(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.
Citigroup Capital Rollforward | | | | | | In millions of dollars | Three Months Ended March 31, 2021 | Common Equity Tier 1 Capital, pursuantbeginning of period | $ | 147,274 | | Net income | 7,942 | | 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 tax | 714 | | 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 tax | 21 | | Net increase in excluded component of fair value hedges | (10) | | Net decrease in goodwill, net of related DTLs | 270 | | Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 112 | | 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 stock | Represents 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)Other | 50% 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 inclusion | 378 | | 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
| | | | | In millions of dollars | Three Months Ended March 31, 2020 | Common Equity Tier 1 Capital, beginning of period | $ | 137,798 |
| Net income | 2,522 |
| 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 tax | 3,128 |
| 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 hedges | 27 |
| Net decrease in goodwill, net of related DTLs | 943 |
| Net decrease in identifiable intangible assets other than MSRs, net of related DTLs | 134 |
| 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-forwards | 111 |
| CECL 25% provision deferral | 1,232 |
| 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 stock | 1 |
| Net increase in qualifying trust preferred securities | 1 |
| Net increase in permitted ownership interests in covered funds | (406 | ) | Other | 6 |
| 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 debt | 1,788 |
| Net increase in excess of eligible credit reserves over expected credit losses | 3,282 |
| 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 debt | 1,788 |
| 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 dollars | Three 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% multiplier | 2,706 |
| 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 dollars | Retail 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 transactions | Derivatives 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% multiplier | 411 | | 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 updates | 558 | | 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.
Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach) | | | | | In millions of dollars | Three 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 exposures | 1,354 |
| 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 dollars | Three 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 exposures | 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. |
(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 updates | 558 | | 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.
Supplementary Leverage Ratio The following table sets forth Citi’s Supplementary Leverage ratio and related components: | | | | | | | | | In millions of dollars, except ratios | March 31, 2021 | December 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 contracts | 201,735 | | 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 commitments | 71,293 | | 71,163 | | Other off-balance sheet exposures | 260,112 | | 253,754 | | Total of certain off-balance sheet exposures | $ | 582,109 | | $ | 561,329 | | Less: Tier 1 Capital deductions | 38,119 | | 38,822 | | Total Leverage Exposure(3) | $ | 2,450,412 | | $ | 2,386,881 | | Supplementary Leverage ratio | 6.96 | % | 7.00 | % |
| | | | | | | | In millions of dollars, except ratios | March 31, 2020 | December 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 contracts | 169,296 |
| 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 commitments | 71,453 |
| 70,870 |
| Other off-balance sheet exposures | 239,345 |
| 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 ratio | 5.97 | % | 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.
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 Approaches | Standardized 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) | | $ | 146,359 | | $ | 142,854 | | $ | 146,359 | | $ | 142,854 | | Tier 1 Capital | | 148,487 | | 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 Risk | | 57,808 | | 59,815 | | 58,625 | | 60,665 | | Operational Risk | | 254,891 | | 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 ratios | Effective Minimum Requirement | March 31, 2021 | December 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.
| | | | | | | | | | | | | | | | | | Advanced Approaches | Standardized Approach | In millions of dollars, except ratios | Effective Minimum Requirement(1) | March 31, 2020 | December 31, 2019 | March 31, 2020 | December 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 ratios | Effective Minimum Requirement | March 31, 2020 | December 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 ratio | Total Capital ratio | In basis points | Impact of $100 million change in Common Equity Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Total Capital | Impact of $1 billion change in risk- weighted assets | Citigroup | | | | | | | Advanced Approaches | 0.8 | 0.9 | 0.8 | 1.1 | 0.8 | 1.2 | Standardized Approach | 0.8 | 0.9 | 0.8 | 1.1 | 0.8 | 1.3 | Citibank | | | | | | | Advanced Approaches | 1.0 | 1.3 | 1.0 | 1.4 | 1.0 | 1.5 | Standardized Approach | 0.9 | 1.3 | 0.9 | 1.3 | 0.9 | 1.5 |
| | | | | | | | | | | | | | | | Tier 1 Leverage ratio | Supplementary Leverage ratio | In basis points | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in quarterly adjusted average total assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in Total Leverage Exposure | Citigroup | 0.4 | 0.3 | 0.4 | 0.3 | Citibank | 0.6 | 0.5 | 0.5 | 0.3 |
| | | | | | | | | Common Equity Tier 1 Capital ratio | Tier 1 Capital ratio | Total Capital ratio | In basis points | Impact of $100 million change in Common Equity Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in risk- weighted assets | Impact of $100 million change in Total Capital | Impact of $1 billion change in risk- weighted assets | Citigroup | | | | | | | Advanced Approaches | 0.8 | 0.9 | 0.8 | 1.0 | 0.8 | 1.2 | Standardized Approach | 0.8 | 0.9 | 0.8 | 1.0 | 0.8 | 1.3 | Citibank | | | | | | | Advanced Approaches | 1.0 | 1.3 | 1.0 | 1.3 | 1.0 | 1.5 | Standardized Approach | 0.9 | 1.2 | 0.9 | 1.2 | 0.9 | 1.4 |
| | | | | | | Tier 1 Leverage ratio | Supplementary Leverage ratio | In basis points | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in quarterly adjusted average total assets | Impact of $100 million change in Tier 1 Capital | Impact of $1 billion change in Total Leverage Exposure | Citigroup | 0.5 | 0.4 | 0.4 | 0.2 | Citibank | 0.7 | 0.6 | 0.5 | 0.3 |
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 ratios | External TLAC | LTD | 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 requirement | 9.5 | % | 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 Exposure | 11.2 | % | 5.0 | % | Effective minimum requirement | 9.5 | % | 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.
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: | | | | | | | | | | | | | | | | | | | | | | Citigroup | Citibank | | Effective Minimum Requirement | Advanced Approaches | Standardized Approach | Effective Minimum Requirement | Advanced Approaches | Standardized Approach | Common Equity Tier 1 Capital ratio | 10.0 | % | 11.46 | % | 11.50 | % | 7.0 | % | 13.67 | % | 13.33 | % | Tier 1 Capital ratio | 11.5 | | 13.17 | | 13.21 | | 8.5 | | 13.87 | | 13.53 | | Total Capital ratio | 13.5 | | 15.33 | | 16.12 | | 10.5 | | 15.45 | | 15.85 | |
| | | | | | | | | | | | | | | | | | | | | | Effective Minimum Requirement | Citigroup | Effective Minimum Requirement | Citibank | Tier 1 Leverage ratio | 4.0 | % | 7.29 | % | 5.0 | % | 8.69 | % | Supplementary Leverage ratio(1) | 5.0 | | 5.80 | | 6.0 | | 6.63 | |
| | | | | | | | | | | Citigroup | Citibank | | Advanced Approaches | Standardized Approach | Advanced Approaches | Standardized Approach | Common Equity Tier 1 Capital ratio | 10.84 | % | 10.90 | % | 13.00 | % | 12.39 | % | Tier 1 Capital ratio | 12.28 |
| 12.35 |
| 13.21 |
| 12.59 |
| Total Capital ratio | 14.80 |
| 15.65 |
| 14.84 |
| 14.93 |
|
| | | | | | | Citigroup | Citibank | Tier 1 Leverage ratio | 7.35 | % | 8.81 | % | Supplementary Leverage ratio | 5.81 |
| 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 amounts | March 31, 2021 | December 31, 2020 | Total Citigroup stockholders’ equity | $ | 202,549 | | $ | 199,442 | | Less: Preferred stock | 20,280 | | 19,480 | | Common stockholders’ equity | $ | 182,269 | | $ | 179,962 | | Less: | | | Goodwill | 21,905 | | 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 dollars | 2021 | 2020 | | | Net income available to common shareholders | $ | 7,650 | | $ | 2,245 | | | | Average common stockholders’ equity | 180,421 | | 174,468 | | | | Average TCE | 154,723 | | 149,024 | | | | Return on average common stockholders’ equity | 17.2 | % | 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.
| | | | | | | | In millions of dollars or shares, except per share amounts | March 31, 2020 | December 31, 2019 | Total Citigroup stockholders’ equity | $ | 192,331 |
| $ | 193,242 |
| Less: Preferred stock | 17,980 |
| 17,980 |
| Common stockholders’ equity | $ | 174,351 |
| $ | 175,262 |
| Less: | | | Goodwill | 21,264 |
| 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 dollars | 2020 | 2019 | Net income available to common shareholders | $ | 2,231 |
| $ | 4,448 |
| Average common stockholders’ equity | 174,217 |
| 177,485 |
| Average TCE | 148,852 |
| 151,334 |
| Return on average common stockholders’ equity | 5.2 | % | 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 | | |
| CREDIT RISK(1) | | |
| Consumer Credit | | |
| Corporate Credit | | |
| Additional Consumer and Corporate Credit Details | | |
| Loans Outstanding | | |
| Details of Credit Loss Experience | | |
| Allowance for Credit Losses on Loans (ACLL) | | 57 |
52 | Non-Accrual Loans and Assets and Renegotiated Loans | | |
| LIQUIDITY RISK | | |
| High-Quality Liquid Assets (HQLA) | | |
| Liquidity Coverage Ratio (LCR) | | |
| Loans | | 62 |
58 | Deposits | | 62 |
58 | Long-Term Debt | | 63 |
59 | Secured Funding Transactions and Short-Term Borrowings | | 65 |
61 | Credit Ratings | | 66 |
62 | MARKET RISK(1) | | |
| Market Risk of Non-Trading Portfolios | | |
| Market Risk of Trading Portfolios | | |
| STRATEGIC RISK | | |
| CountryLIBOR Transition Risk | | |
| ArgentinaCountry Risk | | |
Argentina | | |
| | (1) | For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website. |
(1) For additional information regarding certain credit risk, market risk and other quantitative and qualitative information, refer to Citi’s Pillar 3 Basel III Advanced Approaches Disclosures, as required by the rules of the Federal Reserve Board, on Citi’s Investor Relations website.
MANAGING GLOBAL RISK
For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to identify, monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission, and value proposition, the key 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 dollars | 1Q’19 | 2Q’19 | 3Q’19 | 4Q’19 | 1Q’20 | In billions of dollars | 1Q’20 | 2Q’20 | 3Q’20 | 4Q’20 | 1Q’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 other | 37.3 |
| 37.8 |
| 37.6 |
| 39.7 |
| 36.9 |
| Personal, small business and other | 36.6 | | 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 services | 48.9 |
| 49.6 |
| 50.0 |
| 52.9 |
| 48.9 |
| Citi retail services | 48.9 | | 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 America | 66 | % | 66 | % | 66 | % | 66 | % | 67 | % | North America | 67 | % | 66 | % | 66 | % | 65 | % | 64 | % | | Latin America | 6 |
| 6 |
| 6 |
| 6 |
| 5 |
| Latin America | 5 | | 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.
Overall Consumer Credit Trends
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 |
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 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.
(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
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 |
| | North America Citi-Branded Cards |
North America GCB’s Citi-branded cards portfolio issuesproprietary and co-branded cards. As shown in the chart above, the net credit loss rate in 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.
| | | North America Citi Retail Services |
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 |
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) |
| | (1) | Asia includes loans and leases in certain EMEA countries for all periods presented.
|
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.
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, 2021 | December 31, 2020 | March 31, 2020 | > 760 | 46 | % | 46 | % | 39 | % | 680–760 | 40 | | 39 | | 42 | | < 680 | 14 | | 15 | | 19 | | Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | FICO distribution(1) | March 31, 2020 | December 31, 2019 | March 31, 2019 | > 760 | 39 | % | 42 | % | 41 | % | 680–760 | 42 |
| 40 |
| 41 |
| < 680 | 19 |
| 18 |
| 18 |
| Total | 100 | % | 100 | % | 100 | % |
| | FICO distribution(1) | March 31, 2020 | December 31, 2019 | March 31, 2019 | FICO distribution(1) | March 31, 2021 | December 31, 2020 | March 31, 2020 | > 760 | 23 | % | 25 | % | 23 | % | > 760 | 26 | % | 27 | % | 23 | % | 680–760 | 42 |
| 42 |
| 43 |
| 680–760 | 45 | | 44 | | 42 | | < 680 | 35 |
| 33 |
| 34 |
| < 680 | 29 | | 29 | | 35 | | Total | 100 | % | 100 | % | 100 | % | Total | 100 | % | 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.
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 | | Ratio | | 0.81 | % | 0.89 | % | 0.93 | % | 0.75 | % | 0.89 | % | 0.90 | % | Retail banking | | | | | | | | Total | $ | 125.8 | | $ | 598 | | $ | 632 | | $ | 429 | | $ | 662 | | $ | 860 | | $ | 794 | | Ratio | | 0.48 | % | 0.49 | % | 0.36 | % | 0.53 | % | 0.67 | % | 0.66 | % | North America | 50.9 | | 263 | | 299 | | 161 | | 220 | | 328 | | 298 | | Ratio | | 0.52 | % | 0.58 | % | 0.32 | % | 0.44 | % | 0.63 | % | 0.59 | % | Latin America | 9.1 | | 142 | | 130 | | 90 | | 164 | | 220 | | 140 | | Ratio | | 1.56 | % | 1.33 | % | 0.98 | % | 1.80 | % | 2.24 | % | 1.52 | % | Asia(6) | 65.8 | | 193 | | 203 | | 178 | | 278 | | 312 | | 356 | | Ratio | | 0.29 | % | 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 | | Ratio | | 1.11 | % | 1.22 | % | 1.37 | % | 0.94 | % | 1.08 | % | 1.30 | % | North America—Citi-branded | 78.5 | | 590 | | 686 | | 891 | | 484 | | 589 | | 770 | | Ratio | | 0.75 | % | 0.82 | % | 1.01 | % | 0.62 | % | 0.70 | % | 0.87 | % | North America—Citi retail services | 42.5 | | 591 | | 644 | | 958 | | 513 | | 639 | | 903 | | Ratio | | 1.39 | % | 1.39 | % | 1.96 | % | 1.21 | % | 1.38 | % | 1.85 | % | Latin America | 4.3 | | 173 | | 233 | | 121 | | 115 | | 170 | | 132 | | Ratio | | 4.02 | % | 4.85 | % | 2.69 | % | 2.67 | % | 3.54 | % | 2.93 | % | Asia(6) | 16.8 | | 223 | | 312 | | 204 | | 229 | | 259 | | 271 | | Ratio | | 1.33 | % | 1.74 | % | 1.18 | % | 1.36 | % | 1.45 | % | 1.57 | % | Corporate/Other—Consumer(7) | | | | | | | | Total | $ | 6.1 | | $ | 277 | | $ | 313 | | $ | 281 | | $ | 138 | | $ | 179 | | $ | 252 | | Ratio | | 4.86 | % | 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 | | Ratio | | 0.90 | % | 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.
| | | | | | | | | | | | | | | | | | | | | | | | 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 America | 50.8 |
| 161 |
| 146 |
| 132 |
| 298 |
| 334 |
| 263 |
| Ratio | | 0.32 | % | 0.29 | % | 0.28 | % | 0.59 | % | 0.67 | % | 0.56 | % | Latin America | 9.2 |
| 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 America | 4.5 |
| 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 billions | 1Q21 | 1Q21 | 4Q20 | 1Q20 | Global Consumer Banking | | | | | Total | $ | 271.7 | | $ | 1,580 | | $ | 1,272 | | $ | 1,934 | | Ratio | | 2.36 | % | 1.83 | % | 2.68 | % | Retail banking | | | | | Total | $ | 127.4 | | $ | 274 | | $ | 185 | | $ | 230 | | Ratio | | 0.87 | % | 0.58 | % | 0.75 | % | North America | 51.9 | | 26 | | 31 | | 37 | | Ratio | | 0.20 | % | 0.23 | % | 0.29 | % | Latin America | 9.4 | | 168 | | 68 | | 127 | | Ratio | | 7.25 | % | 2.82 | % | 4.60 | % | Asia(3) | 66.1 | | 80 | | 86 | | 66 | | Ratio | | 0.49 | % | 0.52 | % | 0.43 | % | Cards | | | | | Total | $ | 144.3 | | $ | 1,306 | | $ | 1,087 | | $ | 1,704 | | Ratio | | 3.67 | % | 2.91 | % | 4.10 | % | North America—Citi-branded | 78.7 | | 551 | | 500 | | 781 | | Ratio | | 2.84 | % | 2.43 | % | 3.40 | % | North America—Citi retail services | 43.8 | | 373 | | 339 | | 672 | | Ratio | | 3.45 | % | 3.00 | % | 5.35 | % | Latin America | 4.5 | | 197 | | 94 | | 144 | | Ratio | | 17.75 | % | 7.96 | % | 10.34 | % | Asia(3) | 17.3 | | 185 | | 154 | | 107 | | Ratio | | 4.34 | % | 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 | | Ratio | | 2.28 | % | 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.
| | | | | | | | | | | | | | | Average loans(1) | Net credit losses(2) | In millions of dollars, except average loan amounts in billions | 1Q20 | 1Q20 | 4Q19 | 1Q19 | 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 America | 50.5 |
| 37 |
| 42 |
| 39 |
| Ratio | | 0.29 | % | 0.33 | % | 0.33 | % | Latin America | 11.1 |
| 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 America | 5.6 |
| 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, 2021 | December 31, 2020 | March 31, 2020 | In billions of dollars | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure | Direct outstandings (on-balance sheet)(1) | $ | 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, 2020 | December 31, 2019 | In billions of dollars | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure | Due within 1 year | Greater than 1 year but within 5 years | Greater than 5 years | Total exposure | 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 industrials | 22 | % | 21 | % | 21 | % | Consumer retail | 12 |
| 12 |
| 10 |
| Health | 5 |
| 5 |
| 4 |
| Technology, media and telecom | 11 |
| 12 |
| 12 |
| Power, chemicals, metals and mining | 10 |
| 11 |
| 11 |
| Banks and finance companies | 9 |
| 8 |
| 8 |
| Securities firms | — |
| — |
| — |
| Real estate | 9 |
| 8 |
| 9 |
| Energy and commodities | 8 |
| 8 |
| 8 |
| Public sector | 4 |
| 4 |
| 4 |
| Insurance | 4 |
| 4 |
| 4 |
| Asset managers and funds | 3 |
| 4 |
| 4 |
| Financial markets infrastructure | 2 |
| 2 |
| 3 |
| Other industries | 1 |
| 1 |
| 2 |
| Total | 100 | % | 100 | % | 100 | % |
The following table details Citi’s corporate credit portfolio by industry as of March 31, 2020:
| | | | | | | | | | | | | | | | | | | | In millions of dollars | Total credit exposure | Funded(1) | Unfunded | Investment grade | Non-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 | ) | Transportation | 31,265 |
| 17,680 |
| 13,585 |
| 20,093 |
| 11,172 |
| (1,899 | ) | Industrials | 68,337 |
| 28,151 |
| 40,186 |
| 54,015 |
| 14,322 |
| (3,606 | ) | Consumer retail | 82,005 |
| 41,816 |
| 40,189 |
| 60,213 |
| 21,792 |
| (4,545 | ) | Health | 32,655 |
| 9,960 |
| 22,695 |
| 25,689 |
| 6,966 |
| (1,775 | ) | Technology, media and telecom | 77,050 |
| 35,373 |
| 41,677 |
| 58,923 |
| 18,127 |
| (6,904 | ) | Power, chemicals, metals and mining | 69,046 |
| 29,931 |
| 39,115 |
| 52,087 |
| 16,959 |
| (5,422 | ) | Power | 29,348 |
| 9,332 |
| 20,016 |
| 24,165 |
| 5,183 |
| (2,373 | ) | Chemicals | 24,034 |
| 11,878 |
| 12,156 |
| 18,719 |
| 5,315 |
| (2,193 | ) | Metals and mining | 15,664 |
| 8,721 |
| 6,943 |
| 9,203 |
| 6,461 |
| (856 | ) | Banks and finance companies | 59,188 |
| 39,087 |
| 20,101 |
| 49,413 |
| 9,775 |
| (956 | ) | Securities firms | 1,307 |
| 497 |
| 810 |
| 1,003 |
| 304 |
| (1 | ) | Real estate | 58,298 |
| 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 sector | 26,218 |
| 13,867 |
| 12,351 |
| 22,096 |
| 4,122 |
| (1,260 | ) | Insurance | 25,555 |
| 3,173 |
| 22,382 |
| 24,478 |
| 1,077 |
| (2,255 | ) | Asset managers and funds | 22,798 |
| 6,828 |
| 15,970 |
| 21,530 |
| 1,268 |
| (151 | ) | Financial markets infrastructure | 14,028 |
| 421 |
| 13,607 |
| 14,028 |
| — |
| (12 | ) | Other industries | 10,433 |
| 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 dollars | Total credit exposure | Funded(1) | Unfunded | Investment grade | Non-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 | ) | Transportation | 29,984 |
| 14,550 |
| 15,434 |
| 23,021 |
| 6,963 |
| (1,640 | ) | Industrials | 68,055 |
| 23,612 |
| 44,443 |
| 54,186 |
| 13,869 |
| (3,681 | ) | Consumer retail | 81,338 |
| 36,117 |
| 45,221 |
| 62,993 |
| 18,345 |
| (4,536 | ) | Health | 35,008 |
| 8,790 |
| 26,218 |
| 27,791 |
| 7,217 |
| (1,779 | ) | Technology, media and telecom | 83,199 |
| 31,333 |
| 51,866 |
| 63,845 |
| 19,354 |
| (6,820 | ) | Power, chemicals, metals and mining | 73,961 |
| 24,377 |
| 49,584 |
| 58,670 |
| 15,291 |
| (5,378 | ) | Power | 34,349 |
| 7,683 |
| 26,666 |
| 29,317 |
| 5,032 |
| (2,284 | ) | Chemicals | 23,721 |
| 9,152 |
| 14,569 |
| 18,790 |
| 4,931 |
| (2,261 | ) | Metals and mining | 15,891 |
| 7,542 |
| 8,349 |
| 10,563 |
| 5,328 |
| (833 | ) | Banks and finance companies | 52,036 |
| 32,571 |
| 19,465 |
| 43,663 |
| 8,373 |
| (1,021 | ) | Securities firms | 1,151 |
| 423 |
| 728 |
| 801 |
| 350 |
| (1 | ) | Real estate | 55,518 |
| 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 sector | 27,194 |
| 14,226 |
| 12,968 |
| 23,294 |
| 3,900 |
| (1,094 | ) | Insurance | 24,305 |
| 1,658 |
| 22,647 |
| 23,370 |
| 935 |
| (2,273 | ) | Asset managers and funds | 24,763 |
| 6,942 |
| 17,821 |
| 22,357 |
| 2,406 |
| (107 | ) | Financial markets infrastructure | 16,838 |
| 22 |
| 16,816 |
| 16,838 |
| — |
| (12 | ) | Other industries | 16,842 |
| 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 America | 57 | % | 56 | % | 57 | % | EMEA | 25 | | 25 | | 25 | | Asia | 13 | | 13 | | 12 | | Latin America | 5 | | 6 | | 6 | | Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | March 31, 2020 | December 31, 2019 | March 31, 2019 | North America | 55 | % | 55 | % | 54 | % | EMEA | 26 |
| 26 |
| 28 |
| Asia | 12 |
| 12 |
| 11 |
| Latin America | 7 |
| 7 |
| 7 |
| Total | 100 | % | 100 | % | 100 | % |
The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived 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/A | 50 | % | 49 | % | 48 | % | BBB | 31 | | 31 | | 33 | | BB/B | 16 | | 17 | | 17 | | CCC or below | 3 | | 3 | | 2 | | Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | Total exposure | | March 31, 2020 | December 31, 2019 | March 31, 2019 | AAA/AA/A | 44 | % | 46 | % | 49 | % | BBB | 35 |
| 36 |
| 35 |
| BB/B | 19 |
| 16 |
| 15 |
| CCC or below | 2 |
| 2 |
| 1 |
| Total | 100 | % | 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,
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 industrials | 19 | % | 19 | % | 19 | % | Private bank | 14 | | 14 | | 13 | | Consumer retail | 10 | | 10 | | 11 | | Technology, media and telecom | 11 | | 11 | | 10 | | Real estate | 8 | | 8 | | 7 | | Power, chemicals, metals and mining | 8 | | 8 | | 9 | | Banks and finance companies | 7 | | 7 | | 8 | | Energy and commodities | 6 | | 6 | | 7 | | Health | 5 | | 5 | | 4 | | Public sector | 3 | | 3 | | 3 | | Insurance | 3 | | 3 | | 3 | | Asset managers and funds | 3 | | 3 | | 3 | | Financial markets infrastructure | 2 | | 2 | | 2 | | Securities firms | — | | — | | — | | Other industries | 1 | | 1 | | 1 | | Total | 100 | % | 100 | % | 100 | % |
The following table details Citi’s corporate credit portfolio by industry as of March 31, 2021: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Non-investment grade | | Selected metrics | In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 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) | | Transportation | 31,387 | | 13,436 | | 17,951 | | 20,581 | | 3,354 | | 6,064 | | 1,388 | | | 16 | | 57 | | (1,140) | | Industrials | 66,411 | | 20,224 | | 46,187 | | 47,251 | | 11,018 | | 8,001 | | 141 | | | 143 | | 17 | | (3,967) | | Private bank | 116,606 | | 78,556 | | 38,050 | | 111,784 | | 2,243 | | 2,364 | | 215 | | | 898 | | (1) | | (1,080) | | Consumer retail | 79,201 | | 33,424 | | 45,777 | | 59,944 | | 11,452 | | 7,129 | | 676 | | | 148 | | 9 | | (5,394) | | Technology, media and telecom | 89,307 | | 29,314 | | 59,993 | | 69,458 | | 14,801 | | 4,785 | | 263 | | | 72 | | 1 | | (6,929) | | Real estate | 66,712 | | 43,938 | | 22,774 | | 55,302 | | 5,929 | | 5,141 | | 340 | | | 90 | | 13 | | (597) | | Power, chemicals, metals and mining | 64,069 | | 21,086 | | 42,983 | | 49,505 | | 10,474 | | 3,837 | | 253 | | | 102 | | 51 | | (5,426) | | Power | 26,922 | | 6,278 | | 20,644 | | 23,055 | | 3,036 | | 626 | | 205 | | | 7 | | 47 | | (2,624) | | Chemicals | 22,962 | | 8,499 | | 14,463 | | 16,838 | | 4,429 | | 1,685 | | 10 | | | 9 | | 4 | | (2,170) | | Metals and mining | 14,185 | | 6,309 | | 7,876 | | 9,612 | | 3,009 | | 1,526 | | 38 | | | 86 | | — | | (632) | | Banks and finance companies | 56,327 | | 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) | | Health | 39,384 | | 8,126 | | 31,258 | | 29,701 | | 7,403 | | 2,093 | | 187 | | | 43 | | — | | (2,059) | | Public sector | 27,699 | | 14,522 | | 13,177 | | 22,939 | | 2,090 | | 2,654 | | 16 | | | 27 | | (3) | | (1,146) | | Insurance | 27,869 | | 2,517 | | 25,352 | | 27,055 | | 712 | | 102 | | — | | | — | | — | | (2,541) | | Asset managers and funds | 20,158 | | 4,793 | | 15,365 | | 18,358 | | 1,228 | | 572 | | — | | | 1 | | — | | (82) | | Financial markets infrastructure | 15,531 | | 853 | | 14,678 | | 15,504 | | 27 | | — | | — | | | — | | — | | (8) | | Securities firms | 1,422 | | 227 | | 1,195 | | 762 | | 563 | | 89 | | 8 | | | 12 | | — | | (6) | | Other industries | 10,319 | | 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.
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.
The following table details Citi’s corporate credit portfolio by industry as of December 31, 2020: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Non-investment grade | | Selected metrics | In millions of dollars | Total credit exposure | Funded(1) | Unfunded(1) | Investment grade | Non-criticized | Criticized performing | Criticized non-performing(2) | | 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) | | Transportation | 27,693 | | 14,107 | | 13,586 | | 16,410 | | 2,993 | | 6,872 | | 1,418 | | | 17 | | 144 | | (1,166) | | Industrials | 65,651 | | 20,705 | | 44,946 | | 46,572 | | 10,085 | | 8,888 | | 106 | | | 111 | | 50 | | (3,724) | | Private bank | 109,397 | | 75,693 | | 33,704 | | 104,244 | | 2,395 | | 2,510 | | 248 | | | 963 | | 78 | | (1,080) | | Consumer retail | 82,129 | | 34,809 | | 47,320 | | 60,741 | | 11,653 | | 9,418 | | 317 | | | 146 | | 64 | | (5,493) | | Technology, media and telecom | 82,657 | | 30,880 | | 51,777 | | 61,296 | | 15,924 | | 5,214 | | 223 | | | 107 | | 74 | | (7,237) | | Real estate | 65,392 | | 43,285 | | 22,107 | | 54,413 | | 5,342 | | 5,453 | | 184 | | | 334 | | 18 | | (642) | | Power, chemicals, metals and mining | 63,926 | | 20,810 | | 43,116 | | 47,923 | | 11,554 | | 4,257 | | 192 | | | 59 | | 70 | | (5,341) | | Power | 26,916 | | 6,379 | | 20,537 | | 22,665 | | 3,336 | | 761 | | 154 | | | 14 | | 57 | | (2,637) | | Chemicals | 22,356 | | 7,969 | | 14,387 | | 16,665 | | 3,804 | | 1,882 | | 5 | | | 32 | | 8 | | (2,102) | | Metals and mining | 14,654 | | 6,462 | | 8,192 | | 8,593 | | 4,414 | | 1,614 | | 33 | | | 13 | | 5 | | (602) | | Banks and finance companies | 52,925 | | 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) | | Health | 35,504 | | 8,658 | | 26,846 | | 29,164 | | 4,354 | | 1,749 | | 237 | | | 17 | | 17 | | (1,964) | | Public sector | 26,887 | | 13,599 | | 13,288 | | 22,276 | | 1,887 | | 2,708 | | 16 | | | 45 | | 9 | | (1,089) | | Insurance | 26,576 | | 1,925 | | 24,651 | | 25,864 | | 575 | | 136 | | 1 | | | 27 | | 1 | | (2,682) | | Asset managers and funds | 19,745 | | 4,491 | | 15,254 | | 18,528 | | 1,013 | | 191 | | 13 | | | 41 | | (1) | | (84) | | Financial markets infrastructure | 12,610 | | 229 | | 12,381 | | 12,590 | | 20 | | — | | — | | | — | | — | | (9) | | Securities firms | 976 | | 430 | | 546 | | 573 | | 298 | | 97 | | 8 | | | — | | — | | (6) | | Other industries | 9,307 | | 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.
