1
Taiwan5.9
7.7
0.1
1.3
0.3
(0.1)0.7
0.7
16.6
17.9
17.6
1.0
Poland3.8
1.8
—
2.2
0.2
—
5.5
1.2
14.7
13.4
15.3
0.9
United Arab Emirates8.4
1.3
0.1
3.6
0.7
(0.1)0.1
0.1
14.2
12.8
12.4
0.8
Jersey7.6
—
0.5
4.0
—
(0.4)—
—
11.7
12.8
9.9
0.7
Malaysia1.8
3.8
0.2
0.9
0.3
(0.1)1.3
0.4
8.6
8.4
10.0
0.5
Thailand0.9
2.5
—
1.7
0.3
—
1.7
0.2
7.3
7.7
6.8
0.4
Luxembourg0.7
—
—
—
0.5
(0.3)4.7
0.5
6.1
4.6
4.0
0.4
Indonesia2.2
0.7
—
1.3
0.2
(0.1)0.8
0.2
5.3
5.9
6.1
0.3
Russia1.9
0.8
—
1.3
0.4
(0.2)0.9
—
5.1
5.0
4.7
0.3
Philippines1.0
1.5
—
0.5
—
—
2.0
—
5.0
4.9
5.9
0.3
South Africa1.5
—
—
0.5
0.6
(0.2)1.6
—
4.0
3.5
3.9
0.2
Czech Republic0.8
—
—
0.5
1.8
—
0.2
—
3.3
4.3
3.3
0.2
Total as a % of Citi’s total exposure      35.6%
Total as a % of Citi’s non-U.S. total exposure      90.4%
(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.

(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of March 31, 2020, private bank loans in the table above totaled $28.6 billion, concentrated in Hong Kong ($8.8 billion), Singapore ($6.3 billion) and the U.K. ($6.7 billion).         

(5)    Investment securities include debt securities available-for-sale, recorded at fair market value, and debt 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.
(2)
Other funded includes other direct exposures such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.                                        
(3)Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.            
(4)Net mark-to-market counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.
(5)Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.    
(6)Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.
    

Argentina
Citi operates in Argentina through its ICG businesses. As of March 31, 2020,2021, Citi’s net investment in its Argentine operations was approximately $850 million.$1.1 billion. Citi uses the U.S. dollar as the functional currency for its operations in Argentina because the Argentine economy is considered highly inflationary under U.S. GAAP. For additional information about Citi’s exposures in Argentina, see “Managing Global
Risk—Country Risk—Argentina” in Citi’s 2019 Annual
Report on Form 10-K.
In April 2020, the government of Argentina announced a postponement of debt payments related to foreign currency debt issued under Argentine law. In addition, asAs previously disclosed, the government of Argentina has continued to maintain certain capital and currency controls that restrict Citi’s ability to access U.S. dollars in Argentina and remit earnings from its Argentine operations. Citi’s net investment in its Argentine operations is likely to increase as Citi generates net income in its Argentine franchise and its earnings are unable to be remitted.
Citi economically hedges the foreign currency risk in its net Argentine peso-denominated assets to the extent possible and prudent using non-deliverable forward (NDF) derivative instruments that are primarily executed outside of Argentina. As of March 31, 2020,2021, the international NDF market had very limited liquidity, resulting in CitiCiti’s being unable to economically hedge a significant portionnearly all of its Argentine peso exposure. ToAs a result, and to the extent that Citi is unable todoes not execute additional NDF contracts for this unhedged exposure in the future, Citi would record devaluations on Citi’sits net Argentine peso-denominatedpeso‐denominated assets would be recorded in earnings, without any benefit from a change in the fair value of derivative positions used to economically hedge the exposure.
In addition, Citi continually evaluates its economic exposure to its Argentine counterparties and reserves for changes in credit risk and sovereign risk associated with its Argentine assets. Citi believes it has established appropriate loan loss reservesallowances for credit losses 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 March 31, 2020.2021. However, given the recent events in Argentina, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’s cost of credit, based on the perceived country risk associated with its Argentine exposures. For additional information on emerging markets risks, see “Risk Factors—Strategic Risks” in Citi’s 20192020 Annual Report on Form 10-K.



76



SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES

This section contains a summary of Citi’s most significant accounting policies. Note 1 to the Consolidated Financial Statements in Citigroup’s 20192020 Annual Report on Form 10-K contains a summary of all of Citigroup’s significant accounting policies. These policies, as well as estimates made by management, are integral to the presentation of Citi’s results of operations and financial condition. While all of these policies require a certain level of management judgment and estimates, this section highlights and discusses the significant accounting policies that require management to make highly difficult, complex or subjective judgments and estimates at times regarding matters that are inherently uncertain and susceptible to change (see also “Risk Factors—Operational Risks” in Citigroup’s 20192020 Annual Report on Form 10-K). Management has discussed each of these significant accounting policies, the related estimates and its judgments with the Audit Committee of the Citigroup Board of Directors.

Valuations of Financial Instruments
Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. A substantial majorityportion of these assets and liabilities is reflected at fair value on Citi’s Consolidated Balance Sheet as Trading account assets, Available-for-sale securities and Trading account liabilities.
Citi purchases securities under agreements to resell (reverse repurchaserepos or resale agreements) and sells securities under agreements to repurchase (repurchase agreements)(repos), a majoritysubstantial portion of which areis carried at fair value. In addition, certain loans, short-term borrowings, long-term debt and deposits, as well as certain securities borrowed and loaned positions that are collateralized with cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on Citi’s Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing.
When available, Citi generally uses quoted market prices to determine fair value and classifies such items within Level 1 of the fair value hierarchy established under ASC 820-10, Fair Value Measurement. If quoted market prices are not available, fair value is based upon internally developed valuation models that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates and option volatilities. Such models are often based on a discounted cash flow analysis. In addition, items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified under the fair value hierarchy as Level 3 even though there may be some significant inputs that are readily observable.
Citi is required to exercise subjective judgments relating to the applicability and functionality of internal valuation models, the significance of inputs or value drivers to the valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. These
judgments have the potential to impact the Company’s
financial performance for instruments where the changes in fair value are recognized in either the Consolidated Statement of Income or in AOCI.
Losses on available-for-sale securities whose fair values are less than the amortized cost, where Citi intends to sell the security or could more-likely-than-not be required to sell the security, are recognized in earnings. Where Citi does not intend to sell the security nor could more-likely-than-not be required to sell the security, the portion of the loss related to credit is recognized as an allowance for credit losses with a corresponding provision for credit losses and the remainder of the loss is recognized in other comprehensive income. Such losses are capped at the difference between the fair value and amortized cost of the security.
For equity securities carried at cost or under the measurement alternative, decreases in fair value below the carrying value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). Adjudicating the temporary nature of fair value impairments is also inherently judgmental.
The fair value of financial instruments incorporates the effects of Citi’s own credit risk and the market view of counterparty credit risk, the quantification of which is also complex and judgmental. For additional information on Citi’s fair value analysis, see Notes 6, 20 and 21 to the Consolidated Financial Statements in this Form 10-Q and Note 1 to the Consolidated Financial Statements in Citi’s 20192020 Annual Report on Form 10-K.


77

Citi’s Allowance for Credit Losses (ACL)
The table below shows Citi’s ACL during the first quarter of 2021. For information on the drivers of Citi’s ACL release in the first quarter, see below. For additional information on Citi’s accounting policy on accounting for credit losses under CECL, see Note 1 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
Management



 ACL
In millions of dollarsBalance Dec. 31, 20201Q21 build (release)1Q21 FX/OtherBalance Mar. 31, 2021
ACLL/EOP loans Mar. 31, 2021(1)
Cards(1)
$16,805 $(1,523)$(42)$15,240 10.72 %
All other GCB
2,419 (283)(42)2,094 
Global Consumer Banking$19,224 $(1,806)$(84)$17,334 6.47 %
Institutional Clients Group5,402 (1,312)(6)4,084 1.06 
Corporate/Other330 (109)(1)220 
Allowance for credit losses on loans (ACLL)$24,956 $(3,227)$(91)$21,638 3.29 %
Allowance for credit losses on unfunded lending commitments (ACLUC)2,655 (626)(17)2,012 
Other146 1 (1)146 
Total ACL$27,757 $(3,852)$(109)$23,796 

(1)    As of March 31, 2021, in North America GCB, Citi-branded cards ACLL/EOP loans was 9.8% and Citi retail services ACLL/EOP loans was 13.4%.


Citi provides reserves for an estimate of current expected credit losses in the funded loan portfolio and for the unfunded lending commitments, standby letters of credit and financial guarantees (excluding those that are performance guarantees), on the Consolidated Balance Sheet in Allowance for credit losses on loans (ACLL) and Other liabilities, respectively. In addition, Citi provides allowances for an estimate of current expected credit losses for other financial assets measured at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables carried at amortized cost.cost (these allowances, together with the ACLL, are referred to as the ACL).
The total ACL is composed of quantitative and qualitative components. For the quantitative component, Citi uses a single forward-looking base macroeconomic forecast across the Companythat is complemented by a qualitative management adjustment component. ThisAs further discussed below, this qualitative component reflects (i) economic uncertainty related to a separatean alternative downside scenario, (ii) loss adjustments for concentration and collateral, and (iii) specific adjustments based on the associated portfolio for estimating the ACL.ACL, including adjustments that reflect the current uncertainty around the estimated impact of the pandemic on credit loss estimates.

Quantitative Component
Citi estimates expected credit losses for its quantitative component based uponon (i) its comprehensive internal history and system of credit risk ratings, (ii) its comprehensive internal historyrating and ratingscore agency information regarding default rates and and loss data, including internal data on the severity of losses in the event of default,
and (iii) a reasonable and supportable forecast of future macroeconomic conditions.


ExpectedFor its consumer and corporate portfolios, Citi’s expected credit loss is determined primarily by utilizing models for the borrowers’ probability of default (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models use both internal and external information andused for estimating expected credit losses are sensitive to changes in the macroeconomic variables that inform the forecasts. Adjustments may be made to this data, including (i) statistically calculated estimates to cover
For corporate portfolios, the historical fluctuation of the default rates over the credit cycle, the historical variability ofloss likelihood and loss severity among defaulted loansmodels cover a wide range of geographic, industry, product and obligor concentrations inbusiness segments that contribute to the global portfolio, and (ii) adjustments made for specifically known items, such as other current economic factors and credit trends.portfolios.
In addition, Citi’s delinquency-managed portfolios containing smaller-balance homogeneous loans also primarily use PD, x LGD xand EAD models to determine the expected credit losses and the reserve balances based uponon leading credit indicators, including loan delinquencies and changes in portfolio size, as well as other current economic factors and credit trends, including housing prices, unemployment and gross domestic product (GDP). This methodology is applied separately for each individual product within each geographic region in which these portfolios exist.exist, including the U.S., Mexico and Asia.
This evaluation process is subject to numerous estimates and judgments. TheDefault frequency, of default, risk ratings, loss recovery rates, size and diversity of individual large credits and ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account during this evaluation.account. Changes in these estimates could have a direct impact on Citi’s credit costs and the allowance in any period.


78

Qualitative Management Adjustment Component
The qualitative management adjustment component considers, among other things:things, the uncertainty of forward-looking economic scenarios based on the probabilitylikelihood and severity of a recession and the degrees of severity that Citi would expect in a recession, which considers possible severities of 30%, 50%, 75% and 100% relative to the 2008 recession;downside scenarios, certain portfolio characteristics and concentrations;concentrations, collateral coverage;coverage, model limitations;limitations, idiosyncratic events;events and other relevant criteria under banking supervisory guidance for loan loss reserves.the ACL. The quantitative component and qualitative management adjustment foralso reflects the first quarter of 2020 reflectcurrent uncertainty around the estimated impact of the COVID-19 pandemic on the economic forecasts and their impact on credit loss estimates.

1Q21 Combined Quantitative and Qualitative Components
In the first quarter of 2021, Citi (i) released $1.9 billion of the ACL for its consumer portfolios and (ii) released $1.9 billion of the ACL for its corporate portfolios. Consumer and corporate ACLs were impacted by improvements in both macroeconomic conditions for the quantitative base scenario and the qualitative management adjustment associated with an alternative downside scenario, which incorporated a lower severity and likelihood. This release was partially offset by an increase in other qualitative adjustments related to ongoing uncertainty due to the pandemic, with focus on the collectability of consumer balances associated with borrowers who may be participating in non-Citi forbearance or rent moratorium programs.
The outlook around manyextent of these metrics, such as GDPthe pandemic’s ultimate impact on Citi’s ACL will depend on, among other things, (i) how consumers respond to the conclusion of government stimulus and unemployment, continues to evolve. Althoughassistance programs; (ii) the impact on unemployment; (iii) the timing and extent of the COVID-19 pandemic only began to be felt in North America during March 2020,economic recovery; (iv) the Company has leveraged its experience in Asia to inform its credit loss reserve.severity and duration of any resurgence of COVID-19; (v) the rate of distribution and administration of vaccines; and (vi) the extent of any market volatility. Citi believes its analysis of the allowance for credit lossesACL reflects the forward view of the economic analysis as of March 31, 2021, based on its latest available base macroeconomic forecast.


Macroeconomic Variables
Citi uses a multitude of variables in its base macroeconomic forecast as part of its calculation of both the quantitative and qualitative (including the downside scenario) components of the ACL, including both domestic and international variables for its global portfolios and exposures. Citi’s forecasts of the U.S. unemployment rate and U.S. Real GDP rate represent the key macroeconomic variables that most significantly affect its estimate of its consumer and corporate ACLs.
The tables below show these macroeconomic variables used in determining Citi’s 1Q20, 2Q20, 3Q20, 4Q20 and 1Q21 consumer and corporate ACLs, comparing Citi’s forecasted 2Q21, 4Q21 and 2Q22 quarterly average U.S. unemployment rate and Citi’s forecasted 2021, 2022 and 2023 year-over-year U.S. Real GDP growth rate:
Quarterly average
U.S. unemployment2Q214Q212Q22
13-quarter average(1)
Citi forecast at 1Q206.7 %6.5 %6.1 %6.1 %
Citi forecast at 2Q207.2 5.9 5.7 7.2 
Citi forecast at 3Q207.6 6.4 6.1 6.6 
Citi forecast at 4Q207.0 6.3 6.1 6.1 
Citi forecast at 1Q215.6 4.9 4.1 4.3 

(1)    Represents the average unemployment rate for the rolling, forward-looking 13 quarters in the forecast horizon.

Year-over-year growth rate(1)
Full year
U.S. Real GDP202120222023
Citi forecast at 1Q201.5 %1.9 %1.9 %
Citi forecast at 2Q205.5 3.3 2.1 
Citi forecast at 3Q203.3 2.8 2.6 
Citi forecast at 4Q203.7 2.7 2.6 
Citi forecast at 1Q216.2 4.1 1.9 

(1)    The year-over-year growth rate is the percentage change in the Real (inflation adjusted) GDP level.

Under the base macroeconomic forecast as of 1Q21, U.S. GDP growth is expected to remain strong in 2021 and 2022 and the unemployment rate is expected to continue to improve as the U.S. moves past the peak of the pandemic-related health and economic crisis.

Consumer
As discussed above, Citi’s total consumer ACL release (including Corporate/Other) of $1.9 billion in the first quarter of 2021 reduced the ACL balance to $17.6 billion, or 6.41% of total consumer loans at March 31, 2021. The release was primarily driven by the improved macroeconomic forecast for the first quarter, as well as a decrease in loan volumes. Citi’s consumer ACL is largely driven by the cards businesses.
For cards, including Citi’s international businesses, the level of reserves relative to EOP loans decreased to 10.72% at March 31, 2021, compared to 10.98% at December 31, 2020, primarily due to the improved base macroeconomic forecast
79

for the first quarter of 2021. For the remaining consumer exposures, the level of reserves relative to EOP loans decreased slightly to 1.8% at March 31, 2021, compared to 2.0% at December 31, 2020.

Corporate
Citi’s corporate ACLL release of $1.3 billion in the first quarter of 2021 reduced the ACLL reserve balance to $4.1 billion, or 1.06% of total funded loans, and was primarily driven by the improved macroeconomic forecast scenario for the first quarter, as well as modest improvements in portfolio credit quality.
The ACLUC release of $0.6 billion in the first quarter of 2021 decreased the total corporate ACLUC reserve balance included in Other liabilities to $2.0 billion at March 31, 2021.

ACLL and Non-accrual Ratios
At March 31, 2020,2021, the ratio of the allowance for credit losses to total funded loans was 2.91% (6.10%3.29% (6.41% for consumer loans
and 0.81%1.06% for corporate loans), compared to 1.82%3.73% at December 31, 2019 (3.20%2020 (6.77% for consumer loans and 0.75%1.42% for corporate loans).
Citi’s total non-accrual loans were $4,183 million$5.1 billion at March 31, 2020, up $1792021, down $578 million from December 31, 2019.2020. Consumer non-accrual loans declineddecreased $157 million to $1.7$2.0 billion at March 31, 20202021 from $1.8$2.1 billion at December 31, 2019,2020, while corporate non-accrual loans grewdecreased $421 million to $2.5$3.1 billion at March 31, 20202021 from $2.2$3.5 billion at December 31, 2019.2020. In addition, the ratio of non-accrual loans to total corporate loans was 0.57%0.79%, and 0.72% of non-accrual loans to total consumer loans, was 0.59% at March 31, 2020.2021.

Macroeconomic FactorsRegulatory Capital Impact
Citi useshas elected to phase in the CECL impact for regulatory capital purposes. The transition provisions were recently modified to defer the phase-in. After two years with no impact on capital, the CECL transition impact will phase in over 4,000 variables in its macroeconomic forecast, including both domestic and international variables spanning Citi’s global portfolios and exposures. The primary macroeconomic variables that significantly affect Citi’s estimatea three-year transition period with 25% of the consumer allowance for credit lossesimpact (net of deferred taxes) recognized on loans are:

U.S. cards: unemployment rate-state level, Housing Price Index (HPI) -state level;
U.S. consumer mortgages: real GDP, unemployment rate-state levelthe first day of each subsequent year, commencing January 1, 2022, and HPI-state and county levels; and
U.S. installment loans: unemployment rate-state level, GDP-state level and personal income-state level.

International markets use a similar set of indicators, but they may vary by geography.
The primary macroeconomic variables that significantly affect the estimationwill be fully implemented on January 1, 2025. In addition, 25% of the corporate allowance for credit losses are:

For loans: GDP, unemployment rates, Morgan Stanley Capital Indices, Dow Jones Industrial Average (DJIA), S&P 500 Index Value, Volatility Index (VIX)build (pretax) made in 2020 and West Texas Intermediate (WTI) oil prices;2021 will be deferred and
For HTM securities: GDP and total country reserves.

In amortized over the first quarter of 2020, the estimated impact of the COVID-19 pandemic on key consumer macroeconomic variables was as follows:

In the U.S. and Mexico, the GDP forecasts declined significantly and remain negative through the end of 2020, while the unemployment rate projections for 2020 have also increased significantly.
In Asia, the total regional unemployment rate forecast for 2020 increased, particularly in Hong Kong and China.

The economic shocks caused by the pandemic were not felt until late in the first quarter of 2020. Moreover, there is significant uncertainty with how the pandemic will evolve, but Citi expects a continued significant impact on its reserves for credit losses during the remainder of 2020. The extent of the pandemic’s impact will depend upon: (i) how consumers respond to the various consumer relief programs established by the federal government, as well as Citi’s own customer relief efforts, and how the federal corporate stimulus programs are implemented by small and medium-size businesses; (ii) the impact on unemployment, which is unclear; (iii) the timing and extent of the economic recovery; (iv) whether there is a


resurgence of COVID-19 as businesses and schools reopen and the extent of that resurgence; and (v) the extent of market volatility.same timeframe.
For a further description of the allowance for credit lossesACL and related accounts, see Notes 1 and 14 to the Consolidated Financial Statements.
For a discussion of the recently adoptedadoption of the CECL accounting pronouncement, see Note 1 to the Consolidated Financial Statements.


Goodwill
Citi tests goodwill for impairment annually onas of July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that wouldcould more-likely-than-not reduce the fair value of a reporting unit below its carrying amount, such as a significant adverse change in the business climate, a decision to sell or dispose of all or a significant portion of a reporting unit or a significant decline in Citi’s stock price.
Citi qualitatively assessedperformed the environmentannual test as of July 1, 2020. The fair values of the Company’s reporting units as a percentage of their carrying values ranged from approximately 115% to 136%, resulting in no impairment. While the inherent risk related to uncertainty is embedded in the first quarter of 2020,key assumptions used in the valuations, the current environment continues to evolve due to the COVID-19 pandemic. Deterioration in business performance or macroeconomic and market conditions, including potential adverse effects to economic forecasts due to the estimated impactseverity and duration of the COVID-19 pandemic, on macroeconomic variables and economic forecasts and how those might impact the fair value of reporting units. While many key metrics such as GDP and unemployment continue to evolve, the economic shocks caused by the pandemic were not felt until late in the first quarter of 2020. Moreover, there is significant uncertainty with how the COVID-19 pandemic will evolve, but Citi expects that it will continue to have a significant impact during the remainder of 2020. The extent of the pandemic’s impact will depend upon: (1) how consumers respond to the various consumer relief programs established by the federal government, as well as Citi’s own customer relief efforts, and how the federal corporate stimulus programs are implemented by small and medium size businesses; (2) the impact on unemployment, which is unclear; (3) the timing and extent of the economic recovery; (4) whether there is a resurgence of COVID-19 as businesses and schools reopen and the extent of that resurgence; and (5) the extent of market volatility.
After consideration of the items above, the first quarter 2020 results, as well as the resultsresponses of governments, customers and clients, could negatively influence the 2019assumptions used in the valuations, in particular, the discount and growth rates used in the net income projections. If the future were to differ from management’s best estimate of key economic assumptions and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment test that resultedcharges in an excess of reporting unit fair values over book values between approximately 33% and 134%, Citi determined it was not more-likely-than-not that the fair value of any report unit was below book value as of March 31, 2020.future. See Note 15 to the Consolidated Financial Statements for a further discussion on goodwill.

Income TaxesLitigation Accruals
See the discussion in Note 23 to the Consolidated Financial Statements for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.
80

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 20192020 Annual Report on Form 10-K.
At March 31, 2020,2021, Citigroup had recorded net DTAs of approximately $22.1$24.2 billion, a decrease of $1.0$0.6 billion from December 31, 2019. The decrease for the quarter was
2020, primarily driven by gainsthe $3.9 billion ACL release, partially offset by losses in Other comprehensive income, partially offset by DTAs recorded through retained earnings related to the adoption of the new CECL accounting standard..
The table below summarizes Citi’s net DTAs balance:
Jurisdiction/ComponentDTAs balance
In billions of dollarsMarch 31,
2021		December 31, 2020
Total U.S.$21.4 $22.2 
Total foreign2.8 2.6 
Total$24.2 $24.8 
Jurisdiction/Component 
In billions of dollars
March 31,
2020
December 31, 2019
Total U.S.$20.4 $21.0 
Total foreign1.7 2.1 
Total$22.1 $23.1 

Of Citi’s total net DTAs of $22.1$24.2 billion as of March 31, 2020, $9.02021, $9.8 billion (primarily relating to net operating losses, foreign tax credit (FTC) and general business credit carry-forwards, which Citi reduced by $0.1 billionwere largely unchanged in the current quarter) was deducted in calculating Citi’s regulatory capital. Net DTAs arising from temporary differences are deducted from regulatory capital if they are in excess of the 10%/15% limitations (see “Capital Resources” above). For the quarter ended March 31, 2020,2021, Citi did not have any such DTAs. Accordingly, the remaining $13.1$14.4 billion of net DTAs as of March 31, 20202021 was not deducted in calculating regulatory capital pursuant to Basel III standards and was appropriately risk weighted under those rules.




DTA Realizability
Citi believes that the realization of the recognized net DTAs of $22.1$24.2 billion at March 31, 20202021 is more-likely-than-not based onupon 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).
In the second quarter of 2020,2021, as part of the normal planning process, Citi will update its forecasts of operating income and will also update its foreign source income forecast. These updates particularly in light of the COVID-19 pandemic, could affect Citi’s valuation allowance against FTC carry-forwards.


Effective Tax Rate
Citi’s reported effective tax rate for the first quarter of 20202021 was approximately 19%, which included a discrete benefit for vested equity compensation.23%. This compares to an effective tax rate of approximately 21%19% in the first quarter of 2019.2020. The higher rate in the quarter reflected the increase in pretax earnings.

Litigation Accruals
See the discussion in Note 23 to the Consolidated Financial Statements for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.















81

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, 2020.2021. 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 had no reportable activities pursuant to Section 219 for the first quarter of 2020.2021.










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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 20192020 Annual Report on Form 10-K and other SEC filings; (ii) the factors listed and described under “Risk Factors” above and in Citi’s 20192020 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:

•    rapidly evolving macroeconomic and other challenges and uncertainties related to the COVID-19 pandemic in the U.S. and globally, including the duration and further spread of the coronavirus; the potential for new variants of the virus; timely development, production and distribution of effective vaccines; the public response; government actions; any delay or weakness in the economic recovery or any future economic downturn; and the potential impact on Citi’s businesses revenues, expenses, credit costs, regulatory capital and liquidity, as well as overall results of operations and financial condition;
•    the potential impact on Citi’s ability to return capital to common shareholders consistent with its capital planning efforts and targets, due to, among other things, regulatory approval,capital requirements, including the Stress Capital Buffer, 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, including implementation of the firm-specific “stress capital buffer” (SCB), and any resulting year-to-year variability in the SCB and impact on Citi’s estimated management buffer;
the potential impact to Citi’s regulatory capital ratios under the Basel III Advanced Approaches framework for determining risk-weighted assets, given that credit risk-weighted assets calculated under the Advanced Approaches are more risk sensitive than those calculated under the Standardized Approach;
the potential impact to Citi’s businesses, and results of operations and financial condition, as a resultforecasts of macroeconomic conditions, regulatory evaluations of Citi’s ability to maintain an effective capital management framework and geopoliticalCiti’s effectiveness in managing and other challenges and uncertainties and volatilities, including, among others, protracted or widespread trade tensions, including changes in U.S. trade policies and resulting retaliatory
measures, geopolitical tensions and conflicts, natural disasters, pandemics and election outcomes, governmental fiscal and monetary actions, such as changes in interest rates,calculating its risk-weighted assets, and the terms or conditions relatedSupplementary Leverage Ratio and GSIB surcharge, whether due to the U.K.’s withdrawal fromimpact of the European Union;pandemic, the results of the CCAR process and regulatory stress tests or otherwise;
•    the ongoing regulatory and legislative uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, such as potential fiscal, monetary, regulatory, corporate and other income tax and other changes fromdue to the new U.S. federal governmentpresidential administration, regulatory leadership and others,Congress or in response to the
pandemic; potential changes to various aspects of the regulatory capital frameworkframework; the future legislative and the terms of and other uncertaintiesregulatory framework resulting from the U.K.’s exit from the European Union, including with respect to financial services; and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, business planning and compliance risks and costs;
•    Citi’s ability to achieve its projected or expected results from its continued investments and efficiency initiatives, such as deepening client relationships, revenue growth, expense management and expense savings,transformation of its infrastructure, risk management and controls, as part of Citi’s overall strategy to meet operational and financial objectives, including as a result of factors that Citi cannot control;
•    Citi’s ability to achieve its objectives from the refresh of its strategy, including those related to its Global Wealth business and the plans to pursue exits of consumer businesses in 13 markets in Asia and EMEA, which may not be as productive or effective as Citi expects and could result in losses, charges or other negative financial or strategic impacts;
•    the transition away from or discontinuance of LIBOR or any other interest rate benchmark and the adverse consequences it could have for market participants, including Citi;
•    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;
•    the potential impact to Citi if its interpretation or application of the complex income and non-income based tax laws to which it is subject, such as the Tax Cuts and Jobs Act (Tax Reform), withholding, stamp, service and other non-income taxes, differs from those of the relevant governmental taxing authorities;authorities, including as a result of litigation or examinations regarding non-income based tax matters;
•    the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, limitations of hedges on foreign investments, foreign currency volatility, sovereign volatility, election outcomes, regulatory changes and political events,events; foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyperinflation), fraud, nationalization or loss of licenses,licenses; business restrictions, sanctions or asset freezes,freezes; potential criminal charges,charges; closure of branches or subsidiaries andsubsidiaries; confiscation of assets, as well as the potential impact to Citi if the economic situation in a non-U.S. jurisdiction where Citi operates were to deteriorate to below a certain level that U.S. regulators imposeimposing mandatory loan loss or other reserve requirements on Citi; and higher compliance and regulatory risks and costs;
•    the potential impact from a deterioration in or failure to maintain Citi’s co-branding or private label credit card relationships, due to, among other things, the general economic environment, declining sales and revenues, partner store closures, government-imposed restrictions, reduced air and business travel or other operational difficulties of the retailer or merchant, termination of a
83

particular relationship,relationship; or other factors,


such as bankruptcies, liquidations, restructurings, consolidations or other similar events;events, whether due to the impact of the pandemic or otherwise;
•    Citi’s ability in its resolution plan submissions to address any shortcomings or deficiencies identified or guidance provided by the Federal Reserve Board and FDIC;
•    the potential impact on Citi’s 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 potential impact to Citi from climate change, including both physical and transition risks as well as higher regulatory, compliance and reputational risks and costs;
•    the potential impact to Citi’s businesses, and results of operations and financial condition, as well as its macroeconomic outlook, due to macroeconomic, geopolitical and other challenges and uncertainties and volatilities, including, among others, governmental fiscal and monetary actions or expected actions, such as changes in interest rate policies and any program implemented to change the size of central bank balance sheets; geopolitical tensions and conflicts; protracted or widespread trade tensions; natural disasters; additional pandemics; and election outcomes;
•    the potential impact to Citi from a failure in or disruption of its operational processes or systems, including as a result of, among other things, human error, such as processing errors, fraud or malice, accidental system or technological failure, electrical or telecommunication outages or failure of or cyber incidents involving computer servers or infrastructure or other similar losses or 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 whomwhich it does business, that could result in, among other things, theft, loss, misuse or disclosure of confidential client, customer or corporate information or assets and a disruption of computer, software or network systems,systems; and the potential impact from such risks, including reputational damage, regulatory penalties, loss of revenues, additional costs (including repair, remediation and other costs), exposure to litigation and other financial losses;
•    the potential impact of changes to, or the application of incorrect, assumptions, judgments or estimates in Citi’s financial statements, including estimates of Citi’s ACL, which depends on its CECL models and assumptions and forecasted macroeconomic conditions and management adjustments; reserves related to litigation, regulatory and tax matters exposures; valuation of DTAs; and fair value
of certain assets and liabilities, such as goodwill or any other asset for impairment;
•    the financial impact from reclassification of any foreign currency translation adjustment (CTA) component of AOCI, including related hedges and taxes, into Citi’s earnings, due to the sale or substantial liquidation of any foreign entity, such as those related to its legacy businesses, whether due to Citi’s legacy businesses;evaluation or refresh of its strategy or otherwise;
•    the impact of changes to financial accounting and reporting standards or interpretations, on how Citi records and reports its financial condition and results of operations, including the future impact from the CECL methodology, including due to changes in estimates of expected credit losses resulting from Citi’s CECL models and assumptions, existing and forecasted macroeconomic conditions and the credit quality, composition and other characteristics of Citi’s loan and other applicable portfolios;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 approvalaction is withdrawntaken by Citi’s U.S. banking regulators;
•    the potential impact of credit risk and concentrations of risk on Citi’s results of operations, whether due to a default of or deterioration involving consumer, corporate or public sector borrowers or other counterparties in the U.S. or in various countries and jurisdictions globally, including from indemnification obligations in connection with various transactions, such as hedging or reinsurance arrangements related to those obligations;obligations, whether due to the pandemic or otherwise;
•    the potential impact on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, the competitive environment for deposits, marketgeneral disruptions andin the financial markets, governmental fiscal and monetary policies, as well as regulatory changes or negative investor perceptions of Citi’s creditworthiness, unexpected increases in cash or collateral requirements and the inability to monetize available liquidity resources;resources, whether due to the pandemic or otherwise;
•    the impact of a ratings downgrade of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as operations of certain of its businesses;
•    the potential impact to Citi of ongoing interpretation and implementation of regulatory and legislative requirements and changes in the U.S. and globally, as well as heightened regulatory scrutiny and expectations for large financial institutions and their employees and agents, with respect to, among other things, governance, infrastructure, data and risk management practices and controls, including the impact on Citi’s compliance, regulatory and other risks and costs, such as increased regulatory oversight and restrictions, enforcement proceedings, penalties and fines; and
•    the potential outcomes of the extensive legal and regulatory proceedings, as well as regulatory examinations, investigations, consent orders and related compliance efforts and other inquiries, to which Citi is or may be subject at any given time, such as the previously disclosed October 2020 FRB and OCC consent orders, particularly given the increased focus by regulators on conduct risk and controls, such as risk
84

management, compliance, data quality management and governance and internal controls, and policies and procedures,procedures; as well as remediatingthe transformative efforts to remediate deficiencies on a timely and sufficient basis and increased expenses for such remediation efforts, together with the heightened scrutiny and expectations generally from regulators, and the severity of the remedies sought by regulators, such as civil money penalties, supervisory or enforcement proceedings,orders, business restrictions, limitations on dividends and changes to directors and/or officers, 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 Months Ended March 31, 20202021
and 20192020
88
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three Months Ended March 31, 20202021 and 20192020
89
Consolidated Balance Sheet—March 31, 20202021 (Unaudited) and December 31, 20192020
90
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three Months Ended March 31, 20202021 and 20192020
92
Consolidated Statement of Cash Flows (Unaudited)—
For the Three Months Ended March 31, 20202021 and 20192020
94

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
Note 1—Basis of Presentation, Updated Accounting Policies
                and Accounting Changes
96
Note 2—Discontinued Operations and Significant Disposals
10299
Note 3—Business Segments
103100
Note 4—Interest Revenue and Expense
104101
Note 5—Commissions and Fees; Administration and Other

                 Fiduciary Fees
105102
Note 6—Principal Transactions
107104
Note 7—Incentive Plans
108105
Note 8—Retirement Benefits
108105
Note 9—Earnings per Share
112109
Note 10—Securities Borrowed, Loaned and
Subject to Repurchase Agreements
113110
Note 11—Brokerage Receivables and Brokerage Payables
116113
Note 12—Investments
117114


Note 13—Loans
127124
Note 14—Allowance for Credit Losses
139138
Note 15—Goodwill and Intangible Assets
142
Note 16—Debt
144
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
145
Note 18—Securitizations and Variable Interest Entities
148
Note 19—Derivatives
157
Note 20—Fair Value Measurement
168
Note 21—Fair Value Elections
183
Note 22—Guarantees, Leases and Commitments
187
Note 23—Contingencies
192
Note 24—Condensed Consolidating Financial Statements
193195



87

CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED)Citigroup Inc. and Subsidiaries
Three Months Ended March 31, Three Months Ended March 31,
In millions of dollars, except per share amounts20202019In millions of dollars, except per share amounts20212020
Revenues Revenues
Interest revenue$17,139
$19,076
Interest revenue$12,534 $17,139 
Interest expense5,647
7,317
Interest expense2,368 5,647 
Net interest revenue$11,492
$11,759
Net interest revenue$10,166 $11,492 
Commissions and fees$3,021
$2,926
Commissions and fees$3,670 $3,021 
Principal transactions5,261
2,804
Principal transactions3,913 5,261 
Administration and other fiduciary fees854
839
Administration and other fiduciary fees961 854 
Realized gains on sales of investments, net432
130
Realized gains on sales of investments, net401 432 
Impairment losses on investments 
Gross impairment losses(55)(8)
Impairment losses on investments:Impairment losses on investments:
Impairment losses on investments and other assets Impairment losses on investments and other assets(69)(55)
Provision for credit losses on AFS debt securities(1)
Provision for credit losses on AFS debt securities(1)
0 0 
Net impairment losses recognized in earnings$(55)$(8)Net impairment losses recognized in earnings$(69)$(55)
Other revenue (loss)$(274)$126
Other revenue (loss)$285 $(274)
Total non-interest revenues$9,239
$6,817
Total non-interest revenues$9,161 $9,239 
Total revenues, net of interest expense$20,731
$18,576
Total revenues, net of interest expense$19,327 $20,731 
Provisions for credit losses and for benefits and claims 
 
Provisions for credit losses and for benefits and claims 
Provision for credit losses on loans$6,444
$1,944
Provision for credit losses on loans$(1,479)$6,377 
Provision for credit losses on held-to-maturity (HTM) debt securities6
—
Provision for credit losses on held-to-maturity (HTM) debt securities(11)6 
Provision for credit losses on other assets(4)—
Provision for credit losses on other assets9 (4)
Policyholder benefits and claims24
12
Policyholder benefits and claims52 24 
Provision for credit losses on unfunded lending commitments557
24
Provision for credit losses on unfunded lending commitments(626)557 
Total provisions for credit losses and for benefits and claims$7,027
$1,980
Total provisions for credit losses and for benefits and claims$(2,055)$6,960 
Operating expenses 
 
Operating expenses 
Compensation and benefits$5,654
$5,658
Compensation and benefits$6,001 $5,654 
Premises and equipment565
564
Premises and equipment576 565 
Technology/communication1,723
1,720
Technology/communication1,852 1,723 
Advertising and marketing328
359
Advertising and marketing270 328 
Other operating2,324
2,283
Other operating2,374 2,373 
Total operating expenses$10,594
$10,584
Total operating expenses$11,073 $10,643 
Income from continuing operations before income taxes$3,110
$6,012
Income from continuing operations before income taxes$10,309 $3,128 
Provision for income taxes576
1,275
Provision for income taxes2,332 580 
Income from continuing operations$2,534
$4,737
Income from continuing operations$7,977 $2,548 
Discontinued operations 
 
Discontinued operations 
Loss from discontinued operations$(18)$(2)Loss from discontinued operations$(2)$(18)
Benefit for income taxes—
—
Benefit for income taxes0 0 
Loss from discontinued operations, net of taxes$(18)$(2)
Income (loss) from discontinued operations, net of taxesIncome (loss) from discontinued operations, net of taxes$(2)$(18)
Net income before attribution of noncontrolling interests$2,516
$4,735
Net income before attribution of noncontrolling interests$7,975 $2,530 
Noncontrolling interests(6)25
Noncontrolling interests33 (6)
Citigroup’s net income$2,522
$4,710
Citigroup’s net income$7,942 $2,536 
Basic earnings per share(1)
 
Basic earnings per share(2)
Basic earnings per share(2)
Income from continuing operations$1.06
$1.88
Income from continuing operations$3.64 $1.07 
Income from discontinued operations, net of taxes(0.01)—
Income from discontinued operations, net of taxes0 (0.01)
Net income$1.05
$1.88
Net income$3.64 $1.06 
Weighted average common shares outstanding (in millions)
2,097.9
2,340.4
Weighted average common shares outstanding (in millions)
2,082.0 2,097.9 
Diluted earnings per share(1)
 
Diluted earnings per share(2)
Diluted earnings per share(2)
Income from continuing operations$1.06
$1.87
Income from continuing operations$3.62 $1.06 
Income (loss) from discontinued operations, net of taxes(0.01)—
Income (loss) from discontinued operations, net of taxes0 (0.01)
Net income$1.05
$1.87
Net income$3.62 $1.06 
Adjusted weighted average common shares outstanding
(in millions)
2,113.7
2,342.4
Adjusted weighted average common shares outstanding
(in millions)
2,096.6 2,113.7 
88



(1)    In accordance with ASC 326.
(1)
(2)    Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.
CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOMECitigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended March 31,
In millions of dollars20202019
Citigroup’s net income$2,522
$4,710
Add: Citigroup’s other comprehensive income(1)
   
Net change in unrealized gains and losses on debt securities, net of taxes(1)
$3,128
$1,135
Net change in debt valuation adjustment (DVA), net of taxes(2)
3,140
(571)
Net change in cash flow hedges, net of taxes1,897
286
Benefit plans liability adjustment, net of taxes(286)(64)
Net change in foreign currency translation adjustment, net of taxes and hedges(4,109)58
Net change in excluded component of fair value hedges, net of taxes27
18
Citigroup’s total other comprehensive income$3,797
$862
Citigroup’s total comprehensive income$6,319
$5,572
Add: Other comprehensive income (loss) attributable to
  noncontrolling interests
$(51)$(13)
Add: Net income attributable to noncontrolling interests(6)25
Total comprehensive income$6,262
$5,584

(1)See Note 17 to the Consolidated Financial Statements.
(2)See Note 20 to the Consolidated Financial Statements.

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



CONSOLIDATED BALANCE SHEETSTATEMENT OF COMPREHENSIVE INCOMECitigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended March 31,
In millions of dollars20212020
Citigroup’s net income$7,942 $2,536 
Add: Citigroup’s other comprehensive income(1)
Net change in unrealized gains and losses on debt securities, net of taxes(1)
$(1,785)$3,128 
Net change in debt valuation adjustment (DVA), net of taxes(2)
(42)3,140 
Net change in cash flow hedges, net of taxes(556)1,897 
Benefit plans liability adjustment, net of taxes714 (286)
Net change in foreign currency translation adjustment, net of taxes and hedges(1,274)(4,109)
Net change in excluded component of fair value hedges, net of taxes(10)27 
Citigroup’s total other comprehensive income (loss)$(2,953)$3,797 
Citigroup’s total comprehensive income$4,989 $6,333 
Add: Other comprehensive loss attributable to
noncontrolling interests		$(58)$(51)
Add: Net income (loss) attributable to noncontrolling interests33 (6)
Total comprehensive income$4,964 $6,276 
(1)See Note 17 to the Consolidated Financial Statements.
(2)See Note 20 to the Consolidated Financial Statements.

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

89
 March 31, 
 2020December 31,
In millions of dollars(Unaudited)2019
Assets 
 
Cash and due from banks (including segregated cash and other deposits)$23,755
$23,967
Deposits with banks, net of allowance262,165
169,952
Securities borrowed and purchased under agreements to resell (including $155,637 and $153,193 as of March 31, 2020 and December 31, 2019, respectively, at fair value), net of allowance262,536
251,322
Brokerage receivables, net of allowance68,555
39,857
Trading account assets (including $190,227 and $120,236 pledged to creditors at March 31, 2020 and December 31, 2019, respectively)365,000
276,140
Investments:  
  Available-for-sale debt securities (including $8,989 and $8,721 pledged to creditors as of March 31, 2020 and December 31, 2019, respectively)308,219
280,265
Held-to-maturity debt securities (including $1,119 and $1,923 pledged to creditors as of March 31, 2020 and December 31, 2019, respectively), net of allowance82,315
80,775
Equity securities (including $1,213 and $1,162 at fair value as of March 31, 20120 and December 31, 2019, respectively)8,349
7,523
Total investments$398,883
$368,563
Loans:  
Consumer (including $18 and $18 as of March 31, 2020 and December 31, 2019, respectively, at fair value)288,430
309,548
Corporate (including $3,981 and $4,067 as of March 31, 2020 and December 31, 2019, respectively, at fair value)432,590
389,935
Loans, net of unearned income$721,020
$699,483
Allowance for credit losses on loans (ACLL)(20,841)(12,783)
Total loans, net$700,179
$686,700
Goodwill21,264
22,126
Intangible assets (including MSRs of $367 and $495 as of March 31, 2020 and December 31, 2019, at fair value)4,560
4,822
Other assets (including $14,663 and $12,830 as of March 31, 2020 and December 31, 2019, respectively, at fair value), net of allowance112,873
107,709
Total assets$2,219,770
$1,951,158


CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
March 31,
2021December 31,
In millions of dollars(Unaudited)2020
Assets  
Cash and due from banks (including segregated cash and other deposits)$26,204 $26,349 
Deposits with banks, net of allowance298,478 283,266 
Securities borrowed and purchased under agreements to resell (including $198,908 and $185,204 as of March 31, 2021 and December 31, 2020, respectively, at fair value), net of allowance315,072 294,712 
Brokerage receivables, net of allowance60,465 44,806 
Trading account assets (including $175,125 and $168,967 pledged to creditors at March 31, 2021 and December 31, 2020, respectively)360,659 375,079 
Investments:
Available-for-sale debt securities (including $6,740 and $5,921 pledged to creditors as of March 31, 2021 and December 31, 2020, respectively), net of allowance304,036 335,084 
Held-to-maturity debt securities (including $1,031 and $547 pledged to creditors as of March 31, 2021 and December 31, 2020, respectively), net of allowance161,742 104,943 
Equity securities (including $784 and $1,066 at fair value as of March 31, 2021 and December 31, 2020, respectively)7,181 7,332 
Total investments$472,959 $447,359 
Loans:
Consumer (including $15 and $14 as of March 31, 2021 and December 31, 2020, respectively, at fair value)274,034 288,839 
Corporate (including $7,510 and $6,840 as of March 31, 2021 and December 31, 2020, respectively, at fair value)391,954 387,044 
Loans, net of unearned income$665,988 $675,883 
Allowance for credit losses on loans (ACLL)(21,638)(24,956)
Total loans, net$644,350 $650,927 
Goodwill21,905 22,162 
Intangible assets (including MSRs of $433 and $336 as of March 31, 2021 and December 31, 2020, respectively, at fair value)4,741 4,747 
Other assets (including $10,175 and $14,613 as of March 31, 2021 and December 31, 2020, respectively, at fair value), net of allowance109,433 110,683 
Total assets$2,314,266 $2,260,090 

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included on 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. In addition, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
March 31, March 31,
2020December 31,2021December 31,
In millions of dollars(Unaudited)2019In millions of dollars(Unaudited)2020
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
Cash and due from banks$110
$108
Cash and due from banks$156 $281 
Trading account assets6,278
6,719
Trading account assets7,659 8,104 
Investments987
1,295
Investments903 837 
Loans, net of unearned income  
Loans, net of unearned income 
Consumer42,573
46,977
Consumer34,514 37,561 
Corporate19,845
16,175
Corporate16,789 17,027 
Loans, net of unearned income$62,418
$63,152
Loans, net of unearned income$51,303 $54,588 
Allowance for credit losses on loans (ACLL)(3,729)(1,841)Allowance for credit losses on loans (ACLL)(3,416)(3,794)
Total loans, net$58,689
$61,311
Total loans, net$47,887 $50,794 
Other assets70
73
Other assets51 43 
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$66,134
$69,506
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$56,656 $60,059 
Statement continues on the next page.

90

CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
March 31,
2021December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2020
Liabilities  
Non-interest-bearing deposits in U.S. offices$138,192 $126,942 
Interest-bearing deposits in U.S. offices (including $962 and $879 as of March 31, 2021 and December 31, 2020, respectively, at fair value)497,335 503,213 
Non-interest-bearing deposits in offices outside the U.S.101,662 100,543 
Interest-bearing deposits in offices outside the U.S. (including $2,178 and $1,079 as of March 31, 2021 and December 31, 2020, respectively, at fair value)563,786 549,973 
Total deposits$1,300,975 $1,280,671 
Securities loaned and sold under agreements to repurchase (including $68,713 and $60,206 as of March 31, 2021 and December 31, 2020, respectively, at fair value)219,168 199,525 
Brokerage payables60,907 50,484 
Trading account liabilities179,117 168,027 
Short-term borrowings (including $7,406 and $4,683 as of March 31, 2021 and December 31, 2020, respectively, at fair value)32,087 29,514 
Long-term debt (including $68,071 and $67,063 as of March 31, 2021 and December 31, 2020, respectively, at fair value)256,335 271,686 
Other liabilities (including $2,675 and $6,835 as of March 31, 2021 and December 31, 2020, respectively, at fair value), including allowance62,404 59,983 
Total liabilities$2,110,993 $2,059,890 
Stockholders’ equity  
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2021—811,200 and as of December 31, 2020—779,200, at aggregate liquidation value
$20,280 $19,480 
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2021—3,099,690,888 and as of December 31, 2020—3,099,763,661
31 31 
Additional paid-in capital107,694 107,846 
Retained earnings174,816 168,272 
Treasury stock, at cost: March 31, 2021—1,032,643,369 shares and
December 31, 2020—1,017,674,452 shares
(65,261)(64,129)
Accumulated other comprehensive income (loss) (AOCI)
(35,011)(32,058)
Total Citigroup stockholders’ equity$202,549 $199,442 
Noncontrolling interests724 758 
Total equity$203,273 $200,200 
Total liabilities and equity$2,314,266 $2,260,090 
 March 31, 
 2020December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2019
Liabilities 
 
Non-interest-bearing deposits in U.S. offices$113,371
$98,811
Interest-bearing deposits in U.S. offices (including $1,090 and $1,624 as of March 31, 2020 and December 31, 2019, respectively, at fair value)462,327
401,418
Non-interest-bearing deposits in offices outside the U.S.85,439
85,692
Interest-bearing deposits in offices outside the U.S. (including $1,557 and $695 as of March 31, 2020 and December 31, 2019, respectively, at fair value)523,774
484,669
Total deposits$1,184,911
$1,070,590
Securities loaned and sold under agreements to repurchase (including $62,734 and $40,651 as of March 31, 2020 and December 31, 2019, respectively, at fair value)222,324
166,339
Brokerage payables74,368
48,601
Trading account liabilities163,995
119,894
Short-term borrowings (including $8,364 and $4,946 as of March 31, 2020 and December 31, 2019, respectively, at fair value)54,951
45,049
Long-term debt (including $52,914 and $55,783 as of March 31, 2020 and December 31, 2019, respectively, at fair value)266,098
248,760
Other liabilities (including $4,339 and $6,343 as of March 31, 2020 and December 31, 2019, respectively, at fair value), including allowance60,141
57,979
Total liabilities$2,026,788
$1,757,212
Stockholders’ equity 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2020—719,200 and as of December 31, 2019—719,200, at aggregate liquidation value
$17,980
$17,980
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2020—3,099,632,709 and as of December 31, 2019—3,099,602,856
31
31
Additional paid-in capital107,550
107,840
Retained earnings163,438
165,369
Treasury stock, at cost: March 31, 2020—1,017,824,700 shares and
December 31, 2019—985,479,501 shares
(64,147)(61,660)
Accumulated other comprehensive income (loss) (AOCI)(32,521)(36,318)
Total Citigroup stockholders’ equity$192,331
$193,242
Noncontrolling interest651
704
Total equity$192,982
$193,946
Total liabilities and equity$2,219,770
$1,951,158

The following table presents certain liabilities of consolidated VIEs, which are included on 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, March 31,
2020December 31,2021December 31,
In millions of dollars(Unaudited)2019In millions of dollars(Unaudited)2020
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup
 
 
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup		 
Short-term borrowings$11,397
$10,031
Short-term borrowings$9,344 $9,278 
Long-term debt25,393
25,582
Long-term debt15,699 20,405 
Other liabilities926
917
Other liabilities384 463 
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup
$37,716
$36,530
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup		$25,427 $30,146 
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

91

CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY (UNAUDITED)Citigroup Inc. and Subsidiaries
(UNAUDITED)
Three Months Ended March 31,Three Months Ended March 31,
In millions of dollars20202019In millions of dollars20212020
Preferred stock at aggregate liquidation value Preferred stock at aggregate liquidation value
Balance, beginning of period$17,980
$18,460
Balance, beginning of period$19,480 $17,980 
Issuance of new preferred stock1,500
—
Issuance of new preferred stock2,300 1,500 
Redemption of preferred stock(1,500)(480)Redemption of preferred stock(1,500)(1,500)
Balance, end of period$17,980
$17,980
Balance, end of period$20,280 $17,980 
Common stock and additional paid-in capital  
Common stock and additional paid-in capital (APIC)Common stock and additional paid-in capital (APIC) 
Balance, beginning of period$107,871
$107,953
Balance, beginning of period$107,877 $107,871 
Employee benefit plans(292)(382)Employee benefit plans(175)(292)
Preferred stock issuance costs2
—
Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions)Preferred stock issuance costs (new issuances, net of reclassifications to retained earnings for redemptions)23 2 
Other—
11
Other— — 
Balance, end of period$107,581
$107,582
Balance, end of period$107,725 $107,581 
Retained earnings Retained earnings
Balance, beginning of period$165,369
$151,347
Balance, beginning of period$168,272 $165,369 
Adjustment to opening balance, net of taxes(1)
(3,076)151
Adjustments to opening balance, net of taxes(1)
Adjustments to opening balance, net of taxes(1)
Financial instruments—credit losses (CECL adoption)Financial instruments—credit losses (CECL adoption)— (3,076)
Variable post-charge-off third-party collection costsVariable post-charge-off third-party collection costs— 330 
Adjusted balance, beginning of period$162,293
$151,498
Adjusted balance, beginning of period$168,272 $162,623 
Citigroup’s net income2,522
4,710
Citigroup’s net income7,942 2,536 
Common dividends(2)
(1,081)(1,075)
Common dividends(2)
(1,074)(1,081)
Preferred dividends(291)(262)Preferred dividends(292)(291)
Other(5)(12)
Other (primarily reclassifications from APIC for preferred issuance costs on redemptions)Other (primarily reclassifications from APIC for preferred issuance costs on redemptions)(32)(5)
Balance, end of period$163,438
$154,859
Balance, end of period$174,816 $163,782 
Treasury stock, at cost  
Treasury stock, at cost 
Balance, beginning of period$(61,660)$(44,370)Balance, beginning of period$(64,129)$(61,660)
Employee benefit plans(3)
438
564
Employee benefit plans(3)
468 438 
Treasury stock acquired(4)
(2,925)(4,055)
Treasury stock acquired(4)
(1,600)(2,925)
Balance, end of period$(64,147)$(47,861)Balance, end of period$(65,261)$(64,147)
Citigroup’s accumulated other comprehensive income (loss)  
Citigroup’s accumulated other comprehensive income (loss) 
Balance, beginning of period$(36,318)$(37,170)Balance, beginning of period$(32,058)$(36,318)
Citigroup’s total other comprehensive income3,797
862
Citigroup’s total other comprehensive income(2,953)3,797 
Balance, end of period$(32,521)$(36,308)Balance, end of period$(35,011)$(32,521)
Total Citigroup common stockholders’ equity$174,351
$178,272
Total Citigroup common stockholders’ equity$182,269 $174,695 
Total Citigroup stockholders’ equity$192,331
$196,252
Total Citigroup stockholders’ equity$202,549 $192,675 
Noncontrolling interests  
Noncontrolling interests 
Balance, beginning of period$704
$854
Balance, beginning of period$758 $704 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiaryTransactions between noncontrolling-interest shareholders and the related consolidated subsidiary— (6)
Transactions between Citigroup and the noncontrolling-interest shareholders(6)(99)Transactions between Citigroup and the noncontrolling-interest shareholders— — 
Net income attributable to noncontrolling-interest shareholders(6)25
Net income attributable to noncontrolling-interest shareholders33 (6)
Distributions paid to noncontrolling-interest shareholders—
(4)Distributions paid to noncontrolling-interest shareholders— — 
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
(51)(13)
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
(58)(51)
Other10
—
Other(9)10 
Net change in noncontrolling interests$(53)$(91)Net change in noncontrolling interests$(34)$(53)
Balance, end of period$651
$763
Balance, end of period$724 $651 
Total equity$192,982
$197,015
Total equity$203,273 $193,326 

(1)    See Note 1 to the Consolidated Financial Statements for additional details.
92


(1)See Note 1 to the Consolidated Financial Statements for additional details.
(2)Common dividends declared were $0.51 per share in the first quarter of 2020 and $0.45 per share in the first quarter of 2019.
(3)Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
(4)Primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.

(2)    Common dividends declared were $0.51 per share in both of the first quarters of 2021 and 2020.
(3)    Includes treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
(4)    Primarily consists of open market purchases under Citi’s Board of Directors-approved common share repurchase program.

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

93


CONSOLIDATED STATEMENT OF CASH FLOWS
Citigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended March 31,
In millions of dollars20212020
Cash flows from operating activities of continuing operations  
Net income before attribution of noncontrolling interests$7,975 $2,530 
Net income attributable to noncontrolling interests33 (6)
Citigroup’s net income$7,942 $2,536 
Loss from discontinued operations, net of taxes(2)(18)
Income from continuing operations—excluding noncontrolling interests$7,944 $2,554 
Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations  
Depreciation and amortization962 927 
Provisions for credit losses on loans and unfunded lending commitments(2,105)6,934 
Realized gains from sales of investments(401)(432)
Impairment losses on investments and other assets69 55 
Change in trading account assets14,405 (88,875)
Change in trading account liabilities11,090 44,101 
Change in brokerage receivables net of brokerage payables(5,236)(2,931)
Change in loans HFS1,561 (1,393)
Change in other assets(383)(3,123)
Change in other liabilities3,047 1,605 
Other, net(7,755)15,045 
Total adjustments$15,254 $(28,087)
Net cash provided by (used in) operating activities of continuing operations$23,198 $(25,533)
Cash flows from investing activities of continuing operations  
   Change in securities borrowed and purchased under agreements to resell$(20,360)$(11,214)
   Change in loans9,933 (26,743)
   Proceeds from sales and securitizations of loans323 596 
   Purchases of investments(111,187)(108,658)
   Proceeds from sales of investments46,049 44,399 
   Proceeds from maturities of investments35,088 29,203 
   Capital expenditures on premises and equipment and capitalized software(830)(460)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
   and repossessed assets
10 2 
   Other, net40 18 
Net cash used in investing activities of continuing operations$(40,934)$(72,857)
Cash flows from financing activities of continuing operations  
   Dividends paid$(1,356)$(1,365)
   Issuance of preferred stock2,300 1,500 
   Redemption of preferred stock(1,500)(1,500)
   Treasury stock acquired(1,481)(2,925)
   Stock tendered for payment of withholding taxes(312)(406)
   Change in securities loaned and sold under agreements to repurchase19,643 55,985 
   Issuance of long-term debt15,516 28,927 
   Payments and redemptions of long-term debt(22,432)(13,081)
   Change in deposits20,304 114,321 
   Change in short-term borrowings2,573 9,902 
 Three Months Ended March 31,
In millions of dollars20202019
Cash flows from operating activities of continuing operations 
 
Net income before attribution of noncontrolling interests$2,516
$4,735
Net income attributable to noncontrolling interests(6)25
Citigroup’s net income$2,522
$4,710
Loss from discontinued operations, net of taxes(18)(2)
Income from continuing operations—excluding noncontrolling interests$2,540
$4,712
Adjustments to reconcile net income to net cash provided by (used in) operating activities of continuing operations 
 
Depreciation and amortization927
931
Provisions for credit losses on loans and unfunded lending commitments7,001
1,944
Realized gains from sales of investments(432)(130)
Impairment losses on investments55
8
Change in trading account assets(88,875)(30,427)
Change in trading account liabilities44,101
(7,913)
Change in brokerage receivables net of brokerage payables(2,931)(10,965)
Change in loans HFS(1,393)1,439
Change in other assets(3,010)(2,961)
Change in other liabilities1,605
2,585
Other, net14,879
3,161
Total adjustments$(28,073)$(42,328)
Net cash used in operating activities of continuing operations$(25,533)$(37,616)
Cash flows from investing activities of continuing operations 
 
   Change in securities borrowed and purchased under agreements to resell$(11,214)$6,189
   Change in loans(26,743)(892)
   Proceeds from sales and securitizations of loans596
2,062
   Purchases of investments(108,658)(69,673)
   Proceeds from sales of investments44,399
31,436
   Proceeds from maturities of investments29,203
47,363
   Capital expenditures on premises and equipment and capitalized software(460)(518)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
2
38
   Other, net18
38
Net cash provided by (used in) investing activities of continuing operations$(72,857)$16,043
Cash flows from financing activities of continuing operations 
 
   Dividends paid$(1,365)$(1,320)
   Issuance of preferred stock1,500
—
   Redemption of preferred stock(1,500)(480)
   Treasury stock acquired(2,925)(4,055)
   Stock tendered for payment of withholding taxes(406)(358)
   Change in securities loaned and sold under agreements to repurchase55,985
12,604
   Issuance of long-term debt28,927
15,552
   Payments and redemptions of long-term debt(13,081)(6,568)
   Change in deposits114,321
17,186
   Change in short-term borrowings9,902
6,976
94

CONSOLIDATED STATEMENT OF CASH FLOWS
(UNAUDITED) (Continued)
Three Months Ended March 31,
In millions of dollars20212020
Net cash provided by financing activities of continuing operations$33,255 $191,358 
Effect of exchange rate changes on cash and due from banks$(452)$(967)
Change in cash, due from banks and deposits with banks15,067 92,001 
Cash, due from banks and deposits with banks at beginning of period309,615 193,919 
Cash, due from banks and deposits with banks at end of period$324,682 $285,920 
Cash and due from banks (including segregated cash and other deposits)$26,204 $23,755 
Deposits with banks, net of allowance298,478 262,165 
Cash, due from banks and deposits with banks at end of period$324,682 $285,920 
Supplemental disclosure of cash flow information for continuing operations  
Cash paid during the period for income taxes$950 $1,441 
Cash paid during the period for interest1,729 5,424 
Non-cash investing activities(1)
 
Transfers to loans HFS (Other assets) from loans
$636 $224 


(1)    Operating and finance lease right-of-use assets and lease liabilities represent non-cash investing and financing activities, respectively, and are not included in the non-cash investing activities presented here. See Note 22 to the Consolidated Financial Statements for more information and balances as of March 31, 2021.

CONSOLIDATED STATEMENT OF CASH FLOWS 
(UNAUDITED) (Continued) 
 Three Months Ended March 31,
In millions of dollars20202019
Net cash provided by financing activities of continuing operations$191,358
$39,537
Effect of exchange rate changes on cash and due from banks$(967)$(176)
Change in cash, due from banks and deposits with banks$92,001
$17,788
Cash, due from banks and deposits with banks at beginning of period193,919
188,105
Cash, due from banks and deposits with banks at end of period$285,920
$205,893
Cash and due from banks$23,755
$24,448
Deposits with banks, net of allowance262,165
181,445
Cash, due from banks and deposits with banks at end of period$285,920
$205,893
Supplemental disclosure of cash flow information for continuing operations 
 
Cash paid during the period for income taxes$1,441
$1,325
Cash paid during the period for interest5,424
6,931
Non-cash investing activities(1)
 
 
Transfers to loans HFS (Other assets) from loans
$224
$2,000


(1)Operating and finance lease right-of-use assets and lease liabilities represent non-cash investing and financing activities, respectively, and are not included in the non-cash investing activities presented here. See Note 22 to the Consolidated Financial Statements for more information and balances as of March 31, 2020.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

95

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION, UPDATED ACCOUNTING POLICIES AND ACCOUNTING CHANGES

Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of March 31, 20202021 and for the three-month periods ended March 31, 20202021 and 20192020 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, 2019 (20192020 (2020 Annual Report on Form 10-K).
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management uses its best judgment, actual results could differ from those estimates.
As noted above, the Notes to these Consolidated Financial Statements are unaudited.
Throughout these Notes, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications and updates have been made to the prior periods’ financial statements and notes to conform to the current period’s presentation.

UPDATEDSUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accounting policies below have been updated from those disclosed in Citi’s 2019 Annual Report on Form 10-K as a result of accounting standards adoptions during the first quarter of 2020. See Note 1 to the Consolidated Financial Statements in Citigroup’s 20192020 Annual Report on Form 10-K for a summary of all of Citigroup’s significant accounting policies.

Allowances
ACCOUNTING CHANGES

Accounting for Financial Instruments—Credit Losses (ACL)
Commencing January 1, 2020, Citi adopted
Overview
In June 2016, the Financial Accounting Standards Update (ASC) 326,Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). , usingThe ASU introduced a new credit loss methodology, the methodologies described below. For informationcurrent expected credit losses (CECL) methodology, which requires earlier recognition of credit losses while also providing additional disclosure about Citi’s accounting for loan losses prior tocredit risk. Citi adopted the ASU as of January 1, 2020, see Note 1which, as discussed below, resulted in Citigroup’s 2019 Annual Report on Form 10-K.
The Current Expected Credit Losses (CECL) methodology is based on relevant information about past events, including historical experience, current conditions and reasonable and supportable (R&S) forecasts that affect the collectability of the reported financial asset balances. If
the asset’s life extends beyond the R&S forecast period, then historical experience is considered over the remaining life of the assetsan increase in the allowance for credit losses. The resulting allowance for credit lossesCiti’s is adjusted in each subsequent reporting period through Provisions for credit losses in the Consolidated Statement of Income to reflect changes in history, current conditions and forecasts as well as changes in asset positions and portfolios. ASC 326 defines the allowanceAllowance for credit losses (ACL) asand a valuation account that is deducted from the amortized costdecrease to opening Retained earnings, net of a financial asset to present the net amount that management expects to collect on the financial asset over its expected life. All financial assets carrieddeferred income taxes, at amortized cost are in the scope of ASC 326, while assets measured at fair value are excluded. See Note 13 to the Consolidated Financial Statements for a discussion of impairment on available-for-sale (AFS) securities.January 1, 2020.
Increases and decreases to the allowances are recorded in Provisions for credit losses. The CECL methodology utilizes a lifetime expected“expected credit loss (ECL)loss” measurement objective for the recognition of credit losses for held-for-investment (HFI) loans, held-to-maturity (HTM) debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The ACL is adjusted each period for changes in expected lifetime credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related ACL than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost that Citi intends to hold or more-likely-than-not will not be required to sell, credit-related impairment, if any, is recognized through an ACL and adjusted each period for changes in credit risk.

Estimation of ECLs requires Citi to make assumptions regarding the likelihood and severity of credit loss events and theirJanuary 1, 2020 CECL Transition (Day 1) Impact
The CECL methodology’s impact on expected cash flows, which drive the probability of default (PD), loss given default (LGD) and exposure at default (EAD) models and, where Citi discounts the ECL, using discounting techniques for certain products. Where the asset’s life extends beyond the R&S forecast period, Citi considers historical experience over the remaining lifecredit losses, among other things, reflects Citi’s view of the assetscurrent state of the economy, forecasted macroeconomic conditions and Citi’s portfolios. At the January 1, 2020 date of adoption, based on forecasts of macroeconomic conditions and exposures at that time, the aggregate impact to Citi was an approximate $4.1 billion, or an approximate 29%, pretax increase in estimating the ACL.
The following areAllowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the main factors and interpretations that Citi considers when estimatingAllowance for credit losses for Citi’s consumer exposures, primarily driven by the ACLimpact on credit card receivables of longer estimated tenors under the CECL methodology:lifetime expected credit loss methodology (loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries; and (ii) a release of $0.8 billion of reserves primarily related to Citi’s corporate net loan loss exposures, largely due to more precise contractual maturities that result in shorter remaining tenors, incorporation of recoveries and use
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CECL reserves are estimated over the contractual term
of the financial asset, which is generally adjusted for expected prepayments. Expected extensions are generally not considered unless the option to extend the loan cannot be canceled unilaterally by Citi. Modifications are also not considered, unless Citi has a reasonable expectation that it will execute a troubled debt restructuring (TDR).
Credit enhancements that are not freestanding (such as those that are included in the original terms of the contract or those executed in conjunction with the lending transaction) are consideredmore specific historical loss mitigants for purposes of CECL reserve estimation.
For unconditionally cancelable accounts such as credit cards, reserves aredata based on an increase in portfolio segmentation across industries and geographies.
Under the expected life ofCECL methodology, the balance as of the evaluation date (assuming no further charges) and do not include any undrawn commitments that are unconditionally cancelable. Reserves are


included for undrawn commitments for accounts that are not unconditionally cancelable (such as letters of credit and corporate loan commitments, HELOCs, undrawn mortgage loan commitments and financial guarantees).
CECL models are designed to be economically sensitive. They utilize the macroeconomic forecasts provided by Citi’s economic forecasting team (EFT) that are approved by senior management. Analysis is performed and documented to determine the necessary qualitative management adjustment (QMA) to capture forward-looking macroeconomic expectations.
The portion of the forecast that reflects the EFT’s R&S period indicates the maximum length of time its models can produce a R&S macroeconomic forecast, after which mean reversion is used for the remaining life of the loan to estimate expected credit losses. For the loss forecast, businesses may consume a portion or all of the macroeconomic forecast as determined to be appropriate and justifiable. For losses occurring beyond the consumption period of the macroeconomic forecast, historical loss experience is used.
The ACL incorporates provisions for accrued interest on products that are not subject to a non-accrual and timely write-off policy (e.g., cards and Ready Credit, etc.).
The reserves for TDRs are calculated using the discounted cash flow method and consider appropriate macroeconomic forecast data for the exposure type. For TDR loans that are collateral dependent, the ACL is based on the fair value of the collateral.
Citi uses the most recent available information to inform its macroeconomic forecasts, allowing sufficient time for analysis of the results and corresponding approvals.
Reserves are calculated at an appropriately granular level and on a pooled basis where financial assets share risk characteristics. At a minimum, reserves are calculated at a portfolio level (product and country). Where a financial asset does not share risk characteristics with any of the pools, it is evaluatedAllowance for credit losses individually.

Quantitativeconsists of quantitative and Qualitative Componentsqualitative components. Citi’s quantitative component of the ACL
The loss likelihoodAllowance for credit losses is model based and severity models use both internal and external information and are sensitive to forecasts of different macroeconomic conditions. For the quantitative component, Citi usesutilizes a single forward-looking macroeconomic forecast, complemented by the qualitative component that reflects economic uncertainty due to a different possible scenario fordescribed below, in estimating the ACL. Estimates of these ECLs are based upon (i) Citigroup’s internal system ofexpected credit risk ratings; (ii) historical defaultlosses and loss data, including comprehensive internal history and rating agency information regarding default rates and internal data on the severity of losses in the event of default; and (iii) a R&S forecast of future macroeconomic conditions. ECL is determined primarily by utilizing modelsdiscounts inputs for the borrowers’ PD, LGDcorporate classifiably managed portfolios. Reasonable and EAD. Adjustments may be madesupportable forecast periods vary by product. For example, Citi’s consumer models use a 13-quarter reasonable and supportable period and revert to this data, including (i) statistically calculated estimateshistorical loss experience thereafter, while its corporate loan models use a nine-quarter reasonable and supportable period followed by a three-quarter graduated transition to cover the historical fluctuationloss experience.
Citi’s qualitative component of the default rates over theAllowance for credit cycle, the historical variability of loss severity among
defaulted loans and the degree to which there are large obligor concentrations in the global portfolio, and (ii) adjustments made for specifically known items, such as current environmental factors and credit trends.
Any adjustments needed to the modeled expected losses in the quantitative calculations are addressed through a qualitative adjustment. The qualitative adjustment considers among other things:(i) the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession; the uncertainty of economic conditions;recession as another possible scenario; (ii) certain portfolio characteristics, such as portfolio concentration and concentrations; collateral coverage; and (iii) model limitations;limitations as well as idiosyncratic events;events. Citi calculates a judgmental management adjustment, which is an alternative, more adverse scenario that only considers downside risk.

Accounting for Variable Post-Charge-Off Third-Party Collection Costs
In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows:
•An increase to beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other relevantassets related to income taxes.
•A decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of $339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively.
•Increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively.

In making these revisions, Citi considered the guidance in ASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270, Interim Reporting; ASC Topic 250-S99-1, Assessing Materiality; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements. Citi believes that the effects of the
revisions were not material to any previously reported quarterly or annual period.

Reference Rate Reform
In March 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to consider amendments to contracts made to comply with reference rate reform to meet the definition of a modification under banking supervisoryU.S. GAAP. It further allows hedge accounting to be maintained and permits a one-time transfer or sale of qualifying held-to-maturity securities. The expedients and exceptions provided by the amendments are permitted to be adopted any time through December 31, 2022 and do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU was adopted by Citi as of June 30, 2020 with prospective application and did not impact financial results in 2020.
In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Scope, which clarifies that the scope of the initial accounting relief issued by the FASB in March 2020 includes derivative instruments that do not reference a rate that is expected to be discontinued but that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform (commonly referred to as the “discounting transition”). The amendments do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022 and existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022, that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship. The ASU was adopted by Citi on a full retrospective basis upon issuance and did not impact financial results in 2020.

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FUTURE ACCOUNTING CHANGES

Long-Duration Insurance Contracts
In August 2018, the FASB issued ASU No. 2018-12, Financial Services—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts, which changes the existing recognition, measurement, presentation and disclosures for long-duration contracts issued by an insurance entity. Specifically, the guidance (i) improves the timeliness of recognizing changes in the liability for loan loss reserves. future policy benefits and prescribes the rate used to discount future cash flows for long-duration insurance contracts, (ii) simplifies and improves the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, (iii) simplifies the amortization of deferred acquisition costs and (iv) introduces additional quantitative and qualitative disclosures. Citi has certain insurance subsidiaries, primarily in Mexico, that issue long-duration insurance contracts that will be impacted by the requirements of ASU 2018-12.
The qualitative adjustment also reflectseffective date of ASU 2018-12 was deferred for all insurance entities by ASU 2019-09, Finance Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued November 2020). Citi plans to adopt the estimatedtargeted improvements in ASU 2018-12 on January 1, 2023 and is currently evaluating the impact of the COVID-19standard on its insurance subsidiaries. Citi does not expect a material impact to its results of operations as a result of adopting the standard.
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2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

The Company’s results from Discontinued operations consisted of residual activities related to previously divested operations. All Discontinued operations results are recorded within Corporate/Other.
The following table summarizes financial information for all Discontinued operations:
Three Months Ended March 31,
In millions of dollars20212020
Total revenues, net of interest expense$0 $0 
Loss from discontinued operations(1)
$(2)$(18)
Benefit for income taxes0 0 
Income (loss) from discontinued operations, net of taxes$(2)$(18)

(1)Amounts in each period relate to the sale of the Egg Banking business in 2011.

Cash flows from Discontinued operations were not material for the periods presented.
As of March 31, 2021, Citi did not have any definitive sales transactions related to its recently announced intention to pursue exits of its consumer franchises in 13 markets across Asia and EMEA. In addition, Citi did not have any significant disposals to report as of March 31, 2021.
For a description of the Company’s significant disposal transactions in prior periods and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.


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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 legacy loan portfolios, discontinued operations and other legacy assets.
Beginning in the first quarter of 2021, Citi changed its allocation for certain recurring expenses that are attributable to the business segments from Corporate/Other to GCB and ICG. These expenses include incremental investments related to risk and controls, technology capabilities and information security initiatives, as well as some incremental spend related to pandemic remediation. This change had no impact to earnings before interest and taxes at the Citi level, and given that these expenses were immaterial, the change is not reflected retrospectively. Citi’s consolidated results remained unchanged for all periods presented.
For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 2020 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,
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 billions202120202021202020212020March 31,
2021		December 31, 2020
Global Consumer Banking$7,037 $8,174 $658 $(266)$2,174 $(741)$439 $434 
Institutional Clients Group12,220 12,484 1,736 1,044 5,972 3,626 1,776 1,730 
Corporate/Other70 73 (62)(198)(169)(337)99 96 
Total$19,327 $20,731 $2,332 $580 $7,977 $2,548 $2,314 $2,260 
(1)     Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $9.3 billion and $10.2 billion; in EMEA of $3.7 billion and $3.5 billion; in Latin America of $2.1 billion and $2.6 billion; and in Asia of $4.1 billion and $4.4 billion for the three months ended March 31, 2021 and 2020, 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 $(0.2) billion and $4.8 billion; in the ICG results of $(1.8) billion and $2.0 billion; and in the Corporate/Other results of $(0.1) billion and $0.2 billion for the three months ended March 31, 2021 and 2020, respectively.

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4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
Three Months Ended March 31,
In millions of dollars20212020
Interest revenue
Loan interest, including fees$8,909 $11,250 
Deposits with banks145 527 
Securities borrowed and purchased under agreements to resell294 1,208 
Investments, including dividends1,752 2,281 
Trading account assets(1)
1,337 1,590 
Other interest-bearing assets97 283 
Total interest revenue$12,534 $17,139 
Interest expense
Deposits(2)
$1,052 $2,614 
Securities loaned and sold under agreements to repurchase253 1,085 
Trading account liabilities(1)
114 239 
Short-term borrowings and other interest-bearing liabilities31 384 
Long-term debt918 1,325 
Total interest expense$2,368 $5,647 
Net interest revenue$10,166 $11,492 
Provision for credit losses on loans(1,479)6,377 
Net interest revenue after provision for credit losses on loans$11,645 $5,115 
(1)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(2)Includes deposit insurance fees and charges of $340 million and $225 million for the three months ended March 31, 2021 and 2020, respectively.


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5.  COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES

For additional information on Citi’s commissions and fees, and administration and other fiduciary fees, see Note 5 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

The following tables present Commissions and fees revenue:
Three Months Ended March 31,
2021
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$1,624 $0 $0 $1,624 
Brokerage commissions615 327 0 942 
Credit- and bank-card income
  Interchange fees158 1,906 0 2,064 
  Card-related loan fees5 177 0 182 
  Card rewards and partner payments(1)
(75)(2,096)0 (2,171)
Deposit-related fees(2)
244 85 0 329 
Transactional service fees241 24 0 265 
Corporate finance(3)
158 0 0 158 
Insurance distribution revenue5 130 0 135 
Insurance premiums0 20 0 20 
Loan servicing12 7 4 23 
Other41 58 0 99 
Total commissions and fees(4)
$3,028 $638 $4 $3,670 

Three Months Ended March 31,
2020
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$1,040 $0 $0 $1,040 
Brokerage commissions577 249 0 826 
Credit- and bank-card income
  Interchange fees261 1,917 0 2,178 
  Card-related loan fees11 166 0 177 
  Card rewards and partner payments(1)
(149)(2,093)0 (2,242)
Deposit-related fees(2)
233 115 0 348 
Transactional service fees227 24 0 251 
Corporate finance(3)
146 0 0 146 
Insurance distribution revenue4 125 0 129 
Insurance premiums0 43 0 43 
Loan servicing20 11 8 39 
Other30 56 0 86 
Total commissions and fees(4)
$2,400 $613 $8 $3,021 
(1)Citi’s consumer credit card programs have certain partner-sharing agreements that vary by partner. These agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner-sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions.
(2)Includes overdraft fees of $24 million and $31 million for the three months ended March 31, 2021 and 2020, respectively. Overdraft fees are accounted for under ASC 310.
(3)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
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(4)Commissions and fees includes $(1,749) million and $(1,802) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended March 31, 2021 and 2020, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.

The following table presents Administration and other fiduciary fees revenue:
Three Months Ended March 31,
2021
In millions of dollarsICGGCBCorporate/OtherTotal
Custody fees$451 $6 $0 $457 
Fiduciary fees192 167 0 359 
Guarantee fees142 2 1 145 
Total administration and other fiduciary fees(1)
$785 $175 $1 $961 
Three Months Ended March 31,
2020
In millions of dollarsICGGCBCorporate/OtherTotal
Custody fees$366 $8 $15 $389 
Fiduciary fees172 156 0 328 
Guarantee fees134 2 1 137 
Total administration and other fiduciary fees(1)
$672 $166 $16 $854 
(1)    Administration and other fiduciary fees includes $145 million and $136 million for the three months ended March 31, 2021 and 2020, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.

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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 and characterized below based on the primary risk managed by each trading desk. 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 forecastshedges on loans in 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,
In millions of dollars20212020
Interest rate risks(1)
$1,433 $1,838 
Foreign exchange risks(2)
962 1,066 
Equity risks(3)
845 819 
Commodity and other risks(4)
200 395 
Credit products and risks(5)
473 1,143 
Total$3,913 $5,261 
(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.
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7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2020 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 2020 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,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20212020202120202021202020212020
Benefits earned during the period$0 $0 $39 $37 $0 $0 $2 $2 
Interest cost on benefit obligation82 106 62 64 3 5 25 24 
Expected return on assets(182)(208)(61)(65)(4)(5)(22)(20)
Amortization of unrecognized:     
Prior service cost (benefit)1 1 (1)(1)(2)0 (2)(2)
Net actuarial loss62 56 18 17 0 0 5 5 
Total net (benefit) expense$(37)$(45)$57 $52 $(3)$0 $8 $9 




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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, 2021
 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$13,815 $8,629 $559 $1,390 
Plans measured annually(25)(2,248)0 (277)
Projected benefit obligation at beginning of year—Significant Plans$13,790 $6,381 $559 $1,113 
Benefits earned during the period0 23 0 1 
Interest cost on benefit obligation$82 $52 3 22 
Actuarial gain(1)
(849)(428)(31)(123)
Benefits paid, net of participants’ contributions and government subsidy$(216)$(84)(9)(18)
Foreign exchange impact and other0 (135)0 (28)
Projected benefit obligation at period end—Significant Plans$12,807 $5,809 $522 $967 
Change in plan assets    
Plan assets at fair value at beginning of year$13,309 $7,831 $331 $1,146 
Plans measured annually0 (1,500)0 (8)
Plan assets at fair value at beginning of year—Significant Plans$13,309 $6,331 $331 $1,138 
Actual return on plan assets(232)(230)(4)4 
Company contributions, net of reimbursements13 18 5 0 
Benefits paid, net of participants’ contributions and government subsidy(216)(84)(9)(18)
Foreign exchange impact and other0 (108)0 (30)
Plan assets at fair value at period end—Significant Plans$12,874 $5,927 $323 $1,094 
Funded status of the Significant Plans
Qualified plans(2)
$730 $118 $(199)$127 
Nonqualified plans(3)
(663)0 0 0 
Funded status of the plans at period end—Significant Plans$67 $118 $(199)$127 
Net amount recognized at period end    
Benefit asset$730 $705 $0 $127 
Benefit liability(663)(587)(199)0 
Net amount recognized on the balance sheet—Significant Plans$67 $118 $(199)$127 
Amounts recognized in AOCI at period end
   
Prior service benefit$0 $1 $99 $55 
Net actuarial (loss) gain(6,627)(1,043)78 (221)
Net amount recognized in equity (pretax)—Significant Plans$(6,627)$(1,042)$177 $(166)
Accumulated benefit obligation at period end—Significant Plans$12,804 $5,211 $522 $967 
(1)During 2021, the actuarial gain is primarily due to the increase in global discount rates.
(2)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2021 and no minimum required funding is expected for 2021.
(3)The nonqualified plans of the Company are unfunded.

106

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, 2021For Year Ended December 31, 2020
Beginning of period balance, net of tax(1)(2)
$(6,864)$(6,809)
Actuarial assumptions changes and plan experience1,430 (1,464)
Net asset (loss) gain due to difference between actual and expected returns(718)1,076 
Net amortization81 318 
Prior service credit0 108 
Curtailment/settlement loss(3)
0 (8)
Foreign exchange impact and other114 (108)
Change in deferred taxes, net(193)23 
Change, net of tax$714 $(55)
End of period balance, net of tax(1)(2)
$(6,150)$(6,864)

(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 Ended
Mar. 31, 2021Dec. 31, 2020
U.S. plans
Qualified pension2.45 %2.55 %
Nonqualified pension2.35 2.50 
Postretirement2.20 2.35 
Non-U.S. plans  
Pension0.05-8.150.05-8.55
Weighted average3.60 3.74 
Postretirement8.55 9.00 

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 endedMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
U.S. plans
Qualified pension3.10 %2.45 %3.20 %
Nonqualified pension3.00 2.35 3.25 
Postretirement2.85 2.20 3.20 
Non-U.S. plans   
Pension0.25-9.300.05-8.150.45-9.45
Weighted average3.59 3.60 4.38 
Postretirement9.70 8.55 9.75 






Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a one-percentage-point change in the discount rate:
Three Months Ended March 31, 2021
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension
   U.S. plans$9 $(15)
   Non-U.S. plans0 5 
Postretirement
   U.S. plans0 (1)
   Non-U.S. plans(3)3 



















107

Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first three months of 2021.
The following table summarizes the Company’s actual contributions for the three months ended March 31, 2021 and 2020, as well as expected Company contributions for the remainder of 2021 and the impactactual contributions made in 2020:
 Pension plans Postretirement plans 
 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20212020202120202021202020212020
Company contributions(2) for the three months ended
March 31
$14 $14 $37 $37 $5 $0 $2 $2 
Company contributions (reimbursements) made during the
remainder of the year		— 42 — 121 — (15)— 7 
Company contributions expected to be made during
the remainder of the year		43 — 114 — 5 — 6 — 

(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,
In millions of dollars20212020
U.S. plans$105 $101 
Non-U.S. plans92 76 

Post Employment Plans
The following table summarizes the net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
Three Months Ended March 31,
In millions of dollars20212020
Non-service-related expense$5 $5 
Total net expense$5 $5 











108

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,
In millions of dollars, except per share amounts20212020
Earnings per common share
Income from continuing operations before attribution of noncontrolling interests$7,977 $2,548 
Less: Noncontrolling interests from continuing operations33 (6)
Net income from continuing operations (for EPS purposes)$7,944 $2,554 
Loss from discontinued operations, net of taxes(2)(18)
Citigroup’s net income$7,942 $2,536 
Less: Preferred dividends(1)
292 291 
Net income available to common shareholders$7,650 $2,245 
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS66 21 
Net income allocated to common shareholders for basic EPS$7,584 $2,224 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,082.0 2,097.9 
Basic earnings per share(2)
Income from continuing operations$3.64 $1.07 
Discontinued operations0 (0.01)
Net income per share—basic$3.64 $1.06 
Diluted earnings per share
Net income allocated to common shareholders for basic EPS$7,584 $2,224 
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable7 7 
Net income allocated to common shareholders for diluted EPS$7,591 $2,231 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,082.0 2,097.9 
Effect of dilutive securities
   Options(3)
0.1 0.1 
   Other employee plans14.5 15.7 
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4)
2,096.6 2,113.7 
Diluted earnings per share(2)
  
Income from continuing operations$3.62 $1.06 
Discontinued operations0 (0.01)
Net income per share—diluted$3.62 $1.06 
(1)On April 1, 2021, Citi declared preferred dividends of approximately $253 million for the second quarter of 2021. During the first quarter of 2021, Citi redeemed all of its 41.4 million Series S preferred shares for $1.035 billion and 465,000 shares of its Series R preferred shares for $465 million; in February, Citi also issued 2.3 million of Series X preferred shares for $2.3 billion. On April 16, 2021, Citi announced that it will be redeeming all of its 1.25 million Series Q preferred shares for $1.25 billion and 1.035 million shares of its Series R preferred shares for $1.035 billion. As of May 5, 2021, Citi estimates it will distribute preferred dividends of approximately $266 million and $228 million in the third and fourth quarters of 2021, respectively, subject to such dividends being declared by the Citi Board of Directors.
(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 first quarter of 2021 and 2020, no significant options to purchase shares of common stock were outstanding.
(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.

109

10. 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 2020 Annual Report on Form 10-K.
Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2021		December 31, 2020
Securities purchased under agreements to resell$220,276 $204,655 
Deposits paid for securities borrowed94,801 90,067 
Total, net(1)
$315,077 $294,722 
Allowance for credit losses on securities purchased and borrowed(2)
(5)(10)
Total, net of allowance$315,072 $294,712 

Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2021		December 31, 2020
Securities sold under agreements to repurchase$198,029 $181,194 
Deposits received for securities loaned21,139 18,331 
Total, net(1)
$219,168 $199,525 

(1)    The above tables do not include securities-for-securities lending transactions of $2.7 billion and $6.8 billion at March 31, 2021 and December 31, 2020, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
(2)     See Note 14 to the Consolidated Financial Statements for further information.

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 amounts 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, 2021
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
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$336,164 $115,888 $220,276 $184,850 $35,426 
Deposits paid for securities borrowed106,008 11,207 94,801 20,754 74,047 
Total$442,172 $127,095 $315,077 $205,604 $109,473 
110

In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$313,917 $115,888 $198,029 $102,256 $95,773 
Deposits received for securities loaned32,346 11,207 21,139 11,085 10,054 
Total$346,263 $127,095 $219,168 $113,341 $105,827 
 As of December 31, 2020
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
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$362,025 $157,370 $204,655 $159,232 $45,423 
Deposits paid for securities borrowed96,425 6,358 90,067 13,474 76,593 
Total$458,450 $163,728 $294,722 $172,706 $122,016 
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$338,564 $157,370 $181,194 $95,563 $85,631 
Deposits received for securities loaned24,689 6,358 18,331 7,982 10,349 
Total$363,253 $163,728 $199,525 $103,545 $95,980 
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by remaining contractual maturity:
As of March 31, 2021
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$154,646 $74,302 $39,859 $45,110 $313,917 
Deposits received for securities loaned22,498 1,265 2,730 5,853 32,346 
Total$177,144 $75,567 $42,589 $50,963 $346,263 

As of December 31, 2020
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$160,754 $98,226 $41,679 $37,905 $338,564 
Deposits received for securities loaned17,038 3 2,770 4,878 24,689 
Total$177,792 $98,229 $44,449 $42,783 $363,253 
111

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:
As of March 31, 2021
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$106,286 $0 $106,286 
State and municipal securities636 0 636 
Foreign government securities118,501 1,909 120,410 
Corporate bonds21,778 148 21,926 
Equity securities22,651 30,136 52,787 
Mortgage-backed securities36,336 0 36,336 
Asset-backed securities2,501 0 2,501 
Other5,228 153 5,381 
Total$313,917 $32,346 $346,263 

As of December 31, 2020
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$112,437 $0 $112,437 
State and municipal securities664 2 666 
Foreign government securities130,017 194 130,211 
Corporate bonds20,149 78 20,227 
Equity securities21,497 24,149 45,646 
Mortgage-backed securities45,566 0 45,566 
Asset-backed securities3,307 0 3,307 
Other4,927 266 5,193 
Total$338,564 $24,689 $363,253 

112

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 2020 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsMarch 31,
2021		December 31, 2020
Receivables from customers$25,661 $18,097 
Receivables from brokers, dealers and clearing organizations34,804 26,709 
Total brokerage receivables(1)
$60,465 $44,806 
Payables to customers$45,065 $39,319 
Payables to brokers, dealers and clearing organizations15,842 11,165 
Total brokerage payables(1)
$60,907 $50,484 

(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.
113

12.  INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for impairment, see Note 13 to the Consolidated Financial Statements
in Citi’s 2020 Annual Report on Form 10-K.





The following table presents Citi’s investments by category:
In millions of dollarsMarch 31,
2021		December 31, 2020
Debt securities available-for-sale (AFS)$304,036 $335,084 
Debt securities held-to-maturity (HTM)(1)
161,742 104,943 
Marketable equity securities carried at fair value(2)
249 515 
Non-marketable equity securities carried at fair value(2)
535 551 
Non-marketable equity securities measured using the measurement alternative(3)
1,079 962 
Non-marketable equity securities carried at cost(4)
5,318 5,304 
Total investments$472,959 $447,359 

(1)Carried at adjusted amortized cost basis, net of any ACL.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See ”Non-Marketable Equity Securities Not Carried at Fair Value” below.
(4)    Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.

The following table presents interest and dividend income on investments:
Three Months Ended March 31,
In millions of dollars20212020
Taxable interest$1,652 $2,179 
Interest exempt from U.S. federal income tax66 76 
Dividend income34 26 
Total interest and dividend income on investments$1,752 $2,281 


The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:
Three Months Ended March 31,
In millions of dollars20212020
Gross realized investment gains$460 $461 
Gross realized investment losses(59)(29)
Net realized gains on sales of investments$401 $432 



114

Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
 March 31, 2021December 31, 2020
In millions of dollarsAmortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value		Amortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value
Debt securities AFS        
Mortgage-backed securities(1)
        
U.S. government-sponsored agency guaranteed$42,058 $894 $249 $0 $42,703 $42,836 $1,134 $52 $0 $43,918 
Non-U.S. residential435 2 0 0 437 568 3 0 0 571 
Commercial44 1 0 0 45 49 1 0 0 50 
Total mortgage-backed securities$42,537 $897 $249 $0 $43,185 $43,453 $1,138 $52 $0 $44,539 
U.S. Treasury and federal agency securities     
U.S. Treasury$121,573 $1,532 $455 $0 $122,650 $144,094 $2,108 $49 $0 $146,153 
Agency obligations50 0 0 0 50 50 1 0 0 51 
Total U.S. Treasury and federal agency securities$121,623 $1,532 $455 $0 $122,700 $144,144 $2,109 $49 $0 $146,204 
State and municipal$3,283 $87 $119 $0 $3,251 $3,753 $123 $157 $0 $3,719 
Foreign government119,126 979 491 0 119,614 123,467 1,623 122 0 124,968 
Corporate10,274 97 118 5 10,248 10,444 152 91 5 10,500 
Asset-backed securities(1)
272 2 0 0 274 277 5 4 0 278 
Other debt securities4,758 6 0 0 4,764 4,871 5 0 0 4,876 
Total debt securities AFS$301,873 $3,600 $1,432 $5 $304,036 $330,409 $5,155 $475 $5 $335,084 
(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. 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.

115

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 longerTotal
In millions of dollarsFair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses
March 31, 2021      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$17,053 $227 $262 $22 $17,315 $249 
Non-U.S. residential15 0 1 0 16 0 
Commercial1 0 0 0 1 0 
Total mortgage-backed securities$17,069 $227 $263 $22 $17,332 $249 
U.S. Treasury$40,386 $455 $0 $0 $40,386 $455 
State and municipal191 5 1,215 114 1,406 119 
Foreign government46,138 389 4,629 102 50,767 491 
Corporate3,017 116 39 2 3,056 118 
Asset-backed securities3 0 0 0 3 0 
Other debt securities1,079 0 0 0 1,079 0 
Total debt securities AFS$107,883 $1,192 $6,146 $240 $114,029 $1,432 
December 31, 2020      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$3,588 $30 $298 $22 $3,886 $52 
Non-U.S. residential1 0 0 0 1 0 
Commercial7 0 4 0 11 0 
Total mortgage-backed securities$3,596 $30 $302 $22 $3,898 $52 
U.S. Treasury and federal agency securities     
U.S. Treasury$25,031 $49 $0 $0 $25,031 $49 
Agency obligations50 0 0 0 50 0 
Total U.S. Treasury and federal agency securities$25,081 $49 $0 $0 $25,081 $49 
State and municipal$836 $34 $893 $123 $1,729 $157 
Foreign government29,344 61 3,502 61 32,846 122 
Corporate1,083 90 24 1 1,107 91 
Asset-backed securities194 3 39 1 233 4 
Other debt securities182 0 0 0 182 0 
Total debt securities AFS$60,316 $267 $4,760 $208 $65,076 $475 



116

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
 March 31, 2021December 31, 2020
In millions of dollarsAmortized
cost		Fair
value		Amortized
cost		Fair
value
Mortgage-backed securities(1)
  
Due within 1 year$70 $70 $27 $27 
After 1 but within 5 years387 389 567 571 
After 5 but within 10 years819 876 688 757 
After 10 years(2)
41,261 41,850 42,171 43,184 
Total$42,537 $43,185 $43,453 $44,539 
U.S. Treasury and federal agency securities    
Due within 1 year$29,917 $30,048 $34,834 $34,951 
After 1 but within 5 years90,482 91,455 108,160 110,091 
After 5 but within 10 years1,222 1,195 1,150 1,162 
After 10 years(2)
2 2 0 0 
Total$121,623 $122,700 $144,144 $146,204 
State and municipal    
Due within 1 year$408 $408 $427 $428 
After 1 but within 5 years117 118 189 198 
After 5 but within 10 years240 239 276 267 
After 10 years(2)
2,518 2,486 2,861 2,826 
Total$3,283 $3,251 $3,753 $3,719 
Foreign government    
Due within 1 year$48,334 $48,426 $48,133 $48,258 
After 1 but within 5 years63,516 63,789 67,365 68,586 
After 5 but within 10 years5,562 5,599 5,908 6,011 
After 10 years(2)
1,714 1,800 2,061 2,113 
Total$119,126 $119,614 $123,467 $124,968 
All other(3)
    
Due within 1 year$6,332 $6,338 $6,661 $6,665 
After 1 but within 5 years7,886 7,898 7,814 7,891 
After 5 but within 10 years992 979 1,018 1,034 
After 10 years(2)
94 71 99 64 
Total$15,304 $15,286 $15,592 $15,654 
Total debt securities AFS$301,873 $304,036 $330,409 $335,084 
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions.
(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.


117

Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:
In millions of dollars
Amortized
cost, net(1)
Gross
unrealized
gains		Gross
unrealized
losses		Fair
value
March 31, 2021    
Debt securities HTM    
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed$63,783 $1,643 $718 $64,708 
Non-U.S. residential1,107 3 1 1,109 
Commercial887 2 1 888 
Total mortgage-backed securities$65,777 $1,648 $720 $66,705 
U.S. Treasury securities$58,380 $0 $925 $57,455 
State and municipal(3)
9,446 631 17 10,060 
Foreign government1,877 45 8 1,914 
Asset-backed securities(2)
26,262 10 31 26,241 
Total debt securities HTM, net$161,742 $2,334 $1,701 $162,375 
December 31, 2020    
Debt securities HTM   
Mortgage-backed securities(2)
    
U.S. government-sponsored agency guaranteed$49,004 $2,162 $15 $51,151 
Non-U.S. residential1,124 3 1 1,126 
Commercial825 1 1 825 
Total mortgage-backed securities$50,953 $2,166 $17 $53,102 
U.S. Treasury securities(4)
$21,293 $4 $55 $21,242 
State and municipal9,185 755 11 9,929 
Foreign government1,931 91 0 2,022 
Asset-backed securities(2)
21,581 6 92 21,495 
Total debt securities HTM, net$104,943 $3,022 $175 $107,790 
(1)Amortized cost is reported net of ACL of $78 million and $86 million at March 31, 2021 and December 31, 2020, respectively.
(2)The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
(3)In February 2021, Citibank transferred $237 million of state and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $14 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(4)In August 2020, Citibank transferred $13.1 billion of investments in U.S. Treasury securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $144 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.


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The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
 March 31, 2021December 31, 2020
In millions of dollars
Amortized cost(1)
Fair value
Amortized cost(1)
Fair value
Mortgage-backed securities    
Due within 1 year$244 $399 $81 $81 
After 1 but within 5 years596 626 463 477 
After 5 but within 10 years1,641 1,749 1,699 1,873 
After 10 years(2)
63,296 63,931 48,710 50,671 
Total$65,777 $66,705 $50,953 $53,102 
U.S. Treasury securities
Due within 1 year$0 $0 $0 $0 
After 1 but within 5 years28,176 27,697 18,955 19,127 
After 5 but within 10 years30,204 29,758 2,338 2,115 
After 10 years(2)
0 0 0 0 
Total$58,380 $57,455 $21,293 $21,242 
State and municipal    
Due within 1 year$8 $7 $6 $6 
After 1 but within 5 years172 176 139 142 
After 5 but within 10 years848 887 818 869 
After 10 years(2)
8,418 8,990 8,222 8,912 
Total$9,446 $10,060 $9,185 $9,929 
Foreign government    
Due within 1 year$352 $349 $361 $360 
After 1 but within 5 years1,525 1,565 1,570 1,662 
After 5 but within 10 years0 0 0 0 
After 10 years(2)
0 0 0 0 
Total$1,877 $1,914 $1,931 $2,022 
All other(3)
  
Due within 1 year$0 $0 $0 $0 
After 1 but within 5 years0 0 0 0 
After 5 but within 10 years13,973 13,956 11,795 15,020 
After 10 years(2)
12,289 12,285 9,786 6,475 
Total$26,262 $26,241 $21,581 $21,495 
Total debt securities HTM$161,742 $162,375 $104,943 $107,790 
(1)Amortized cost is reported net of ACL of $78 million and $86 million at March 31, 2021 and December 31, 2020, respectively.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate and asset-backed securities.

HTM Debt Securities Delinquency and Non-Accrual Details
Citi did not have any HTM securities that were delinquent or on non-accrual status at March 31, 2021 and December 31, 2020.

There were no purchased credit-deteriorated HTM debt securities held by the Company as of March 31, 2021 and December 31, 2020.



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Evaluating Investments for Impairment

AFS Debt Securities

Overview—AFS Debt Securities
The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.
An AFS debt security is impaired when the current fair value of an individual AFS debt security is less than its amortized cost basis.
The Company recognizes the entire difference between amortized cost basis and fair value in earnings for impaired AFS debt securities that Citi has an intent to sell or for which Citi believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those AFS debt securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings by recording an allowance for credit losses. Any remaining fair value decline for such securities is recorded in AOCI. The Company does not consider the length of time that the fair value of a security is below its amortized cost when determining if a credit loss estimates.exists.
For AFS debt securities, credit losses exist where Citi does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security. The total ACLallowance for credit losses is composedlimited to the amount by which the AFS debt security’s amortized cost basis exceeds its fair value. The allowance is increased or decreased if credit conditions subsequently worsen or improve. Reversals of credit losses are recognized in earnings.
The Company’s review for impairment of AFS debt securities generally entails:

•identification and evaluation of impaired investments;
•consideration of evidential matter, including an evaluation of factors or triggers that could cause individual positions to qualify as credit impaired and those that would not support credit impairment; and
•documentation of the quantitativeresults of these analyses, as required under business policies.

The sections below describe the Company’s process for identifying expected credit impairments for debt security types that have the most significant unrealized losses as of March 31, 2021.

Mortgage-Backed Securities
Citi records no allowances for credit losses on U.S. government-agency-guaranteed mortgage-backed securities, because the Company expects to incur no credit losses in the event of default due to a history of incurring no credit losses and due to the nature of the counterparties.

State and Municipal Securities
The process for estimating credit losses in Citigroup’s AFS state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citi 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 Aa2/AA. In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.
For AFS state and municipal bonds with unrealized losses that Citi plans to sell, or would more-likely-than-not be required to sell, the full impairment is recognized in earnings. For AFS state and municipal bonds where Citi has no intent to sell and it is more-likely-than-not that the Company will not be required to sell, Citi records an allowance for expected credit losses for the amount it expects not to collect, capped at the difference between the bond’s amortized cost basis and fair value.

Equity Method Investments
Management assesses equity method investments that have fair values that are less than their respective carrying values for other-than-temporary impairment (OTTI). Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 20 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would more-likely-than-not be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized as OTTI in Other revenue 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.
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Recognition and Measurement of Impairment
The following table presents total impairment on Investments recognized in earnings:
Three Months Ended
March 31, 2021		Three Months Ended
March 31, 2020
In millions of dollarsAFSOther
assets		TotalAFSOther assetsTotal
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:   
Total impairment losses recognized during the period$0 $0 $0 $0 $0 $0 
Less: portion of impairment loss recognized in AOCI (before taxes)
0 0 0 0 0 0 
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$0 $0 $0 $0 $0 $0 
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise69 0 69 52 0 52 
Total impairment losses recognized in earnings$69 $0 $69 $52 $0 $52 

Allowance for Credit Losses on AFS Debt Securities
Three Months Ended March 31, 2021
In millions of dollarsForeign governmentCorporateTotal AFS
Allowance for credit losses at beginning of period$0 $5 $5 
Less: Write-offs0 0 0 
Recoveries of amounts written-off0 0 0 
Net credit losses (NCLs)$0 $0 $0 
NCLs$0 $0 $0 
Credit losses on securities without previous credit losses0 0 0 
Net reserve builds (releases) on securities with previous credit losses0 0 0 
Total provision for credit losses$0 $0 $0 
Initial allowance on newly purchased credit-deteriorated securities during the period0 0 0 
Allowance for credit losses at end of period$0 $5 $5 

Citi did 0t have an allowance for credit losses on AFS debt securities at March 31, 2020.



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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 components.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, 2021 and December 31, 2020:
In millions of dollarsMarch 31, 2021December 31, 2020
Measurement alternative:
Carrying value$1,079 $962 


Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:
Three Months Ended
March 31,
In millions of dollars20212020
Measurement alternative(1):
Impairment losses$0 $3 
Downward changes for observable prices0 0 
Upward changes for observable prices81 25 

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

Life-to-date amounts on securities still held
In millions of dollarsMarch 31, 2021
Measurement alternative:
Impairment losses$68
Downward changes for observable prices53
Upward changes for observable prices567

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended March 31, 2021 and 2020, there was 0 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 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.




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Fair valueUnfunded
commitments		Redemption frequency
(if currently eligible)
monthly, quarterly, annually		Redemption 
notice
period
In millions of dollarsMarch 31,
2021		December 31, 2020March 31,
2021		December 31, 2020
Private equity funds(1)(2)
$116 $123 $60 $62 ——
Real estate funds(2)(3)
4 9 2 20 ——
Mutual/collective investment funds19 20 0 0 ——
Total$139 $152 $62 $82 ——
(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.
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13.  LOANS

Citigroup loans are reported in 2 categories: consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans. For additional information regarding Citi’s consumer and corporate loans, including related accounting policies, see Note 1 to the Consolidated Financial Statements and Notes 1 and 14 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

Consumer LoansACCOUNTING CHANGES
For consumer loans, most portfolios including North America cards, mortgages and personal installment loans (PILs) are covered by
Accounting for Financial Instruments—Credit Losses

Overview
In June 2016, the PD, LGD and EAD loss forecasting models. Some smaller international portfolios are covered by econometric models where the grossFinancial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introduced a new credit loss (GCL) rate is forecasted. The modelingmethodology, the current expected credit losses (CECL) methodology, which requires earlier recognition of all retail products is performed by examining risk drivers for a given portfolio; these drivers relate to exposures with similar credit risk characteristics and consider past events, current conditions and R&S forecasts. Underlosses while also providing additional disclosure about credit risk. Citi adopted the PD x LGD x EAD approach, GCLs and recoveries are captured onASU as of January 1, 2020, which, as discussed below, resulted in an undiscounted basis. Citi incorporates expected recoveries on loans into its reserve estimate, including expected recoveries on assets previously written off. The R&S forecast period for consumer loans is 13 quarters and reverts to historical loss experience thereafter.
CECL defines the exposure’s expected life as the remaining contractual maturity including any expected prepayments. Subsequent changes to the contractual terms that are the result of a re-underwriting are not includedincrease in the loan’s expected CECL life.
Citi does not establish reserves for the uncollectible accrued interest on non-revolving consumer products, such as mortgages and installment loans, which are subject to a non-accrual and timely write-off policy. As such, only the principal balance is subject to the CECL reserve methodology and interest does not attract a further reserve. FAS 91-deferred origination costs or fees related to new account originations are amortized within a 12-month period, and an ACL is provided for components in the scope of the ASC.
Separate valuation allowances are determined for impaired smaller-balance homogeneous loans whose terms have been modified in a TDR. Long-term modification programs, and short-term (less than 12 months) modifications that provide concessions (such as interest rate reductions) to borrowers in financial difficulty, are reported as TDRs. In addition, loan modifications that involve a trial period are reported as TDRs at the start of the trial period.


The ACL for TDRs is determined using a discounted cash flow (DCF) approach. When a DCF approach is used, the initial allowance for ECLs is calculated as the expected contractual cash flows discounted at the loan’s original effective interest rate. DCF techniques are applied only for consumer loans classified as TDR loan exposures.
For cards, Citi uses the payment rate approach, which leverages payment rate curves, to determine the payments that should be applied to liquidate the end-of-period balance (CECL balance) in the estimation of EAD. The payment rate approach uses customer payment behavior (payment rate) to establish the portion of the CECL balance that will be paid each month. These payment rates are defined as the percentage of principal payments received in the respective month divided by the prior month’s billed principal balance. The liquidation (CECL payment) amount for each forecast period is determined by multiplying the CECL balance by that period’s forecasted payment rate. The cumulative sum of these payments less the CECL balance produces the balance liquidation curve. Citi does not apply a non-accrual policy to credit card receivables; rather, they are subject to full charge-off at 180 days past due. As such, the entire customer balance up until write-off, including accrued interest and fees, will be subject to the CECL reserve methodology.

Corporate Loans and HTM Securities
Citi records allowancesCiti’s Allowance for credit losses on alland a decrease to opening Retained earnings, net of deferred income taxes, at January 1, 2020.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities, receivables and other financial assets carriedmeasured at amortized cost that are inat the scope of CECL, including corporate loans classified as HFI and HTM debt securities. Discounting techniques are applied for corporate loans classified as HFI and HTM securities and non-accrual/TDR loan exposures. All cash flows are discounted to the reporting date under the LGD models. The ACLs include Citi’s estimate of all credit losses expected to be incurred over the estimated full contractual life of the financial asset. The contractual life oftime the financial asset does not includeis originated or acquired. The ACL is adjusted each period for changes in expected extensions, renewalslifetime credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or modifications, except for instances whereother financial asset, the Company reasonably expects to extendmethodology generally results in the tenorearlier recognition of the financial asset pursuantprovision for credit losses and the related ACL than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost that Citi intends to a future TDR. The decreasehold or more-likely-than-not will not be required to sell, credit-related impairment, if any, is recognized through an ACL and adjusted each period for changes in credit risk.

January 1, 2020 CECL Transition (Day 1) Impact
The CECL methodology’s impact on expected credit losses, under CECL atamong other things, reflects Citi’s view of the current state of the economy, forecasted macroeconomic conditions and Citi’s portfolios. At the January 1, 2020 date of adoption, based on January 1, 2020, comparedforecasts of macroeconomic conditions and exposures at that time, the aggregate impact to Citi was an approximate $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the prior incurredAllowance for credit losses for Citi’s consumer exposures, primarily driven by the impact on credit card receivables of longer estimated tenors under the CECL lifetime expected credit loss methodology is(loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries; and (ii) a release of $0.8 billion of reserves primarily related to Citi’s corporate net loan loss exposures, largely due to more precise contractual maturities that result in shorter remaining tenors, the incorporation of recoveries and use
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of more specific historical loss data based on an increase in portfolio segmentation across industries and geographies.
The R&SUnder the CECL methodology, the Allowance for credit losses consists of quantitative and qualitative components. Citi’s quantitative component of the Allowance for credit losses is model based and utilizes a single forward-looking macroeconomic forecast, complemented by the qualitative component described below, in estimating expected credit losses and discounts inputs for the corporate classifiably managed portfolios. Reasonable and supportable forecast periods vary by product. For example, Citi’s consumer models use a 13-quarter reasonable and supportable period for wholesale portfolios is nine quarters. After the R&S period, the modelsand revert to historical averages overloss experience thereafter, while its corporate loan models use a nine-quarter reasonable and supportable period followed by a three-quarter graduated transition period. The R&S and reversion periods were determined primarilyto historical loss experience.
Citi’s qualitative component of the Allowance for credit losses considers (i) the uncertainty of forward-looking scenarios based on historical analysis of losses for various portfolio segments.
The Company primarily bases its allowances for ECLs on models that assess the likelihood and severity of a possible recession as another possible scenario; (ii) certain portfolio characteristics, such as portfolio concentration and collateral coverage; and (iii) model limitations as well as idiosyncratic events. Citi calculates a judgmental management adjustment, which is an alternative, more adverse scenario that only considers downside risk.

Accounting for Variable Post-Charge-Off Third-Party Collection Costs
In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by a change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, as follows:
•An increase to beginning retained earnings on January 1, 2020 of $330 million and a decrease of $443 million in the allowance for credit eventslosses on loans, as well as a $113 million decrease in other assets related to income taxes.
•A decrease of $18 million to provisions for credit losses on loans in the first quarter and their impactincreases of $339 million and $122 million to provisions for credit losses on cash flows under R&S forecasted economic scenarios. Allowances considerloans in the probabilitysecond and third quarters, respectively.
•Increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively.

In making these revisions, Citi considered the guidance in ASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270, Interim Reporting; ASC Topic 250-S99-1, Assessing Materiality; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements. Citi believes that the effects of the borrower’s default,
revisions were not material to any previously reported quarterly or annual period.

Reference Rate Reform
In March 2020, the lossFASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Company would incurEffects of Reference Rate Reform on Financial Reporting, which provides optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to consider amendments to contracts made to comply with reference rate reform to meet the definition of a modification under U.S. GAAP. It further allows hedge accounting to be maintained and permits a one-time transfer or sale of qualifying held-to-maturity securities. The expedients and exceptions provided by the amendments are permitted to be adopted any time through December 31, 2022 and do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU was adopted by Citi as of June 30, 2020 with prospective application and did not impact financial results in 2020.
In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Scope, which clarifies that the scope of the initial accounting relief issued by the FASB in March 2020 includes derivative instruments that do not reference a rate that is expected to be discontinued but that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform (commonly referred to as the “discounting transition”). The amendments do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022 and existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022, that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship. The ASU was adopted by Citi on a full retrospective basis upon defaultissuance and the borrower’s exposure at default. Suchdid not impact financial results in 2020.

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FUTURE ACCOUNTING CHANGES
models discount
Long-Duration Insurance Contracts
In August 2018, the present valueFASB issued ASU No. 2018-12, Financial Services—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts, which changes the existing recognition, measurement, presentation and disclosures for long-duration contracts issued by an insurance entity. Specifically, the guidance (i) improves the timeliness of allrecognizing changes in the liability for future policy benefits and prescribes the rate used to discount future cash flows discounted usingfor long-duration insurance contracts, (ii) simplifies and improves the asset’s EIR.accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, (iii) simplifies the amortization of deferred acquisition costs and (iv) introduces additional quantitative and qualitative disclosures. Citi applieshas certain insurance subsidiaries, primarily in Mexico, that issue long-duration insurance contracts that will be impacted by the requirements of ASU 2018-12.
The effective date of ASU 2018-12 was deferred for all insurance entities by ASU 2019-09, Finance Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued November 2020). Citi plans to adopt the targeted improvements in ASU 2018-12 on January 1, 2023 and is currently evaluating the impact of the standard on its insurance subsidiaries. Citi does not expect a more simplified approachmaterial impact to its results of operations as a result of adopting the standard.
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2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

The Company’s results from Discontinued operations consisted of residual activities related to previously divested operations. All Discontinued operations results are recorded within Corporate/Other.
The following table summarizes financial information for all Discontinued operations:
Three Months Ended March 31,
In millions of dollars20212020
Total revenues, net of interest expense$0 $0 
Loss from discontinued operations(1)
$(2)$(18)
Benefit for income taxes0 0 
Income (loss) from discontinued operations, net of taxes$(2)$(18)

(1)Amounts in each period relate to the sale of the Egg Banking business in 2011.