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/A | 32 | % | 30 | % | 32 | % | BBB | 47 | | 48 | | 52 | | BB/B | 18 | | 19 | | 14 | | CCC or below | 3 | | 3 | | 2 | | Total | 100 | % | 100 | % | 100 | % |
| | | | | | | | | March 31, 2020 | December 31, 2019 | March 31, 2019 | AAA/AA/A | 28 | % | 32 | % | 36 | % | BBB | 52 |
| 51 |
| 48 |
| BB/B | 18 |
| 15 |
| 15 |
| CCC or below | 2 |
| 2 |
| 1 |
| Total | 100 | % | 100 | % | 100 | % |
49
ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS
Loans Outstanding | | | | | | | | | | | | | | | | | | | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | In millions of dollars | 2021 | 2020 | 2020 | 2020 | 2020 | 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 cards | 121,048 | | 130,385 | | 125,485 | | 128,032 | | 137,316 | | Personal, small business and other | 4,600 | | 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 cards | 21,137 | | 22,692 | | 21,108 | | 20,966 | | 21,801 | | Personal, small business and other | 35,039 | | 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 institutions | 57,009 | | 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 other | 29,186 | | 26,744 | | 26,858 | | 25,602 | | 30,591 | | Lease financing | 539 | | 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 institutions | 34,729 | | 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 other | 35,347 | | 33,759 | | 32,323 | | 30,678 | | 31,728 | | Lease financing | 56 | | 65 | | 63 | | 66 | | 72 | | Governments and official institutions | 4,783 | | 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. | | | | | | | | | | | | | | | | | | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | In millions of dollars | 2020 | 2019 | 2019 | 2019 | 2019 | 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 cards | 137,316 |
| 149,163 |
| 141,560 |
| 140,246 |
| 135,893 |
| Personal, small business and other | 3,675 |
| 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 cards | 21,801 |
| 25,909 |
| 24,367 |
| 24,975 |
| 24,343 |
| Personal, small business and other | 34,042 |
| 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 institutions | 60,653 |
| 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 other | 30,591 |
| 31,238 |
| 31,303 |
| 33,555 |
| 31,960 |
| Lease financing | 988 |
| 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 institutions | 37,003 |
| 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 other | 31,728 |
| 27,303 |
| 26,774 |
| 27,333 |
| 24,868 |
| Lease financing | 72 |
| 95 |
| 80 |
| 92 |
| 95 |
| Governments and official institutions | 3,554 |
| 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 dollars | 2021 | 2020 | 2020 | 2020 | 2020 | 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. offices | 156 | | 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. offices | 10 | | 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 loans | 2.28 | % | 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 loans | 0.20 | % | 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 | | Corporate | 4,084 | | 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
| | | | | | | | | | | | | | | | | | 1st Qtr. | 4th Qtr. | 3rd Qtr. | 2nd Qtr. | 1st Qtr. | In millions of dollars | 2020 | 2019 | 2019 | 2019 | 2019 | 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 |
| Corporate | 1,443 |
| 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. offices | 116 |
| 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. offices | 6 |
| 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 loans | 2.66 | % | 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 loans | 0.13 | % | 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 |
| Corporate | 3,451 |
| 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 dollars | ACLL | EOP 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 cards | 1.8 | | 21.1 | | 8.5 | | International other(4) | 1.6 | | 74.9 | | 2.1 | | Total consumer | $ | 17.5 | | $ | 274.0 | | 6.4 | % | Total corporate | 4.1 | | 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 dollars | ACLL | EOP 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 cards | 2.1 | | 22.7 | | 9.3 | | International other(4) | 1.8 | | 76.3 | | 2.4 | | Total consumer | $ | 19.6 | | $ | 288.8 | | 6.8 | % | Total corporate | 5.4 | | 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.
| | | | | | | | | | | March 31, 2020 | In billions of dollars | ACLL | 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 cards | 1.7 |
| 21.8 |
| 7.8 |
| International other(4) | 1.4 |
| 69.4 |
| 2.0 |
| Total consumer | $ | 17.4 |
| $ | 288.4 |
| 6.0 | % | Total corporate | 3.4 |
| 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 bank | 78,556 | | 228 | | 0.3 | | Consumer retail | 33,415 | | 414 | | 1.2 | | Technology, media and telecom | 28,288 | | 275 | | 1.0 | | Real estate | 42,977 | | 594 | | 1.4 | | Power, chemicals, metals and mining | 20,148 | | 202 | | 1.0 | | Banks and finance companies | 32,581 | | 85 | | 0.3 | | Energy and commodities | 13,844 | | 446 | | 3.2 | | Health | 8,063 | | 102 | | 1.3 | | Public sector | 14,353 | | 229 | | 1.6 | | Insurance | 2,517 | | 9 | | 0.4 | | Asset managers and funds | 4,793 | | 21 | | 0.4 | | Financial markets infrastructure | 853 | | 1 | | 0.1 | | Securities firms | 227 | | 5 | | 2.2 | | Other industries | 2,570 | | 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. |
| | | | | | | | | | | December 31, 2019 | In billions of dollars | ACLL | EOP loans, net of unearned income | ACLL as a percentage of EOP loans(1) | North America cards(2) | $ | 7.0 |
| $ | 149.2 |
| 4.7 | % | North America mortgages(3) | 0.3 |
| 56.2 |
| 0.5 |
| North America other | 0.1 |
| 3.7 |
| 2.7 |
| International cards | 0.7 |
| 25.9 |
| 2.7 |
| International other(4) | 1.8 |
| 74.9 |
| 2.4 |
| Total consumer | $ | 9.9 |
| $ | 309.9 |
| 3.2 | % | Total corporate | 2.9 |
| 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 dollars | 2020 | 2019 | In millions of dollars | 2021 | 2020 | 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 | | EMEA | 720 |
| 430 |
| 307 |
| 321 |
| 317 |
| EMEA | 591 | | 661 | | 720 | | 812 | | 720 | | Latin America | 447 |
| 473 |
| 399 |
| 353 |
| 305 |
| Latin America | 739 | | 719 | | 609 | | 585 | | 447 | | Asia | 179 |
| 71 |
| 84 |
| 80 |
| 49 |
| Asia | 210 | | 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 loans | | Consumer non-accrual loans | | North America | $ | 926 |
| $ | 905 |
| $ | 1,013 |
| $ | 1,082 |
| $ | 1,090 |
| North America | $ | 961 | | $ | 1,059 | | $ | 934 | | $ | 928 | | $ | 926 | | Latin America | 489 |
| 632 |
| 595 |
| 629 |
| 614 |
| Latin America | 720 | | 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.
|
| | (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 Ended | Three Months Ended | | March 31, 2021 | March 31, 2020 | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | Non-accrual loans at beginning of period | $ | 3,527 | | $ | 2,141 | | $ | 5,668 | | $ | 2,188 | | $ | 1,816 | | $ | 4,004 | | Additions | 491 | | 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 Ended | Three Months Ended | | March 31, 2020 | March 31, 2019 | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | Non-accrual loans at beginning of period | $ | 2,188 |
| $ | 1,816 |
| $ | 4,004 |
| $ | 1,311 |
| $ | 2,027 |
| $ | 3,338 |
| Additions | 816 |
| 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 dollars | 2021 | 2020 | 2020 | 2020 | 2020 | OREO | | | | | | North America | $ | 14 | | $ | 19 | | $ | 22 | | $ | 32 | | $ | 35 | | EMEA | — | | — | | — | | — | | 1 | | Latin America | 10 | | 7 | | 8 | | 6 | | 6 | | Asia | 19 | | 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 loans | 1,984 | | 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 loans | 0.76 | % | 0.84 | % | 0.79 | % | 0.85 | % | 0.58 | % | NAA as a percentage of total assets | 0.22 | | 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 dollars | 2020 | 2019 | 2019 | 2019 | 2019 | OREO | | | | | | North America | $ | 35 |
| $ | 39 |
| $ | 51 |
| $ | 47 |
| $ | 63 |
| EMEA | 1 |
| 1 |
| 1 |
| 1 |
| 1 |
| Latin America | 6 |
| 14 |
| 14 |
| 14 |
| 13 |
| Asia | 8 |
| 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 loans | 1,699 |
| 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 loans | 0.58 | % | 0.57 | % | 0.54 | % | 0.53 | % | 0.54 | % | NAA as a percentage of total assets | 0.19 |
| 0.21 |
| 0.19 |
| 0.19 |
| 0.19 |
| ACLL as a percentage of NAL(1) | 498 | % | 319 | % | 338 | % | 343 | % | 334 | % |
| | (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 dollars | Mar. 31, 2021 | Dec. 31, 2020 | Corporate renegotiated loans(1) | | | In U.S. offices | | | Commercial and industrial(2) | $ | 175 | | $ | 193 | | Mortgage and real estate | 56 | | 60 | | Financial institutions | — | | — | | Other | 31 | | 30 | | Total | $ | 262 | | $ | 283 | | In offices outside the U.S. | | | Commercial and industrial(2) | $ | 108 | | $ | 132 | | Mortgage and real estate | 27 | | 32 | | Financial institutions | — | | — | | Other | 4 | | 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 | | Cards | 1,483 | | 1,449 | | Installment and other | 34 | | 33 | | Total | $ | 3,325 | | $ | 3,386 | | In offices outside the U.S. | | | Mortgage and real estate | $ | 357 | | $ | 361 | | Cards | 509 | | 533 | | Installment and other | 542 | | 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 dollars | Mar. 31, 2020 | Dec. 31, 2019 | Corporate renegotiated loans(1) | | | In U.S. offices | | | Commercial and industrial(2) | $ | 332 |
| $ | 226 |
| Mortgage and real estate | 56 |
| 57 |
| Financial institutions | — |
| — |
| Other | 3 |
| 4 |
| Total | $ | 391 |
| $ | 287 |
| In offices outside the U.S. | | | Commercial and industrial(2) | $ | 353 |
| $ | 200 |
| Mortgage and real estate | 21 |
| 22 |
| Financial institutions | — |
| — |
| Other | 12 |
| 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 |
| Cards | 1,489 |
| 1,464 |
| Installment and other | 19 |
| 17 |
| Total | $ | 3,424 |
| $ | 3,437 |
| In offices outside the U.S. | | | Mortgage and real estate | $ | 243 |
| $ | 305 |
| Cards | 424 |
| 466 |
| Installment and other | 388 |
| 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. |
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) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Citibank | Citi non-bank and other entities | Total | In billions of dollars | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Available cash | $ | 276.6 | | $ | 304.3 | | $ | 170.9 | | $ | 3.0 | | $ | 2.1 | | $ | 3.1 | | $ | 279.6 | | $ | 306.4 | | $ | 174.0 | | U.S. sovereign | 85.0 | | 77.8 | | 92.1 | | 67.7 | | 64.8 | | 34.7 | | 152.7 | | 142.6 | | 126.8 | | U.S. agency/agency MBS | 37.0 | | 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 grade | 1.4 | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Citibank | Citi non-bank and other entities | Total | In billions of dollars | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Available cash | $ | 170.9 |
| $ | 158.7 |
| $ | 94.7 |
| $ | 3.1 |
| $ | 2.1 |
| $ | 34.9 |
| $ | 174.0 |
| $ | 160.8 |
| $ | 129.6 |
| U.S. sovereign | 92.1 |
| 100.2 |
| 94.9 |
| 34.7 |
| 29.6 |
| 29.5 |
| 126.8 |
| 129.8 |
| 124.4 |
| U.S. agency/agency MBS | 52.4 |
| 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 grade | 1.5 |
| 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 dollars | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | HQLA | $ | 534.8 | | $ | 544.8 | | $ | 442.0 | | Net outflows | 463.7 | | 460.7 | | 385.8 | | LCR | 115 | % | 118 | % | 115 | % | HQLA in excess of net outflows | $ | 71.1 | | $ | 84.1 | | $ | 56.2 | |
| | | | | | | | | | | In billions of dollars | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | HQLA | $ | 442.0 |
| $ | 437.6 |
| $ | 394.9 |
| Net outflows | 385.8 |
| 382.0 |
| 331.6 |
| LCR | 115 | % | 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.
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 dollars | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Global Consumer Banking | | | | North America | $ | 174.4 | | $ | 179.4 | | $ | 193.3 | | Latin America | 13.9 | | 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 bank | 119.8 | | 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 dollars | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Global Consumer Banking | | | | North America | $ | 193.3 |
| $ | 192.7 |
| $ | 185.5 |
| Latin America | 16.7 |
| 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 bank | 109.9 |
| 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 dollars | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | Global Consumer Banking(1) | | | | North America | $ | 197.0 | | $ | 188.9 | | $ | 161.3 | | Latin America | 24.5 | | 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 services | 120.2 | | 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 dollars | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | Global Consumer Banking | | | | North America | $ | 161.3 |
| $ | 156.2 |
| $ | 149.6 |
| Latin America | 22.9 |
| 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 services | 100.1 |
| 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.
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 dollars | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | In billions of dollars | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 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 debt | 27.5 |
| 25.5 |
| 24.9 |
| Subordinated debt | 25.9 | | 27.1 | | 27.5 | | Trust preferred | 1.7 |
| 1.7 |
| 1.7 |
| Trust preferred | 1.7 | | 1.7 | | 1.7 | | Customer-related debt | 51.7 |
| 53.8 |
| 42.4 |
| Customer-related debt | 66.2 | | 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-bank | | Total 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 debt | 22.2 |
| 23.1 |
| 21.4 |
| Citibank benchmark senior debt | 9.2 | | 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.
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: | | | | | | | | | | | | | | | | | | | | | | 1Q21 | 4Q20 | 1Q20 | In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances | Non-bank | | | | | | | Benchmark debt: | | | | | | | Senior debt | $ | 4.3 | | $ | 2.5 | | $ | 3.0 | | $ | 2.5 | | $ | 2.1 | | $ | 7.6 | | Subordinated debt | — | | — | | — | | — | | — | | — | | Trust preferred | — | | — | | — | | — | | — | | — | | Customer-related debt | 8.6 | | 12.2 | | 6.3 | | 7.4 | | 6.4 | | 7.9 | | Local country and other | 1.4 | | 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 | | Securitizations | 3.7 | | — | | 0.1 | | 0.3 | | 0.1 | | — | | Citibank benchmark senior debt | 4.3 | | — | | 0.7 | | — | | 1.0 | | — | | Local country and other | 0.1 | | 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 | |
| | | | | | | | | | | | | | | | | | | | | 1Q20 | 4Q19 | 1Q19 | In billions of dollars | Maturities | Issuances | Maturities | Issuances | Maturities | Issuances | Parent and other |
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| Benchmark debt: | | | |
| | | Senior debt | $ | 2.1 |
| $ | 7.6 |
| $ | 4.3 |
| $ | 7.0 |
| $ | 0.2 |
| $ | 4.6 |
| Subordinated debt | — |
| — |
| — |
| — |
| — |
| — |
| Trust preferred | — |
| — |
| — |
| — |
| — |
| — |
| Customer-related debt | 6.4 |
| 7.9 |
| 5.9 |
| 6.3 |
| 1.0 |
| 5.2 |
| Local country and other | 0.4 |
| 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 |
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| FHLB borrowings | $ | 2.4 |
| $ | 12.9 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| Securitizations | 0.1 |
| — |
| 2.1 |
| 0.1 |
| 2.6 |
| — |
| Citibank benchmark senior debt | 1.0 |
| — |
| — |
| — |
| 2.5 |
| 5.0 |
| Local country and other | 0.7 |
| 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: | | | 1Q20 | Maturities | | 1Q21 | Maturities | In billions of dollars | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | Thereafter | Total | In billions of dollars | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 | Thereafter | Total | Parent and other |
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| | Non-bank | | Non-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 debt | 6.4 |
| 5.3 |
| 6.1 |
| 6.1 |
| 3.9 |
| 3.2 |
| 2.1 |
| 25.0 |
| 51.7 |
| Customer-related debt | 8.6 | | 5.9 | | 9.6 | | 7.5 | | 4.9 | | 4.8 | | 2.9 | | 30.6 | | 66.2 | | Local country and other | 0.4 |
| 1.0 |
| 3.7 |
| 1.5 |
| — |
| — |
| — |
| 1.1 |
| 7.3 |
| Local country and other | 1.4 | | 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-bank | | Total non-bank | $ | 14.3 | | $ | 16.8 | | $ | 23.4 | | $ | 23.9 | | $ | 17.2 | | $ | 17.4 | | $ | 25.0 | | $ | 96.2 | | $ | 219.8 | | Bank |
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| Bank | | | | | FHLB borrowings | $ | 2.4 |
| $ | 3.1 |
| $ | 7.7 |
| $ | 5.2 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | 16.0 |
| FHLB borrowings | $ | — | | $ | 5.7 | | $ | 5.3 | | $ | — | | $ | — | | $ | — | | $ | — | | $ | — | | $ | 10.9 | | Securitizations | 0.1 |
| 4.3 |
| 7.1 |
| 2.2 |
| 2.5 |
| 1.1 |
| 0.4 |
| 3.3 |
| 20.8 |
| Securitizations | 3.7 | | 3.4 | | 2.1 | | 2.4 | | 1.3 | | 0.4 | | — | | 3.2 | | 12.8 | | Citibank benchmark senior debt | 1.0 |
| 8.8 |
| 5.1 |
| 5.6 |
| — |
| 2.8 |
| — |
| — |
| 22.2 |
| Citibank benchmark senior debt | 4.3 | | — | | 2.5 | | 4.0 | | — | | 2.7 | | — | | — | | 9.2 | | Local country and other | 0.7 |
| 1.2 |
| 0.7 |
| 0.5 |
| 0.1 |
| 0.5 |
| — |
| 0.2 |
| 3.4 |
| Local country and other | 0.1 | | 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 | |
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).
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) | A | F1 | StableNegative | A+ | F1 | StableNegative | Moody’s Investors Service (Moody’s) | A3 | P-2 | Stable | Aa3 | P-1 | Stable | Standard & Poor’s (S&P) | BBB+ | A-2 | Stable | A+ | A-1 | Stable |
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.
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.
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 noted | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | In millions of dollars, except as otherwise noted | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 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 currencies | 660 |
| 606 |
| 677 |
| All other currencies | 636 | | 683 | | 660 | | Total | $ | 518 |
| $ | 626 |
| $ | 1,204 |
| Total | $ | 738 | | $ | 1,056 | | $ | 518 | | As a percentage of average interest-earning assets | 0.03 | % | 0.03 | % | 0.07 | % | As a percentage of average interest-earning assets | 0.03 | % | 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 noted | Scenario 1 | Scenario 2 | Scenario 3 | Scenario 4 | Scenario 5 | Overnight rate change (bps) | 100 |
| 100 |
| — |
| — |
| (100 | ) | 10-year rate change (bps) | 100 |
| — |
| 100 |
| (100 | ) | (100 | ) | Estimated annualized impact to net interest revenue | | | | | | U.S. dollar | $ | (142 | ) | $ | 14 |
| $ | 211 |
| $ | (176 | ) | $ | (553 | ) | All other currencies | 660 |
| 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 noted | Scenario 1 | Scenario 2 | Scenario 3 | Scenario 4 | Scenario 5 | Overnight rate change (bps) | 100 | | 100 | | — | | — | | (100) | | 10-year rate change (bps) | 100 | | — | | 100 | | (100) | | (100) | | Estimated annualized impact to net interest revenue | | | | | | U.S. dollar | $ | 102 | | $ | 167 | | $ | 64 | | $ | (264) | | $ | (549) | | All other currencies | 636 | | 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. |
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 noted | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 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.
| | | | | | | | | | | | For the quarter ended | In millions of dollars, except as otherwise noted | Mar. 31, 2020 | Dec. 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) | | | 1st Qtr. |
| 4th Qtr. |
| 1st Qtr. |
| Change | | 1st Qtr. | | 4th Qtr. | | 1st Qtr. | | Change | In millions of dollars, except as otherwise noted | 2020 | | 2019 | | 2019 |
| 1Q20 vs. 1Q19 | In millions of dollars, except as otherwise noted | 2021 | | 2020 | | 2020 | | 1Q21 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 rate | 1.49 |
| | 1.76 |
| | 2.10 |
| | (61 | ) | bps | Interest expense—average rate | 0.56 | | | 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 rate | 1.08 | % | | 1.62 | % | | 2.49 | % | | (141 | ) | bps | Two-year U.S. Treasury note—average rate | 0.13 | % | | 0.15 | % | | 1.08 | % | | (95) | | bps | 10-year U.S. Treasury note—average rate | 1.37 |
| | 1.79 |
| | 2.65 |
| | (128 | ) | bps | 10-year U.S. Treasury note—average rate | 1.34 | | | 0.86 | | | 1.37 | | | (3) | | bps | 10-year vs. two-year spread | 29 |
| bps | 17 |
| bps | 16 |
| bps | |
| | 10-year vs. two-year spread | 121 | | bps | 71 | | bps | 29 | | 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.
Non-ICG Markets Net Interest Revenue | | | | | | | | | | | | | | | | | 1st Qtr. | | 4th Qtr. | | 1st Qtr. | | Change | In millions of dollars | 2020 | | 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 dollars | 2021 | | 2020 | | 2020 | | 1Q21 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.
Additional Interest Rate Details Average Balances and Interest Rates—Assets(1)(2)(3) Taxable Equivalent Basis | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Quarterly—Assets | Average volume | Interest 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 rates | 2021 | 2020 | 2020 | 2021 | 2020 | 2020 | 2021 | 2020 | 2020 | 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 tax | 12,902 | | 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | Average volume | Interest 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 rates | 2020 | 2019 | 2019 | 2020 | 2019 | 2019 | 2020 | 2019 | 2019 | 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 tax | 14,170 |
| 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—Liabilities | Average volume | Interest 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 rates | 2021 | 2020 | 2020 | 2021 | 2020 | 2020 | 2021 | 2020 | 2020 | 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 interests | 685 | | 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | Average volume | Interest 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 rates | 2020 | 2019 | 2019 | 2020 | 2019 | 2019 | 2020 | 2019 | 2019 | 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 interests | 641 |
| 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. 4Q20 | 1Q21 vs. 1Q20 | | 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) | $ | (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.
| | | | | | | | | | | | | | | | | | | | | 1st Qtr. 2020 vs. 4th Qtr. 2019 | 1st 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. 4Q20 | 1Q21 vs. 1Q20 | | 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 | $ | (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.
| | | | | | | | | | | | | | | | | | | | | 1st Qtr. 2020 vs. 4th Qtr. 2019 | 1st 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:
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:
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 Quarter | | Fourth Quarter | | First Quarter | In millions of dollars | March 31, 2021 | 2021 Average | Dec. 31, 2020 | 2020 Average | March 31, 2020 | 2020 Average | Interest rate | $ | 68 | | $ | 66 | | $ | 72 | | $ | 64 | | $ | 78 | | $ | 38 | | Credit spread | 67 | | 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 exchange | 45 | | 45 | | 40 | | 33 | | 29 | | 21 | | Equity | 37 | | 30 | | 31 | | 32 | | 92 | | 37 | | Commodity | 30 | | 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 dollars | March 31, 2020 | 2020 Average | December 31, 2019 | 2019 Average | March 31, 2019 | 2019 Average | Interest rate | $ | 78 |
| $ | 38 |
| $ | 32 |
| $ | 33 |
| $ | 32 |
| $ | 37 |
| Credit spread | 157 |
| 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 exchange | 29 |
| 21 |
| 22 |
| 21 |
| 15 |
| 26 |
| Equity | 92 |
| 37 |
| 21 |
| 17 |
| 20 |
| 17 |
| Commodity | 45 |
| 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 Quarter | Fourth Quarter | First Quarter | | First Quarter | Fourth Quarter | First Quarter | | 2020 | 2019 | | 2021 | 2020 | In millions of dollars | Low | High | Low | High | Low | High | In millions of dollars | Low | High | Low | High | Low | High | Interest rate | $ | 28 |
| $ | 78 |
| $ | 28 |
| $ | 45 |
| $ | 30 |
| $ | 58 |
| Interest rate | $ | 51 | | $ | 84 | | $ | 40 | | $ | 89 | | $ | 28 | | $ | 78 | | Credit spread | 36 |
| 162 |
| 36 |
| 54 |
| 41 |
| 55 |
| Credit spread | 63 | | 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 exchange | 14 |
| 32 |
| 13 |
| 29 |
| 15 |
| 34 |
| Foreign exchange | 41 | | 49 | | 27 | | 40 | | 14 | | 32 | | Equity | 13 |
| 141 |
| 12 |
| 24 |
| 10 |
| 29 |
| Equity | 21 | | 37 | | 26 | | 41 | | 13 | | 141 | | Commodity | 12 |
| 45 |
| 12 |
| 19 |
| 19 |
| 43 |
| Commodity | 17 | | 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 portfolio | 58 |
| 414 |
| 56 |
| 83 |
| 62 |
| 103 |
| Total trading and credit portfolio | 108 | | 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.
The following table provides the VAR for ICG, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio: | | | | | | In millions of dollars | Mar. 31, 2021 | Total—all market risk factors, including general and specific risk | | Average—during quarter | $ | 104 | | High—during quarter | 123 | | Low—during quarter | 90 | |
| | | | | In millions of dollars | Mar. 31, 2020 | Total—all market risk factors, including general and specific risk | | Average—during quarter | $ | 71 |
| High—during quarter | 188 |
| Low—during quarter | 44 |
|
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.
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.
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 | % | Mexico | 13.9 | | 13.4 | | 0.3 | | 8.2 | | 3.9 | | (0.9) | | 19.1 | | 4.3 | | 62.2 | | 64.5 | | 56.9 | | 3.5 | | Hong Kong | 20.4 | | 13.5 | | 0.3 | | 7.2 | | 2.5 | | (6.5) | | 8.7 | | 1.7 | | 47.8 | | 49.0 | | 49.3 | | 2.7 | | Ireland | 12.3 | | — | | 0.7 | | 30.0 | | 0.5 | | (0.1) | | — | | 0.7 | | 44.1 | | 43.9 | | 40.5 | | 2.5 | | Singapore | 14.5 | | 13.6 | | 0.1 | | 6.2 | | 1.9 | | (3.5) | | 7.0 | | 1.7 | | 41.5 | | 45.8 | | 44.6 | | 2.4 | | South Korea | 3.3 | | 17.8 | | 0.1 | | 2.4 | | 1.3 | | (0.8) | | 10.6 | | 0.3 | | 35.0 | | 35.8 | | 33.5 | | 2.0 | | India | 6.9 | | 4.1 | | 1.0 | | 6.3 | | 2.2 | | (0.5) | | 9.1 | | 0.5 | | 29.6 | | 31.4 | | 30.2 | | 1.7 | | Germany | 0.3 | | — | | 0.2 | | 6.2 | | 5.0 | | (3.9) | | 9.9 | | 8.1 | | 25.8 | | 24.4 | | 21.5 | | 1.5 | | Brazil | 11.0 | | — | | — | | 2.8 | | 3.4 | | (0.6) | | 4.1 | | 3.0 | | 23.7 | | 26.2 | | 26.2 | | 1.3 | | Australia | 4.8 | | 9.3 | | — | | 6.7 | | 1.5 | | (0.7) | | 1.4 | | 0.1 | | 23.1 | | 21.7 | | 22.6 | | 1.3 | | China | 8.5 | | 3.5 | | 0.6 | | 3.7 | | 1.1 | | (0.5) | | 5.5 | | (1.3) | | 21.1 | | 21.8 | | 21.5 | | 1.2 | | Japan | 2.0 | | — | | 0.1 | | 3.2 | | 4.8 | | (1.9) | | 5.4 | | 5.3 | | 18.9 | | 21.8 | | 20.5 | | 1.1 | | Taiwan | 5.5 | | 8.3 | | 0.2 | | 1.2 | | 0.7 | | (0.1) | | 0.2 | | 1.0 | | 17.0 | | 17.3 | | 16.6 | | 1.0 | | Canada | 2.0 | | 0.5 | | 0.1 | | 7.6 | | 2.4 | | (1.1) | | 4.2 | | 0.4 | | 16.1 | | 17.8 | | 18.2 | | 0.9 | | Jersey | 7.1 | | — | | 0.1 | | 7.2 | | — | | (0.4) | | — | | — | | 14.0 | | 13.4 | | 11.7 | | 0.8 | | United Arab Emirates | 7.0 | | 1.3 | | — | | 3.7 | | 0.3 | | (0.4) | | 1.7 | | (0.1) | | 13.5 | | 12.4 | | 14.2 | | 0.8 | | Poland | 3.6 | | 1.8 | | — | | 2.7 | | 0.2 | | (0.1) | | 2.6 | | 0.6 | | 11.4 | | 15.0 | | 14.7 | | 0.6 | | Malaysia | 1.5 | | 3.6 | | 0.1 | | 0.8 | | 0.2 | | — | | 1.6 | | 0.6 | | 8.4 | | 8.3 | | 8.6 | | 0.5 | | Thailand | 0.9 | | 2.8 | | — | | 2.2 | | — | | — | | 1.5 | | — | | 7.4 | | 8.0 | | 7.3 | | 0.4 | | Indonesia | 2.1 | | 0.6 | | — | | 1.3 | | 0.3 | | (0.1) | | 1.7 | | 0.2 | | 6.1 | | 6.0 | | 5.3 | | 0.3 | | Luxembourg | 0.8 | | — | | — | | — | | 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 | | Russia | 2.0 | | 0.8 | | — | | 0.9 | | 0.1 | | (0.1) | | 1.5 | | (0.1) | | 5.1 | | 5.2 | | 5.1 | | 0.3 | | Czech Republic | 0.8 | | — | | — | | 0.7 | | 2.2 | | — | | 0.7 | | 0.1 | | 4.5 | | 4.3 | | 3.3 | | 0.3 | | Philippines | 0.7 | | 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 exposure | | | | | | | 34.4 | % | Total as a % of Citi’s non-U.S. total exposure | | | | | | | 91.2 | % |
(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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 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 | % | Mexico | 17.7 |
| 13.7 |
| 0.2 |
| 6.9 |
| 1.2 |
| (0.9 | ) | 13.8 |
| 4.3 |
| 56.9 |
| 65.0 |
| 63.4 |
| 3.3 |
| Hong Kong | 20.7 |
| 12.2 |
| 0.9 |
| 5.9 |
| 1.1 |
| (0.9 | ) | 7.9 |
| 1.5 |
| 49.3 |
| 49.0 |
| 50.3 |
| 2.9 |
| Singapore | 15.2 |
| 12.9 |
| 0.1 |
| 4.8 |
| 2.2 |
| (0.5 | ) | 8.3 |
| 1.6 |
| 44.6 |
| 43.3 |
| 41.0 |
| 2.6 |
| Ireland | 13.5 |
| — |
| 0.6 |
| 25.3 |
| 0.5 |
| — |
| — |
| 0.6 |
| 40.5 |
| 39.9 |
| 33.5 |
| 2.4 |
| South Korea | 3.3 |
| 15.7 |
| 0.1 |
| 2.0 |
| 0.9 |
| (0.5 | ) | 10.7 |
| 1.3 |
| 33.5 |
| 34.7 |
| 33.7 |
| 2.0 |
| India | 6.6 |
| 4.4 |
| 0.8 |
| 5.9 |
| 2.5 |
| (0.5 | ) | 9.7 |
| 0.8 |
| 30.2 |
| 30.0 |
| 32.0 |
| 1.8 |
| Brazil | 14.6 |
| — |
| — |
| 1.8 |
| 4.1 |
| (0.8 | ) | 3.5 |
| 3.0 |
| 26.2 |
| 28.3 |
| 26.8 |
| 1.5 |
| Australia | 4.9 |
| 8.6 |
| — |
| 5.4 |
| 4.2 |
| (0.4 | ) | 1.4 |
| (1.5 | ) | 22.6 |
| 21.5 |
| 22.9 |
| 1.3 |
| Germany | 0.8 |
| — |
| 0.1 |
| 4.6 |
| 7.6 |
| (4.1 | ) | 12.2 |
| 0.3 |
| 21.5 |
| 21.8 |
| 22.2 |
| 1.3 |
| China | 7.8 |
| 3.2 |
| 0.5 |
| 2.7 |
| 2.3 |
| (0.6 | ) | 6.3 |
| (0.7 | ) | 21.5 |
| 18.7 |
| 17.4 |
| 1.3 |
| Japan | 2.7 |
| — |
| 0.1 |
| 2.6 |
| 4.7 |
| (1.8 | ) | 5.8 |
| 6.4 |
| 20.5 |
| 17.0 |
| 14.4 |
| 1.2 |
| Canada | 3.4 |
| 0.5 |
| 0.5 |
| 5.8 |
| 2.9 |
| (0.6 | ) | 4.8 |
| 0.9 |
| 18.2 |
| 15.2 |
| 15.3 |
| 1.1 |
| Taiwan | 5.9 |
| 7.7 |
| 0.1 |
| 1.3 |
| 0.3 |
| (0.1 | ) | 0.7 |
| 0.7 |
| 16.6 |
| 17.9 |
| 17.6 |
| 1.0 |
| Poland | 3.8 |
| 1.8 |
| — |
| 2.2 |
| 0.2 |
| — |
| 5.5 |
| 1.2 |
| 14.7 |
| 13.4 |
| 15.3 |
| 0.9 |
| United Arab Emirates | 8.4 |
| 1.3 |
| 0.1 |
| 3.6 |
| 0.7 |
| (0.1 | ) | 0.1 |
| 0.1 |
| 14.2 |
| 12.8 |
| 12.4 |
| 0.8 |
| Jersey | 7.6 |
| — |
| 0.5 |
| 4.0 |
| — |
| (0.4 | ) | — |
| — |
| 11.7 |
| 12.8 |
| 9.9 |
| 0.7 |
| Malaysia | 1.8 |
| 3.8 |
| 0.2 |
| 0.9 |
| 0.3 |
| (0.1 | ) | 1.3 |
| 0.4 |
| 8.6 |
| 8.4 |
| 10.0 |
| 0.5 |
| Thailand | 0.9 |
| 2.5 |
| — |
| 1.7 |
| 0.3 |
| — |
| 1.7 |
| 0.2 |
| 7.3 |
| 7.7 |
| 6.8 |
| 0.4 |
| Luxembourg | 0.7 |
| — |
| — |
| — |
| 0.5 |
| (0.3 | ) | 4.7 |
| 0.5 |
| 6.1 |
| 4.6 |
| 4.0 |
| 0.4 |
| Indonesia | 2.2 |
| 0.7 |
| — |
| 1.3 |
| 0.2 |
| (0.1 | ) | 0.8 |
| 0.2 |
| 5.3 |
| 5.9 |
| 6.1 |
| 0.3 |
| Russia | 1.9 |
| 0.8 |
| — |
| 1.3 |
| 0.4 |
| (0.2 | ) | 0.9 |
| — |
| 5.1 |
| 5.0 |
| 4.7 |
| 0.3 |
| Philippines | 1.0 |
| 1.5 |
| — |
| 0.5 |
| — |
| — |
| 2.0 |
| — |
| 5.0 |
| 4.9 |
| 5.9 |
| 0.3 |
| South Africa | 1.5 |
| — |
| — |
| 0.5 |
| 0.6 |
| (0.2 | ) | 1.6 |
| — |
| 4.0 |
| 3.5 |
| 3.9 |
| 0.2 |
| Czech Republic | 0.8 |
| — |
| — |
| 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.
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.
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 dollars | Balance Dec. 31, 2020 | 1Q21 build (release) | 1Q21 FX/Other | Balance 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 Group | 5,402 | | (1,312) | | (6) | | 4,084 | | | | | | | | 1.06 | | Corporate/Other | 330 | | (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 | | | | | | | | | Other | 146 | | 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.
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. unemployment | 2Q21 | 4Q21 | 2Q22 | 13-quarter average(1) | Citi forecast at 1Q20 | 6.7 | % | 6.5 | % | 6.1 | % | 6.1 | % | Citi forecast at 2Q20 | 7.2 | | 5.9 | | 5.7 | | 7.2 | | Citi forecast at 3Q20 | 7.6 | | 6.4 | | 6.1 | | 6.6 | | Citi forecast at 4Q20 | 7.0 | | 6.3 | | 6.1 | | 6.1 | | Citi forecast at 1Q21 | 5.6 | | 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 GDP | 2021 | 2022 | 2023 | Citi forecast at 1Q20 | 1.5 | % | 1.9 | % | 1.9 | % | Citi forecast at 2Q20 | 5.5 | | 3.3 | | 2.1 | | Citi forecast at 3Q20 | 3.3 | | 2.8 | | 2.6 | | Citi forecast at 4Q20 | 3.7 | | 2.7 | | 2.6 | | Citi forecast at 1Q21 | 6.2 | | 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
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.
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/Component | DTAs balance | In billions of dollars | March 31, 2021 | | December 31, 2020 | Total U.S. | $ | 21.4 | | | $ | 22.2 | | Total foreign | 2.8 | | | 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 foreign | 1.7 | | 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.
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.
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
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
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 | | Consolidated Statement of Comprehensive Income (Unaudited)—For the Three Months Ended March 31, 20202021 and 20192020 | | Consolidated Balance Sheet—March 31, 20202021 (Unaudited) and December 31, 20192020 | | Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three Months Ended March 31, 20202021 and 20192020 | | Consolidated Statement of Cash Flows (Unaudited)— For the Three Months Ended March 31, 20202021 and 20192020 | |
| | | | | | NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) | | Note 1—Basis of Presentation, Updated Accounting Policies and Accounting Changes | | Note 2—Discontinued Operations and Significant Disposals | | Note 3—Business Segments | | Note 4—Interest Revenue and Expense | | Note 5—Commissions and Fees; Administration and Other Fiduciary Fees
| | Note 6—Principal Transactions | | Note 7—Incentive Plans | | Note 8—Retirement Benefits | | Note 9—Earnings per Share | | Note 10—Securities Borrowed, Loaned and Subject to Repurchase Agreements | | Note 11—Brokerage Receivables and Brokerage Payables | | Note 12—Investments | |
| | | | | | | | | | Note 13—Loans | | Note 14—Allowance for Credit Losses | | Note 15—Goodwill and Intangible Assets | | Note 16—Debt | | Note 17—Changes in Accumulated Other Comprehensive Income (Loss) (AOCI) | | Note 18—Securitizations and Variable Interest Entities | | Note 19—Derivatives | | Note 20—Fair Value Measurement | | Note 21—Fair Value Elections | | Note 22—Guarantees, Leases and Commitments | | Note 23—Contingencies | | Note 24—Condensed Consolidating Financial Statements | |
CONSOLIDATED FINANCIAL STATEMENTS | | | | | | | | | CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) | | Citigroup Inc. and Subsidiaries |
| | | Three Months Ended March 31, | | Three Months Ended March 31, | | In millions of dollars, except per share amounts | 2020 | 2019 | In millions of dollars, except per share amounts | 2021 | 2020 | | Revenues | | Revenues | | | Interest revenue | $ | 17,139 |
| $ | 19,076 |
| Interest revenue | $ | 12,534 | | $ | 17,139 | | | Interest expense | 5,647 |
| 7,317 |
| Interest expense | 2,368 | | 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 transactions | 5,261 |
| 2,804 |
| Principal transactions | 3,913 | | 5,261 | | | Administration and other fiduciary fees | 854 |
| 839 |
| Administration and other fiduciary fees | 961 | | 854 | | | Realized gains on sales of investments, net | 432 |
| 130 |
| Realized gains on sales of investments, net | 401 | | 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 securities | 6 |
| — |
| 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 assets | 9 | | (4) | | | Policyholder benefits and claims | 24 |
| 12 |
| Policyholder benefits and claims | 52 | | 24 | | | Provision for credit losses on unfunded lending commitments | 557 |
| 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 equipment | 565 |
| 564 |
| Premises and equipment | 576 | | 565 | | | Technology/communication | 1,723 |
| 1,720 |
| Technology/communication | 1,852 | | 1,723 | | | Advertising and marketing | 328 |
| 359 |
| Advertising and marketing | 270 | | 328 | | | Other operating | 2,324 |
| 2,283 |
| Other operating | 2,374 | | 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 taxes | 576 |
| 1,275 |
| Provision for income taxes | 2,332 | | 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 taxes | 0 | | 0 | | | Loss from discontinued operations, net of taxes | $ | (18 | ) | $ | (2 | ) | | Income (loss) from discontinued operations, net of taxes | | Income (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 interests | 33 | | (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 taxes | 0 | | (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 taxes | 0 | | (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 | | |
(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 INCOME | | Citigroup Inc. and Subsidiaries | (UNAUDITED) | | |
| | | | | | | | | Three Months Ended March 31, | In millions of dollars | 2020 | 2019 | 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 taxes | 1,897 |
| 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 taxes | 27 |
| 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 INCOME | | Citigroup Inc. and Subsidiaries | (UNAUDITED) | | |
| | | | | | | | | | | | Three Months Ended March 31, | | In millions of dollars | 2021 | 2020 | | | 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 taxes | 714 | | (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 interests | 33 | | (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.
| | | | | | | | | March 31, | | | 2020 | December 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 allowance | 262,165 |
| 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 allowance | 262,536 |
| 251,322 |
| Brokerage receivables, net of allowance | 68,555 |
| 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 allowance | 82,315 |
| 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 |
| Goodwill | 21,264 |
| 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 allowance | 112,873 |
| 107,709 |
| Total assets | $ | 2,219,770 |
| $ | 1,951,158 |
|
| | | | | | | | | CONSOLIDATED BALANCE SHEET | | Citigroup Inc. and Subsidiaries |
| | | | | | | | | | March 31, | | | 2021 | December 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 allowance | 298,478 | | 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 allowance | 315,072 | | 294,712 | | Brokerage receivables, net of allowance | 60,465 | | 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 allowance | 304,036 | | 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 allowance | 161,742 | | 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 | | Goodwill | 21,905 | | 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 allowance | 109,433 | | 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, | | | 2020 | December 31, | | 2021 | December 31, | In millions of dollars | (Unaudited) | 2019 | In 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 assets | 6,278 |
| 6,719 |
| Trading account assets | 7,659 | | 8,104 | | Investments | 987 |
| 1,295 |
| Investments | 903 | | 837 | | Loans, net of unearned income | | |
| Loans, net of unearned income | | | Consumer | 42,573 |
| 46,977 |
| Consumer | 34,514 | | 37,561 | | Corporate | 19,845 |
| 16,175 |
| Corporate | 16,789 | | 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 assets | 70 |
| 73 |
| Other assets | 51 | | 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.
CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries (Continued) | | | | | | | | | | March 31, | | | 2021 | December 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 payables | 60,907 | | 50,484 | | Trading account liabilities | 179,117 | | 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 allowance | 62,404 | | 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 capital | 107,694 | | 107,846 | | Retained earnings | 174,816 | | 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 interests | 724 | | 758 | | Total equity | $ | 203,273 | | $ | 200,200 | | Total liabilities and equity | $ | 2,314,266 | | $ | 2,260,090 | |
| | | | | | | | | March 31, | | | 2020 | December 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 payables | 74,368 |
| 48,601 |
| Trading account liabilities | 163,995 |
| 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 allowance | 60,141 |
| 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 capital | 107,550 |
| 107,840 |
| Retained earnings | 163,438 |
| 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 interest | 651 |
| 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, | | | 2020 | December 31, | | 2021 | December 31, | In millions of dollars | (Unaudited) | 2019 | In 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 debt | 25,393 |
| 25,582 |
| Long-term debt | 15,699 | | 20,405 | | Other liabilities | 926 |
| 917 |
| Other liabilities | 384 | | 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.
| | | | | | | | | 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 dollars | 2020 | 2019 | In millions of dollars | 2021 | 2020 | | 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 stock | 1,500 |
| — |
| Issuance of new preferred stock | 2,300 | | 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 costs | 2 |
| — |
| | 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 costs | | Variable 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 income | 2,522 |
| 4,710 |
| Citigroup’s net income | 7,942 | | 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 income | 3,797 |
| 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 subsidiary | | Transactions 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 shareholders | 33 | | (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) | | | Other | 10 |
| — |
| 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.
| | (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.
| | | | | | | | | CONSOLIDATED STATEMENT OF CASH FLOWS | | Citigroup Inc. and Subsidiaries | (UNAUDITED) | | |
| | | | | | | | | | Three Months Ended March 31, | In millions of dollars | 2021 | 2020 | Cash flows from operating activities of continuing operations | | | Net income before attribution of noncontrolling interests | $ | 7,975 | | $ | 2,530 | | Net income attributable to noncontrolling interests | 33 | | (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 amortization | 962 | | 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 assets | 69 | | 55 | | Change in trading account assets | 14,405 | | (88,875) | | Change in trading account liabilities | 11,090 | | 44,101 | | Change in brokerage receivables net of brokerage payables | (5,236) | | (2,931) | | Change in loans HFS | 1,561 | | (1,393) | | Change in other assets | (383) | | (3,123) | | Change in other liabilities | 3,047 | | 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 loans | 9,933 | | (26,743) | | Proceeds from sales and securitizations of loans | 323 | | 596 | | Purchases of investments | (111,187) | | (108,658) | | Proceeds from sales of investments | 46,049 | | 44,399 | | Proceeds from maturities of investments | 35,088 | | 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, net | 40 | | 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 stock | 2,300 | | 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 repurchase | 19,643 | | 55,985 | | Issuance of long-term debt | 15,516 | | 28,927 | | Payments and redemptions of long-term debt | (22,432) | | (13,081) | | Change in deposits | 20,304 | | 114,321 | | Change in short-term borrowings | 2,573 | | 9,902 | |
| | | | | | | | | Three Months Ended March 31, | In millions of dollars | 2020 | 2019 | 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 amortization | 927 |
| 931 |
| Provisions for credit losses on loans and unfunded lending commitments | 7,001 |
| 1,944 |
| Realized gains from sales of investments | (432 | ) | (130 | ) | Impairment losses on investments | 55 |
| 8 |
| Change in trading account assets | (88,875 | ) | (30,427 | ) | Change in trading account liabilities | 44,101 |
| (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 liabilities | 1,605 |
| 2,585 |
| Other, net | 14,879 |
| 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 loans | 596 |
| 2,062 |
| Purchases of investments | (108,658 | ) | (69,673 | ) | Proceeds from sales of investments | 44,399 |
| 31,436 |
| Proceeds from maturities of investments | 29,203 |
| 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, net | 18 |
| 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 stock | 1,500 |
| — |
| 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 repurchase | 55,985 |
| 12,604 |
| Issuance of long-term debt | 28,927 |
| 15,552 |
| Payments and redemptions of long-term debt | (13,081 | ) | (6,568 | ) | Change in deposits | 114,321 |
| 17,186 |
| Change in short-term borrowings | 9,902 |
| 6,976 |
|
| | | | | | | | | CONSOLIDATED STATEMENT OF CASH FLOWS | | (UNAUDITED) (Continued) | | | Three Months Ended March 31, | In millions of dollars | 2021 | 2020 | 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 banks | 15,067 | | 92,001 | | Cash, due from banks and deposits with banks at beginning of period | 309,615 | | 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 allowance | 298,478 | | 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 interest | 1,729 | | 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 dollars | 2020 | 2019 | 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 period | 193,919 |
| 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 allowance | 262,165 |
| 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 interest | 5,424 |
| 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.
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
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.
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.
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 dollars | 2021 | 2020 | | | | | | | Total revenues, net of interest expense | $ | 0 | | $ | 0 | | | | | | | | Loss from discontinued operations(1) | $ | (2) | | $ | (18) | | | | | | | | | | | | | | | | | Benefit for income taxes | 0 | | 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.
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 billions | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | March 31, 2021 | December 31, 2020 | Global Consumer Banking | $ | 7,037 | | $ | 8,174 | | $ | 658 | | $ | (266) | | $ | 2,174 | | $ | (741) | | $ | 439 | | $ | 434 | | Institutional Clients Group | 12,220 | | 12,484 | | 1,736 | | 1,044 | | 5,972 | | 3,626 | | 1,776 | | 1,730 | | Corporate/Other | 70 | | 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.
4. INTEREST REVENUE AND EXPENSE Interest revenue and Interest expense consisted of the following: | | | | | | | | | | | | | Three Months Ended March 31, | | | In millions of dollars | 2021 | 2020 | | | | Interest revenue | | | | | | Loan interest, including fees | $ | 8,909 | | $ | 11,250 | | | | | Deposits with banks | 145 | | 527 | | | | | Securities borrowed and purchased under agreements to resell | 294 | | 1,208 | | | | | Investments, including dividends | 1,752 | | 2,281 | | | | | Trading account assets(1) | 1,337 | | 1,590 | | | | | Other interest-bearing assets | 97 | | 283 | | | | | Total interest revenue | $ | 12,534 | | $ | 17,139 | | | | | Interest expense | | | | | | Deposits(2) | $ | 1,052 | | $ | 2,614 | | | | | Securities loaned and sold under agreements to repurchase | 253 | | 1,085 | | | | | Trading account liabilities(1) | 114 | | 239 | | | | | Short-term borrowings and other interest-bearing liabilities | 31 | | 384 | | | | | Long-term debt | 918 | | 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.
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 dollars | ICG | GCB | Corporate/Other | Total | | | | | Investment banking | $ | 1,624 | | $ | 0 | | $ | 0 | | $ | 1,624 | | | | | | Brokerage commissions | 615 | | 327 | | 0 | | 942 | | | | | | Credit- and bank-card income | | | | | | | | | Interchange fees | 158 | | 1,906 | | 0 | | 2,064 | | | | | | Card-related loan fees | 5 | | 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 fees | 241 | | 24 | | 0 | | 265 | | | | | | Corporate finance(3) | 158 | | 0 | | 0 | | 158 | | | | | | Insurance distribution revenue | 5 | | 130 | | 0 | | 135 | | | | | | Insurance premiums | 0 | | 20 | | 0 | | 20 | | | | | | Loan servicing | 12 | | 7 | | 4 | | 23 | | | | | | Other | 41 | | 58 | | 0 | | 99 | | | | | | Total commissions and fees(4) | $ | 3,028 | | $ | 638 | | $ | 4 | | $ | 3,670 | | | | | |
| | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, | | | 2020 | | In millions of dollars | ICG | GCB | Corporate/Other | Total | | | | | Investment banking | $ | 1,040 | | $ | 0 | | $ | 0 | | $ | 1,040 | | | | | | Brokerage commissions | 577 | | 249 | | 0 | | 826 | | | | | | Credit- and bank-card income | | | | | | | | | Interchange fees | 261 | | 1,917 | | 0 | | 2,178 | | | | | | Card-related loan fees | 11 | | 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 fees | 227 | | 24 | | 0 | | 251 | | | | | | Corporate finance(3) | 146 | | 0 | | 0 | | 146 | | | | | | Insurance distribution revenue | 4 | | 125 | | 0 | | 129 | | | | | | Insurance premiums | 0 | | 43 | | 0 | | 43 | | | | | | Loan servicing | 20 | | 11 | | 8 | | 39 | | | | | | Other | 30 | | 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.
(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 dollars | ICG | GCB | Corporate/Other | Total | | | | | Custody fees | $ | 451 | | $ | 6 | | $ | 0 | | $ | 457 | | | | | | Fiduciary fees | 192 | | 167 | | 0 | | 359 | | | | | | Guarantee fees | 142 | | 2 | | 1 | | 145 | | | | | | Total administration and other fiduciary fees(1) | $ | 785 | | $ | 175 | | $ | 1 | | $ | 961 | | | | | |
| | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, | | | 2020 | | In millions of dollars | ICG | GCB | Corporate/Other | Total | | | | | Custody fees | $ | 366 | | $ | 8 | | $ | 15 | | $ | 389 | | | | | | Fiduciary fees | 172 | | 156 | | 0 | | 328 | | | | | | Guarantee fees | 134 | | 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.
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 dollars | 2021 | 2020 | | | 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.
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 plans | Postretirement benefit plans | | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | | | | | | | | | | | | | | Benefits earned during the period | $ | 0 | | $ | 0 | | | $ | 39 | | $ | 37 | | | $ | 0 | | $ | 0 | | | $ | 2 | | $ | 2 | | | Interest cost on benefit obligation | 82 | | 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 loss | 62 | | 56 | | | 18 | | 17 | | | 0 | | 0 | | | 5 | | 5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total net (benefit) expense | $ | (37) | | $ | (45) | | | $ | 57 | | $ | 52 | | | $ | (3) | | $ | 0 | | | $ | 8 | | $ | 9 | | |
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 plans | Postretirement benefit plans | In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans | | | | | | Change in projected benefit obligation | | | | | | | | | | Projected benefit obligation at beginning of year | $ | 13,815 | | $ | 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 period | 0 | | 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 other | 0 | | (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 annually | 0 | | (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 reimbursements | 13 | | 18 | | 5 | | 0 | | | | | | | Benefits paid, net of participants’ contributions and government subsidy | (216) | | (84) | | (9) | | (18) | | | | | | | | | | | | | | | | | Foreign exchange impact and other | 0 | | (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.
The following table shows the change in AOCI related to the Company’s pension, postretirement and post-employment plans: | | | | | | | | | | | | In millions of dollars | Three Months Ended March 31, 2021 | For Year Ended December 31, 2020 | | | | | | Beginning of period balance, net of tax(1)(2) | $ | (6,864) | | $ | (6,809) | | | | | | | | | | | Actuarial assumptions changes and plan experience | 1,430 | | (1,464) | | | Net asset (loss) gain due to difference between actual and expected returns | (718) | | 1,076 | | | Net amortization | 81 | | 318 | | | Prior service credit | 0 | | 108 | | | Curtailment/settlement loss(3) | 0 | | (8) | | | Foreign exchange impact and other | 114 | | (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 period | Three Months Ended | Mar. 31, 2021 | | Dec. 31, 2020 | U.S. plans | | | | Qualified pension | 2.45 | % | | 2.55 | % | Nonqualified pension | 2.35 | | | 2.50 | | Postretirement | 2.20 | | | 2.35 | | Non-U.S. plans | | | | Pension | 0.05-8.15 | | 0.05-8.55 | Weighted average | 3.60 | | | 3.74 | | Postretirement | 8.55 | | | 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 ended | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | | U.S. plans | | | | | Qualified pension | 3.10 | % | 2.45 | % | 3.20 | % | | Nonqualified pension | 3.00 | | 2.35 | | 3.25 | | | Postretirement | 2.85 | | 2.20 | | 3.20 | | | Non-U.S. plans | | | | | Pension | 0.25-9.30 | 0.05-8.15 | 0.45-9.45 | | Weighted average | 3.59 | | 3.60 | | 4.38 | | | Postretirement | 9.70 | | 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 dollars | One-percentage-point increase | | | One-percentage-point decrease | Pension | | | | | U.S. plans | $ | 9 | | | | $ | (15) | | Non-U.S. plans | 0 | | | | 5 | | Postretirement | | | | | U.S. plans | 0 | | | | (1) | | Non-U.S. plans | (3) | | | | 3 | |
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. plans | | U.S. plans | | Non-U.S. plans | | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 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 dollars | 2021 | 2020 | U.S. plans | $ | 105 | | $ | 101 | | Non-U.S. plans | 92 | | 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 dollars | 2021 | 2020 | | | | | | | | | | | | | | | | | | | | | | | | | Non-service-related expense | $ | 5 | | $ | 5 | | Total net expense | $ | 5 | | $ | 5 | |
9. EARNINGS PER SHARE The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations: | | | | | | | | | | | | Three Months Ended March 31, | | In millions of dollars, except per share amounts | 2021 | 2020 | | | Earnings per common share | | | | | Income from continuing operations before attribution of noncontrolling interests | $ | 7,977 | | $ | 2,548 | | | | Less: Noncontrolling interests from continuing operations | 33 | | (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 EPS | 66 | | 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 operations | 0 | | (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 forfeitable | 7 | | 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 plans | 14.5 | | 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 operations | 0 | | (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.
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 dollars | March 31, 2021 | December 31, 2020 | Securities purchased under agreements to resell | $ | 220,276 | | $ | 204,655 | | Deposits paid for securities borrowed | 94,801 | | 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 dollars | March 31, 2021 | December 31, 2020 | Securities sold under agreements to repurchase | $ | 198,029 | | $ | 181,194 | | Deposits received for securities loaned | 21,139 | | 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 dollars | Gross amounts of recognized assets | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of assets included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities purchased under agreements to resell | $ | 336,164 | | $ | 115,888 | | $ | 220,276 | | $ | 184,850 | | $ | 35,426 | | Deposits paid for securities borrowed | 106,008 | | 11,207 | | 94,801 | | 20,754 | | 74,047 | | Total | $ | 442,172 | | $ | 127,095 | | $ | 315,077 | | $ | 205,604 | | $ | 109,473 | |
| | | | | | | | | | | | | | | | | | In millions of dollars | Gross amounts of recognized liabilities | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of liabilities included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities sold under agreements to repurchase | $ | 313,917 | | $ | 115,888 | | $ | 198,029 | | $ | 102,256 | | $ | 95,773 | | Deposits received for securities loaned | 32,346 | | 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 dollars | Gross amounts of recognized assets | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of assets included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | | Securities purchased under agreements to resell | $ | 362,025 | | $ | 157,370 | | $ | 204,655 | | $ | 159,232 | | $ | 45,423 | | | Deposits paid for securities borrowed | 96,425 | | 6,358 | | 90,067 | | 13,474 | | 76,593 | | | Total | $ | 458,450 | | $ | 163,728 | | $ | 294,722 | | $ | 172,706 | | $ | 122,016 | | |
| | | | | | | | | | | | | | | | | | In millions of dollars | Gross amounts of recognized liabilities | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of liabilities included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities sold under agreements to repurchase | $ | 338,564 | | $ | 157,370 | | $ | 181,194 | | $ | 95,563 | | $ | 85,631 | | Deposits received for securities loaned | 24,689 | | 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 dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total | Securities sold under agreements to repurchase | $ | 154,646 | | $ | 74,302 | | $ | 39,859 | | $ | 45,110 | | $ | 313,917 | | Deposits received for securities loaned | 22,498 | | 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 dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total | Securities sold under agreements to repurchase | $ | 160,754 | | $ | 98,226 | | $ | 41,679 | | $ | 37,905 | | $ | 338,564 | | Deposits received for securities loaned | 17,038 | | 3 | | 2,770 | | 4,878 | | 24,689 | | Total | $ | 177,792 | | $ | 98,229 | | $ | 44,449 | | $ | 42,783 | | $ | 363,253 | |
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 dollars | Repurchase agreements | Securities lending agreements | Total | U.S. Treasury and federal agency securities | $ | 106,286 | | $ | 0 | | $ | 106,286 | | State and municipal securities | 636 | | 0 | | 636 | | Foreign government securities | 118,501 | | 1,909 | | 120,410 | | Corporate bonds | 21,778 | | 148 | | 21,926 | | Equity securities | 22,651 | | 30,136 | | 52,787 | | Mortgage-backed securities | 36,336 | | 0 | | 36,336 | | Asset-backed securities | 2,501 | | 0 | | 2,501 | | Other | 5,228 | | 153 | | 5,381 | | Total | $ | 313,917 | | $ | 32,346 | | $ | 346,263 | |
| | | | | | | | | | | | | As of December 31, 2020 | In millions of dollars | Repurchase agreements | Securities lending agreements | Total | U.S. Treasury and federal agency securities | $ | 112,437 | | $ | 0 | | $ | 112,437 | | State and municipal securities | 664 | | 2 | | 666 | | Foreign government securities | 130,017 | | 194 | | 130,211 | | Corporate bonds | 20,149 | | 78 | | 20,227 | | Equity securities | 21,497 | | 24,149 | | 45,646 | | Mortgage-backed securities | 45,566 | | 0 | | 45,566 | | Asset-backed securities | 3,307 | | 0 | | 3,307 | | Other | 4,927 | | 266 | | 5,193 | | Total | $ | 338,564 | | $ | 24,689 | | $ | 363,253 | |
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 dollars | March 31, 2021 | December 31, 2020 | Receivables from customers | $ | 25,661 | | $ | 18,097 | | Receivables from brokers, dealers and clearing organizations | 34,804 | | 26,709 | | Total brokerage receivables(1) | $ | 60,465 | | $ | 44,806 | | Payables to customers | $ | 45,065 | | $ | 39,319 | | Payables to brokers, dealers and clearing organizations | 15,842 | | 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.
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 dollars | March 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 dollars | 2021 | 2020 | | | Taxable interest | $ | 1,652 | | $ | 2,179 | | | | Interest exempt from U.S. federal income tax | 66 | | 76 | | | | Dividend income | 34 | | 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 dollars | 2021 | 2020 | | | Gross realized investment gains | $ | 460 | | $ | 461 | | | | Gross realized investment losses | (59) | | (29) | | | | Net realized gains on sales of investments | $ | 401 | | $ | 432 | | | |
Debt Securities Available-for-Sale The amortized cost and fair value of AFS debt securities were as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2021 | December 31, 2020 | In millions of dollars | Amortized cost | Gross unrealized gains | Gross unrealized losses | Allowance for credit losses | Fair value | Amortized cost | Gross unrealized gains | Gross unrealized losses | Allowance for credit losses | Fair 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. residential | 435 | | 2 | | 0 | | 0 | | 437 | | 568 | | 3 | | 0 | | 0 | | 571 | | Commercial | 44 | | 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 obligations | 50 | | 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 government | 119,126 | | 979 | | 491 | | 0 | | 119,614 | | 123,467 | | 1,623 | | 122 | | 0 | | 124,968 | | Corporate | 10,274 | | 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 securities | 4,758 | | 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.
The following table shows the fair value of AFS debt securities that have been in an unrealized loss position: | | | | | | | | | | | | | | | | | | | | | | Less than 12 months | 12 months or longer | Total | In millions of dollars | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | 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. residential | 15 | | 0 | | 1 | | 0 | | 16 | | 0 | | Commercial | 1 | | 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 municipal | 191 | | 5 | | 1,215 | | 114 | | 1,406 | | 119 | | Foreign government | 46,138 | | 389 | | 4,629 | | 102 | | 50,767 | | 491 | | Corporate | 3,017 | | 116 | | 39 | | 2 | | 3,056 | | 118 | | Asset-backed securities | 3 | | 0 | | 0 | | 0 | | 3 | | 0 | | Other debt securities | 1,079 | | 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. residential | 1 | | 0 | | 0 | | 0 | | 1 | | 0 | | Commercial | 7 | | 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 obligations | 50 | | 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 government | 29,344 | | 61 | | 3,502 | | 61 | | 32,846 | | 122 | | Corporate | 1,083 | | 90 | | 24 | | 1 | | 1,107 | | 91 | | Asset-backed securities | 194 | | 3 | | 39 | | 1 | | 233 | | 4 | | Other debt securities | 182 | | 0 | | 0 | | 0 | | 182 | | 0 | | Total debt securities AFS | $ | 60,316 | | $ | 267 | | $ | 4,760 | | $ | 208 | | $ | 65,076 | | $ | 475 | |
The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates: | | | | | | | | | | | | | | | | | | March 31, 2021 | December 31, 2020 | In millions of dollars | Amortized cost | Fair value | Amortized cost | Fair value | Mortgage-backed securities(1) | | | | | Due within 1 year | $ | 70 | | $ | 70 | | $ | 27 | | $ | 27 | | After 1 but within 5 years | 387 | | 389 | | 567 | | 571 | | After 5 but within 10 years | 819 | | 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 years | 90,482 | | 91,455 | | 108,160 | | 110,091 | | After 5 but within 10 years | 1,222 | | 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 years | 117 | | 118 | | 189 | | 198 | | After 5 but within 10 years | 240 | | 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 years | 63,516 | | 63,789 | | 67,365 | | 68,586 | | After 5 but within 10 years | 5,562 | | 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 years | 7,886 | | 7,898 | | 7,814 | | 7,891 | | After 5 but within 10 years | 992 | | 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.
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. residential | | | 1,107 | | 3 | | 1 | | 1,109 | | Commercial | | | 887 | | 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 government | | | 1,877 | | 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. residential | | | 1,124 | | 3 | | 1 | | 1,126 | | Commercial | | | 825 | | 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 municipal | | | 9,185 | | 755 | | 11 | | 9,929 | | Foreign government | | | 1,931 | | 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.
The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates: | | | | | | | | | | | | | | | | | | March 31, 2021 | December 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 years | 596 | | 626 | | 463 | | 477 | | After 5 but within 10 years | 1,641 | | 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 years | 28,176 | | 27,697 | | 18,955 | | 19,127 | | After 5 but within 10 years | 30,204 | | 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 years | 172 | | 176 | | 139 | | 142 | | After 5 but within 10 years | 848 | | 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 years | 1,525 | | 1,565 | | 1,570 | | 1,662 | | After 5 but within 10 years | 0 | | 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 years | 0 | | 0 | | 0 | | 0 | | After 5 but within 10 years | 13,973 | | 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.
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.
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 dollars | AFS | Other assets | Total | AFS | | Other assets | Total | Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | | Total impairment losses recognized during the period | $ | 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 exercise | 69 | | 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 dollars | | | | Foreign government | | | Corporate | Total AFS | Allowance for credit losses at beginning of period | | | | $ | 0 | | | | $ | 5 | | $ | 5 | | Less: Write-offs | | | | 0 | | | | 0 | | 0 | | Recoveries of amounts written-off | | | | 0 | | | | 0 | | 0 | | Net credit losses (NCLs) | | | | $ | 0 | | | | $ | 0 | | $ | 0 | | NCLs | | | | $ | 0 | | | | $ | 0 | | $ | 0 | | Credit losses on securities without previous credit losses | | | | 0 | | | | 0 | | 0 | | Net reserve builds (releases) on securities with previous credit losses | | | | 0 | | | | 0 | | 0 | | | | | | | | | | | | | | | | | | | | Total provision for credit losses | | | | $ | 0 | | | | $ | 0 | | $ | 0 | | Initial allowance on newly purchased credit-deteriorated securities during the period | | | | 0 | | | | 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.
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 dollars | March 31, 2021 | December 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 dollars | 2021 | 2020 | | | Measurement alternative(1): | | | | | Impairment losses | $ | 0 | | $ | 3 | | | | Downward changes for observable prices | 0 | | 0 | | | | Upward changes for observable prices | 81 | | 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 dollars | March 31, 2021 | Measurement alternative: | | Impairment losses | $ | 68 | | Downward changes for observable prices | 53 | | Upward changes for observable prices | 567 | |
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.
| | | | | | | | | | | | | | | | | | | | | | Fair value | Unfunded commitments | Redemption frequency (if currently eligible) monthly, quarterly, annually | Redemption notice period | In millions of dollars | March 31, 2021 | December 31, 2020 | March 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 funds | 19 | | 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.
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
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.
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.
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 dollars | 2021 | 2020 | | | | | | | Total revenues, net of interest expense | $ | 0 | | $ | 0 | | | | | | | | Loss from discontinued operations(1) | $ | (2) | | $ | (18) | | | | | | | | | | | | | | | | | Benefit for income taxes | 0 | | 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.
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 billions | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | March 31, 2021 | December 31, 2020 | Global Consumer Banking | $ | 7,037 | | $ | 8,174 | | $ | 658 | | $ | (266) | | $ | 2,174 | | $ | (741) | | $ | 439 | | $ | 434 | | Institutional Clients Group | 12,220 | | 12,484 | | 1,736 | | 1,044 | | 5,972 | | 3,626 | | 1,776 | | 1,730 | | Corporate/Other | 70 | | 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.
4. INTEREST REVENUE AND EXPENSE Interest revenue and Interest expense consisted of the following: | | | | | | | | | | | | | Three Months Ended March 31, | | | In millions of dollars | 2021 | 2020 | | | | Interest revenue | | | | | | Loan interest, including fees | $ | 8,909 | | $ | 11,250 | | | | | Deposits with banks | 145 | | 527 | | | | | Securities borrowed and purchased under agreements to resell | 294 | | 1,208 | | | | | Investments, including dividends | 1,752 | | 2,281 | | | | | Trading account assets(1) | 1,337 | | 1,590 | | | | | Other interest-bearing assets | 97 | | 283 | | | | | Total interest revenue | $ | 12,534 | | $ | 17,139 | | | | | Interest expense | | | | | | Deposits(2) | $ | 1,052 | | $ | 2,614 | | | | | Securities loaned and sold under agreements to repurchase | 253 | | 1,085 | | | | | Trading account liabilities(1) | 114 | | 239 | | | | | Short-term borrowings and other interest-bearing liabilities | 31 | | 384 | | | | | Long-term debt | 918 | | 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.