Cash flows from Discontinued operations were not material for the periods presented.
As of March 31, 2021, Citi did not have any definitive sales transactions related to its recently announced intention to pursue exits of its consumer franchises in 13 markets across Asia and EMEA. In addition, Citi did not have any significant disposals to report as of March 31, 2021.
For a description of the Company’s significant disposal transactions in prior periods and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.


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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 legacy loan portfolios, discontinued operations and other legacy assets.
Beginning in the first quarter of 2021, Citi changed its allocation for certain recurring expenses that are attributable to the business segments from Corporate/Other to GCB and ICG. These expenses include incremental investments related to risk and controls, technology capabilities and information security initiatives, as well as some incremental spend related to pandemic remediation. This change had no impact to earnings before interest and taxes at the Citi level, and given that these expenses were immaterial, the change is not reflected retrospectively. Citi’s consolidated results remained unchanged for all periods presented.
For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 2020 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,
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 billions202120202021202020212020March 31,
2021		December 31, 2020
Global Consumer Banking$7,037 $8,174 $658 $(266)$2,174 $(741)$439 $434 
Institutional Clients Group12,220 12,484 1,736 1,044 5,972 3,626 1,776 1,730 
Corporate/Other70 73 (62)(198)(169)(337)99 96 
Total$19,327 $20,731 $2,332 $580 $7,977 $2,548 $2,314 $2,260 
(1)     Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $9.3 billion and $10.2 billion; in EMEA of $3.7 billion and $3.5 billion; in Latin America of $2.1 billion and $2.6 billion; and in Asia of $4.1 billion and $4.4 billion for the three months ended March 31, 2021 and 2020, 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 $(0.2) billion and $4.8 billion; in the ICG results of $(1.8) billion and $2.0 billion; and in the Corporate/Other results of $(0.1) billion and $0.2 billion for the three months ended March 31, 2021 and 2020, respectively.

100

4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
Three Months Ended March 31,
In millions of dollars20212020
Interest revenue
Loan interest, including fees$8,909 $11,250 
Deposits with banks145 527 
Securities borrowed and purchased under agreements to resell294 1,208 
Investments, including dividends1,752 2,281 
Trading account assets(1)
1,337 1,590 
Other interest-bearing assets97 283 
Total interest revenue$12,534 $17,139 
Interest expense
Deposits(2)
$1,052 $2,614 
Securities loaned and sold under agreements to repurchase253 1,085 
Trading account liabilities(1)
114 239 
Short-term borrowings and other interest-bearing liabilities31 384 
Long-term debt918 1,325 
Total interest expense$2,368 $5,647 
Net interest revenue$10,166 $11,492 
Provision for credit losses on loans(1,479)6,377 
Net interest revenue after provision for credit losses on loans$11,645 $5,115 
(1)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(2)Includes deposit insurance fees and charges of $340 million and $225 million for the three months ended March 31, 2021 and 2020, respectively.


101

5.  COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES

For additional information on Citi’s commissions and fees, and administration and other fiduciary fees, see Note 5 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.

The following tables present Commissions and fees revenue:
Three Months Ended March 31,
2021
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$1,624 $0 $0 $1,624 
Brokerage commissions615 327 0 942 
Credit- and bank-card income
  Interchange fees158 1,906 0 2,064 
  Card-related loan fees5 177 0 182 
  Card rewards and partner payments(1)
(75)(2,096)0 (2,171)
Deposit-related fees(2)
244 85 0 329 
Transactional service fees241 24 0 265 
Corporate finance(3)
158 0 0 158 
Insurance distribution revenue5 130 0 135 
Insurance premiums0 20 0 20 
Loan servicing12 7 4 23 
Other41 58 0 99 
Total commissions and fees(4)
$3,028 $638 $4 $3,670 

Three Months Ended March 31,
2020
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$1,040 $0 $0 $1,040 
Brokerage commissions577 249 0 826 
Credit- and bank-card income
  Interchange fees261 1,917 0 2,178 
  Card-related loan fees11 166 0 177 
  Card rewards and partner payments(1)
(149)(2,093)0 (2,242)
Deposit-related fees(2)
233 115 0 348 
Transactional service fees227 24 0 251 
Corporate finance(3)
146 0 0 146 
Insurance distribution revenue4 125 0 129 
Insurance premiums0 43 0 43 
Loan servicing20 11 8 39 
Other30 56 0 86 
Total commissions and fees(4)
$2,400 $613 $8 $3,021 
(1)Citi’s consumer credit card programs have certain partner-sharing agreements that vary by partner. These agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on historical loss ratesthe profitability of a program and is generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner-sharing agreements, program expenses include net credit losses and, to certain exposures recordedthe extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions.
(2)Includes overdraft fees of $24 million and $31 million for the three months ended March 31, 2021 and 2020, respectively. Overdraft fees are accounted for under ASC 310.
(3)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
102

(4)Commissions and fees includes $(1,749) million and $(1,802) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended March 31, 2021 and 2020, respectively. Amounts reported in Other assets 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 exposuresservicing fees.

The following table presents Administration and other fiduciary fees revenue:
Three Months Ended March 31,
2021
In millions of dollarsICGGCBCorporate/OtherTotal
Custody fees$451 $6 $0 $457 
Fiduciary fees192 167 0 359 
Guarantee fees142 2 1 145 
Total administration and other fiduciary fees(1)
$785 $175 $1 $961 
Three Months Ended March 31,
2020
In millions of dollarsICGGCBCorporate/OtherTotal
Custody fees$366 $8 $15 $389 
Fiduciary fees172 156 0 328 
Guarantee fees134 2 1 137 
Total administration and other fiduciary fees(1)
$672 $166 $16 $854 
(1)    Administration and other fiduciary fees includes $145 million and $136 million for the three months ended March 31, 2021 and 2020, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.

103

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 and characterized below based on the primary risk managed by each trading desk. Not included in the private bank.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. 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,
In millions of dollars20212020
Interest rate risks(1)
$1,433 $1,838 
Foreign exchange risks(2)
962 1,066 
Equity risks(3)
845 819 
Commodity and other risks(4)
200 395 
Credit products and risks(5)
473 1,143 
Total$3,913 $5,261 
(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.
104

7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 2020 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 2020 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,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20212020202120202021202020212020
Benefits earned during the period$0 $0 $39 $37 $0 $0 $2 $2 
Interest cost on benefit obligation82 106 62 64 3 5 25 24 
Expected return on assets(182)(208)(61)(65)(4)(5)(22)(20)
Amortization of unrecognized:     
Prior service cost (benefit)1 1 (1)(1)(2)0 (2)(2)
Net actuarial loss62 56 18 17 0 0 5 5 
Total net (benefit) expense$(37)$(45)$57 $52 $(3)$0 $8 $9 




105

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, 2021
 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$13,815 $8,629 $559 $1,390 
Plans measured annually(25)(2,248)0 (277)
Projected benefit obligation at beginning of year—Significant Plans$13,790 $6,381 $559 $1,113 
Benefits earned during the period0 23 0 1 
Interest cost on benefit obligation$82 $52 3 22 
Actuarial gain(1)
(849)(428)(31)(123)
Benefits paid, net of participants’ contributions and government subsidy$(216)$(84)(9)(18)
Foreign exchange impact and other0 (135)0 (28)
Projected benefit obligation at period end—Significant Plans$12,807 $5,809 $522 $967 
Change in plan assets    
Plan assets at fair value at beginning of year$13,309 $7,831 $331 $1,146 
Plans measured annually0 (1,500)0 (8)
Plan assets at fair value at beginning of year—Significant Plans$13,309 $6,331 $331 $1,138 
Actual return on plan assets(232)(230)(4)4 
Company contributions, net of reimbursements13 18 5 0 
Benefits paid, net of participants’ contributions and government subsidy(216)(84)(9)(18)
Foreign exchange impact and other0 (108)0 (30)
Plan assets at fair value at period end—Significant Plans$12,874 $5,927 $323 $1,094 
Funded status of the Significant Plans
Qualified plans(2)
$730 $118 $(199)$127 
Nonqualified plans(3)
(663)0 0 0 
Funded status of the plans at period end—Significant Plans$67 $118 $(199)$127 
Net amount recognized at period end    
Benefit asset$730 $705 $0 $127 
Benefit liability(663)(587)(199)0 
Net amount recognized on the balance sheet—Significant Plans$67 $118 $(199)$127 
Amounts recognized in AOCI at period end
   
Prior service benefit$0 $1 $99 $55 
Net actuarial (loss) gain(6,627)(1,043)78 (221)
Net amount recognized in equity (pretax)—Significant Plans$(6,627)$(1,042)$177 $(166)
Accumulated benefit obligation at period end—Significant Plans$12,804 $5,211 $522 $967 
(1)During 2021, the actuarial gain is primarily due to the increase in global discount rates.
(2)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2021 and no minimum required funding is expected for 2021.
(3)The nonqualified plans of the Company are unfunded.

106

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, 2021For Year Ended December 31, 2020
Beginning of period balance, net of tax(1)(2)
$(6,864)$(6,809)
Actuarial assumptions changes and plan experience1,430 (1,464)
Net asset (loss) gain due to difference between actual and expected returns(718)1,076 
Net amortization81 318 
Prior service credit0 108 
Curtailment/settlement loss(3)
0 (8)
Foreign exchange impact and other114 (108)
Change in deferred taxes, net(193)23 
Change, net of tax$714 $(55)
End of period balance, net of tax(1)(2)
$(6,150)$(6,864)

(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 Ended
Mar. 31, 2021Dec. 31, 2020
U.S. plans
Qualified pension2.45 %2.55 %
Nonqualified pension2.35 2.50 
Postretirement2.20 2.35 
Non-U.S. plans  
Pension0.05-8.150.05-8.55
Weighted average3.60 3.74 
Postretirement8.55 9.00 

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 endedMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
U.S. plans
Qualified pension3.10 %2.45 %3.20 %
Nonqualified pension3.00 2.35 3.25 
Postretirement2.85 2.20 3.20 
Non-U.S. plans   
Pension0.25-9.300.05-8.150.45-9.45
Weighted average3.59 3.60 4.38 
Postretirement9.70 8.55 9.75 






Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a one-percentage-point change in the discount rate:
Three Months Ended March 31, 2021
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension
   U.S. plans$9 $(15)
   Non-U.S. plans0 5 
Postretirement
   U.S. plans0 (1)
   Non-U.S. plans(3)3 



















107

Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first three months of 2021.
The following table summarizes the Company’s actual contributions for the three months ended March 31, 2021 and 2020, as well as expected Company contributions for the remainder of 2021 and the actual contributions made in 2020:
 Pension plans Postretirement plans 
 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20212020202120202021202020212020
Company contributions(2) for the three months ended
March 31
$14 $14 $37 $37 $5 $0 $2 $2 
Company contributions (reimbursements) made during the
remainder of the year		— 42 — 121 — (15)— 7 
Company contributions expected to be made during
the remainder of the year		43 — 114 — 5 — 6 — 

(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,
In millions of dollars20212020
U.S. plans$105 $101 
Non-U.S. plans92 76 

Post Employment Plans
The following table summarizes the net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
Three Months Ended March 31,
In millions of dollars20212020
Non-service-related expense$5 $5 
Total net expense$5 $5 











108

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,
In millions of dollars, except per share amounts20212020
Earnings per common share
Income from continuing operations before attribution of noncontrolling interests$7,977 $2,548 
Less: Noncontrolling interests from continuing operations33 (6)
Net income from continuing operations (for EPS purposes)$7,944 $2,554 
Loss from discontinued operations, net of taxes(2)(18)
Citigroup’s net income$7,942 $2,536 
Less: Preferred dividends(1)
292 291 
Net income available to common shareholders$7,650 $2,245 
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS66 21 
Net income allocated to common shareholders for basic EPS$7,584 $2,224 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,082.0 2,097.9 
Basic earnings per share(2)
Income from continuing operations$3.64 $1.07 
Discontinued operations0 (0.01)
Net income per share—basic$3.64 $1.06 
Diluted earnings per share
Net income allocated to common shareholders for basic EPS$7,584 $2,224 
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable7 7 
Net income allocated to common shareholders for diluted EPS$7,591 $2,231 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,082.0 2,097.9 
Effect of dilutive securities
   Options(3)
0.1 0.1 
   Other employee plans14.5 15.7 
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4)
2,096.6 2,113.7 
Diluted earnings per share(2)
  
Income from continuing operations$3.62 $1.06 
Discontinued operations0 (0.01)
Net income per share—diluted$3.62 $1.06 
(1)On April 1, 2021, Citi declared preferred dividends of approximately $253 million for the second quarter of 2021. During the first quarter of 2021, Citi redeemed all of its 41.4 million Series S preferred shares for $1.035 billion and 465,000 shares of its Series R preferred shares for $465 million; in February, Citi also issued 2.3 million of Series X preferred shares for $2.3 billion. On April 16, 2021, Citi announced that it will be redeeming all of its 1.25 million Series Q preferred shares for $1.25 billion and 1.035 million shares of its Series R preferred shares for $1.035 billion. As of May 5, 2021, Citi estimates it will distribute preferred dividends of approximately $266 million and $228 million in the third and fourth quarters of 2021, respectively, subject to such dividends being declared by the Citi Board of Directors.
(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 first quarter of 2021 and 2020, no significant options to purchase shares of common stock were outstanding.
(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.

109

10. 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 2020 Annual Report on Form 10-K.
Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2021		December 31, 2020
Securities purchased under agreements to resell$220,276 $204,655 
Deposits paid for securities borrowed94,801 90,067 
Total, net(1)
$315,077 $294,722 
Allowance for credit losses on securities purchased and borrowed(2)
(5)(10)
Total, net of allowance$315,072 $294,712 

Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2021		December 31, 2020
Securities sold under agreements to repurchase$198,029 $181,194 
Deposits received for securities loaned21,139 18,331 
Total, net(1)
$219,168 $199,525 

(1)    The above tables do not include securities-for-securities lending transactions of $2.7 billion and $6.8 billion at March 31, 2021 and December 31, 2020, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
(2)     See Note 14 to the Consolidated Financial Statements for further information.

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 amounts 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, 2021
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
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$336,164 $115,888 $220,276 $184,850 $35,426 
Deposits paid for securities borrowed106,008 11,207 94,801 20,754 74,047 
Total$442,172 $127,095 $315,077 $205,604 $109,473 
110

In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$313,917 $115,888 $198,029 $102,256 $95,773 
Deposits received for securities loaned32,346 11,207 21,139 11,085 10,054 
Total$346,263 $127,095 $219,168 $113,341 $105,827 
 As of December 31, 2020
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
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$362,025 $157,370 $204,655 $159,232 $45,423 
Deposits paid for securities borrowed96,425 6,358 90,067 13,474 76,593 
Total$458,450 $163,728 $294,722 $172,706 $122,016 
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$338,564 $157,370 $181,194 $95,563 $85,631 
Deposits received for securities loaned24,689 6,358 18,331 7,982 10,349 
Total$363,253 $163,728 $199,525 $103,545 $95,980 
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by remaining contractual maturity:
As of March 31, 2021
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$154,646 $74,302 $39,859 $45,110 $313,917 
Deposits received for securities loaned22,498 1,265 2,730 5,853 32,346 
Total$177,144 $75,567 $42,589 $50,963 $346,263 

As of December 31, 2020
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$160,754 $98,226 $41,679 $37,905 $338,564 
Deposits received for securities loaned17,038 3 2,770 4,878 24,689 
Total$177,792 $98,229 $44,449 $42,783 $363,253 
111

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:
As of March 31, 2021
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$106,286 $0 $106,286 
State and municipal securities636 0 636 
Foreign government securities118,501 1,909 120,410 
Corporate bonds21,778 148 21,926 
Equity securities22,651 30,136 52,787 
Mortgage-backed securities36,336 0 36,336 
Asset-backed securities2,501 0 2,501 
Other5,228 153 5,381 
Total$313,917 $32,346 $346,263 

As of December 31, 2020
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$112,437 $0 $112,437 
State and municipal securities664 2 666 
Foreign government securities130,017 194 130,211 
Corporate bonds20,149 78 20,227 
Equity securities21,497 24,149 45,646 
Mortgage-backed securities45,566 0 45,566 
Asset-backed securities3,307 0 3,307 
Other4,927 266 5,193 
Total$338,564 $24,689 $363,253 

112

11. BROKERAGE RECEIVABLES AND BROKERAGE PAYABLES

The Company considershas receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the riskordinary course of nonpaymentbusiness.
For additional information on these receivables and payables, see Note 12 to be zerothe Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsMarch 31,
2021		December 31, 2020
Receivables from customers$25,661 $18,097 
Receivables from brokers, dealers and clearing organizations34,804 26,709 
Total brokerage receivables(1)
$60,465 $44,806 
Payables to customers$45,065 $39,319 
Payables to brokers, dealers and clearing organizations15,842 11,165 
Total brokerage payables(1)
$60,907 $50,484 

(1)     Includes brokerage receivables and payables recorded by Citi broker-dealer entities that are accounted for U.S. Treasuriesin accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.
113

12.  INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for impairment, see Note 13 to the Consolidated Financial Statements
in Citi’s 2020 Annual Report on Form 10-K.





The following table presents Citi’s investments by category:
In millions of dollarsMarch 31,
2021		December 31, 2020
Debt securities available-for-sale (AFS)$304,036 $335,084 
Debt securities held-to-maturity (HTM)(1)
161,742 104,943 
Marketable equity securities carried at fair value(2)
249 515 
Non-marketable equity securities carried at fair value(2)
535 551 
Non-marketable equity securities measured using the measurement alternative(3)
1,079 962 
Non-marketable equity securities carried at cost(4)
5,318 5,304 
Total investments$472,959 $447,359 

(1)Carried at adjusted amortized cost basis, net of any ACL.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See ”Non-Marketable Equity Securities Not Carried at Fair Value” below.
(4)    Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.

The following table presents interest and dividend income on investments:
Three Months Ended March 31,
In millions of dollars20212020
Taxable interest$1,652 $2,179 
Interest exempt from U.S. federal income tax66 76 
Dividend income34 26 
Total interest and dividend income on investments$1,752 $2,281 


The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:
Three Months Ended March 31,
In millions of dollars20212020
Gross realized investment gains$460 $461 
Gross realized investment losses(59)(29)
Net realized gains on sales of investments$401 $432 



114

Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
 March 31, 2021December 31, 2020
In millions of dollarsAmortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value		Amortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value
Debt securities AFS        
Mortgage-backed securities(1)
        
U.S. government-sponsored agency guaranteed$42,058 $894 $249 $0 $42,703 $42,836 $1,134 $52 $0 $43,918 
Non-U.S. residential435 2 0 0 437 568 3 0 0 571 
Commercial44 1 0 0 45 49 1 0 0 50 
Total mortgage-backed securities$42,537 $897 $249 $0 $43,185 $43,453 $1,138 $52 $0 $44,539 
U.S. Treasury and federal agency securities     
U.S. Treasury$121,573 $1,532 $455 $0 $122,650 $144,094 $2,108 $49 $0 $146,153 
Agency obligations50 0 0 0 50 50 1 0 0 51 
Total U.S. Treasury and federal agency securities$121,623 $1,532 $455 $0 $122,700 $144,144 $2,109 $49 $0 $146,204 
State and municipal$3,283 $87 $119 $0 $3,251 $3,753 $123 $157 $0 $3,719 
Foreign government119,126 979 491 0 119,614 123,467 1,623 122 0 124,968 
Corporate10,274 97 118 5 10,248 10,444 152 91 5 10,500 
Asset-backed securities(1)
272 2 0 0 274 277 5 4 0 278 
Other debt securities4,758 6 0 0 4,764 4,871 5 0 0 4,876 
Total debt securities AFS$301,873 $3,600 $1,432 $5 $304,036 $330,409 $5,155 $475 $5 $335,084 
(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. 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.

115

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 longerTotal
In millions of dollarsFair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses
March 31, 2021      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$17,053 $227 $262 $22 $17,315 $249 
Non-U.S. residential15 0 1 0 16 0 
Commercial1 0 0 0 1 0 
Total mortgage-backed securities$17,069 $227 $263 $22 $17,332 $249 
U.S. Treasury$40,386 $455 $0 $0 $40,386 $455 
State and municipal191 5 1,215 114 1,406 119 
Foreign government46,138 389 4,629 102 50,767 491 
Corporate3,017 116 39 2 3,056 118 
Asset-backed securities3 0 0 0 3 0 
Other debt securities1,079 0 0 0 1,079 0 
Total debt securities AFS$107,883 $1,192 $6,146 $240 $114,029 $1,432 
December 31, 2020      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$3,588 $30 $298 $22 $3,886 $52 
Non-U.S. residential1 0 0 0 1 0 
Commercial7 0 4 0 11 0 
Total mortgage-backed securities$3,596 $30 $302 $22 $3,898 $52 
U.S. Treasury and federal agency securities     
U.S. Treasury$25,031 $49 $0 $0 $25,031 $49 
Agency obligations50 0 0 0 50 0 
Total U.S. Treasury and federal agency securities$25,081 $49 $0 $0 $25,081 $49 
State and municipal$836 $34 $893 $123 $1,729 $157 
Foreign government29,344 61 3,502 61 32,846 122 
Corporate1,083 90 24 1 1,107 91 
Asset-backed securities194 3 39 1 233 4 
Other debt securities182 0 0 0 182 0 
Total debt securities AFS$60,316 $267 $4,760 $208 $65,076 $475 



116

The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
 March 31, 2021December 31, 2020
In millions of dollarsAmortized
cost		Fair
value		Amortized
cost		Fair
value
Mortgage-backed securities(1)
  
Due within 1 year$70 $70 $27 $27 
After 1 but within 5 years387 389 567 571 
After 5 but within 10 years819 876 688 757 
After 10 years(2)
41,261 41,850 42,171 43,184 
Total$42,537 $43,185 $43,453 $44,539 
U.S. Treasury and federal agency securities    
Due within 1 year$29,917 $30,048 $34,834 $34,951 
After 1 but within 5 years90,482 91,455 108,160 110,091 
After 5 but within 10 years1,222 1,195 1,150 1,162 
After 10 years(2)
2 2 0 0 
Total$121,623 $122,700 $144,144 $146,204 
State and municipal    
Due within 1 year$408 $408 $427 $428 
After 1 but within 5 years117 118 189 198 
After 5 but within 10 years240 239 276 267 
After 10 years(2)
2,518 2,486 2,861 2,826 
Total$3,283 $3,251 $3,753 $3,719 
Foreign government    
Due within 1 year$48,334 $48,426 $48,133 $48,258 
After 1 but within 5 years63,516 63,789 67,365 68,586 
After 5 but within 10 years5,562 5,599 5,908 6,011 
After 10 years(2)
1,714 1,800 2,061 2,113 
Total$119,126 $119,614 $123,467 $124,968 
All other(3)
    
Due within 1 year$6,332 $6,338 $6,661 $6,665 
After 1 but within 5 years7,886 7,898 7,814 7,891 
After 5 but within 10 years992 979 1,018 1,034 
After 10 years(2)
94 71 99 64 
Total$15,304 $15,286 $15,592 $15,654 
Total debt securities AFS$301,873 $304,036 $330,409 $335,084 
(1)Includes mortgage-backed securities of U.S. government-sponsored agency guaranteed mortgage-backedagencies. The Company invests in mortgage- and asset-backed securities, (MBS),which are typically issued by VIEs through securitization transactions.
(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.


117

Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as such, Citi does not havefollows:
In millions of dollars
Amortized
cost, net(1)
Gross
unrealized
gains		Gross
unrealized
losses		Fair
value
March 31, 2021    
Debt securities HTM    
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed$63,783 $1,643 $718 $64,708 
Non-U.S. residential1,107 3 1 1,109 
Commercial887 2 1 888 
Total mortgage-backed securities$65,777 $1,648 $720 $66,705 
U.S. Treasury securities$58,380 $0 $925 $57,455 
State and municipal(3)
9,446 631 17 10,060 
Foreign government1,877 45 8 1,914 
Asset-backed securities(2)
26,262 10 31 26,241 
Total debt securities HTM, net$161,742 $2,334 $1,701 $162,375 
December 31, 2020    
Debt securities HTM   
Mortgage-backed securities(2)
    
U.S. government-sponsored agency guaranteed$49,004 $2,162 $15 $51,151 
Non-U.S. residential1,124 3 1 1,126 
Commercial825 1 1 825 
Total mortgage-backed securities$50,953 $2,166 $17 $53,102 
U.S. Treasury securities(4)
$21,293 $4 $55 $21,242 
State and municipal9,185 755 11 9,929 
Foreign government1,931 91 0 2,022 
Asset-backed securities(2)
21,581 6 92 21,495 
Total debt securities HTM, net$104,943 $3,022 $175 $107,790 
(1)Amortized cost is reported net of ACL of $78 million and $86 million at March 31, 2021 and December 31, 2020, respectively.
(2)The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
(3)In February 2021, Citibank transferred $237 million of state and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an ACL for theseunrealized gain position of $14 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities. For all other
(4)In August 2020, Citibank transferred $13.1 billion of investments in U.S. Treasury securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $144 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.


118

The following table presents the carrying value and fair value of HTM debt securities ECLsby contractual maturity dates:
 March 31, 2021December 31, 2020
In millions of dollars
Amortized cost(1)
Fair value
Amortized cost(1)
Fair value
Mortgage-backed securities    
Due within 1 year$244 $399 $81 $81 
After 1 but within 5 years596 626 463 477 
After 5 but within 10 years1,641 1,749 1,699 1,873 
After 10 years(2)
63,296 63,931 48,710 50,671 
Total$65,777 $66,705 $50,953 $53,102 
U.S. Treasury securities
Due within 1 year$0 $0 $0 $0 
After 1 but within 5 years28,176 27,697 18,955 19,127 
After 5 but within 10 years30,204 29,758 2,338 2,115 
After 10 years(2)
0 0 0 0 
Total$58,380 $57,455 $21,293 $21,242 
State and municipal    
Due within 1 year$8 $7 $6 $6 
After 1 but within 5 years172 176 139 142 
After 5 but within 10 years848 887 818 869 
After 10 years(2)
8,418 8,990 8,222 8,912 
Total$9,446 $10,060 $9,185 $9,929 
Foreign government    
Due within 1 year$352 $349 $361 $360 
After 1 but within 5 years1,525 1,565 1,570 1,662 
After 5 but within 10 years0 0 0 0 
After 10 years(2)
0 0 0 0 
Total$1,877 $1,914 $1,931 $2,022 
All other(3)
  
Due within 1 year$0 $0 $0 $0 
After 1 but within 5 years0 0 0 0 
After 5 but within 10 years13,973 13,956 11,795 15,020 
After 10 years(2)
12,289 12,285 9,786 6,475 
Total$26,262 $26,241 $21,581 $21,495 
Total debt securities HTM$161,742 $162,375 $104,943 $107,790 
(1)Amortized cost is reported net of ACL of $78 million and $86 million at March 31, 2021 and December 31, 2020, respectively.
(2)Investments with no stated maturities are estimated using PD modelsincluded as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate and discounting techniques, which incorporate assumptions regardingasset-backed securities.

HTM Debt Securities Delinquency and Non-Accrual Details
Citi did not have any HTM securities that were delinquent or on non-accrual status at March 31, 2021 and December 31, 2020.

There were no purchased credit-deteriorated HTM debt securities held by the likelihoodCompany as of March 31, 2021 and severityDecember 31, 2020.



119

Evaluating Investments for Impairment

AFS Debt Securities

Overview—AFS Debt Securities
The Company conducts periodic reviews of credit losses. For structuredall AFS debt securities specific models use relevant assumptions forwith unrealized losses to evaluate whether the underlying collateral type. A discounting approach is applied to HTM direct obligations of a single issuer, similar to that used for corporate HFI loans.

Other Financial Assets with Zero Expected Credit Losses
For certain financial assets, zeroimpairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.
An AFS debt security is impaired when the current fair value of an individual AFS debt security is less than its amortized cost basis.
The Company recognizes the entire difference between amortized cost basis and fair value in earnings for impaired AFS debt securities that Citi has an intent to sell or for which Citi believes it will more-likely-than-not be recognized where the expectation of nonpaymentrequired to sell prior to recovery of the amortized cost basis is zero, based on there being no history of loss and the nature of the receivables.

Secured Financing Transactions
Most of Citi’s reverse repurchase agreements,basis. However, for those AFS debt securities borrowing arrangements and margin loans require that the borrower continually adjustCompany does not intend to sell and is not likely to be required to sell, only the amountcredit-related impairment is recognized in earnings by recording an allowance for credit losses. Any remaining fair value decline for such securities is recorded in AOCI. The Company does not consider the length of the collateral securing Citi’s interest, primarily resulting from changes intime that the fair value of such collateral. In such arrangements, ACLs are recorded based only ona security is below its amortized cost when determining if a credit loss exists.
For AFS debt securities, credit losses exist where Citi does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security. The allowance for credit losses is limited to the amount by which the asset’sAFS debt security’s amortized cost basis exceeds its fair value. The allowance is increased or decreased if credit conditions subsequently worsen or improve. Reversals of credit losses are recognized in earnings.
The Company’s review for impairment of AFS debt securities generally entails:

•identification and evaluation of impaired investments;
•consideration of evidential matter, including an evaluation of factors or triggers that could cause individual positions to qualify as credit impaired and those that would not support credit impairment; and
•documentation of the results of these analyses, as required under business policies.

The sections below describe the Company’s process for identifying expected credit impairments for debt security types that have the most significant unrealized losses as of March 31, 2021.

Mortgage-Backed Securities
Citi records no allowances for credit losses on U.S. government-agency-guaranteed mortgage-backed securities, because the Company expects to incur no credit losses in the event of default due to a history of incurring no credit losses and due to the nature of the counterparties.

State and Municipal Securities
The process for estimating credit losses in Citigroup’s AFS state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citi 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 Aa2/AA. In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.
For AFS state and municipal bonds with unrealized losses that Citi plans to sell, or would more-likely-than-not be required to sell, the full impairment is recognized in earnings. For AFS state and municipal bonds where Citi has no intent to sell and it is more-likely-than-not that the Company will not be required to sell, Citi records an allowance for expected credit losses for the amount it expects not to collect, capped at the difference between the bond’s amortized cost basis and fair value.

Equity Method Investments
Management assesses equity method investments that have fair values that are less than their respective carrying values for other-than-temporary impairment (OTTI). Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 20 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would more-likely-than-not be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized as OTTI in Other revenue 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.
120

Recognition and Measurement of Impairment
The following table presents total impairment on Investments recognized in earnings:
Three Months Ended
March 31, 2021		Three Months Ended
March 31, 2020
In millions of dollarsAFSOther
assets		TotalAFSOther assetsTotal
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:   
Total impairment losses recognized during the period$0 $0 $0 $0 $0 $0 
Less: portion of impairment loss recognized in AOCI (before taxes)
0 0 0 0 0 0 
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$0 $0 $0 $0 $0 $0 
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise69 0 69 52 0 52 
Total impairment losses recognized in earnings$69 $0 $69 $52 $0 $52 

Allowance for Credit Losses on AFS Debt Securities
Three Months Ended March 31, 2021
In millions of dollarsForeign governmentCorporateTotal AFS
Allowance for credit losses at beginning of period$0 $5 $5 
Less: Write-offs0 0 0 
Recoveries of amounts written-off0 0 0 
Net credit losses (NCLs)$0 $0 $0 
NCLs$0 $0 $0 
Credit losses on securities without previous credit losses0 0 0 
Net reserve builds (releases) on securities with previous credit losses0 0 0 
Total provision for credit losses$0 $0 $0 
Initial allowance on newly purchased credit-deteriorated securities during the period0 0 0 
Allowance for credit losses at end of period$0 $5 $5 

Citi did 0t have an allowance for credit losses on AFS debt securities at March 31, 2020.



121

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 collateral. No ACLsinvestment 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, 2021 and December 31, 2020:
In millions of dollarsMarch 31, 2021December 31, 2020
Measurement alternative:
Carrying value$1,079 $962 


Below are recorded whereamounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:
Three Months Ended
March 31,
In millions of dollars20212020
Measurement alternative(1):
Impairment losses$0 $3 
Downward changes for observable prices0 0 
Upward changes for observable prices81 25 

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

Life-to-date amounts on securities still held
In millions of dollarsMarch 31, 2021
Measurement alternative:
Impairment losses$68
Downward changes for observable prices53
Upward changes for observable prices567

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended March 31, 2021 and 2020, there was 0 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 private equity funds, funds of the collateral is equal to or exceeds the asset’s amortized cost basis,funds and real estate funds, as Citi does not expect to incur credit losses onprovided by third-party asset managers. Investments in such well-collateralized exposures. For certain margin loans presented in Loans on the Consolidated Balance Sheet, credit lossesfunds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the same approachNAV 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.




122

Fair valueUnfunded
commitments		Redemption frequency
(if currently eligible)
monthly, quarterly, annually		Redemption 
notice
period
In millions of dollarsMarch 31,
2021		December 31, 2020March 31,
2021		December 31, 2020
Private equity funds(1)(2)
$116 $123 $60 $62 ——
Real estate funds(2)(3)
4 9 2 20 ——
Mutual/collective investment funds19 20 0 0 ——
Total$139 $152 $62 $82 ——
(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 corporate loans.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.
Accrued Interest
123
CECL permits entities

13.  LOANS

Citigroup loans are reported in 2 categories: consumer and corporate. These categories are classified primarily according to make an accounting policy election not to reserve for interest, if the entity has a policy in placesegment and subsegment that will result in timely reversal or write-off of interest. However, when a non-accrual or timely charge-off policy is not applied, an ACL is recognized on accrued interest.manage the loans. For HTM debt securities, Citi established a non-accrual policy that results in timely write-off of accrued interest. Foradditional information regarding Citi’s consumer and corporate loans, where a timely charge-off policy is used, Citi has elected to recognize an ACL on accrued interest receivable. The LGD models for corporate loans include an adjustment for estimated accrued interest.



Reasonably Expected TDRs
For corporate loans, the reasonable expectation of TDR concept requires that the contractual life over which ECLs are estimated be extended when a TDR that results in a tenor extension is reasonably expected. Reasonably expected TDRs are included in the life of the asset. A discounting technique or collateral-dependent practical expedient is used for non-accrual and TDR loan exposures that do not share risk characteristics with other loans and are individually assessed.

Purchased Credit Deteriorated (PCD) Assets
ASC 326 requires entities that have acquired financial assets (such as loans and HTM securities) with an intent to hold, to evaluate whether those assets have experienced a more-than-insignificant deterioration in credit quality since origination. These assets are subject to specializedincluding related accounting at initial recognition under CECL. Subsequent measurement of PCD assets will remain consistent with other purchased or originated assets, i.e., non-PCD assets. CECL introduces the notion of PCD assets, which replaces purchased credit impaired (PCI) accounting under legacy U.S. GAAP.
CECL requires the estimation of credit losses to be performed on a pool basis unless a PCD asset does not share characteristics with any pool. If certain PCD assets do not meet the conditions for aggregation, those PCD assets should be accounted for separately. This determination must be made at the date the PCD asset is purchased. In estimating ECLs from day 2 onward, pools can potentially be reassembled based upon similar risk characteristics. When PCD assets are pooled, Citi will determine the amount of the initial ACL at the pool level. The amount of the initial ACL for a PCD asset represents the portion of the total discount at acquisition that relates to credit and is recognized as a “gross-up” of the purchase price to arrive at the PCD asset’s (or pool’s) amortized cost. Any difference between the unpaid principal balance and the amortized cost is considered to be related to non-credit factors and results in a discount or premium, which is amortized to interest income over the life of the individual asset (or pool). Direct expenses incurred relatedpolicies, see Note 1 to the acquisition of PCD assetsConsolidated Financial Statements and other assetsNotes 1 and liabilities in a business combination must be expensed as incurred. Subsequent accounting for acquired PCD assets is the same as the accounting for originated assets; changes in the allowance are recorded in Provisions for credit losses.

Consumer
Citi does not purchase whole portfolios of PCD assets in its retail businesses. However, there may be a small portion of a purchased portfolio that is identified as PCD at the purchase date. Interest income recognition does not vary between PCD and non-PCD assets. A consumer financial asset is considered14 to be more-than-insignificantly credit deteriorated if it is more than 30 days past due at the purchase date.

Corporate
Citi generally classifies wholesale loans and debt securities classified HTM or AFS as PCD when both of the following criteria are met: (i) the purchase price discount is at least 10% of par and (ii) the purchase date is more than 90 days after the origination or issuance date. Citi classifies HTM beneficial interests rated AA- and lower obtained at origination from certain securitization transactions as PCD when there is a significant difference (i.e., 10% or greater) between contractual cash flows, adjusted for prepayments, and expected cash flows at the date of recognition.

Reserve Estimates and Policies
Management provides reserves for an estimate of lifetime ECLs in the funded loan portfolio on the Consolidated Balance SheetFinancial Statements in the form of an ACL. These reserves are established in accordance with Citigroup’s credit reserve policies, as approved by the Audit Committee of the Citigroup Board of Directors. Citi’s Chief Risk Officer and Chief Financial Officer review the adequacy of the credit loss reserves each quarter with representatives from the risk management and finance staffs for each applicable business area. Applicable business areas include those having classifiably managed portfolios, where internal credit risk ratings are assigned (primarily ICG) and delinquency managed portfolios (primarily GCB) or modified consumer loans, where concessions were granted due to the borrowers’ financial difficulties. The aforementioned representatives for these business areas present recommended reserve balances for their funded and unfunded lending portfolios along with supporting quantitative and qualitative data discussed below:

Estimated credit losses for non-performing, non-homogeneous exposures within a business line’s classifiably managed portfolio and impaired smaller-balance homogeneous loans whose terms have been modified due to the borrowers’ financial difficulties, where it was determined that a concession was granted to the borrower.2020 Annual Report on Form 10-K.
Consideration may be given to the following, as appropriate, when determining this estimate: (i) the present value of expected future cash flows discounted at the loan’s original effective rate, (ii) the borrower’s overall financial condition, resources and payment record and (iii) the prospects for support from financially responsible guarantors or the realizable value of any collateral. In the determination of the ACL for TDRs, management considers a combination of historical re-default rates, the current economic environment and the nature of the modification program when forecasting expected cash flows. When impairment is measured based on the present value of expected future cash flows, the entire change in present value is recorded in Provisions for credit losses.

Estimated credit losses in the delinquency-managed portfolios for performing exposures.
In addition, representatives from each of the risk management and finance staffs who cover business areas with delinquency-managed portfolios containing smaller-balance homogeneous loans present their recommended


reserve balances based on leading credit indicators, including loan delinquencies and changes in portfolio size as well as economic trends, including current and future housing prices, unemployment, length of time in foreclosure, costs to sell and GDP. This methodology is applied separately for each product within each geographic region in which these portfolios exist. This evaluation process is subject to numerous estimates and judgments. The frequency of default, risk ratings, loss recovery rates, size and diversity of individual large credits and ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account during this review. Changes in these estimates could have a direct impact on the credit costs in any period and could result in a change in the allowance.

Allowance for Unfunded Lending Commitments
Credit loss reserves are recognized on all off-balance sheet commitments that are not unconditionally cancelable. Corporate loan EAD models include an incremental usage factor (or credit conversion factor) to estimate ECLs on amounts undrawn at the reporting date. Off-balance sheet commitments include unfunded exposures, revolving facilities, securities underwriting commitments, letters of credit, HELOCs and financial guarantees. This reserve is classified on the Consolidated Balance Sheet in Other liabilities. Changes to the allowance for unfunded lending commitments are recorded in Provision for credit losses on unfunded lending commitments.

ACCOUNTING CHANGES

Accounting for Financial Instruments—Credit Losses

Overview
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses (Topic 326). The ASU introducesintroduced a new credit loss methodology, the Current Expected Credit Lossescurrent expected credit losses (CECL) methodology, which requires earlier recognition of credit losses while also providing additional transparencydisclosure about credit risk. Citi adopted the ASU as of January 1, 2020, which, as discussed below, resulted in an increase in Citi’s Allowance for credit losses and a decrease to opening Retained earnings, net of deferred income taxes, at January 1, 2020.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities, receivables and other financial assets measured at amortized cost at the time the financial asset is originated or acquired. The allowance for credit lossesACL is adjusted each period for changes in expected lifetime credit losses. The CECL methodology represents a significant change from prior U.S. GAAP and replaced the prior multiple existing impairment methods, which generally required that a loss be incurred before it was recognized. Within the life cycle of a loan or other financial asset, the methodology generally results in the earlier recognition of the provision for credit losses and the related allowance for credit lossesACL than prior U.S. GAAP. For available-for-sale debt securities where fair value is less than cost that Citi intends to hold or more-likely-than-not will not be required to sell, credit-related impairment, if any, is recognized through an allowance for credit lossesACL and adjusted each period for changes in credit risk.

January 1, 2020 CECL Transition (Day 1) Impact
The CECL methodology’s impact on expected credit losses, among other things, reflects Citi’s view of the current state of the economy, forecasted macroeconomic conditions and Citi’s portfolios. At the January 1, 2020 date of adoption, based on forecasts of macroeconomic conditions and exposures at that time, the aggregate impact to Citi was an approximate $4.1 billion, or an approximate 29%, pretax increase in the Allowance for credit losses, along with a $3.1 billion after-tax decrease in Retained earnings and a deferred tax asset increase of $1.0 billion. This transition impact reflects (i) a $4.9 billion build to the Allowance for credit losses for Citi’s consumer exposures, primarily driven by the impact on credit card receivables of longer estimated tenors under the CECL lifetime expected credit loss methodology (loss coverage of approximately 23 months) compared to shorter estimated tenors under the probable loss methodology under prior U.S. GAAP (loss coverage of approximately 14 months), net of recoveries; and (ii) a release of $0.8 billion of reserves primarily related to Citi’s corporate net loan loss exposures, largely due to more precise contractual maturities that result in shorter remaining tenors, incorporation of recoveries and use
96

of more specific


historical loss data based on an increase in portfolio segmentation across industries and geographies.
Under the CECL methodology, the Allowance for credit losses consists of quantitative and qualitative components. Citi’s quantitative component of the Allowance for credit losses is model based and utilizes a single forward-looking macroeconomic forecast, complemented by the qualitative component described below, in estimating expected credit losses and discounts inputs for the corporate classifiably managed portfolios. Reasonable and supportable forecast periods vary by product. For example, Citi’s consumer models use a 13-quarter reasonable and supportable period and revert to historical loss experience thereafter, while its corporate loan models use a nine-quarter reasonable and supportable period followed by a three-quarter graduated transition to historical loss experience.
Citi’s qualitative component of the Allowance for credit losses considers (i) the uncertainty of forward-looking scenarios based on the likelihood and severity of a possible recession as another possible scenario; (ii) certain portfolio characteristics, such as portfolio concentration and collateral coverage; and (iii) model limitations as well as idiosyncratic events. Citi calculates a judgmental management adjustment, which is an alternative, more adverse scenario that only considers downside risk.

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., previously referred to as 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, 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 was adoptedAccounting for Variable Post-Charge-Off Third-Party Collection Costs
In the fourth quarter of 2020, Citi revised the 2020 second quarter accounting conclusion for its variable post-charge-off third-party collection costs from a “change in accounting estimate effected by Citia change in accounting principle” to a “change in accounting principle,” which required an adjustment to January 1, 2020 opening retained earnings, rather than 2020 net income. As a result, Citi’s full-year and quarterly results for 2020 were revised to reflect this change as if it were effective as of January 1, 2020, with prospective applicationas follows:
•An increase to beginning retained earnings on January 1, 2020 of $330 million and did not impacta decrease of $443 million in the allowance for credit losses on loans, as well as a $113 million decrease in other assets related to income taxes.
•A decrease of $18 million to provisions for credit losses on loans in the first quarter and increases of 2020 results. The future impact$339 million and $122 million to provisions for credit losses on loans in the second and third quarters, respectively.
•Increases in operating expenses of $49 million and $45 million with a corresponding decrease in net credit losses, in the first and second quarters, respectively.

In making these revisions, Citi considered the guidance in ASC Topic 250, Accounting Changes and Error Corrections; ASC Topic 270, Interim Reporting; ASC Topic 250-S99-1, Assessing Materiality; and ASC Topic 250-S99-23, Accounting Changes Not Retroactively Applied Due to Immateriality, Considering the Effects of Prior Year Misstatements when Quantifying Misstatements in Current Year Financial Statements. Citi believes that the effects 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.

FUTURE APPLICATION OF ACCOUNTING STANDARDSrevisions were not material to any previously reported quarterly or annual period.

Reference Rate Reform
In March 2020, the FASB issued ASU No. 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting, which provides optional guidance to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance permits an entity, when certain criteria are met, to consider amendments to contracts made to comply with reference rate reform to meet the definition of a modification under U.S. GAAP. It further allows hedge accounting to be maintained and permits a one-time transfer or sale of qualifying held-to-maturity securities. The expedients and exceptions provided by the amendments are permitted to be adopted any time through December 31, 2022 and do not apply to contract modifications made and hedging relationships entered into or evaluated after December 31, 2022, except for certain optional expedients elected for certain hedging relationships existing as of December 31, 2022. The ASU was adopted by Citi as of June 30, 2020 with prospective application and did not impact financial results in 2020.
In January 2021, the FASB issued ASU No. 2021-01, Reference Rate Reform (Topic 848): Scope, which clarifies that the scope of the initial accounting relief issued by the FASB in March 2020 includes derivative instruments that do not reference a rate that is expected to be discontinued but that use an interest rate for margining, discounting or contract price alignment that is modified as a result of reference rate reform (commonly referred to as the “discounting transition”). The amendments do not apply to contract modifications made after December 31, 2022, new hedging relationships entered into after December 31, 2022 and existing hedging relationships evaluated for effectiveness in periods after December 31, 2022, except for hedging relationships existing as of December 31, 2022, that apply certain optional expedients in which the accounting effects are recorded through the end of the hedging relationship. The ASU was adopted by Citi on a full retrospective basis upon issuance and did not impact financial results in 2020.

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FUTURE ACCOUNTING CHANGES

Long-Duration Insurance Contracts
In August 2018, the FASB issued ASU No. 2018-12, Financial Services—Insurance: Targeted Improvements to the Accounting for Long-Duration Contracts, which changes the existing recognition, measurement, presentation and disclosures for long-duration contracts issued by an insurance entity. Specifically, the guidance (i) improves the timeliness of recognizing changes in the liability for future policy benefits and prescribes the rate used to discount future cash flows for long-duration insurance contracts, (ii) simplifies and improves the accounting for certain market-based options or guarantees associated with deposit (or account balance) contracts, (iii) simplifies the amortization of deferred acquisition costs and (iv) introduces additional quantitative and qualitative disclosures. Citi has certain insurance subsidiaries, primarily in Mexico, that issue long-duration insurance contracts that will be impacted by the requirements of ASU 2018-12.
The effective date of ASU 2018-12 was deferred for all insurance entities by ASU 2019-09, Finance Services—Insurance: Effective Date (issued in October 2019) and by ASU 2020-11, Financial Services—Insurance: Effective Date and Early Application (issued November 2020). Citi plans to adopt the optional expedientstargeted improvements in 2020ASU 2018-12 on January 1, 2023 and is currently evaluating the impact of the standard on its insurance subsidiaries. Citi does not expect a material impact.impact to its results of operations as a result of adopting the standard.
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2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

The Company’s results from Discontinued operationsconsisted of residual activities related to the sale of the Egg Banking business in 2011.previously divested operations. All Discontinued operations results are recorded within Corporate/Other.
The following table summarizes financial information for all Discontinued operations:
Three Months Ended March 31,
In millions of dollars20212020
Total revenues, net of interest expense$0 $0 
Loss from discontinued operations(1)
$(2)$(18)
Benefit for income taxes0 0 
Income (loss) from discontinued operations, net of taxes$(2)$(18)
 
Three Months Ended
March 31,
In millions of dollars20202019
Total revenues, net of interest expense$—
$—
Loss from discontinued operations$(18)$(2)
Benefit for income taxes—
—
Loss from discontinued operations, net of taxes$(18)$(2)

(1)Amounts in each period relate to the sale of the Egg Banking business in 2011.

Cash flows from Discontinued operations were not material for the periods presentedpresented.
As of March 31, 2021, Citi did not have any definitive sales transactions related to its recently announced intention to pursue exits of its consumer franchises in 13 markets across Asia and there were noEMEA. In addition, Citi did not have any significant disposals during these periods. to report as of March 31, 2021.
For a description of the Company’s significant disposal transactions in prior periods and financial impact, see Note 2 to the Consolidated Financial Statements in Citi’s 20192020 Annual Report on Form 10-K.













99


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 legacy loan portfolios, discontinued operations and other legacy assets.
Beginning in the first quarter of 2021, Citi changed its allocation for certain recurring expenses that are attributable to the business segments from Corporate/Other to GCB and ICG. These expenses include incremental investments related to risk and controls, technology capabilities and information security initiatives, as well as some incremental spend related to pandemic remediation. This change had no impact to earnings before interest and taxes at the Citi level, and given that these expenses were immaterial, the change is not reflected retrospectively. Citi’s consolidated results remained unchanged for all periods presented.
For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 20192020 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,
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 billions202120202021202020212020March 31,
2021		December 31, 2020
Global Consumer Banking$7,037 $8,174 $658 $(266)$2,174 $(741)$439 $434 
Institutional Clients Group12,220 12,484 1,736 1,044 5,972 3,626 1,776 1,730 
Corporate/Other70 73 (62)(198)(169)(337)99 96 
Total$19,327 $20,731 $2,332 $580 $7,977 $2,548 $2,314 $2,260 
(1)     Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $9.3 billion and $10.2 billion; in EMEA of $3.7 billion and $3.5 billion; in Latin America of $2.1 billion and $2.6 billion; and in Asia of $4.1 billion and $4.4 billion for the three months ended March 31, 2021 and 2020, 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 $(0.2) billion and $4.8 billion; in the ICG results of $(1.8) billion and $2.0 billion; and in the Corporate/Other results of $(0.1) billion and $0.2 billion for the three months ended March 31, 2021 and 2020, respectively.

100
 Three Months Ended March 31,  
 
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 billions202020192020201920202019March 31,
2020		December 31, 2019
Global Consumer Banking$8,174
$8,090
$(270)$381
$(755)$1,320
$403
$407
Institutional Clients Group12,484
10,018
1,044
955
3,626
3,412
1,723
1,447
Corporate/Other73
468
(198)(61)(337)5
94
97
Total$20,731
$18,576
$576
$1,275
$2,534
$4,737
$2,220
$1,951
(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $10.2 billion and $8.3 billion; in EMEA of $3.5 billion and $3.2 billion; in Latin America of $2.6 billion and $2.5 billion; and in Asia of $4.4 billion and $4.1 billion for the three months ended March 31, 2020 and 2019, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.

(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $4.8 billion and $2.0 billion; in the ICG results of $2,004 million and $32 million; and in the Corporate/Other results of $192 million and $(25) million for the three months ended March 31, 2020 and 2019, respectively.





4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
Three Months Ended March 31,
In millions of dollars20212020
Interest revenue
Loan interest, including fees$8,909 $11,250 
Deposits with banks145 527 
Securities borrowed and purchased under agreements to resell294 1,208 
Investments, including dividends1,752 2,281 
Trading account assets(1)
1,337 1,590 
Other interest-bearing assets97 283 
Total interest revenue$12,534 $17,139 
Interest expense
Deposits(2)
$1,052 $2,614 
Securities loaned and sold under agreements to repurchase253 1,085 
Trading account liabilities(1)
114 239 
Short-term borrowings and other interest-bearing liabilities31 384 
Long-term debt918 1,325 
Total interest expense$2,368 $5,647 
Net interest revenue$10,166 $11,492 
Provision for credit losses on loans(1,479)6,377 
Net interest revenue after provision for credit losses on loans$11,645 $5,115 
 Three Months Ended March 31,
In millions of dollars20202019
Interest revenue  
Loan interest, including fees$11,250
$11,969
Deposits with banks527
607
Securities borrowed and purchased under agreements to resell1,208
1,783
Investments, including dividends2,281
2,548
Trading account assets(1)
1,590
1,686
Other interest283
483
Total interest revenue$17,139
$19,076
Interest expense  
Deposits(2)
$2,614
$3,027
Securities loaned and sold under agreements to repurchase1,085
1,589
Trading account liabilities(1)
239
327
Short-term borrowings384
652
Long-term debt1,325
1,722
Total interest expense$5,647
$7,317
Net interest revenue$11,492
$11,759
Provision for credit losses on loans6,444
1,944
Net interest revenue after provision for credit losses on loans$5,048
$9,815
(1)Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(2)Includes deposit insurance fees and charges of $340 million and $225 million for the three months ended March 31, 2021 and 2020, respectively.

(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 $225 million and $193 million for the three months ended March 31, 2020 and 2019, respectively.



101

5.  COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES

For additional information on Citi’s commissions and fees, and administration and other fiduciary fees, see Note 5 to the Consolidated Financial Statements in Citi’s 20192020 Annual Report on Form 10-K.

The following tables present Commissions and fees revenue:
Three Months Ended March 31,
2021
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$1,624 $0 $0 $1,624 
Brokerage commissions615 327 0 942 
Credit- and bank-card income
  Interchange fees158 1,906 0 2,064 
  Card-related loan fees5 177 0 182 
  Card rewards and partner payments(1)
(75)(2,096)0 (2,171)
Deposit-related fees(2)
244 85 0 329 
Transactional service fees241 24 0 265 
Corporate finance(3)
158 0 0 158 
Insurance distribution revenue5 130 0 135 
Insurance premiums0 20 0 20 
Loan servicing12 7 4 23 
Other41 58 0 99 
Total commissions and fees(4)
$3,028 $638 $4 $3,670 
 Three Months Ended March 31,
 2020
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$1,040
$—
$—
$1,040
Brokerage commissions577
249
—
826
Credit- and bank-card income   

     Interchange fees261
1,917
—
2,178
     Card-related loan fees11
166
—
177
     Card rewards and partner
     payments
(149)(2,093)—
(2,242)
Deposit-related fees(1)
233
115
—
348
Transactional service fees227
24
—
251
Corporate finance(2)
146
—
—
146
Insurance distribution revenue4
125
—
129
Insurance premiums—
43
—
43
Loan servicing20
11
8
39
Other30
56
—
86
Total commissions and fees(3)
$2,400
$613
$8
$3,021


Three Months Ended March 31,
2020
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$1,040 $0 $0 $1,040 
Brokerage commissions577 249 0 826 
Credit- and bank-card income
  Interchange fees261 1,917 0 2,178 
  Card-related loan fees11 166 0 177 
  Card rewards and partner payments(1)
(149)(2,093)0 (2,242)
Deposit-related fees(2)
233 115 0 348 
Transactional service fees227 24 0 251 
Corporate finance(3)
146 0 0 146 
Insurance distribution revenue4 125 0 129 
Insurance premiums0 43 0 43 
Loan servicing20 11 8 39 
Other30 56 0 86 
Total commissions and fees(4)
$2,400 $613 $8 $3,021 
(1)Citi’s consumer credit card programs have certain partner-sharing agreements that vary by partner. These agreements are subject to contractually based performance thresholds that, if met, would require Citi to make ongoing payments to the partner. The threshold is based on the profitability of a program and is generally calculated based on predefined program revenues less predefined program expenses. In most of Citi’s partner-sharing agreements, program expenses include net credit losses and, to the extent that the increase in net credit losses reduces Citi’s liability for the partners’ share for a given program year, would generally result in lower payments to partners in total for that year and vice versa. Further, in some instances, other partner payments are based on program sales and new account acquisitions.
(2)Includes overdraft fees of $24 million and $31 million for the three months ended March 31, 2021 and 2020, respectively. Overdraft fees are accounted for under ASC 310.
(3)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
102

 Three Months Ended March 31,
 2019
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$914
$—
$—
$914
Brokerage commissions471
186
—
657
Credit- and bank-card income    
     Interchange fees279
1,983
—
2,262
     Card-related loan fees13
160
—
173
     Card rewards and partner payments(153)(2,061)—
(2,214)
Deposit-related fees(1)
262
122
—
384
Transactional service fees201
30
—
231
Corporate finance(2)
179
—
—
179
Insurance distribution revenue4
132
—
136
Insurance premiums—
47
—
47
Loan servicing50
22
6
78
Other17
62
1
79
Total commissions and fees(3)
$2,236
$683
$7
$2,926
(1)Includes overdraft fees of $31 million and $31(4)Commissions and fees includes $(1,749) million and $(1,802) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended March 31, 2021 and 2020, and 2019, respectively. Overdraft fees are accounted for under ASC 310.
(2)Consists primarily of fees earned from structuring and underwriting loan syndications or related financing activity. This activity is accounted for under ASC 310.
(3)
Commissions and fees includes $(1,802) million and $(1,703) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the three months ended March 31, 2020 and 2019, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.



The following table presents Administration and other fiduciary fees revenue:
Three Months Ended March 31,
2021
In millions of dollarsICGGCBCorporate/OtherTotal
Custody fees$451 $6 $0 $457 
Fiduciary fees192 167 0 359 
Guarantee fees142 2 1 145 
Total administration and other fiduciary fees(1)
$785 $175 $1 $961 
Three Months Ended March 31,Three Months Ended March 31,
20202020
In millions of dollarsICGGCBCorporate/OtherTotalIn millions of dollarsICGGCBCorporate/OtherTotal
Custody fees$366
$8
$15
$389
Custody fees$366 $8 $15 $389 
Fiduciary fees172
156
—
328
Fiduciary fees172 156 0 328 
Guarantee fees134
2
1
137
Guarantee fees134 2 1 137 
Total administration and other fiduciary fees(1)
$672
$166
$16
$854
Total administration and other fiduciary fees(1)
$672 $166 $16 $854 
(1)    Administration and other fiduciary fees includes $145 million and $136 million for the three months ended March 31, 2021 and 2020, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.
 Three Months Ended March 31,
 2019
In millions of dollarsICGGCBCorporate/OtherTotal
Custody fees$364
$3
$16
$383
Fiduciary fees152
146
12
310
Guarantee fees142
2
2
146
Total administration and other fiduciary fees(1)
$658
$151
$30
$839

(1)
Administration and other fiduciary fees includes $136 million and $146 million for the three months ended March 31, 2020 and 2019, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.


103

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 and characterized below based on the primary risk managed by primary risk.each trading desk. 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. 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 transactionsrevenue:

revenue:




















Three Months Ended March 31,
In millions of dollars20212020
Interest rate risks(1)
$1,433 $1,838 
Foreign exchange risks(2)
962 1,066 
Equity risks(3)
845 819 
Commodity and other risks(4)
200 395 
Credit products and risks(5)
473 1,143 
Total$3,913 $5,261 
(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.
104
 Three Months Ended March 31,
In millions of dollars20202019
Interest rate risks(1)
$1,977
$1,718
Foreign exchange risks(2)
995
473
Equity risks(3)
819
456
Commodity and other risks(4)
327
119
Credit products and risks(5)
1,143
38
Total$5,261
$2,804
(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 20192020 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 20192020 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,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20212020202120202021202020212020
Benefits earned during the period$0 $0 $39 $37 $0 $0 $2 $2 
Interest cost on benefit obligation82 106 62 64 3 5 25 24 
Expected return on assets(182)(208)(61)(65)(4)(5)(22)(20)
Amortization of unrecognized:     
Prior service cost (benefit)1 1 (1)(1)(2)0 (2)(2)
Net actuarial loss62 56 18 17 0 0 5 5 
Total net (benefit) expense$(37)$(45)$57 $52 $(3)$0 $8 $9 


















 Three Months Ended March 31,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20202019202020192020201920202019
Benefits earned during the period$—
$—
$37
$36
$—
$—
$2
$2
Interest cost on benefit obligation106
130
64
75
5
7
24
26
Expected return on plan assets(208)(203)(65)(68)(5)(5)(20)(21)
Amortization of unrecognized:



 
 
  
 
 
Prior service cost (benefit)1
1
(1)(1)—
—
(2)(2)
Net actuarial loss56
44
17
15
—
—
5
5
Total net (benefit) expense$(45)$(28)$52
$57
$—
$2
$9
$10





105

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, 2021
 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$13,815 $8,629 $559 $1,390 
Plans measured annually(25)(2,248)0 (277)
Projected benefit obligation at beginning of year—Significant Plans$13,790 $6,381 $559 $1,113 
Benefits earned during the period0 23 0 1 
Interest cost on benefit obligation$82 $52 3 22 
Actuarial gain(1)
(849)(428)(31)(123)
Benefits paid, net of participants’ contributions and government subsidy$(216)$(84)(9)(18)
Foreign exchange impact and other0 (135)0 (28)
Projected benefit obligation at period end—Significant Plans$12,807 $5,809 $522 $967 
Change in plan assets    
Plan assets at fair value at beginning of year$13,309 $7,831 $331 $1,146 
Plans measured annually0 (1,500)0 (8)
Plan assets at fair value at beginning of year—Significant Plans$13,309 $6,331 $331 $1,138 
Actual return on plan assets(232)(230)(4)4 
Company contributions, net of reimbursements13 18 5 0 
Benefits paid, net of participants’ contributions and government subsidy(216)(84)(9)(18)
Foreign exchange impact and other0 (108)0 (30)
Plan assets at fair value at period end—Significant Plans$12,874 $5,927 $323 $1,094 
Funded status of the Significant Plans
Qualified plans(2)
$730 $118 $(199)$127 
Nonqualified plans(3)
(663)0 0 0 
Funded status of the plans at period end—Significant Plans$67 $118 $(199)$127 
Net amount recognized at period end    
Benefit asset$730 $705 $0 $127 
Benefit liability(663)(587)(199)0 
Net amount recognized on the balance sheet—Significant Plans$67 $118 $(199)$127 
Amounts recognized in AOCI at period end
   
Prior service benefit$0 $1 $99 $55 
Net actuarial (loss) gain(6,627)(1,043)78 (221)
Net amount recognized in equity (pretax)—Significant Plans$(6,627)$(1,042)$177 $(166)
Accumulated benefit obligation at period end—Significant Plans$12,804 $5,211 $522 $967 
 Three Months Ended March 31, 2020
 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$13,453
$8,105
$692
$1,384
Plans measured annually(26)(2,068)—
(323)
Projected benefit obligation at beginning of year—Significant Plans$13,427
$6,037
$692
$1,061
Benefits earned during the period


21
—
1
Interest cost on benefit obligation106
55
5
21
Actuarial loss (gain)65
(419)(13)(63)
Benefits paid, net of participants’ contributions and government subsidy(249)(69)(5)(12)
Foreign exchange impact and other—
(522)—
(202)
Projected benefit obligation at period end—Significant Plans$13,349
$5,103
$679
$806
Change in plan assets 
 
 
 
Plan assets at fair value at beginning of year$12,717
$7,556
$345
$1,127
Plans measured annually—
(1,349)—
(9)
Plan assets at fair value at beginning of year—Significant Plans$12,717
$6,207
$345
$1,118
Actual return on plan assets(628)(156)(11)(45)
Company contributions, net of reimbursements13
16
(8)—
Benefits paid, net of participants’ contributions and government subsidy

(249)(69)(5)(12)
Foreign exchange impact and other—
(511)—
(213)
Plan assets at fair value at period end—Significant Plans$11,853
$5,487
$321
$848
Funded status of the Significant Plans    
Qualified plans(1)
$(818)$384
$(358)$42
Nonqualified plans(678)—
—
—
Funded status of the plans at period end—Significant Plans$(1,496)$384
$(358)$42
Net amount recognized at period end 
 
 
 
Benefit asset$—
$1,001
$—
$42
Benefit liability(1,496)(617)(358)—
Net amount recognized on the balance sheet—Significant Plans$(1,496)$384
$(358)$42
Amounts recognized in AOCI at period end
 
 
 
Prior service benefit$—
$8
$—
$54
Net actuarial (loss) gain(7,932)(780)22
(289)
Net amount recognized in equity (pretax)—Significant Plans$(7,932)$(772)$22
$(235)
Accumulated benefit obligation at period end—Significant Plans$13,344
$4,827
$679
$806
(1)During 2021, the actuarial gain is primarily due to the increase in global discount rates.
(2)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2021 and no minimum required funding is expected for 2021.
(3)The nonqualified plans of the Company are unfunded.

(1)The U.S. qualified pension plan is fully funded pursuant to the Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 2020 and no minimum required funding is expected for 2020.
106



The following table shows the change in AOCI related to the Company’s pension, postretirement and post employmentpost-employment plans:
In millions of dollarsIn millions of dollarsThree Months Ended March 31, 2021For Year Ended December 31, 2020
Beginning of period balance, net of tax(1)(2)
Beginning of period balance, net of tax(1)(2)
$(6,864)$(6,809)
In millions of dollarsThree Months Ended 
 March 31, 2020		For Year Ended
December 31, 2019
Beginning of period balance, net of tax(1)(2)
$(6,809)$(6,257)
Actuarial assumptions changes and plan experience430
(2,300)Actuarial assumptions changes and plan experience1,430 (1,464)
Net asset gain (loss) due to difference between actual and expected returns(1,128)1,427
Net asset (loss) gain due to difference between actual and expected returnsNet asset (loss) gain due to difference between actual and expected returns(718)1,076 
Net amortization76
274
Net amortization81 318 
Prior service cost—
(7)
Curtailment/settlement gain(3)
—
1
Prior service creditPrior service credit0 108 
Curtailment/settlement loss(3)
Curtailment/settlement loss(3)
0 (8)
Foreign exchange impact and other204
(66)Foreign exchange impact and other114 (108)
Change in deferred taxes, net132
119
Change in deferred taxes, net(193)23 
Change, net of tax$(286)$(552)Change, net of tax$714 $(55)
End of period balance, net of tax(1)(2)
$(7,095)$(6,809)
End of period balance, net of tax(1)(2)
$(6,150)$(6,864)

(1)
(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.

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 Ended
Mar. 31, 2021Dec. 31, 2020
U.S. plans
Qualified pension2.45 %2.55 %
Nonqualified pension2.35 2.50 
Postretirement2.20 2.35 
Non-U.S. plans  
Pension0.05-8.150.05-8.55
Weighted average3.60 3.74 
Postretirement8.55 9.00 
Net (benefit) expense assumed discount rates during the periodThree Months Ended
Mar. 31, 2020Dec. 31, 2019
U.S. plans  
Qualified pension3.25%3.10%
Nonqualified pension3.25
3.10
Postretirement3.15
3.00
Non-U.S. plans  
Pension (1)
0.20-8.95-0.05-9.00
Weighted average4.21
4.05
Postretirement9.10
9.20


(1)Due to substantial downward movement in yields, there were negative discount rates for plans with relatively short duration in major markets such as Switzerland.

The discount rates utilized at period-endperiod end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows:
Plan obligations assumed discount rates at period endedMar. 31, 2021Dec. 31, 2020Mar. 31, 2020
U.S. plans
Qualified pension3.10 %2.45 %3.20 %
Nonqualified pension3.00 2.35 3.25 
Postretirement2.85 2.20 3.20 
Non-U.S. plans   
Pension0.25-9.300.05-8.150.45-9.45
Weighted average3.59 3.60 4.38 
Postretirement9.70 8.55 9.75 
Plan obligations assumed discount rates at period endedMar. 31, 2020Dec. 31, 2019Mar. 31, 2019
U.S. plans   
Qualified pension3.20%3.25%3.85%
Nonqualified pension3.25
3.25
3.90
Postretirement3.20
3.15
3.80
Non-U.S. plans   
Pension0.45-9.450.20-8.950.45-10.30
Weighted average4.38
4.21
4.74
Postretirement9.75
9.10
10.30






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, 2021
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension
   U.S. plans$9 $(15)
   Non-U.S. plans0 5 
Postretirement
   U.S. plans0 (1)
   Non-U.S. plans(3)3 
 Three Months Ended March 31, 2020
In millions of dollarsOne-percentage-point increaseOne-percentage-point decrease
Pension  
   U.S. plans$7
$(12)
   Non-U.S. plans(2)5
Postretirement  
   U.S. plans1
(1)
   Non-U.S. plans(2)2




















107

Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first three months of 2020. The Company made discretionary contributions of $425 million and $220 million to the U.S. qualified defined benefit plan and Mexico—Banco Nacional Healthcare Postretirement Plan, respectively, during the second quarter of 2019.2021.
The following table summarizes the Company’s actual contributions for the three months ended March 31, 20202021 and 2019,2020, as well as expected Company contributions for the remainder of 20202021 and the actual contributions made in 2019:2020:
 Pension plans Postretirement plans 
 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20212020202120202021202020212020
Company contributions(2) for the three months ended
March 31
$14 $14 $37 $37 $5 $0 $2 $2 
Company contributions (reimbursements) made during the
remainder of the year		— 42 — 121 — (15)— 7 
Company contributions expected to be made during
the remainder of the year		43 — 114 — 5 — 6 — 

(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.
 Pension plans Postretirement plans 
 
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20202019202020192020201920202019
Company contributions(2) for the three months ended
 March 31
$14
$14
$37
$34
$—
$—
$2
$3
Company contributions made during the remainder
  of the year
—
467
—
116
—
4
—
222
Company contributions expected to be made during
  the remainder of the year
43
—
116
—
—
—
6
—

(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 March 31,
In millions of dollars20202019In millions of dollars20212020
U.S. plans$101
$99
U.S. plans$105 $101 
Non-U.S. plans76
68
Non-U.S. plans92 76 


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,
In millions of dollars20212020
Non-service-related expense$5 $5 
Total net expense$5 $5 
 Three Months Ended March 31,
In millions of dollars20202019
Service-related expense



Amortization of unrecognized:



   Net actuarial loss—
1
Total service-related expense$—
$1
Non-service-related expense$5
$4
Total net expense$5
$5














108

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,
In millions of dollars, except per share amounts20212020
Earnings per common share
Income from continuing operations before attribution of noncontrolling interests$7,977 $2,548 
Less: Noncontrolling interests from continuing operations33 (6)
Net income from continuing operations (for EPS purposes)$7,944 $2,554 
Loss from discontinued operations, net of taxes(2)(18)
Citigroup’s net income$7,942 $2,536 
Less: Preferred dividends(1)
292 291 
Net income available to common shareholders$7,650 $2,245 
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS66 21 
Net income allocated to common shareholders for basic EPS$7,584 $2,224 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,082.0 2,097.9 
Basic earnings per share(2)
Income from continuing operations$3.64 $1.07 
Discontinued operations0 (0.01)
Net income per share—basic$3.64 $1.06 
Diluted earnings per share
Net income allocated to common shareholders for basic EPS$7,584 $2,224 
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable7 7 
Net income allocated to common shareholders for diluted EPS$7,591 $2,231 
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,082.0 2,097.9 
Effect of dilutive securities
   Options(3)
0.1 0.1 
   Other employee plans14.5 15.7 
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4)
2,096.6 2,113.7 
Diluted earnings per share(2)
  
Income from continuing operations$3.62 $1.06 
Discontinued operations0 (0.01)
Net income per share—diluted$3.62 $1.06 
(1)On April 1, 2021, Citi declared preferred dividends of approximately $253 million for the second quarter of 2021. During the first quarter of 2021, Citi redeemed all of its 41.4 million Series S preferred shares for $1.035 billion and 465,000 shares of its Series R preferred shares for $465 million; in February, Citi also issued 2.3 million of Series X preferred shares for $2.3 billion. On April 16, 2021, Citi announced that it will be redeeming all of its 1.25 million Series Q preferred shares for $1.25 billion and 1.035 million shares of its Series R preferred shares for $1.035 billion. As of May 5, 2021, Citi estimates it will distribute preferred dividends of approximately $266 million and $228 million in the third and fourth quarters of 2021, respectively, subject to such dividends being declared by the Citi Board of Directors.
(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 first quarter of 2021 and 2020, no significant options to purchase shares of common stock were outstanding.
(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.

109
 Three Months Ended March 31,
In millions of dollars, except per share amounts20202019
Earnings per common share  
Income from continuing operations before attribution of noncontrolling interests$2,534
$4,737
Less: Noncontrolling interests from continuing operations(6)25
Net income from continuing operations (for EPS purposes)$2,540
$4,712
Loss from discontinued operations, net of taxes(18)(2)
Citigroup’s net income$2,522
$4,710
Less: Preferred dividends(1)
291
262
Net income available to common shareholders$2,231
$4,448
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with rights to dividends, applicable to basic EPS21
59
Net income allocated to common shareholders for basic EPS$2,210
$4,389
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,097.9
2,340.4
Basic earnings per share(2)
  
Income from continuing operations$1.06
$1.88
Discontinued operations(0.01)—
Net income per share—basic$1.05
$1.88
Diluted earnings per share  
Net income allocated to common shareholders for basic EPS$2,210
$4,389
Add back: Dividends allocated to employee restricted and deferred shares with rights to dividends that are forfeitable7
—
Net income allocated to common shareholders for diluted EPS$2,217
$4,389
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,097.9
2,340.4
Effect of dilutive securities  
   Options(3)
0.1
0.1
   Other employee plans15.7
1.9
Adjusted weighted-average common shares outstanding applicable to diluted EPS (in millions)(4)
2,113.7
2,342.4
Diluted earnings per share(2)
  
Income from continuing operations$1.06
$1.87
Discontinued operations(0.01)—
Net income per share—diluted$1.05
$1.87
(1)On April 21, 2020, Citi declared preferred dividends of approximately $253 million for the second quarter of 2020. As of May 4, 2020, Citi estimates it will distribute preferred dividends of approximately $284 million and $253 million in the third and fourth quarters of 2020, respectively, subject to such dividends being declared by the Citi Board of Directors. During the first quarter of 2020, in March, Citi redeemed all of its 1.5 million Series O preferred shares for $1.5 billion; in January, Citi also issued 1.5 million of Series V preferred shares for $1.5 billion.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(3)During the first quarter of 2020 and 2019, no significant options to purchase shares of common stock were outstanding.
(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.



10. 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 20192020 Annual Report on Form 10-K.
Securities borrowed and purchased under agreements to resell, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2021		December 31, 2020
Securities purchased under agreements to resell$220,276 $204,655 
Deposits paid for securities borrowed94,801 90,067 
Total, net(1)
$315,077 $294,722 
Allowance for credit losses on securities purchased and borrowed(2)
(5)(10)
Total, net of allowance$315,072 $294,712 
In millions of dollarsMarch 31,
2020		December 31, 2019
Securities purchased under agreements to resell$178,930
$169,874
Deposits paid for securities borrowed83,606
81,448
Total(1)
$262,536
$251,322


Securities loaned and sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2020		December 31, 2019In millions of dollarsMarch 31,
2021		December 31, 2020
Securities sold under agreements to repurchase$213,525
$155,164
Securities sold under agreements to repurchase$198,029 $181,194 
Deposits received for securities loaned8,799
11,175
Deposits received for securities loaned21,139 18,331 
Total(1)
$222,324
$166,339
Total, net(1)
Total, net(1)
$219,168 $199,525 

(1)
The above tables do not include securities-for-securities lending transactions of $9.2 billion and $6.3
(1)    The above tables do not include securities-for-securities lending transactions of $2.7 billion and $6.8 billion at March 31, 2021 and December 31, 2020, and December 31, 2019, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
(2)     See Note 14 to the Consolidated Financial Statements for further information.

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 amounts 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, 2021
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
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$336,164 $115,888 $220,276 $184,850 $35,426 
Deposits paid for securities borrowed106,008 11,207 94,801 20,754 74,047 
Total$442,172 $127,095 $315,077 $205,604 $109,473 
110
 As of March 31, 2020
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
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$304,427
$125,497
$178,930
$142,194
$36,736
Deposits paid for securities borrowed87,669
4,063
83,606
27,015
56,591
Total$392,096
$129,560
$262,536
$169,209
$93,327



In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$339,022
$125,497
$213,525
$125,995
$87,530
Deposits received for securities loaned12,862
4,063
8,799
3,109
5,690
Total$351,884
$129,560
$222,324
$129,104
$93,220


In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$313,917 $115,888 $198,029 $102,256 $95,773 
Deposits received for securities loaned32,346 11,207 21,139 11,085 10,054 
Total$346,263 $127,095 $219,168 $113,341 $105,827 
As of December 31, 2019 As of December 31, 2020
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
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
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
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$281,274
$111,400
$169,874
$134,150
$35,724
Securities purchased under agreements to resell$362,025 $157,370 $204,655 $159,232 $45,423 
Deposits paid for securities borrowed90,047
8,599
81,448
27,067
54,381
Deposits paid for securities borrowed96,425 6,358 90,067 13,474 76,593 
Total$371,321
$119,999
$251,322
$161,217
$90,105
Total$458,450 $163,728 $294,722 $172,706 $122,016 
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$338,564 $157,370 $181,194 $95,563 $85,631 
Deposits received for securities loaned24,689 6,358 18,331 7,982 10,349 
Total$363,253 $163,728 $199,525 $103,545 $95,980 
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(2)
Net
amounts(3)
Securities sold under agreements to repurchase$266,564
$111,400
$155,164
$91,034
$64,130
Deposits received for securities loaned19,774
8,599
11,175
3,138
8,037
Total$286,338
$119,999
$166,339
$94,172
$72,167
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.
(2)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(3)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by remaining contractual maturity:
As of March 31, 2021
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$154,646 $74,302 $39,859 $45,110 $313,917 
Deposits received for securities loaned22,498 1,265 2,730 5,853 32,346 
Total$177,144 $75,567 $42,589 $50,963 $346,263 

As of December 31, 2020
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$160,754 $98,226 $41,679 $37,905 $338,564 
Deposits received for securities loaned17,038 3 2,770 4,878 24,689 
Total$177,792 $98,229 $44,449 $42,783 $363,253 
111
 As of March 31, 2020
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$173,961
$66,488
$54,421
$44,153
$339,022
Deposits received for securities loaned9,189
529
1,712
1,432
12,862
Total$183,150
$67,017
$56,133
$45,585
$351,884



 As of December 31, 2019
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$108,534
$82,749
$35,108
$40,173
$266,564
Deposits received for securities loaned15,758
208
1,789
2,019
19,774
Total$124,292
$82,957
$36,897
$42,192
$286,338


The following tables present the gross amounts of liabilities associated with repurchase agreements and securities lending agreements by class of underlying collateral:
As of March 31, 2021
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$106,286 $0 $106,286 
State and municipal securities636 0 636 
Foreign government securities118,501 1,909 120,410 
Corporate bonds21,778 148 21,926 
Equity securities22,651 30,136 52,787 
Mortgage-backed securities36,336 0 36,336 
Asset-backed securities2,501 0 2,501 
Other5,228 153 5,381 
Total$313,917 $32,346 $346,263 
 As of March 31, 2020
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$142,676
$1
$142,677
State and municipal securities3,280
1
3,281
Foreign government securities110,459
280
110,739
Corporate bonds18,177
327
18,504
Equity securities8,034
12,135
20,169
Mortgage-backed securities38,102
—
38,102
Asset-backed securities4,792
—
4,792
Other13,502
118
13,620
Total$339,022
$12,862
$351,884

 As of December 31, 2019
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$100,781
$27
$100,808
State and municipal securities1,938
5
1,943
Foreign government securities95,880
272
96,152
Corporate bonds18,761
249
19,010
Equity securities12,010
19,069
31,079
Mortgage-backed securities28,458
—
28,458
Asset-backed securities4,873
—
4,873
Other3,863
152
4,015
Total$266,564
$19,774
$286,338


As of December 31, 2020
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$112,437 $0 $112,437 
State and municipal securities664 2 666 
Foreign government securities130,017 194 130,211 
Corporate bonds20,149 78 20,227 
Equity securities21,497 24,149 45,646 
Mortgage-backed securities45,566 0 45,566 
Asset-backed securities3,307 0 3,307 
Other4,927 266 5,193 
Total$338,564 $24,689 $363,253 


112

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 20192020 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsMarch 31,
2021		December 31, 2020
Receivables from customers$25,661 $18,097 
Receivables from brokers, dealers and clearing organizations34,804 26,709 
Total brokerage receivables(1)
$60,465 $44,806 
Payables to customers$45,065 $39,319 
Payables to brokers, dealers and clearing organizations15,842 11,165 
Total brokerage payables(1)
$60,907 $50,484 

(1)     Includes brokerage receivables and payables recorded by Citi broker-dealer entities that are accounted for in accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.
In millions of dollarsMarch 31,
2020		December 31, 2019
Receivables from customers$22,390
$15,912
Receivables from brokers, dealers and clearing organizations46,165
23,945
Total brokerage receivables(1)
$68,555
$39,857
Payables to customers$51,506
$37,613
Payables to brokers, dealers and clearing organizations22,862
10,988
Total brokerage payables(1)
$74,368
$48,601
113

(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 impairment, see Note 13 to the Consolidated Financial Statements
in Citi’s 20192020 Annual Report on Form 10-K.






The following table presents Citi’s investments by category:
In millions of dollarsMarch 31,
2021		December 31, 2020
Debt securities available-for-sale (AFS)$304,036 $335,084 
Debt securities held-to-maturity (HTM)(1)
161,742 104,943 
Marketable equity securities carried at fair value(2)
249 515 
Non-marketable equity securities carried at fair value(2)
535 551 
Non-marketable equity securities measured using the measurement alternative(3)
1,079 962 
Non-marketable equity securities carried at cost(4)
5,318 5,304 
Total investments$472,959 $447,359 
 In millions of dollarsMarch 31,
2020		December 31,
2019
 
 Debt securities available-for-sale (AFS)$308,219
$280,265
 
Debt securities held-to-maturity (HTM)(1)
82,315
80,775
 
Marketable equity securities carried at fair value(2)
682
458
 
Non-marketable equity securities carried at fair value(2)
532
704
 
Non-marketable equity securities measured using the measurement alternative(3)


741
700
 
Non-marketable equity securities carried at cost(4)
6,394
5,661
 Total investments$398,883
$368,563

(1)Carried at adjusted amortized cost basis, net of any ACL.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See ”Non-Marketable Equity Securities Not Carried at Fair Value” below.
(4)    Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.

(1)Carried at adjusted amortized cost basis, net of any allowance for credit losses.
(2)Unrealized gains and losses are recognized in earnings.
(3)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings. See ”Recognition and Measurement of Impairment” below.
(4)Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and certain exchanges of which Citigroup is a member.

The following table presents interest and dividend income on investments:
Three Months Ended March 31,
In millions of dollars20212020
Taxable interest$1,652 $2,179 
Interest exempt from U.S. federal income tax66 76 
Dividend income34 26 
Total interest and dividend income on investments$1,752 $2,281 
 Three Months Ended March 31,
In millions of dollars20202019
Taxable interest$2,179
$2,372
Interest exempt from U.S. federal income tax76
127
Dividend income26
49
Total interest and dividend income$2,281
$2,548



The following table presents realized gains and losses on the sales of investments, which exclude impairment losses:
Three Months Ended March 31,
In millions of dollars20212020
Gross realized investment gains$460 $461 
Gross realized investment losses(59)(29)
Net realized gains on sales of investments$401 $432 
 Three Months Ended March 31,
In millions of dollars20202019
Gross realized investment gains$464
$168
Gross realized investment losses(32)(38)
Net realized gains on sale of investments$432
$130





114



Debt Securities Available-for-Sale
The amortized cost and fair value of AFS debt securities were as follows:
 March 31, 2021December 31, 2020
In millions of dollarsAmortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value		Amortized
cost		Gross
unrealized
gains		Gross
unrealized
losses		Allowance for credit lossesFair
value
Debt securities AFS        
Mortgage-backed securities(1)
        
U.S. government-sponsored agency guaranteed$42,058 $894 $249 $0 $42,703 $42,836 $1,134 $52 $0 $43,918 
Non-U.S. residential435 2 0 0 437 568 3 0 0 571 
Commercial44 1 0 0 45 49 1 0 0 50 
Total mortgage-backed securities$42,537 $897 $249 $0 $43,185 $43,453 $1,138 $52 $0 $44,539 
U.S. Treasury and federal agency securities     
U.S. Treasury$121,573 $1,532 $455 $0 $122,650 $144,094 $2,108 $49 $0 $146,153 
Agency obligations50 0 0 0 50 50 1 0 0 51 
Total U.S. Treasury and federal agency securities$121,623 $1,532 $455 $0 $122,700 $144,144 $2,109 $49 $0 $146,204 
State and municipal$3,283 $87 $119 $0 $3,251 $3,753 $123 $157 $0 $3,719 
Foreign government119,126 979 491 0 119,614 123,467 1,623 122 0 124,968 
Corporate10,274 97 118 5 10,248 10,444 152 91 5 10,500 
Asset-backed securities(1)
272 2 0 0 274 277 5 4 0 278 
Other debt securities4,758 6 0 0 4,764 4,871 5 0 0 4,876 
Total debt securities AFS$301,873 $3,600 $1,432 $5 $304,036 $330,409 $5,155 $475 $5 $335,084 
(1)The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions. 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.

115
 March 31, 2020December 31, 2019
In millions of dollars
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$42,559
$1,271
$277
$43,553
$34,963
$547
$280
$35,230
Non-U.S. residential752
3
3
752
789
3
—
792
Commercial69
—
1
68
75
—
—
75
Total mortgage-backed securities$43,380
$1,274
$281
$44,373
$35,827
$550
$280
$36,097
U.S. Treasury and federal agency securities        
U.S. Treasury$118,298
$2,863
$2
$121,159
$106,429
$50
$380
$106,099
Agency obligations4,080
30
7
4,103
5,336
3
20
5,319
Total U.S. Treasury and federal agency securities$122,378
$2,893
$9
$125,262
$111,765
$53
$400
$111,418
State and municipal$5,677
$224
$436
$5,465
$5,024
$43
$89
$4,978
Foreign government116,703
983
319
117,367
110,958
586
241
111,303
Corporate11,243
116
162
11,197
11,266
52
101
11,217
Asset-backed securities(1)
479
1
14
466
524
—
2
522
Other debt securities4,086
3
—
4,089
4,729
1
—
4,730
   Allowance for AFS securities at the end of the period$—
$—
$—
$—
    
Total debt securities AFS$303,946
$5,494
$1,221
$308,219
$280,093
$1,285
$1,113
$280,265

(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 longerTotal
In millions of dollarsFair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses		Fair
value		Gross
unrealized
losses
March 31, 2021      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$17,053 $227 $262 $22 $17,315 $249 
Non-U.S. residential15 0 1 0 16 0 
Commercial1 0 0 0 1 0 
Total mortgage-backed securities$17,069 $227 $263 $22 $17,332 $249 
U.S. Treasury$40,386 $455 $0 $0 $40,386 $455 
State and municipal191 5 1,215 114 1,406 119 
Foreign government46,138 389 4,629 102 50,767 491 
Corporate3,017 116 39 2 3,056 118 
Asset-backed securities3 0 0 0 3 0 
Other debt securities1,079 0 0 0 1,079 0 
Total debt securities AFS$107,883 $1,192 $6,146 $240 $114,029 $1,432 
December 31, 2020      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$3,588 $30 $298 $22 $3,886 $52 
Non-U.S. residential1 0 0 0 1 0 
Commercial7 0 4 0 11 0 
Total mortgage-backed securities$3,596 $30 $302 $22 $3,898 $52 
U.S. Treasury and federal agency securities     
U.S. Treasury$25,031 $49 $0 $0 $25,031 $49 
Agency obligations50 0 0 0 50 0 
Total U.S. Treasury and federal agency securities$25,081 $49 $0 $0 $25,081 $49 
State and municipal$836 $34 $893 $123 $1,729 $157 
Foreign government29,344 61 3,502 61 32,846 122 
Corporate1,083 90 24 1 1,107 91 
Asset-backed securities194 3 39 1 233 4 
Other debt securities182 0 0 0 182 0 
Total debt securities AFS$60,316 $267 $4,760 $208 $65,076 $475 



116
 Less 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
March 31, 2020      
Debt securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$7,937
$225
$858
$52
$8,795
$277
Non-U.S. residential360
3
—
—
360
3
Commercial38
—
8
1
46
1
Total mortgage-backed securities$8,335
$228
$866
$53
$9,201
$281
U.S. Treasury and federal agency securities      
U.S. Treasury$3,062
$2
$—
$—
$3,062
$2
Agency obligations—
—
249
7
249
7
Total U.S. Treasury and federal agency securities$3,062
$2
$249
$7
$3,311
$9
State and municipal$968
$415
$236
$21
$1,204
$436
Foreign government26,966
235
2,963
84
29,929
319
Corporate2,540
155
61
7
2,601
162
Asset-backed securities136
6
148
8
284
14
Other debt securities118
—
—
—
118
—
Total debt securities AFS$42,125
$1,041
$4,523
$180
$46,648
$1,221
December 31, 2019 
 
 
 
 
 
Debt securities AFS 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
U.S. government-sponsored agency guaranteed$9,780
$242
$1,877
$38
$11,657
$280
Non-U.S. residential208
—
1
—
209
—
Commercial16
—
27
—
43
—
Total mortgage-backed securities$10,004
$242
$1,905
$38
$11,909
$280
U.S. Treasury and federal agency securities 
 
 


 
 
U.S. Treasury$45,484
$248
$26,907
$132
$72,391
$380
Agency obligations781
2
3,897
18
4,678
20
Total U.S. Treasury and federal agency securities$46,265
$250
$30,804
$150
$77,069
$400
State and municipal$362
$62
$266
$27
$628
$89
Foreign government35,485
149
8,170
92
43,655
241
Corporate2,916
98
123
3
3,039
101
Asset-backed securities112
1
166
1
278
2
Other debt securities1,307
—
—
—
1,307
—
Total debt securities AFS$96,451
$802
$41,434
$311
$137,885
$1,113






The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
 March 31, 2021December 31, 2020
In millions of dollarsAmortized
cost		Fair
value		Amortized
cost		Fair
value
Mortgage-backed securities(1)
  
Due within 1 year$70 $70 $27 $27 
After 1 but within 5 years387 389 567 571 
After 5 but within 10 years819 876 688 757 
After 10 years(2)
41,261 41,850 42,171 43,184 
Total$42,537 $43,185 $43,453 $44,539 
U.S. Treasury and federal agency securities    
Due within 1 year$29,917 $30,048 $34,834 $34,951 
After 1 but within 5 years90,482 91,455 108,160 110,091 
After 5 but within 10 years1,222 1,195 1,150 1,162 
After 10 years(2)
2 2 0 0 
Total$121,623 $122,700 $144,144 $146,204 
State and municipal    
Due within 1 year$408 $408 $427 $428 
After 1 but within 5 years117 118 189 198 
After 5 but within 10 years240 239 276 267 
After 10 years(2)
2,518 2,486 2,861 2,826 
Total$3,283 $3,251 $3,753 $3,719 
Foreign government    
Due within 1 year$48,334 $48,426 $48,133 $48,258 
After 1 but within 5 years63,516 63,789 67,365 68,586 
After 5 but within 10 years5,562 5,599 5,908 6,011 
After 10 years(2)
1,714 1,800 2,061 2,113 
Total$119,126 $119,614 $123,467 $124,968 
All other(3)
    
Due within 1 year$6,332 $6,338 $6,661 $6,665 
After 1 but within 5 years7,886 7,898 7,814 7,891 
After 5 but within 10 years992 979 1,018 1,034 
After 10 years(2)
94 71 99 64 
Total$15,304 $15,286 $15,592 $15,654 
Total debt securities AFS$301,873 $304,036 $330,409 $335,084 
 March 31, 2020December 31, 2019
In millions of dollars
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Mortgage-backed securities(1)
    
Due within 1 year$629
$640
$20
$20
After 1 but within 5 years584
585
573
574
After 5 but within 10 years1,009
1,067
594
626
After 10 years(2)
41,158
42,081
34,640
34,877
Total$43,380
$44,373
$35,827
$36,097
U.S. Treasury and federal agency securities    
Due within 1 year$27,233
$27,403
$40,757
$40,688
After 1 but within 5 years88,605
91,130
70,128
69,850
After 5 but within 10 years6,515
6,697
854
851
After 10 years(2)
25
32
26
29
Total$122,378
$125,262
$111,765
$111,418
State and municipal    
Due within 1 year$937
$937
$932
$932
After 1 but within 5 years601
608
714
723
After 5 but within 10 years291
312
195
215
After 10 years(2)
3,848
3,608
3,183
3,108
Total$5,677
$5,465
$5,024
$4,978
Foreign government    
Due within 1 year$46,369
$46,491
$42,611
$42,666
After 1 but within 5 years59,050
59,561
58,820
59,071
After 5 but within 10 years9,481
9,505
8,192
8,198
After 10 years(2)
1,803
1,810
1,335
1,368
Total$116,703
$117,367
$110,958
$111,303
All other(3)
    
Due within 1 year$5,836
$5,846
$7,306
$7,311
After 1 but within 5 years8,894
8,908
8,279
8,275
After 5 but within 10 years921
891
818
797
After 10 years(2)
157
107
116
86
Total$15,808
$15,752
$16,519
$16,469
Total debt securities AFS$303,946
$308,219
$280,093
$280,265
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies. The Company invests in mortgage- and asset-backed securities, which are typically issued by VIEs through securitization transactions.
(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.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate, asset-backed and other debt securities.


There were no purchased credit-deteriorated AFS debt securities held by the Company as of March 31, 2020.117



Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM were as follows:
In millions of dollars
Amortized
cost, net(1)
Gross
unrealized
gains		Gross
unrealized
losses		Fair
value
March 31, 2021    
Debt securities HTM    
Mortgage-backed securities(2)
U.S. government-sponsored agency guaranteed$63,783 $1,643 $718 $64,708 
Non-U.S. residential1,107 3 1 1,109 
Commercial887 2 1 888 
Total mortgage-backed securities$65,777 $1,648 $720 $66,705 
U.S. Treasury securities$58,380 $0 $925 $57,455 
State and municipal(3)
9,446 631 17 10,060 
Foreign government1,877 45 8 1,914 
Asset-backed securities(2)
26,262 10 31 26,241 
Total debt securities HTM, net$161,742 $2,334 $1,701 $162,375 
December 31, 2020    
Debt securities HTM   
Mortgage-backed securities(2)
    
U.S. government-sponsored agency guaranteed$49,004 $2,162 $15 $51,151 
Non-U.S. residential1,124 3 1 1,126 
Commercial825 1 1 825 
Total mortgage-backed securities$50,953 $2,166 $17 $53,102 
U.S. Treasury securities(4)
$21,293 $4 $55 $21,242 
State and municipal9,185 755 11 9,929 
Foreign government1,931 91 0 2,022 
Asset-backed securities(2)
21,581 6 92 21,495 
Total debt securities HTM, net$104,943 $3,022 $175 $107,790 
In millions of dollars
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
March 31, 2020    
Debt securities HTM    
Mortgage-backed securities(1)
    
U.S. government-sponsored agency guaranteed$48,270
$2,010
$16
$50,264
Non-U.S. residential1,112
—
12
1,100
Commercial654
1
—
655
Total mortgage-backed securities$50,036
$2,011
$28
$52,019
State and municipal$9,269
$516
$25
$9,760
Foreign government1,553
40
—
1,593
Asset-backed securities(1)
21,533
4
1,251
20,286
Allowance for HTM securities at the end of the period$(76)$—
$—
$(76)
Total debt securities HTM, net$82,315
$2,571
$1,304
$83,582
December 31, 2019 
 
 
 
Debt securities HTM 
 
  
Mortgage-backed securities(1)
 
 
 
 
U.S. government-sponsored agency guaranteed$46,637
$1,047
$21
$47,663
Non-U.S. residential1,039
5
—
1,044
Commercial582
1
—
583
Total mortgage-backed securities$48,258
$1,053
$21
$49,290
State and municipal$9,104
$455
$28
$9,531
Foreign government1,934
37
1
1,970
Asset-backed securities(1)
21,479
12
59
21,432
Total debt securities HTM$80,775
$1,557
$109
$82,223

(1)Amortized cost is reported net of ACL of $78 million and $86 million at March 31, 2021 and December 31, 2020, respectively.
(1)
(2)The Company invests in mortgage- and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.

The table below shows the fair value of debt securities HTM that have been in an unrecognized loss position at December 31, 2019:
 Less than 12 months12 months or longerTotal
In millions of dollarsFair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses
December 31, 2019      
Debt securities held-to-maturity      
Mortgage-backed securities$3,590
$10
$1,116
$11
$4,706
$21
State and municipal34
1
1,125
27
1,159
28
Foreign government1,970
1
—
—
1,970
1
Asset-backed securities7,972
11
765
48
8,737
59
Total debt securities held-to-maturity$13,566
$23
$3,006
$86
$16,572
$109
Note: Excluded from the gross unrecognized losses presented in the table above is $(582)above. For mortgage- and asset-backed securitizations in which the Company has other involvement, see Note 18 to the Consolidated Financial Statements.
(3)In February 2021, Citibank transferred $237 million of netstate and municipal bonds from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized losses recordedgain position of $14 million. The gain amounts will remain in AOCI and will be amortized over the remaining life of the securities.
(4)In August 2020, Citibank transferred $13.1 billion of investments in U.S. Treasury securities from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized gain position of $144 million. The gain amounts will remain in AOCI asand will be amortized over the remaining life of December 31, 2019, respectively, primarily related to the difference between the amortized cost and carrying value of HTM debt securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at December 31, 2019.securities.



118

The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
March 31, 2020December 31, 2019 March 31, 2021December 31, 2020
In millions of dollarsAmortized costFair valueAmortized costFair valueIn millions of dollars
Amortized cost(1)
Fair value
Amortized cost(1)
Fair value
Mortgage-backed securities   Mortgage-backed securities   
Due within 1 year$14
$14
$17
$17
Due within 1 year$244 $399 $81 $81 
After 1 but within 5 years474
486
458
463
After 1 but within 5 years596 626 463 477 
After 5 but within 10 years1,604
1,757
1,662
1,729
After 5 but within 10 years1,641 1,749 1,699 1,873 
After 10 years(1)
47,944
49,762
46,121
47,081
After 10 years(2)
After 10 years(2)
63,296 63,931 48,710 50,671 
TotalTotal$65,777 $66,705 $50,953 $53,102 
U.S. Treasury securitiesU.S. Treasury securities
Due within 1 yearDue within 1 year$0 $0 $0 $0 
After 1 but within 5 yearsAfter 1 but within 5 years28,176 27,697 18,955 19,127 
After 5 but within 10 yearsAfter 5 but within 10 years30,204 29,758 2,338 2,115 
After 10 years(2)
After 10 years(2)
0 0 0 0 
Total$50,036
$52,019
$48,258
$49,290
Total$58,380 $57,455 $21,293 $21,242 
State and municipal   State and municipal   
Due within 1 year$52
$50
$2
$26
Due within 1 year$8 $7 $6 $6 
After 1 but within 5 years89
90
123
160
After 1 but within 5 years172 176 139 142 
After 5 but within 10 years577
604
597
590
After 5 but within 10 years848 887 818 869 
After 10 years(1)
8,551
9,016
8,382
8,755
After 10 years(2)
After 10 years(2)
8,418 8,990 8,222 8,912 
Total$9,269
$9,760
$9,104
$9,531
Total$9,446 $10,060 $9,185 $9,929 
Foreign government   Foreign government   
Due within 1 year$521
$522
$650
$652
Due within 1 year$352 $349 $361 $360 
After 1 but within 5 years1,032
1,071
1,284
1,318
After 1 but within 5 years1,525 1,565 1,570 1,662 
After 5 but within 10 years—
—
—
—
After 5 but within 10 years0 0 0 0 
After 10 years(1)
—
—
—
—
After 10 years(2)
After 10 years(2)
0 0 0 0 
Total$1,553
$1,593
$1,934
$1,970
Total$1,877 $1,914 $1,931 $2,022 
All other(2)
   
All other(3)
All other(3)
  
Due within 1 year$—
$—
$—
$—
Due within 1 year$0 $0 $0 $0 
After 1 but within 5 years—
—
—
—
After 1 but within 5 years0 0 0 0 
After 5 but within 10 years7,092
6,753
8,545
8,543
After 5 but within 10 years13,973 13,956 11,795 15,020 
After 10 years(1)
14,441
13,457
12,934
12,889
After 10 years(2)
After 10 years(2)
12,289 12,285 9,786 6,475 
Total$21,533
$20,210
$21,479
$21,432
Total$26,262 $26,241 $21,581 $21,495 
Total debt securities HTM$82,391
$83,582
$80,775
$82,223
Total debt securities HTM$161,742 $162,375 $104,943 $107,790 
(1)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(2)Includes corporate and asset-backed securities.
(1)Amortized cost is reported net of ACL of $78 million and $86 million at March 31, 2021 and December 31, 2020, respectively.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate and asset-backed securities.

HTM Debt Securities Delinquency and Non-Accrual Details

Citi did not have any HTM securities that were delinquent or on non-accrual status at March 31, 2021 and December 31, 2020.

There were no purchased credit-deteriorated HTM debt securities held by the Company as of March 31, 2021 and December 31, 2020.



119

Evaluating Investments for Impairment

AFS Debt Securities

Overview—AFS Debt Securities
The Company conducts periodic reviews of all AFS debt securities with unrealized losses to evaluate whether the impairment resulted from expected credit losses or from other factors and to evaluate the Company’s intent to sell such securities.
An AFS debt security is impaired when the current fair value of an individual AFS debt security is less than its amortized cost basis.
The Company recognizes the entire difference between amortized cost basis and fair value in earnings for impaired AFS debt securities that Citi has an intent to sell or for which Citi believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those AFS debt securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings by recording an allowance for credit losses. Any remaining fair value decline for such securities is recorded in AOCI. The Company does not consider the length of time that the fair value of a security is below its amortized cost when determining if a credit loss exists.
For AFS debt securities, credit losses exist where Citi does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security. The allowance for credit losses is limited to the amount by which the AFS debt security’s amortized cost basis exceeds its fair value. The allowance is increased or decreased if credit conditions subsequently worsen or improve. Reversals of credit losses are recognized in earnings.


The Company’s review for impairment of AFS debt securities generally entails:

•identification and evaluation of impaired investments;
•consideration of evidential matter, including an evaluation of factors or triggers that could cause individual positions to qualify as credit impaired and those that would not support credit impairment; and
•documentation of the results of these analyses, as required under business policies.

The sections below describe the Company’s process for identifying expected credit impairments for debt security types that have the most significant unrealized losses as of March 31, 2020.2021.

Mortgage-Backed Securities
Citi records no allowances for credit losses on U.S. government-agency-guaranteed mortgage-backed securities, because the Company expects to incur no credit losses in the event of default due to a history of incurring no credit losses and due to the nature of the counterparties.

State and Municipal Securities
The process for estimating credit losses in Citigroup’s AFS state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings. Citi 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 Aa2/AA. In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.
For AFS state and municipal bonds with unrealized losses that Citi plans to sell, or would more-likely-than-not be more-likely-than-not required to sell, the full impairment is recognized in earnings. For AFS state and municipal bonds where Citi has no intent to sell and it is more-likely-than-not that the Company will not be required to sell, Citi records an allowance for expected credit losses for the amount it expects not to collect, capped at the difference between the bond’s amortized cost basis and fair value.

Equity Method Investments
Management assesses equity method investments that have fair values that are less than their respective carrying values for other-than-temporary impairment (OTTI). Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 20 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would more-likely-than-not be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings as OTTI in Other revenue 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.

120

Recognition and Measurement of Impairment
The following tables presenttable presents total impairment on Investments recognized in earnings:
Three Months Ended
March 31, 2021		Three Months Ended
March 31, 2020
In millions of dollarsAFSOther
assets		TotalAFSOther assetsTotal
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:   
Total impairment losses recognized during the period$0 $0 $0 $0 $0 $0 
Less: portion of impairment loss recognized in AOCI (before taxes)
0 0 0 0 0 0 
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$0 $0 $0 $0 $0 $0 
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise69 0 69 52 0 52 
Total impairment losses recognized in earnings$69 $0 $69 $52 $0 $52 

Three Months Ended 
 March 31, 2020		Three Months Ended 
 March 31, 2019
In millions of dollarsAFSOther
assets		TotalAFSHTMOther assetsTotal
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:       
Total impairment losses recognized during the period$—
$—
$—
$—
$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)
—
—
—
—
—
—
—
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$—
$—
$—
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise52
—
52
3
—
—
3
Total impairment losses recognized in earnings$52
$—
$52
$3
$—
$—
$3


Allowance for Credit Losses on AFS Debt Securities
The following are three-month rollforwards of the credit-related impairments recognized in earnings
Three Months Ended March 31, 2021
In millions of dollarsForeign governmentCorporateTotal AFS
Allowance for credit losses at beginning of period$0 $5 $5 
Less: Write-offs0 0 0 
Recoveries of amounts written-off0 0 0 
Net credit losses (NCLs)$0 $0 $0 
NCLs$0 $0 $0 
Credit losses on securities without previous credit losses0 0 0 
Net reserve builds (releases) on securities with previous credit losses0 0 0 
Total provision for credit losses$0 $0 $0 
Initial allowance on newly purchased credit-deteriorated securities during the period0 0 0 
Allowance for credit losses at end of period$0 $5 $5 

Citi did 0t have an allowance for credit losses on AFS debt securities held that the Company does not intend to sell nor will likely be required to sell:at March 31, 2020.
 Cumulative credit losses recognized in earnings on debt securities still held
In millions of dollarsDecember 31, 2019 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Changes due to
credit-impaired
securities sold,
transferred or
matured		March 31, 2020 balance
AFS debt securities     
Mortgage-backed securities$1
$—
$—
$—
$1
State and municipal4
—
—
—
4
Corporate4
—
—
—
4
All other debt securities1
—
—
—
1
Total credit losses recognized for AFS debt securities$10
$—
$—
$—
$10


 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—
—
—
—
—
Corporate4
—
—
—
4
All other debt securities—
—
—
—
—
Total OTTI credit losses recognized for AFS debt securities$5
$—
$—
$—
$5
HTM debt securities     
Mortgage-backed securities$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
Total OTTI credit losses recognized for HTM debt securities$—
$—
$—
$—
$—



121

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, 20202021 and December 31, 2019:2020:
In millions of dollarsMarch 31, 2021December 31, 2020
Measurement alternative:
Carrying value$1,079 $962 


In millions of dollarsMarch 31, 2020December 31, 2019
Measurement alternative:  
Carrying value$741
$700

Below are amounts recognized in earnings and life-to-date amounts for non-marketable equity securities measured using the measurement alternative:
Three Months Ended
March 31,
In millions of dollars20212020
Measurement alternative(1):
Impairment losses$0 $3 
Downward changes for observable prices0 0 
Upward changes for observable prices81 25 
 
Three Months Ended
March 31,
In millions of dollars20202019
Measurement alternative(1):




Impairment losses$3
$5
Downward changes for observable prices—
—
Upward changes for observable prices25
66

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

(1)See Note 20 to the Consolidated Financial StatementsLife-to-date amounts on securities still held
In millions of dollarsMarch 31, 2021
Measurement alternative:
Impairment losses$68
Downward changes for additional information on these nonrecurring fair value measurements.observable prices53
Upward changes for observable prices567

 Life-to-date amounts on securities still held
In millions of dollarsMarch 31, 2020
Measurement alternative: 
Impairment losses$19
Downward changes for observable prices34
Upward changes for observable prices367



A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended March 31, 20202021 and 2019,2020, there was 0 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 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.




122

Fair valueUnfunded
commitments		Redemption frequency
(if currently eligible)
monthly, quarterly, annually		Redemption 
notice
period
In millions of dollarsMarch 31,
2021		December 31, 2020March 31,
2021		December 31, 2020
Private equity funds(1)(2)
$116 $123 $60 $62 ——
Real estate funds(2)(3)
4 9 2 20 ——
Mutual/collective investment funds19 20 0 0 ——
Total$139 $152 $62 $82 ——
(1)Private equity funds include funds that invest in infrastructure, emerging markets and venture capital.
(2)With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
(3)Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.
123
 Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollarsMarch 31,
2020		December 31, 2019March 31,
2020		December 31, 2019  
Hedge funds$—
$—
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
123
134
62
62
——
Real estate funds(2)(3)
9
10
18
18
——
Mutual/collective investment funds20
26
—
—
——
Total$152
$170
$80
$80
——
(1)Private equity funds include funds that invest in infrastructure, emerging markets and venture capital.
(2)With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
(3)Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.


13.  LOANS

Citigroup loans are reported in 2 categories: consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans. For additional information regarding Citi’s consumer and corporate loans, including related accounting policies, see Note 1 to the Consolidated Financial Statements and Notes 1 and 14 to the Consolidated Financial Statements in Citi’s 20192020 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, delinquencies and non-accrual details:









Amortized Cost Basis by
Consumer Loan DelinquencyLoans, Delinquencies and Non-Accrual Status at March 31, 2020
2021
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 loansNon-accrual loans for which there are no loan loss reservesNon-accrual loans for which there are loan loss reserves
Total
non-accrual
90 days 
past due
and accruing
In North America offices(5)
         
Residential first mortgages(6)
$46,227
$390
$230
$413
$47,260
$142
$358
$500
$274
Home equity loans(7)(8)
8,608
127
201
—
8,936
28
379
407
—
Credit cards133,794
1,673
1,849
—
137,316
—
—
—
1,849
Personal, small business and other3,631
33
11
—
3,675
—
19
19
—
Total$192,260
$2,223
$2,291
$413
$197,187
$170
$756
$926
$2,123
In offices outside North America(5)
         
Residential first mortgages(6)
$35,033
$218
$149
$—
$35,400
$—
$375
$375
$—
Credit cards21,073
403
325
—
21,801
—
243
243
236
Personal, small business and other33,645
278
119
—
34,042
7
148
155
—
Total$89,751
$899
$593
$—
$91,243
$7
$766
$773
$236
Total Citigroup(9)
$282,011
$3,122
$2,884
$413
$288,430
$177
$1,522
$1,699
$2,359
(1)Loans less than 30 days past due are presented as current.
(2)Includes $18 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.3 billion.
(5)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(7)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(8)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(9)Consumer loans are net of unearned income of $771 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

In millions of dollars
Total
current(1)(2)
30–89 
days past
 due(3)(4)
≥ 90 days
past
 due(3)(4)
Past due
government
guaranteed(5)
Total loansNon-accrual loans for which there is no ACLLNon-accrual loans for which there is an ACLLTotal
non-accrual		90 days 
past due
and accruing
In North America offices(6)
        
Residential first mortgages(7)
$44,638 $272 $344 $485 $45,739 $128 $460 $588 $325 
Home equity loans(8)(9)
6,391 61 186 0 6,638 69 268 337 0 
Credit cards118,870 997 1,181 0 121,048 0 0 0 1,181 
Personal, small business and other4,565 25 10 0 4,600 2 34 36 0 
Total$174,464 $1,355 $1,721 $485 $178,025 $199 $762 $961 $1,506 
In offices outside North America(6)
      
Residential first mortgages(7)
$39,426 $205 $202 $0 $39,833 $0 $479 $479 $0 
Credit cards20,397 344 396 0 21,137 0 281 281 269 
Personal, small business and other34,669 237 133 0 35,039 0 263 263 0 
Total$94,492 $786 $731 $0 $96,009 $0 $1,023 $1,023 $269 
Total Citigroup(10)
$268,956 $2,141 $2,452 $485 $274,034 $199 $1,785 $1,984 $1,775 

(1)Loans less than 30 days past due are presented as current.
(2)Includes $15 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification. Most modified loans in North America would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer). Consumer relief programs in Asia and Mexico largely expired during the fourth quarter of 2020 and began to age at that time.
(5)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.4 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $700 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
124

Interest Income Recognized for Non-Accrual Consumer Loans During
Interest income
In millions of dollarsThree Months Ended March 31, 2021Three Months Ended March 31, 2020
In North America offices(1)
Residential first mortgages$3 $3 
Home equity loans2 2 
Credit cards0 0 
Personal, small business and other0 0 
Total$5 $5 
In offices outside North America(1)
Residential first mortgages$0 $0 
Credit cards0 0 
Personal, small business and other0 0 
Total$0 $0 
Total Citigroup$5 $5 

(1)North America includes the Quarter Ended March 31, 2020
In millions of dollarsInterest income
In North America offices(1)


Residential first mortgages$3
Home equity loans2
Credit cards—
Personal, small business and other—
Total$5
In offices outside North America(1)


Residential first mortgages$—
Credit cards—
Personal, small business and other—
Total$—
Total Citigroup$5

(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.