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 dollars | ICG | GCB | Corporate/Other | Total | | | | | Investment banking | $ | 1,624 | | $ | 0 | | $ | 0 | | $ | 1,624 | | | | | | Brokerage commissions | 615 | | 327 | | 0 | | 942 | | | | | | Credit- and bank-card income | | | | | | | | | Interchange fees | 158 | | 1,906 | | 0 | | 2,064 | | | | | | Card-related loan fees | 5 | | 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 fees | 241 | | 24 | | 0 | | 265 | | | | | | Corporate finance(3) | 158 | | 0 | | 0 | | 158 | | | | | | Insurance distribution revenue | 5 | | 130 | | 0 | | 135 | | | | | | Insurance premiums | 0 | | 20 | | 0 | | 20 | | | | | | Loan servicing | 12 | | 7 | | 4 | | 23 | | | | | | Other | 41 | | 58 | | 0 | | 99 | | | | | | Total commissions and fees(4) | $ | 3,028 | | $ | 638 | | $ | 4 | | $ | 3,670 | | | | | |
| | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, | | | 2020 | | In millions of dollars | ICG | GCB | Corporate/Other | Total | | | | | Investment banking | $ | 1,040 | | $ | 0 | | $ | 0 | | $ | 1,040 | | | | | | Brokerage commissions | 577 | | 249 | | 0 | | 826 | | | | | | Credit- and bank-card income | | | | | | | | | Interchange fees | 261 | | 1,917 | | 0 | | 2,178 | | | | | | Card-related loan fees | 11 | | 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 fees | 227 | | 24 | | 0 | | 251 | | | | | | Corporate finance(3) | 146 | | 0 | | 0 | | 146 | | | | | | Insurance distribution revenue | 4 | | 125 | | 0 | | 129 | | | | | | Insurance premiums | 0 | | 43 | | 0 | | 43 | | | | | | Loan servicing | 20 | | 11 | | 8 | | 39 | | | | | | Other | 30 | | 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.
(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 dollars | ICG | GCB | Corporate/Other | Total | | | | | Custody fees | $ | 451 | | $ | 6 | | $ | 0 | | $ | 457 | | | | | | Fiduciary fees | 192 | | 167 | | 0 | | 359 | | | | | | Guarantee fees | 142 | | 2 | | 1 | | 145 | | | | | | Total administration and other fiduciary fees(1) | $ | 785 | | $ | 175 | | $ | 1 | | $ | 961 | | | | | |
| | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, | | | 2020 | | In millions of dollars | ICG | GCB | Corporate/Other | Total | | | | | Custody fees | $ | 366 | | $ | 8 | | $ | 15 | | $ | 389 | | | | | | Fiduciary fees | 172 | | 156 | | 0 | | 328 | | | | | | Guarantee fees | 134 | | 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.
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 dollars | 2021 | 2020 | | | 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.
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 plans | Postretirement benefit plans | | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | | | | | | | | | | | | | | Benefits earned during the period | $ | 0 | | $ | 0 | | | $ | 39 | | $ | 37 | | | $ | 0 | | $ | 0 | | | $ | 2 | | $ | 2 | | | Interest cost on benefit obligation | 82 | | 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 loss | 62 | | 56 | | | 18 | | 17 | | | 0 | | 0 | | | 5 | | 5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total net (benefit) expense | $ | (37) | | $ | (45) | | | $ | 57 | | $ | 52 | | | $ | (3) | | $ | 0 | | | $ | 8 | | $ | 9 | | |
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 plans | Postretirement benefit plans | In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans | | | | | | Change in projected benefit obligation | | | | | | | | | | Projected benefit obligation at beginning of year | $ | 13,815 | | $ | 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 period | 0 | | 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 other | 0 | | (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 annually | 0 | | (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 reimbursements | 13 | | 18 | | 5 | | 0 | | | | | | | Benefits paid, net of participants’ contributions and government subsidy | (216) | | (84) | | (9) | | (18) | | | | | | | | | | | | | | | | | Foreign exchange impact and other | 0 | | (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.
The following table shows the change in AOCI related to the Company’s pension, postretirement and post-employment plans: | | | | | | | | | | | | In millions of dollars | Three Months Ended March 31, 2021 | For Year Ended December 31, 2020 | | | | | | Beginning of period balance, net of tax(1)(2) | $ | (6,864) | | $ | (6,809) | | | | | | | | | | | Actuarial assumptions changes and plan experience | 1,430 | | (1,464) | | | Net asset (loss) gain due to difference between actual and expected returns | (718) | | 1,076 | | | Net amortization | 81 | | 318 | | | Prior service credit | 0 | | 108 | | | Curtailment/settlement loss(3) | 0 | | (8) | | | Foreign exchange impact and other | 114 | | (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 period | Three Months Ended | Mar. 31, 2021 | | Dec. 31, 2020 | U.S. plans | | | | Qualified pension | 2.45 | % | | 2.55 | % | Nonqualified pension | 2.35 | | | 2.50 | | Postretirement | 2.20 | | | 2.35 | | Non-U.S. plans | | | | Pension | 0.05-8.15 | | 0.05-8.55 | Weighted average | 3.60 | | | 3.74 | | Postretirement | 8.55 | | | 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 ended | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | | U.S. plans | | | | | Qualified pension | 3.10 | % | 2.45 | % | 3.20 | % | | Nonqualified pension | 3.00 | | 2.35 | | 3.25 | | | Postretirement | 2.85 | | 2.20 | | 3.20 | | | Non-U.S. plans | | | | | Pension | 0.25-9.30 | 0.05-8.15 | 0.45-9.45 | | Weighted average | 3.59 | | 3.60 | | 4.38 | | | Postretirement | 9.70 | | 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 dollars | One-percentage-point increase | | | One-percentage-point decrease | Pension | | | | | U.S. plans | $ | 9 | | | | $ | (15) | | Non-U.S. plans | 0 | | | | 5 | | Postretirement | | | | | U.S. plans | 0 | | | | (1) | | Non-U.S. plans | (3) | | | | 3 | |
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. plans | | U.S. plans | | Non-U.S. plans | | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 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 dollars | 2021 | 2020 | U.S. plans | $ | 105 | | $ | 101 | | Non-U.S. plans | 92 | | 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 dollars | 2021 | 2020 | | | | | | | | | | | | | | | | | | | | | | | | | Non-service-related expense | $ | 5 | | $ | 5 | | Total net expense | $ | 5 | | $ | 5 | |
9. EARNINGS PER SHARE The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations: | | | | | | | | | | | | Three Months Ended March 31, | | In millions of dollars, except per share amounts | 2021 | 2020 | | | Earnings per common share | | | | | Income from continuing operations before attribution of noncontrolling interests | $ | 7,977 | | $ | 2,548 | | | | Less: Noncontrolling interests from continuing operations | 33 | | (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 EPS | 66 | | 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 operations | 0 | | (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 forfeitable | 7 | | 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 plans | 14.5 | | 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 operations | 0 | | (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.
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 dollars | March 31, 2021 | December 31, 2020 | Securities purchased under agreements to resell | $ | 220,276 | | $ | 204,655 | | Deposits paid for securities borrowed | 94,801 | | 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 dollars | March 31, 2021 | December 31, 2020 | Securities sold under agreements to repurchase | $ | 198,029 | | $ | 181,194 | | Deposits received for securities loaned | 21,139 | | 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 dollars | Gross amounts of recognized assets | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of assets included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities purchased under agreements to resell | $ | 336,164 | | $ | 115,888 | | $ | 220,276 | | $ | 184,850 | | $ | 35,426 | | Deposits paid for securities borrowed | 106,008 | | 11,207 | | 94,801 | | 20,754 | | 74,047 | | Total | $ | 442,172 | | $ | 127,095 | | $ | 315,077 | | $ | 205,604 | | $ | 109,473 | |
| | | | | | | | | | | | | | | | | | In millions of dollars | Gross amounts of recognized liabilities | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of liabilities included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities sold under agreements to repurchase | $ | 313,917 | | $ | 115,888 | | $ | 198,029 | | $ | 102,256 | | $ | 95,773 | | Deposits received for securities loaned | 32,346 | | 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 dollars | Gross amounts of recognized assets | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of assets included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | | Securities purchased under agreements to resell | $ | 362,025 | | $ | 157,370 | | $ | 204,655 | | $ | 159,232 | | $ | 45,423 | | | Deposits paid for securities borrowed | 96,425 | | 6,358 | | 90,067 | | 13,474 | | 76,593 | | | Total | $ | 458,450 | | $ | 163,728 | | $ | 294,722 | | $ | 172,706 | | $ | 122,016 | | |
| | | | | | | | | | | | | | | | | | In millions of dollars | Gross amounts of recognized liabilities | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of liabilities included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities sold under agreements to repurchase | $ | 338,564 | | $ | 157,370 | | $ | 181,194 | | $ | 95,563 | | $ | 85,631 | | Deposits received for securities loaned | 24,689 | | 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 dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total | Securities sold under agreements to repurchase | $ | 154,646 | | $ | 74,302 | | $ | 39,859 | | $ | 45,110 | | $ | 313,917 | | Deposits received for securities loaned | 22,498 | | 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 dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total | Securities sold under agreements to repurchase | $ | 160,754 | | $ | 98,226 | | $ | 41,679 | | $ | 37,905 | | $ | 338,564 | | Deposits received for securities loaned | 17,038 | | 3 | | 2,770 | | 4,878 | | 24,689 | | Total | $ | 177,792 | | $ | 98,229 | | $ | 44,449 | | $ | 42,783 | | $ | 363,253 | |
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 dollars | Repurchase agreements | Securities lending agreements | Total | U.S. Treasury and federal agency securities | $ | 106,286 | | $ | 0 | | $ | 106,286 | | State and municipal securities | 636 | | 0 | | 636 | | Foreign government securities | 118,501 | | 1,909 | | 120,410 | | Corporate bonds | 21,778 | | 148 | | 21,926 | | Equity securities | 22,651 | | 30,136 | | 52,787 | | Mortgage-backed securities | 36,336 | | 0 | | 36,336 | | Asset-backed securities | 2,501 | | 0 | | 2,501 | | Other | 5,228 | | 153 | | 5,381 | | Total | $ | 313,917 | | $ | 32,346 | | $ | 346,263 | |
| | | | | | | | | | | | | As of December 31, 2020 | In millions of dollars | Repurchase agreements | Securities lending agreements | Total | U.S. Treasury and federal agency securities | $ | 112,437 | | $ | 0 | | $ | 112,437 | | State and municipal securities | 664 | | 2 | | 666 | | Foreign government securities | 130,017 | | 194 | | 130,211 | | Corporate bonds | 20,149 | | 78 | | 20,227 | | Equity securities | 21,497 | | 24,149 | | 45,646 | | Mortgage-backed securities | 45,566 | | 0 | | 45,566 | | Asset-backed securities | 3,307 | | 0 | | 3,307 | | Other | 4,927 | | 266 | | 5,193 | | Total | $ | 338,564 | | $ | 24,689 | | $ | 363,253 | |
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 dollars | March 31, 2021 | December 31, 2020 | Receivables from customers | $ | 25,661 | | $ | 18,097 | | Receivables from brokers, dealers and clearing organizations | 34,804 | | 26,709 | | Total brokerage receivables(1) | $ | 60,465 | | $ | 44,806 | | Payables to customers | $ | 45,065 | | $ | 39,319 | | Payables to brokers, dealers and clearing organizations | 15,842 | | 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.
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 dollars | March 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 dollars | 2021 | 2020 | | | Taxable interest | $ | 1,652 | | $ | 2,179 | | | | Interest exempt from U.S. federal income tax | 66 | | 76 | | | | Dividend income | 34 | | 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 dollars | 2021 | 2020 | | | Gross realized investment gains | $ | 460 | | $ | 461 | | | | Gross realized investment losses | (59) | | (29) | | | | Net realized gains on sales of investments | $ | 401 | | $ | 432 | | | |
Debt Securities Available-for-Sale The amortized cost and fair value of AFS debt securities were as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2021 | December 31, 2020 | In millions of dollars | Amortized cost | Gross unrealized gains | Gross unrealized losses | Allowance for credit losses | Fair value | Amortized cost | Gross unrealized gains | Gross unrealized losses | Allowance for credit losses | Fair 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. residential | 435 | | 2 | | 0 | | 0 | | 437 | | 568 | | 3 | | 0 | | 0 | | 571 | | Commercial | 44 | | 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 obligations | 50 | | 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 government | 119,126 | | 979 | | 491 | | 0 | | 119,614 | | 123,467 | | 1,623 | | 122 | | 0 | | 124,968 | | Corporate | 10,274 | | 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 securities | 4,758 | | 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.
The following table shows the fair value of AFS debt securities that have been in an unrealized loss position: | | | | | | | | | | | | | | | | | | | | | | Less than 12 months | 12 months or longer | Total | In millions of dollars | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | 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. residential | 15 | | 0 | | 1 | | 0 | | 16 | | 0 | | Commercial | 1 | | 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 municipal | 191 | | 5 | | 1,215 | | 114 | | 1,406 | | 119 | | Foreign government | 46,138 | | 389 | | 4,629 | | 102 | | 50,767 | | 491 | | Corporate | 3,017 | | 116 | | 39 | | 2 | | 3,056 | | 118 | | Asset-backed securities | 3 | | 0 | | 0 | | 0 | | 3 | | 0 | | Other debt securities | 1,079 | | 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. residential | 1 | | 0 | | 0 | | 0 | | 1 | | 0 | | Commercial | 7 | | 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 obligations | 50 | | 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 government | 29,344 | | 61 | | 3,502 | | 61 | | 32,846 | | 122 | | Corporate | 1,083 | | 90 | | 24 | | 1 | | 1,107 | | 91 | | Asset-backed securities | 194 | | 3 | | 39 | | 1 | | 233 | | 4 | | Other debt securities | 182 | | 0 | | 0 | | 0 | | 182 | | 0 | | Total debt securities AFS | $ | 60,316 | | $ | 267 | | $ | 4,760 | | $ | 208 | | $ | 65,076 | | $ | 475 | |
The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates: | | | | | | | | | | | | | | | | | | March 31, 2021 | December 31, 2020 | In millions of dollars | Amortized cost | Fair value | Amortized cost | Fair value | Mortgage-backed securities(1) | | | | | Due within 1 year | $ | 70 | | $ | 70 | | $ | 27 | | $ | 27 | | After 1 but within 5 years | 387 | | 389 | | 567 | | 571 | | After 5 but within 10 years | 819 | | 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 years | 90,482 | | 91,455 | | 108,160 | | 110,091 | | After 5 but within 10 years | 1,222 | | 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 years | 117 | | 118 | | 189 | | 198 | | After 5 but within 10 years | 240 | | 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 years | 63,516 | | 63,789 | | 67,365 | | 68,586 | | After 5 but within 10 years | 5,562 | | 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 years | 7,886 | | 7,898 | | 7,814 | | 7,891 | | After 5 but within 10 years | 992 | | 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.
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. residential | | | 1,107 | | 3 | | 1 | | 1,109 | | Commercial | | | 887 | | 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 government | | | 1,877 | | 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. residential | | | 1,124 | | 3 | | 1 | | 1,126 | | Commercial | | | 825 | | 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 municipal | | | 9,185 | | 755 | | 11 | | 9,929 | | Foreign government | | | 1,931 | | 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.
The following table presents the carrying value and fair value of HTM debt securities ECLsby contractual maturity dates: | | | | | | | | | | | | | | | | | | March 31, 2021 | December 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 years | 596 | | 626 | | 463 | | 477 | | After 5 but within 10 years | 1,641 | | 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 years | 28,176 | | 27,697 | | 18,955 | | 19,127 | | After 5 but within 10 years | 30,204 | | 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 years | 172 | | 176 | | 139 | | 142 | | After 5 but within 10 years | 848 | | 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 years | 1,525 | | 1,565 | | 1,570 | | 1,662 | | After 5 but within 10 years | 0 | | 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 years | 0 | | 0 | | 0 | | 0 | | After 5 but within 10 years | 13,973 | | 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.
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.
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 dollars | AFS | Other assets | Total | AFS | | Other assets | Total | Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | | Total impairment losses recognized during the period | $ | 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 exercise | 69 | | 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 dollars | | | | Foreign government | | | Corporate | Total AFS | Allowance for credit losses at beginning of period | | | | $ | 0 | | | | $ | 5 | | $ | 5 | | Less: Write-offs | | | | 0 | | | | 0 | | 0 | | Recoveries of amounts written-off | | | | 0 | | | | 0 | | 0 | | Net credit losses (NCLs) | | | | $ | 0 | | | | $ | 0 | | $ | 0 | | NCLs | | | | $ | 0 | | | | $ | 0 | | $ | 0 | | Credit losses on securities without previous credit losses | | | | 0 | | | | 0 | | 0 | | Net reserve builds (releases) on securities with previous credit losses | | | | 0 | | | | 0 | | 0 | | | | | | | | | | | | | | | | | | | | Total provision for credit losses | | | | $ | 0 | | | | $ | 0 | | $ | 0 | | Initial allowance on newly purchased credit-deteriorated securities during the period | | | | 0 | | | | 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.
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 dollars | March 31, 2021 | December 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 dollars | 2021 | 2020 | | | Measurement alternative(1): | | | | | Impairment losses | $ | 0 | | $ | 3 | | | | Downward changes for observable prices | 0 | | 0 | | | | Upward changes for observable prices | 81 | | 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 dollars | March 31, 2021 | Measurement alternative: | | Impairment losses | $ | 68 | | Downward changes for observable prices | 53 | | Upward changes for observable prices | 567 | |
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.
| | | | | | | | | | | | | | | | | | | | | | Fair value | Unfunded commitments | Redemption frequency (if currently eligible) monthly, quarterly, annually | Redemption notice period | In millions of dollars | March 31, 2021 | December 31, 2020 | March 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 funds | 19 | | 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.
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
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.
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.
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 dollars | 2021 | 2020 | | | | | | | Total revenues, net of interest expense | $ | 0 | | $ | 0 | | | | | | | | Loss from discontinued operations(1) | $ | (2) | | $ | (18) | | | | | | | | | | | | | | | | | Benefit for income taxes | 0 | | 0 | | | | | | | | Income (loss) from discontinued operations, net of taxes | $ | (2) | | $ | (18) | | | | | | | |
| | | | | | | | | Three Months Ended March 31, | In millions of dollars | 2020 | 2019 | 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 billions | 2021 | 2020 | 2021 | 2020 | 2021 | 2020 | March 31, 2021 | December 31, 2020 | Global Consumer Banking | $ | 7,037 | | $ | 8,174 | | $ | 658 | | $ | (266) | | $ | 2,174 | | $ | (741) | | $ | 439 | | $ | 434 | | Institutional Clients Group | 12,220 | | 12,484 | | 1,736 | | 1,044 | | 5,972 | | 3,626 | | 1,776 | | 1,730 | | Corporate/Other | 70 | | 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | 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 billions | 2020 | 2019 | 2020 | 2019 | 2020 | 2019 | March 31, 2020 | December 31, 2019 | Global Consumer Banking | $ | 8,174 |
| $ | 8,090 |
| $ | (270 | ) | $ | 381 |
| $ | (755 | ) | $ | 1,320 |
| $ | 403 |
| $ | 407 |
| Institutional Clients Group | 12,484 |
| 10,018 |
| 1,044 |
| 955 |
| 3,626 |
| 3,412 |
| 1,723 |
| 1,447 |
| Corporate/Other | 73 |
| 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 dollars | 2021 | 2020 | | | | Interest revenue | | | | | | Loan interest, including fees | $ | 8,909 | | $ | 11,250 | | | | | Deposits with banks | 145 | | 527 | | | | | Securities borrowed and purchased under agreements to resell | 294 | | 1,208 | | | | | Investments, including dividends | 1,752 | | 2,281 | | | | | Trading account assets(1) | 1,337 | | 1,590 | | | | | Other interest-bearing assets | 97 | | 283 | | | | | Total interest revenue | $ | 12,534 | | $ | 17,139 | | | | | Interest expense | | | | | | Deposits(2) | $ | 1,052 | | $ | 2,614 | | | | | Securities loaned and sold under agreements to repurchase | 253 | | 1,085 | | | | | Trading account liabilities(1) | 114 | | 239 | | | | | Short-term borrowings and other interest-bearing liabilities | 31 | | 384 | | | | | Long-term debt | 918 | | 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 dollars | 2020 | 2019 | Interest revenue | | | Loan interest, including fees | $ | 11,250 |
| $ | 11,969 |
| Deposits with banks | 527 |
| 607 |
| Securities borrowed and purchased under agreements to resell | 1,208 |
| 1,783 |
| Investments, including dividends | 2,281 |
| 2,548 |
| Trading account assets(1) | 1,590 |
| 1,686 |
| Other interest | 283 |
| 483 |
| Total interest revenue | $ | 17,139 |
| $ | 19,076 |
| Interest expense | | | Deposits(2) | $ | 2,614 |
| $ | 3,027 |
| Securities loaned and sold under agreements to repurchase | 1,085 |
| 1,589 |
| Trading account liabilities(1) | 239 |
| 327 |
| Short-term borrowings | 384 |
| 652 |
| Long-term debt | 1,325 |
| 1,722 |
| Total interest expense | $ | 5,647 |
| $ | 7,317 |
| Net interest revenue | $ | 11,492 |
| $ | 11,759 |
| Provision for credit losses on loans | 6,444 |
| 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. |
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 dollars | ICG | GCB | Corporate/Other | Total | | | | | Investment banking | $ | 1,624 | | $ | 0 | | $ | 0 | | $ | 1,624 | | | | | | Brokerage commissions | 615 | | 327 | | 0 | | 942 | | | | | | Credit- and bank-card income | | | | | | | | | Interchange fees | 158 | | 1,906 | | 0 | | 2,064 | | | | | | Card-related loan fees | 5 | | 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 fees | 241 | | 24 | | 0 | | 265 | | | | | | Corporate finance(3) | 158 | | 0 | | 0 | | 158 | | | | | | Insurance distribution revenue | 5 | | 130 | | 0 | | 135 | | | | | | Insurance premiums | 0 | | 20 | | 0 | | 20 | | | | | | Loan servicing | 12 | | 7 | | 4 | | 23 | | | | | | Other | 41 | | 58 | | 0 | | 99 | | | | | | Total commissions and fees(4) | $ | 3,028 | | $ | 638 | | $ | 4 | | $ | 3,670 | | | | | |
| | | | | | | | | | | | | | | Three Months Ended March 31, | | 2020 | In millions of dollars | ICG | GCB | Corporate/Other | Total | Investment banking | $ | 1,040 |
| $ | — |
| $ | — |
| $ | 1,040 |
| Brokerage commissions | 577 |
| 249 |
| — |
| 826 |
| Credit- and bank-card income | | | |
|
| Interchange fees | 261 |
| 1,917 |
| — |
| 2,178 |
| Card-related loan fees | 11 |
| 166 |
| — |
| 177 |
| Card rewards and partner payments | (149 | ) | (2,093 | ) | — |
| (2,242 | ) | Deposit-related fees(1) | 233 |
| 115 |
| — |
| 348 |
| Transactional service fees | 227 |
| 24 |
| — |
| 251 |
| Corporate finance(2) | 146 |
| — |
| — |
| 146 |
| Insurance distribution revenue | 4 |
| 125 |
| — |
| 129 |
| Insurance premiums | — |
| 43 |
| — |
| 43 |
| Loan servicing | 20 |
| 11 |
| 8 |
| 39 |
| Other | 30 |
| 56 |
| — |
| 86 |
| Total commissions and fees(3) | $ | 2,400 |
| $ | 613 |
| $ | 8 |
| $ | 3,021 |
|
| | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, | | | 2020 | | In millions of dollars | ICG | GCB | Corporate/Other | Total | | | | | Investment banking | $ | 1,040 | | $ | 0 | | $ | 0 | | $ | 1,040 | | | | | | Brokerage commissions | 577 | | 249 | | 0 | | 826 | | | | | | Credit- and bank-card income | | | | | | | | | Interchange fees | 261 | | 1,917 | | 0 | | 2,178 | | | | | | Card-related loan fees | 11 | | 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 fees | 227 | | 24 | | 0 | | 251 | | | | | | Corporate finance(3) | 146 | | 0 | | 0 | | 146 | | | | | | Insurance distribution revenue | 4 | | 125 | | 0 | | 129 | | | | | | Insurance premiums | 0 | | 43 | | 0 | | 43 | | | | | | Loan servicing | 20 | | 11 | | 8 | | 39 | | | | | | Other | 30 | | 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.
| | | | | | | | | | | | | | | Three Months Ended March 31, | | 2019 | In millions of dollars | ICG | GCB | Corporate/Other | Total | Investment banking | $ | 914 |
| $ | — |
| $ | — |
| $ | 914 |
| Brokerage commissions | 471 |
| 186 |
| — |
| 657 |
| Credit- and bank-card income | | | | | Interchange fees | 279 |
| 1,983 |
| — |
| 2,262 |
| Card-related loan fees | 13 |
| 160 |
| — |
| 173 |
| Card rewards and partner payments | (153 | ) | (2,061 | ) | — |
| (2,214 | ) | Deposit-related fees(1) | 262 |
| 122 |
| — |
| 384 |
| Transactional service fees | 201 |
| 30 |
| — |
| 231 |
| Corporate finance(2) | 179 |
| — |
| — |
| 179 |
| Insurance distribution revenue | 4 |
| 132 |
| — |
| 136 |
| Insurance premiums | — |
| 47 |
| — |
| 47 |
| Loan servicing | 50 |
| 22 |
| 6 |
| 78 |
| Other | 17 |
| 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 dollars | ICG | GCB | Corporate/Other | Total | | | | | Custody fees | $ | 451 | | $ | 6 | | $ | 0 | | $ | 457 | | | | | | Fiduciary fees | 192 | | 167 | | 0 | | 359 | | | | | | Guarantee fees | 142 | | 2 | | 1 | | 145 | | | | | | Total administration and other fiduciary fees(1) | $ | 785 | | $ | 175 | | $ | 1 | | $ | 961 | | | | | |
| | | Three Months Ended March 31, | | Three Months Ended March 31, | | | 2020 | | 2020 | | In millions of dollars | ICG | GCB | Corporate/Other | Total | In millions of dollars | ICG | GCB | Corporate/Other | Total | | Custody fees | $ | 366 |
| $ | 8 |
| $ | 15 |
| $ | 389 |
| Custody fees | $ | 366 | | $ | 8 | | $ | 15 | | $ | 389 | | | Fiduciary fees | 172 |
| 156 |
| — |
| 328 |
| Fiduciary fees | 172 | | 156 | | 0 | | 328 | | | Guarantee fees | 134 |
| 2 |
| 1 |
| 137 |
| Guarantee fees | 134 | | 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 dollars | ICG | GCB | Corporate/Other | Total | Custody fees | $ | 364 |
| $ | 3 |
| $ | 16 |
| $ | 383 |
| Fiduciary fees | 152 |
| 146 |
| 12 |
| 310 |
| Guarantee fees | 142 |
| 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.
|
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:
| | | | | | | | | | | | Three Months Ended March 31, | | In millions of dollars | 2021 | 2020 | | | 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. | | | | | | | | | Three Months Ended March 31, | In millions of dollars | 2020 | 2019 | 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 plans | Postretirement benefit plans | | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | | | | | | | | | | | | | | Benefits earned during the period | $ | 0 | | $ | 0 | | | $ | 39 | | $ | 37 | | | $ | 0 | | $ | 0 | | | $ | 2 | | $ | 2 | | | Interest cost on benefit obligation | 82 | | 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 loss | 62 | | 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 plans | Postretirement benefit plans | | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans | In millions of dollars | 2020 | 2019 | 2020 | 2019 | 2020 | 2019 | 2020 | 2019 | Benefits earned during the period | $ | — |
| $ | — |
| $ | 37 |
| $ | 36 |
| $ | — |
| $ | — |
| $ | 2 |
| $ | 2 |
| Interest cost on benefit obligation | 106 |
| 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 loss | 56 |
| 44 |
| 17 |
| 15 |
| — |
| — |
| 5 |
| 5 |
| Total net (benefit) expense | $ | (45 | ) | $ | (28 | ) | $ | 52 |
| $ | 57 |
| $ | — |
| $ | 2 |
| $ | 9 |
| $ | 10 |
|
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 plans | Postretirement benefit plans | In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans | | | | | | Change in projected benefit obligation | | | | | | | | | | Projected benefit obligation at beginning of year | $ | 13,815 | | $ | 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 period | 0 | | 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 other | 0 | | (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 annually | 0 | | (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 reimbursements | 13 | | 18 | | 5 | | 0 | | | | | | | Benefits paid, net of participants’ contributions and government subsidy | (216) | | (84) | | (9) | | (18) | | | | | | | | | | | | | | | | | Foreign exchange impact and other | 0 | | (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 plans | Postretirement benefit plans | In millions of dollars | U.S. plans | Non-U.S. plans | U.S. plans | Non-U.S. plans | Change in projected benefit obligation | |
| |
| |
| |
| Projected benefit obligation at beginning of year | $ | 13,453 |
| $ | 8,105 |
| $ | 692 |
| $ | 1,384 |
| Plans measured annually | (26 | ) | (2,068 | ) | — |
| (323 | ) | Projected benefit obligation at beginning of year—Significant Plans | $ | 13,427 |
| $ | 6,037 |
| $ | 692 |
| $ | 1,061 |
| Benefits earned during the period |
|
| 21 |
| — |
| 1 |
| Interest cost on benefit obligation | 106 |
| 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 reimbursements | 13 |
| 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. |
The following table shows the change in AOCI related to the Company’s pension, postretirement and post employmentpost-employment plans: | In millions of dollars | | In millions of dollars | Three Months Ended March 31, 2021 | For 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 dollars | Three 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 experience | 430 |
| (2,300 | ) | Actuarial assumptions changes and plan experience | 1,430 | | (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 returns | | Net asset (loss) gain due to difference between actual and expected returns | (718) | | 1,076 | | | Net amortization | 76 |
| 274 |
| Net amortization | 81 | | 318 | | | Prior service cost | — |
| (7 | ) | | Curtailment/settlement gain(3) | — |
| 1 |
| | Prior service credit | | Prior service credit | 0 | | 108 | | | Curtailment/settlement loss(3) | | Curtailment/settlement loss(3) | 0 | | (8) | | | Foreign exchange impact and other | 204 |
| (66 | ) | Foreign exchange impact and other | 114 | | (108) | | | Change in deferred taxes, net | 132 |
| 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 period | Three Months Ended | Mar. 31, 2021 | | Dec. 31, 2020 | U.S. plans | | | | Qualified pension | 2.45 | % | | 2.55 | % | Nonqualified pension | 2.35 | | | 2.50 | | Postretirement | 2.20 | | | 2.35 | | Non-U.S. plans | | | | Pension | 0.05-8.15 | | 0.05-8.55 | Weighted average | 3.60 | | | 3.74 | | Postretirement | 8.55 | | | 9.00 | |
| | | | | | Net (benefit) expense assumed discount rates during the period | Three Months Ended | Mar. 31, 2020 | Dec. 31, 2019 | U.S. plans | | | Qualified pension | 3.25 | % | 3.10 | % | Nonqualified pension | 3.25 |
| 3.10 |
| Postretirement | 3.15 |
| 3.00 |
| Non-U.S. plans | | | Pension (1) | 0.20-8.95 | -0.05-9.00 | Weighted average | 4.21 |
| 4.05 |
| Postretirement | 9.10 |
| 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 ended | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2020 | | U.S. plans | | | | | Qualified pension | 3.10 | % | 2.45 | % | 3.20 | % | | Nonqualified pension | 3.00 | | 2.35 | | 3.25 | | | Postretirement | 2.85 | | 2.20 | | 3.20 | | | Non-U.S. plans | | | | | Pension | 0.25-9.30 | 0.05-8.15 | 0.45-9.45 | | Weighted average | 3.59 | | 3.60 | | 4.38 | | | Postretirement | 9.70 | | 8.55 | | 9.75 | | |
| | | | | | | | Plan obligations assumed discount rates at period ended | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2019 | U.S. plans | | | | Qualified pension | 3.20 | % | 3.25 | % | 3.85 | % | Nonqualified pension | 3.25 |
| 3.25 |
| 3.90 |
| Postretirement | 3.20 |
| 3.15 |
| 3.80 |
| Non-U.S. plans | | | | Pension | 0.45-9.45 | 0.20-8.95 | 0.45-10.30 | Weighted average | 4.38 |
| 4.21 |
| 4.74 |
| Postretirement | 9.75 |
| 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 dollars | One-percentage-point increase | | | One-percentage-point decrease | Pension | | | | | U.S. plans | $ | 9 | | | | $ | (15) | | Non-U.S. plans | 0 | | | | 5 | | Postretirement | | | | | U.S. plans | 0 | | | | (1) | | Non-U.S. plans | (3) | | | | 3 | |
| | | | | | | | | Three Months Ended March 31, 2020 | In millions of dollars | One-percentage-point increase | One-percentage-point decrease | Pension | | | U.S. plans | $ | 7 |
| $ | (12 | ) | Non-U.S. plans | (2 | ) | 5 |
| Postretirement | | | U.S. plans | 1 |
| (1 | ) | Non-U.S. plans | (2 | ) | 2 |
|
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. plans | | U.S. plans | | Non-U.S. plans | | In millions of dollars | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 2021 | 2020 | | 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. plans | U.S. plans | Non-U.S. plans | In millions of dollars | 2020 | 2019 | 2020 | 2019 | 2020 | 2019 | 2020 | 2019 | Company contributions(2) for the 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 dollars | 2020 | 2019 | In millions of dollars | 2021 | 2020 | U.S. plans | $ | 101 |
| $ | 99 |
| U.S. plans | $ | 105 | | $ | 101 | | Non-U.S. plans | 76 |
| 68 |
| Non-U.S. plans | 92 | | 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 dollars | 2021 | 2020 | | | | | | | | | | | | | | | | | | | | | | | | | Non-service-related expense | $ | 5 | | $ | 5 | | Total net expense | $ | 5 | | $ | 5 | |
| | | | | | | | | Three Months Ended March 31, | In millions of dollars | 2020 | 2019 | 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 |
|
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 amounts | 2021 | 2020 | | | Earnings per common share | | | | | Income from continuing operations before attribution of noncontrolling interests | $ | 7,977 | | $ | 2,548 | | | | Less: Noncontrolling interests from continuing operations | 33 | | (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 EPS | 66 | | 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 operations | 0 | | (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 forfeitable | 7 | | 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 plans | 14.5 | | 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 operations | 0 | | (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.