U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
Amortized Cost Basis by
Consumer Loan DelinquencyLoans, Delinquencies and Non-Accrual Status at December 31, 2019
2020
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days 
past due
and accruing
In millions of dollars
Total
current(1)(2)
30–89 days
past due(3)(4)
≥ 90 days
past due(3)(4)
Past due
government
guaranteed(5)
Total
loans		Non-accrual loans for which there is no ACLLNon-accrual loans for which there is an ACLLTotal
non-accrual		90 days 
past due
and accruing
In North America offices(5)
   
Residential first mortgages(6)
$45,942
$411
$221
$434
$47,008
$479
$288
Home equity loans(7)(8)
8,860
174
189
—
9,223
405
—
In North America offices(6)
In North America offices(6)
   
Residential first mortgages(7)
Residential first mortgages(7)
$46,471 $402 $381 $524 $47,778 $136 $509 $645 $332 
Home equity loans(8)(9)
Home equity loans(8)(9)
6,829 78 221 0 7,128 72 307 379 0 
Credit cards145,477
1,759
1,927
—
149,163
—
1,927
Credit cards127,827 1,228 1,330 0 130,385 0 0 0 1,330 
Personal, small business and other3,641
44
14
—
3,699
21
—
Personal, small business and other4,472 27 10 0 4,509 2 33 35 0 
Total$203,920
$2,388
$2,351
$434
$209,093
$905
$2,215
Total$185,599 $1,735 $1,942 $524 $189,800 $210 $849 $1,059 $1,662 
In offices outside North America(5)
    
Residential first mortgages(6)
$37,316
$210
$160
$—
$37,686
$421
$—
In offices outside North America(6)
In offices outside North America(6)
   
Residential first mortgages(7)
Residential first mortgages(7)
$39,557 $213 $199 $0 $39,969 $0 $486 $486 $0 
Credit cards25,111
426
372
—
25,909
310
242
Credit cards21,718 429 545 0 22,692 0 384 384 376 
Personal, small business and other36,456
272
132
—
36,860
180
—
Personal, small business and other35,925 319 134 0 36,378 0 212 212 0 
Total$98,883
$908
$664
$—
$100,455
$911
$242
Total$97,200 $961 $878 $0 $99,039 $0 $1,082 $1,082 $376 
Total Citigroup(9)
$302,803
$3,296
$3,015
$434
$309,548
$1,816
$2,457
Total Citigroup(10)
Total Citigroup(10)
$282,799 $2,696 $2,820 $524 $288,839 $210 $1,931 $2,141 $2,038 
(1)Loans less than 30 days past due are presented as current.
(2)Includes $18 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.1 billion and 90 days or more past due of $0.3 billion.
(5)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(6)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(7)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(8)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(9)Consumer loans are net of unearned income of $783 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(1)Loans less than 30 days past due are presented as current.
(2)Includes $14 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored agencies.
(4)Loans modified under Citi’s consumer relief programs continue to be reported in the same delinquency bucket they were in at the time of modification, and thus almost all would not be reported as 30–89 or 90+ days past due for the duration of the programs (which have various durations, and certain of which may be renewed by the customer).
(5)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored agencies that are 30–89 days past due of $0.2 billion and 90 days or more past due of $0.3 billion.
(6)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America.
(7)Includes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(8)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(9)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(10)Consumer loans are net of unearned income of $749 million. Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.

During the three months ended March 31, 20202021 and 2019,2020, the Company sold and/or reclassified to HFS $0.0 billion$96 million and $1.9 billion$24 million, respectively, of consumer loans.

125



Consumer Credit Scores (FICO)
The following tables provide details on the Fair Isaac Corporation (FICO) scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables by year of origination. FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.
FICO score distribution in U.S. portfolio(1)(2)
March 31, 2021
In millions of dollarsLess than
680		680
to 760		Greater
than 760		FICO not availableTotal loans
Residential first mortgages
2021$21 $730 $1,650 
2020195 3,418 8,962 
2019131 1,639 4,700 
2018233 547 1,089 
2017286 740 1,612 
Prior1,905 4,880 11,365 
Total residential first mortgages$2,771 $11,954 $29,378 $1,636 $45,739 
Credit cards(3)
$22,931 $49,139 $46,084 $2,364 $120,518 
Home equity loans (pre-reset)$272 $929 $1,568 
Home equity loans (post-reset)965 1,439 1,455 
Total home equity loans$1,237 $2,368 $3,023 $10 $6,638 
Installment and other
2021$1 $6 $13 
202026 65 112 
201970 90 114 
201867 66 70 
201720 21 23 
   Prior201 374 501 
Personal, small business and other$385 $622 $833 $2,760 $4,600 
Total$27,324 $64,083 $79,318 $6,770 $177,495 
FICO score distribution in U.S. portfolio(1)(2)(3)
March 31, 2020
In millions of dollarsLess than
680		680 to 760Greater
than 760
Residential first mortgages





2020$33
$699
$1,337
2019229
3,054
6,166
2018314
1,010
1,754
2017366
1,165
2,326
2016417
1,823
4,814
Prior2,247
5,425
12,131
Total residential first mortgages$3,606
$13,176
$28,528
Credit cards$32,912
$56,763
$44,486
Credit cards and line-of-credit arrangements converted to term loans—
—
—
Home equity loans
(pre-reset)
342
1,189
1,622
Home equity loans
(post-reset)
1,491
2,130
1,869
Total home equity loans$1,833
$3,319
$3,491
Installment and other





   2020$28
$53
$48
   2019133
189
150
   2018122
173
105
   201738
64
51
   201620
30
20
   Prior197
360
513
Personal, small business and other$538
$869
$887
Total$38,889
$74,127
$77,392

126


FICO score distribution in U.S. portfolio(1)(2)
December 31, 2020
In millions of dollarsLess than
680		680
to 760		Greater
than 760		FICO not availableTotal
loans
Residential first mortgages
2020$187 $3,741 $9,052 
20191501,8575,384
20182466551,227
20172988461,829
20163231,3683,799
Prior1,7084,1339,105
Total residential first mortgages$2,912 $12,600 $30,396 $1,870 $47,778 
Credit cards(3)
$26,227 $52,778 $49,767 $1,041 $129,813 
Home equity loans (pre-reset)$292 $1,014 $1,657 
Home equity loans (post-reset)1,055 1,569 1,524 
Total home equity loans$1,347 $2,583 $3,181 $17 $7,128 
Installment and other
2020$23 $58 $95 
201979 106 134 
201882 80 84 
201726 27 30 
201610 9 8 
Prior214 393 529 
Personal, small business and other$434 $673 $880 $2,522 $4,509 
Total$30,920 $68,634 $84,224 $5,450 $189,228 
(1)The FICO bands in the tables are consistent with general industry peer presentations.
(2)FICO scores are updated on either a monthly or quarterly basis. For updates that are made only quarterly, certain current-period loans by year of origination are greater than those disclosed in the prior periods. Loans that did not have FICO scores as of the prior period have been updated with FICO scores as they become available.
(3)Excludes $530 million and $572 million of balances related to Canada for March 31, 2021 and December 31, 2020, respectively.
FICO Score Distribution in U.S. Portfolio
FICO score distribution in U.S. portfolio(1)(2)(3)
December 31, 2019

In millions of dollars
Less than
680
680 to 760
Greater
than 760
Residential first mortgages$3,602
$13,178
$28,235
Credit cards33,290
59,536
52,935
Home equity loans1,881
3,475
3,630
Personal, small business and other564
907
1,473
Total$39,337
$77,096
$86,273

(1)The FICO bands in the tables are consistent with general industry peer presentations.
(2)Excludes loans guaranteed by U.S. government-sponsored agencies, loans subject to long-term standby commitments (LTSC) with U.S. government-sponsored agencies and loans recorded at fair value.
(3)Excludes balances where FICO was not available. Such amounts are not material.

127



Loan to Value (LTV) Ratios
The following tables provide details on the LTV ratios for Citi’s U.S. consumer mortgage portfolios by year of origination. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.

LTV distribution in U.S. portfolio(1)(2)
March 31, 2020
LTV distribution in U.S. portfolioLTV distribution in U.S. portfolioMarch 31, 2021
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
In millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%		LTV not availableTotal
Residential first mortgages Residential first mortgages
20212021$1,958 $443 $0 
2020$1,706
$363
$—
202011,401 1,184 0 
20197,825
1,624
5
20196,093 377 3 
20182,310
736
39
20181,474 392 8 
20173,307
547
10
20172,449 192 3 
20166,851
208
5
Prior19,646
179
26
Prior18,084 98 17 
Total residential first mortgages$41,645
$3,657
$85
Total residential first mortgages$41,459 $2,686 $31 $1,563 $45,739 
Home equity loans (pre-reset)$3,034
$86
$13
Home equity loans (pre-reset)$2,684 $50 $15 
Home equity loans (post-reset)4,561
698
210
Home equity loans (post-reset)3,586 211 45 
Total home equity loans$7,595
$784
$223
Total home equity loans$6,270 $261 $60 $47 $6,638 
Total$49,240
$4,441
$308
Total$47,729 $2,947 $91 $1,610 $52,377 
LTV distribution in U.S. portfolioDecember 31, 2020
In millions of dollarsLess than
 or equal
to 80%		> 80% but less
than or equal to 100%		Greater
than
100%		LTV not availableTotal
Residential first mortgages
   2020$11,447 $1,543 $0 
   20197,029 376 2 
   20181,617 507 11 
   20172,711 269 4 
   20165,423 84 2 
   Prior14,966 66 16 
Total residential first mortgages$43,193 $2,845 $35 $1,705 $47,778 
Home equity loans (pre-reset)$2,876 $50 $16 
Home equity loans (post-reset)3,782 290 58 
Total home equity loans$6,658 $340 $74 $56 $7,128 
Total$49,851 $3,185 $109 $1,761 $54,906 


LTV distribution in U.S. portfolio(1)(2)
December 31, 2019
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$41,705
$3,302
$98
Home equity loans7,934
819
235
Total$49,639
$4,121
$333
(1)Excludes loans guaranteed by U.S. government-sponsored agencies, loans subject to LTSCs with U.S. government-sponsored agencies and loans recorded at fair value.
(2)Excludes balances where LTV was not available. Such amounts are not material.

128



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,
 Balance at March 31, 202120212020
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)
Mortgage and real estate     
Residential first mortgages$1,708 $1,850 $144 $1,695 $21 $14 
Home equity loans457 645 45 498 3 3 
Credit cards1,992 2,593 844 1,946 35 26 
Personal, small business and other576 577 181 502 12 15 
Total$4,733 $5,665 $1,214 $4,641 $71 $58 
     Three Months Ended 
 March 31,
 Balance at March 31, 202020202019
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)
Mortgage and real estate      
Residential first mortgages$1,584
$1,775
$111
$1,799
$14
$17
Home equity loans572
800
21
612
3
2
Credit cards1,913
1,928
823
1,903
26
26
Installment and other      
Personal, small business and other410
442
129
599
15
8
Total$4,479
$4,945
$1,084
$4,913
$58
$53
(1)
(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)$220 million of residential first mortgages and $176 million of home equity loans do not have a specific allowance.
 Balance at December 31, 2020
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Mortgage and real estate    
Residential first mortgages$1,787 $1,962 $157 $1,661 
Home equity loans478 651 60 527 
Credit cards1,982 2,135 918 1,926 
Personal, small business and other552 552 210 463 
Total$4,799 $5,300 $1,345 $4,577 
(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)For March 31, 2021, $209 million of residential first mortgages and $136 million of home equity loans do not have a specific allowance. For December 31, 2020, $211 million of residential first mortgages and $147 million of home equity loans do not have a specific allowance.
(3)Included in the Allowance for loancredit losses on loans.
(4)Average carrying value represents the average recorded investment ending balance for the last 4 quarters and does not include the related specific allowance.
(4)Average carrying value represents the average recorded investment ending balance for the last 4 quarters and does not include the related specific allowance.
(5)Includes amounts recognized on both an accrual and cash basis.



129

 Balance at December 31, 2019
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Mortgage and real estate    
Residential first mortgages$1,666
$1,838
$161
$1,925
Home equity loans592
824
123
637
Credit cards1,931
2,288
771
1,890
Installment and other    
Personal, small business and other419
455
135
683
Total$4,608
$5,405
$1,190
$5,135
(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)$405 million of residential first mortgages and $212 million of home equity loans do not have a specific allowance.
(3)
Included in the Allowance for credit losses on loans.
(4)Average carrying value represents the average recorded investment ending balance for the last 4 quarters and does not include the related specific allowance.





Consumer Troubled Debt Restructurings(1)
 
For the Three Months Ended March 31, 2021(1)
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(2)(3)
Deferred
principal(4)
Contingent
principal
forgiveness(5)
Principal
forgiveness(6)
Average
interest rate
reduction
North America      
Residential first mortgages331 $57 $0 $0 $0 0 %
Home equity loans50 4 0 0 0 0 
Credit cards59,046 300 0 0 0 17 
Personal, small business and other461 7 0 0 0 4 
Total(7)
59,888 $368 $0 $0 $0 
International
Residential first mortgages467 $24 $0 $0 $0 1 %
Credit cards24,599 102 0 0 7 15 
Personal, small business and other7,537 57 0 0 2 11 
Total(7)
32,603 $183 $0 $0 $9 

 
For the Three Months Ended March 31, 2020(1)
In millions of dollars, except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(2)(8)
Deferred
principal(4)
Contingent
principal
forgiveness(5)
Principal
forgiveness(6)
Average
interest rate
reduction
North America      
Residential first mortgages277 $44 $0 $0 $0 0 %
Home equity loans82 8 0 0 0 2 
Credit cards67,282 305 0 0 0 17 
Personal, small business and other433 4 0 0 0 6 
Total(7)
68,074 $361 $0 $0 $0  
International      
Residential first mortgages536 $14 $0 $0 $0 5 %
Credit cards19,315 73 0 0 3 16 
Personal, small business and other7,654 52 0 0 2 11 
Total(7)
27,505 $139 $0 $0 $5  

(1)The above tables do not include loan modifications that meet the TDR relief criteria in the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) or the interagency guidance.
(2)Post-modification balances include past-due amounts that are capitalized at the modification date.
(3)Post-modification balances in North America include $3 million of residential first mortgages and $0.1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2021. These amounts include $1 million of residential first mortgages and $0.1 million of home equity loans that were newly classified as TDRs in the three months ended March 31, 2021, based on previously received OCC guidance.
(4)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(5)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(6)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(7)    The above tables reflect activity for restructured loans that were considered TDRs during the reporting period.
(8)    Post-modification balances in North America include $4 million of residential first mortgages and $1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2020. These amounts include $3 million of residential first mortgages and $1 million of home equity loans that were newly classified as TDRs in the three months ended March 31, 2020, based on previously received OCC guidance.



130
 For the Three Months Ended March 31, 2020
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 mortgages277
$44
$—
$—
$—
—%
Home equity loans82
8
—
—
—
2
Credit cards67,282
305
—
—
—
17
Personal, small business and other433
4
—
—
—
6
Total(6)
68,074
$361
$—
$—
$—


International      
Residential first mortgages536
$14
$—
$—
$—
5%
Credit cards19,315
73
—
—
3
16
Personal, small business and other7,654
52
—
—
2
11
Total(6)
27,505
$139
$—
$—
$5




Consumer Troubled Debt Restructurings

 For the Three Months Ended March 31, 2019
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 mortgages493
$74
$—
$—
$—
—%
Home equity loans206
21
1
—
—
2
Credit cards72,247
305
—
—
—
18
Personal, small business and other356
3
—
—
—
5
Total(6)
73,302
$403
$1
$—
$—
 
International      
Residential first mortgages725
$20
$—
$—
$—
—%
Credit cards18,493
75
—
—
3
16
Personal, small business and other7,644
51
—
—
2
9
Total(6)
26,862
$146
$—
$—
$5
 

(1)Post-modification balances include past-due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $4 million of residential first mortgages and $1 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2020. These amounts include $3 million of residential first mortgages and $1 million of home equity loans that were newly classified as TDRs in the three months ended March 31, 2020, 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)The above tables reflect activity for restructured loans that were considered TDRs as of the end of the reporting period.
(7)
Post-modification balances in North America include $7 million of residential first mortgages and $2 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2019. These amounts include $4 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, 2019, based on previously received OCC guidance.






The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
Three Months Ended March 31,
In millions of dollars20212020
North America
Residential first mortgages$18 $14 
Home equity loans4 2 
Credit cards63 90 
Personal, small business and other1 1 
Total$86 $107 
International
Residential first mortgages$12 $6 
Credit cards52 33 
Personal, small business and other23 17 
Total$87 $56 
 Three Months Ended March 31,
In millions of dollars20202019
North America  
Residential first mortgages$14
$23
Home equity loans2
3
Credit cards90
70
Personal, small business and other1
1
Total$107
$97
International  
Residential first mortgages$6
$3
Credit cards33
38
Personal, small business and other17
18
Total$56
$59

Purchased Credit-Deteriorated Assets
Three Months Ended March 31, 2021Three Months Ended December 31, 2020Three Months Ended March 31, 2020
In millions of dollarsCredit
cards
Mortgages(1)
Installment
and other		Credit
cards
Mortgages(1)
Installment
and other		Credit
cards
Mortgages(1)
Installment
and other
Purchase price$0 $3 $0 $0 $12 $0 $4 $9 $0 
Allowance for credit losses at acquisition date0 0 0 0 0 0 4 0 0 
Discount or premium attributable to non-credit factors0 0 0 0 0 0 0 0 0 
Par value (amortized cost basis)$0 $3 $0 $0 $12 $0 $8 $9 $0 

(1)    Includes loans sold to agencies that were bought back at par due to repurchase agreements.



Purchased Credit Deteriorated Assets
 Three Months Ended March 31, 2020
In millions of dollars
Credit
cards
Mortgages(1)
Installment and other
Purchase price$4
$9
$—
Allowance for credit losses at acquisition date4
—
—
Discount or premium attributable to non-credit factors—
—
—
Par value (amortized cost basis)$8
$9
$—

(1)Includes loans sold to agencies that were bought back at par due to repurchase agreements.

131



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,
2021		December 31,
2020
In North America offices(1)
  
Commercial and industrial$55,497 $57,731 
Financial institutions57,009 55,809 
Mortgage and real estate(2)
60,976 60,675 
Installment and other29,186 26,744 
Lease financing539 673 
Total$203,207 $201,632 
In offices outside North America(1)
  
Commercial and industrial$102,666 $104,072 
Financial institutions34,729 32,334 
Mortgage and real estate(2)
11,166 11,371 
Installment and other35,347 33,759 
Lease financing56 65 
Governments and official institutions4,783 3,811 
Total$188,747 $185,412 
Corporate loans, net of unearned income(3)
$391,954 $387,044 
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($844) million and ($844) million at March 31, 2021 and December 31, 2020, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.
In millions of dollarsMarch 31,
2020		December 31,
2019
In North America offices(1)
  
Commercial and industrial$81,231
$55,929
Financial institutions60,653
53,922
Mortgage and real estate(2)
55,428
53,371
Installment and other30,591
31,238
Lease financing988
1,290
Total$228,891
$195,750
In offices outside North America(1)
  
Commercial and industrial$121,703
$112,668
Financial institutions37,003
40,211
Mortgage and real estate(2)
9,639
9,780
Installment and other31,728
27,303
Lease financing72
95
Governments and official institutions3,554
4,128
Total$203,699
$194,185
Corporate loans, net of unearned income(3)
$432,590
$389,935
(1)North America includes the U.S., Canada and Puerto Rico. Mexico is included in offices outside North America. The classification between offices in North America and outside North America is based on the domicile of the booking unit. The difference between the domicile of the booking unit and the domicile of the managing unit is not material.
(2)Loans secured primarily by real estate.
(3)Corporate loans are net of unearned income of ($791) million and ($814) million at March 31, 2020 and December 31, 2019, respectively. Unearned income on corporate loans primarily represents interest received in advance, but not yet earned, on loans originated on a discounted basis.

The Company sold and/or reclassified to held-for-sale $0.2$0.5 billion and $0.5$0.2 billion of corporate loans during the three months ended March 31, 20202021 and 2019,2020, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three months ended March 31, 20202021 or 2019.2020.



132



Corporate Loan Delinquencies and Non-Accrual Details at March 31, 20202021
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrial$1,166
$163
$1,329
$1,814
$197,154
$200,297
Commercial and industrial$582 $118 $700 $2,465 $148,635 $151,800 
Financial institutions1,178
51
1,229
29
94,748
96,006
Financial institutions969 174 1,143 36 90,339 91,518 
Mortgage and real estate591
24
615
204
64,398
65,217
Mortgage and real estate189 84 273 496 71,373 72,142 
Lease financing28
8
36
41
983
1,060
Lease financing28 0 28 27 540 595 
Other167
20
187
396
65,446
66,029
Other70 12 82 82 68,225 68,389 
Loans at fair value   3,981
Loans at fair value7,510 
Total$3,130
$266
$3,396
$2,484
$422,729
$432,590
Total$1,838 $388 $2,226 $3,106 $379,112 $391,954 

Corporate Loan Delinquencies and Non-Accrual Details at December 31, 2019
2020
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans(4)
Commercial and industrial$676
$93
$769
$1,828
$164,249
$166,846
Commercial and industrial$400 $109 $509 $2,795 $153,036 $156,340 
Financial institutions791
3
794
50
91,008
91,852
Financial institutions668 65 733 92 86,864 87,689 
Mortgage and real estate534
4
538
188
62,425
63,151
Mortgage and real estate450 247 697 505 70,836 72,038 
Lease financing58
9
67
41
1,277
1,385
Lease financing62 12 74 24 640 738 
Other190
22
212
81
62,341
62,634
Other112 19 131 111 63,157 63,399 
Loans at fair value   4,067
Loans at fair value6,840 
Total$2,249
$131
$2,380
$2,188
$381,300
$389,935
Total$1,692 $452 $2,144 $3,527 $374,533 $387,044 
(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.

(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.



133



Corporate Loans Credit Quality Indicators
 
Recorded investment in loans(1)
Term loans by year of origination
Revolving line
of credit arrangements(2)
March 31, 2021
In millions of dollars20212020201920182017Prior
Investment grade(3)
 
Commercial and industrial(4)
$29,070 $11,833 $6,534 $5,311 $3,416 $10,120 $26,712 $92,996 
Financial institutions(4)
10,473 5,551 2,242 1,582 1,025 2,254 58,910 82,037 
Mortgage and real estate2,473 5,494 5,820 4,827 2,205 2,847 1,728 25,394 
Other(5)
8,994 6,575 2,392 4,588 606 6,744 32,683 62,582 
Total investment grade$51,010 $29,453 $16,988 $16,308 $7,252 $21,965 $120,033 $263,009 
Non-investment grade(3)
 
Accrual 
Commercial and industrial(4)
$12,897 $6,422 $4,266 $3,991 $2,850 $4,167 $21,746 $56,339 
Financial institutions(4)
3,196 2,395 629 555 98 274 2,298 9,445 
Mortgage and real estate944 1,319 2,117 1,755 1,415 1,376 578 9,504 
Other(5)
1,384 528 682 541 299 591 2,268 6,293 
Non-accrual
Commercial and industrial(4)
81 197 227 86 106 286 1,482 2,465 
Financial institutions0 0 0 0 0 0 36 36 
Mortgage and real estate0 12 8 55 18 30 373 496 
Other(5)
7 4 24 38 10 26 0 109 
Total non-investment grade$18,509 $10,877 $7,953 $7,021 $4,796 $6,750 $28,781 $84,687 
Non-rated private bank loans managed on a delinquency basis(3)(6)
$2,313 $9,755 $6,839 $3,359 $3,488 $10,994 $0 $36,748 
Loans at fair value(7)
7,510 
Corporate loans, net of unearned income$71,832 $50,085 $31,780 $26,688 $15,536 $39,709 $148,814 $391,954 
134

 
Recorded investment in loans(1)
 Term loans by year of origination
Revolving line of credit arrangements(2)
Totals as of
In millions of dollars20202019201820172016PriorMarch 31,
2020		December 31,
2019
Investment grade(3)
         
Commercial and industrial(4)
$31,204
$14,056
$8,343
$6,340
$2,838
$11,737
$51,963
$126,481
$110,797
Financial institutions(4)
14,705
7,338
4,327
1,897
1,777
6,563
47,013
83,620
80,533
Mortgage and real estate2,717
7,406
6,391
3,904
1,809
3,164
1,668
27,059
27,571
Other(5)
8,587
5,600
5,347
1,449
782
7,626
29,708
59,099
58,155
Total investment grade$57,213
$34,400
$24,408
$13,590
$7,206
$29,090
$130,352
$296,259
$277,056
Non-investment grade(3)
         
Accrual         
Commercial and industrial(4)
$14,634
$9,193
$5,929
$3,488
$1,400
$6,277
$30,827
$71,748
$54,220
Financial institutions(4)
4,233
3,494
580
213
67
1,305
2,466
12,358
11,269
Mortgage and real estate258
813
1,405
845
375
490
1,292
5,478
3,811
Other(5)
1,130
1,181
771
165
175
1,199
2,933
7,554
5,734
Non-accrual      



 
Commercial and industrial(4)
11
81
68
155
79
431
989
1,814
1,828
Financial institutions—
—
4
—
—
24
1
29
50
Mortgage and real estate2
—
2
9
5
68
118
204
188
Other(5)
—
—
2
36
—
59
340
437
122
Total non-investment grade$20,268
$14,762
$8,761
$4,911
$2,101
$9,853
$38,966
$99,622
$77,222
Non-rated private bank loans managed on a delinquency basis(3)(6)
$2,032
$7,782
$3,971
$4,200
$4,831
$9,912
$—
$32,728
$31,590
Loans at fair value(7)
       3,981
4,067
Corporate loans, net of unearned income$79,513
$56,944
$37,140
$22,701
$14,138
$48,855
$169,318
$432,590
$389,935
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)There were no revolving line of credit arrangements that converted to term loans during the quarter.
(3)Held-for-investment loans are accounted for on an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Non-rated private bank loans mainly include mortgage and real estate loans to private banking clients.
(7)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.

 
Recorded investment in loans(1)
Term loans by year of origination
Revolving line
of credit arrangements(2)
December 31, 2020
In millions of dollars20202019201820172016Prior
Investment grade(3)
 
Commercial and industrial(4)
$38,398 $7,607 $5,929 $3,909 $2,094 $8,670 $25,819 $92,426 
Financial institutions(4)
10,560 2,964 2,106 782 681 2,030 56,239 75,362 
Mortgage and real estate6,793 6,714 5,174 2,568 1,212 1,719 1,557 25,737 
Other(5)
10,874 3,566 4,597 952 780 5,290 31,696 57,755 
Total investment grade$66,625 $20,851 $17,806 $8,211 $4,767 $17,709 $115,311 $251,280 
Non-investment grade(3)
 
Accrual 
Commercial and industrial(4)
$19,683 $4,794 $4,645 $2,883 $1,182 $4,533 $23,400 $61,120 
Financial institutions(4)
7,413 700 654 274 141 197 2,855 12,234 
Mortgage and real estate1,882 1,919 2,058 1,457 697 837 551 9,401 
Other(5)
1,407 918 725 370 186 657 1,986 6,249 
Non-accrual
Commercial and industrial(4)
260 203 192 143 57 223 1,717 2,795 
Financial institutions1 0 0 0 0 0 91 92 
Mortgage and real estate13 4 3 18 8 32 427 505 
Other(5)
15 3 12 29 2 65 9 135 
Total non-investment grade$30,674 $8,541 $8,289 $5,174 $2,273 $6,544 $31,036 $92,531 
Non-rated private bank loans managed on a delinquency basis(3)(6)
$9,823 $7,121 $3,533 $3,674 $4,300 $7,942 $0 $36,393 
Loans at fair value(7)
6,840 
Corporate loans, net of unearned income$107,122 $36,513 $29,628 $17,059 $11,340 $32,195 $146,347 $387,044 

(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)There were no significant revolving line of credit arrangements that converted to term loans during the quarter.
(3)Held-for-investment loans are accounted for on an amortized cost basis.
(4)Includes certain short-term loans with less than one year in tenor.
(5)Other includes installment and other, lease financing and loans to government and official institutions.
(6)Non-rated private bank loans mainly include mortgage and real estate loans to private banking clients.
(7)Loans at fair value include loans to commercial and industrial, financial institutions, mortgage and real estate and other.

135

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, 2020Three Months Ended 
 March 31, 2020		Three Months Ended 
  March 31, 2019		 March 31, 2021Three Months Ended
March 31, 2021		Three Months Ended
March 31, 2020
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Interest
 income recognized
Interest income recognizedIn millions of dollars
Recorded
investment(1)
Unpaid
principal balance		Related specific
allowance
Average
carrying
 value(2)
Interest income recognizedInterest income recognized
Non-accrual corporate loans    Non-accrual corporate loans  
Commercial and industrial$1,814
$2,374
$263
$1,629
$2
$14
Commercial and industrial$2,465 $3,069 $435 $2,812 $10 $2 
Financial institutions29
113
—
38
—
—
Financial institutions36 120 6 134 0 0 
Mortgage and real estate204
401
10
192
—
—
Mortgage and real estate496 798 38 486 0 0 
Lease financing41
41
—
21
—
—
Lease financing27 27 0 31 0 0 
Other396
462
10
168
13
—
Other82 205 10 96 6 13 
Total non-accrual corporate loans$2,484
$3,391
$283
$2,048
$15
$14
Total non-accrual corporate loans$3,106 $4,219 $489 $3,559 $16 $15 
December 31, 2019December 31, 2020
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance		Related specific
allowance
Average
carrying
 value(2)
Non-accrual corporate loans Non-accrual corporate loans 
Commercial and industrial$1,828
$1,942
$283
$1,449
Commercial and industrial$2,795 $3,664 $442 $2,649 
Financial institutions50
120
2
63
Financial institutions92 181 17 132 
Mortgage and real estate188
362
10
192
Mortgage and real estate505 803 38 413 
Lease financing41
41
—
8
Lease financing24 24 0 34 
Other81
202
4
76
Other111 235 18 174 
Total non-accrual corporate loans$2,188
$2,667
$299
$1,788
Total non-accrual corporate loans$3,527 $4,907 $515 $3,402 
 March 31, 2021December 31, 2020
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with specific allowances    
Commercial and industrial$1,984 $435 $1,523 $442 
Financial institutions34 6 90 17 
Mortgage and real estate236 38 246 38 
Lease financing23 0 0 0 
Other30 10 68 18 
Total non-accrual corporate loans with specific allowances$2,307 $489 $1,927 $515 
Non-accrual corporate loans without specific allowances    
Commercial and industrial$481  $1,272 
Financial institutions2  2  
Mortgage and real estate260  259  
Lease financing4  24  
Other52  43  
Total non-accrual corporate loans without specific allowances$799 N/A$1,600 N/A
 March 31, 2020December 31, 2019
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with specific allowances    
Commercial and industrial$1,060
$263
$714
$283
Financial institutions—
—
40
2
Mortgage and real estate45
10
48
10
Lease financing—
—
—
—
Other14
10
7
4
Total non-accrual corporate loans with specific allowance$1,119
$283
$809
$299
Non-accrual corporate loans without specific allowance    
Commercial and industrial$754
 
$1,114
 
Financial institutions29
 
10
 
Mortgage and real estate159
 
140
 
Lease financing41
 
41
 
Other382
 
74
 
Total non-accrual corporate loans without specific allowance$1,365
N/A
$1,379
N/A
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(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.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowances.
N/A Not applicable

136


Corporate Troubled Debt Restructurings

(1)

For the three months endedThree Months Ended March 31, 2020:2021
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(2)
TDRs
involving changes
in the amount
and/or timing of
interest payments(3)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$21 $0 $0 $21 
Mortgage and real estate1 0 0 1 
Other1 1 0 0 
Total$23 $1 $0 $22 

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$94
$—
$—
$94
Mortgage and real estate4
—
—
4
Total$98
$—
$—
$98
For the Three Months Ended March 31, 2020
In millions of dollarsCarrying value of TDRs modified
during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(3)
TDRs
involving changes
in the amount
and/or timing of
interest payments(3)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$94 $0 $0 $94 
Mortgage and real estate4 0 0 4 
Total$98 $0 $0 $98 
(1)The above tables do not include loan modifications that meet the TDR relief criteria in the CARES Act or the interagency guidance.
(2)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectible may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(3)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.

For the three months ended March 31, 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$93
$—
$—
$93
Mortgage and real estate4
—
—
4
Total$97
$—
$—
$97

(1)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans. Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.


The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
In millions of dollarsTDR balances at March 31, 2020
TDR loans in payment default during the
three months ended
March 31, 2020
TDR balances at
March 31, 2019
TDR loans in payment default during the
three months ended
March 31, 2019
Commercial and industrial$685
$—
$636
$—
Financial institutions—
—
13
—
Mortgage and real estate77
—
112
—
Other15
—
4
—
Total(1)
$777
$—
$765
$—


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

In millions of dollarsTDR balances at March 31, 2021TDR loans that re-defaulted in 2021 within one year of modificationTDR balances at March 31, 2020TDR loans that re-defaulted in 2020 within one year of modification
Commercial and industrial$283 $0 $685 $0 
Mortgage and real estate83 0 77 0 
Other35 0 15 0 
Total(1)
$401 $0 $777 $0 


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




137

14. ALLOWANCE FOR CREDIT LOSSES
Three Months Ended March 31,Three Months Ended March 31,
In millions of dollars20202019In millions of dollars20212020
Allowance for credit losses on loans (ACLL) at beginning of period$12,783
$12,315
Allowance for credit losses on loans (ACLL) at beginning of period$24,956 $12,783 
Adjustment to opening balance for CECL adoption(1)
4,201
—
Adjustments to opening balance:(1)
Adjustments to opening balance:(1)
Financial instruments—credit losses (CECL)(1)
Financial instruments—credit losses (CECL)(1)
0 4,201 
Variable post-charge-off third-party collection costs(1)
Variable post-charge-off third-party collection costs(1)
0 (443)
Adjusted ACLL at beginning of period$16,984
$12,315
Adjusted ACLL at beginning of period$24,956 $16,541 
Gross credit losses on loans$(2,479)$(2,345)Gross credit losses on loans$(2,208)$(2,479)
Gross recoveries on loans(2)
371
397
Gross recoveries on loansGross recoveries on loans460 420 
Net credit losses on loans (NCLs)$(2,108)$(1,948)Net credit losses on loans (NCLs)$(1,748)$(2,059)
NCLs$2,108
$1,948
Replenishment of NCLsReplenishment of NCLs$1,748 $2,059 
Net reserve builds (releases) for loans4,112
67
Net reserve builds (releases) for loans(3,068)4,094 
Net specific reserve builds (releases) for loans224
(71)Net specific reserve builds (releases) for loans(159)224 
Total provision for credit losses on loans (PCLL)$6,444
$1,944
Total provision for credit losses on loans (PCLL)$(1,479)$6,377 
Initial allowance for credit losses on newly purchased credit deteriorated assets during the period4
—
Initial allowance for credit losses on newly purchased credit deteriorated assets during the period0 4 
Other, net (see table below)(483)18
Other, net (see table below)(91)(483)
ACLL at end of period$20,841
$12,329
ACLL at end of period$21,638 $20,380 
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(3)
$1,456
$1,367
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)
Allowance for credit losses on unfunded lending commitments (ACLUC) at beginning of period(2)
$2,655 $1,456 
Adjustment to opening balance for CECL adoption(1)
(194)—
Adjustment to opening balance for CECL adoption(1)
0 (194)
Provision (release) for credit losses on unfunded lending commitments557
24
Provision (release) for credit losses on unfunded lending commitments(626)557 
Other, net(6)—
Other, net(17)(6)
ACLUC at end of period(3)
$1,813
$1,391
ACLUC at end of period(2)
ACLUC at end of period(2)
$2,012 $1,813 
Total allowance for credit losses on loans, leases and unfunded lending commitments$22,654
$13,720
Total allowance for credit losses on loans, leases and unfunded lending commitments$23,650 $22,193 

Other, net detailsThree Months Ended March 31,
In millions of dollars20212020
Sales or transfers of various consumer loan portfolios to HFS$0 $(3)
FX translation(108)(483)
Other17 3 
Other, net$(91)$(483)
Other, net detailsThree Months Ended March 31,
Sales or transfers of various consumer loan portfolios to HFS$(3)$—
FX translation(4)
(483)26
Other3
(8)
Other, net$(483)$18


(1)See Note 1 to the Consolidated Financial Statements for further discussion on the impact of Citi’s adoption of CECL.
(2)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(3)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in See Note 1 to the Consolidated Financial Statements for further discussion of the impact of Citi’s adoption of CECL and the change in accounting principle for collection costs.
(2)Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded inOther liabilities on the Consolidated Balance Sheet.
(4)Primarily related to consumer. The corporate allowance is predominantly sourced in U.S. dollars.



Allowance for Credit Losses and End-of-Period Loans
138
 Three Months Ended
 March 31, 2020March 31, 2019
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for credit losses on loans at beginning of period$2,886
$9,897
$12,783
$2,811
$9,504
$12,315
Adjustment to opening balance for CECL adoption(721)4,922
4,201
—
—
—
Charge-offs(138)(2,341)(2,479)(100)(2,245)(2,345)
Recoveries11
360
371
21
376
397
Replenishment of net charge-offs127
1,981
2,108
79
1,869
1,948
Net reserve builds (releases)1,268
2,844
4,112
4
63
67
Net specific reserve builds (releases)48
176
224
(79)8
(71)
Initial allowance for credit losses on purchased credit deteriorated assets—
4
4
—
—
—
Other(30)(453)(483)(5)23
18
Ending balance$3,451
$17,390
$20,841
$2,731
$9,598
$12,329

 March 31, 2020December 31, 2019
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for credit losses on loans 
 
 
   
Collectively evaluated$3,168
$16,296
$19,464
$2,587
$8,706
$11,293
Individually evaluated283
1,084
1,367
299
1,190
1,489
Purchased credit deteriorated—
10
10
—
1
1
Total allowance for credit losses on loans$3,451
$17,390
$20,841
$2,886
$9,897
$12,783
Loans, net of unearned income      
Collectively evaluated$426,125
$283,804
$709,929
$383,828
$304,510
$688,338
Individually evaluated2,484
4,479
6,963
2,040
4,892
6,932
Purchased credit deteriorated—
129
129
—
128
128
Held at fair value3,981
18
3,999
4,067
18
4,085
Total loans, net of unearned income$432,590
$288,430
$721,020
$389,935
$309,548
$699,483





Allowance for Credit Losses on AFSLoans and HTM Debt SecuritiesEnd-of-Period Loans

Three Months Ended
March 31, 2021March 31, 2020
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
ACLL at beginning of period$5,402 $19,554 $24,956 $2,886 $9,897 $12,783 
   Adjustments to opening balance(1)
   Financial instruments—credit losses (CECL)0 0 0 (721)4,922 4,201 
   Variable post-charge-off third-party collection costs0 0 0 0 (443)(443)
Adjusted ACLL at beginning of period$5,402 $19,554 $24,956 $2,165 $14,376 $16,541 
Charge-offs(203)(2,005)(2,208)(139)(2,340)(2,479)
Recoveries17 443 460 12 408 420 
Replenishment of net charge-offs186 1,562 1,748 127 1,932 2,059 
Net reserve builds (releases)(1,273)(1,795)(3,068)1,268 2,826 4,094 
Net specific reserve builds (releases)(38)(121)(159)48 176 224 
Initial allowance for credit losses on newly purchased credit-deteriorated assets during the period0 0 0 0 4 4 
Other(7)(84)(91)(30)(453)(483)
Ending balance$4,084 $17,554 $21,638 $3,451 $16,929 $20,380 
Citi did 0t have an allowance
(1)See “Accounting Changes” in Note 1 to the Consolidated Financial Statements for credit losses on AFS debt securities at March 31, 2020.additional details.
March 31, 2021December 31, 2020
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for credit losses on loans   
Collectively evaluated$3,595 $16,339 $19,934 $4,887 $18,207 $23,094 
Individually evaluated489 1,214 1,703 515 1,345 1,860 
Purchased credit deteriorated0 1 1 0 2 2 
Total allowance for credit losses on loans$4,084 $17,554 $21,638 $5,402 $19,554 $24,956 
Loans, net of unearned income
Collectively evaluated$381,338 $269,151 $650,489 $376,677 $283,885 $660,562 
Individually evaluated3,106 4,733 7,839 3,527 4,799 8,326 
Purchased credit deteriorated0 135 135 0 141 141 
Held at fair value7,510 15 7,525 6,840 14 6,854 
Total loans, net of unearned income$391,954 $274,034 $665,988 $387,044 $288,839 $675,883 


139

Allowance for Credit Losses on HTM Debt Securities
Three Months Ended March 31, 2021
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-backedTotal HTM
Allowance for credit losses on HTM debt securities at beginning
of period		$3 $74 $6 $3 $86 
Gross credit losses0 0 0 0 0 
Gross recoveries3 0 0 0 3 
Net credit losses (NCLs)$3 $0 $0 $0 $3 
NCLs$(3)$0 $0 $0 $(3)
Net reserve builds (releases)1 (5)(1)(3)(8)
Net specific reserve builds (releases)0 0 0 0 0 
Total provision for credit losses on HTM debt securities$(2)$(5)$(1)$(3)$(11)
Other, net$0 $0 $0 $0 $0 
Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period0 0 0 0 0 
Allowance for credit losses on HTM debt securities at end of period$4 $69 $5 $0 $78 
Three Months Ended March 31, 2020
In millions of dollarsMortgage-backedState and municipalForeign governmentAsset-
backed		Total HTM
Allowance for credit losses on HTM debt securities at beginning
of period		$0 $0 $0 $0 $0 
Adjustment to opening balance for CECL adoption0 61 4 5 70 
Net credit losses (NCLs)$0 $0 $0 $0 $0 
NCLs$0 $0 $0 $0 $0 
Net reserve builds (releases)0 5 0 1 6 
Net specific reserve builds (releases)0 0 0 0 0 
Total provision for credit losses on HTM debt securities$0 $5 $0 $1 $6 
Other, net$0 $0 $0 $0 $0 
Initial allowance for credit losses on newly purchased credit-deteriorated securities during the period0 0 0 0 0 
Allowance for credit losses on HTM debt securities at end of period$0 $66 $4 $6 $76 
 Three Months Ended March 31, 2020 
In millions of dollarsU.S. Treasury and federal agencyState and municipalForeign governmentAsset-backedTotal HTM
Allowance for credit losses on HTM debt securities at beginning of period$—
$—
$—
$—
$—
Adjustment to opening balance for CECL adoption—
61
4
5
70
Gross credit losses—
—
—
—
—
Gross recoveries—
—
—
—
—
Net credit losses$—
$—
$—
$—
$—
Net credit losses$—
$—
$—
$—
$—
Net reserve builds (releases)—
5
—
1
6
Net specific reserve builds (releases)—
—
—
—
—
Total provision for credit losses on HTM debt securities$—
$5
$—
$1
$6
Other, net$—
$—
$—
$—
$—
Initial allowance for credit losses on newly purchased credit deteriorated assets during the period—
—
—
—
—
Allowance for credit losses on HTM debt securities at end of period$—
$66
$4
$6
$76





















140

Allowance for Credit Losses on Other Assets
Three Months Ended March 31, 2021
In millions of dollarsCash and due from banksDeposits with banksSecurities borrowed and purchased under agreements
to resell		Brokerage receivables
All other assets(1)
Total
Allowance for credit losses at beginning of period$0 $20 $10 $0 $25 $55 
Net credit losses (NCLs)$0 $0 $0 $0 $0 $0 
NCLs$0 $0 $0 $0 $0 $0 
Net reserve builds (releases)0 9 (5)0 5 9 
Total provision for credit losses$0 $9 $(5)$0 $5 $9 
Other, net$0 $(1)$0 $0 $0 $(1)
Allowance for credit losses on other assets at end of period$0 $28 $5 $0 $30 $63 
Three Months Ended March 31, 2020
In millions of dollarsCash and due from banksDeposits with banksSecurities borrowed and purchased under agreements
to resell		Brokerage receivables
All other assets(1)
Total
Allowance for credit losses at beginning of period$0 $0 $0 $0 $0 $0 
Adjustment to opening balance for CECL adoption6 14 2 1 3 26 
Net credit losses (NCLs)$0 $0 $0 $0 $0 $0 
NCLs$0 $0 $0 $0 $0 $0 
Net reserve builds (releases)(6)(6)3 (1)6 (4)
Total provision for credit losses$(6)$(6)$3 $(1)$6 $(4)
Other, net$0 $0 $0 $0 $32 $32 
Allowance for credit losses on other assets at end of period$0 $8 $5 $0 $41 $54 
 Three Months Ended March 31, 2020 
In millions of dollarsCash and due from banksDeposits with banksSecurities borrowed and purchased under agreements to resellBrokerage receivablesAll other assetsTotal
Allowance for credit losses at beginning of period$—
$—
$—
$—
$—
$—
Adjustment to opening balance for CECL adoption6
14
2
1
3
26
Gross credit losses—
—
—
—
—
—
Gross recoveries—
—
—
—
—
—
Net credit losses (NCLs)$—
$—
$—
$—
$—
$—
NCLs$—
$—
$—
$—
$—
$—
Net reserve builds (releases)(6)(6)3
(1)6
(4)
Total provision for credit losses$(6)$(6)$3
$(1)$6
$(4)
Other, net$—
$—
$—
$—
$32
$32
Allowance for credit losses on Other assets at end of period$—
$8
$5
$—
$41
$54

(1)Primarily accounts receivable.


For ACL on AFS debt securities, see Note 12 to the Consolidated Financial Statements.

141


15.  GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
In millions of dollarsIn millions of dollarsGlobal Consumer BankingInstitutional Clients GroupTotal
Balance at December 31, 2020Balance at December 31, 2020$12,142 $10,020 $22,162 
Foreign currency translationForeign currency translation(68)(189)(257)
In millions of dollarsGlobal Consumer BankingInstitutional Clients GroupTotal
Balance at December 31, 2019$12,102
$10,024
$22,126
Foreign currency translation(265)(597)(862)
Balance at March 31, 2020$11,837
$9,427
$21,264
Balance at March 31, 2021Balance at March 31, 2021$12,074 $9,831 $21,905 


GoodwillCiti tests goodwill for impairment testing is performed atannually as of July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that could more-likely-than-not reduce the levelfair value of a reporting unit below each business segment (referred toits carrying amount. The results of the 2020 annual impairment test resulted in fair values as a reporting unit)percentage of carrying values between 115% and 136%. See Note 3 for further information on business segments.
During the three months ended March 31, 2020,2021, Citi qualitatively assessed the current environment, including the estimatedcontinuing impact of the COVID-19 pandemic, management’s announced strategy to pursue exits of its consumer franchises in 13 markets within Asia GCB, observed changes in market multiples, actual business performance, together with the latest available management forecasts. Based on macroeconomic variables and economic forecasts and how those might impact the fair value of reporting units. After consideration of the items above, the first quarter 2020 results, as well as the results of the 2019 impairment test which resulted in excess of reporting unit fair values over book values between approximately 33% to 134%, Citi determined it was not more-likely-than-not that the fair value of any reporting unit was below its book value and there was no indication of impairment as of March 31, 2020. 2021.
While the inherent risk related to uncertainty is embedded in the key assumptions used in the valuations, the current environment continues to evolve. Deterioration in business performance or macroeconomic and market conditions, including potential adverse effects to economic forecasts due to the severity and duration of the pandemic, as well as the responses of governments, customers and clients, could negatively influence the assumptions used in the valuations, in particular, the discount rates, exit multiples and growth rates used in net income projections. If the future were to differ from management’s best estimate of key economic assumptions, and associated cash flows were to decrease, Citi could potentially experience material goodwill impairment charges in the future.
For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 20192020 Annual Report on Form 10-K.
Refer to Note 13 for a description of Citi’s adoption of a new accounting standard regarding the subsequent measurement of goodwill.Business Segments.






142

Intangible Assets
The components of intangible assets were as follows:
 March 31, 2021December 31, 2020
In millions of dollarsGross
carrying
amount		Accumulated
amortization		Net
carrying
amount		Gross
carrying
amount		Accumulated
amortization		Net
carrying
amount
Purchased credit card relationships$5,614 $4,239 $1,375 $5,648 $4,229 $1,419 
Credit card contract-related intangibles(1)
3,906 1,288 2,618 3,929 1,276 2,653 
Core deposit intangibles44 44 0 45 44 1 
Other customer relationships426 299 127 455 314 141 
Present value of future profits31 29 2 32 30 2 
Indefinite-lived intangible assets185 — 185 190 — 190 
Other61 60 1 72 67 5 
Intangible assets (excluding MSRs)$10,267 $5,959 $4,308 $10,371 $5,960 $4,411 
Mortgage servicing rights (MSRs)(2)
433 — 433 336 — 336 
Total intangible assets$10,700 $5,959 $4,741 $10,707 $5,960 $4,747 
 March 31, 2020December 31, 2019
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,634
$4,060
$1,574
$5,676
$4,059
$1,617
Credit card contract-related intangibles(1)
3,417
1,138
2,279
5,393
3,069
2,324
Core deposit intangibles42
42
—
434
433
1
Other customer relationships424
281
143
424
275
149
Present value of future profits27
24
3
34
31
3
Indefinite-lived intangible assets191
—
191
228
—
228
Other60
57
3
82
77
5
Intangible assets (excluding MSRs)$9,795
$5,602
$4,193
$12,271
$7,944
$4,327
Mortgage servicing rights (MSRs)(2)
367
—
367
495
—
495
Total intangible assets$10,162
$5,602
$4,560
$12,766
$7,944
$4,822
(1)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 97% and 96% of the aggregate net carrying amount as of March 31, 2021 and December 31, 2020, respectively.
(2)For additional information on Citi’s MSRs, see Note 18 to the Consolidated Financial Statements.

(1)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 96% of the aggregate net carrying amount as of March 31, 2020 and December 31, 2019.
(2)For additional information on Citi’s MSRs, see Note 18 to the Consolidated Financial Statements.


The changes in intangible assets were as follows:
In millions of dollarsNet carrying amount at December 31, 2020Acquisitions/renewals/
divestitures		AmortizationImpairmentsFX translation and otherNet carrying amount at March 31, 2021
Purchased credit card relationships(1)
$1,419 $0 $(43)$0 $(1)$1,375 
Credit card contract-related intangibles(2)
2,653 0 (35)0 0 2,618 
Core deposit intangibles1 0 (1)0 0 0 
Other customer relationships141 0 (6)0 (8)127 
Present value of future profits2 0 0 0 0 2 
Indefinite-lived intangible assets190 0 0 0 (5)185 
Other5 5 (10)0 1 1 
Intangible assets (excluding MSRs)$4,411 $5 $(95)$0 $(13)$4,308 
Mortgage servicing rights (MSRs)(3)
336 433 
Total intangible assets$4,747 $4,741 
(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles, and include credit card accounts primarily in the Costco, Macy’s and Sears portfolios.
(2)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 97% and 96% of the aggregate net carrying amount at March 31, 2021 and December 31, 2020, respectively.
(3)For additional information on Citi’s MSRs, including the rollforward for the three months ended March 31, 2021, see Note 18 to the Consolidated Financial Statements.

 Net carrying
amount at		    
Net carrying
amount at
In millions of dollarsDecember 31,
2019
Acquisitions/
divestitures
AmortizationImpairmentsFX translation and otherMarch 31,
2020
Purchased credit card relationships(1)
$1,617
$11
$(50)$—
$(4)$1,574
Credit card contract-related intangibles(2)
2,324
9
(50)—
(4)2,279
Core deposit intangibles1
—
—
—
(1)—
Other customer relationships149
—
(6)—
—
143
Present value of future profits3
—
—
—
—
3
Indefinite-lived intangible assets228
—
—
—
(37)191
Other5
—
(2)—
—
3
Intangible assets (excluding MSRs)$4,327
$20
$(108)$—
$(46)$4,193
Mortgage servicing rights (MSRs)(3)
495
    367
Total intangible assets$4,822
    $4,560
(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract-related intangibles and include credit card accounts primarily in the Costco and Macy’s portfolios.
(2)Primarily reflects contract-related intangibles associated with the American Airlines, The Home Depot, Costco and AT&T credit card program agreements, which represented 96% of the aggregate net carrying amount at March 31, 2020 and December 31, 2019.
(3)For additional information on Citi’s MSRs, including the rollforward for the three months ended March 31, 2020, see Note 18 to the Consolidated Financial Statements.

143


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 20192020 Annual Report on Form 10-K.

Short-Term Borrowings
In millions of dollarsMarch 31,
2021		December 31,
2020
Commercial paper
Bank(1)
$10,026 $10,022 
Broker-dealer and other(2)
6,995 7,988 
Total commercial paper$17,021 $18,010 
Other borrowings(3)
15,066 11,504 
Total$32,087 $29,514 
In millions of dollarsMarch 31,
2020		December 31,
2019
Commercial paper 
Bank(1)
$12,157
$10,155
Broker-dealer and other(2)
6,016
6,321
Total commercial paper$18,173
$16,476
Other borrowings(3)
36,778
28,573
Total$54,951
$45,049

(1)Represents Citibank entities as well as other bank entities.
(2)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.
(3)Includes borrowings from Federal Home Loan Banks and other market participants. At March 31, 2021 and December 31, 2020, collateralized short-term advances from the Federal Home Loan Banks were $4.0 billion and $4.0 billion, respectively.

(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, 2020 and December 31, 2019, collateralized short-term advances from the Federal Home Loan Banks were $23.4 billion and $17.6 billion, respectively. Additionally, the increase in Other borrowings as of March 31, 2020 is partially due to Citi’s borrowings under certain U.S. government-sponsored liquidity programs. While these borrowings helped support the functioning of markets, they were not significant to Citi’s overall liquidity profile.



Long-Term Debt
In millions of dollarsMarch 31,
2021		December 31, 2020
Citigroup Inc.(1)
$164,099 $170,563 
Bank(2)
36,488 44,742 
Broker-dealer and other(3)
55,748 56,381 
Total$256,335 $271,686 
In millions of dollarsMarch 31,
2020		December 31, 2019
Citigroup Inc.(1)
$156,461
$150,477
Bank(2)
62,444
53,340
Broker-dealer and other(3)
47,193
44,943
Total$266,098
$248,760

(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At March 31, 2021 and December 31, 2020, collateralized long-term advances from the Federal Home Loan Banks were $10.9 billion and $10.9 billion, respectively.
(3)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.

(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At March 31, 2020 and December 31, 2019, collateralized long-term advances from the Federal Home Loan Banks were $16.0 billion and $5.5 billion, respectively.
(3)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company. Certain Citigroup consolidated hedging activities are also included in this line.

Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both March 31, 20202021 and December 31, 2019.2020.


The following table summarizes Citi’s outstanding trust preferred securities at March 31, 2020:2021:
      Junior subordinated debentures owned by trust
TrustIssuance
date		Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent		AmountMaturityRedeemable
by issuer
beginning
 In millions of dollars, except securities and share amounts
Citigroup Capital IIIDec. 1996194,053 $194 7.625 %6,003 $200 Dec. 1, 2036Not redeemable
Citigroup Capital XIIISept. 201089,840,000 2,246 3 mo. LIBOR + 637 bps1,000 2,246 Oct. 30, 2040Oct. 30, 2015
Citigroup Capital XVIIIJun. 200799,901 138 3 mo. sterling LIBOR + 88.75 bps50 138 Jun. 28, 2067Jun. 28, 2017
Total obligated  $2,578  $2,584   
      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
 In millions of dollars, except securities and share amounts









Citigroup Capital IIIDec. 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, 2015
Citigroup Capital XVIIIJun. 200799,901
124
3 mo LIBOR + 88.75 bps
50
124
Jun. 28, 2067Jun. 28, 2017
Total obligated  
$2,564
  $2,570
  

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. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.
(2)In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.
(1)Represents the notional value received by outside investors from the trusts at the time of issuance. This differs from Citi’s balance sheet carrying value due primarily to unamortized discount and issuance costs.
(2)In each case, the coupon rate on the subordinated debentures is the same as that on the trust preferred securities.

144

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, 2021

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 hedgesAccumulated
other
comprehensive income (loss)
Balance, December 31, 2020$3,320 $(1,419)$1,593 $(6,864)$(28,641)$(47)$(32,058)
Other comprehensive income before
reclassifications		(1,519)(84)(344)653 (1,274)(10)(2,578)
Increase (decrease) due to amounts
reclassified from AOCI
(266)42 (212)61 0 0 (375)
Change, net of taxes
$(1,785)$(42)$(556)$714 $(1,274)$(10)$(2,953)
Balance at March 31, 2021$1,535 $(1,461)$1,037 $(6,150)$(29,915)$(57)$(35,011)

Three Months Ended March 31, 2020
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 hedgesAccumulated
other
comprehensive income (loss)
Balance, December 31, 2019$(265)$(944)$123 $(6,809)$(28,391)$(32)$(36,318)
Other comprehensive income before
reclassifications		3,417 3,116 1,898 (344)(4,109)27 4,005 
Increase (decrease) due to amounts
reclassified from AOCI
(289)24 (1)58 0 0 (208)
Change, net of taxes
$3,128 $3,140 $1,897 $(286)$(4,109)$27 $3,797 
Balance at March 31, 2020$2,863 $2,196 $2,020 $(7,095)$(32,500)$(5)$(32,521)
(1)Reflects the after-tax valuation of Citi’s fair value options liabilities. See “Market Valuation Adjustments” in Note 20 to the Consolidated Financial Statements.
(2)Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in other comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, South Korean won, Japanese yen, Polish zloty and Brazilian real against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31, 2021. Primarily reflects the movements in (by order of impact) the Mexican peso, Brazilian real, Australian dollar, South Korean won and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31, 2020. 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.