| | | | | | | | | Three Months Ended March 31, | In millions of dollars, except per share amounts | 2020 | 2019 | 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 EPS | 21 |
| 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 forfeitable | 7 |
| — |
| 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 plans | 15.7 |
| 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 dollars | March 31, 2021 | December 31, 2020 | Securities purchased under agreements to resell | $ | 220,276 | | $ | 204,655 | | Deposits paid for securities borrowed | 94,801 | | 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 dollars | March 31, 2020 | December 31, 2019 | Securities purchased under agreements to resell | $ | 178,930 |
| $ | 169,874 |
| Deposits paid for securities borrowed | 83,606 |
| 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 dollars | March 31, 2020 | December 31, 2019 | In millions of dollars | March 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 loaned | 8,799 |
| 11,175 |
| Deposits received for securities loaned | 21,139 | | 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 dollars | Gross amounts of recognized assets | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of assets included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities purchased under agreements to resell | $ | 336,164 | | $ | 115,888 | | $ | 220,276 | | $ | 184,850 | | $ | 35,426 | | Deposits paid for securities borrowed | 106,008 | | 11,207 | | 94,801 | | 20,754 | | 74,047 | | Total | $ | 442,172 | | $ | 127,095 | | $ | 315,077 | | $ | 205,604 | | $ | 109,473 | |
| | | | | | | | | | | | | | | | | | As of March 31, 2020 | In millions of dollars | Gross amounts of recognized assets | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of assets included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities purchased under agreements to resell | $ | 304,427 |
| $ | 125,497 |
| $ | 178,930 |
| $ | 142,194 |
| $ | 36,736 |
| Deposits paid for securities borrowed | 87,669 |
| 4,063 |
| 83,606 |
| 27,015 |
| 56,591 |
| Total | $ | 392,096 |
| $ | 129,560 |
| $ | 262,536 |
| $ | 169,209 |
| $ | 93,327 |
|
| | | | | | | | | | | | | | | | | In millions of dollars | Gross amounts of recognized liabilities | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of liabilities included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities sold under agreements to repurchase | $ | 339,022 |
| $ | 125,497 |
| $ | 213,525 |
| $ | 125,995 |
| $ | 87,530 |
| Deposits received for securities loaned | 12,862 |
| 4,063 |
| 8,799 |
| 3,109 |
| 5,690 |
| Total | $ | 351,884 |
| $ | 129,560 |
| $ | 222,324 |
| $ | 129,104 |
| $ | 93,220 |
|
| | | | | | | | | | | | | | | | | | In millions of dollars | Gross amounts of recognized liabilities | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of liabilities included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities sold under agreements to repurchase | $ | 313,917 | | $ | 115,888 | | $ | 198,029 | | $ | 102,256 | | $ | 95,773 | | Deposits received for securities loaned | 32,346 | | 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 dollars | Gross amounts of recognized assets | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of assets included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | In millions of dollars | Gross amounts of recognized assets | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of assets included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | | Securities purchased under agreements to 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 borrowed | 90,047 |
| 8,599 |
| 81,448 |
| 27,067 |
| 54,381 |
| Deposits paid for securities borrowed | 96,425 | | 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 dollars | Gross amounts of recognized liabilities | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of liabilities included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities sold under agreements to repurchase | $ | 338,564 | | $ | 157,370 | | $ | 181,194 | | $ | 95,563 | | $ | 85,631 | | Deposits received for securities loaned | 24,689 | | 6,358 | | 18,331 | | 7,982 | | 10,349 | | Total | $ | 363,253 | | $ | 163,728 | | $ | 199,525 | | $ | 103,545 | | $ | 95,980 | |
| | | | | | | | | | | | | | | | | In millions of dollars | Gross amounts of recognized liabilities | Gross amounts offset on the Consolidated Balance Sheet(1) | Net amounts of liabilities included on the Consolidated Balance Sheet | Amounts not offset on the Consolidated Balance Sheet but eligible for offsetting upon counterparty default(2) | Net amounts(3) | Securities sold under agreements to repurchase | $ | 266,564 |
| $ | 111,400 |
| $ | 155,164 |
| $ | 91,034 |
| $ | 64,130 |
| Deposits received for securities loaned | 19,774 |
| 8,599 |
| 11,175 |
| 3,138 |
| 8,037 |
| Total | $ | 286,338 |
| $ | 119,999 |
| $ | 166,339 |
| $ | 94,172 |
| $ | 72,167 |
|
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45. | | (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 dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total | Securities sold under agreements to repurchase | $ | 154,646 | | $ | 74,302 | | $ | 39,859 | | $ | 45,110 | | $ | 313,917 | | Deposits received for securities loaned | 22,498 | | 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 dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total | Securities sold under agreements to repurchase | $ | 160,754 | | $ | 98,226 | | $ | 41,679 | | $ | 37,905 | | $ | 338,564 | | Deposits received for securities loaned | 17,038 | | 3 | | 2,770 | | 4,878 | | 24,689 | | Total | $ | 177,792 | | $ | 98,229 | | $ | 44,449 | | $ | 42,783 | | $ | 363,253 | |
| | | | | | | | | | | | | | | | | | As of March 31, 2020 | In millions of dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total | Securities sold under agreements to repurchase | $ | 173,961 |
| $ | 66,488 |
| $ | 54,421 |
| $ | 44,153 |
| $ | 339,022 |
| Deposits received for securities loaned | 9,189 |
| 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 dollars | Open and overnight | Up to 30 days | 31–90 days | Greater than 90 days | Total | Securities sold under agreements to repurchase | $ | 108,534 |
| $ | 82,749 |
| $ | 35,108 |
| $ | 40,173 |
| $ | 266,564 |
| Deposits received for securities loaned | 15,758 |
| 208 |
| 1,789 |
| 2,019 |
| 19,774 |
| Total | $ | 124,292 |
| $ | 82,957 |
| $ | 36,897 |
| $ | 42,192 |
| $ | 286,338 |
|
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 dollars | Repurchase agreements | Securities lending agreements | Total | U.S. Treasury and federal agency securities | $ | 106,286 | | $ | 0 | | $ | 106,286 | | State and municipal securities | 636 | | 0 | | 636 | | Foreign government securities | 118,501 | | 1,909 | | 120,410 | | Corporate bonds | 21,778 | | 148 | | 21,926 | | Equity securities | 22,651 | | 30,136 | | 52,787 | | Mortgage-backed securities | 36,336 | | 0 | | 36,336 | | Asset-backed securities | 2,501 | | 0 | | 2,501 | | Other | 5,228 | | 153 | | 5,381 | | Total | $ | 313,917 | | $ | 32,346 | | $ | 346,263 | |
| | | | | | | | | | | | As of March 31, 2020 | In millions of dollars | Repurchase agreements | Securities lending agreements | Total | U.S. Treasury and federal agency securities | $ | 142,676 |
| $ | 1 |
| $ | 142,677 |
| State and municipal securities | 3,280 |
| 1 |
| 3,281 |
| Foreign government securities | 110,459 |
| 280 |
| 110,739 |
| Corporate bonds | 18,177 |
| 327 |
| 18,504 |
| Equity securities | 8,034 |
| 12,135 |
| 20,169 |
| Mortgage-backed securities | 38,102 |
| — |
| 38,102 |
| Asset-backed securities | 4,792 |
| — |
| 4,792 |
| Other | 13,502 |
| 118 |
| 13,620 |
| Total | $ | 339,022 |
| $ | 12,862 |
| $ | 351,884 |
|
| | | | | | | | | | | | As of December 31, 2019 | In millions of dollars | Repurchase agreements | Securities lending agreements | Total | U.S. Treasury and federal agency securities | $ | 100,781 |
| $ | 27 |
| $ | 100,808 |
| State and municipal securities | 1,938 |
| 5 |
| 1,943 |
| Foreign government securities | 95,880 |
| 272 |
| 96,152 |
| Corporate bonds | 18,761 |
| 249 |
| 19,010 |
| Equity securities | 12,010 |
| 19,069 |
| 31,079 |
| Mortgage-backed securities | 28,458 |
| — |
| 28,458 |
| Asset-backed securities | 4,873 |
| — |
| 4,873 |
| Other | 3,863 |
| 152 |
| 4,015 |
| Total | $ | 266,564 |
| $ | 19,774 |
| $ | 286,338 |
|
| | | | | | | | | | | | | As of December 31, 2020 | In millions of dollars | Repurchase agreements | Securities lending agreements | Total | U.S. Treasury and federal agency securities | $ | 112,437 | | $ | 0 | | $ | 112,437 | | State and municipal securities | 664 | | 2 | | 666 | | Foreign government securities | 130,017 | | 194 | | 130,211 | | Corporate bonds | 20,149 | | 78 | | 20,227 | | Equity securities | 21,497 | | 24,149 | | 45,646 | | Mortgage-backed securities | 45,566 | | 0 | | 45,566 | | Asset-backed securities | 3,307 | | 0 | | 3,307 | | Other | 4,927 | | 266 | | 5,193 | | Total | $ | 338,564 | | $ | 24,689 | | $ | 363,253 | |
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 dollars | March 31, 2021 | December 31, 2020 | Receivables from customers | $ | 25,661 | | $ | 18,097 | | Receivables from brokers, dealers and clearing organizations | 34,804 | | 26,709 | | Total brokerage receivables(1) | $ | 60,465 | | $ | 44,806 | | Payables to customers | $ | 45,065 | | $ | 39,319 | | Payables to brokers, dealers and clearing organizations | 15,842 | | 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 dollars | March 31, 2020 | December 31, 2019 | Receivables from customers | $ | 22,390 |
| $ | 15,912 |
| Receivables from brokers, dealers and clearing organizations | 46,165 |
| 23,945 |
| Total brokerage receivables(1) | $ | 68,555 |
| $ | 39,857 |
| Payables to customers | $ | 51,506 |
| $ | 37,613 |
| Payables to brokers, dealers and clearing organizations | 22,862 |
| 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 dollars | March 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 dollars | March 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 dollars | 2021 | 2020 | | | Taxable interest | $ | 1,652 | | $ | 2,179 | | | | Interest exempt from U.S. federal income tax | 66 | | 76 | | | | Dividend income | 34 | | 26 | | | | Total interest and dividend income on investments | $ | 1,752 | | $ | 2,281 | | | |
| | | | | | | | | Three Months Ended March 31, | In millions of dollars | 2020 | 2019 | Taxable interest | $ | 2,179 |
| $ | 2,372 |
| Interest exempt from U.S. federal income tax | 76 |
| 127 |
| Dividend income | 26 |
| 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 dollars | 2021 | 2020 | | | 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 dollars | 2020 | 2019 | Gross realized investment gains | $ | 464 |
| $ | 168 |
| Gross realized investment losses | (32 | ) | (38 | ) | Net realized gains on sale of investments | $ | 432 |
| $ | 130 |
|
Debt Securities Available-for-Sale The amortized cost and fair value of AFS debt securities were as follows: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2021 | December 31, 2020 | In millions of dollars | Amortized cost | Gross unrealized gains | Gross unrealized losses | Allowance for credit losses | Fair value | Amortized cost | Gross unrealized gains | Gross unrealized losses | Allowance for credit losses | Fair 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. residential | 435 | | 2 | | 0 | | 0 | | 437 | | 568 | | 3 | | 0 | | 0 | | 571 | | Commercial | 44 | | 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 obligations | 50 | | 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 government | 119,126 | | 979 | | 491 | | 0 | | 119,614 | | 123,467 | | 1,623 | | 122 | | 0 | | 124,968 | | Corporate | 10,274 | | 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 securities | 4,758 | | 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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2020 | December 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. residential | 752 |
| 3 |
| 3 |
| 752 |
| 789 |
| 3 |
| — |
| 792 |
| Commercial | 69 |
| — |
| 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 obligations | 4,080 |
| 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 government | 116,703 |
| 983 |
| 319 |
| 117,367 |
| 110,958 |
| 586 |
| 241 |
| 111,303 |
| Corporate | 11,243 |
| 116 |
| 162 |
| 11,197 |
| 11,266 |
| 52 |
| 101 |
| 11,217 |
| Asset-backed securities(1) | 479 |
| 1 |
| 14 |
| 466 |
| 524 |
| — |
| 2 |
| 522 |
| Other debt securities | 4,086 |
| 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 months | 12 months or longer | Total | In millions of dollars | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | 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. residential | 15 | | 0 | | 1 | | 0 | | 16 | | 0 | | Commercial | 1 | | 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 municipal | 191 | | 5 | | 1,215 | | 114 | | 1,406 | | 119 | | Foreign government | 46,138 | | 389 | | 4,629 | | 102 | | 50,767 | | 491 | | Corporate | 3,017 | | 116 | | 39 | | 2 | | 3,056 | | 118 | | Asset-backed securities | 3 | | 0 | | 0 | | 0 | | 3 | | 0 | | Other debt securities | 1,079 | | 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. residential | 1 | | 0 | | 0 | | 0 | | 1 | | 0 | | Commercial | 7 | | 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 obligations | 50 | | 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 government | 29,344 | | 61 | | 3,502 | | 61 | | 32,846 | | 122 | | Corporate | 1,083 | | 90 | | 24 | | 1 | | 1,107 | | 91 | | Asset-backed securities | 194 | | 3 | | 39 | | 1 | | 233 | | 4 | | Other debt securities | 182 | | 0 | | 0 | | 0 | | 182 | | 0 | | Total debt securities AFS | $ | 60,316 | | $ | 267 | | $ | 4,760 | | $ | 208 | | $ | 65,076 | | $ | 475 | |
| | | | | | | | | | | | | | | | | | | | | Less than 12 months | 12 months or longer | Total | In millions of dollars | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | Fair value | Gross unrealized losses | 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. residential | 360 |
| 3 |
| — |
| — |
| 360 |
| 3 |
| Commercial | 38 |
| — |
| 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 government | 26,966 |
| 235 |
| 2,963 |
| 84 |
| 29,929 |
| 319 |
| Corporate | 2,540 |
| 155 |
| 61 |
| 7 |
| 2,601 |
| 162 |
| Asset-backed securities | 136 |
| 6 |
| 148 |
| 8 |
| 284 |
| 14 |
| Other debt securities | 118 |
| — |
| — |
| — |
| 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. residential | 208 |
| — |
| 1 |
| — |
| 209 |
| — |
| Commercial | 16 |
| — |
| 27 |
| — |
| 43 |
| — |
| Total mortgage-backed securities | $ | 10,004 |
| $ | 242 |
| $ | 1,905 |
| $ | 38 |
| $ | 11,909 |
| $ | 280 |
| U.S. Treasury and federal agency securities | |
| |
| |
|
|
| |
| |
| U.S. Treasury | $ | 45,484 |
| $ | 248 |
| $ | 26,907 |
| $ | 132 |
| $ | 72,391 |
| $ | 380 |
| Agency obligations | 781 |
| 2 |
| 3,897 |
| 18 |
| 4,678 |
| 20 |
| Total U.S. Treasury and federal agency securities | $ | 46,265 |
| $ | 250 |
| $ | 30,804 |
| $ | 150 |
| $ | 77,069 |
| $ | 400 |
| State and municipal | $ | 362 |
| $ | 62 |
| $ | 266 |
| $ | 27 |
| $ | 628 |
| $ | 89 |
| Foreign government | 35,485 |
| 149 |
| 8,170 |
| 92 |
| 43,655 |
| 241 |
| Corporate | 2,916 |
| 98 |
| 123 |
| 3 |
| 3,039 |
| 101 |
| Asset-backed securities | 112 |
| 1 |
| 166 |
| 1 |
| 278 |
| 2 |
| Other debt securities | 1,307 |
| — |
| — |
| — |
| 1,307 |
| — |
| Total debt securities AFS | $ | 96,451 |
| $ | 802 |
| $ | 41,434 |
| $ | 311 |
| $ | 137,885 |
| $ | 1,113 |
|
The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates: | | | | | | | | | | | | | | | | | | March 31, 2021 | December 31, 2020 | In millions of dollars | Amortized cost | Fair value | Amortized cost | Fair value | Mortgage-backed securities(1) | | | | | Due within 1 year | $ | 70 | | $ | 70 | | $ | 27 | | $ | 27 | | After 1 but within 5 years | 387 | | 389 | | 567 | | 571 | | After 5 but within 10 years | 819 | | 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 years | 90,482 | | 91,455 | | 108,160 | | 110,091 | | After 5 but within 10 years | 1,222 | | 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 years | 117 | | 118 | | 189 | | 198 | | After 5 but within 10 years | 240 | | 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 years | 63,516 | | 63,789 | | 67,365 | | 68,586 | | After 5 but within 10 years | 5,562 | | 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 years | 7,886 | | 7,898 | | 7,814 | | 7,891 | | After 5 but within 10 years | 992 | | 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, 2020 | December 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 years | 584 |
| 585 |
| 573 |
| 574 |
| After 5 but within 10 years | 1,009 |
| 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 years | 88,605 |
| 91,130 |
| 70,128 |
| 69,850 |
| After 5 but within 10 years | 6,515 |
| 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 years | 601 |
| 608 |
| 714 |
| 723 |
| After 5 but within 10 years | 291 |
| 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 years | 59,050 |
| 59,561 |
| 58,820 |
| 59,071 |
| After 5 but within 10 years | 9,481 |
| 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 years | 8,894 |
| 8,908 |
| 8,279 |
| 8,275 |
| After 5 but within 10 years | 921 |
| 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. residential | | | 1,107 | | 3 | | 1 | | 1,109 | | Commercial | | | 887 | | 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 government | | | 1,877 | | 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. residential | | | 1,124 | | 3 | | 1 | | 1,126 | | Commercial | | | 825 | | 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 municipal | | | 9,185 | | 755 | | 11 | | 9,929 | | Foreign government | | | 1,931 | | 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. residential | 1,112 |
| — |
| 12 |
| 1,100 |
| Commercial | 654 |
| 1 |
| — |
| 655 |
| Total mortgage-backed securities | $ | 50,036 |
| $ | 2,011 |
| $ | 28 |
| $ | 52,019 |
| State and municipal | $ | 9,269 |
| $ | 516 |
| $ | 25 |
| $ | 9,760 |
| Foreign government | 1,553 |
| 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. residential | 1,039 |
| 5 |
| — |
| 1,044 |
| Commercial | 582 |
| 1 |
| — |
| 583 |
| Total mortgage-backed securities | $ | 48,258 |
| $ | 1,053 |
| $ | 21 |
| $ | 49,290 |
| State and municipal | $ | 9,104 |
| $ | 455 |
| $ | 28 |
| $ | 9,531 |
| Foreign government | 1,934 |
| 37 |
| 1 |
| 1,970 |
| Asset-backed securities(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 months | 12 months or longer | Total | In millions of dollars | Fair value | Gross unrecognized losses | Fair value | Gross unrecognized losses | Fair value | Gross unrecognized losses | December 31, 2019 | | | | | | | Debt securities held-to-maturity | | | | | | | Mortgage-backed securities | $ | 3,590 |
| $ | 10 |
| $ | 1,116 |
| $ | 11 |
| $ | 4,706 |
| $ | 21 |
| State and municipal | 34 |
| 1 |
| 1,125 |
| 27 |
| 1,159 |
| 28 |
| Foreign government | 1,970 |
| 1 |
| — |
| — |
| 1,970 |
| 1 |
| Asset-backed securities | 7,972 |
| 11 |
| 765 |
| 48 |
| 8,737 |
| 59 |
| Total debt securities held-to-maturity | $ | 13,566 |
| $ | 23 |
| $ | 3,006 |
| $ | 86 |
| $ | 16,572 |
| $ | 109 |
|
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.
The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates: | | | March 31, 2020 | December 31, 2019 | | March 31, 2021 | December 31, 2020 | In millions of dollars | Amortized cost | Fair value | Amortized cost | Fair value | In 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 years | 474 |
| 486 |
| 458 |
| 463 |
| After 1 but within 5 years | 596 | | 626 | | 463 | | 477 | | After 5 but within 10 years | 1,604 |
| 1,757 |
| 1,662 |
| 1,729 |
| After 5 but within 10 years | 1,641 | | 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 | | Total | | Total | $ | 65,777 | | $ | 66,705 | | $ | 50,953 | | $ | 53,102 | | U.S. Treasury securities | | U.S. Treasury securities | | | | Due within 1 year | | Due within 1 year | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | After 1 but within 5 years | | After 1 but within 5 years | 28,176 | | 27,697 | | 18,955 | | 19,127 | | After 5 but within 10 years | | After 5 but within 10 years | 30,204 | | 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 years | 89 |
| 90 |
| 123 |
| 160 |
| After 1 but within 5 years | 172 | | 176 | | 139 | | 142 | | After 5 but within 10 years | 577 |
| 604 |
| 597 |
| 590 |
| After 5 but within 10 years | 848 | | 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 years | 1,032 |
| 1,071 |
| 1,284 |
| 1,318 |
| After 1 but within 5 years | 1,525 | | 1,565 | | 1,570 | | 1,662 | | After 5 but within 10 years | — |
| — |
| — |
| — |
| After 5 but within 10 years | 0 | | 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 years | 0 | | 0 | | 0 | | 0 | | After 5 but within 10 years | 7,092 |
| 6,753 |
| 8,545 |
| 8,543 |
| After 5 but within 10 years | 13,973 | | 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.
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.
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 dollars | AFS | Other assets | Total | AFS | | Other assets | Total | Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | | Total impairment losses recognized during the period | $ | 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 exercise | 69 | | 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 dollars | AFS | Other assets | Total | AFS | HTM | Other assets | Total | Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell: | | | | | | | | Total impairment losses recognized during the period | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| Less: portion of impairment loss recognized in AOCI (before taxes) | — |
| — |
| — |
| — |
| — |
| — |
| — |
| Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| Impairment losses recognized in earnings for debt securities that the Company intends to sell, would more-likely-than-not be required to sell or will be subject to an issuer call deemed probable of exercise | 52 |
| — |
| 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 dollars | | | | Foreign government | | | Corporate | Total AFS | Allowance for credit losses at beginning of period | | | | $ | 0 | | | | $ | 5 | | $ | 5 | | Less: Write-offs | | | | 0 | | | | 0 | | 0 | | Recoveries of amounts written-off | | | | 0 | | | | 0 | | 0 | | Net credit losses (NCLs) | | | | $ | 0 | | | | $ | 0 | | $ | 0 | | NCLs | | | | $ | 0 | | | | $ | 0 | | $ | 0 | | Credit losses on securities without previous credit losses | | | | 0 | | | | 0 | | 0 | | Net reserve builds (releases) on securities with previous credit losses | | | | 0 | | | | 0 | | 0 | | | | | | | | | | | | | | | | | | | | Total provision for credit losses | | | | $ | 0 | | | | $ | 0 | | $ | 0 | | Initial allowance on newly purchased credit-deteriorated securities during the period | | | | 0 | | | | 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 dollars | December 31, 2019 balance | Credit impairments recognized in earnings on securities not previously impaired | Credit impairments recognized in earnings on securities that have been previously impaired | Changes due to credit-impaired securities sold, transferred or matured | March 31, 2020 balance | AFS debt securities | | | | | | Mortgage-backed securities | $ | 1 |
| $ | — |
| $ | — |
| $ | — |
| $ | 1 |
| State and municipal | 4 |
| — |
| — |
| — |
| 4 |
| Corporate | 4 |
| — |
| — |
| — |
| 4 |
| All other debt securities | 1 |
| — |
| — |
| — |
| 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 dollars | December 31, 2018 balance | Credit impairments recognized in earnings on securities not previously impaired | Credit impairments recognized in earnings on securities that have been previously impaired | Changes due to credit-impaired securities sold, transferred or matured | March 31, 2019 balance | AFS debt securities | | | | | | Mortgage-backed securities | $ | 1 |
| $ | — |
| $ | — |
| $ | — |
| $ | 1 |
| State and municipal | — |
| — |
| — |
| — |
| — |
| Corporate | 4 |
| — |
| — |
| — |
| 4 |
| All other debt securities | — |
| — |
| — |
| — |
| — |
| Total OTTI credit losses recognized for AFS debt securities | $ | 5 |
| $ | — |
| $ | — |
| $ | — |
| $ | 5 |
| HTM debt securities | | | | | | Mortgage-backed securities | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| State and municipal | — |
| — |
| — |
| — |
| — |
| Total OTTI credit losses recognized for HTM debt securities | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
|
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 dollars | March 31, 2021 | December 31, 2020 | Measurement alternative: | | | Carrying value | $ | 1,079 | | $ | 962 | |
| | | | | | | | In millions of dollars | March 31, 2020 | December 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 dollars | 2021 | 2020 | | | Measurement alternative(1): | | | | | Impairment losses | $ | 0 | | $ | 3 | | | | Downward changes for observable prices | 0 | | 0 | | | | Upward changes for observable prices | 81 | | 25 | | | |
| | | | | | | | | Three Months Ended March 31, | In millions of dollars | 2020 | 2019 | Measurement alternative(1): |
|
|
|
| Impairment losses | $ | 3 |
| $ | 5 |
| Downward changes for observable prices | — |
| — |
| Upward changes for observable prices | 25 |
| 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 dollars | March 31, 2021 | Measurement alternative: | | Impairment losses | $ | 68 | | Downward changes for additional information on these nonrecurring fair value measurements.observable prices | 53 | | Upward changes for observable prices | 567 | |
| | | | | | Life-to-date amounts on securities still held | In millions of dollars | March 31, 2020 | Measurement alternative: | | Impairment losses | $ | 19 |
| Downward changes for observable prices | 34 |
| Upward changes for observable prices | 367 |
|
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.
| | | | | | | | | | | | | | | | | | | | | | Fair value | Unfunded commitments | Redemption frequency (if currently eligible) monthly, quarterly, annually | Redemption notice period | In millions of dollars | March 31, 2021 | December 31, 2020 | March 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 funds | 19 | | 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. | | | | | | | | | | | | | | | | | Fair value | Unfunded commitments | Redemption frequency (if currently eligible) monthly, quarterly, annually | Redemption notice period | In millions of dollars | March 31, 2020 | December 31, 2019 | March 31, 2020 | December 31, 2019 | | | Hedge funds | $ | — |
| $ | — |
| $ | — |
| $ | — |
| Generally quarterly | 10–95 days | Private equity funds(1)(2) | 123 |
| 134 |
| 62 |
| 62 |
| — | — | Real estate funds(2)(3) | 9 |
| 10 |
| 18 |
| 18 |
| — | — | Mutual/collective investment funds | 20 |
| 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, 20202021 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | 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 | Non-accrual loans for which there are no loan loss reserves | Non-accrual loans for which there are loan loss reserves | Total non-accrual | 90 days past due and accruing | In North America offices(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 cards | 133,794 |
| 1,673 |
| 1,849 |
| — |
| 137,316 |
| — |
| — |
| — |
| 1,849 |
| Personal, small business and other | 3,631 |
| 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 cards | 21,073 |
| 403 |
| 325 |
| — |
| 21,801 |
| — |
| 243 |
| 243 |
| 236 |
| Personal, small business and other | 33,645 |
| 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 loans | Non-accrual loans for which there is no ACLL | Non-accrual loans for which there is an ACLL | Total 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 cards | 118,870 | | 997 | | 1,181 | | 0 | | 121,048 | | 0 | | 0 | | 0 | | 1,181 | | Personal, small business and other | 4,565 | | 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 cards | 20,397 | | 344 | | 396 | | 0 | | 21,137 | | 0 | | 281 | | 281 | | 269 | | Personal, small business and other | 34,669 | | 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.
Interest Income Recognized for Non-Accrual Consumer Loans During | | | | | | | | | | Interest income | In millions of dollars | Three Months Ended March 31, 2021 | Three Months Ended March 31, 2020 | In North America offices(1) | | | Residential first mortgages | $ | 3 | | $ | 3 | | Home equity loans | 2 | | 2 | | Credit cards | 0 | | 0 | | Personal, small business and other | 0 | | 0 | | Total | $ | 5 | | $ | 5 | | In offices outside North America(1) | | | Residential first mortgages | $ | 0 | | $ | 0 | | Credit cards | 0 | | 0 | | Personal, small business and other | 0 | | 0 | | Total | $ | 0 | | $ | 0 | | Total Citigroup | $ | 5 | | $ | 5 | |
(1)North America includes the Quarter Ended March 31, 2020 | | | | | In millions of dollars | Interest income | In North America offices(1) |
|
| Residential first mortgages | $ | 3 |
| Home equity loans | 2 |
| 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, 20192020 | | 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 ACLL | Non-accrual loans for which there is an ACLL | Total non-accrual | 90 days past due and accruing | In North America offices(5) | | | | | Residential first mortgages(6) | $ | 45,942 |
| $ | 411 |
| $ | 221 |
| $ | 434 |
| $ | 47,008 |
| $ | 479 |
| $ | 288 |
| | Home equity loans(7)(8) | 8,860 |
| 174 |
| 189 |
| — |
| 9,223 |
| 405 |
| — |
| | 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 cards | 145,477 |
| 1,759 |
| 1,927 |
| — |
| 149,163 |
| — |
| 1,927 |
| Credit cards | 127,827 | | 1,228 | | 1,330 | | 0 | | 130,385 | | 0 | | 0 | | 0 | | 1,330 | | Personal, small business and other | 3,641 |
| 44 |
| 14 |
| — |
| 3,699 |
| 21 |
| — |
| Personal, small business and other | 4,472 | | 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 cards | 25,111 |
| 426 |
| 372 |
| — |
| 25,909 |
| 310 |
| 242 |
| Credit cards | 21,718 | | 429 | | 545 | | 0 | | 22,692 | | 0 | | 384 | | 384 | | 376 | | Personal, small business and other | 36,456 |
| 272 |
| 132 |
| — |
| 36,860 |
| 180 |
| — |
| Personal, small business and other | 35,925 | | 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.
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 dollars | Less than 680 | 680 to 760 | Greater than 760 | FICO not available | Total loans | Residential first mortgages | | | | | | 2021 | $ | 21 | | $ | 730 | | $ | 1,650 | | | | 2020 | 195 | | 3,418 | | 8,962 | | | | 2019 | 131 | | 1,639 | | 4,700 | | | | 2018 | 233 | | 547 | | 1,089 | | | | 2017 | 286 | | 740 | | 1,612 | | | | Prior | 1,905 | | 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 | | | | 2020 | 26 | | 65 | | 112 | | | | 2019 | 70 | | 90 | | 114 | | | | 2018 | 67 | | 66 | | 70 | | | | 2017 | 20 | | 21 | | 23 | | | | Prior | 201 | | 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 dollars | Less than 680 | 680 to 760 | Greater than 760 | Residential first mortgages |
|
|
|
|
|
| 2020 | $ | 33 |
| $ | 699 |
| $ | 1,337 |
| 2019 | 229 |
| 3,054 |
| 6,166 |
| 2018 | 314 |
| 1,010 |
| 1,754 |
| 2017 | 366 |
| 1,165 |
| 2,326 |
| 2016 | 417 |
| 1,823 |
| 4,814 |
| Prior | 2,247 |
| 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 |
| 2019 | 133 |
| 189 |
| 150 |
| 2018 | 122 |
| 173 |
| 105 |
| 2017 | 38 |
| 64 |
| 51 |
| 2016 | 20 |
| 30 |
| 20 |
| Prior | 197 |
| 360 |
| 513 |
| Personal, small business and other | $ | 538 |
| $ | 869 |
| $ | 887 |
| Total | $ | 38,889 |
| $ | 74,127 |
| $ | 77,392 |
|
| | | | | | | | | | | | | | | | | | FICO score distribution in U.S. portfolio(1)(2) | December 31, 2020 | In millions of dollars | Less than 680 | 680 to 760 | Greater than 760 | FICO not available | Total loans | Residential first mortgages | | | | | | 2020 | $ | 187 | | $ | 3,741 | | $ | 9,052 | | | | 2019 | 150 | 1,857 | 5,384 | | | 2018 | 246 | 655 | 1,227 | | | 2017 | 298 | 846 | 1,829 | | | 2016 | 323 | 1,368 | 3,799 | | | Prior | 1,708 | 4,133 | 9,105 | | | 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 | | | | 2019 | 79 | | 106 | | 134 | | | | 2018 | 82 | | 80 | | 84 | | | | 2017 | 26 | | 27 | | 30 | | | | 2016 | 10 | | 9 | | 8 | | | | Prior | 214 | | 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 cards | 33,290 |
| 59,536 |
| 52,935 |
| Home equity loans | 1,881 |
| 3,475 |
| 3,630 |
| Personal, small business and other | 564 |
| 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. portfolio | | LTV distribution in U.S. portfolio | March 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 dollars | Less than or equal to 80% | > 80% but less than or equal to 100% | Greater than 100% | LTV not available | Total | Residential first mortgages | | Residential first mortgages | | 2021 | | 2021 | $ | 1,958 | | $ | 443 | | $ | 0 | | | 2020 | $ | 1,706 |
| $ | 363 |
| $ | — |
| 2020 | 11,401 | | 1,184 | | 0 | | | 2019 | 7,825 |
| 1,624 |
| 5 |
| 2019 | 6,093 | | 377 | | 3 | | | 2018 | 2,310 |
| 736 |
| 39 |
| 2018 | 1,474 | | 392 | | 8 | | | 2017 | 3,307 |
| 547 |
| 10 |
| 2017 | 2,449 | | 192 | | 3 | | | 2016 | 6,851 |
| 208 |
| 5 |
| | Prior | 19,646 |
| 179 |
| 26 |
| Prior | 18,084 | | 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. portfolio | December 31, 2020 | | | In millions of dollars | Less than or equal to 80% | > 80% but less than or equal to 100% | Greater than 100% | LTV not available | Total | Residential first mortgages | | | | | | 2020 | $ | 11,447 | | $ | 1,543 | | $ | 0 | | | | 2019 | 7,029 | | 376 | | 2 | | | | 2018 | 1,617 | | 507 | | 11 | | | | 2017 | 2,711 | | 269 | | 4 | | | | 2016 | 5,423 | | 84 | | 2 | | | | Prior | 14,966 | | 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 loans | 7,934 |
| 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, 2021 | 2021 | 2020 | | | | | 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 loans | 457 | | 645 | | 45 | | 498 | | 3 | | 3 | | | | | | Credit cards | 1,992 | | 2,593 | | 844 | | 1,946 | | 35 | | 26 | | | | | | Personal, small business and other | 576 | | 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, 2020 | 2020 | 2019 | 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 loans | 572 |
| 800 |
| 21 |
| 612 |
| 3 |
| 2 |
| Credit cards | 1,913 |
| 1,928 |
| 823 |
| 1,903 |
| 26 |
| 26 |
| Installment and other | | | | | | | Personal, small business and other | 410 |
| 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 loans | 478 | | 651 | | 60 | | 527 | | | Credit cards | 1,982 | | 2,135 | | 918 | | 1,926 | | | Personal, small business and other | 552 | | 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.
| | | | | | | | | | | | | | | Balance at December 31, 2019 | In millions of dollars | Recorded investment(1)(2) | Unpaid principal balance | Related specific allowance(3) | Average carrying value(4) | Mortgage and real estate | | | | | Residential first mortgages | $ | 1,666 |
| $ | 1,838 |
| $ | 161 |
| $ | 1,925 |
| Home equity loans | 592 |
| 824 |
| 123 |
| 637 |
| Credit cards | 1,931 |
| 2,288 |
| 771 |
| 1,890 |
| Installment and other | | | | | Personal, small business and other | 419 |
| 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 modified | Number of loans modified | Post- modification recorded investment(2)(3) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average interest rate reduction | North America | | | | | | | Residential first mortgages | 331 | | $ | 57 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % | Home equity loans | 50 | | 4 | | 0 | | 0 | | 0 | | 0 | | Credit cards | 59,046 | | 300 | | 0 | | 0 | | 0 | | 17 | | Personal, small business and other | 461 | | 7 | | 0 | | 0 | | 0 | | 4 | | Total(7) | 59,888 | | $ | 368 | | $ | 0 | | $ | 0 | | $ | 0 | | | International | | | | | | | Residential first mortgages | 467 | | $ | 24 | | $ | 0 | | $ | 0 | | $ | 0 | | 1 | % | Credit cards | 24,599 | | 102 | | 0 | | 0 | | 7 | | 15 | | Personal, small business and other | 7,537 | | 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 modified | Number of loans modified | Post- modification recorded investment(2)(8) | Deferred principal(4) | Contingent principal forgiveness(5) | Principal forgiveness(6) | Average interest rate reduction | North America | | | | | | | Residential first mortgages | 277 | | $ | 44 | | $ | 0 | | $ | 0 | | $ | 0 | | 0 | % | Home equity loans | 82 | | 8 | | 0 | | 0 | | 0 | | 2 | | Credit cards | 67,282 | | 305 | | 0 | | 0 | | 0 | | 17 | | Personal, small business and other | 433 | | 4 | | 0 | | 0 | | 0 | | 6 | | Total(7) | 68,074 | | $ | 361 | | $ | 0 | | $ | 0 | | $ | 0 | | | International | | | | | | | Residential first mortgages | 536 | | $ | 14 | | $ | 0 | | $ | 0 | | $ | 0 | | 5 | % | Credit cards | 19,315 | | 73 | | 0 | | 0 | | 3 | | 16 | | Personal, small business and other | 7,654 | | 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.
| | | | | | | | | | | | | | | | | | | For the Three Months Ended March 31, 2020 | In millions of dollars, except number of loans modified | Number of loans modified | Post- modification recorded investment(1)(2) | Deferred principal(3) | Contingent principal forgiveness(4) | Principal forgiveness(5) | Average interest rate reduction | North America | | | | | | | Residential first mortgages | 277 |
| $ | 44 |
| $ | — |
| $ | — |
| $ | — |
| — | % | Home equity loans | 82 |
| 8 |
| — |
| — |
| — |
| 2 |
| Credit cards | 67,282 |
| 305 |
| — |
| — |
| — |
| 17 |
| Personal, small business and other | 433 |
| 4 |
| — |
| — |
| — |
| 6 |
| Total(6) | 68,074 |
| $ | 361 |
| $ | — |
| $ | — |
| $ | — |
|
|
| International | | | | | | | Residential first mortgages | 536 |
| $ | 14 |
| $ | — |
| $ | — |
| $ | — |
| 5 | % | Credit cards | 19,315 |
| 73 |
| — |
| — |
| 3 |
| 16 |
| Personal, small business and other | 7,654 |
| 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 mortgages | 493 |
| $ | 74 |
| $ | — |
| $ | — |
| $ | — |
| — | % | Home equity loans | 206 |
| 21 |
| 1 |
| — |
| — |
| 2 |
| Credit cards | 72,247 |
| 305 |
| — |
| — |
| — |
| 18 |
| Personal, small business and other | 356 |
| 3 |
| — |
| — |
| — |
| 5 |
| Total(6) | 73,302 |
| $ | 403 |
| $ | 1 |
| $ | — |
| $ | — |
| |
| International | | | | | | | Residential first mortgages | 725 |
| $ | 20 |
| $ | — |
| $ | — |
| $ | — |
| — | % | Credit cards | 18,493 |
| 75 |
| — |
| — |
| 3 |
| 16 |
| Personal, small business and other | 7,644 |
| 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 dollars | 2021 | 2020 | | | North America | | | | | Residential first mortgages | $ | 18 | | $ | 14 | | | | Home equity loans | 4 | | 2 | | | | Credit cards | 63 | | 90 | | | | Personal, small business and other | 1 | | 1 | | | | Total | $ | 86 | | $ | 107 | | | | International | | | | | Residential first mortgages | $ | 12 | | $ | 6 | | | | Credit cards | 52 | | 33 | | | | Personal, small business and other | 23 | | 17 | | | | Total | $ | 87 | | $ | 56 | | | |
| | | | | | | | | Three Months Ended March 31, | In millions of dollars | 2020 | 2019 | North America | | | Residential first mortgages | $ | 14 |
| $ | 23 |
| Home equity loans | 2 |
| 3 |
| Credit cards | 90 |
| 70 |
| Personal, small business and other | 1 |
| 1 |
| Total | $ | 107 |
| $ | 97 |
| International | | | Residential first mortgages | $ | 6 |
| $ | 3 |
| Credit cards | 33 |
| 38 |
| Personal, small business and other | 17 |
| 18 |
| Total | $ | 56 |
| $ | 59 |
|
Purchased Credit-Deteriorated Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2021 | Three Months Ended December 31, 2020 | Three Months Ended March 31, 2020 | In millions of dollars | Credit 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 date | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 4 | | 0 | | 0 | | Discount or premium attributable to non-credit factors | 0 | | 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 date | 4 |
| — |
| — |
| 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 dollars | March 31, 2021 | December 31, 2020 | In North America offices(1) | | | Commercial and industrial | $ | 55,497 | | $ | 57,731 | | Financial institutions | 57,009 | | 55,809 | | Mortgage and real estate(2) | 60,976 | | 60,675 | | Installment and other | 29,186 | | 26,744 | | Lease financing | 539 | | 673 | | Total | $ | 203,207 | | $ | 201,632 | | In offices outside North America(1) | | | Commercial and industrial | $ | 102,666 | | $ | 104,072 | | Financial institutions | 34,729 | | 32,334 | | Mortgage and real estate(2) | 11,166 | | 11,371 | | Installment and other | 35,347 | | 33,759 | | Lease financing | 56 | | 65 | | Governments and official institutions | 4,783 | | 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 dollars | March 31, 2020 | December 31, 2019 | In North America offices(1) | | | Commercial and industrial | $ | 81,231 |
| $ | 55,929 |
| Financial institutions | 60,653 |
| 53,922 |
| Mortgage and real estate(2) | 55,428 |
| 53,371 |
| Installment and other | 30,591 |
| 31,238 |
| Lease financing | 988 |
| 1,290 |
| Total | $ | 228,891 |
| $ | 195,750 |
| In offices outside North America(1) | | | Commercial and industrial | $ | 121,703 |
| $ | 112,668 |
| Financial institutions | 37,003 |
| 40,211 |
| Mortgage and real estate(2) | 9,639 |
| 9,780 |
| Installment and other | 31,728 |
| 27,303 |
| Lease financing | 72 |
| 95 |
| Governments and official institutions | 3,554 |
| 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.
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 institutions | 1,178 |
| 51 |
| 1,229 |
| 29 |
| 94,748 |
| 96,006 |
| Financial institutions | 969 | | 174 | | 1,143 | | 36 | | 90,339 | | 91,518 | | Mortgage and real estate | 591 |
| 24 |
| 615 |
| 204 |
| 64,398 |
| 65,217 |
| Mortgage and real estate | 189 | | 84 | | 273 | | 496 | | 71,373 | | 72,142 | | Lease financing | 28 |
| 8 |
| 36 |
| 41 |
| 983 |
| 1,060 |
| Lease financing | 28 | | 0 | | 28 | | 27 | | 540 | | 595 | | Other | 167 |
| 20 |
| 187 |
| 396 |
| 65,446 |
| 66,029 |
| Other | 70 | | 12 | | 82 | | 82 | | 68,225 | | 68,389 | | Loans at fair value | | | | 3,981 |
| Loans at fair value | | 7,510 | | | 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, 20192020 | | 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 institutions | 791 |
| 3 |
| 794 |
| 50 |
| 91,008 |
| 91,852 |
| Financial institutions | 668 | | 65 | | 733 | | 92 | | 86,864 | | 87,689 | | Mortgage and real estate | 534 |
| 4 |
| 538 |
| 188 |
| 62,425 |
| 63,151 |
| Mortgage and real estate | 450 | | 247 | | 697 | | 505 | | 70,836 | | 72,038 | | Lease financing | 58 |
| 9 |
| 67 |
| 41 |
| 1,277 |
| 1,385 |
| Lease financing | 62 | | 12 | | 74 | | 24 | | 640 | | 738 | | Other | 190 |
| 22 |
| 212 |
| 81 |
| 62,341 |
| 62,634 |
| Other | 112 | | 19 | | 131 | | 111 | | 63,157 | | 63,399 | | Loans at fair value | | | | 4,067 |
| Loans at fair value | | 6,840 | | | 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.
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 dollars | 2021 | 2020 | 2019 | 2018 | 2017 | Prior | | 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 estate | 2,473 | | 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 estate | 944 | | 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 institutions | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 36 | | | 36 | | | Mortgage and real estate | 0 | | 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 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Recorded investment in loans(1) | | Term loans by year of origination | Revolving line of credit arrangements(2) | Totals as of | In millions of dollars | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | March 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 estate | 2,717 |
| 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 estate | 258 |
| 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 estate | 2 |
| — |
| 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 dollars | 2020 | 2019 | 2018 | 2017 | 2016 | Prior | | 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 estate | 6,793 | | 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 estate | 1,882 | | 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 institutions | 1 | | 0 | | 0 | | 0 | | 0 | | 0 | | 91 | | | 92 | | | Mortgage and real estate | 13 | | 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.
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, 2020 | Three Months Ended March 31, 2020 | Three Months Ended March 31, 2019 | | March 31, 2021 | Three 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 recognized | In millions of dollars | Recorded investment(1) | Unpaid principal balance | Related specific allowance | Average carrying value(2) | Interest income recognized | Interest 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 institutions | 29 |
| 113 |
| — |
| 38 |
| — |
| — |
| Financial institutions | 36 | | 120 | | 6 | | 134 | | 0 | | 0 | | | Mortgage and real estate | 204 |
| 401 |
| 10 |
| 192 |
| — |
| — |
| Mortgage and real estate | 496 | | 798 | | 38 | | 486 | | 0 | | 0 | | | Lease financing | 41 |
| 41 |
| — |
| 21 |
| — |
| — |
| Lease financing | 27 | | 27 | | 0 | | 31 | | 0 | | 0 | | | Other | 396 |
| 462 |
| 10 |
| 168 |
| 13 |
| — |
| Other | 82 | | 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, 2019 | | December 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 institutions | 50 |
| 120 |
| 2 |
| 63 |
| Financial institutions | 92 | | 181 | | 17 | | 132 | | | Mortgage and real estate | 188 |
| 362 |
| 10 |
| 192 |
| Mortgage and real estate | 505 | | 803 | | 38 | | 413 | | | Lease financing | 41 |
| 41 |
| — |
| 8 |
| Lease financing | 24 | | 24 | | 0 | | 34 | | | Other | 81 |
| 202 |
| 4 |
| 76 |
| Other | 111 | | 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, 2021 | December 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 institutions | 34 | | 6 | | 90 | | 17 | | Mortgage and real estate | 236 | | 38 | | 246 | | 38 | | Lease financing | 23 | | 0 | | 0 | | 0 | | Other | 30 | | 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 institutions | 2 | | | 2 | | | Mortgage and real estate | 260 | | | 259 | | | Lease financing | 4 | | | 24 | | | Other | 52 | | | 43 | | | Total non-accrual corporate loans without specific allowances | $ | 799 | | N/A | $ | 1,600 | | N/A |
| | | | | | | | | | | | | | | March 31, 2020 | December 31, 2019 | In millions of dollars | Recorded investment(1) | Related specific allowance | Recorded investment(1) | Related specific allowance | Non-accrual corporate loans with specific allowances | | | | | Commercial and industrial | $ | 1,060 |
| $ | 263 |
| $ | 714 |
| $ | 283 |
| Financial institutions | — |
| — |
| 40 |
| 2 |
| Mortgage and real estate | 45 |
| 10 |
| 48 |
| 10 |
| Lease financing | — |
| — |
| — |
| — |
| Other | 14 |
| 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 institutions | 29 |
| |
| 10 |
| |
| Mortgage and real estate | 159 |
| |
| 140 |
| |
| Lease financing | 41 |
| |
| 41 |
| |
| Other | 382 |
| |
| 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
Corporate Troubled Debt Restructurings
(1)
For the three months endedThree Months Ended March 31, 2020:2021 | | | | | | | | | | | | | | | | | In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(2) | TDRs involving changes in the amount and/or timing of interest payments(3) | TDRs involving changes in the amount and/or timing of both principal and interest payments | | | | | | | | | | Commercial and industrial | $ | 21 | | $ | 0 | | $ | 0 | | $ | 21 | | | | | | | | | | | | | | | | | | Mortgage and real estate | 1 | | 0 | | 0 | | 1 | | | | | | | | | | | Other | 1 | | 1 | | 0 | | 0 | | | | Total | $ | 23 | | $ | 1 | | $ | 0 | | $ | 22 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(1) | TDRs involving changes in the amount and/or timing of interest payments(2) | TDRs involving changes in the amount and/or timing of both principal and interest payments | Commercial and industrial | $ | 94 |
| $ | — |
| $ | — |
| $ | 94 |
| Mortgage and real estate | 4 |
| — |
| — |
| 4 |
| Total | $ | 98 |
| $ | — |
| $ | — |
| $ | 98 |
|
For the Three Months Ended March 31, 2020 | | | | | | | | | | | | | | | | | In millions of dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(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 estate | 4 | | 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 dollars | Carrying value of TDRs modified during the period | TDRs involving changes in the amount and/or timing of principal payments(1) | TDRs involving changes in the amount and/or timing of interest payments(2) | TDRs involving changes in the amount and/or timing of both principal and interest payments | Commercial and industrial | $ | 93 |
| $ | — |
| $ | — |
| $ | 93 |
| Mortgage and real estate | 4 |
| — |
| — |
| 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 dollars | TDR 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 estate | 77 |
| — |
| 112 |
| — |
| Other | 15 |
| — |
| 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 dollars | TDR balances at March 31, 2021 | TDR loans that re-defaulted in 2021 within one year of modification | | TDR balances at March 31, 2020 | TDR loans that re-defaulted in 2020 within one year of modification | | Commercial and industrial | $ | 283 | | $ | 0 | | | $ | 685 | | $ | 0 | | | | | | | | | | Mortgage and real estate | 83 | | 0 | | | 77 | | 0 | | | | | | | | | | Other | 35 | | 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.
14. ALLOWANCE FOR CREDIT LOSSES | | | Three Months Ended March 31, | | Three Months Ended March 31, | | In millions of dollars | 2020 | 2019 | In millions of dollars | 2021 | 2020 | | 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 loans | | Gross recoveries on loans | 460 | | 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 NCLs | | Replenishment of NCLs | $ | 1,748 | | $ | 2,059 | | | Net reserve builds (releases) for loans | 4,112 |
| 67 |
| Net reserve builds (releases) for loans | (3,068) | | 4,094 | | | Net specific reserve builds (releases) for loans | 224 |
| (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 period | 4 |
| — |
| Initial allowance for credit losses on newly purchased credit deteriorated assets during the period | 0 | | 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 commitments | 557 |
| 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 details | Three Months Ended March 31, | | In millions of dollars | 2021 | 2020 | | | | | | | | | | | | | | | | | | Sales or transfers of various consumer loan portfolios to HFS | $ | 0 | | $ | (3) | | | | FX translation | (108) | | (483) | | | | Other | 17 | | 3 | | | | Other, net | $ | (91) | | $ | (483) | | | |
| | | | | | | | Other, net details | Three Months Ended March 31, | Sales or transfers of various consumer loan portfolios to HFS | $ | (3 | ) | $ | — |
| FX translation(4) | (483 | ) | 26 |
| Other | 3 |
| (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
| | | | | | | | | | | | | | | | | | | | | Three Months Ended | | March 31, 2020 | March 31, 2019 | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | 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 | ) | Recoveries | 11 |
| 360 |
| 371 |
| 21 |
| 376 |
| 397 |
| Replenishment of net charge-offs | 127 |
| 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, 2020 | December 31, 2019 | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | Allowance for credit losses on loans | |
| |
| |
| | | | Collectively evaluated | $ | 3,168 |
| $ | 16,296 |
| $ | 19,464 |
| $ | 2,587 |
| $ | 8,706 |
| $ | 11,293 |
| Individually evaluated | 283 |
| 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 evaluated | 2,484 |
| 4,479 |
| 6,963 |
| 2,040 |
| 4,892 |
| 6,932 |
| Purchased credit deteriorated | — |
| 129 |
| 129 |
| — |
| 128 |
| 128 |
| Held at fair value | 3,981 |
| 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, 2021 | March 31, 2020 | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | 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 costs | 0 | | 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) | | Recoveries | 17 | | 443 | | 460 | | 12 | | 408 | | 420 | | Replenishment of net charge-offs | 186 | | 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 period | 0 | | 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, 2021 | December 31, 2020 | In millions of dollars | Corporate | Consumer | Total | Corporate | Consumer | Total | Allowance for credit losses on loans | | | | | | | Collectively evaluated | $ | 3,595 | | $ | 16,339 | | $ | 19,934 | | $ | 4,887 | | $ | 18,207 | | $ | 23,094 | | Individually evaluated | 489 | | 1,214 | | 1,703 | | 515 | | 1,345 | | 1,860 | | Purchased credit deteriorated | 0 | | 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 evaluated | 3,106 | | 4,733 | | 7,839 | | 3,527 | | 4,799 | | 8,326 | | Purchased credit deteriorated | 0 | | 135 | | 135 | | 0 | | 141 | | 141 | | Held at fair value | 7,510 | | 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 | |
Allowance for Credit Losses on HTM Debt Securities | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2021 | In millions of dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset-backed | | Total HTM | Allowance for credit losses on HTM debt securities at beginning of period | $ | 3 | | | $ | 74 | | $ | 6 | | | $ | 3 | | | $ | 86 | | Gross credit losses | 0 | | | 0 | | 0 | | | 0 | | | 0 | | Gross recoveries | 3 | | | 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 period | 0 | | | 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 dollars | Mortgage-backed | | State and municipal | Foreign government | | Asset- 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 adoption | 0 | | | 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 period | 0 | | | 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 dollars | U.S. Treasury and federal agency | State and municipal | Foreign government | Asset-backed | Total HTM | Allowance for credit losses on HTM debt securities at beginning of period | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| Adjustment to opening balance for CECL adoption | — |
| 61 |
| 4 |
| 5 |
| 70 |
| 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 |
|
Allowance for Credit Losses on Other Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2021 | | | | In millions of dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements to resell | Brokerage receivables | All other assets(1) | Total | | | Allowance for credit losses at beginning of period | $ | 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 dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements to resell | Brokerage receivables | All other assets(1) | Total | | | Allowance for credit losses at beginning of period | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | | | Adjustment to opening balance for CECL adoption | 6 | | 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 dollars | Cash and due from banks | Deposits with banks | Securities borrowed and purchased under agreements to resell | Brokerage receivables | All other assets | Total | Allowance for credit losses at beginning of period | $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| Adjustment to opening balance for CECL adoption | 6 |
| 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.
15. GOODWILL AND INTANGIBLE ASSETS Goodwill The changes in Goodwill were as follows: | In millions of dollars | | In millions of dollars | Global Consumer Banking | Institutional Clients Group | Total | Balance at December 31, 2020 | | Balance at December 31, 2020 | $ | 12,142 | | $ | 10,020 | | $ | 22,162 | | Foreign currency translation | | Foreign currency translation | (68) | | (189) | | (257) | | | | In millions of dollars | Global Consumer Banking | Institutional Clients Group | Total | | Balance at December 31, 2019 | $ | 12,102 |
| $ | 10,024 |
| $ | 22,126 |
| | Foreign currency translation | (265 | ) | (597 | ) | (862 | ) | | Balance at March 31, 2020 | $ | 11,837 |
| $ | 9,427 |
| $ | 21,264 |
| | | Balance at March 31, 2021 | | Balance 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.
Intangible Assets The components of intangible assets were as follows: | | | | | | | | | | | | | | | | | | | | | | March 31, 2021 | December 31, 2020 | In millions of dollars | Gross carrying amount | Accumulated amortization | Net carrying amount | Gross carrying amount | Accumulated amortization | Net carrying amount | Purchased credit card relationships | $ | 5,614 | | $ | 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 intangibles | 44 | | 44 | | 0 | | 45 | | 44 | | 1 | | Other customer relationships | 426 | | 299 | | 127 | | 455 | | 314 | | 141 | | Present value of future profits | 31 | | 29 | | 2 | | 32 | | 30 | | 2 | | Indefinite-lived intangible assets | 185 | | — | | 185 | | 190 | | — | | 190 | | Other | 61 | | 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, 2020 | December 31, 2019 | In millions of dollars | Gross carrying amount | Accumulated amortization | Net carrying amount | Gross carrying amount | Accumulated amortization | Net carrying amount | Purchased credit card relationships | $ | 5,634 |
| $ | 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 intangibles | 42 |
| 42 |
| — |
| 434 |
| 433 |
| 1 |
| Other customer relationships | 424 |
| 281 |
| 143 |
| 424 |
| 275 |
| 149 |
| Present value of future profits | 27 |
| 24 |
| 3 |
| 34 |
| 31 |
| 3 |
| Indefinite-lived intangible assets | 191 |
| — |
| 191 |
| 228 |
| — |
| 228 |
| Other | 60 |
| 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 dollars | Net carrying amount at December 31, 2020 | Acquisitions/renewals/ divestitures | Amortization | Impairments | FX translation and other | Net 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 intangibles | 1 | | 0 | | (1) | | 0 | | 0 | | 0 | | Other customer relationships | 141 | | 0 | | (6) | | 0 | | (8) | | 127 | | Present value of future profits | 2 | | 0 | | 0 | | 0 | | 0 | | 2 | | Indefinite-lived intangible assets | 190 | | 0 | | 0 | | 0 | | (5) | | 185 | | Other | 5 | | 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 dollars | December 31, 2019 | Acquisitions/ divestitures | Amortization | Impairments | FX translation and other | March 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 intangibles | 1 |
| — |
| — |
| — |
| (1 | ) | — |
| Other customer relationships | 149 |
| — |
| (6 | ) | — |
| — |
| 143 |
| Present value of future profits | 3 |
| — |
| — |
| — |
| — |
| 3 |
| Indefinite-lived intangible assets | 228 |
| — |
| — |
| — |
| (37 | ) | 191 |
| Other | 5 |
| — |
| (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. |
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 dollars | March 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 dollars | March 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 dollars | March 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 dollars | March 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 | Trust | Issuance date | Securities issued | Liquidation value(1) | Coupon rate(2) | Common shares issued to parent | Amount | Maturity | Redeemable by issuer beginning | In millions of dollars, except securities and share amounts | | | | | | | Citigroup Capital III | Dec. 1996 | 194,053 | | $ | 194 | | 7.625 | % | 6,003 | | $ | 200 | | Dec. 1, 2036 | Not redeemable | Citigroup Capital XIII | Sept. 2010 | 89,840,000 | | 2,246 | | 3 mo. LIBOR + 637 bps | 1,000 | | 2,246 | | Oct. 30, 2040 | Oct. 30, 2015 | Citigroup Capital XVIII | Jun. 2007 | 99,901 | | 138 | | 3 mo. sterling LIBOR + 88.75 bps | 50 | | 138 | | Jun. 28, 2067 | Jun. 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 | Amount | Maturity | Redeemable by issuer beginning | In millions of dollars, except securities and share amounts |
|
|
|
|
|
|
|
|
| Citigroup Capital III | Dec. 1996 | 194,053 |
| $ | 194 |
| 7.625 | % | 6,003 |
| $ | 200 |
| Dec. 1, 2036 | Not redeemable | Citigroup Capital XIII | Sept. 2010 | 89,840,000 |
| 2,246 |
| 3 mo LIBOR + 637 bps |
| 1,000 |
| 2,246 |
| Oct. 30, 2040 | Oct. 30, 2015 | Citigroup Capital XVIII | Jun. 2007 | 99,901 |
| 124 |
| 3 mo LIBOR + 88.75 bps |
| 50 |
| 124 |
| Jun. 28, 2067 | Jun. 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.