145
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, 2019$(265)$(944)$123
$(6,809)$(28,391)$(32)$(36,318)
Other comprehensive income before
reclassifications		3,456
3,116
1,898
(344)(4,109)27
4,044
Increase (decrease) due to amounts
reclassified from AOCI 
(328)24
(1)58
—
—
(247)
Change, net of taxes 
$3,128
$3,140
$1,897
$(286)$(4,109)$27
$3,797
Balance at March 31, 2020$2,863
$2,196
$2,020
$(7,095)$(32,500)$(5)$(32,521)

Three Months Ended March 31, 2019
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, December 31, 2018$(2,250)$192
$(728)$(6,257)$(28,070)$(57)$(37,170)
Other comprehensive income before
reclassifications		1,226
(575)186
(110)58
18
803
Increase (decrease) due to amounts
reclassified from AOCI 
(91)4
100
46
—
—
59
Change, net of taxes 
$1,135
$(571)$286
$(64)$58
$18
$862
Balance at March 31, 2019$(1,115)$(379)$(442)$(6,321)$(28,012)$(39)$(36,308)
(1)
Changes in DVA are reflected as a component of AOCI, pursuant to the adoption of the provisions of ASU 2016-01 relating to the presentation of DVA on fair value options liabilities. See Note 1 to the Consolidated Financial Statements in Citi’s 2019 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, Australian dollar, South Korean won and Chilean peso against the U.S. dollar and changes in related tax effects and hedges for the three months ended March 31, 2020. Primarily reflects the movements in (by order of impact) the Mexican peso, 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, 2019. Amounts recorded in the CTA component of AOCI remain in AOCI until the sale or substantial liquidation of the foreign entity, at which point such amounts related to the foreign entity are reclassified into earnings.




The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended March 31, 2021
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2020$(36,992)$4,934 $(32,058)
Change in net unrealized gains (losses) on debt securities(2,427)642 (1,785)
Debt valuation adjustment (DVA)(38)(4)(42)
Cash flow hedges(729)173 (556)
Benefit plans907 (193)714 
Foreign currency translation adjustment(1,339)65 (1,274)
Excluded component of fair value hedges(13)3 (10)
Change$(3,639)$686 $(2,953)
Balance at March 31, 2021$(40,631)$5,620 $(35,011)

Three Months Ended March 31, 2020
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2019$(42,772)$6,454 $(36,318)
Change in net unrealized gains (losses) on debt securities4,121 (993)3,128 
Debt valuation adjustment (DVA)4,188 (1,048)3,140 
Cash flow hedges2,484 (587)1,897 
Benefit plans(418)132 (286)
Foreign currency translation adjustment(4,055)(54)(4,109)
Excluded component of fair value hedges33 (6)27 
Change$6,353 $(2,556)$3,797 
Balance, March 31, 2020$(36,419)$3,898 $(32,521)






146
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2019$(42,772)$6,454
$(36,318)
Change in net unrealized gains (losses) on debt securities4,121
(993)3,128
Debt valuation adjustment (DVA)4,188
(1,048)3,140
Cash flow hedges2,484
(587)1,897
Benefit plans(418)132
(286)
Foreign currency translation adjustment(4,055)(54)(4,109)
Excluded component of fair value hedges33
(6)27
Change$6,353
$(2,556)$3,797
Balance at March 31, 2020$(36,419)$3,898
$(32,521)
Three Months Ended March 31, 2019
In millions of dollarsPretax
Tax effect(1)
After-tax
Balance, December 31, 2018$(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)

(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 2019 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
Three Months Ended March 31,
In millions of dollars20212020
Realized (gains) losses on sales of investments$(401)$(432)
Gross impairment losses69 52 
Subtotal, pretax$(332)$(380)
Tax effect66 91 
Net realized (gains) losses on investments after-tax(1)
$(266)$(289)
Realized DVA (gains) losses on fair value option liabilities, pretax$56 $32 
Tax effect(14)(8)
Net realized debt valuation adjustment, after-tax$42 $24 
Interest rate contracts$(278)$(3)
Foreign exchange contracts1 1 
Subtotal, pretax$(277)$(2)
Tax effect65 1 
Amortization of cash flow hedges, after-tax(2)
$(212)$(1)
Amortization of unrecognized:
Prior service cost (benefit)$(6)$(3)
Net actuarial loss87 79 
Curtailment/settlement impact(3)
0 0 
Subtotal, pretax$81 $76 
Tax effect(20)(18)
Amortization of benefit plans, after-tax(3)
$61 $58 
Excluded component of fair value hedges, pretax$0 $0 
Tax effect0 0 
   Excluded component of fair value hedges, after-tax$0 $0 
Foreign currency translation adjustment, pretax$0 $0 
Tax effect0 0 
   Foreign currency translation adjustment, after-tax$0 $0 
Total amounts reclassified out of AOCI, pretax
$(472)$(274)
Total tax effect97 66 
Total amounts reclassified out of AOCI, after-tax
$(375)$(208)
(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.

147
 
Increase (decrease) in AOCI due to
amounts reclassified to
Consolidated Statement of Income
 Three Months Ended March 31,
In millions of dollars20202019
Realized (gains) losses on sales of investments$(432)$(130)
Gross impairment losses—
3
Subtotal, pretax$(432)$(127)
Tax effect104
36
Net realized (gains) losses on investments after-tax(1)
$(328)$(91)
Realized DVA (gains) losses on fair value option liabilities, pretax$32
$5
Tax effect(8)(1)
Net realized debt valuation adjustment, after-tax$24
$4
Interest rate contracts$(3)$130
Foreign exchange contracts1
2
Subtotal, pretax$(2)$132
Tax effect1
(32)
Amortization of cash flow hedges, after-tax(2)
$(1)$100
Amortization of unrecognized:

Prior service cost (benefit)$(3)$(4)
Net actuarial loss79
65
Curtailment/settlement impact(3)
—
—
Subtotal, pretax$76
$61
Tax effect(18)(15)
Amortization of benefit plans, after-tax(3)
$58
$46
Excluded component of fair value hedges, pretax$—
$—
Tax effect—
—
   Excluded component of fair value hedges, after-tax$—
$—
Foreign currency translation adjustment$—
$—
Tax effect—
—
   Foreign currency translation adjustment$—
$—
Total amounts reclassified out of AOCI, pretax
$(326)$71
Total tax effect79
(12)
Total amounts reclassified out of AOCI, after-tax
$(247)$59
(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 20192020 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, 2020As of March 31, 2021
 
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
TotalIn millions of dollarsTotal
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$37,612
$37,612
$—
$—
$—
$—
$—
$—
Credit card securitizations$29,729 $29,729 $0 $0 $0 $0 $0 $0 
Mortgage securitizations(4)
       
Mortgage securitizations(4)
U.S. agency-sponsored109,728
—
109,728
2,000
—
—
65
2,065
U.S. agency-sponsored115,980 0 115,980 1,645 0 0 52 1,697 
Non-agency-sponsored37,140
941
36,199
1,054
—
—
1
1,055
Non-agency-sponsored56,969 862 56,107 2,724 0 5 1 2,730 
Citi-administered asset-backed commercial paper conduits19,386
19,386
—
—
—
—
—
—
Citi-administered asset-backed commercial paper conduits16,493 16,493 0 0 0 0 0 0 
Collateralized loan obligations (CLOs)17,453
—
17,453
3,918
—
—
—
3,918
Collateralized loan obligations (CLOs)12,126 0 12,126 4,015 0 0 0 4,015 
Asset-based financing207,817
5,569
202,248
24,935
1,154
9,863
—
35,952
Asset-based financing(5)
Asset-based financing(5)
222,306 7,776 214,530 27,004 1,467 10,626 0 39,097 
Municipal securities tender option bond trusts (TOBs)6,129
1,134
4,995
4
—
3,125
—
3,129
Municipal securities tender option bond trusts (TOBs)3,324 910 2,414 7 0 1,557 0 1,564 
Municipal investments20,383
—
20,383
2,662
4,221
3,030
—
9,913
Municipal investments21,548 0 21,548 2,663 3,917 3,063 0 9,643 
Client intermediation1,430
1,371
59
4
—
—
—
4
Client intermediation1,177 736 441 88 0 0 56 144 
Investment funds539
121
418
1
—
16
—
17
Investment funds471 150 321 2 0 14 2 18 
Other62
2
60
—
—
60
—
60
Other469 0 469 169 0 50 0 219 
Total$457,679
$66,136
$391,543
$34,578
$5,375
$16,094
$66
$56,113
Total$480,592 $56,656 $423,936 $38,317 $5,384 $15,315 $111 $59,127 
As of December 31, 2020
Maximum exposure to loss in significant unconsolidated VIEs(1)
Funded exposures(2)
Unfunded exposures
In millions of dollarsTotal
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$32,420 $32,420 $0 $0 $0 $0 $0 $0 
Mortgage securitizations(4)
U.S. agency-sponsored123,999 0 123,999 1,948 0 0 61 2,009 
Non-agency-sponsored46,132 939 45,193 2,550 0 2 1 2,553 
Citi-administered asset-backed commercial paper conduits16,730 16,730 0 0 0 0 0 0 
Collateralized loan obligations (CLOs)18,332 0 18,332 4,273 0 0 0 4,273 
Asset-based financing(5)
222,274 8,069 214,205 25,153 1,587 9,114 0 35,854 
Municipal securities tender option bond trusts (TOBs)3,349 835 2,514 0 0 1,611 0 1,611 
Municipal investments20,335 0 20,335 2,569 4,056 3,041 0 9,666 
Client intermediation1,352 910 442 88 0 0 56 144 
Investment funds488 153 335 0 0 15 0 15 
Other0 0 0 0 0 0 0 0 
Total$485,411 $60,056 $425,355 $36,581 $5,643 $13,783 $118 $56,125 

 As of December 31, 2019
    
Maximum exposure to loss in significant unconsolidated VIEs(1)
    
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$43,534
$43,534
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored117,374
—
117,374
2,671
—
—
72
2,743
Non-agency-sponsored39,608
1,187
38,421
876
—
—
1
877
Citi-administered asset-backed commercial paper conduits15,622
15,622
—
—
—
—
—
—
Collateralized loan obligations (CLOs)17,395
—
17,395
4,199
—
—
—
4,199
Asset-based financing196,728
6,139
190,589
23,756
1,151
9,524
—
34,431
Municipal securities tender option bond trusts (TOBs)6,950
1,458
5,492
4
—
3,544
—
3,548
Municipal investments20,312
—
20,312
2,636
4,274
3,034
—
9,944
Client intermediation1,455
1,391
64
4
—
—
—
4
Investment funds827
174
653
5
—
16
1
22
Other352
1
351
169
—
39
—
208
Total$460,157
$69,506
$390,651
$34,320
$5,425
$16,157
$74
$55,976

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)
(2)    Included on Citigroup’s March 31, 2021 and December 31, 2020 and December 31, 2019 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.

(3)    A significant unconsolidated VIE is an entity in which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.
(4)    Citigroup mortgage securitizations also include agency and non-agency (private label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.
(5)     Included within this line are loans to third-party sponsored private equity funds, which represent $78 billion and $78 billion in unconsolidated VIE assets and $407 million and $425 million in maximum exposure to loss as of March 31, 2021 and December 31, 2020, respectively.
148

The previous tables do not include:

•certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);
•certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
•certain third-party sponsored private equity funds to which the Company provides secured credit facilities. The Company has no decision-making power and does not consolidate these funds, some of which may meet the definition of a VIE. The Company’s maximum exposure to loss is generally limited to a loan or lending-related commitmentcommitment. As of March 31, 2021 and December 31, 2020, the Company’s maximum exposure to loss related to these deals was $59.3 billion and $57.0 billion, respectively (for more information on these positions, see Notes 14Note 13 to the Consolidated Financial Statements and Note 26 to the Consolidated Financial Statements)Statements in Citigroup’s 2020 Annual Report on Form 10-K);
•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 $5.1 billion and $5.22 billion at March 31, 2021 and December 31, 2020, respectively;
•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 $6 billion at March 31, 2020 and December 31, 2019, 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 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.

149

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, 2020December 31, 2019
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$—
$9,863
$—
$9,524
Municipal securities tender option bond trusts (TOBs)3,125
—
3,544
—
Municipal investments—
3,030
—
3,034
Investment funds—
16
—
16
Other—
60
—
39
Total funding commitments$3,125
$12,969
$3,544
$12,613

March 31, 2021December 31, 2020
In millions of dollarsLiquidity
facilities		Loan/equity
commitments		Liquidity
facilities		Loan/equity
commitments
Non-agency-sponsored mortgage securitizations$0 $5 $0 $2 
Asset-based financing0 10,626 0 9,114 
Municipal securities tender option bond trusts (TOBs)1,557 0 1,611 0 
Municipal investments0 3,063 0 3,041 
Investment funds0 14 0 15 
Other0 50 0 0 
Total funding commitments$1,557 $13,758 $1,611 $12,172 
Significant Interests in Unconsolidated VIEs—Balance Sheet Classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:
In billions of dollarsMarch 31, 2020December 31, 2019
Cash$—
$—
Trading account assets2.0
2.6
Investments9.7
9.9
Total loans, net of allowance27.8
26.7
Other0.5
0.5
Total assets$40.0
$39.7

In billions of dollarsMarch 31, 2021December 31, 2020
Cash$0 $0 
Trading account assets1.8 2.0 
Investments10.2 10.6 
Total loans, net of allowance31.3 29.3 
Other0.4 0.3 
Total assets$43.7 $42.2 
Credit Card Securitizations
Substantially all of the Company’s credit card securitization activity is through 2 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, 2020December 31, 2019In billions of dollarsMarch 31, 2021December 31, 2020
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$19.7
$19.7
 Sold to investors via trust-issued securities$12.1 $15.7 
Retained by Citigroup as trust-issued securities5.4
6.2
 Retained by Citigroup as trust-issued securities7.6 7.9 
Retained by Citigroup via non-certificated interests14.6
17.8
 Retained by Citigroup via non-certificated interests12.1 11.1 
Total$39.7
$43.7
Total$31.8 $34.7 

The following table summarizes selected cash flow information related to Citigroup’s credit card securitizations:
Three Months Ended March 31,
In billions of dollars20212020
Proceeds from new securitizations$0 $0 
Pay down of maturing notes(3.6)0 
 Three Months Ended March 31,
In billions of dollars20202019
Proceeds from new securitizations$—
$—
Pay down of maturing notes—
(2.5)


Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 2.83.5 years as of March 31, 20202021 and 3.12.9 years as of December 31, 2019.2020.
In billions of dollarsMar. 31, 2021Dec. 31, 2020
Term notes issued to third parties$10.6 $13.9 
Term notes retained by Citigroup affiliates2.6 2.7 
Total Master Trust liabilities$13.2 $16.6 
In billions of dollarsMar. 31, 2020Dec. 31, 2019
Term notes issued to third parties$18.2
$18.2
Term notes retained by Citigroup affiliates3.5
4.3
Total Master Trust liabilities$21.7
$22.5



Omni Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.40.9 years as of March 31, 20202021 and 1.61.1 years as of December 31, 2019.2020.
In billions of dollarsMar. 31, 2021Dec. 31, 2020
Term notes issued to third parties$1.5 $1.8 
Term notes retained by Citigroup affiliates5.0 5.2 
Total Omni Trust liabilities$6.5 $7.0 
In billions of dollarsMar. 31, 2020Dec. 31, 2019
Term notes issued to third parties$1.5
$1.5
Term notes retained by Citigroup affiliates1.9
1.9
Total Omni Trust liabilities$3.4
$3.4
150



Mortgage Securitizations
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
Three Months Ended March 31,
20212020
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$3.0 $11.0 $2.0 $1.6 
Proceeds from new securitizations3.2 10.6 2.1 2.5 
Purchases of previously transferred financial assets0.1 0 0 0 
 Three Months Ended March 31,
 20202019
In billions of dollarsU.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Principal securitized$2.0
$1.6
$1.0
$2.7
Proceeds from new securitizations2.1
2.5
1.0
2.7


Note: Excludes re-securitization transactions.
(1)The principal securitized and proceeds from new securitizations in 2020 include $0.2 billion related to personal loan securitizations.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $1.1 million for the three months ended March 31, 2021. For the three months ended March 31, 2021, gains recognized on the securitization of non-agency sponsored mortgages were $166.2 million.
Gains recognized on the securitization of U.S. agency-sponsored mortgages were $3 million for the three months ended March 31, 2020. For the three months ended March 31, 2020, gainsGains recognized on the securitization of non-agency sponsored mortgages were $39 million.
There were 0 gains recognized on the securitization of U.S. agency-sponsored mortgages for the three months ended March 31, 2019. Gains recognized on the securitization of non-agency sponsored mortgages were $17 million for the three months ended March 31, 2019.2020.


March 31, 2021December 31, 2020
Non-agency-sponsored mortgages(1)
Non-agency-sponsored mortgages(1)
In millions of dollarsU.S. agency-
sponsored mortgages
Senior
interests(2)
Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests(3)
$421 $2,402 $236 $315 $1,210 $145 

(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)    Senior interests in non-agency-sponsored mortgages include $104 million related to personal loan securitizations at March 31, 2021.
(3)    Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 20 to the Consolidated Financial Statements for more information about fair value measurements.

151
 March 31, 2020December 31, 2019
  
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)
$349
$902
$101
$491
$748
$102


(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Retained interests consist of Level 2 and Level 3 assets depending on the observability of significant inputs. See Note 20 to the Consolidated Financial Statements for more information about fair value measurements.
(3)Senior interests in non-agency-sponsored mortgages include $127 million related to personal loan securitizations at March 31, 2020.



Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
Three Months Ended March 31, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Weighted average discount rate8.8 %0.2 %3.2 %
Weighted average constant prepayment rate5.8 %0 %12.5 %
Weighted average anticipated net credit losses(2)
NM0.4 %1.7 %
Weighted average life7.7 years0.8 yearsNM
Three Months Ended March 31, 2020
Three Months Ended March 31, 2020
 
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 rate8.5%1.3%—%Weighted average discount rate8.5 %1.3 %0 %
Weighted average constant prepayment rate25.7%—%—%Weighted average constant prepayment rate25.7 %0 %0 %
Weighted average anticipated net credit losses(2)
NM
1.6%—%
Weighted average anticipated net credit losses(2)
NM1.6 %0 %
Weighted average life5.2 years
4.2 years
NM
Weighted average life5.2 years4.2 yearsNM

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

152
 Three Months Ended March 31, 2019
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate6.6%3.6%7.1%
Weighted average constant prepayment rate14.1%6.0%6.0%
Weighted average anticipated net credit losses(2)
NM
5.0%3.5%
Weighted average life6.1 years
7.6 years
19.4 years


(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
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. Key assumptions used in measuring the fair value of retained interests in securitizations of mortgage receivables at period end were as follows:
March 31, 2021
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate7.6 %2.8 %10.6 %
Weighted average constant prepayment rate11.0 %4.0 %4.7 %
Weighted average anticipated net credit losses(2)
NM1.0 %1.5 %
Weighted average life5.9 years0.3 years9.6 years
December 31, 2020
March 31, 2020
 
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 rate6.2%8.9%4.4%Weighted average discount rate5.9 %7.2 %4.3 %
Weighted average constant prepayment rate20.6%2.7%5.1%Weighted average constant prepayment rate22.7 %5.3 %4.7 %
Weighted average anticipated net credit losses(2)
NM
1.1%1.4%
Weighted average anticipated net credit losses(2)
   NM1.2 %1.4 %
Weighted average life4.6 years
6.8 years
NM
Weighted average life4.5 years5.3 years4.7 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.
NM    Anticipated net credit losses are not meaningful due to U.S. agency guarantees.


153
 December 31, 2019
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Weighted average discount rate9.3%3.6%4.6%
Weighted average constant prepayment rate12.9%10.5%7.6%
Weighted average anticipated net credit losses(2)
   NM
3.9%2.8%
Weighted average life6.6 years
3.0 years
11.4 years


(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
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 areis 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, 2021
Non-agency-sponsored mortgages
In millions of dollars
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate
   Adverse change of 10%$(12)$0 $0 
   Adverse change of 20%(23)0 (1)
Constant prepayment rate
   Adverse change of 10%(20)0 0 
   Adverse change of 20%(38)0 0 
Anticipated net credit losses
   Adverse change of 10%NM0 0 
   Adverse change of 20%NM0 0 
December 31, 2020
Non-agency-sponsored mortgages
In millions of dollarsU.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate
   Adverse change of 10%$(8)$0 $(1)
   Adverse change of 20%(15)(1)(1)
Constant prepayment rate
   Adverse change of 10%(21)0 0 
   Adverse change of 20%(40)0 0 
Anticipated net credit losses
   Adverse change of 10%NM0 0 
   Adverse change of 20%NM0 0 
NM    Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
 March 31, 2020
  Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate   
   Adverse change of 10%$(9)$(1)$(1)
   Adverse change of 20%(17)(1)(2)
Constant prepayment rate   
   Adverse change of 10%(23)—
—
   Adverse change of 20%(43)—
—
Anticipated net credit losses   
   Adverse change of 10%NM
—
—
   Adverse change of 20%NM
—
(1)



 December 31, 2019
  Non-agency-sponsored mortgages
In millions of dollarsU.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate   
   Adverse change of 10%$(18)$—
$(1)
   Adverse change of 20%(35)(1)(1)
Constant prepayment rate   
   Adverse change of 10%(18)—
—
   Adverse change of 20%(35)—
—
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:
Liquidation losses
Securitized assets90 days past dueThree Months Ended March 31,
In billions of dollars, except liquidation losses in millionsMar. 31, 2021Dec. 31, 2020Mar. 31, 2021Dec. 31, 202020212020
Securitized assets
Residential mortgages(1)
$17.4 $16.9 $0.4 $0.5 $1.5 $11.0 
Commercial and other24.6 23.9 0 0 0 0 
Total$42.0 $40.8 $0.4 $0.5 $1.5 $11.0 
     Liquidation losses
 Securitized assets90 days past dueThree Months Ended March 31,
In billions of dollars, except liquidation losses in millionsMar. 31, 2020Dec. 31, 2019Mar. 31, 2020Dec. 31, 201920202019
Securitized assets      
Residential mortgages(1)
$11.8
$11.7
$0.3
$0.4
$11
$11
Commercial and other20.5
22.3
—
—
—
—
Total$32.3
$34.0
$0.3
$0.4
$11
$11


(1)    Securitized assets include $0.3$0.2 billion of personal loan securitizations as of March 31, 2020.2021.

154

Mortgage Servicing Rights (MSRs)
The fair value of Citi’s capitalized MSRs was $367$433 million and $551$367 million at March 31, 20202021 and 2019,2020, respectively. The MSRs correspond to principal loan balances of $59$52 billion and $61$59 billion as of March 31, 20202021 and 2019,2020, respectively. The following table summarizes the changes in capitalized MSRs:
Three Months Ended March 31,
In millions of dollars20212020
Balance, beginning of period$336 $495 
Originations43 32 
Changes in fair value of MSRs due to changes in inputs and assumptions73 (143)
Other changes(1)
(19)(17)
Sales of MSRs0 0 
Balance, as of March 31$433 $367 
 Three Months Ended March 31,
In millions of dollars20202019
Balance, beginning of year

$495
$584
Originations32
12
Changes in fair value of MSRs due to changes in inputs and assumptions(143)(27)
Other changes(1)
(17)(18)
Sales of MSRs—
—
Balance, as of March 31$367
$551


(1)(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 March 31,
In millions of dollars20212020
Servicing fees$31 $39 
Late fees1 2
Ancillary fees0 0
Total MSR fees$32 $41 
 Three Months Ended March 31,
In millions of dollars20202019
Servicing fees$39
$41
Late fees2
2
Ancillary fees—
1
Total MSR fees$41
$44


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

Re-securitizations
The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private label) securities to re-securitization entities during the three months ended March 31, 20202021 and 2019.2020. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of March 31, 20202021 and December 31, 2019,2020, Citi held 0 retained interests in private label re-securitization transactions structured by Citi.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three months ended March 31, 2020,2021, Citi transferred agency securities with a fair value of approximately $7.4$13.1 billion to re-securitization entities compared to approximately $7.6$7.4 billion for the three months ended March 31, 2019.2020.
As of March 31, 2020,2021, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.2 billion (including $335.0 millionrelated to re-securitization transactions executed in 2021) compared to $1.6 billion as of December 31, 2020 (including $631.0$916.0 million related to re-securitization transactions executed in 2020) compared to $2.2 billion as of December 31, 2019 (including $1.3 billion related to re-securitization transactions executed in 2019), which is recorded in Trading account assets. The original fair values of agency re-securitization transactions in which Citi holds a retained interest as of March 31, 20202021 and December 31, 20192020 were approximately $65.8$76.2 billion and $73.5$83.6 billion, respectively.
As of March 31, 20202021 and December 31, 2019,2020, the Company did not consolidate any private label or agency re-securitization entities.

Citi-Administered Asset-Backed Commercial Paper Conduits
At March 31, 20202021 and December 31, 2019,2020, the commercial paper conduits administered by Citi had approximately $19.4$16.5 billion and $15.6$16.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $14.2$19.2 billion and $16.3$17.1 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At March 31, 20202021 and December 31, 2019,2020, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 4360 and 4954 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 guaranteedgovernment-guaranteed loan conduit, have obtained a letterletters of credit from the Company, which is equal to at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.8$1.5 billion and $1.4$1.5 billion as of March 31, 20202021 and December 31, 2019,2020, 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, 20202021 and December 31, 2019,2020, the Company owned $7.6$6.5 billion and $5.5$6.6 billion, respectively, of the commercial paper issued by its administered conduits. The Company'sCompany’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.

155

Collateralized Loan Obligations (CLOs)
There were no new securitizations during the three months ended March 31, 20202021 and 2019. 2020. The following table summarizes selected retained interests related to Citigroup CLOs:
In millions of dollarsMar. 31, 2021Dec. 31, 2020
Carrying value of retained interests$1,598 $1,611 
In millions of dollarsMar. 31, 2020Dec. 31, 2019
Carrying value of retained interests$1,060
$1,404


All of Citi’s retained interests were held-to-maturity securities as of March 31, 20202021 and December 31, 2019.2020.



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, 2021
In millions of dollars
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Type
Commercial and other real estate$32,535 $7,091 
Corporate loans15,535 10,742 
Other (including investment funds, airlines and shipping)166,460 21,264 
Total$214,530 $39,097 
March 31, 2020December 31, 2020
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
In millions of dollars
Total
unconsolidated
VIE assets
Maximum
exposure to
unconsolidated VIEs
Type Type
Commercial and other real estate$28,469
$6,980
Commercial and other real estate$34,570 $7,758 
Corporate loans10,502
7,808
Corporate loans12,022 7,654 
Other (including investment funds, airlines and shipping)163,277
21,164
Other (including investment funds, airlines and shipping)167,613 20,442 
Total$202,248
$35,952
Total$214,205 $35,854 

 December 31, 2019
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$31,377
$7,489
Corporate loans7,088
5,802
Other (including investment funds, airlines and shipping)

152,124
21,140
Total$190,589
$34,431


Municipal Securities Tender Option Bond (TOB) Trusts
At March 31, 20202021 and December 31, 2019,2020, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At March 31, 20202021 and December 31, 2019,2020, liquidity agreements provided with respect to customer TOB trusts totaled $3.1$1.6 billion and $3.5$1.6 billion, respectively, of which $1.5$0.8 billion and $1.6$0.8 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the residual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.
The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $6.3$3 billion and $7.0$3.6 billion as of March 31, 20202021 and December 31, 2019,2020, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.

156

19.  DERIVATIVES
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 20192020 Annual Report on Form 10-K.
Information pertaining to Citigroup’s derivatives 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. 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.




























157

Derivative Notionals
 Hedging instruments under
ASC 815		Trading derivative instruments
In millions of dollarsMarch 31,
2021		December 31,
2020		March 31,
2021		December 31,
2020
Interest rate contracts    
Swaps$292,103 $334,351 $20,393,789 $17,724,147 
Futures and forwards0 0 5,605,982 4,142,514 
Written options0 0 1,596,927 1,573,483 
Purchased options0 0 1,519,811 1,418,255 
Total interest rate contracts$292,103 $334,351 $29,116,509 $24,858,399 
Foreign exchange contracts 
Swaps$60,364 $65,709 $6,569,793 $6,567,304 
Futures, forwards and spot34,459 37,080 4,632,191 3,945,391 
Written options83 47 890,831 907,338 
Purchased options92 53 854,323 900,626 
Total foreign exchange contracts$94,998 $102,889 $12,947,138 $12,320,659 
Equity contracts  
Swaps$0 $0 $273,550 $274,098 
Futures and forwards0 0 87,217 67,025 
Written options0 0 474,770 441,003 
Purchased options0 0 381,966 328,202 
Total equity contracts$0 $0 $1,217,503 $1,110,328 
Commodity and other contracts  
Swaps$0 $0 $86,953 $80,127 
Futures and forwards1,340 924 155,094 143,175 
Written options0 0 75,989 71,376 
Purchased options0 0 73,052 67,849 
Total commodity and other contracts$1,340 $924 $391,088 $362,527 
Credit derivatives(1)
 
Protection sold$0 $0 $609,231 $543,607 
Protection purchased0 0 683,503 612,770 
Total credit derivatives$0 $0 $1,292,734 $1,156,377 
Total derivative notionals$388,441 $438,164 $44,964,972 $39,808,290 
 Hedging instruments under
ASC 815		Trading derivative instruments
In millions of dollarsMarch 31,
2020		December 31,
2019		March 31,
2020		December 31,
2019
Interest rate contracts    
Swaps$311,333
$318,089
$18,935,609
$17,063,272
Futures and forwards—
—
4,691,885
3,636,658
Written options—
—
1,791,782
2,114,511
Purchased options—
—
1,605,080
1,857,770
Total interest rate contracts$311,333
$318,089
$27,024,356
$24,672,211
Foreign exchange contracts    
Swaps$65,358
$63,104
$6,414,190
$6,063,853
Futures, forwards and spot38,597
38,275
4,806,697
3,979,188
Written options116
80
1,209,072
908,061
Purchased options45
80
1,233,661
959,149
Total foreign exchange contracts$104,116
$101,539
$13,663,620
$11,910,251
Equity contracts    
Swaps$—
$—
$168,224
$197,893
Futures and forwards—
—
60,692
66,705
Written options—
—
534,464
560,571
Purchased options—
—
399,929
422,393
Total equity contracts$—
$—
$1,163,309
$1,247,562
Commodity and other contracts    
Swaps$—
$—
$74,616
$69,445
Futures and forwards894
1,195
141,378
137,192
Written options—
—
91,874
91,587
Purchased options—
—
89,609
86,631
Total commodity and other contracts$894
$1,195
$397,477
$384,855
Credit derivatives(1)
    
Protection sold$—
$—
$624,063
$603,387
Protection purchased—
—
695,218
703,926
Total credit derivatives$—
$—
$1,319,281
$1,307,313
Total derivative notionals$416,343
$420,823
$43,568,043
$39,522,192


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

(1)Credit derivatives are arrangements designed to allow one party (protection purchaser) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.
158

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, 20202021 and December 31, 2019.2020. 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 $300$250 billion and $180$280 billion as of March 31, 20202021 and December 31, 2019,2020, 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.

159

Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at March 31, 2021
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,326 $44 
Cleared5 138 
Interest rate contracts$1,331 $182 
Over-the-counter$1,310 $1,689 
Foreign exchange contracts$1,310 $1,689 
Total derivatives instruments designated as ASC 815 hedges$2,641 $1,871 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$177,557 $160,611 
Cleared12,030 14,425 
Exchange traded65 72 
Interest rate contracts$189,652 $175,108 
Over-the-counter$137,979 $135,353 
Cleared889 746 
Foreign exchange contracts$138,868 $136,099 
Over-the-counter$25,396 $36,140 
Cleared30 15 
Exchange traded18,883 20,016 
Equity contracts$44,309 $56,171 
Over-the-counter$15,279 $17,285 
Exchange traded1,139 1,394 
Commodity and other contracts$16,418 $18,679 
Over-the-counter$8,199 $7,723 
Cleared2,427 2,841 
Credit derivatives$10,626 $10,564 
Total derivatives instruments not designated as ASC 815 hedges$399,873 $396,621 
Total derivatives$402,514 $398,492 
Cash collateral paid/received(3)
$21,388 $22,945 
Less: Netting agreements(4)
(307,824)(307,824)
Less: Netting cash collateral received/paid(5)
(48,248)(53,215)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$67,830 $60,398 
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(871)$(1,587)
Less: Non-cash collateral received/paid(6,466)(13,911)
Total net receivables/payables(6)
$60,493 $44,900 

(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 $74,603 million and $71,193 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,215 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $48,248 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $278 billion, $12 billion and $18 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $11 billion of derivative asset and $10 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
160

In millions of dollars at December 31, 2020
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,781 $161 
Cleared74 319 
Interest rate contracts$1,855 $480 
Over-the-counter$2,037 $2,042 
Foreign exchange contracts$2,037 $2,042 
Total derivatives instruments designated as ASC 815 hedges$3,892 $2,522 
Derivatives instruments not designated as ASC 815 hedges
Over-the-counter$228,519 $209,330 
Cleared11,041 12,563 
Exchange traded46 38 
Interest rate contracts$239,606 $221,931 
Over-the-counter$153,791 $152,784 
Cleared842 1,239 
Exchange traded0 1 
Foreign exchange contracts$154,633 $154,024 
Over-the-counter$29,244 $41,036 
Cleared1 18 
Exchange traded21,274 22,515 
Equity contracts$50,519 $63,569 
Over-the-counter$13,659 $17,076 
Exchange traded879 1,017 
Commodity and other contracts$14,538 $18,093 
Over-the-counter$7,826 $7,951 
Cleared1,963 2,178 
Credit derivatives$9,789 $10,129 
Total derivatives instruments not designated as ASC 815 hedges$469,085 $467,746 
Total derivatives$472,977 $470,268 
Cash collateral paid/received(3)
$32,778 $8,196 
Less: Netting agreements(4)
(364,879)(364,879)
Less: Netting cash collateral received/paid(5)
(63,915)(45,628)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$76,961 $67,957 
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet
Less: Cash collateral received/paid$(1,567)$(473)
Less: Non-cash collateral received/paid(7,408)(13,087)
Total net receivables/payables(6)
$67,986 $54,397 
(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 $78,406 million and $72,111 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $45,628 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $63,915 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $336 billion, $9 billion and $20 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $6 billion of derivative asset and $8 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
In millions of dollars at March 31, 2020
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,860
$259
Cleared422
262
Interest rate contracts$2,282
$521
Over-the-counter$2,410
$1,778
Cleared—
50
Foreign exchange contracts$2,410
$1,828
Total derivatives instruments designated as ASC 815 hedges$4,692
$2,349
Derivatives instruments not designated as ASC 815 hedges  
Over-the-counter$245,048
$224,637
Cleared11,055
10,607
Exchange traded117
144
Interest rate contracts$256,220
$235,388
Over-the-counter$198,530
$201,720
Cleared1,649
1,832
Exchange traded11
13
Foreign exchange contracts$200,190
$203,565
Over-the-counter$27,103
$28,388
Cleared1
32
Exchange traded30,565
32,910
Equity contracts$57,669
$61,330
Over-the-counter$21,059
$24,669
Exchange traded2,005
1,941
Commodity and other contracts$23,064
$26,610
Over-the-counter$15,606
$14,127
Cleared875
1,046
Credit derivatives$16,481
$15,173
Total derivatives instruments not designated as ASC 815 hedges$553,624
$542,066
Total derivatives$558,316
$544,415
Cash collateral paid/received(3)
$28,991
$17,023
Less: Netting agreements(4)
(424,832)(424,832)
Less: Netting cash collateral received/paid(5)
(65,236)(58,787)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$97,239
$77,819
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(1,897)$(245)
Less: Non-cash collateral received/paid(11,852)(16,896)
Total net receivables/payables(6)
$83,490
$60,678

(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 $87,778 million and $82,259 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $58,787 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $65,236 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $404 billion, $2 billion and $19 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.


(6)The net receivables/payables include approximately $8 billion of derivative asset and $6 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.
161
In millions of dollars at December 31, 2019
Derivatives classified in
Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilities
Over-the-counter$1,682
$143
Cleared41
111
Interest rate contracts$1,723
$254
Over-the-counter$1,304
$908
Cleared—
2
Foreign exchange contracts$1,304
$910
Total derivatives instruments designated as ASC 815 hedges$3,027
$1,164
Derivatives instruments not designated as ASC 815 hedges  
Over-the-counter$189,892
$169,749
Cleared5,896
7,472
Exchange traded157
180
Interest rate contracts$195,945
$177,401
Over-the-counter$105,401
$108,807
Cleared862
1,015
Exchange traded3
—
Foreign exchange contracts$106,266
$109,822
Over-the-counter$21,311
$22,411
Exchange traded7,160
8,075
Equity contracts$28,471
$30,486
Over-the-counter$13,582
$16,773
Exchange traded630
542
Commodity and other contracts$14,212
$17,315
Over-the-counter$8,896
$8,975
Cleared1,513
1,763
Credit derivatives$10,409
$10,738
Total derivatives instruments not designated as ASC 815 hedges$355,303
$345,762
Total derivatives$358,330
$346,926
Cash collateral paid/received(3)
$17,926
$14,391
Less: Netting agreements(4)
(274,970)(274,970)
Less: Netting cash collateral received/paid(5)
(44,353)(38,919)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$56,933
$47,428
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(861)$(128)
Less: Non-cash collateral received/paid(13,143)(7,308)
Total net receivables/payables(6)
$42,929
$39,992

(1)The derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.
(2)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange-traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(3)Reflects the net amount of the $56,845 million and $58,744 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $38,919 million was used to offset trading derivative liabilities. Of the gross cash collateral received, $44,353 million was used to offset trading derivative assets.
(4)Represents the netting of balances with the same counterparty under enforceable netting agreements. Approximately $262 billion, $6 billion and $7 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(5)Represents the netting of cash collateral paid and received by counterparties under enforceable credit support agreements. Substantially all netting of cash collateral received and paid is against OTC derivative assets and liabilities, respectively.
(6)The net receivables/payables include approximately $7 billion of derivative asset and $6 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.


For the three months ended March 31, 20202021 and 2019,2020, amounts recognized in Principal transactions in the Consolidated Statement of Income include certain derivatives not designated in a qualifying hedging 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
Three Months Ended March 31,
In millions of dollars20212020
Interest rate contracts$(60)$155 
Foreign exchange(21)24 
Total$(81)$179 
 Gains (losses) included in
Other revenue

Three Months Ended March 31,
In millions of dollars20202019
Interest rate contracts$155
$27
Foreign exchange24
(58)
Total$179
$(31)


Fair Value Hedges

Hedging of Benchmark Interest Rate Risk
Citigroup’s fair value hedges are primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale debt securities or loans.
For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the change in the fair value of the hedged item attributable to the hedged risk are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability.
In the first quarter of 2019, Citigroup has executed a last-of-layer hedge, which permits an entity to hedge the interest rate risk of a stated portion of a closed portfolio of prepayable financial assets that are expected to remain outstanding for the designated tenor of the hedge. In accordance with ASC 815, an entity may exclude prepayment risk when measuring the change in fair value of the hedged item attributable to interest rate risk under the last-of-layer approach. Similar to other fair value hedges, where the hedged item is an asset, the fair value of the hedged item attributable to interest rate risk will be presented in Interest revenue along with the change in the fair value of the hedging instrument. As of March 31, 2020, there were no active designations of last-of-layer hedges.

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

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

























162

The following table summarizes the gains (losses) on the Company’s fair value hedges:
 
Gains (losses) on fair value hedges(1)
Three Months Ended March 31,
20212020
In millions of dollarsOther revenueNet interest revenueOther revenueNet interest revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges
Interest rate hedges$0 $(3,935)$0 $6,847 
Foreign exchange hedges(210)0 (1,911)0 
Commodity hedges(289)0 290 0 
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$(499)$(3,935)$(1,621)$6,847 
Gain (loss) on the hedged item in designated and qualifying fair value hedges
Interest rate hedges$0 $3,826 $0 $(6,815)
Foreign exchange hedges210 0 1,911 0 
Commodity hedges289 0 (290)0 
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$499 $3,826 $1,621 $(6,815)
Net gain (loss) on the hedging derivatives excluded from
assessment of the effectiveness of fair value hedges		 
Interest rate hedges$0 $(4)$0 $(5)
Foreign exchange hedges(2)
4 0 (58)0 
Commodity hedges(22)0 (25)0 
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$(18)$(4)$(83)$(5)
 
Gains (losses) on fair value hedges(1)
 Three Months Ended March 31,
 20202019
In millions of dollarsOther revenueNet interest revenueOther revenueNet interest revenue
Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges    
Interest rate hedges$—
$6,847
$—
$963
Foreign exchange hedges(1,911)—
168
—
Commodity hedges290
—
70
—
Total gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges$(1,621)$6,847
$238
$963
Gain (loss) on the hedged item in designated and qualifying fair value hedges    
Interest rate hedges$—
$(6,815)$—
$(879)
Foreign exchange hedges1,911
—
(168)—
Commodity hedges(290)—
(70)—
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$1,621
$(6,815)$(238)$(879)
Net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges    
Interest rate hedges$—
$(5)$—
$—
Foreign exchange hedges(2)
(58)—
(3)—
Commodity hedges(25)—
18
—
Total net gain (loss) on the hedging derivatives excluded from assessment of the effectiveness of fair value hedges$(83)$(5)$15
$—


(1)
(1)Gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.
(2)
Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis that was included in AOCI was $33 million and $24 million for the three months ended March 31, 2020 and 2019, respectively.


(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates) that are excluded from the assessment of hedge effectiveness and are generally reflected directly in earnings. Amounts related to cross-currency basis, which are recognized in AOCI, are not reflected in the table above. The amount of cross-currency basis included in AOCI was $(13) million and $33 million for the three months ended March 31, 2021 and 2020, respectively.


















163

Cumulative Basis Adjustment
Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative changes in the hedged risk. This cumulative hedge basis adjustment becomes part of the carrying value of the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at March 31, 20202021 and December 31, 2019,2020, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities, that would reverse through earnings in future periods.
In millions of dollars
Balance sheet line item in which hedged item is recordedCarrying amount of hedged asset/ liabilityCumulative fair value hedging adjustment increasing (decreasing) the carrying amount
ActiveDe-designated
As of March 31, 2021
Debt securities AFS(1)(3)
$79,663 $(127)$61 
Long-term debt157,408 1,665 4,400 
As of December 31, 2020
Debt securities AFS(2)(3)
$81,082 $28 $342 
Long-term debt169,026 5,554 4,989 
In millions of dollars
Balance sheet line item in which hedged item is recordedCarrying amount of hedged asset/ liabilityCumulative fair value hedging adjustment increasing (decreasing) the carrying amount
ActiveDe-designated
As of March 31, 2020  
Debt securities
AFS(1)(3)
$94,548
$(130)$617
Long-term debt167,336
8,586
3,719
As of December 31, 2019  
Debt securities
AFS(2)(3)
$94,659
$(114)$743
Long-term
debt		157,387
2,334
3,445


(1)These amounts include a cumulative basis adjustment of $(64) million for active hedges and $(140) million for de-designated hedges as of March 31, 2021, related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $7 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $36 billion as of March 31, 2021) in a last-of-layer hedging relationship.
(1)These amounts include a cumulative basis adjustment of $134 million for de-designated hedges as of March 31, 2020 related to certain prepayable financial assets previously designated as the hedged item in a fair value hedge using the last-of-layer approach. There are no active hedges under the last-of-layer approach as of March 31, 2020.
(2)These amounts include a cumulative basis adjustment of $(8) million for active hedges and $157 million for de-designated hedges as of December 31, 2019 related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $605 million as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $20 billion as of December 31, 2019) in a last-of-layer hedging relationship, which commenced in the first quarter of 2019.
(3)Carrying amount represents the amortized cost.
(2)These amounts include a cumulative basis adjustment of $(18) million for active hedges and $62 million for de-designated hedges as of December 31, 2020, related to certain prepayable financial assets designated as the hedged item in a fair value hedge using the last-of-layer approach. The Company designated approximately $3 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $19 billion as of December 31, 2020) in a last-of-layer hedging relationship.
(3)Carrying amount represents the amortized cost.

164

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, 20202021 is approximately $803 million.$1.1 billion. The maximum length of time over which forecasted cash flows are hedged is 10 years.
The pretax change in AOCI from cash flow hedges is presented below. The after-tax impact of cash flow hedges on AOCI is shown in Note 17 to the Consolidated Financial Statements.
 Three Months Ended March 31,
In millions of dollars20212020
Amount of gain (loss) recognized in AOCI on derivatives
Interest rate contracts$(455)$2,497 
Foreign exchange contracts3 (11)
Total gain (loss) recognized in AOCI
$(452)$2,486 

Other
revenue		Net interest
revenue		Other
revenue
Net interest
revenue
Amount of gain (loss) reclassified from AOCI to earnings(1)
Interest rate contracts$0 $278 $0 $3 
Foreign exchange contracts(1)0 (1)0 
Total gain (loss) reclassified from AOCI into earnings
$(1)$278 $(1)$3 
Net pretax change in cash flow hedges included within AOCI
$(729)$2,484 
(1)All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenue in the Consolidated Statement of Income.
 Three Months Ended March 31,
In millions of dollars20202019
Amount of gain (loss) recognized in AOCI on derivatives
  
Interest rate contracts$2,497 $254 
Foreign exchange contracts(11)(8)
Total gain (loss) recognized in AOCI
$2,486 $246 
Amount of gain (loss) reclassified from AOCI to earnings(1)
Other
revenue
Net interest
revenue
Other
revenue

Net interest
revenue

Interest rate contracts$—
$3
$—
$(130)
Foreign exchange contracts(1)—
(2)—
Total gain (loss) reclassified from AOCI into earnings
$(1)$3
$(2)$(130)
Net pretax change in cash flow hedges included within AOCI

$2,484

$378
(1)
All amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenue in the Consolidated Statement of Income.


165

Net Investment Hedges
The pretax gain (loss) recorded in Foreign currency translation adjustment within AOCI, related to net investment hedges, was $2,160$557 million and $(164)$2,085 million for the three months ended March 31, 20202021 and 2019,2020, respectively.

Credit Derivatives
The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form:
Fair valuesNotionals
In millions of dollars at March 31, 2021
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty
Banks$2,886 $3,402 $126,799 $123,430 
Broker-dealers1,913 1,269 48,722 46,866 
Non-financial107 95 6,658 2,789 
Insurance and other financial
institutions		5,720 5,798 501,324 436,146 
Total by industry of counterparty$10,626 $10,564 $683,503 $609,231 
By instrument
Credit default swaps and options$9,647 $10,020 $667,075 $602,994 
Total return swaps and other979 544 16,428 6,237 
Total by instrument$10,626 $10,564 $683,503 $609,231 
By rating of reference entity
Investment grade$4,424 $4,083 $514,482 $455,166 
Non-investment grade6,202 6,481 169,021 154,065 
Total by rating of reference entity$10,626 $10,564 $683,503 $609,231 
By maturity
Within 1 year$1,186 $1,237 $148,225 $133,828 
From 1 to 5 years6,413 6,419 439,990 396,443 
After 5 years3,027 2,908 95,288 78,960 
Total by maturity$10,626 $10,564 $683,503 $609,231 

(1)The fair value amount receivable is composed of $4,166 million under protection purchased and $6,460 million under protection sold.
(2)The fair value amount payable is composed of $7,027 million under protection purchased and $3,537 million under protection sold.
166

Fair valuesNotionals
Fair valuesNotionals
In millions of dollars at March 31, 2020
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at December 31, 2020In millions of dollars at December 31, 2020
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty   By industry of counterparty
Banks$5,665
$5,633
$162,933
$167,923
Banks$2,902 $3,187 $117,685 $120,739 
Broker-dealers3,400
2,947
63,281
63,382
Broker-dealers1,770 1,215 46,928 44,692 
Non-financial140
82
4,223
1,825
Non-financial109 90 5,740 2,217 
Insurance and other financial
institutions
7,276
6,511
464,781
390,933
Insurance and other financial
institutions		5,008 5,637 442,417 375,959 
Total by industry of counterparty$16,481
$15,173
$695,218
$624,063
Total by industry of counterparty$9,789 $10,129 $612,770 $543,607 
By instrument   By instrument
Credit default swaps and options$14,555
$13,459
$679,118
$618,108
Credit default swaps and options$9,254 $9,254 $599,633 $538,426 
Total return swaps and other1,926
1,714
16,100
5,955
Total return swaps and other535 875 13,137 5,181 
Total by instrument$16,481
$15,173
$695,218
$624,063
Total by instrument$9,789 $10,129 $612,770 $543,607 
By rating of reference entity   By rating of reference entity
Investment grade$5,708
$5,243
$542,640
$481,482
Investment grade$4,136 $4,037 $478,643 $418,147 
Non-investment grade10,773
9,930
152,578
142,581
Non-investment grade5,653 6,092 134,127 125,460 
Total by rating of reference entity$16,481
$15,173
$695,218
$624,063
Total by rating of reference entity$9,789 $10,129 $612,770 $543,607 
By maturity   By maturity
Within 1 year$2,913
$2,752
$170,955
$148,981
Within 1 year$914 $1,355 $134,080 $125,464 
From 1 to 5 years9,195
8,467
429,874
391,944
From 1 to 5 years6,022 5,991 421,682 374,376 
After 5 years4,373
3,954
94,389
83,138
After 5 years2,853 2,783 57,008 43,767 
Total by maturity$16,481
$15,173
$695,218
$624,063
Total by maturity$9,789 $10,129 $612,770 $543,607 

(1)The fair value amount receivable is composed of $13,355 million under protection purchased and $3,126
(1)    The fair value amount receivable is composed of $3,514 million under protection purchased and $6,275 million under protection sold.
(2)    The fair value amount payable is composed of $7,037 million under protection purchased and $3,092 million under protection sold.
(2)The fair value amount payable is composed of $4,088 million under protection purchased and $11,805 million under protection sold.


 Fair valuesNotionals
In millions of dollars at December 31, 2019
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry of counterparty    
Banks$4,017
$4,102
$172,461
$169,546
Broker-dealers1,724
1,528
54,843
53,846
Non-financial92
76
2,601
1,968
Insurance and other financial
   institutions
4,576
5,032
474,021
378,027
Total by industry of counterparty$10,409
$10,738
$703,926
$603,387
By instrument    
Credit default swaps and options$9,759
$9,791
$685,643
$593,850
Total return swaps and other650
947
18,283
9,537
Total by instrument$10,409
$10,738
$703,926
$603,387
By rating of reference entity    
Investment grade$4,579
$4,578
$560,806
$470,778
Non-investment grade5,830
6,160
143,120
132,609
Total by rating of reference entity$10,409
$10,738
$703,926
$603,387
By maturity    
Within 1 year$1,806
$2,181
$231,135
$176,188
From 1 to 5 years7,275
7,265
414,237
379,915
After 5 years1,328
1,292
58,554
47,284
Total by maturity$10,409
$10,738
$703,926
$603,387

(1)The fair value amount receivable is composed of $3,415 million under protection purchased and $6,994 under protection sold.
(2)The fair value amount payable is composed of $7,793 million under protection purchased and $2,945 million under protection sold.

Credit Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.
The fair value (excluding CVA) of all derivative instruments with credit risk-related contingent features that were in a net liability position at both March 31, 20202021 and December 31, 20192020 was $34$22 billion and $30$25 billion, respectively. The Company posted $29$19 billion and $28$22 billion as collateral for this exposure in the normal course of business as of March 31, 20202021 and December 31, 2019,2020, 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 3 major rating agencies as of March 31, 2020,2021, the Company could be required to post an additional $1.0$1 billion as either collateral or settlement of the derivative transactions. In addition, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.2$1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.2$2 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 $2.4$1.9 billion and $5.8$2.0 billion as of March 31, 20202021 and December 31, 2019,2020, respectively.
At March 31, 2020,2021, the fair value of these previously derecognized assets was $2.4$2.1 billion. The fair value of the total return swaps as of March 31, 20202021 was $56$252 million recorded as gross derivative assets and $115$22 million recorded as gross derivative liabilities. At December 31, 2019,2020, the fair value of these previously derecognized assets was $5.9$2.2 billion, and the fair value of the total return swaps was $117$135 million recorded as gross derivative assets and $43$7 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.


167

20.  FAIR VALUE MEASUREMENT
For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 20192020 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, 20202021 and December 31, 2019:2020:
 Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsMarch 31,
2021		December 31,
2020
Counterparty CVA$(642)$(800)
Asset FVA(449)(525)
Citigroup (own credit) CVA376 403 
Liability FVA91 67 
Total CVA—derivative instruments$(624)$(855)
 
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsMarch 31,
2020		December 31,
2019
Counterparty CVA$(1,513)$(705)
Asset FVA(1,479)(530)
Citigroup (own-credit) CVA835
341
Liability FVA409
72
Total CVA—derivative instruments$(1,748)$(822)


The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
 Credit/funding/debt valuation
adjustments gain (loss)
Three Months Ended March 31,
In millions of dollars20212020
Counterparty CVA$9 $(283)
Asset FVA69 (1,053)
Own credit CVA(37)533 
Liability FVA24 337 
Total CVA—derivative instruments$65 $(466)
DVA related to own FVO liabilities(1)
$(38)$4,188 
Total CVA and DVA$27 $3,722 

(1)    See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2020 Annual Report on Form 10-K.



 
Credit/funding/debt valuation
adjustments gain (loss)
 Three Months Ended March 31,
In millions of dollars20202019
Counterparty CVA$(283)$74
Asset FVA(1,053)20
Own-credit CVA533
(92)
Liability FVA337
(48)
Total CVA—derivative instruments$(466)$(46)
DVA related to own FVO liabilities(1)
$4,188
$(725)
Total CVA and DVA$3,722
$(771)

(1)See Notes 1 and 17 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K.




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.

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-askbid/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.


168

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, 20202021 and December 31, 2019.2020. 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, 2021Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$0 $308,726 $262 $308,988 $(110,080)$198,908 
Trading non-derivative assets
Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed0 35,846 38 35,884 35,884 
Residential0 317 268 585 585 
Commercial0 813 59 872 872 
Total trading mortgage-backed securities$0 $36,976 $365 $37,341 $— $37,341 
U.S. Treasury and federal agency securities$59,877 $2,325 $0 $62,202 $62,202 
State and municipal0 1,171 94 1,265 1,265 
Foreign government76,118 16,226 81 92,425 92,425 
Corporate1,256 19,209 290 20,755 20,755 
Equity securities53,461 11,296 89 64,846 64,846 
Asset-backed securities0 951 1,208 2,159 2,159 
Other trading assets(2)
12 11,253 571 11,836 11,836 
Total trading non-derivative assets$190,724 $99,407 $2,698 $292,829 $— $292,829 
Trading derivatives
Interest rate contracts$95 $187,808 $3,080 $190,983 
Foreign exchange contracts0 139,621 557 140,178 
Equity contracts141 42,287 1,881 44,309 
Commodity contracts0 14,704 1,714 16,418 
Credit derivatives0 9,459 1,167 10,626 
Total trading derivatives$236 $393,879 $8,399 $402,514 
Cash collateral paid(3)
$21,388 
Netting agreements$(307,824)
Netting of cash collateral received(48,248)
Total trading derivatives$236 $393,879 $8,399 $423,902 $(356,072)$67,830 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$0 $42,673 $30 $42,703 $42,703 
Residential0 437 0 437 437 
Commercial0 45 0 45 45 
Total investment mortgage-backed securities$0 $43,155 $30 $43,185 $— $43,185 
  U.S. Treasury and federal agency securities$122,532 $168 $0 $122,700 $122,700 
State and municipal0 2,457 794 3,251 3,251 
Foreign government73,560 45,531 523 119,614 119,614 
Corporate6,212 3,980 56 10,248 10,248 
Marketable equity securities184 65 0 249 249 
Asset-backed securities0 270 4 274 274 
Other debt securities0 4,764 0 4,764 4,764 
Non-marketable equity securities(4)
0 44 352 396 396 
Total investments$202,488 $100,434 $1,759 $304,681 $— $304,681 
In millions of dollars at March 31, 2020Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Securities borrowed and purchased under agreements to resell$—
$270,056
$300
$270,356
$(114,719)$155,637
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed—
46,727
85
46,812
—
46,812
Residential—
712
304
1,016
—
1,016
Commercial—
2,464
44
2,508
—
2,508
Total trading mortgage-backed securities$—
$49,903
$433
$50,336
$—
$50,336
U.S. Treasury and federal agency securities$56,087
$7,810
$—
$63,897
$—
$63,897
State and municipal—
3,131
92
3,223
—
3,223
Foreign government61,440
18,003
39
79,482
—
79,482
Corporate1,240
17,618
412
19,270
—
19,270
Equity securities27,678
8,356
143
36,177
—
36,177
Asset-backed securities—
1,898
1,561
3,459
—
3,459
Other trading assets(2)
75
11,203
639
11,917
—
11,917
Total trading non-derivative assets$146,520
$117,922
$3,319
$267,761
$—
$267,761
Trading derivatives



  
Interest rate contracts$163
$254,826
$3,513
$258,502
  
Foreign exchange contracts1
201,879
720
202,600
  
Equity contracts65
57,008
596
57,669
  
Commodity contracts—
21,827
1,237
23,064
  
Credit derivatives—
14,872
1,609
16,481
  
Total trading derivatives$229
$550,412
$7,675
$558,316
  
Cash collateral paid(3)
   $28,991
  
Netting agreements    $(424,832) 
Netting of cash collateral received    (65,236) 
Total trading derivatives$229
$550,412
$7,675
$587,307
$(490,068)$97,239
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$—
$43,506
$47
$43,553
$—
$43,553
Residential—
752
—
752
—
752
Commercial—
68
—
68
—
68
Total investment mortgage-backed securities$—
$44,326
$47
$44,373
$—
$44,373
  U.S. Treasury and federal agency securities$121,159
$4,103
$—
$125,262
$—
$125,262
State and municipal—
4,778
687
5,465
—
5,465
Foreign government75,363
41,779
225
117,367
—
117,367
Corporate6,696
4,263
238
11,197
—
11,197
Marketable equity securities329
353
—
682
—
682
Asset-backed securities—
450
16
466
—
466
Other debt securities—
4,089
—
4,089
—
4,089
Non-marketable equity securities(4)
—
26
354
380
—
380
Total investments$203,547
$104,167
$1,567
$309,281
$—
$309,281

Table continues on the next page.