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 dollars | Net unrealized gains (losses) on debt securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign currency translation adjustment (CTA), net of hedges(4) | Excluded component of fair value hedges | Accumulated 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 dollars | Net unrealized gains (losses) on investment securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign currency translation adjustment (CTA), net of hedges(4) | Excluded component of fair value hedges | Accumulated other comprehensive income (loss) | | | | | | | | | Balance, December 31, 2019 | $ | (265) | | $ | (944) | | $ | 123 | | $ | (6,809) | | $ | (28,391) | | $ | (32) | | $ | (36,318) | | | | | | | | | | | | | | | | | | | | | | | | | | Other comprehensive income before reclassifications | 3,417 | | 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.
| | | | | | | | | | | | | | | | | | | | | | | In millions of dollars | Net unrealized gains (losses) on debt securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign currency translation adjustment (CTA), net of hedges(4) | Excluded component of fair value hedges(5) | Accumulated other comprehensive income (loss) | Balance, December 31, 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 dollars | Net unrealized gains (losses) on investment securities | Debt valuation adjustment (DVA)(1) | Cash flow hedges(2) | Benefit plans(3) | Foreign currency translation adjustment (CTA), net of hedges(4) | Excluded component of 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 dollars | Pretax | Tax effect | After-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 plans | 907 | | (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 dollars | Pretax | Tax effect | After-tax | | | | | Balance, December 31, 2019 | $ | (42,772) | | $ | 6,454 | | $ | (36,318) | | | | | | | | | | Change in net unrealized gains (losses) on debt securities | 4,121 | | (993) | | 3,128 | | Debt valuation adjustment (DVA) | 4,188 | | (1,048) | | 3,140 | | Cash flow hedges | 2,484 | | (587) | | 1,897 | | Benefit plans | (418) | | 132 | | (286) | | Foreign currency translation adjustment | (4,055) | | (54) | | (4,109) | | Excluded component of fair value hedges | 33 | | (6) | | 27 | | Change | $ | 6,353 | | $ | (2,556) | | $ | 3,797 | | Balance, March 31, 2020 | $ | (36,419) | | $ | 3,898 | | $ | (32,521) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | In millions of dollars | Pretax | Tax effect | After-tax | Balance, December 31, 2019 | $ | (42,772 | ) | $ | 6,454 |
| $ | (36,318 | ) | Change in net unrealized gains (losses) on debt securities | 4,121 |
| (993 | ) | 3,128 |
| Debt valuation adjustment (DVA) | 4,188 |
| (1,048 | ) | 3,140 |
| Cash flow hedges | 2,484 |
| (587 | ) | 1,897 |
| Benefit plans | (418 | ) | 132 |
| (286 | ) | Foreign currency translation adjustment | (4,055 | ) | (54 | ) | (4,109 | ) | Excluded component of fair value hedges | 33 |
| (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 dollars | Pretax | Tax effect(1) | After-tax | Balance, December 31, 2018 | $ | (44,082 | ) | $ | 6,912 |
| $ | (37,170 | ) | Change in net unrealized gains (losses) on debt securities | 1,500 |
| (365 | ) | 1,135 |
| Debt valuation adjustment (DVA) | (725 | ) | 154 |
| (571 | ) | Cash flow hedges | 378 |
| (92 | ) | 286 |
| Benefit plans | (68 | ) | 4 |
| (64 | ) | Foreign currency translation adjustment | 69 |
| (11 | ) | 58 |
| Excluded component of fair value hedges | 24 |
| (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 dollars | 2021 | 2020 | | | Realized (gains) losses on sales of investments | $ | (401) | | $ | (432) | | | | Gross impairment losses | 69 | | 52 | | | | Subtotal, pretax | $ | (332) | | $ | (380) | | | | Tax effect | 66 | | 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 contracts | 1 | | 1 | | | | Subtotal, pretax | $ | (277) | | $ | (2) | | | | Tax effect | 65 | | 1 | | | | Amortization of cash flow hedges, after-tax(2) | $ | (212) | | $ | (1) | | | | Amortization of unrecognized: | | | | | Prior service cost (benefit) | $ | (6) | | $ | (3) | | | | Net actuarial loss | 87 | | 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 effect | 0 | | 0 | | | | Excluded component of fair value hedges, after-tax | $ | 0 | | $ | 0 | | | | Foreign currency translation adjustment, pretax | $ | 0 | | $ | 0 | | | | Tax effect | 0 | | 0 | | | | Foreign currency translation adjustment, after-tax | $ | 0 | | $ | 0 | | | | Total amounts reclassified out of AOCI, pretax | $ | (472) | | $ | (274) | | | | Total tax effect | 97 | | 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.
| | | | | | | | | Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income | | Three Months Ended March 31, | In millions of dollars | 2020 | 2019 | Realized (gains) losses on sales of investments | $ | (432 | ) | $ | (130 | ) | Gross impairment losses | — |
| 3 |
| Subtotal, pretax | $ | (432 | ) | $ | (127 | ) | Tax effect | 104 |
| 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 contracts | 1 |
| 2 |
| Subtotal, pretax | $ | (2 | ) | $ | 132 |
| Tax effect | 1 |
| (32 | ) | Amortization of cash flow hedges, after-tax(2) | $ | (1 | ) | $ | 100 |
| Amortization of unrecognized: |
|
| Prior service cost (benefit) | $ | (3 | ) | $ | (4 | ) | Net actuarial loss | 79 |
| 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 effect | 79 |
| (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, 2020 | | As 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 | Total | In millions of dollars | Total involvement with SPE assets | Consolidated VIE/SPE assets | Significant unconsolidated VIE assets(3) | Debt investments | Equity investments | Funding commitments | Guarantees and derivatives | Total | Credit card securitizations | $ | 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-sponsored | 109,728 |
| — |
| 109,728 |
| 2,000 |
| — |
| — |
| 65 |
| 2,065 |
| U.S. agency-sponsored | 115,980 | | 0 | | 115,980 | | 1,645 | | 0 | | 0 | | 52 | | 1,697 | | Non-agency-sponsored | 37,140 |
| 941 |
| 36,199 |
| 1,054 |
| — |
| — |
| 1 |
| 1,055 |
| Non-agency-sponsored | 56,969 | | 862 | | 56,107 | | 2,724 | | 0 | | 5 | | 1 | | 2,730 | | Citi-administered asset-backed commercial paper conduits | 19,386 |
| 19,386 |
| — |
| — |
| — |
| — |
| — |
| — |
| Citi-administered asset-backed commercial paper conduits | 16,493 | | 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 financing | 207,817 |
| 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 investments | 20,383 |
| — |
| 20,383 |
| 2,662 |
| 4,221 |
| 3,030 |
| — |
| 9,913 |
| Municipal investments | 21,548 | | 0 | | 21,548 | | 2,663 | | 3,917 | | 3,063 | | 0 | | 9,643 | | Client intermediation | 1,430 |
| 1,371 |
| 59 |
| 4 |
| — |
| — |
| — |
| 4 |
| Client intermediation | 1,177 | | 736 | | 441 | | 88 | | 0 | | 0 | | 56 | | 144 | | Investment funds | 539 |
| 121 |
| 418 |
| 1 |
| — |
| 16 |
| — |
| 17 |
| Investment funds | 471 | | 150 | | 321 | | 2 | | 0 | | 14 | | 2 | | 18 | | Other | 62 |
| 2 |
| 60 |
| — |
| — |
| 60 |
| — |
| 60 |
| Other | 469 | | 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 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 | $ | 32,420 | | $ | 32,420 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | Mortgage securitizations(4) | | | | | | | | | U.S. agency-sponsored | 123,999 | | 0 | | 123,999 | | 1,948 | | 0 | | 0 | | 61 | | 2,009 | | Non-agency-sponsored | 46,132 | | 939 | | 45,193 | | 2,550 | | 0 | | 2 | | 1 | | 2,553 | | Citi-administered asset-backed commercial paper conduits | 16,730 | | 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 investments | 20,335 | | 0 | | 20,335 | | 2,569 | | 4,056 | | 3,041 | | 0 | | 9,666 | | Client intermediation | 1,352 | | 910 | | 442 | | 88 | | 0 | | 0 | | 56 | | 144 | | Investment funds | 488 | | 153 | | 335 | | 0 | | 0 | | 15 | | 0 | | 15 | | Other | 0 | | 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-sponsored | 117,374 |
| — |
| 117,374 |
| 2,671 |
| — |
| — |
| 72 |
| 2,743 |
| Non-agency-sponsored | 39,608 |
| 1,187 |
| 38,421 |
| 876 |
| — |
| — |
| 1 |
| 877 |
| Citi-administered asset-backed commercial paper conduits | 15,622 |
| 15,622 |
| — |
| — |
| — |
| — |
| — |
| — |
| Collateralized loan obligations (CLOs) | 17,395 |
| — |
| 17,395 |
| 4,199 |
| — |
| — |
| — |
| 4,199 |
| Asset-based financing | 196,728 |
| 6,139 |
| 190,589 |
| 23,756 |
| 1,151 |
| 9,524 |
| — |
| 34,431 |
| Municipal securities tender option bond trusts (TOBs) | 6,950 |
| 1,458 |
| 5,492 |
| 4 |
| — |
| 3,544 |
| — |
| 3,548 |
| Municipal investments | 20,312 |
| — |
| 20,312 |
| 2,636 |
| 4,274 |
| 3,034 |
| — |
| 9,944 |
| Client intermediation | 1,455 |
| 1,391 |
| 64 |
| 4 |
| — |
| — |
| — |
| 4 |
| Investment funds | 827 |
| 174 |
| 653 |
| 5 |
| — |
| 16 |
| 1 |
| 22 |
| Other | 352 |
| 1 |
| 351 |
| 169 |
| — |
| 39 |
| — |
| 208 |
| Total | $ | 460,157 |
| $ | 69,506 |
| $ | 390,651 |
| $ | 34,320 |
| $ | 5,425 |
| $ | 16,157 |
| $ | 74 |
| $ | 55,976 |
|
(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.
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.
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, 2020 | December 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, 2021 | December 31, 2020 | In millions of dollars | Liquidity facilities | Loan/equity commitments | Liquidity facilities | Loan/equity commitments | Non-agency-sponsored mortgage securitizations | $ | 0 | | $ | 5 | | $ | 0 | | $ | 2 | | Asset-based financing | 0 | | 10,626 | | 0 | | 9,114 | | Municipal securities tender option bond trusts (TOBs) | 1,557 | | 0 | | 1,611 | | 0 | | Municipal investments | 0 | | 3,063 | | 0 | | 3,041 | | Investment funds | 0 | | 14 | | 0 | | 15 | | Other | 0 | | 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 dollars | March 31, 2020 | December 31, 2019 | Cash | $ | — |
| $ | — |
| Trading account assets | 2.0 |
| 2.6 |
| Investments | 9.7 |
| 9.9 |
| Total loans, net of allowance | 27.8 |
| 26.7 |
| Other | 0.5 |
| 0.5 |
| Total assets | $ | 40.0 |
| $ | 39.7 |
|
| | | | | | | | | In billions of dollars | March 31, 2021 | December 31, 2020 | Cash | $ | 0 | | $ | 0 | | Trading account assets | 1.8 | | 2.0 | | Investments | 10.2 | | 10.6 | | Total loans, net of allowance | 31.3 | | 29.3 | | Other | 0.4 | | 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 dollars | March 31, 2020 | December 31, 2019 | In billions of dollars | March 31, 2021 | December 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 securities | 5.4 |
| 6.2 |
| Retained by Citigroup as trust-issued securities | 7.6 | | 7.9 | | Retained by Citigroup via non-certificated interests | 14.6 |
| 17.8 |
| Retained by Citigroup via non-certificated interests | 12.1 | | 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 dollars | 2021 | 2020 | Proceeds from new securitizations | $ | 0 | | $ | 0 | | Pay down of maturing notes | (3.6) | | 0 | | | | |
| | | | | | | | | Three Months Ended March 31, | In billions of dollars | 2020 | 2019 | 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 dollars | Mar. 31, 2021 | Dec. 31, 2020 | Term notes issued to third parties | $ | 10.6 | | $ | 13.9 | | Term notes retained by Citigroup affiliates | 2.6 | | 2.7 | | Total Master Trust liabilities | $ | 13.2 | | $ | 16.6 | |
| | | | | | | | In billions of dollars | Mar. 31, 2020 | Dec. 31, 2019 | Term notes issued to third parties | $ | 18.2 |
| $ | 18.2 |
| Term notes retained by Citigroup affiliates | 3.5 |
| 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 dollars | Mar. 31, 2021 | Dec. 31, 2020 | Term notes issued to third parties | $ | 1.5 | | $ | 1.8 | | Term notes retained by Citigroup affiliates | 5.0 | | 5.2 | | Total Omni Trust liabilities | $ | 6.5 | | $ | 7.0 | |
| | | | | | | | In billions of dollars | Mar. 31, 2020 | Dec. 31, 2019 | Term notes issued to third parties | $ | 1.5 |
| $ | 1.5 |
| Term notes retained by Citigroup affiliates | 1.9 |
| 1.9 |
| Total Omni Trust liabilities | $ | 3.4 |
| $ | 3.4 |
|
150
The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations: | | | | | | | | | | | | | | | | Three Months Ended March 31, | | 2021 | 2020 | In billions of dollars | U.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 securitizations | 3.2 | | 10.6 | | 2.1 | | 2.5 | | Purchases of previously transferred financial assets | 0.1 | | 0 | | 0 | | 0 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Three Months Ended March 31, | | 2020 | 2019 | In billions of dollars | U.S. agency- sponsored mortgages | Non-agency- sponsored mortgages(1) | U.S. agency- sponsored mortgages | Non-agency- sponsored mortgages | Principal securitized | $ | 2.0 |
| $ | 1.6 |
| $ | 1.0 |
| $ | 2.7 |
| Proceeds from new securitizations | 2.1 |
| 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, 2021 | December 31, 2020 | | | Non-agency-sponsored mortgages(1) | | Non-agency-sponsored mortgages(1) | In millions of dollars | U.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.
| | | | | | | | | | | | | | | | | | | | | March 31, 2020 | December 31, 2019 | | | Non-agency-sponsored mortgages(1) | | Non-agency-sponsored mortgages(1) | In millions of dollars | U.S. agency- sponsored mortgages | Senior interests(3) | Subordinated interests | U.S. agency- sponsored mortgages | Senior interests | Subordinated interests | Carrying value of retained interests(2) | $ | 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 rate | 8.8 | % | 0.2 | % | 3.2 | % | Weighted average constant prepayment rate | 5.8 | % | 0 | % | 12.5 | % | Weighted average anticipated net credit losses(2) | NM | 0.4 | % | 1.7 | % | Weighted average life | 7.7 years | 0.8 years | NM |
| | | | | | | | | 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 rate | 8.5 | % | 1.3 | % | — | % | Weighted average discount rate | 8.5 | % | 1.3 | % | 0 | % | Weighted average constant prepayment rate | 25.7 | % | — | % | — | % | Weighted average constant prepayment rate | 25.7 | % | 0 | % | 0 | % | Weighted average anticipated net credit losses(2) | NM |
| 1.6 | % | — | % | Weighted average anticipated net credit losses(2) | NM | 1.6 | % | 0 | % | Weighted average life | 5.2 years |
| 4.2 years |
| NM |
| Weighted average life | 5.2 years | 4.2 years | NM |
(1) Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization. (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.
| | | | | | | | | Three Months Ended March 31, 2019 | | | Non-agency-sponsored mortgages(1) | | U.S. agency- sponsored mortgages | Senior interests | Subordinated interests | Weighted average discount rate | 6.6 | % | 3.6 | % | 7.1 | % | Weighted average constant prepayment rate | 14.1 | % | 6.0 | % | 6.0 | % | Weighted average anticipated net credit losses(2) | NM |
| 5.0 | % | 3.5 | % | Weighted average life | 6.1 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. |
| | NM | Anticipated net credit losses are not meaningful due to U.S. agency guarantees. |
The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests. 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 rate | 7.6 | % | 2.8 | % | 10.6 | % | Weighted average constant prepayment rate | 11.0 | % | 4.0 | % | 4.7 | % | Weighted average anticipated net credit losses(2) | NM | 1.0 | % | 1.5 | % | Weighted average life | 5.9 years | 0.3 years | 9.6 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 rate | 6.2 | % | 8.9 | % | 4.4 | % | Weighted average discount rate | 5.9 | % | 7.2 | % | 4.3 | % | Weighted average constant prepayment rate | 20.6 | % | 2.7 | % | 5.1 | % | Weighted average constant prepayment rate | 22.7 | % | 5.3 | % | 4.7 | % | Weighted average anticipated net credit losses(2) | NM |
| 1.1 | % | 1.4 | % | Weighted average anticipated net credit losses(2) | NM | 1.2 | % | 1.4 | % | Weighted average life | 4.6 years |
| 6.8 years |
| NM |
| Weighted average life | 4.5 years | 5.3 years | 4.7 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.
| | | | | | | | | December 31, 2019 | | | Non-agency-sponsored mortgages(1) | | U.S. agency- sponsored mortgages | Senior interests | Subordinated interests | Weighted average discount rate | 9.3 | % | 3.6 | % | 4.6 | % | Weighted average constant prepayment rate | 12.9 | % | 10.5 | % | 7.6 | % | Weighted average anticipated net credit losses(2) | NM |
| 3.9 | % | 2.8 | % | Weighted average life | 6.6 years |
| 3.0 years |
| 11.4 years |
|
| | (1) | Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization. |
| | (2) | Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations. |
| | NM | Anticipated net credit losses are not meaningful due to U.S. agency guarantees. |
The sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions 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% | NM | 0 | | 0 | | Adverse change of 20% | NM | 0 | | 0 | |
| | | | | | | | | | | | | December 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% | $ | (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% | NM | 0 | | 0 | | Adverse change of 20% | NM | 0 | | 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 dollars | U.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 |
| — |
| — |
|
| | NM | Anticipated net credit losses are not meaningful due to U.S. agency guarantees. |
The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Liquidation losses | | Securitized assets | 90 days past due | | Three Months Ended March 31, | In billions of dollars, except liquidation losses in millions | Mar. 31, 2021 | Dec. 31, 2020 | Mar. 31, 2021 | Dec. 31, 2020 | | | 2021 | 2020 | Securitized assets | | | | | | | | | Residential mortgages(1) | $ | 17.4 | | $ | 16.9 | | $ | 0.4 | | $ | 0.5 | | | | $ | 1.5 | | $ | 11.0 | | Commercial and other | 24.6 | | 23.9 | | 0 | | 0 | | | | 0 | | 0 | | Total | $ | 42.0 | | $ | 40.8 | | $ | 0.4 | | $ | 0.5 | | | | $ | 1.5 | | $ | 11.0 | |
| | | | | | | | | | | | | | | | | | | | | | | | | Liquidation losses | | Securitized assets | 90 days past due | Three Months Ended March 31, | In billions of dollars, except liquidation losses in millions | Mar. 31, 2020 | Dec. 31, 2019 | Mar. 31, 2020 | Dec. 31, 2019 | 2020 | 2019 | Securitized assets | | | | | | | Residential mortgages(1) | $ | 11.8 |
| $ | 11.7 |
| $ | 0.3 |
| $ | 0.4 |
| $ | 11 |
| $ | 11 |
| Commercial and other | 20.5 |
| 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.
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 dollars | 2021 | 2020 | Balance, beginning of period | $ | 336 | | $ | 495 | | Originations | 43 | | 32 | | Changes in fair value of MSRs due to changes in inputs and assumptions | 73 | | (143) | | Other changes(1) | (19) | | (17) | | Sales of MSRs | 0 | | 0 | | Balance, as of March 31 | $ | 433 | | $ | 367 | |
| | | | | | | | | Three Months Ended March 31, | In millions of dollars | 2020 | 2019 | Balance, beginning of year
| $ | 495 |
| $ | 584 |
| Originations | 32 |
| 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 dollars | | | 2021 | 2020 | Servicing fees | | | $ | 31 | | $ | 39 | | Late fees | | | 1 | | 2 | Ancillary fees | | | 0 | | 0 | Total MSR fees | | | $ | 32 | | $ | 41 | |
| | | | | | | | | Three Months Ended March 31, | In millions of dollars | 2020 | 2019 | Servicing fees | $ | 39 |
| $ | 41 |
| Late fees | 2 |
| 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.
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 dollars | Mar. 31, 2021 | Dec. 31, 2020 | Carrying value of retained interests | $ | 1,598 | | $ | 1,611 | |
| | | | | | | | In millions of dollars | Mar. 31, 2020 | Dec. 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 loans | 15,535 | | 10,742 | | Other (including investment funds, airlines and shipping) | 166,460 | | 21,264 | | Total | $ | 214,530 | | $ | 39,097 | |
| | | March 31, 2020 | | December 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 loans | 10,502 |
| 7,808 |
| Corporate loans | 12,022 | | 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 loans | 7,088 |
| 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.
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.
Derivative Notionals | | | | | | | | | | | | | | | | | | Hedging instruments under ASC 815 | Trading derivative instruments | In millions of dollars | March 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 forwards | 0 | | 0 | | 5,605,982 | | 4,142,514 | | | | Written options | 0 | | 0 | | 1,596,927 | | 1,573,483 | | | | Purchased options | 0 | | 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 spot | 34,459 | | 37,080 | | 4,632,191 | | 3,945,391 | | | | Written options | 83 | | 47 | | 890,831 | | 907,338 | | | | Purchased options | 92 | | 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 forwards | 0 | | 0 | | 87,217 | | 67,025 | | | | Written options | 0 | | 0 | | 474,770 | | 441,003 | | | | Purchased options | 0 | | 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 forwards | 1,340 | | 924 | | 155,094 | | 143,175 | | | | Written options | 0 | | 0 | | 75,989 | | 71,376 | | | | Purchased options | 0 | | 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 purchased | 0 | | 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 dollars | March 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 spot | 38,597 |
| 38,275 |
| 4,806,697 |
| 3,979,188 |
| Written options | 116 |
| 80 |
| 1,209,072 |
| 908,061 |
| Purchased options | 45 |
| 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 forwards | 894 |
| 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.
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.
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 hedges | Assets | Liabilities | Over-the-counter | $ | 1,326 | | $ | 44 | | Cleared | 5 | | 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 | | Cleared | 12,030 | | 14,425 | | Exchange traded | 65 | | 72 | | Interest rate contracts | $ | 189,652 | | $ | 175,108 | | Over-the-counter | $ | 137,979 | | $ | 135,353 | | Cleared | 889 | | 746 | | | | | Foreign exchange contracts | $ | 138,868 | | $ | 136,099 | | Over-the-counter | $ | 25,396 | | $ | 36,140 | | Cleared | 30 | | 15 | | Exchange traded | 18,883 | | 20,016 | | Equity contracts | $ | 44,309 | | $ | 56,171 | | Over-the-counter | $ | 15,279 | | $ | 17,285 | | | | | Exchange traded | 1,139 | | 1,394 | | Commodity and other contracts | $ | 16,418 | | $ | 18,679 | | Over-the-counter | $ | 8,199 | | $ | 7,723 | | Cleared | 2,427 | | 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.
| | | | | | | | | In millions of dollars at December 31, 2020 | Derivatives classified in Trading account assets/liabilities(1)(2) | Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | Over-the-counter | $ | 1,781 | | $ | 161 | | Cleared | 74 | | 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 | | Cleared | 11,041 | | 12,563 | | Exchange traded | 46 | | 38 | | Interest rate contracts | $ | 239,606 | | $ | 221,931 | | Over-the-counter | $ | 153,791 | | $ | 152,784 | | Cleared | 842 | | 1,239 | | Exchange traded | 0 | | 1 | | Foreign exchange contracts | $ | 154,633 | | $ | 154,024 | | Over-the-counter | $ | 29,244 | | $ | 41,036 | | Cleared | 1 | | 18 | | Exchange traded | 21,274 | | 22,515 | | Equity contracts | $ | 50,519 | | $ | 63,569 | | Over-the-counter | $ | 13,659 | | $ | 17,076 | | | | | Exchange traded | 879 | | 1,017 | | Commodity and other contracts | $ | 14,538 | | $ | 18,093 | | Over-the-counter | $ | 7,826 | | $ | 7,951 | | Cleared | 1,963 | | 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 hedges | Assets | Liabilities | Over-the-counter | $ | 1,860 |
| $ | 259 |
| Cleared | 422 |
| 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 |
| Cleared | 11,055 |
| 10,607 |
| Exchange traded | 117 |
| 144 |
| Interest rate contracts | $ | 256,220 |
| $ | 235,388 |
| Over-the-counter | $ | 198,530 |
| $ | 201,720 |
| Cleared | 1,649 |
| 1,832 |
| Exchange traded | 11 |
| 13 |
| Foreign exchange contracts | $ | 200,190 |
| $ | 203,565 |
| Over-the-counter | $ | 27,103 |
| $ | 28,388 |
| Cleared | 1 |
| 32 |
| Exchange traded | 30,565 |
| 32,910 |
| Equity contracts | $ | 57,669 |
| $ | 61,330 |
| Over-the-counter | $ | 21,059 |
| $ | 24,669 |
| Exchange traded | 2,005 |
| 1,941 |
| Commodity and other contracts | $ | 23,064 |
| $ | 26,610 |
| Over-the-counter | $ | 15,606 |
| $ | 14,127 |
| Cleared | 875 |
| 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. |
| | | | | | | | In millions of dollars at December 31, 2019 | Derivatives classified in Trading account assets/liabilities(1)(2) | Derivatives instruments designated as ASC 815 hedges | Assets | Liabilities | Over-the-counter | $ | 1,682 |
| $ | 143 |
| Cleared | 41 |
| 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 |
| Cleared | 5,896 |
| 7,472 |
| Exchange traded | 157 |
| 180 |
| Interest rate contracts | $ | 195,945 |
| $ | 177,401 |
| Over-the-counter | $ | 105,401 |
| $ | 108,807 |
| Cleared | 862 |
| 1,015 |
| Exchange traded | 3 |
| — |
| Foreign exchange contracts | $ | 106,266 |
| $ | 109,822 |
| Over-the-counter | $ | 21,311 |
| $ | 22,411 |
| Exchange traded | 7,160 |
| 8,075 |
| Equity contracts | $ | 28,471 |
| $ | 30,486 |
| Over-the-counter | $ | 13,582 |
| $ | 16,773 |
| Exchange traded | 630 |
| 542 |
| Commodity and other contracts | $ | 14,212 |
| $ | 17,315 |
| Over-the-counter | $ | 8,896 |
| $ | 8,975 |
| Cleared | 1,513 |
| 1,763 |
| Credit derivatives | $ | 10,409 |
| $ | 10,738 |
| Total derivatives instruments not designated as ASC 815 hedges | $ | 355,303 |
| $ | 345,762 |
| Total derivatives | $ | 358,330 |
| $ | 346,926 |
| Cash collateral paid/received(3) | $ | 17,926 |
| $ | 14,391 |
| Less: Netting agreements(4) | (274,970 | ) | (274,970 | ) | Less: Netting cash collateral received/paid(5) | (44,353 | ) | (38,919 | ) | Net receivables/payables 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 dollars | 2021 | 2020 | | | 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 dollars | 2020 | 2019 | Interest rate contracts | $ | 155 |
| $ | 27 |
| Foreign exchange | 24 |
| (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.
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, | | | 2021 | 2020 | | | In millions of dollars | Other revenue | Net interest revenue | Other revenue | Net interest revenue | | | | | Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | | | | | | | | | Interest rate hedges | $ | 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 hedges | 210 | | 0 | | 1,911 | | 0 | | | | | | Commodity hedges | 289 | | 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, | | 2020 | 2019 | In millions of dollars | Other revenue | Net interest revenue | Other revenue | Net interest revenue | Gain (loss) on the hedging derivatives included in assessment of the effectiveness of fair value hedges | | | | | Interest rate hedges | $ | — |
| $ | 6,847 |
| $ | — |
| $ | 963 |
| Foreign exchange hedges | (1,911 | ) | — |
| 168 |
| — |
| Commodity hedges | 290 |
| — |
| 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 hedges | 1,911 |
| — |
| (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.
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 recorded | Carrying amount of hedged asset/ liability | Cumulative fair value hedging adjustment increasing (decreasing) the carrying amount | Active | De-designated | As of March 31, 2021 | | | Debt securities AFS(1)(3) | $ | 79,663 | | $ | (127) | | $ | 61 | | Long-term debt | 157,408 | | 1,665 | | 4,400 | | As of December 31, 2020 | | | Debt securities AFS(2)(3) | $ | 81,082 | | $ | 28 | | $ | 342 | | Long-term debt | 169,026 | | 5,554 | | 4,989 | |
| | | | | | | | | | | In millions of dollars | Balance sheet line item in which hedged item is recorded | Carrying amount of hedged asset/ liability | Cumulative fair value hedging adjustment increasing (decreasing) the carrying amount | Active | De-designated | As of March 31, 2020 | | | Debt securities AFS(1)(3)
| $ | 94,548 |
| $ | (130 | ) | $ | 617 |
| Long-term debt | 167,336 |
| 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.
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 dollars | 2021 | 2020 | | | Amount of gain (loss) recognized in AOCI on derivatives | | | | | Interest rate contracts | $ | (455) | | $ | 2,497 | | | | Foreign exchange contracts | 3 | | (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 dollars | 2020 | 2019 | 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.
|
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 values | Notionals | 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-dealers | 1,913 | | 1,269 | | 48,722 | | 46,866 | | Non-financial | 107 | | 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 other | 979 | | 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 grade | 6,202 | | 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 years | 6,413 | | 6,419 | | 439,990 | | 396,443 | | After 5 years | 3,027 | | 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.
| | | | | | | | | | | | Fair values | Notionals | | Fair values | Notionals | | In millions of dollars at March 31, 2020 | Receivable(1) | Payable(2) | Protection purchased | Protection sold | | In millions of dollars at December 31, 2020 | | In 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-dealers | 3,400 |
| 2,947 |
| 63,281 |
| 63,382 |
| Broker-dealers | 1,770 | | 1,215 | | 46,928 | | 44,692 | | Non-financial | 140 |
| 82 |
| 4,223 |
| 1,825 |
| Non-financial | 109 | | 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 other | 1,926 |
| 1,714 |
| 16,100 |
| 5,955 |
| Total return swaps and other | 535 | | 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 grade | 10,773 |
| 9,930 |
| 152,578 |
| 142,581 |
| Non-investment grade | 5,653 | | 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 years | 9,195 |
| 8,467 |
| 429,874 |
| 391,944 |
| From 1 to 5 years | 6,022 | | 5,991 | | 421,682 | | 374,376 | | After 5 years | 4,373 |
| 3,954 |
| 94,389 |
| 83,138 |
| After 5 years | 2,853 | | 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 values | Notionals | In millions of dollars at December 31, 2019 | Receivable(1) | Payable(2) | Protection purchased | Protection sold | By industry of counterparty | | | | | Banks | $ | 4,017 |
| $ | 4,102 |
| $ | 172,461 |
| $ | 169,546 |
| Broker-dealers | 1,724 |
| 1,528 |
| 54,843 |
| 53,846 |
| Non-financial | 92 |
| 76 |
| 2,601 |
| 1,968 |
| Insurance and other financial institutions | 4,576 |
| 5,032 |
| 474,021 |
| 378,027 |
| Total by industry of counterparty | $ | 10,409 |
| $ | 10,738 |
| $ | 703,926 |
| $ | 603,387 |
| By instrument | | | | | Credit default swaps and options | $ | 9,759 |
| $ | 9,791 |
| $ | 685,643 |
| $ | 593,850 |
| Total return swaps and other | 650 |
| 947 |
| 18,283 |
| 9,537 |
| Total by instrument | $ | 10,409 |
| $ | 10,738 |
| $ | 703,926 |
| $ | 603,387 |
| By rating of reference entity | | | | | Investment grade | $ | 4,579 |
| $ | 4,578 |
| $ | 560,806 |
| $ | 470,778 |
| Non-investment grade | 5,830 |
| 6,160 |
| 143,120 |
| 132,609 |
| Total by rating of reference entity | $ | 10,409 |
| $ | 10,738 |
| $ | 703,926 |
| $ | 603,387 |
| By maturity | | | | | Within 1 year | $ | 1,806 |
| $ | 2,181 |
| $ | 231,135 |
| $ | 176,188 |
| From 1 to 5 years | 7,275 |
| 7,265 |
| 414,237 |
| 379,915 |
| After 5 years | 1,328 |
| 1,292 |
| 58,554 |
| 47,284 |
| Total by maturity | $ | 10,409 |
| $ | 10,738 |
| $ | 703,926 |
| $ | 603,387 |
|
| | (1) | The fair value amount receivable is composed of $3,415 million under protection purchased and $6,994 under protection sold. |
| | (2) | The fair value amount payable is composed of $7,793 million under protection purchased and $2,945 million under protection sold. |
Credit Risk-Related Contingent Features in Derivatives Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates. The fair value (excluding CVA) of all derivative instruments with credit risk-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.
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 dollars | March 31, 2021 | December 31, 2020 | Counterparty CVA | $ | (642) | | $ | (800) | | Asset FVA | (449) | | (525) | | Citigroup (own credit) CVA | 376 | | 403 | | Liability FVA | 91 | | 67 | | Total CVA—derivative instruments | $ | (624) | | $ | (855) | |
| | | | | | | | | Credit and funding valuation adjustments contra-liability (contra-asset) | In millions of dollars | March 31, 2020 | December 31, 2019 | Counterparty CVA | $ | (1,513 | ) | $ | (705 | ) | Asset FVA | (1,479 | ) | (530 | ) | Citigroup (own-credit) CVA | 835 |
| 341 |
| Liability FVA | 409 |
| 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 dollars | 2021 | 2020 | | | Counterparty CVA | $ | 9 | | $ | (283) | | | | Asset FVA | 69 | | (1,053) | | | | Own credit CVA | (37) | | 533 | | | | Liability FVA | 24 | | 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 dollars | 2020 | 2019 | Counterparty CVA | $ | (283 | ) | $ | 74 |
| Asset FVA | (1,053 | ) | 20 |
| Own-credit CVA | 533 |
| (92 | ) | Liability FVA | 337 |
| (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.