169


In millions of dollars at March 31, 2021Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$0$5,581$1,944$7,525 $7,525 
Mortgage servicing rights00433433 433 
Non-trading derivatives and other financial assets measured on a recurring basis$2,311$7,864$0$10,175 $0 $10,175 
Total assets$395,759$915,891$15,495$1,348,533 $(466,152)$882,381 
Total as a percentage of gross assets(5)
29.8%69.0%1.2%
Liabilities
Interest-bearing deposits$0$2,941$199$3,140 $3,140 
Securities loaned and sold under agreements to repurchase0161,693977162,670 (93,957)68,713 
Trading account liabilities
Securities sold, not yet purchased104,80213,730167118,699 118,699 
Other trading liabilities014620 20 
Total trading liabilities$104,802$13,744$173$118,719 $— $118,719 
Trading derivatives
Interest rate contracts$77$173,362$1,851$175,290 
Foreign exchange contracts1137,144643137,788 
Equity contracts5651,3584,75756,171 
Commodity contracts017,69798218,679 
Credit derivatives09,4681,09610,564 
Total trading derivatives$134$389,029$9,329$398,492 
Cash collateral received(6)
$22,945 
Netting agreements$(307,824)
Netting of cash collateral paid(53,215)
Total trading derivatives$134$389,029$9,329$421,437 $(361,039)$60,398 
Short-term borrowings$0$7,357$49$7,406 $7,406 
Long-term debt041,73426,33768,071 68,071 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$2,619$48$8$2,675 0$2,675 
Total liabilities$107,555$616,546$37,072$784,118 $(454,996)$329,122 
Total as a percentage of gross liabilities(5)
14.1 %81.0 %4.9 %
In millions of dollars at March 31, 2020Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans$—
$3,462
$537
$3,999
$—
$3,999
Mortgage servicing rights—
—
367
367
—
367
Non-trading derivatives and other financial assets measured on a recurring basis$3,512
$11,151
$—
$14,663
$—
$14,663
Total assets$353,808
$1,057,170
$13,765
$1,453,734
$(604,787)$848,947
Total as a percentage of gross assets(5)
24.8%74.2%1.0%





Liabilities      
Interest-bearing deposits$—
$2,156
$491
$2,647
$—
$2,647
Securities loaned and sold under agreements to repurchase—
171,238
730
171,968
(109,234)62,734
Trading account liabilities      
Securities sold, not yet purchased73,734
11,029
1,334
86,097
—
86,097
Other trading liabilities—
79
—
79
—
79
Total trading liabilities$73,734
$11,108
$1,334
$86,176
$—
$86,176
Trading derivatives      
Interest rate contracts$144
$234,007
$1,758
$235,909
  
Foreign exchange contracts—
204,675
718
205,393
  
Equity contracts37
58,861
2,432
61,330
  
Commodity contracts—
24,831
1,779
26,610
  
Credit derivatives—
14,380
793
15,173
  
Total trading derivatives$181
$536,754
$7,480
$544,415
  
Cash collateral received(6)
   $17,023
  
Netting agreements    $(424,832) 
Netting of cash collateral paid    (58,787) 
Total trading derivatives$181
$536,754
$7,480
$561,438
$(483,619)$77,819
Short-term borrowings$—
$8,312
$52
$8,364
$—
$8,364
Long-term debt—
34,779
18,135
52,914
—
52,914
Total non-trading derivatives and other financial liabilities measured on a recurring basis$4,222
$117
$—
$4,339
$—
$4,339
Total liabilities$78,137
$764,464
$28,222
$887,846
$(592,853)$294,993
Total as a percentage of gross liabilities(5)
9.0%87.8%3.2%   


(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.
(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 $87,778 million gross cash collateral paid, of which $58,787 million was used to offset trading derivative liabilities.
(4)
Amounts exclude $0.2 billion of investments measured at NAV
(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 $74,603 million of gross cash collateral paid, of which $53,215 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.1 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $71,193 million of gross cash collateral received, of which $48,248 million was used to offset trading derivative assets.

170

(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount $82,259 million of gross cash collateral received, of which $65,236 million was used to offset trading derivative assets.



Fair Value Levels
In millions of dollars at December 31, 2019Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
In millions of dollars at December 31, 2020In millions of dollars at December 31, 2020Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets  Assets  
Securities borrowed and purchased under agreements to resell$—
$254,253
$303
$254,556
$(101,363)$153,193
Securities borrowed and purchased under agreements to resell$0 $335,073 $320 $335,393 $(150,189)$185,204 
Trading non-derivative assets  Trading non-derivative assets
Trading mortgage-backed securities  Trading mortgage-backed securities
U.S. government-sponsored agency guaranteed—
27,661
10
27,671
—
27,671
U.S. government-sponsored agency guaranteed0 42,903 27 42,930 — 42,930 
Residential—
573
123
696
—
696
Residential0 391 340 731 — 731 
Commercial—
1,632
61
1,693
—
1,693
Commercial0 893 136 1,029 — 1,029 
Total trading mortgage-backed securities$—
$29,866
$194
$30,060
$—
$30,060
Total trading mortgage-backed securities$0 $44,187 $503 $44,690 $— $44,690 
U.S. Treasury and federal agency securities$26,159
$3,736
$—
$29,895
$—
$29,895
U.S. Treasury and federal agency securities$64,529 $2,269 $0 $66,798 $— $66,798 
State and municipal—
2,573
64
2,637
—
2,637
State and municipal0 1,224 94 1,318 — 1,318 
Foreign government50,948
20,326
52
71,326
—
71,326
Foreign government68,195 15,143 51 83,389 — 83,389 
Corporate1,332
17,246
313
18,891
—
18,891
Corporate1,607 18,840 375 20,822 — 20,822 
Equity securities41,663
9,878
100
51,641
—
51,641
Equity securities54,117 12,289 73 66,479 — 66,479 
Asset-backed securities—
1,539
1,177
2,716
—
2,716
Asset-backed securities0 776 1,606 2,382 — 2,382 
Other trading assets(2)
74
11,412
555
12,041
—
12,041
Other trading assets(2)
0 11,295 945 12,240 — 12,240 
Total trading non-derivative assets$120,176
$96,576
$2,455
$219,207
$—
$219,207
Total trading non-derivative assets$188,448 $106,023 $3,647 $298,118 $— $298,118 
Trading derivatives  Trading derivatives
Interest rate contracts$7
$196,493
$1,168
$197,668
  Interest rate contracts$42 $238,026 $3,393 $241,461 
Foreign exchange contracts1
107,022
547
107,570
  Foreign exchange contracts2 155,994 674 156,670 
Equity contracts83
28,148
240
28,471
  Equity contracts66 48,362 2,091 50,519 
Commodity contracts—
13,498
714
14,212
  Commodity contracts0 13,546 992 14,538 
Credit derivatives—
9,960
449
10,409
  Credit derivatives0 8,634 1,155 9,789 
Total trading derivatives$91
$355,121
$3,118
$358,330
  Total trading derivatives$110 $464,562 $8,305 $472,977 
Cash collateral paid(3)
 $17,926
  
Cash collateral paid(3)
$32,778 
Netting agreements $(274,970) Netting agreements$(364,879)
Netting of cash collateral received (44,353) Netting of cash collateral received(63,915)
Total trading derivatives$91
$355,121
$3,118
$376,256
$(319,323)$56,933
Total trading derivatives$110 $464,562 $8,305 $505,755 $(428,794)$76,961 
Investments  Investments
Mortgage-backed securities  Mortgage-backed securities
U.S. government-sponsored agency guaranteed$—
$35,198
$32
$35,230
$—
$35,230
U.S. government-sponsored agency guaranteed$0 $43,888 $30 $43,918 $— $43,918 
Residential—
793
—
793
—
793
Residential0 571 0 571 — 571 
Commercial—
74
—
74
—
74
Commercial0 50 0 50 — 50 
Total investment mortgage-backed securities$—
$36,065
$32
$36,097
$—
$36,097
Total investment mortgage-backed securities$0 $44,509 $30 $44,539 $— $44,539 
U.S. Treasury and federal agency securities$106,103
$5,315
$—
$111,418
$—
$111,418
U.S. Treasury and federal agency securities$146,032 $172 $0 $146,204 $— $146,204 
State and municipal—
4,355
623
4,978
—
4,978
State and municipal0 2,885 834 3,719 — 3,719 
Foreign government69,957
41,196
96
111,249
—
111,249
Foreign government77,056 47,644 268 124,968 — 124,968 
Corporate5,150
6,076
45
11,271
—
11,271
Corporate6,326 4,114 60 10,500 — 10,500 
Marketable equity securities

87
371
—
458
—
458
Marketable equity securities287 228 0 515 — 515 
Asset-backed securities—
500
22
522
—
522
Asset-backed securities0 277 1 278 — 278 
Other debt securities—
4,730
—
4,730
—
4,730
Other debt securities0 4,876 — 4,876 — 4,876 
Non-marketable equity securities(4)
—
93
441
534
—
534
Non-marketable equity securities(4)
0 50 349 399 — 399 
Total investments$181,297
$98,701
$1,259
$281,257
$—
$281,257
Total investments$229,701 $104,755 $1,542 $335,998 $— $335,998 
Table continues on the next page.

171


In millions of dollars at December 31, 2020Level 1Level 2Level 3Gross
inventory
Netting(2)
Net
balance
Loans$0$4,869$1,985$6,854 $— $6,854 
Mortgage servicing rights00336336 — 336 
Non-trading derivatives and other financial assets measured on a recurring basis$6,230$8,383$0$14,613 $0 $14,613 
Total assets$424,489$1,023,665$16,135$1,497,067 $(578,983)$918,084 
Total as a percentage of gross assets(5)
29.0%69.9%1.1%
Liabilities
Interest-bearing deposits$0$1,752$206$1,958 $— $1,958 
Securities loaned and sold under agreements to repurchase0156,644631157,275 (97,069)60,206 
Trading account liabilities
Securities sold, not yet purchased85,35314,477214100,044 — 100,044 
Other trading liabilities002626 — 26 
Total trading liabilities$85,353$14,477$240$100,070 $— $100,070 
Trading account derivatives
Interest rate contracts$25$220,607$1,779$222,411 
Foreign exchange contracts3155,441622156,066 
Equity contracts5358,2125,30463,569 
Commodity contracts017,39370018,093 
Credit derivatives09,0221,10710,129 
Total trading derivatives$81$460,675$9,512$470,268 
Cash collateral received(6)
$8,196 
Netting agreements$(364,879)
Netting of cash collateral paid(45,628)
Total trading derivatives$81$460,675$9,512$478,464 $(410,507)$67,957 
Short-term borrowings$0$4,464$219$4,683 $— $4,683 
Long-term debt041,85325,21067,063 — 67,063 
Non-trading derivatives and other financial liabilities measured on a recurring basis$6,762$72$1$6,835 $0 $6,835 
Total liabilities$92,196$679,937$36,019$816,348 $(507,576)$308,772 
Total as a percentage of gross liabilities(5)
11.4 %84.1 %4.5 %
In millions of dollars at December 31, 2019Level 1Level 2Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$3,683
$402
$4,085
$—
$4,085
Mortgage servicing rights—
—
495
495
—
495
Non-trading derivatives and other financial assets measured on a recurring basis$5,628
$7,201
$1
$12,830
$—
$12,830
Total assets$307,192
$815,535
$8,033
$1,148,686
$(420,686)$728,000
Total as a percentage of gross assets(5)
27.2%72.1%0.7%   
Liabilities      
Interest-bearing deposits$—
$2,104
$215
$2,319
$—
$2,319
Securities loaned and sold under agreements to repurchase—
111,567
757
112,324
(71,673)40,651
Trading account liabilities      
Securities sold, not yet purchased60,429
11,965
48
72,442
—
72,442
Other trading liabilities—
24
—
24
—
24
Total trading liabilities$60,429
$11,989
$48
$72,466
$—
$72,466
Trading account derivatives      
Interest rate contracts$8
$176,480
$1,167
$177,655
  
Foreign exchange contracts—
110,180
552
110,732
  
Equity contracts144
28,506
1,836
30,486
  
Commodity contracts—
16,542
773
17,315
  
Credit derivatives—
10,233
505
10,738
  
Total trading derivatives$152
$341,941
$4,833
$346,926
  
Cash collateral received(6)
   $14,391
  
Netting agreements    $(274,970) 
Netting of cash collateral paid    (38,919) 
Total trading derivatives$152
$341,941
$4,833
$361,317
$(313,889)$47,428
Short-term borrowings$—
$4,933
$13
$4,946
$—
$4,946
Long-term debt—
38,614
17,169
55,783
—
55,783
Non-trading derivatives and other financial liabilities measured on a recurring basis$6,280
$63
$—
$6,343
$—
$6,343
Total liabilities$66,861
$511,211
$23,035
$615,498
$(385,562)$229,936
Total as a percentage of gross liabilities(5)
11.1%85.0%3.8%   


(1)(1)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $56,845 million of gross cash collateral paid, of which $38,919 million was used to offset trading derivative liabilities.
(4)
Amounts exclude $0.2 billion of investments measured at net asset value (NAV) in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $58,744 million of gross cash collateral received, of which $44,353 million was used to offset trading derivative assets.

(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 $78,406 million of gross cash collateral paid, of which $45,628 million was used to offset trading derivative liabilities.
(4)Amounts exclude $0.2 billion of investments measured at NAV in accordance with ASU 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)Reflects the net amount of $72,111 million of gross cash collateral received, of which $63,915 million was used to offset trading derivative assets.


172


Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three months ended March 31, 20202021 and 2019.2020. 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(1)
Transfers 
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar, 31 2020In millions of dollarsDec. 31, 2020Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2021
Assets   Assets
Securities borrowed and
purchased under
agreements to resell
$303
$(20)$—
$—
$—
$66
$—
$—
$(49)$300
$3
Securities borrowed and purchased under agreements to resell$320 $(9)$0 $0 $0 $233 $0 $0 $(282)$262 $3 
Trading non-derivative assets   Trading non-derivative assets
Trading mortgage-
backed securities
   
Trading mortgage-backed securitiesTrading mortgage-backed securities
U.S. government-sponsored agency guaranteed10
(75)—
12
(3)141
—
—
—
85
4
U.S. government-sponsored agency guaranteed27 (1)0 14 (1)1 0 (2)0 38 (1)
Residential123
(8)—
60
(4)178
—
(45)—
304
(11)Residential340 23 0 28 (3)144 0 (264)0 268 7 
Commercial61
—
—
3
(3)27
—
(44)—
44
(1)Commercial136 5 0 16 (33)13 0 (78)0 59 (7)
Total trading mortgage-
backed securities
$194
$(83)$—
$75
$(10)$346
$—
$(89)$—
$433
$(8)
Total trading mortgage-backed securitiesTotal trading mortgage-backed securities$503 $27 $0 $58 $(37)$158 $0 $(344)$0 $365 $(1)
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
U.S. Treasury and federal agency securities$0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 
State and municipal64
2
—
10
(2)21
—
(3)—
92
—
State and municipal94 0 0 0 0 0 0 0 0 94 1 
Foreign government52
(85)—
—
—
86
—
(14)—
39
70
Foreign government51 1 0 11 0 57 0 (39)0 81 (3)
Corporate313
302
—
22
8
215
—
(448)—
412
246
Corporate375 90 0 6 (118)67 0 (130)0 290 41 
Marketable equity securities

100
—
—
28
(3)32
—
(14)—
143
1
Marketable equity securities73 45 0 4 (2)12 0 (43)0 89 9 
Asset-backed securities1,177
(169)—
239
(4)468
—
(150)—
1,561
(307)Asset-backed securities1,606 39 0 18 (50)582 0 (987)0 1,208 (79)
Other trading assets555
193
—
28
(137)105
8
(103)(10)639
195
Other trading assets945 (44)0 30 (8)147 4 (499)(4)571 1 
Total trading non-
derivative assets
$2,455
$160
$—
$402
$(148)$1,273
$8
$(821)$(10)$3,319
$197
Total trading non-derivative assetsTotal trading non-derivative assets$3,647 $158 $0 $127 $(215)$1,023 $4 $(2,042)$(4)$2,698 $(31)
Trading derivatives, net(4)
   
Trading derivatives, net(4)
Interest rate contracts$1
$351
$—
$1,383
$(22)$1
$56
$13
$(28)$1,755
$314
Interest rate contracts$1,614 $(172)$0 $(45)$0 $0 $(84)$0 $(84)$1,229 $(85)
Foreign exchange contracts(5)(15)—
(25)9
44
—
(8)2
2
19
Foreign exchange contracts52 (138)0 8 0 23 0 (15)(16)(86)(31)
Equity contracts(1,596)(210)—
(287)224
3
—
(1)31
(1,836)(223)Equity contracts(3,213)303 0 36 6 24 0 (23)(9)(2,876)268 
Commodity contracts(59)(459)—
38
(56)46
—
(34)(18)(542)(441)Commodity contracts292 314 0 158 (5)66 0 (110)17 732 324 
Credit derivatives(56)946
—
154
(286)—
—
—
58
816
946
Credit derivatives48 (64)0 67 3 0 0 0 17 71 (64)
Total trading derivatives,
net(4)
$(1,715)$613
$—
$1,263
$(131)$94
$56
$(30)$45
$195
$615
Total trading derivatives, net(4)
$(1,207)$243 $0 $224 $4 $113 $(84)$(148)$(75)$(930)$412 
Table continues on the next page.






173


  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains (losses)
still held(3)
In millions of dollarsDec. 31, 2020Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2021
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$30 $0 $0 $0 $0 $0 $0 $0 $0 $30 $0 
Residential0 0 0 0 0 0 0 0 0 0 0 
Commercial0 0 0 0 0 0 0 0 0 0 0 
Total investment mortgage-backed securities$30 $0 $0 $0 $0 $0 $0 $0 $0 $30 $0 
U.S. Treasury and federal agency securities$0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 
State and municipal834 0 (18)4 0 1 0 (27)0 794 (16)
Foreign government268 0 (2)0 0 330 0 (73)0 523 (11)
Corporate60 0 (4)0 0 0 0 0 0 56 0 
Marketable equity securities0 — 0 0 0 0 0 0 0 0 0 
Asset-backed securities1 0 0 3 0 0 0 0 0 4 0 
Other debt securities0 0 0 0 0 0 0 0 0 0 0 
Non-marketable equity securities349 0 10 1 0 0 0 (8)0 352 4 
Total investments$1,542 $0 $(14)$8 $0 $331 $0 $(108)$0 $1,759 $(23)
Loans$1,985 $0 $(128)$211 $0 $0 $1 $0 $(125)$1,944 $(125)
Mortgage servicing rights336 0 73 0 0 0 43 0 (19)433 80 
Other financial assets measured on a recurring basis0 0 0 0 0 0 0 0 0 0 0 
Liabilities
Interest-bearing deposits$206 $0 $16 $0 $0 $0 $9 $0 $0 $199 $7 
Securities loaned and sold under agreements to repurchase631 (15)0 0 0 408 0 0 (77)977 (15)
Trading account liabilities
Securities sold, not yet purchased214 54 0 8 (4)10 0 0 (7)167 39 
Other trading liabilities26 20 0 0 0 0 0 0 0 6 21 
Short-term borrowings219 (1)0 2 (12)0 8 0 (169)49 (1)
Long-term debt25,210 2,622 0 932 (2)0 5,720 0 (2,901)26,337 1,962 
Other financial liabilities measured on a recurring basis1 0 (3)0 0 0 14 0 (10)8 (3)

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit 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 and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2021.
(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, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2020
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$32
$—
$14
$—
$1
$—
$—
$—
$—
$47
$34
Residential—
—
—
—
—
—
—
—
—
—
—
Commercial—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$32
$—
$14
$—
$1
$—
$—
$—
$—
$47
$34
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal623
—
(31)138
—
—
—
(43)—
687
(9)
Foreign government96
—
(2)27
—
147
—
(43)—
225
(16)
Corporate45
—
(8)49
—
152
—
—
—
238
—
Marketable equity securities—
—
—
—
—
—
—
—
—
—
—
Asset-backed securities22
—
5
—
—
—
—
(11)—
16
—
Other debt securities—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities441
—
(74)—
—
—
—
(3)(10)354
(76)
Total investments$1,259
$—
$(96)$214
$1
$299
$—
$(100)$(10)$1,567
$(67)
Loans$402
$—
$(79)$217
$(1)$—
$—
$—
$(2)$537
$(127)
Mortgage servicing rights495
—
(143)—
—
—
32
—
(17)367
(133)
Other financial assets measured on a recurring basis1
—
—
—
—
—
—
(1)—
—
—
Liabilities           
Interest-bearing deposits$215
$—
$(6)$278
$—
$—
$—
$—
$(8)$491
$—
Securities loaned and sold under agreements to repurchase757
27
—
—
—
—
—
—
—
730
(33)
Trading account liabilities           
Securities sold, not yet purchased48
(101)—
1,208
(10)—
9
—
(22)1,334
(240)
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings13
10
—
11
—
—
38
—
—
52
10
Long-term debt17,169
1,951
—
2,051
(1,491)—
3,340
—
(983)18,135
1,167
Other financial liabilities measured on a recurring basis—
—
—
—
—
—
2
—
(2)—
—

(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, 2020.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.





  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2018Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2019
Assets           
Securities borrowed and
  purchased under
  agreements to resell
$115
$(4)$—
$(4)$3
$45
$—
$—
$(89)$66
$(2)
Trading non-derivative assets           
Trading mortgage-
  backed securities
           
U.S. government-sponsored agency guaranteed156
—
—
—
(25)48
—
(25)—
154
3
Residential268
1
—
5
(31)69
—
(184)—
128
10
Commercial77
2
—
2
(1)24
—
(35)—
69
1
Total trading mortgage-
  backed securities
$501
$3
$—
$7
$(57)$141
$—
$(244)$—
$351
$14
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$—
$(1)$—
$—
State and municipal200
(1)—
—
(19)1
—
(3)—
178
—
Foreign government31
(1)—
9
—
3
—
(3)—
39
1
Corporate360
90
—
21
(26)69
(33)(103)—
378
(35)
Marketable equity securities

153
(10)—
1
(11)9
—
(15)—
127
14
Asset-backed securities1,484
(26)—
7
(32)221
—
(225)—
1,429
38
Other trading assets818
5
—
13
(32)340
4
(102)(4)1,042
(20)
Total trading non-
  derivative assets
$3,548
$60
$—
$58
$(177)$784
$(29)$(695)$(5)$3,544
$12
Trading derivatives, net(4)
           
Interest rate contracts$(154)$(51)$—
$(15)$27
$6
$12
$—
$59
$(116)$(60)
Foreign exchange contracts(6)60
—
(15)15
3
—
(4)(7)46
28
Equity contracts(784)(294)—
(154)9
(1)(59)2
(64)(1,345)(222)
Commodity contracts(18)280
—
(3)10
54
—
(34)15
304
300
Credit derivatives61
(319)—
(18)232
—
—
—
78
34
(320)
Total trading derivatives,
  net(4)
$(901)$(324)$—
$(205)$293
$62
$(47)$(36)$81
$(1,077)$(274)
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$32
$—
$—
$—
$—
$—
$—
$—
$—
$32
$(2)
Residential—
—
—
—
—
—
—
—
—
—
—
Commercial—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$32
$—
$—
$—
$—
$—
$—
$—
$—
$32
$(2)
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal708
—
52
3
—
185
—
(38)—
910
44
Foreign government68
—
(4)—
—
39
—
(32)—
71
(1)
Corporate156
—
—
—
(94)—
—
(2)—
60
—
Marketable equity securities—
—
—
—
—
—
—
—
—
—
—
Asset-backed securities187
—
(2)94
—
550
—
(23)—
806
(4)
Other debt securities—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities586
—
22
—
—
4
—
(86)(21)505
(11)
Total investments$1,737
$—
$68
$97
$(94)$778
$—
$(181)$(21)$2,384
$26
174


  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2020
Assets           
Securities borrowed or purchased under agreements to resell$303 $(20)$0 $0 $0 $66 $0 $0 $(49)$300 $3 
Trading non-derivative assets 
Trading mortgage-backed securities 
U.S. government-sponsored agency guaranteed10 (75)0 12 (3)141 0 0 0 85 4 
Residential123 (8)0 60 (4)178 0 (45)0 304 (11)
Commercial61 0 0 3 (3)27 0 (44)0 44 (1)
Total trading mortgage-backed securities$194 $(83)$0 $75 $(10)$346 $0 $(89)$0 $433 $(8)
U.S. Treasury and federal agency securities$0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 
State and municipal64 2 0 10 (2)21 0 (3)0 92 0 
Foreign government52 (85)0 0 0 86 0 (14)0 39 70 
Corporate313 302 0 22 8 215 0 (448)0 412 246 
Equity securities100 0 0 28 (3)32 0 (14)0 143 1 
Asset-backed securities1,177 (169)0 239 (4)468 0 (150)0 1,561 (307)
Other trading assets555 193 0 28 (137)105 8 (103)(10)639 195 
Total trading non-derivative assets$2,455 $160 $0 $402 $(148)$1,273 $8 $(821)$(10)$3,319 $197 
Trading derivatives, net(4)
Interest rate contracts$1 $351 $0 $1,383 $(22)$1 $56 $13 $(28)$1,755 $314 
Foreign exchange contracts(5)(15)0 (25)9 44 0 (8)2 2 19 
Equity contracts(1,596)(210)0 (287)224 3 0 (1)31 (1,836)(223)
Commodity contracts(59)(459)0 38 (56)46 0 (34)(18)(542)(441)
Credit derivatives(56)946 0 154 (286)0 0 0 58 816 946 
Total trading derivatives, net(4)
$(1,715)$613 $0 $1,263 $(131)$94 $56 $(30)$45 $195 $615 
Investments
Mortgage-backed securities
U.S. government-sponsored agency guaranteed$32 $0 $14 $0 $1 $0 $0 $0 $0 $47 $34 
Residential0 0 0 0 0 0 0 0 0 0 0 
Commercial0 0 0 0 0 0 0 0 0 0 0 
Total investment mortgage-backed securities$32 $0 $14 $0 $1 $0 $0 $0 $0 $47 $34 
U.S. Treasury and federal agency securities$0 $0 $0 $0 $0 $0 $0 $0 $0 $0 $0 
State and municipal623 0 (31)138 0 0 0 (43)0 687 (9)
Foreign government96 0 (2)27 0 147 0 (43)0 225 (16)
Corporate45 0 (8)49 0 152 0 0 0 238 — 
Equity securities0 0 0 0 0 0 0 0 0 0 0 
Asset-backed securities22 0 5 0 0 0 0 (11)0 16 0 
Other debt securities0 0 0 0 0 0 0 0 0 0 0 
Non-marketable equity securities441 0 (74)0 0 0 0 (3)(10)354 (76)
Total investments$1,259 $0 $(96)$214 $1 $299 $0 $(100)$(10)$1,567 $(67)

  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, 2019
Loans$277
$—
$45
$125
$(70)$6
$—
$(10)$—
$373
$45
Mortgage servicing rights584
—
(27)—
—
—
12
—
(18)551
(25)
Other financial assets measured on a recurring basis—
—
16
—
—
—
(2)(4)(10)—
12
Liabilities           
Interest-bearing deposits$495
$—
$(10)$1
$(4)$—
$674
$—
$(129)$1,047
$(157)
Securities loaned and sold under agreements to repurchase983
4
—
(1)4
—
—
1
58
1,041
(2)
Trading account liabilities           
Securities sold, not yet purchased586
124
—
1
(441)—
—
—
(7)15
13
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
Short-term borrowings37
23
—
9
(6)—
153
—
—
170
18
Long-term debt12,570
(407)—
877
(1,601)—
5,950
(3)(4,466)13,734
(1,001)
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 March 31, 2019.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.


Table continues on the next page.
175

  
Net realized/unrealized
gains (losses) incl. in(1)
Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2019Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2020
Loans$402 $0 $(79)$217 $(1)$0 $0 $0 $(2)$537 $(127)
Mortgage servicing rights495 0 (143)0 0 0 32 0 (17)367 (133)
Other financial assets measured on a recurring basis1 0 0 0 0 0 0 (1)0 0 0 
Liabilities
Interest-bearing deposits$215 $0 $(6)$278 $0 $0 $0 $0 $(8)$491 $0 
Securities loaned or sold under agreements to repurchase757 27 0 0 0 0 0 0 0 730 (33)
Trading account liabilities— 
Securities sold, not yet purchased48 (167)0 8 (10)0 9 0 (22)200 (240)
Other trading liabilities0 0 0 0 0 0 0 0 0 0 0 
Short-term borrowings13 10 0 11 0 0 38 0 0 52 10 
Long-term debt17,169 1,311 0 3,189 (2,693)0 4,261 0 (1,346)19,269 936 
Other financial liabilities measured on a recurring basis0 0 0 0 0 0 2 0 (2)0 0 

(1)Net realized/unrealized gains (losses) are presented as increase (decrease) to Level 3 assets, and as (increase) decrease to Level 3 liabilities. Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to credit 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 and DVA on fair value option liabilities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2020.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only. Changes in fair value of available-for-sale debt securities are recorded in AOCI, unless related to credit impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments in the Consolidated Statement of Income.

Level 3 Fair Value Rollforward
There were no significant Level 3 transfers for the period December 31, 2020 to March 31, 2021.

The following were the significant Level 3 transfers for the period December 31, 2019 to March 31, 2020:

•
•Transfers of Interest rate contracts Interest rate contracts of $1.4 billion from Level 2 to Level 3 due to interest rate option volatility becoming an unobservable and/or significant input relative to the overall valuation of inflation and other interest rate derivatives.
•
Transfers of Securities sold, not purchased of $1.2 billion from Level 2 to Level 3, mainly related to a structured debt product where unobservable credit spreads widened, causing the value of the embedded credit derivative feature to become significant relative to the total value of the instrument.
•
Transfers of Long-term debt of $2.1 billion from Level 2 to Level 3, resulting from interest rate option volatility inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products. In other instances, market changes have resulted in unobservable volatility becoming an insignificant input to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has resulted in $1.5 billion of certain structured long-term debt products being transferred from Level 3 to Level 2.

The following were the significant Level 3 transfers fordue to interest rate option volatility becoming an unobservable and/or significant input relative to the period December 31, 2018overall valuation of inflation and other interest rate derivatives.
•Transfers of Long-term debt of $3.2 billion from Level 2 to March 31, 2019:Level 3, primarily driven by $2.0 billion related to interest rate option volatility inputs becoming unobservable and/or significant relative to the overall valuation of certain structured long-term debt products and $1.2 billion related to structured debt products where unobservable credit spreads widened, causing the value of the embedded credit derivative feature to become significant relative to the total value of the instrument. In other instances, market changes have resulted in unobservable volatility becoming an insignificant input to the overall valuation of the instrument (e.g., when an option becomes deep-in or deep-out of the money). This has primarily resulted in $2.7 billion of certain structured long-term debt products being transferred from Level 3 to Level 2.

•
Transfers of Long-term debt of $0.9 billion from Level 2 to Level 3, and of $1.6 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.






176



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, 2021
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets   
Securities borrowed and purchased under agreements to resell$262 Model-basedCredit spread15 bps15 bps15 bps
Interest rate0.34 %0.40 %0.37 %
Mortgage-backed securities$227 Price-basedPrice$24.00 $114.77 $91.51 
148 Yield analysisYield2.47 %19.21 %8.44 %
State and municipal, foreign government, corporate and other debt securities$1,488 Price-basedPrice$0$865.86$89.54
778 Model-basedCredit spread35 bps375 bps230 bps
Marketable equity securities(5)
$49 Price-basedPrice$0$70,000$14,868
32 Model-based
Recovery
(in millions)
$5,733 $5,733 $5,733 
WAL1.23 years1.23 years1.23 years
Asset-backed securities$789 Price-basedPrice$2.07$130.05$70.09
422 Yield analysisYield3.04 %15.54 %7.71 %
Non-marketable equities$214 Comparables analysisIlliquidity discount10.00 %35.00 %21.94 %
100 Price-basedPE Ratio12.00x28.40x18.42x
37Model-basedAdjustment factor0.11x0.56x0.26x
Price$0.97$1,960.00$1,538.36
EBITDA multiples4.20x16.70x11.85x
Revenue multiple2.30x28.80x16.13x
Derivatives—gross(6)
Interest rate contracts (gross)$4,892 Model-basedInflation volatility0.26 %2.90 %0.78 %
IR normal volatility0.12 %0.89 %0.61 %
Foreign exchange contracts (gross)$1,200 Model-basedFX volatility0.59 %13.70 %11.78 %
Interest rate0.06 %46.79 %1.09 %
IR normal volatility0.12 %0.88 %0.41 %
Equity contracts (gross)(7)
$6,594 Model-basedEquity volatility5.98 %94.42 %42.72 %
Forward price61.90 %108.04 %93.54 %
Commodity and other contracts (gross)2,672 Model-basedCommodity correlation(51.81)%92.81 %62.96 %
Commodity volatility0.10 %65.86 %24.26 %
Forward price9.42 %383.13 %94.30 %
Credit derivatives (gross)$1,848 Model-basedCredit spread6 bps500 bps88 bps
413 Price-basedRecovery rate25.00 %60.00 %39.84 %
Upfront points0 %99.12 %50.13 %
Loans and leases$1,893 Model-basedEquity volatility23.41 %80.12 %62.45 %
Mortgage servicing rights$354 Cash flowYield3.00 %16.60 %7.57 %
177

As of March 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Securities borrowed and purchased under agreements to resell$300
Model-basedCredit spread15 bps
15 bps
15 bps
   Interest rate0.15 %1.87%1.51%
Mortgage-backed securities$328
Price-basedPrice$43
$121
$90
 115
Yield analysisYield1.30 %12.44%4.81%
State and municipal, foreign government, corporate and other debt securities$1,334
Price-basedPrice$34
$1,014
$88
 672
Model-basedCredit spread35 bps
295 bps
210 bps
Marketable equity securities(5)
$93
Price-basedPrice$—
$28,483
$1,051
 50
Model-basedWAL1.24 years
1.24 years
1.24 years
   
Recovery
(in millions)
$5,450
$5,450
$5,450
Asset-backed securities$958
Price-basedPrice$1
$100
$52
 610
Yield analysisYield3.72 %25.26%11.37%
Non-marketable equities$240
Comparables analysisPrice$3
$1,513
$805
 88
Price-based
Appraised value
(in thousands)
$571
$25,002
$10,799
   Revenue multiple1.80x
20.50x
5.34x
   PE ratio9.60x
23.80x
15.48x
   Discount to price— %10.00%57.00%
   Price to book ratio0.60x
1.60x
0.96x
Derivatives—gross(6)
      
Interest rate contracts (gross)$5,028
Model-basedInflation volatility0.22 %2.93%0.81%
   IR normal volatility0.25 %1.15%0.58%
Foreign exchange contracts (gross)$1,438
Model-basedFX volatility7.85 %27.91%12.62%
 
 Credit spread60 bps
661 bps
283 bps
   IR normal volatility0.22 %1.15%0.60%
   IR-FX correlation40.00 %60.00%50.00%
   IR-IR correlation(51.00)%40.00%32.65%
   Interest rate0.78 %58.26%13.77%
Equity contracts (gross)(7)
$3,011
Model-basedForward price61.52 %107.02%92.93%
   Equity volatility4.89 %61.94%28.54%
Commodity and other contracts (gross)$3,015
Model-basedForward price33.94 %583.93%116.44%
   Commodity correlation(41.42)%90.86%55.61%
As of March 31, 2021
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
79 Model-basedWAL3.45 years6.91 years5.86 years
Liabilities
Interest-bearing deposits$199 Model-basedIR normal volatility0.12 %0.89 %0.68 %
Securities loaned and sold under agreements to repurchase$977 Model-basedInterest rate0.08 %1.86 %0.71 %
Trading account liabilities
Securities sold, not yet purchased and other trading liabilities$129 Model-basedIR lognormal volatility60.74 %140.02 %109.00 %
45 Price-basedPrice$0$865.86$77.85
Interest rate0.20 %39.36 %7.26 %
Short-term borrowings and long-term debt$26,380 Model-basedIR normal volatility0.12 %0.89 %0.62 %
Forward price9.42 %383.13 %92.82 %


As of December 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Securities borrowed and purchased under agreements to resell$320 Model-basedCredit spread15 bps15 bps15 bps
Interest rate0.30 %0.35 %0.32 %
Mortgage-backed securities$344 Price-basedPrice$30 $111 $80 
168 Yield analysisYield2.63 %21.80 %10.13 %
State and municipal, foreign government, corporate and other debt securities$1,566 Price-basedPrice$0 $2,265 $90 
852 Model-basedCredit spread35 bps375 bps226 bps
Marketable equity securities(5)
$36 Model-basedPrice$0 $31,000 $5,132 
36 Price-basedWAL1.48 years1.48 years1.48 years
Recovery
(in millions)
$5,733 $5,733 $5,733 
Asset-backed securities$863 Price-basedPrice$2 $157 $59 
744 Yield analysisYield3.77 %21.77 %9.01 %
Non-marketable equities$205 Comparables analysisIlliquidity discount10.00 %45.00 %25.29 %
PE ratio13.60x28.00x22.83x
142 Price-basedPrice$136 $2,041 $1,647 
EBITDA multiples3.30x36.70x15.10x
Adjustment factor0.20x0.61x0.25x
Appraised value
(in thousands)
$287 $39,745 $21,754 
Revenue multiple2.70x28.00x8.92x
Derivatives—gross(6)
Interest rate contracts (gross)$5,143 Model-basedInflation volatility0.27 %2.36 %0.78 %
IR normal volatility0.11 %0.73 %0.52 %
Foreign exchange contracts (gross)$1,296 Model-basedFX volatility1.70 %12.63 %5.41 %
Contingent event100.00 %100.00 %100.00 %
Interest rate0.84 %84.09 %17.55 %
IR normal volatility0.11 %0.52 %0.46 %
IR-FX correlation40.00 %60.00 %50.00 %
IR-IR correlation(21.71)%40.00 %38.09 %
Equity contracts (gross)(7)
$7,330 Model-basedEquity volatility5.00 %91.43 %42.74 %
Forward price65.88 %105.20 %91.82 %
178

As of December 31, 2020As of December 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Commodity and other contracts (gross)Commodity and other contracts (gross)$1,636 Model-basedCommodity correlation(44.92)%95.91 %70.60 %
Commodity volatility0.16 %80.17 %23.72 %
Forward price15.40 %262.00 %98.53 %
As of March 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Credit derivatives (gross)Credit derivatives (gross)$1,854 Model-basedCredit spread3.50 bps352.35 bps99.89 bps
  Commodity volatility0.65 %138.96%29.38%408 Price-basedRecovery rate20.00 %60.00 %41.60 %
Credit derivatives (gross)$1,985
Model-basedCredit correlation25.00 %90.00%44.94%
Credit correlation25.00 %80.00 %43.36 %
Upfront points0 %107.20 %48.10 %
417
Price-basedCredit spread17 bps
710 bps
170 bps
  Recovery rate1.00 %65.00%36.93%
  Upfront points2.50 %108.63%65.28%
Loans and leases$495
Model-basedEquity volatility24.01 %177.87%66.18%Loans and leases$1,804 Model-basedEquity volatility24.65 %83.09 %58.23 %
  Credit spread34 bps
576 bps
189 bps
Mortgage servicing rights$290
Cash flowYield2.45 %12.00%6.56%Mortgage servicing rights$258 Cash flowYield2.86 %16.00 %6.32 %
77
Model-basedWAL2.94 years
5.97 years
4.6 years
78 Model-basedWAL2.66 years5.40 years4.46 years
Liabilities   Liabilities
Interest-bearing deposits$491
Model-basedIR normal volatility0.35 %1.15%0.59%Interest-bearing deposits$206 Model-basedIR Normal volatility0.11 %0.73 %0.54 %
Securities loaned and sold under agreement to repurchase$730
Model-basedInterest rate0.15 %1.84%1.01%
Securities loaned and sold under agreements to repurchaseSecurities loaned and sold under agreements to repurchase$631 Model-basedInterest rate0.08 %1.86 %0.71 %
Trading account liabilities   Trading account liabilities
Securities sold, not yet purchased$1,165
Model-basedCredit spread505 bps
1,100 bps
747 bps
Securities sold, not yet purchased$178 Model-basedIR lognormal volatility52.06 %128.87 %89.82 %
155
Price-basedPrice$—
$7,038
$107
62 Price-basedPrice$0 $866 $80 
Interest rate10.03 %20.07 %13.70 %
Short-term borrowings and long-term debt$18,260
Model-basedIR normal volatility0.22 %1.15%0.56%Short-term borrowings and
long-term debt		$24,827 Model-basedIR Normal volatility0.11 %0.73 %0.51 %
  Forward price33.94 %583.93%92.99%Forward price15.40 %262.00 %92.48 %
(1)The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.
(5)For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.


179

As of December 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Securities borrowed and purchased under agreements to resell$303
Model-basedCredit spread15 bps
15 bps
15 bps
   Interest rate1.59 %3.67%2.72%
Mortgage-backed securities$196
Price-basedPrice$36
$505
$97
 22
Model-based    
State and municipal, foreign government, corporate and other debt securities$880
Model-basedPrice$—
$1,238
$90
 677
Price-basedCredit spread35 bps
295 bps
209 bps
Marketable equity securities(5)
$70
Price-basedPrice$—
$38,500
$2,979
 30
Model-basedWAL1.48 years
1.48 years
1.48 years
   
Recovery
(in millions)
$5,450
$5,450
$5,450
Asset-backed securities$812
Price-basedPrice$4
$103
$60
 368
Yield analysisYield0.61 %23.38%8.88%
Non-marketable equities$316
Comparables analysisEBITDA multiples7.00x
17.95x
10.34x
 97
Price-based
Appraised value
(in thousands)
$397
$33,246
$8,446
   Price$3
$2,019
$1,020
   PE ratio14.70x
28.70x
20.54x
   Price to book ratio1.50x
3.00x
1.88x
   Discount to price— %10.00%2.32%
Derivatives—gross(6)
      
Interest rate contracts (gross)$2,196
Model-basedInflation volatility0.21 %2.74%0.79%
   Mean reversion1.00 %20.00%10.50%
   IR normal volatility0.09 %0.66%0.53%



As of December 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Foreign exchange contracts (gross)$1,099
Model-basedFX volatility1.27 %12.16%9.17%
   IR normal volatility0.27 %0.66%0.58%
   FX rate37.39 %586.84%80.64%
   Interest rate2.72 %56.14%13.11%
   IR-IR correlation(51.00)%40.00%32.00%
   IR-FX correlation40.00 %60.00%50.00%
Equity contracts (gross)(7)
$2,076
Model-basedEquity volatility3.16 %52.80%28.43%
   Forward price62.60 %112.69%98.46%
   WAL1.48 years
1.48 years
1.48 years
   
Recovery
(in millions)
$5,450
$5,450
$5,450
Commodity and other contracts (gross)$1,487
Model-basedForward price37.62 %362.57%119.32%
   
Commodity
volatility
5.25 %93.63%23.55%
   
Commodity
correlation
(39.65)%87.81%41.80%
Credit derivatives (gross)$613
Model-basedCredit spread8 bps
283 bps
80 bps
 341
Price-basedUpfront points2.59 %99.94%59.41%
   Price$12
$100
$87
   Credit
correlation		25.00 %87.00%48.57%
   Recovery rate20.00 %65.00%48.00%
Loans and leases$378
Model-basedCredit spread9 bps
52 bps
48 bps
   Equity volatility32.00 %32.00%32.00%
Mortgage servicing rights$418
Cash flowYield1.78 %12.00%9.49%
 77
Model-basedWAL4.07 years
8.13 years
6.61 years
Liabilities      
Interest-bearing deposits$215
Model-basedMean reversion1.00 %20.00%10.50%
   Forward price97.59 %111.06%102.96%
Securities loaned and sold under agreements to repurchase$757
Model-basedInterest rate1.59 %2.38%1.95%
Trading account liabilities      
Securities sold, not yet purchased$46
Price-basedPrice$—
$866
$96
Short-term borrowings and long-term debt$17,182
Model-basedMean reversion1.00 %20.00%10.50%
   IR normal volatility0.09 %0.66%0.46%
   Forward price37.62 %362.57%97.52%
   
Equity-IR
Correlation
15.00 %44.00%32.66%
(1)The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.
(5)For equity securities, the price inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and non-trading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.




Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and, therefore, are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market 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 3
March 31, 2021   
Loans HFS(1)
$1,859 $895 $964 
Other real estate owned26 6 20 
Loans(2)
1,060 646 414 
Non-marketable equity securities measured using the measurement alternative254 254 0 
Total assets at fair value on a nonrecurring basis$3,199 $1,801 $1,398 
In millions of dollarsFair valueLevel 2Level 3In millions of dollarsFair valueLevel 2Level 3
March 31, 2020  
December 31, 2020December 31, 2020   
Loans HFS(1)
$4,951
$781
$4,170
Loans HFS(1)
$3,375 $478 $2,897 
Other real estate owned15
8
7
Other real estate owned17 4 13 
Loans(2)
759
553
206
Loans(2)
1,015 679 336 
Non-marketable equity securities measured using the measurement alternative308
308
—
Non-marketable equity securities measured using the measurement alternative315 312 3 
Total assets at fair value on a nonrecurring basis$6,033
$1,650
$4,383
Total assets at fair value on a nonrecurring basis$4,722 $1,473 $3,249 
(1)Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.

In millions of dollarsFair valueLevel 2Level 3
December 31, 2019   
Loans HFS(1)
$4,579
$3,249
$1,330
Other real estate owned20
6
14
Loans(2)
344
93
251
Non-marketable equity securities measured using the measurement alternative249
249
—
Total assets at fair value on a nonrecurring basis$5,192
$3,597
$1,595

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


180



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, 2021
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$964 Price-basedPrice$74.33 $100.00 $98.00 
Other real estate owned$17 Recovery analysis
Appraised value(4)
$186,431 $4,328,299 $3,682,631 
3 Price-basedPrice53.30 53.30 53.30 
Loans(5)
$377 Price-basedPrice$2.50 $50.00 $25.06 
37 Recovery analysis
Appraised value(4)
95 43,646,426 15,277,236 
As of December 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$2,683 Price-basedPrice$79 $100 $98 
Other real estate owned$7 Price-based
Appraised value(4)
$3,110,711 $4,241,357 $3,586,975 
4 Recovery analysisPrice51 51 51 
Loans(5)
$147 Price-basedPrice$2 $49 $23 
73 Recovery analysisRecovery rate0.99 %78.00 %13.37 %
Appraised value(4)
$34 $43,646,426 $17,762,950 
As of March 31, 2020
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$4,107
Price-basedPrice$80
$100
$95
Other real estate owned$7
Recovery analysis
Appraised value(4)
$187,166
$2,333,138
$2,019,646
Loans(5)
$146
Recovery analysisRecovery rate—%100.00%59.77%
 28
Price basedCost of capital0.10%100.00%56.50%
 
 Appraised value$17,521,218
$43,646,426
$30,583,822

(1)The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
As of December 31, 2019
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$1,320
Price-basedPrice$86
$100
$99
Other real estate owned$11
Price-based
Appraised value(4)
$2,297,358
$8,394,102
$5,615,884
 5
Recovery analysis 


Loans(6)
$100
Recovery analysisRecovery rate0.57%100.00%64.78%
 54
Cash flowPrice$2
$54
$27
 47
Price-basedCost of capital0.10%100.00%54.84%
 29
Price-based
Appraised value(4)
$17,521,218
$43,646,426
$30,583,822
(2)Some inputs are shown as zero due to rounding.

(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)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.

(3)Weighted averages are calculated based on the fair values of the instruments.
(4)Appraised values are disclosed in whole dollars.
(5)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.


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,
In millions of dollars20212020
Loans HFS$(4)$(391)
Other real estate owned0 0 
Loans(1)
1 (44)
Non-marketable equity securities measured using the measurement alternative81 22 
Total nonrecurring fair value gains (losses)$78 $(413)

(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.
 Three Months Ended March 31,
In millions of dollars20202019
Loans HFS$(391)$(2)
Other real estate owned—
1
Loans(1)
(44)(27)
Non-marketable equity securities measured using the measurement alternative

22
61
Total nonrecurring fair value gains (losses)$(413)$33

(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.

181


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, 2020Estimated fair value March 31, 2021Estimated fair value
Carrying
value
Estimated
fair value
  Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3In billions of dollarsLevel 1Level 2Level 3
Assets  Assets 
Investments$88.7
$90.0
$1.6
$86.2
$2.2
Investments$167.1 $167.3 $59.4 $105.4 $2.5 
Securities borrowed and purchased under agreements to resell106.9
106.9
—
106.9
—
Securities borrowed and purchased under agreements to resell116.2 116.2 0 116.2 0 
Loans(1)(2)
695.1
711.2
—
—
711.2
Loans(1)(2)
636.2 653.1 0 0.9 652.2 
Other financial assets(2)(3)
386.9
386.9
269.6
16.3
101.0
Other financial assets(2)(3)
415.8 415.8 305.5 19.2 91.1 
Liabilities Liabilities
Deposits$1,182.3
$1,182.3
$—
$978.4
$203.9
Deposits$1,297.8 $1,298.6 $0 $1,125.7 $172.9 
Securities loaned and sold under agreements to repurchase159.6
159.6
—
159.6
—
Securities loaned and sold under agreements to repurchase150.5 150.5 0 150.5 0 
Long-term debt(4)
213.2
214.8
—
185.0
29.8
Long-term debt(4)
188.3 201.4 0 181.0 20.4 
Other financial liabilities(5)
145.6
145.6
—
19.8
125.8
Other financial liabilities(5)
117.6 117.6 0 18.3 99.3 

 December 31, 2020Estimated fair value
 Carrying
value		Estimated
fair value
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments$110.3 $113.2 $23.3 $87.0 $2.9 
Securities borrowed and purchased under agreements to resell109.5 109.5 0 109.5 0 
Loans(1)(2)
643.3 663.9 0 0.6 663.3 
Other financial assets(2)(3)
383.2 383.2 291.5 18.1 73.6 
Liabilities     
Deposits$1,278.7 $1,278.8 $0 $1,093.3 $185.5 
Securities loaned and sold under agreements to repurchase139.3 139.3 0 139.3 0 
Long-term debt(4)
204.6 221.2 0 197.8 23.4 
Other financial liabilities(5)
102.4 102.4 0 19.2 83.2 
(1)The carrying value of loans is net of the Allowance for credit losses on loans of $21.6 billion for March 31, 2021 and $25.0 billion for December 31, 2020. In addition, the carrying values exclude $0.6 billion and $0.7 billion of lease finance receivables at March 31, 2021 and December 31, 2020, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.
(3)Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
 December 31, 2019Estimated fair value
 
Carrying
value
Estimated
fair value
   
In billions of dollarsLevel 1Level 2Level 3
Assets     
Investments$86.4
$87.8
$1.9
$83.8
$2.1
Securities borrowed and purchased under agreements to resell98.1
98.1
—
98.1
—
Loans(1)(2)
681.2
677.7
—
4.7
673.0
Other financial assets(2)(3)
262.4
262.4
177.6
16.3
68.5
Liabilities     
Deposits$1,068.3
$1,066.7
$—
$875.5
$191.2
Securities loaned and sold under agreements to repurchase125.7
125.7
—
125.7
—
Long-term debt(4)
193.0
203.8
—
187.3
16.5
Other financial liabilities(5)
110.2
110.2
—
37.5
72.7
(1)
The carrying value of loans is net of the
Allowance for loan losses of $20.8 billion for March 31, 2020 and $12.8 billion for December 31, 2019. In addition, the carrying values exclude $1.1 billion and $1.4 billion of lease finance receivables at March 31, 2020 and December 31, 2019, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.
(3)
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverables and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)
Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

The estimated fair values of the Company’s corporate unfunded lending commitments at March 31, 20202021 and December 31, 20192020 were liabilities of $10.4$7.3 billion and $5.1$7.3 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.

182


21.  FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not otherwise be revoked once an election is made. The
changes in fair value are recorded in current earnings, other thanearnings. Movements in DVA which isare reported inas a component of 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 (MSRs). See Note 18 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.

The following table presents the changes in fair value of those items for which the fair value option has been elected:
Changes in fair value—gains (losses)
 Three Months Ended March 31,
In millions of dollars20212020
Assets  
Securities borrowed and purchased under agreements to resell$(28)$92 
Trading account assets101 (834)
Investments0 0 
Loans 
Certain corporate loans129 (863)
Certain consumer loans0 1 
Total loans$129 $(862)
Other assets 
MSRs$73 $(143)
Certain mortgage loans HFS(1)
(3)62 
Total other assets$70 $(81)
Total assets$272 $(1,685)
Liabilities 
Interest-bearing deposits$37 $112 
Securities loaned and sold under agreements to repurchase13 (288)
Trading account liabilities2 (61)
Short-term borrowings(2)
(135)1,256 
Long-term debt(2)
2,008 7,365 
Total liabilities$1,925 $8,384 
(1)Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option.
 Changes in fair value—gains/losses
 Three Months Ended March 31,
In millions of dollars20202019
Assets  
Securities borrowed and purchased under agreements to resell$92
$29
Trading account assets(834)167
Investments—
—
Loans  
Certain corporate loans(863)(133)
Certain consumer loans1
—
Total loans$(862)$(133)
Other assets  
MSRs$(143)$(27)
Certain mortgage loans HFS(1)
62
16
Total other assets$(81)$(11)
Total assets$(1,685)$52
Liabilities  
Interest-bearing deposits$112
$(91)
Securities loaned and sold under agreements to repurchase(288)35
Trading account liabilities(61)11
Short-term borrowings(2)
1,256
(175)
Long-term debt(2)
7,365
(2,681)
Total liabilities$8,384
$(2,901)
(2)Includes DVA that is included in AOCI. See Notes 17 and 20 to the Consolidated Financial Statements.
183

(1)Includes gains (losses) associated with interest rate lock commitments for those loans that have been originated and elected under the fair value option.
(2)
Includes DVA that is included in AOCI. See Notes 17 and 20 to the Consolidated Financial Statements.


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. 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.
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) were a gainloss of $4,188$38 million and a lossgain of $725$4,188 million for the three months ended March 31, 20202021 and 2019,2020, 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 Uncollateralized 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 uncollateralized 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, 2021December 31, 2020
In millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$7,147 $7,525 $8,063 $6,854 
Aggregate unpaid principal balance in excess of (less than) fair value(112)(229)(915)(14)
Balance of non-accrual loans or loans more than 90 days past due0 4 0 4 
Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due0 0 0 0 
 March 31, 2020December 31, 2019
In millions of dollarsTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$9,228
$3,999
$8,320
$4,086
Aggregate unpaid principal balance in excess of (less than) fair value1,012
593
410
315
Balance of non-accrual loans or loans more than 90 days past due—
1
—
1
Aggregate unpaid principal balance in excess of (less than) fair value for non-accrual loans or loans more than 90 days past due—
—
—
—
184



In addition to the amounts reported above, $1,068$921 million and $1,062$1,068 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of March 31, 20202021 and December 31, 2019,2020, 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 three months ended March 31, 20202021 and 20192020 due to instrument-specific credit risk totaled to a loss of $(83)$(2) million and a gainloss of $18$(83) million, respectively.

Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.4$0.7 billion and $0.2$0.5 billion at March 31, 20202021 and December 31, 2019,2020, 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, 2020,2021, there were approximately $10.5$6.0 billion and $8.1$5.0 billion of notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.

Certain Investments in Private Equity and
Real Estate Ventures
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,
2021		December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet$1,434 $1,742 
Aggregate fair value in excess of (less than) unpaid principal balance(276)91 
Balance of non-accrual loans or loans more than 90 days past due0 0 
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due0 0 
In millions of dollarsMarch 31,
2020		December 31, 2019
Carrying amount reported on the Consolidated Balance Sheet$1,109
$1,254
Aggregate fair value in excess of (less than) unpaid principal balance54
(31)
Balance of non-accrual loans or loans more than 90 days past due—
1
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
185



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 three months ended March 31, 20202021 and 20192020 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, 2020December 31, 2019
Interest rate linked$22.0
$22.9
Foreign exchange linked0.7
0.9
Equity linked18.9
21.7
Commodity linked1.7
1.8
Credit linked2.2
2.4
Total$45.5
$49.7

In billions of dollarsMarch 31, 2021December 31, 2020
Interest rate linked$24.7 $16.0 
Foreign exchange linked0.8 1.2 
Equity linked29.5 27.3 
Commodity linked1.4 1.4 
Credit linked2.6 2.6 
Total$59.0 $48.5 
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 are 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 are 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, 2021December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet$68,071 $67,063 
Aggregate unpaid principal balance in excess of (less than) fair value(3,433)(5,130)
In millions of dollarsMarch 31, 2020December 31, 2019
Carrying amount reported on the Consolidated Balance Sheet$52,914
$55,783
Aggregate unpaid principal balance in excess of (less than) fair value2,130
(2,967)

The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsMarch 31, 2021December 31, 2020
Carrying amount reported on the Consolidated Balance Sheet$7,406 $4,683 
Aggregate unpaid principal balance in excess of (less than) fair value0 68 
In millions of dollarsMarch 31, 2020December 31, 2019
Carrying amount reported on the Consolidated Balance Sheet$8,364
$4,946
Aggregate unpaid principal balance in excess of (less than) fair value666
1,411
186



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 20192020 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at March 31, 20202021 and December 31, 2019:

2020:
Maximum potential amount of future payments 
In billions of dollars at March 31, 2021Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$23.3 $70.8 $94.1 $1,123 
Performance guarantees6.6 6.2 12.8 63 
Derivative instruments considered to be guarantees12.2 57.2 69.4 458 
Loans sold with recourse0 1.2 1.2 8 
Securities lending indemnifications(1)
132.1 0 132.1 0 
Credit card merchant processing(2)
96.4 0 96.4 3 
Credit card arrangements with partners0 0.8 0.8 7 
Custody indemnifications and other0 23.1 23.1 33 
Total$270.6 $159.3 $429.9 $1,695 
 Maximum potential amount of future payments 
In billions of dollars at December 31, 2020Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$25.3 $68.4 $93.7 $1,407 
Performance guarantees7.3 6.0 13.3 72 
Derivative instruments considered to be guarantees20.0 60.9 80.9 671 
Loans sold with recourse0 1.2 1.2 9 
Securities lending indemnifications(1)
112.2 0 112.2 0 
Credit card merchant processing(2)
101.9 0 101.9 3 
Credit card arrangements with partners0.2 0.8 1.0 7 
Custody indemnifications and other0 37.3 37.3 35 
Total$266.9 $174.6 $441.5 $2,204 
(1)The carrying values of securities lending indemnifications were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At March 31, 2021 and December 31, 2020, this maximum potential exposure was estimated to be $96 billion and $102 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.


 Maximum potential amount of future payments 
In billions of dollars at March 31, 2020
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$29.3
$57.3
$86.6
$147
Performance guarantees6.5
5.6
12.1
23
Derivative instruments considered to be guarantees22.3
51.7
74.0
2,660
Loans sold with recourse—
1.2
1.2
7
Securities lending indemnifications(1)
107.8
—
107.8
—
Credit card merchant processing(1)(2)
84.2
—
84.2
—
Credit card arrangements with partners0.2
0.4
0.6
7
Custody indemnifications and other—
28.6
28.6
40
Total$250.3
$144.8
$395.1
$2,884
187

 Maximum potential amount of future payments 
In billions of dollars at December 31, 2019Expire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$31.9
$62.4
$94.3
$140
Performance guarantees6.9
5.5
12.4
21
Derivative instruments considered to be guarantees35.2
60.8
96.0
474
Loans sold with recourse—
1.2
1.2
7
Securities lending indemnifications(1)
87.8
—
87.8
—
Credit card merchant processing(1)(2)
91.6
—
91.6
—
Credit card arrangements with partners0.2
0.4
0.6
23
Custody indemnifications and other—
33.7
33.7
41
Total$253.6
$164.0
$417.6
$706
(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, 2020 and December 31, 2019, this maximum potential exposure was estimated to be $84 billion and $92 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.






















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
sellers 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
agencies and, to a lesser extent, private investors. The repurchase reserve was approximately $32 million and $37$31 million at March 31, 20202021 and December 31, 2019,2020, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.

Credit Card Arrangements with Partners
Citi, in certainone 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, 20202021 and December 31, 2019,2020, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were
immaterial.

Value-Transfer Networks (Including Exchanges and Clearing Houses) (VTNs)
Citi is a member of, or shareholder in, hundreds of value-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 certain narrow cases, to the full pro rata share. The maximum exposure is difficult to estimate as this
this
would require an assessment of claims that have
not yet occurred; however, Citi believes the risk of loss is remote given historical experience with the VTNs. Accordingly, Citi’s participation in VTNs is not reported in the guarantees tables above, and there are no amounts reflected on the Consolidated Balance Sheet as of March 31, 20202021 or December 31, 20192020 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 2two 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 GE’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 was approximately $8.6 billion as of March 31, 2020 and December 31, 2019. 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,
188

including its insolvency or the failure of UFLIC to perform under its reinsurance contract or GE to perform under the capital maintenance agreement, and (ii) the assets of the 2 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 0 liability reflected on the Consolidated Balance Sheet as of March 31, 20202021 and December 31, 20192020 related to this indemnification. However, if both events become reasonably possible (meaning more than remote but less than probable), Citi will be required to estimate and disclose a reasonably possible loss or range of loss to the extent that such an estimate could be made. In addition, if both events become probable, Citi will be required to accrue for such liability in accordance with applicable accounting principles.
Citi continues to closely monitor its potential exposure under this indemnification obligation, 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 $18.1$16.8 billion and $13.3$16.6 billion as of March 31, 20202021 and December 31, 2019,2020, 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, 20202021 and December 31, 2019,2020, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $2.9$1.7 billion and $0.7$2.2 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.



Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $46.2$60.5 billion and $46.7$51.6 billion at March 31, 20202021 and December 31, 2019,2020, respectively. Securities and other marketable assets held as collateral amounted to $80.1$92.2 billion and $58.6$80.1 billion at March 31, 20202021 and December 31, 2019,2020, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. In addition, letters of credit in favor of Citi held as collateral amounted to $3.6$4.9 billion and $4.4$6.6 billion at March 31, 20202021 and December 31, 2019,2020, 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.

189

Performance Risk
Presented in the tables below are the maximum potential amounts of future payments that are classified based on internal and external credit ratings. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
Maximum potential amount of future payments
Maximum potential amount of future payments
In billions of dollars at March 31, 2020
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at March 31, 2021In billions of dollars at March 31, 2021Investment
grade		Non-investment
grade		Not
rated		Total
Financial standby letters of credit$59.8
$13.8
$13.0
$86.6
Financial standby letters of credit$78.2 $15.6 $0.3 $94.1 
Performance guarantees9.3
2.3
0.5
12.1
Performance guarantees9.7 3.1 0 12.8 
Derivative instruments deemed to be guarantees—
—
74.0
74.0
Derivative instruments deemed to be guarantees0 0 69.4 69.4 
Loans sold with recourse—
—
1.2
1.2
Loans sold with recourse0 0 1.2 1.2 
Securities lending indemnifications—
—
107.8
107.8
Securities lending indemnifications0 0 132.1 132.1 
Credit card merchant processing—
—
84.2
84.2
Credit card merchant processing0 0 96.4 96.4 
Credit card arrangements with partners—
—
0.6
0.6
Credit card arrangements with partners0 0 0.8 0.8 
Custody indemnifications and other16.3
12.3
—
28.6
Custody indemnifications and other10.6 12.5 0 23.1 
Total$85.4
$28.4
$281.3
$395.1
Total$98.5 $31.2 $300.2 $429.9 

 Maximum potential amount of future payments
In billions of dollars at December 31, 2020Investment
grade		Non-investment
grade		Not
rated		Total
Financial standby letters of credit$78.5 $14.6 $0.6 $93.7 
Performance guarantees9.8 3.0 0.5 13.3 
Derivative instruments deemed to be guarantees0 0 80.9 80.9 
Loans sold with recourse0 0 1.2 1.2 
Securities lending indemnifications0 0 112.2 112.2 
Credit card merchant processing0 0 101.9 101.9 
Credit card arrangements with partners0 0 1.0 1.0 
Custody indemnifications and other24.9 12.4 0 37.3 
Total$113.2 $30.0 $298.3 $441.5 
 Maximum potential amount of future payments
In billions of dollars at December 31, 2019
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$66.4
$12.5
$15.4
$94.3
Performance guarantees9.7
2.3
0.4
12.4
Derivative instruments deemed to be guarantees—
—
96.0
96.0
Loans sold with recourse—
—
1.2
1.2
Securities lending indemnifications—
—
87.8
87.8
Credit card merchant processing—
—
91.6
91.6
Credit card arrangements with partners—
—
0.6
0.6
Custody indemnifications and other21.3
12.4
—
33.7
Total$97.4
$27.2
$293.0
$417.6


Leases
The Company’s operating leases, where Citi is a lessee, include real estate such as office space and branches and various types of equipment. These leases have a weighted-average remaining lease term of approximately six years as of March 31, 2020.2021. The operating lease ROU asset and lease liability were $2.9 billion and $3.2$3.1 billion, respectively, as of March 31, 2020,2021, compared to an operating lease ROU asset of $3.1$2.8 billion and lease liability of $3.3$3.1 billion as of December 31, 2019.2020. The Company recognizes fixed lease
costs on a straight-line basis throughout the lease term in the Consolidated Statement of Income. In addition, variable lease costs are recognized in the period in which the obligation for those payments is incurred.


190



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,
2020
December 31,
2019
Commercial and similar letters of credit$717
$3,899
$4,616
$4,533
One- to four-family residential mortgages2,862
1,887
4,749
3,721
Revolving open-end loans secured by one- to four-family residential properties9,220
1,199
10,419
10,799
Commercial real estate, construction and land development8,801
2,589
11,390
12,981
Credit card lines621,188
95,362
716,550
708,023
Commercial and other consumer loan commitments183,973
101,712
285,685
324,359
Other commitments and contingencies1,825
1,460
3,285
1,948
Total$828,586
$208,108
$1,036,694
$1,066,364

In millions of dollarsU.S.Outside of 
U.S.		March 31,
2021		December 31,
2020
Commercial and similar letters of credit$783 $5,092 $5,875 $5,221 
One- to four-family residential mortgages3,393 2,387 5,780 5,002 
Revolving open-end loans secured by one- to four-family residential properties8,105 1,204 9,309 9,626 
Commercial real estate, construction and land development13,980 2,356 16,336 12,867 
Credit card lines609,591 100,961 710,552 710,399 
Commercial and other consumer loan commitments217,804 123,196 341,000 322,458 
Other commitments and contingencies5,302 1,299 6,601 5,715 
Total$858,958 $236,495 $1,095,453 $1,071,288 

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

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

Unsettled Reverse Repurchase and Securities Borrowing Agreements and Unsettled Repurchase and Securities 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, 20202021 and December 31, 2019,2020, Citigroup had approximately $67.8$117.8 billion and $34.0$71.8 billion of unsettled reverse repurchase and securities borrowing agreements, and approximately $59.6$72.9 billion and $38.7$62.5 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 CommoditiesCommodity 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,
2021		December 31,
2020
Cash and due from banks$3,884 $3,774 
Deposits with banks, net of allowance12,006 14,203 
Total$15,890 $17,977 
In millions of dollarsMarch 31,
2020
December 31,
2019
Cash and due from banks$2,978
$3,758
Deposits with banks, net of allowance10,723
26,493
Total$13,701
$30,251


In response to the COVID-19 pandemic, the Federal Reserve Bank and certain other central banks eased regulations related to minimum required cash deposited with central banks. This resulted in a decrease in Citigroup’s restricted cash amount at March 31, 2020.







191

23.  CONTINGENCIES

The following information supplements and amends, as applicable, the disclosure in Note 27 to the Consolidated Financial Statements in Citi’s 20192020 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 theany litigation, regulatory, andor tax matters disclosed herein, or in Note 27 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.
If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible but not probable, 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, 2020, Citigroup’s estimate of2021, Citigroup estimates that the reasonably possible unaccrued loss for these matters was materially unchanged from the estimate ofranges up to approximately $1.3$1.4 billion in the aggregate as of December 31, 2019.aggregate.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation, regulatory, tax, 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 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 any litigation, regulatory, and tax matters disclosed herein, see Note 27 to the Consolidated Financial Statements in Citi’s 20192020 Annual Report on Form 10-K.

ANZ Underwriting Matter
In March 2021, the investigation of Citigroup Global Markets Australia Pty Limited commenced by the Australia Securities and Investments Commission in 2016 concluded with no enforcement action.

Foreign Exchange Matters
Regulatory ActionsAntitrust and Other Litigation: As previously reported,In 2020, a London-based investment manager issued a claim against Citibank and Citigroup Global Markets Limited (CGML), captioned THE ECU GROUP PLC v. CITIBANK N.A. AND OTHERS, in May 2015, Citigroup pled guilty to a violationthe High Court of federal antitrustJustice in London. The claimant alleges that it suffered losses from the handling and execution of certain foreign exchange stop loss orders and market orders. The claimant asserts common law and in January 2017, the United States District Court for the District of Connecticut sentenced Citicorp to a three-year term of probation, which ended in January 2020.statutory claims and seeks compensatory damages. Additional information concerning this action is publicly available in court filings under the docket number 3:15-cr-78 (D. Conn.).FL-2020-000046.

Interbank Offered Rates-Related Litigation and Other Matters
Antitrust and Other Litigation: On March 2, 2020,January 29, 2021, in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION,J WISBEY & ASSOCIATES PTY LTD v. UBS AG & ORS, the court granted preliminary approval of a settlement among Citigroup, Citibank, Citigroup Global Markets Inc. (CGMI), and a class of purchasers of exchange-traded Eurodollar futures and options. 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 26, 2020, in IN RE ICE LIBOR ANTITRUST LITIGATION, the court granted Citigroup and the other defendants’ motionrefused an application by plaintiffs to dismiss the action for failure to state a claim.amend their pleadings. Additional information concerning this action is publicly available in court filings under the docket number 19 Civ. 439 (S.D.N.Y.) (Daniels, J.).VID567/2019.

Interest RateInterbank Offered Rates–Related Litigation and Credit Default SwapOther Matters
Antitrust and Other Litigation: On April 3, 2020,March 17, 2021, in TERA GROUP, INC.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 United States Court of Appeals for the Second Circuit vacated the judgment of the district court regarding the court’s lack of jurisdiction and remanded the case for further proceedings. 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 April 8, 2021, in SCS BANQUE DELUBAC & CIE v. CITIGROUP INC., ET AL., defendantsthe Cour de cassation of France affirmed the decision of the Court of Appeal of Nîmes, which had held that no court of France has territorial jurisdiction over Banque Delubac’s claims, and dismissed the plaintiff’s appeal. Additional information concerning this action is publicly available in court filings under docket numbers RG no. 2018F02750 in the Commercial Court of Marseille and 19-16.931 in the Cour de cassation.


192

Revlon-related Wire Transfer Litigation
On February 26, 2021, Citibank filed a motion to dismiss plaintiffs’notice of appeal in the United States Court of Appeals of the district court’s judgment in favor of the defendants. Additional information concerning this action is publicly available in court filings under docket numbers 20-CV-6539 (S.D.N.Y.) (Furman, J.) and 21-487 (2d Cir.).

Shareholder Derivative and Securities Litigation
On February 4, 2021, three putative class action complaints were consolidated under the case name IN RE CITIGROUP SECURITIES LITIGATION, and a consolidated amended complaint.complaint was filed on April 20, 2021. Additional information concerning this action is publicly available in court filings under the docket number 17-CV-43021:20-CV-9132 (S.D.N.Y.) (Sullivan,(Nathan, J.).
On February 8, 2021, in IN RE CITIGROUP INC. SHAREHOLDER DERIVATIVE LITIGATION, the United States District Court for the Southern District of New York granted defendants’ motion for a stay pending resolution of defendants’ anticipated motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 1:20-CV-09438 (S.D.N.Y.) (Nathan, J.).
On February 25, 2021, the Supreme Court of the State of New York stayed two derivative actions, which have been consolidated under the case name IN RE CITIGROUP INC. DERIVATIVE LITIGATION, pending resolution of defendants’ anticipated motion to dismiss in IN RE CITIGROUP SECURITIES LITIGATION. Additional information concerning this action is publicly available in court filings under the docket number 656759/2020 (N.Y. Sup. Ct.) (Schecter, J.).

Sovereign Securities Matters
Antitrust and Other Litigation:On March 25, 2020, inFebruary 9, 2021, purchasers of Euro-denominated sovereign debt issued by European central governments added Citigroup Global Markets Inc., CGML and others as defendants to a putative class action, captioned IN RE SSAEUROPEAN GOVERNMENT BONDS ANTITRUST LITIGATION, in the court granted defendants’ motionUnited States District Court for the Southern District of New York. Plaintiffs allege that defendants engaged in a conspiracy to dismissinflate prices of European government bonds in primary market auctions and to fix the second amended consolidated class action complaint related toprices of European government bonds in secondary markets. Plaintiffs assert a claim under the supranational, subsovereign,Sherman Act and agency (SSA) bond market with prejudice.
On February 19, 2020, in MANCINELLI, ET AL. v. BANK OF AMERICA, ET AL., the court granted plaintiffs’ motion to dismiss the action.seek treble damages and attorneys’ fees. Additional information


concerning this action is publicly available in court filings under the docket number CV-17-586082-00CP (Ont. S.C.J.).
On February 3, 2020, in IN RE GSE BONDS ANTITRUST LITIGATION, the court granted preliminary approval of a settlement with CGMI and 11 other defendants. Additional information relating to this action is publicly available in court filings under the docket number 19 Civ. 170402601 (S.D.N.Y.) (Rakoff,(Marrero, J.).
On February 21, 2020,March 31, 2021, in IN RE MEXICAN GOVERNMENT BONDSTREASURY SECURITIES AUCTION ANTITRUST LITIGATION, Citibanamex and other defendants movedthe court granted defendants’ motion to dismiss theall claims, without prejudice to plaintiffs filing an amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 18-cv-283015-MD-2673 (S.D.N.Y.) (Oetken,(Gardephe, J.).
On April 1, 2020, the Louisiana Asset Management Pool filed an action against CGMI and other defendants, captioned LOUISIANA ASSET MANAGEMENT POOLMarch 8, 2021, CITY OF NEW ORLEANS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., in was transferred to the United States District Court for the EasternMiddle District of Louisiana. Plaintiff alleges that defendants conspired to manipulate the market for bonds issued by U.S. government-sponsored agencies. Plaintiff asserts claims against defendants for violations of the Sherman Act and Louisiana state law, and seeks treble damages, injunctive relief, and state law remedies. Additional information concerning this action is publicly available in court filings under the docket number 2021 Civ. 1095 (E.D.147 (M.D. La.) (Guidry,(Dick, C.J.).

Tribune Company Bankruptcy
On April 19, 2021, the United States Supreme Court denied the Tribune noteholders’ petition for certiorari. Additional information concerning this action is publicly available in court filings under the docket numbers 12 MC 2296 (S.D.N.Y.) (Cote, J.), 13-3992 (2d Cir.), and 20-8 (U.S.).

Wind Farm Litigation
Beginning in March 2021, six wind farms in Texas have commenced actions in New York and Texas state courts for declaratory judgments and breach of contract, asserting that the February 2021 winter storm in Texas excused their performance to deliver energy to Citi Energy Inc. (CEI) under the force majeure provisions of their contracts with CEI. In addition to seeking a declaration that damages are not owed to CEI, the wind farms also seek temporary restraining orders and/or preliminary injunctions, preventing CEI from exercising remedies under the contracts. Additional information concerning these actions is publicly available in court filings under docket numbers 652078/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), 2021-01387 (1st Dep’t), 652312/2021 (Sup. Ct. N.Y. Cnty.) (Reed, J.), 2021-23588 (District Court Harris County TX) (Schaffer, J.), and 2021-26150 (District Court Harris County TX) (Engelhart, J.).

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

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



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24.  CONDENSED CONSOLIDATING FINANCIAL STATEMENTS

Citigroup previously amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to add, which added 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 months ended March 31, 20202021 and 2019,2020, Condensed Consolidating Balance Sheet as of March 31, 20202021 and December 31, 20192020 and Condensed Consolidating Statement of Cash Flows for the three months ended March 31, 20202021 and 20192020 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, 2020
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$105
 $—
 $—
 $(105) $—
Interest revenue—
 1,903
 15,236
 —
 17,139
Interest revenue—intercompany1,144
 341
 (1,485) —
 —
Interest expense1,143
 1,141
 3,363
 —
 5,647
Interest expense—intercompany248
 782
 (1,030) —
 —
Net interest revenue$(247) $321
 $11,418
 $—
 $11,492
Commissions and fees$—
 $1,550
 $1,471
 $—
 $3,021
Commissions and fees—intercompany(19) 164
 (145) —
 —
Principal transactions(672) 6,254
 (321) —
 5,261
Principal transactions—intercompany502
 (4,391) 3,889
 —
 —
Other income80
 49
 828
 —
 957
Other income—intercompany(70) 13
 57
 —
 —
Total non-interest revenues$(179) $3,639
 $5,779
 $—
 $9,239
Total revenues, net of interest expense$(321) $3,960
 $17,197
 $(105) $20,731
Provisions for credit losses and for benefits and claims$—
 $(1) $7,028
 $—
 $7,027
Operating expenses    

    
Compensation and benefits$28
 $1,296
 $4,330
 $—
 $5,654
Compensation and benefits—intercompany74
 —
 (74) —
 —
Other operating23
 598
 4,319
 —
 4,940
Other operating—intercompany4
 482
 (486) —
 —
Total operating expenses$129
 $2,376
 $8,089
 $—
 $10,594
Equity in undistributed income of subsidiaries$2,368
 $—
 $—
 $(2,368) $—
Income (loss) from continuing operations before income taxes$1,918
 $1,585
 $2,080
 $(2,473) $3,110
Provision (benefit) for income taxes(604) 337
 843
 —
 576
Income (loss) from continuing operations$2,522
 $1,248
 $1,237
 $(2,473) $2,534
Income (loss) from discontinued operations, net of taxes—
 —
 (18) —
 (18)
Net income before attribution of noncontrolling interests$2,522
 $1,248
 $1,219
 $(2,473) $2,516
Noncontrolling interests—
 —
 (6) —
 (6)
Net income (loss)$2,522
 $1,248
 $1,225
 $(2,473) $2,522
Comprehensive income         
Add: Other comprehensive income (loss)$3,797
 $1,757
 $1,179
 $(2,936) $3,797
Total Citigroup comprehensive income (loss)$6,319

$3,005

$2,404

$(5,409)
$6,319
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
 $(51) $—
 $(51)
Add: Net income attributable to noncontrolling interests—
 —
 (6) —
 (6)
Total comprehensive income (loss)$6,319

$3,005

$2,347

$(5,409)
$6,262




195






Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended March 31, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues
Dividends from subsidiaries$100 $0 $0 $(100)$0 
Interest revenue0 971 11,563 0 12,534 
Interest revenue—intercompany958 145 (1,103)0 0 
Interest expense1,212 223 933 0 2,368 
Interest expense—intercompany84 329 (413)0 0 
Net interest revenue$(338)$564 $9,940 $0 $10,166 
Commissions and fees$0 $2,161 $1,509 $0 $3,670 
Commissions and fees—intercompany(26)47 (21)0 0 
Principal transactions1,769 5,658 (3,514)0 3,913 
Principal transactions—intercompany(1,878)(4,238)6,116 0 0 
Other revenue55 103 1,420 0 1,578 
Other revenue—intercompany(64)(20)84 0 0 
Total non-interest revenues$(144)$3,711 $5,594 $0 $9,161 
Total revenues, net of interest expense$(382)$4,275 $15,534 $(100)$19,327 
Provisions for credit losses and for benefits and claims$0 $4 $(2,059)$0 $(2,055)
Operating expenses
Compensation and benefits$28 $1,334 $4,639 $0 $6,001 
Compensation and benefits—intercompany24 0 (24)0 0 
Other operating11 642 4,419 0 5,072 
Other operating—intercompany3 680 (683)0 0 
Total operating expenses$66 $2,656 $8,351 $0 $11,073 
Equity in undistributed income of subsidiaries$8,173 $0 $0 $(8,173)$0 
Income (loss) from continuing operations before income taxes$7,725 $1,615 $9,242 $(8,273)$10,309 
Provision (benefit) for income taxes(217)452 2,097 0 2,332 
Income (loss) from continuing operations$7,942 $1,163 $7,145 $(8,273)$7,977 
Income (loss) from discontinued operations, net of taxes0 0 (2)0 (2)
Net income before attribution of noncontrolling interests$7,942 $1,163 $7,143 $(8,273)$7,975 
Noncontrolling interests0 0 33 0 33 
Net income (loss)$7,942 $1,163 $7,110 $(8,273)$7,942 
Comprehensive income
Add: Other comprehensive income (loss)$(2,953)$(50)$537 $(487)$(2,953)
Total Citigroup comprehensive income (loss)$4,989 $1,113 $7,647 $(8,760)$4,989 
Add: Other comprehensive income attributable to noncontrolling interests$0 $0 $(58)$0 $(58)
Add: Net income attributable to noncontrolling interests0 0 33 0 33 
Total comprehensive income (loss)$4,989 $1,113 $7,622 $(8,760)$4,964 
 Three Months Ended March 31, 2019
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$9,167
 $—
 $—
 $(9,167) $—
Interest revenue—
 2,572
 16,504
 —
 19,076
Interest revenue—intercompany1,325
 503
 (1,828) —
 —
Interest expense1,271
 1,824
 4,222
 —
 7,317
Interest expense—intercompany312
 1,075
 (1,387) —
 —
Net interest revenue$(258) $176
 $11,841
 $—
 $11,759
Commissions and fees$—
 $1,307
 $1,619
 $—
 $2,926
Commissions and fees—intercompany(1) 121
 (120) —
 —
Principal transactions(825) (1,034) 4,663
 —
 2,804
Principal transactions—intercompany447
 2,036
 (2,483) —
 —
Other income319
 99
 669
 —
 1,087
Other income—intercompany(34) 42
 (8) —
 —
Total non-interest revenues$(94) $2,571
 $4,340

$—
 $6,817
Total revenues, net of interest expense$8,815
 $2,747
 $16,181
 $(9,167) $18,576
Provisions for credit losses and for benefits and claims$—
 $—
 $1,980
 $—
 $1,980
Operating expenses         
Compensation and benefits$33
 $1,284
 $4,341
 $—
 $5,658
Compensation and benefits—intercompany26
 —
 (26) —
 —
Other operating5
 553
 4,368
 —
 4,926
Other operating—intercompany5
 582
 (587) —
 —
Total operating expenses$69
 $2,419
 $8,096
 $—
 $10,584
Equity in undistributed income of subsidiaries$(4,203) $—
 $—
 $4,203
 $—
Income (loss) from continuing operations before income
taxes
$4,543
 $328
 $6,105
 $(4,964) $6,012
Provision (benefit) for income taxes(167)—
140
 1,302
 —
 1,275
Income (loss) from continuing operations$4,710
 $188
 $4,803
 $(4,964) $4,737
Income (loss) from discontinued operations, net of taxes—
 —
 (2) —
 (2)
Net income (loss) before attribution of noncontrolling interests$4,710
 $188
 $4,801
 $(4,964) $4,735
Noncontrolling interests—
 —
 25
 —
 25
Net income (loss)$4,710
 $188
 $4,776
 $(4,964) $4,710
Comprehensive income         
Add: Other comprehensive income (loss)$862
 $(289) $999
 $(710) $862
Total Citigroup comprehensive income (loss)$5,572


$(101)

$5,775

$(5,674)
$5,572
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$(13) $—
 $(13)
Add: Net income attributable to noncontrolling interests—
 —
—
25
 —
 25
Total comprehensive income (loss)$5,572


$(101)

$5,787

$(5,674) $5,584
196

Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended March 31, 2020
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Revenues
Dividends from subsidiaries$105 $0 $0 $(105)$0 
Interest revenue0 1,903 15,236 0 17,139 
Interest revenue—intercompany1,144 341 (1,485)0 0 
Interest expense1,143 1,141 3,363 0 5,647 
Interest expense—intercompany248 782 (1,030)0 0 
Net interest revenue$(247)$321 $11,418 $0 $11,492 
Commissions and fees$0 $1,550 $1,471 $0 $3,021 
Commissions and fees—intercompany(19)164 (145)0 0 
Principal transactions(672)6,254 (321)0 5,261 
Principal transactions—intercompany502 (4,391)3,889 0 0 
Other revenue80 49 828 0 957 
Other revenue—intercompany(70)13 57 0 0 
Total non-interest revenues$(179)$3,639 $5,779 $0 $9,239 
Total revenues, net of interest expense$(321)$3,960 $17,197 $(105)$20,731 
Provisions for credit losses and for benefits and claims$0 $(1)$6,961 $0 $6,960 
Operating expenses
Compensation and benefits$28 $1,296 $4,330 $0 $5,654 
Compensation and benefits—intercompany74 0 (74)0 0 
Other operating23 598 4,368 0 4,989 
Other operating—intercompany4 482 (486)0 0 
Total operating expenses$129 $2,376 $8,138 $0 $10,643 
Equity in undistributed income of subsidiaries$2,382 $0 $0 $(2,382)$0 
Income (loss) from continuing operations before income
taxes		$1,932 $1,585 $2,098 $(2,487)$3,128 
Provision (benefit) for income taxes(604)337 847 0 580 
Income (loss) from continuing operations$2,536 $1,248 $1,251 $(2,487)$2,548 
Income (loss) from discontinued operations, net of taxes0 0 (18)0 (18)
Net income (loss) before attribution of noncontrolling interests$2,536 $1,248 $1,233 $(2,487)$2,530 
Noncontrolling interests0 0 (6)0 (6)
Net income (loss)$2,536 $1,248 $1,239 $(2,487)$2,536 
Comprehensive income
Add: Other comprehensive income (loss)$3,797 $1,757 $13,459 $(15,216)$3,797 
Total Citigroup comprehensive income (loss)$6,333 $3,005 $14,698 $(17,703)$6,333 
Add: Other comprehensive income attributable to noncontrolling interests$0 $0 $(51)$0 $(51)
Add: Net income attributable to noncontrolling interests0 0 (6)0 (6)
Total comprehensive income (loss)$6,333 $3,005 $14,641 $(17,703)$6,276 



197









Condensed Consolidating Balance Sheet
March 31, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Assets
Cash and due from banks$0 $676 $25,528 $0 $26,204 
Cash and due from banks—intercompany11 5,929 (5,940)0 0 
Deposits with banks, net of allowance0 5,408 293,070 0 298,478 
Deposits with banks—intercompany3,000 8,833 (11,833)0 0 
Securities borrowed and purchased under resale agreements0 258,976 56,096 0 315,072 
Securities borrowed and purchased under resale agreements—intercompany0 25,598 (25,598)0 0 
Trading account assets265 222,114 138,280 0 360,659 
Trading account assets—intercompany1,202 11,732 (12,934)0 0 
Investments, net of allowance1 235 472,723 0 472,959 
Loans, net of unearned income0 3,442 662,546 0 665,988 
Loans, net of unearned income—intercompany0 0 0 0 0 
Allowance for credit losses on loans (ACLL)0 0 (21,638)0 (21,638)
Total loans, net$0 $3,442 $640,908 $0 $644,350 
Advances to subsidiaries$149,378 $0 $(149,378)$0 $0 
Investments in subsidiaries218,488 0 0 (218,488)0 
Other assets, net of allowance(1)
12,591 72,333 111,620 0 196,544 
Other assets—intercompany3,445 54,272 (57,717)0 0 
Total assets$388,381 $669,548 $1,474,825 $(218,488)$2,314,266 
Liabilities and equity
Deposits$0 $0 $1,300,975 $0 $1,300,975 
Deposits—intercompany0 0 0 0 0 
Securities loaned and sold under repurchase agreements0 201,562 17,606 0 219,168 
Securities loaned and sold under repurchase agreements—intercompany0 63,566 (63,566)0 0 
Trading account liabilities32 129,449 49,636 0 179,117 
Trading account liabilities—intercompany1,000 11,181 (12,181)0 0 
Short-term borrowings0 12,874 19,213 0 32,087 
Short-term borrowings—intercompany0 12,942 (12,942)0 0 
Long-term debt164,099 50,267 41,969 0 256,335 
Long-term debt—intercompany0 72,433 (72,433)0 0 
Advances from subsidiaries17,937 0 (17,937)0 0 
Other liabilities, including allowance2,695 60,243 60,373 0 123,311 
Other liabilities—intercompany69 18,352 (18,421)0 0 
Stockholders’ equity202,549 36,679 182,533 (218,488)203,273 
Total liabilities and equity$388,381 $669,548 $1,474,825 $(218,488)$2,314,266 

(1)Other assets for Citigroup parent company at March 31, 2021 included $31.6 billion of placements to Citibank and its branches, of which $19.4 billion had a remaining term of less than 30 days.



198
 March 31, 2020
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets         
Cash and due from banks$—
 $616
 $23,139
 $—
 $23,755
Cash and due from banks—intercompany15
 3,909
 (3,924) —
 —
Deposits with banks, net of allowance—
 6,581
 255,584
 —
 262,165
Deposits with banks—intercompany3,000
 8,392
 (11,392) —
 —
Securities borrowed and purchased under resale agreements—
 200,718
 61,818
 —
 262,536
Securities borrowed and purchased under resale agreements—intercompany—
 24,686
 (24,686) —
 —
Trading account assets329
 212,464
 152,207
 —
 365,000
Trading account assets—intercompany167
 6,045
 (6,212) —
 —
Investments, net of allowance1
 508
 398,374
 —
 398,883
Loans, net of unearned income—
 1,722
 719,298
 —
 721,020
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
Allowance for credit losses on loans (ACLL)—
 —
 (20,841) —
 (20,841)
Total loans, net$—
 $1,722
 $698,457
 $—
 $700,179
Advances to subsidiaries$142,560
 $—
 $(142,560) $—
 $—
Investments in subsidiaries204,662
 —
 —
 (204,662) —
Other assets, net of allowance(1)
12,152
 84,877
 110,223
 —
 207,252
Other assets—intercompany3,451
 50,312
 (53,763) —
 —
Total assets$366,337
 $600,830
 $1,457,265
 $(204,662) $2,219,770
Liabilities and equity         
Deposits$—
 $—
 $1,184,911
 $—
 $1,184,911
Deposits—intercompany—
 —
 —
 —
 —
Securities loaned and sold under repurchase agreements—
 201,631
 20,693
 —
 222,324
Securities loaned and sold under repurchase agreements—intercompany—
 29,764
 (29,764) —
 —
Trading account liabilities—
 104,146
 59,849
 —
 163,995
Trading account liabilities—intercompany445
 5,421
 (5,866) —
 —
Short-term borrowings28
 13,997
 40,926
 —
 54,951
Short-term borrowings—intercompany—
 25,563
 (25,563) —
 —
Long-term debt156,461
 37,118
 72,519
 —
 266,098
Long-term debt—intercompany—
 65,945
 (65,945) —
 —
Advances from subsidiaries13,996
 —
 (13,996) —
 —
Other liabilities, including allowance3,001
 71,096
 60,412
 —
 134,509
Other liabilities—intercompany75
 10,464
 (10,539) —
 —
Stockholders’ equity192,331
 35,685
 169,628
 (204,662) 192,982
Total liabilities and equity$366,337
 $600,830
 $1,457,265
 $(204,662) $2,219,770

(1)
Other assets for Citigroup parent company at March 31, 2020 included $43.3 billion of placements to Citibank and its branches, of which $38.1 billion had a remaining term of less than 30 days.





Condensed Consolidating Balance Sheet
December 31, 2020
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Assets
Cash and due from banks$0 $628 $25,721 $0 $26,349 
Cash and due from banks—intercompany16 6,081 (6,097)0 0 
Deposits with banks, net of allowance0 5,224 278,042 0 283,266 
Deposits with banks—intercompany4,500 8,179 (12,679)0 0 
Securities borrowed and purchased under resale agreements0 238,718 55,994 0 294,712 
Securities borrowed and purchased under resale agreements—intercompany0 24,309 (24,309)0 0 
Trading account assets307 222,278 152,494 0 375,079 
Trading account assets—intercompany723 9,400 (10,123)0 0 
Investments, net of allowance1 374 446,984 0 447,359 
Loans, net of unearned income0 2,524 673,359 0 675,883 
Loans, net of unearned income—intercompany0 0 0 0 0 
Allowance for credit losses on loans (ACLL)0 0 (24,956)0 (24,956)
Total loans, net$0 $2,524 $648,403 $0 $650,927 
Advances to subsidiaries$152,383 $0 $(152,383)$0 $0 
Investments in subsidiaries213,267 0 0 (213,267)0 
Other assets, net of allowance(1)
12,156 60,273 109,969 0 182,398 
Other assets—intercompany2,781 51,489 (54,270)0 0 
Total assets$386,134 $629,477 $1,457,746 $(213,267)$2,260,090 
Liabilities and equity
Deposits$0 $0 $1,280,671 $0 $1,280,671 
Deposits—intercompany0 0 0 0 0 
Securities loaned and sold under repurchase agreements0 184,786 14,739 0 199,525 
Securities loaned and sold under repurchase agreements—intercompany0 76,590 (76,590)0 0 
Trading account liabilities0 113,100 54,927 0 168,027 
Trading account liabilities—intercompany397 8,591 (8,988)0 0 
Short-term borrowings0 12,323 17,191 0 29,514 
Short-term borrowings—intercompany0 12,757 (12,757)0 0 
Long-term debt170,563 47,732 53,391 0 271,686 
Long-term debt—intercompany0 67,322 (67,322)— 0 
Advances from subsidiaries12,975 0 (12,975)0 0 
Other liabilities, including allowance2,692 55,217 52,558 0 110,467 
Other liabilities—intercompany65 15,378 (15,443)0 0 
Stockholders’ equity199,442 35,681 178,344 (213,267)200,200 
Total liabilities and equity$386,134 $629,477 $1,457,746 $(213,267)$2,260,090 
 December 31, 2019
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets         
Cash and due from banks$—
 $586
 $23,381
 $—
 $23,967
Cash and due from banks—intercompany21
 5,095
 (5,116) —
 —
Deposits with banks—
 4,050
 165,902
 —
 169,952
Deposits with banks—intercompany3,000
 6,710
 (9,710) —
 —
Securities borrowed and purchased under resale agreements—
 195,537
 55,785
 —
 251,322
Securities borrowed and purchased under resale agreements—intercompany—
 21,446
 (21,446) —
 —
Trading account assets286
 152,115
 123,739
 —
 276,140
Trading account assets—intercompany426
 5,858
 (6,284) —
 —
Investments, net of allowance1
 541
 368,021
 —
 368,563
Loans, net of unearned income—
 2,497
 696,986
 —
 699,483
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
Allowance for credit losses on loans (ACLL)—
 —
 (12,783) —
 (12,783)
Total loans, net$—
 $2,497
 $684,203
 $—
 $686,700
Advances to subsidiaries$144,587
 $—
 $(144,587) $—
 $—
Investments in subsidiaries202,116
 —
 —
 (202,116) —
Other assets, net of allowance(1)
12,377
 54,784
 107,353
 —
 174,514
Other assets—intercompany2,799
 45,588
 (48,387) —
 —
Total assets$365,613
 $494,807
 $1,292,854
 $(202,116) $1,951,158
Liabilities and equity         
Deposits$—
 $—
 $1,070,590
 $—
 $1,070,590
Deposits—intercompany—
 —
 —
 —
 —
Securities loaned and sold under repurchase agreements—
 145,473
 20,866
 —
 166,339
Securities loaned and sold under repurchase agreements—intercompany—
 36,581
 (36,581) —
 —
Trading account liabilities1
 80,100
 39,793
 —
 119,894
Trading account liabilities—intercompany379
 5,109
 (5,488) —
 —
Short-term borrowings66
 11,096
 33,887
 —
 45,049
Short-term borrowings—intercompany—
 17,129
 (17,129) —
 —
Long-term debt150,477
 39,578
 58,705
 —
 248,760
Long-term debt—intercompany—
 66,791
 (66,791) —
 —
Advances from subsidiaries20,503
 —
 (20,503) —
 —
Other liabilities, including allowance937
 51,777
 53,866
 —
 106,580
Other liabilities—intercompany8
 8,414
 (8,422) —
 —
Stockholders’ equity193,242
 32,759
 170,061
 (202,116) 193,946
Total liabilities and equity$365,613
 $494,807
 $1,292,854
 $(202,116) $1,951,158


(1)
Other assets for Citigroup parent company at December 31, 2019 included $35.1 billion of placements to Citibank and its branches, of which $24.9(1)Other assets for Citigroup parent company at December 31, 2020 included $29.5 billion of placements to Citibank and its branches, of which $24.3 billion had a remaining term of less than 30 days.







199





Condensed Consolidating Statement of Cash Flows
Three Months Ended March 31, 2021
In millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$(4,966)$12,638 $15,526 $0 $23,198 
Cash flows from investing activities of continuing operations
Purchases of investments$0 $0 $(111,187)$0 $(111,187)
Proceeds from sales of investments0 0 46,049 0 46,049 
Proceeds from maturities of investments0 0 35,088 0 35,088 
Change in loans0 0 9,933 0 9,933 
Proceeds from sales and securitizations of loans0 0 323 0 323 
Change in securities borrowed and purchased under agreements to resell0 (21,547)1,187 0 (20,360)
Changes in investments and advances—intercompany1,887 (2,991)1,104 0 0 
Other investing activities0 (23)(757)0 (780)
Net cash provided by (used in) investing activities of continuing operations$1,887 $(24,561)$(18,260)$0 $(40,934)
Cash flows from financing activities of continuing operations
Dividends paid$(1,356)$(115)$115 $0 $(1,356)
Issuance of preferred stock2,300 0 0 0 2,300 
Redemption of preferred stock(1,500)0 0 0 (1,500)
Treasury stock acquired(1,481)0 0 0 (1,481)
Proceeds (repayments) from issuance of long-term debt, net(1,039)3,172 (9,049)0 (6,916)
Proceeds (repayments) from issuance of long-term debt—intercompany, net0 5,702 (5,702)0 0 
Change in deposits0 0 20,304 0 20,304 
Change in securities loaned and sold under agreements to repurchase0 3,752 15,891 0 19,643 
Change in short-term borrowings0 551 2,022 0 2,573 
Net change in short-term borrowings and other advances—intercompany4,962 (405)(4,557)0 0 
Other financing activities(312)0 0 0 (312)
Net cash provided by financing activities of continuing operations$1,574 $12,657 $19,024 $0 $33,255 
Effect of exchange rate changes on cash and due from banks$0 $0 $(452)$0 $(452)
Change in cash and due from banks and deposits with banks$(1,505)$734 $15,838 $0 $15,067 
Cash and due from banks and deposits with banks at beginning of period4,516 20,112 284,987 0 309,615 
Cash and due from banks and deposits with banks at end of period$3,011 $20,846 $300,825 $0 $324,682 
Cash and due from banks$11 $6,605 $19,588 $0 $26,204 
Deposits with banks, net of allowance3,000 14,241 281,237 0 298,478 
Cash and due from banks and deposits with banks at end of period$3,011 $20,846 $300,825 $0 $324,682 
Supplemental disclosure of cash flow information for continuing operations
Cash paid during the period for income taxes$99 $31 $820 $0 $950 
Cash paid during the period for interest126 634 969 0 1,729 
Non-cash investing activities
Transfers to loans HFS from loans$0 $0 $636 $0 $636 
 Three Months Ended March 31, 2020
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$4,334
 $(38,869) $9,002
 $—
 $(25,533)
Cash flows from investing activities of continuing operations         
Purchases of investments$—
 $—
 $(108,658) $—
 $(108,658)
Proceeds from sales of investments—
 —
 44,399
 —
 44,399
Proceeds from maturities of investments—
 —
 29,203
 —
 29,203
Change in loans—
 —
 (26,743) —
 (26,743)
Proceeds from sales and securitizations of loans—
 —
 596
 —
 596
Change in securities borrowed and purchased under agreements to resell

—
 (8,421) (2,793) —
 (11,214)
Changes in investments and advances—intercompany1,121
 (9,442) 8,321
 —
 —
Other investing activities—
 —
 (440) —
 (440)
Net cash provided by (used in) investing activities of continuing operations$1,121
 $(17,863) $(56,115) $—
 $(72,857)
Cash flows from financing activities of continuing operations         
Dividends paid$(1,365) $—
 $—
 $—
 $(1,365)
Issuance of preferred stock1,500
 —
 —
 —
 1,500
Redemption of preferred stock(1,500) —
 —
 —
 (1,500)
Treasury stock acquired(2,925) —
 —
 —
 (2,925)
Proceeds (repayments) from issuance of long-term debt, net5,742
 72
 10,032
 —
 15,846
Proceeds (repayments) from issuance of long-term debt—intercompany, net


 554
 (554) —
 —
Change in deposits—
 —
 114,321
 —
 114,321
Change in securities loaned and sold under agreements to repurchase

—
 49,341
 6,644
 —
 55,985
Change in short-term borrowings—
 2,901
 7,001
 —
 9,902
Net change in short-term borrowings and other advances—intercompany(6,507) 7,040
 (533) —
 —
Capital contributions from (to) parent—
—
—
 —
 —
 —
Other financing activities(406) (119) 119
 —
 (406)
Net cash provided by (used in) financing activities of continuing operations$(5,461) $59,789
 $137,030
 $—
 $191,358
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(967) $—
 $(967)
Change in cash and due from banks and deposits with banks

$(6)

$3,057

$88,950

$—
 $92,001
Cash and due from banks and deposits with banks at beginning of period3,021
 16,441
 174,457
 —
 193,919
Cash and due from banks and deposits with banks at end of period$3,015
 $19,498
 $263,407
 $—
 $285,920
Cash and due from banks$15
 $4,525
 $19,215
 $—
 $23,755
Deposits with banks, net of allowance3,000
 14,973
 244,192
 —
 262,165
Cash and due from banks and deposits with banks at end of period$3,015
 $19,498
 $263,407
 $—
 $285,920
Supplemental disclosure of cash flow information for continuing operations         
Cash paid during the period for income taxes$16
 $78
 $1,347
 $—
 $1,441
Cash paid during the period for interest998
 1,983
 2,443
 —
 5,424
Non-cash investing activities         
Transfers to loans HFS from loans$—
 $—
 $224
 $—
 $224


200


Condensed Consolidating Statement of Cash Flows
Three Months Ended March 31, 2019Three Months Ended March 31, 2020
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedIn millions of dollarsCitigroup parent companyCGMHIOther Citigroup subsidiaries and eliminationsConsolidating adjustmentsCitigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$10,950
 $(30,786) $(17,780) $—
 $(37,616)Net cash provided by (used in) operating activities of continuing operations$4,334 $(38,869)$9,002 $0 $(25,533)
Cash flows from investing activities of continuing operations        

Cash flows from investing activities of continuing operations
Purchases of investments$—
 $—
 $(69,673) $—
 $(69,673)Purchases of investments$0 $0 $(108,658)$0 $(108,658)
Proceeds from sales of investments—
 —
 31,436
 —
 31,436
Proceeds from sales of investments0 0 44,399 0 44,399 
Proceeds from maturities of investments—
 —
 47,363
 —
 47,363
Proceeds from maturities of investments0 0 29,203 0 29,203 
Change in loans—
 —
 (892) —
 (892)Change in loans0 0 (26,743)0 (26,743)
Proceeds from sales and securitizations of loans—
 —
 2,062
 —
 2,062
Proceeds from sales and securitizations of loans0 0 596 0 596 
Proceeds from significant disposals—
 —
 —
 —
 —
Change in securities borrowed and purchased under agreements to resell—
 6,748
 (559) —
 6,189
Change in securities borrowed and purchased under agreements to resell0 (8,421)(2,793)0 (11,214)
Changes in investments and advances—intercompany(106) (6,636) 6,742
 —
 —
Changes in investments and advances—intercompany1,121 (9,442)8,321 0 0 
Other investing activities—
 (17) (425) —
 (442)Other investing activities0 0 (440)0 (440)
Net cash provided by (used in) investing activities of continuing operations$(106) $95
 $16,054
 $—
 $16,043
Net cash provided by (used in) investing activities of continuing operations$1,121 $(17,863)$(56,115)$0 $(72,857)
Cash flows from financing activities of continuing operations         Cash flows from financing activities of continuing operations
Dividends paid$(1,320) $—
 $—
 $—
 $(1,320)Dividends paid$(1,365)$0 $0 $0 $(1,365)
Issuance of preferred stockIssuance of preferred stock1,500 0 0 0 1,500 
Redemption of preferred stock(480) —
 —
 —
 (480)Redemption of preferred stock(1,500)0 0 0 (1,500)
Treasury stock acquired(4,055) —
 —
 —
 (4,055)Treasury stock acquired(2,925)0 0 0 (2,925)
Proceeds (repayments) from issuance of long-term debt, net5,199
 5,576
 (1,791) —
 8,984
Proceeds (repayments) from issuance of long-term debt, net5,742 72 10,032 0 15,846 
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (1,295) 1,295
 —
 —
Proceeds (repayments) from issuance of long-term debt—intercompany, net0 554 (554)0 0 
Change in deposits—
 —
 17,186
 —
 17,186
Change in deposits0 0 114,321 0 114,321 
Change in securities loaned and sold under agreements to repurchase

—
 15,217
 (2,613) —
 12,604
Change in securities loaned and sold under agreements to repurchase0 49,341 6,644 0 55,985 
Change in short-term borrowings—
 2,829
 4,147
 —
 6,976
Change in short-term borrowings0 2,901 7,001 0 9,902 
Net change in short-term borrowings and other advances—intercompany(9,838) 9,125
 713
 —
 —
Net change in short-term borrowings and other advances—intercompany(6,507)7,040 (533)0 0 
Other financing activities(358) —
 —
 —
 (358)Other financing activities(406)(119)119 0 (406)
Net cash provided by (used in) financing activities of continuing operations$(10,852) $31,452
 $18,937
 $—
 $39,537
Net cash provided by (used in) financing activities of continuing operations$(5,461)$59,789 $137,030 $0 $191,358 
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(176) $—
 $(176)Effect of exchange rate changes on cash and due from banks$0 $0 $(967)$0 $(967)
Change in cash and due from banks and deposits with banks

$(8) $761
 $17,035
 $—
 $17,788
Change in cash and due from banks and deposits with banks$(6)$3,057 $88,950 $0 $92,001 
Cash and due from banks and deposits with banks at beginning of period3,020
 15,677
 169,408
 —
 188,105
Cash and due from banks and deposits with banks at beginning of period3,021 16,441 174,457 0 193,919 
Cash and due from banks and deposits with banks at end of period$3,012
 $16,438
 $186,443
 $—
 $205,893
Cash and due from banks and deposits with banks at end of period$3,015 $19,498 $263,407 $0 $285,920 
Cash and due from banks$12
—
$4,916
 $19,520
 $—
 $24,448
Cash and due from banks$15 $4,525 $19,215 $0 $23,755 
Deposits with banks, net of allowance3,000
 11,522
 166,923
 —
 181,445
Deposits with banks, net of allowance3,000 14,973 244,192 0 262,165 
Cash and due from banks and deposits with banks at end of period$3,012
 $16,438
 $186,443
 $—
 $205,893
Cash and due from banks and deposits with banks at end of period$3,015 $19,498 $263,407 $0 $285,920 
Supplemental disclosure of cash flow information for continuing operations         Supplemental disclosure of cash flow information for continuing operations
Cash paid (received) during the period for income taxes$306
 $57
 $962
 $—
 $1,325
Cash paid during the period for income taxesCash paid during the period for income taxes$16 $78 $1,347 $0 $1,441 
Cash paid during the period for interest956
 2,694
 3,281
 —
 6,931
Cash paid during the period for interest998 1,983 2,443 0 5,424 
Non-cash investing activities    

    Non-cash investing activities
Transfers to loans HFS from loans$—
 $—
 $2,000
 $—
 $2,000
Transfers to loans HFS from loans$0 $0 $224 $0 $224 
201



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

Unregistered Sales of Equity Securities
None.

Equity Security Repurchases
Based on measures announced by the Federal Reserve Board in December 2020, share repurchases were permitted by Citi starting in the first quarter of 2021, subject to limitations based on net income for the four preceding calendar quarters, in addition to common dividends paid. Citi commenced share repurchases in February 2021 and repurchased an aggregate of $1.6 billion during the first quarter of 2021, as indicated in the table below. All shares repurchased were added to treasury stock. These limitations on capital distributions were extended by the Federal Reserve Board into the second quarter of 2021.

Based on the limitations on capital distributions, Citi is authorized to return capital to common shareholders of up to $4.1 billion during the second quarter of 2021, including common share repurchases and common dividends, subject to approval by Citi’s Board of Directors and the latest financial and macroeconomic conditions. For additional information on these capital distribution limitations, see “Capital Resources—Federal Reserve Board Limitations on Capital Distributions” above.
(1)

The following table summarizes Citi’s common stockshare repurchases:

In millions, except per share amountsTotal shares purchasedAverage
price paid
per share
January 2021
Open market repurchases— $— 
Employee transactions(1)
— — 
February 2021
Open market repurchases3.5 67.22 
Employee transactions(1)
— — 
March 2021
Open market repurchases19.0 72.01 
Employee transactions(1)
— — 
Total for 1Q2122.5 $71.26 

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
January 2020   
Open market repurchases(2)
14.1
$78.86
$5,745
Employee transactions(3)
—
—
N/A
February 2020   
Open market repurchases(2)
16.3
74.60
4,531
Employee transactions(3)
—
—
N/A
March 2020   
Open market repurchases(2)
10.3
57.87
3,930
Employee transactions(3)
—
—
N/A
Total for 1Q20 and remaining program balance as of March 31, 202040.7
$71.83
$3,930
(1)As previously announced, on March 15, 2020, Citi joined other major U.S. banks in suspending stock repurchases in light of the COVID-19 pandemic. Through March 31, 2020, Citi returned approximately $57.4 billion in capital over the past three Comprehensive Capital Analysis and Review (CCAR) cycles, including $2.9 billion in stock during the first quarter of 2020. Citi had been approved to return roughly $62.3 billion in capital over the three-year CCAR period ending June 30, 2020. There is no change to Citi’s dividend policy.
(2)Represents repurchases under the $17.1 billion 2019 common stock repurchase program (2019 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 27, 2019. The 2019 Repurchase Program was part of the planned capital actions included by Citi as part of the 2019 CCAR. Shares repurchased under the 2019 Repurchase Program(1)��   During the first quarter, pursuant to Citigroup’s Board of Directors’ authorization, Citi repurchased 4,720,987 shares (at an average price of $64.08) of common stock, added to treasury stock, related to activity on employee stock programs where shares were added to treasury stock. The 2019 Repurchase Program expires on June 30, 2020.
(3)Consisted of shares added to treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted share awards where shares are withheld to satisfy the employee tax requirements.
N/A Not applicable


Dividends
Consistent with the regulatory capital framework, Citi declared common dividends of $0.51 per share for the second quarter of 2021 on April 1, 2021, and intends to maintain its planned capital actions, which include common dividends of $0.51 per share through the third quarter of 2021 (the remaining quarters of the 2020 CCAR cycle).
In addition to Board of Directors’ approval, Citi’s ability to pay common stock dividends substantially depends on the results of the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the
Dodd-Frank Act. For additional information regarding Citi’s capital planning and stress testing, see “Capital Resources—Current Regulatory Capital Standards—Stress Testing Component of Capital Planning” and “Risk Factors—Strategic Risks” in Citi’s 20192020 Annual Report on Form 10-K.



Through the end of the second quarter of 2021, dividends continue to be capped and tied to a formula based on recent income. These limitations on capital distributions may be extended by the Federal Reserve Board. For additional information regarding recent changes to CCAR resulting from the Federal Reserve Board’s Stress Capital Buffer final rule,on these capital distribution limitations, see “Capital Resources—RegulatoryFederal Reserve Board Limitations on Capital Standards Developments”Distributions” above.
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 20192020 Annual Report on Form 10-K.



202

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 4th5th day of May, 2020.2021.



CITIGROUP INC.
(Registrant)





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



By    /s/ Jeffrey R. WalshJohnbull E. Okpara
Jeffrey R. WalshJohnbull E. Okpara
Interim Controller and Chief Accounting Officer
(Principal Accounting Officer)


203


EXHIBIT INDEX
Exhibit
NumberDescription of Exhibit



10.04*+
Form of Citigroup Inc. DCAP Agreement (for awards granted on February 13, 2020 and future years).
31.01+
Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

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.    




202
204