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, 2021 | Level 1 | Level 2 | Level 3 | Gross 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 guaranteed | 0 | | 35,846 | | 38 | | 35,884 | | | 35,884 | | Residential | 0 | | 317 | | 268 | | 585 | | | 585 | | Commercial | 0 | | 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 municipal | 0 | | 1,171 | | 94 | | 1,265 | | | 1,265 | | Foreign government | 76,118 | | 16,226 | | 81 | | 92,425 | | | 92,425 | | Corporate | 1,256 | | 19,209 | | 290 | | 20,755 | | | 20,755 | | Equity securities | 53,461 | | 11,296 | | 89 | | 64,846 | | | 64,846 | | Asset-backed securities | 0 | | 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 contracts | 0 | | 139,621 | | 557 | | 140,178 | | | | Equity contracts | 141 | | 42,287 | | 1,881 | | 44,309 | | | | Commodity contracts | 0 | | 14,704 | | 1,714 | | 16,418 | | | | Credit derivatives | 0 | | 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 | | Residential | 0 | | 437 | | 0 | | 437 | | | 437 | | Commercial | 0 | | 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 municipal | 0 | | 2,457 | | 794 | | 3,251 | | | 3,251 | | Foreign government | 73,560 | | 45,531 | | 523 | | 119,614 | | | 119,614 | | Corporate | 6,212 | | 3,980 | | 56 | | 10,248 | | | 10,248 | | Marketable equity securities | 184 | | 65 | | 0 | | 249 | | | 249 | | Asset-backed securities | 0 | | 270 | | 4 | | 274 | | | 274 | | Other debt securities | 0 | | 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, 2020 | Level 1 | Level 2 | Level 3 | Gross 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 government | 61,440 |
| 18,003 |
| 39 |
| 79,482 |
| — |
| 79,482 |
| Corporate | 1,240 |
| 17,618 |
| 412 |
| 19,270 |
| — |
| 19,270 |
| Equity securities | 27,678 |
| 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 contracts | 1 |
| 201,879 |
| 720 |
| 202,600 |
| | | Equity contracts | 65 |
| 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 government | 75,363 |
| 41,779 |
| 225 |
| 117,367 |
| — |
| 117,367 |
| Corporate | 6,696 |
| 4,263 |
| 238 |
| 11,197 |
| — |
| 11,197 |
| Marketable equity securities | 329 |
| 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.
| | | | | | | | | | | | | | | | | | | | | In millions of dollars at March 31, 2021 | Level 1 | Level 2 | Level 3 | Gross inventory | Netting(1) | Net balance | Loans | $ | 0 | $ | 5,581 | $ | 1,944 | $ | 7,525 | | | $ | 7,525 | | Mortgage servicing rights | 0 | 0 | 433 | 433 | | | 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 repurchase | 0 | 161,693 | 977 | 162,670 | | (93,957) | | 68,713 | | Trading account liabilities | | | | | | | Securities sold, not yet purchased | 104,802 | 13,730 | 167 | 118,699 | | | 118,699 | | Other trading liabilities | 0 | 14 | 6 | 20 | | | 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 contracts | 1 | 137,144 | 643 | 137,788 | | | | Equity contracts | 56 | 51,358 | 4,757 | 56,171 | | | | Commodity contracts | 0 | 17,697 | 982 | 18,679 | | | | Credit derivatives | 0 | 9,468 | 1,096 | 10,564 | | | | 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 debt | 0 | 41,734 | 26,337 | 68,071 | | | 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, 2020 | Level 1 | Level 2 | Level 3 | Gross 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 purchased | 73,734 |
| 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 contracts | 37 |
| 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.
|
| | (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, 2019 | Level 1 | Level 2 | Level 3 | Gross inventory | Netting(1) | Net balance | | In millions of dollars at December 31, 2020 | | In millions of dollars at December 31, 2020 | Level 1 | Level 2 | Level 3 | Gross 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 guaranteed | 0 | | 42,903 | | 27 | | 42,930 | | — | | 42,930 | | Residential | — |
| 573 |
| 123 |
| 696 |
| — |
| 696 |
| Residential | 0 | | 391 | | 340 | | 731 | | — | | 731 | | Commercial | — |
| 1,632 |
| 61 |
| 1,693 |
| — |
| 1,693 |
| Commercial | 0 | | 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 municipal | 0 | | 1,224 | | 94 | | 1,318 | | — | | 1,318 | | Foreign government | 50,948 |
| 20,326 |
| 52 |
| 71,326 |
| — |
| 71,326 |
| Foreign government | 68,195 | | 15,143 | | 51 | | 83,389 | | — | | 83,389 | | Corporate | 1,332 |
| 17,246 |
| 313 |
| 18,891 |
| — |
| 18,891 |
| Corporate | 1,607 | | 18,840 | | 375 | | 20,822 | | — | | 20,822 | | Equity securities | 41,663 |
| 9,878 |
| 100 |
| 51,641 |
| — |
| 51,641 |
| Equity securities | 54,117 | | 12,289 | | 73 | | 66,479 | | — | | 66,479 | | Asset-backed securities | — |
| 1,539 |
| 1,177 |
| 2,716 |
| — |
| 2,716 |
| Asset-backed securities | 0 | | 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 contracts | 1 |
| 107,022 |
| 547 |
| 107,570 |
| | | Foreign exchange contracts | 2 | | 155,994 | | 674 | | 156,670 | | | | Equity contracts | 83 |
| 28,148 |
| 240 |
| 28,471 |
| | | Equity contracts | 66 | | 48,362 | | 2,091 | | 50,519 | | | | Commodity contracts | — |
| 13,498 |
| 714 |
| 14,212 |
| | | Commodity contracts | 0 | | 13,546 | | 992 | | 14,538 | | | | Credit derivatives | — |
| 9,960 |
| 449 |
| 10,409 |
| | | Credit derivatives | 0 | | 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 |
| Residential | 0 | | 571 | | 0 | | 571 | | — | | 571 | | Commercial | — |
| 74 |
| — |
| 74 |
| — |
| 74 |
| Commercial | 0 | | 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 municipal | 0 | | 2,885 | | 834 | | 3,719 | | — | | 3,719 | | Foreign government | 69,957 |
| 41,196 |
| 96 |
| 111,249 |
| — |
| 111,249 |
| Foreign government | 77,056 | | 47,644 | | 268 | | 124,968 | | — | | 124,968 | | Corporate | 5,150 |
| 6,076 |
| 45 |
| 11,271 |
| — |
| 11,271 |
| Corporate | 6,326 | | 4,114 | | 60 | | 10,500 | | — | | 10,500 | | Marketable equity securities
| 87 |
| 371 |
| — |
| 458 |
| — |
| 458 |
| Marketable equity securities | 287 | | 228 | | 0 | | 515 | | — | | 515 | | Asset-backed securities | — |
| 500 |
| 22 |
| 522 |
| — |
| 522 |
| Asset-backed securities | 0 | | 277 | | 1 | | 278 | | — | | 278 | | Other debt securities | — |
| 4,730 |
| — |
| 4,730 |
| — |
| 4,730 |
| Other debt securities | 0 | | 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.
| | | | | | | | | | | | | | | | | | | | | In millions of dollars at December 31, 2020 | Level 1 | Level 2 | Level 3 | Gross inventory | Netting(2) | Net balance | Loans | $ | 0 | $ | 4,869 | $ | 1,985 | $ | 6,854 | | $ | — | | $ | 6,854 | | Mortgage servicing rights | 0 | 0 | 336 | 336 | | — | | 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 repurchase | 0 | 156,644 | 631 | 157,275 | | (97,069) | | 60,206 | | Trading account liabilities | | | | | | | Securities sold, not yet purchased | 85,353 | 14,477 | 214 | 100,044 | | — | | 100,044 | | Other trading liabilities | 0 | 0 | 26 | 26 | | — | | 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 contracts | 3 | 155,441 | 622 | 156,066 | | | | Equity contracts | 53 | 58,212 | 5,304 | 63,569 | | | | Commodity contracts | 0 | 17,393 | 700 | 18,093 | | | | Credit derivatives | 0 | 9,022 | 1,107 | 10,129 | | | | 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 debt | 0 | 41,853 | 25,210 | 67,063 | | — | | 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, 2019 | Level 1 | Level 2 | Level 3 | Gross inventory | Netting(2) | Net balance | Loans | $ | — |
| $ | 3,683 |
| $ | 402 |
| $ | 4,085 |
| $ | — |
| $ | 4,085 |
| Mortgage servicing rights | — |
| — |
| 495 |
| 495 |
| — |
| 495 |
| Non-trading derivatives and other financial assets measured on a recurring basis | $ | 5,628 |
| $ | 7,201 |
| $ | 1 |
| $ | 12,830 |
| $ | — |
| $ | 12,830 |
| Total assets | $ | 307,192 |
| $ | 815,535 |
| $ | 8,033 |
| $ | 1,148,686 |
| $ | (420,686 | ) | $ | 728,000 |
| Total as a percentage of gross assets(5) | 27.2 | % | 72.1 | % | 0.7 | % | | | | Liabilities | | | | | | | Interest-bearing deposits | $ | — |
| $ | 2,104 |
| $ | 215 |
| $ | 2,319 |
| $ | — |
| $ | 2,319 |
| Securities loaned and sold under agreements to repurchase | — |
| 111,567 |
| 757 |
| 112,324 |
| (71,673 | ) | 40,651 |
| Trading account liabilities | | | | | | | Securities sold, not yet purchased | 60,429 |
| 11,965 |
| 48 |
| 72,442 |
| — |
| 72,442 |
| Other trading liabilities | — |
| 24 |
| — |
| 24 |
| — |
| 24 |
| Total trading liabilities | $ | 60,429 |
| $ | 11,989 |
| $ | 48 |
| $ | 72,466 |
| $ | — |
| $ | 72,466 |
| Trading account derivatives | | | | | | | Interest rate contracts | $ | 8 |
| $ | 176,480 |
| $ | 1,167 |
| $ | 177,655 |
| | | Foreign exchange contracts | — |
| 110,180 |
| 552 |
| 110,732 |
| | | Equity contracts | 144 |
| 28,506 |
| 1,836 |
| 30,486 |
| | | Commodity contracts | — |
| 16,542 |
| 773 |
| 17,315 |
| | | Credit derivatives | — |
| 10,233 |
| 505 |
| 10,738 |
| | | Total trading derivatives | $ | 152 |
| $ | 341,941 |
| $ | 4,833 |
| $ | 346,926 |
| | | Cash collateral received(6) | | | | $ | 14,391 |
| | | Netting agreements | | | | | $ | (274,970 | ) | | Netting of cash collateral paid | | | | | (38,919 | ) | | Total trading derivatives | $ | 152 |
| $ | 341,941 |
| $ | 4,833 |
| $ | 361,317 |
| $ | (313,889 | ) | $ | 47,428 |
| Short-term borrowings | $ | — |
| $ | 4,933 |
| $ | 13 |
| $ | 4,946 |
| $ | — |
| $ | 4,946 |
| Long-term debt | — |
| 38,614 |
| 17,169 |
| 55,783 |
| — |
| 55,783 |
| Non-trading derivatives and other financial liabilities measured on a recurring basis | $ | 6,280 |
| $ | 63 |
| $ | — |
| $ | 6,343 |
| $ | — |
| $ | 6,343 |
| Total liabilities | $ | 66,861 |
| $ | 511,211 |
| $ | 23,035 |
| $ | 615,498 |
| $ | (385,562 | ) | $ | 229,936 |
| Total as a percentage of gross liabilities(5) | 11.1 | % | 85.0 | % | 3.8 | % | | | |
| | (1) | (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.
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 dollars | Dec. 31, 2019 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Mar, 31 2020 | In millions of dollars | Dec. 31, 2020 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 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 securities | | Trading mortgage-backed securities | | | | U.S. government-sponsored agency guaranteed | 10 |
| (75 | ) | — |
| 12 |
| (3 | ) | 141 |
| — |
| — |
| — |
| 85 |
| 4 |
| U.S. government-sponsored agency guaranteed | 27 | | (1) | | 0 | | 14 | | (1) | | 1 | | 0 | | (2) | | 0 | | 38 | | (1) | | Residential | 123 |
| (8 | ) | — |
| 60 |
| (4 | ) | 178 |
| — |
| (45 | ) | — |
| 304 |
| (11 | ) | Residential | 340 | | 23 | | 0 | | 28 | | (3) | | 144 | | 0 | | (264) | | 0 | | 268 | | 7 | | Commercial | 61 |
| — |
| — |
| 3 |
| (3 | ) | 27 |
| — |
| (44 | ) | — |
| 44 |
| (1 | ) | Commercial | 136 | | 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 securities | | Total 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 municipal | 64 |
| 2 |
| — |
| 10 |
| (2 | ) | 21 |
| — |
| (3 | ) | — |
| 92 |
| — |
| State and municipal | 94 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 94 | | 1 | | Foreign government | 52 |
| (85 | ) | — |
| — |
| — |
| 86 |
| — |
| (14 | ) | — |
| 39 |
| 70 |
| Foreign government | 51 | | 1 | | 0 | | 11 | | 0 | | 57 | | 0 | | (39) | | 0 | | 81 | | (3) | | Corporate | 313 |
| 302 |
| — |
| 22 |
| 8 |
| 215 |
| — |
| (448 | ) | — |
| 412 |
| 246 |
| Corporate | 375 | | 90 | | 0 | | 6 | | (118) | | 67 | | 0 | | (130) | | 0 | | 290 | | 41 | | Marketable equity securities
| 100 |
| — |
| — |
| 28 |
| (3 | ) | 32 |
| — |
| (14 | ) | — |
| 143 |
| 1 |
| Marketable equity securities | 73 | | 45 | | 0 | | 4 | | (2) | | 12 | | 0 | | (43) | | 0 | | 89 | | 9 | | Asset-backed securities | 1,177 |
| (169 | ) | — |
| 239 |
| (4 | ) | 468 |
| — |
| (150 | ) | — |
| 1,561 |
| (307 | ) | Asset-backed securities | 1,606 | | 39 | | 0 | | 18 | | (50) | | 582 | | 0 | | (987) | | 0 | | 1,208 | | (79) | | Other trading assets | 555 |
| 193 |
| — |
| 28 |
| (137 | ) | 105 |
| 8 |
| (103 | ) | (10 | ) | 639 |
| 195 |
| Other trading assets | 945 | | (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 assets | | Total 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 contracts | 52 | | (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 contracts | 292 | | 314 | | 0 | | 158 | | (5) | | 66 | | 0 | | (110) | | 17 | | 732 | | 324 | | Credit derivatives | (56 | ) | 946 |
| — |
| 154 |
| (286 | ) | — |
| — |
| — |
| 58 |
| 816 |
| 946 |
| Credit derivatives | 48 | | (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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized gains (losses) still held(3) | In millions of dollars | Dec. 31, 2020 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 31, 2021 | Investments | | | | | | | | | | | | Mortgage-backed securities | | | | | | | | | | | | U.S. government-sponsored agency guaranteed | $ | 30 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 0 | | $ | 30 | | $ | 0 | | Residential | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Commercial | 0 | | 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 municipal | 834 | | 0 | | (18) | | 4 | | 0 | | 1 | | 0 | | (27) | | 0 | | 794 | | (16) | | Foreign government | 268 | | 0 | | (2) | | 0 | | 0 | | 330 | | 0 | | (73) | | 0 | | 523 | | (11) | | Corporate | 60 | | 0 | | (4) | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 56 | | 0 | | Marketable equity securities | 0 | | — | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Asset-backed securities | 1 | | 0 | | 0 | | 3 | | 0 | | 0 | | 0 | | 0 | | 0 | | 4 | | 0 | | Other debt securities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Non-marketable equity securities | 349 | | 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 rights | 336 | | 0 | | 73 | | 0 | | 0 | | 0 | | 43 | | 0 | | (19) | | 433 | | 80 | | Other financial assets measured on a recurring basis | 0 | | 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 repurchase | 631 | | (15) | | 0 | | 0 | | 0 | | 408 | | 0 | | 0 | | (77) | | 977 | | (15) | | Trading account liabilities | | | | | | | | | | | | Securities sold, not yet purchased | 214 | | 54 | | 0 | | 8 | | (4) | | 10 | | 0 | | 0 | | (7) | | 167 | | 39 | | Other trading liabilities | 26 | | 20 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 6 | | 21 | | Short-term borrowings | 219 | | (1) | | 0 | | 2 | | (12) | | 0 | | 8 | | 0 | | (169) | | 49 | | (1) | | Long-term debt | 25,210 | | 2,622 | | 0 | | 932 | | (2) | | 0 | | 5,720 | | 0 | | (2,901) | | 26,337 | | 1,962 | | Other financial liabilities measured on a recurring basis | 1 | | 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 dollars | Dec. 31, 2019 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 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 municipal | 623 |
| — |
| (31 | ) | 138 |
| — |
| — |
| — |
| (43 | ) | — |
| 687 |
| (9 | ) | Foreign government | 96 |
| — |
| (2 | ) | 27 |
| — |
| 147 |
| — |
| (43 | ) | — |
| 225 |
| (16 | ) | Corporate | 45 |
| — |
| (8 | ) | 49 |
| — |
| 152 |
| — |
| — |
| — |
| 238 |
| — |
| Marketable equity securities | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| Asset-backed securities | 22 |
| — |
| 5 |
| — |
| — |
| — |
| — |
| (11 | ) | — |
| 16 |
| — |
| Other debt securities | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| Non-marketable equity securities | 441 |
| — |
| (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 rights | 495 |
| — |
| (143 | ) | — |
| — |
| — |
| 32 |
| — |
| (17 | ) | 367 |
| (133 | ) | Other financial assets measured on a recurring basis | 1 |
| — |
| — |
| — |
| — |
| — |
| — |
| (1 | ) | — |
| — |
| — |
| Liabilities | | | | | | | | | | | | Interest-bearing deposits | $ | 215 |
| $ | — |
| $ | (6 | ) | $ | 278 |
| $ | — |
| $ | — |
| $ | — |
| $ | — |
| $ | (8 | ) | $ | 491 |
| $ | — |
| Securities loaned and sold under agreements to repurchase | 757 |
| 27 |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 730 |
| (33 | ) | Trading account liabilities | | | | | | | | | | | | Securities sold, not yet purchased | 48 |
| (101 | ) | — |
| 1,208 |
| (10 | ) | — |
| 9 |
| — |
| (22 | ) | 1,334 |
| (240 | ) | Other trading liabilities | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| Short-term borrowings | 13 |
| 10 |
| — |
| 11 |
| — |
| — |
| 38 |
| — |
| — |
| 52 |
| 10 |
| Long-term debt | 17,169 |
| 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 dollars | Dec. 31, 2018 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 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 guaranteed | 156 |
| — |
| — |
| — |
| (25 | ) | 48 |
| — |
| (25 | ) | — |
| 154 |
| 3 |
| Residential | 268 |
| 1 |
| — |
| 5 |
| (31 | ) | 69 |
| — |
| (184 | ) | — |
| 128 |
| 10 |
| Commercial | 77 |
| 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 municipal | 200 |
| (1 | ) | — |
| — |
| (19 | ) | 1 |
| — |
| (3 | ) | — |
| 178 |
| — |
| Foreign government | 31 |
| (1 | ) | — |
| 9 |
| — |
| 3 |
| — |
| (3 | ) | — |
| 39 |
| 1 |
| Corporate | 360 |
| 90 |
| — |
| 21 |
| (26 | ) | 69 |
| (33 | ) | (103 | ) | — |
| 378 |
| (35 | ) | Marketable equity securities
| 153 |
| (10 | ) | — |
| 1 |
| (11 | ) | 9 |
| — |
| (15 | ) | — |
| 127 |
| 14 |
| Asset-backed securities | 1,484 |
| (26 | ) | — |
| 7 |
| (32 | ) | 221 |
| — |
| (225 | ) | — |
| 1,429 |
| 38 |
| Other trading assets | 818 |
| 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 derivatives | 61 |
| (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 municipal | 708 |
| — |
| 52 |
| 3 |
| — |
| 185 |
| — |
| (38 | ) | — |
| 910 |
| 44 |
| Foreign government | 68 |
| — |
| (4 | ) | — |
| — |
| 39 |
| — |
| (32 | ) | — |
| 71 |
| (1 | ) | Corporate | 156 |
| — |
| — |
| — |
| (94 | ) | — |
| — |
| (2 | ) | — |
| 60 |
| — |
| Marketable equity securities | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| Asset-backed securities | 187 |
| — |
| (2 | ) | 94 |
| — |
| 550 |
| — |
| (23 | ) | — |
| 806 |
| (4 | ) | Other debt securities | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| Non-marketable equity securities | 586 |
| — |
| 22 |
| — |
| — |
| 4 |
| — |
| (86 | ) | (21 | ) | 505 |
| (11 | ) | Total investments | $ | 1,737 |
| $ | — |
| $ | 68 |
| $ | 97 |
| $ | (94 | ) | $ | 778 |
| $ | — |
| $ | (181 | ) | $ | (21 | ) | $ | 2,384 |
| $ | 26 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized gains (losses) still held(3) | In millions of dollars | Dec. 31, 2019 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 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 guaranteed | 10 | | (75) | | 0 | | 12 | | (3) | | 141 | | 0 | | 0 | | 0 | | 85 | | 4 | | Residential | 123 | | (8) | | 0 | | 60 | | (4) | | 178 | | 0 | | (45) | | 0 | | 304 | | (11) | | Commercial | 61 | | 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 municipal | 64 | | 2 | | 0 | | 10 | | (2) | | 21 | | 0 | | (3) | | 0 | | 92 | | 0 | | Foreign government | 52 | | (85) | | 0 | | 0 | | 0 | | 86 | | 0 | | (14) | | 0 | | 39 | | 70 | | Corporate | 313 | | 302 | | 0 | | 22 | | 8 | | 215 | | 0 | | (448) | | 0 | | 412 | | 246 | | Equity securities | 100 | | 0 | | 0 | | 28 | | (3) | | 32 | | 0 | | (14) | | 0 | | 143 | | 1 | | Asset-backed securities | 1,177 | | (169) | | 0 | | 239 | | (4) | | 468 | | 0 | | (150) | | 0 | | 1,561 | | (307) | | Other trading assets | 555 | | 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 | | Residential | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Commercial | 0 | | 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 municipal | 623 | | 0 | | (31) | | 138 | | 0 | | 0 | | 0 | | (43) | | 0 | | 687 | | (9) | | Foreign government | 96 | | 0 | | (2) | | 27 | | 0 | | 147 | | 0 | | (43) | | 0 | | 225 | | (16) | | Corporate | 45 | | 0 | | (8) | | 49 | | 0 | | 152 | | 0 | | 0 | | 0 | | 238 | | — | | Equity securities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Asset-backed securities | 22 | | 0 | | 5 | | 0 | | 0 | | 0 | | 0 | | (11) | | 0 | | 16 | | 0 | | Other debt securities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Non-marketable equity securities | 441 | | 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 dollars | Dec. 31, 2018 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 31, 2019 | Loans | $ | 277 |
| $ | — |
| $ | 45 |
| $ | 125 |
| $ | (70 | ) | $ | 6 |
| $ | — |
| $ | (10 | ) | $ | — |
| $ | 373 |
| $ | 45 |
| Mortgage servicing rights | 584 |
| — |
| (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 repurchase | 983 |
| 4 |
| — |
| (1 | ) | 4 |
| — |
| — |
| 1 |
| 58 |
| 1,041 |
| (2 | ) | Trading account liabilities | | | | | | | | | | | | Securities sold, not yet purchased | 586 |
| 124 |
| — |
| 1 |
| (441 | ) | — |
| — |
| — |
| (7 | ) | 15 |
| 13 |
| Other trading liabilities | — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| Short-term borrowings | 37 |
| 23 |
| — |
| 9 |
| (6 | ) | — |
| 153 |
| — |
| — |
| 170 |
| 18 |
| Long-term debt | 12,570 |
| (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.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Net realized/unrealized gains (losses) incl. in(1) | Transfers | | | | | | Unrealized gains (losses) still held(3) | In millions of dollars | Dec. 31, 2019 | Principal transactions | Other(1)(2) | into Level 3 | out of Level 3 | Purchases | Issuances | Sales | Settlements | Mar. 31, 2020 | Loans | $ | 402 | | $ | 0 | | $ | (79) | | $ | 217 | | $ | (1) | | $ | 0 | | $ | 0 | | $ | 0 | | $ | (2) | | $ | 537 | | $ | (127) | | Mortgage servicing rights | 495 | | 0 | | (143) | | 0 | | 0 | | 0 | | 32 | | 0 | | (17) | | 367 | | (133) | | Other financial assets measured on a recurring basis | 1 | | 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 repurchase | 757 | | 27 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 730 | | (33) | | Trading account liabilities | | | | | | | | | | — | | | Securities sold, not yet purchased | 48 | | (167) | | 0 | | 8 | | (10) | | 0 | | 9 | | 0 | | (22) | | 200 | | (240) | | Other trading liabilities | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | 0 | | Short-term borrowings | 13 | | 10 | | 0 | | 11 | | 0 | | 0 | | 38 | | 0 | | 0 | | 52 | | 10 | | Long-term debt | 17,169 | | 1,311 | | 0 | | 3,189 | | (2,693) | | 0 | | 4,261 | | 0 | | (1,346) | | 19,269 | | 936 | | Other financial liabilities measured on a recurring basis | 0 | | 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) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | Assets | | | | | | | Securities borrowed and purchased under agreements to resell | $ | 262 | | Model-based | Credit spread | 15 bps | 15 bps | 15 bps | | | | Interest rate | 0.34 | % | 0.40 | % | 0.37 | % | Mortgage-backed securities | $ | 227 | | Price-based | Price | $ | 24.00 | | $ | 114.77 | | $ | 91.51 | | | 148 | | Yield analysis | Yield | 2.47 | % | 19.21 | % | 8.44 | % | State and municipal, foreign government, corporate and other debt securities | $ | 1,488 | | Price-based | Price | $ | 0 | $ | 865.86 | $ | 89.54 | | 778 | | Model-based | Credit spread | 35 bps | 375 bps | 230 bps | Marketable equity securities(5) | $ | 49 | | Price-based | Price | $ | 0 | $ | 70,000 | $ | 14,868 | | 32 | | Model-based | Recovery (in millions) | $ | 5,733 | | $ | 5,733 | | $ | 5,733 | | | | | WAL | 1.23 years | 1.23 years | 1.23 years | Asset-backed securities | $ | 789 | | Price-based | Price | $ | 2.07 | $ | 130.05 | $ | 70.09 | | 422 | | Yield analysis | Yield | 3.04 | % | 15.54 | % | 7.71 | % | Non-marketable equities | $ | 214 | | Comparables analysis | Illiquidity discount | 10.00 | % | 35.00 | % | 21.94 | % | | 100 | | Price-based | PE Ratio | 12.00x | 28.40x | 18.42x | | 37 | Model-based | Adjustment factor | 0.11x | 0.56x | 0.26x | | | | Price | $ | 0.97 | $ | 1,960.00 | $ | 1,538.36 | | | | EBITDA multiples | 4.20x | 16.70x | 11.85x | | | | Revenue multiple | 2.30x | 28.80x | 16.13x | Derivatives—gross(6) | | | | | | | Interest rate contracts (gross) | $ | 4,892 | | Model-based | Inflation volatility | 0.26 | % | 2.90 | % | 0.78 | % | | | | IR normal volatility | 0.12 | % | 0.89 | % | 0.61 | % | Foreign exchange contracts (gross) | $ | 1,200 | | Model-based | FX volatility | 0.59 | % | 13.70 | % | 11.78 | % | | | | Interest rate | 0.06 | % | 46.79 | % | 1.09 | % | | | | | | | | | | | | | | | | | | IR normal volatility | 0.12 | % | 0.88 | % | 0.41 | % | | | | | | | | | | | | | | | | | | | | | | Equity contracts (gross)(7) | $ | 6,594 | | Model-based | Equity volatility | 5.98 | % | 94.42 | % | 42.72 | % | | | | Forward price | 61.90 | % | 108.04 | % | 93.54 | % | | | | | | | | | | | | | | | Commodity and other contracts (gross) | 2,672 | | Model-based | Commodity correlation | (51.81) | % | 92.81 | % | 62.96 | % | | | | Commodity volatility | 0.10 | % | 65.86 | % | 24.26 | % | | | | Forward price | 9.42 | % | 383.13 | % | 94.30 | % | Credit derivatives (gross) | $ | 1,848 | | Model-based | Credit spread | 6 bps | 500 bps | 88 bps | | 413 | | Price-based | Recovery rate | 25.00 | % | 60.00 | % | 39.84 | % | | | | Upfront points | 0 | % | 99.12 | % | 50.13 | % | | | | | | | | | | | | | | | Loans and leases | $ | 1,893 | | Model-based | Equity volatility | 23.41 | % | 80.12 | % | 62.45 | % | Mortgage servicing rights | $ | 354 | | Cash flow | Yield | 3.00 | % | 16.60 | % | 7.57 | % |
| | | | | | | | | | | | | | | | As of March 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | Assets | | | | | | | Securities borrowed and purchased under agreements to resell | $ | 300 |
| Model-based | Credit spread | 15 bps |
| 15 bps |
| 15 bps |
| | | | Interest rate | 0.15 | % | 1.87 | % | 1.51 | % | Mortgage-backed securities | $ | 328 |
| Price-based | Price | $ | 43 |
| $ | 121 |
| $ | 90 |
| | 115 |
| Yield analysis | Yield | 1.30 | % | 12.44 | % | 4.81 | % | State and municipal, foreign government, corporate and other debt securities | $ | 1,334 |
| Price-based | Price | $ | 34 |
| $ | 1,014 |
| $ | 88 |
| | 672 |
| Model-based | Credit spread | 35 bps |
| 295 bps |
| 210 bps |
| Marketable equity securities(5) | $ | 93 |
| Price-based | Price | $ | — |
| $ | 28,483 |
| $ | 1,051 |
| | 50 |
| Model-based | WAL | 1.24 years |
| 1.24 years |
| 1.24 years |
| | | | Recovery (in millions) | $ | 5,450 |
| $ | 5,450 |
| $ | 5,450 |
| Asset-backed securities | $ | 958 |
| Price-based | Price | $ | 1 |
| $ | 100 |
| $ | 52 |
| | 610 |
| Yield analysis | Yield | 3.72 | % | 25.26 | % | 11.37 | % | Non-marketable equities | $ | 240 |
| Comparables analysis | Price | $ | 3 |
| $ | 1,513 |
| $ | 805 |
| | 88 |
| Price-based | Appraised value (in thousands) | $ | 571 |
| $ | 25,002 |
| $ | 10,799 |
| | | | Revenue multiple | 1.80x |
| 20.50x |
| 5.34x |
| | | | PE ratio | 9.60x |
| 23.80x |
| 15.48x |
| | | | Discount to price | — | % | 10.00 | % | 57.00 | % | | | | Price to book ratio | 0.60x |
| 1.60x |
| 0.96x |
| Derivatives—gross(6) | | | | | | | Interest rate contracts (gross) | $ | 5,028 |
| Model-based | Inflation volatility | 0.22 | % | 2.93 | % | 0.81 | % | | | | IR normal volatility | 0.25 | % | 1.15 | % | 0.58 | % | Foreign exchange contracts (gross) | $ | 1,438 |
| Model-based | FX volatility | 7.85 | % | 27.91 | % | 12.62 | % | |
| | Credit spread | 60 bps |
| 661 bps |
| 283 bps |
| | | | IR normal volatility | 0.22 | % | 1.15 | % | 0.60 | % | | | | IR-FX correlation | 40.00 | % | 60.00 | % | 50.00 | % | | | | IR-IR correlation | (51.00 | )% | 40.00 | % | 32.65 | % | | | | Interest rate | 0.78 | % | 58.26 | % | 13.77 | % | Equity contracts (gross)(7) | $ | 3,011 |
| Model-based | Forward price | 61.52 | % | 107.02 | % | 92.93 | % | | | | Equity volatility | 4.89 | % | 61.94 | % | 28.54 | % | Commodity and other contracts (gross) | $ | 3,015 |
| Model-based | Forward price | 33.94 | % | 583.93 | % | 116.44 | % | | | | Commodity correlation | (41.42 | )% | 90.86 | % | 55.61 | % |
| | | | | | | | | | | | | | | | | | | | | As of March 31, 2021 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | | 79 | | Model-based | WAL | 3.45 years | 6.91 years | 5.86 years | Liabilities | | | | | | | Interest-bearing deposits | $ | 199 | | Model-based | IR normal volatility | 0.12 | % | 0.89 | % | 0.68 | % | Securities loaned and sold under agreements to repurchase | $ | 977 | | Model-based | Interest rate | 0.08 | % | 1.86 | % | 0.71 | % | Trading account liabilities | | | | | | | Securities sold, not yet purchased and other trading liabilities | $ | 129 | | Model-based | IR lognormal volatility | 60.74 | % | 140.02 | % | 109.00 | % | | 45 | | Price-based | Price | $ | 0 | $ | 865.86 | $ | 77.85 | | | | Interest rate | 0.20 | % | 39.36 | % | 7.26 | % | | | | | | | | Short-term borrowings and long-term debt | $ | 26,380 | | Model-based | IR normal volatility | 0.12 | % | 0.89 | % | 0.62 | % | | | | Forward price | 9.42 | % | 383.13 | % | 92.82 | % |
| | | | | | | | | | | | | | | | | | | | | As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | Assets | | | | | | | Securities borrowed and purchased under agreements to resell | $ | 320 | | Model-based | Credit spread | 15 bps | 15 bps | 15 bps | | | | Interest rate | 0.30 | % | 0.35 | % | 0.32 | % | Mortgage-backed securities | $ | 344 | | Price-based | Price | $ | 30 | | $ | 111 | | $ | 80 | | | 168 | | Yield analysis | Yield | 2.63 | % | 21.80 | % | 10.13 | % | State and municipal, foreign government, corporate and other debt securities | $ | 1,566 | | Price-based | Price | $ | 0 | | $ | 2,265 | | $ | 90 | | | 852 | | Model-based | Credit spread | 35 bps | 375 bps | 226 bps | Marketable equity securities(5) | $ | 36 | | Model-based | Price | $ | 0 | | $ | 31,000 | | $ | 5,132 | | | 36 | | Price-based | WAL | 1.48 years | 1.48 years | 1.48 years | | | | Recovery (in millions) | $ | 5,733 | | $ | 5,733 | | $ | 5,733 | | Asset-backed securities | $ | 863 | | Price-based | Price | $ | 2 | | $ | 157 | | $ | 59 | | | 744 | | Yield analysis | Yield | 3.77 | % | 21.77 | % | 9.01 | % | Non-marketable equities | $ | 205 | | Comparables analysis | Illiquidity discount | 10.00 | % | 45.00 | % | 25.29 | % | | | | PE ratio | 13.60x | 28.00x | 22.83x | | 142 | | Price-based | Price | $ | 136 | | $ | 2,041 | | $ | 1,647 | | | | | EBITDA multiples | 3.30x | 36.70x | 15.10x | | | | Adjustment factor | 0.20x | 0.61x | 0.25x | | | | Appraised value (in thousands) | $ | 287 | | $ | 39,745 | | $ | 21,754 | | | | | Revenue multiple | 2.70x | 28.00x | 8.92x | Derivatives—gross(6) | | | | | | | Interest rate contracts (gross) | $ | 5,143 | | Model-based | Inflation volatility | 0.27 | % | 2.36 | % | 0.78 | % | | | | IR normal volatility | 0.11 | % | 0.73 | % | 0.52 | % | Foreign exchange contracts (gross) | $ | 1,296 | | Model-based | FX volatility | 1.70 | % | 12.63 | % | 5.41 | % | | | | Contingent event | 100.00 | % | 100.00 | % | 100.00 | % | | | | Interest rate | 0.84 | % | 84.09 | % | 17.55 | % | | | | IR normal volatility | 0.11 | % | 0.52 | % | 0.46 | % | | | | IR-FX correlation | 40.00 | % | 60.00 | % | 50.00 | % | | | | IR-IR correlation | (21.71) | % | 40.00 | % | 38.09 | % | Equity contracts (gross)(7) | $ | 7,330 | | Model-based | Equity volatility | 5.00 | % | 91.43 | % | 42.74 | % | | | | Forward price | 65.88 | % | 105.20 | % | 91.82 | % |
| As of December 31, 2020 | | As of December 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | Commodity and other contracts (gross) | | Commodity and other contracts (gross) | $ | 1,636 | | Model-based | Commodity correlation | (44.92) | % | 95.91 | % | 70.60 | % | | | | Commodity volatility | 0.16 | % | 80.17 | % | 23.72 | % | | | | | | | | | | | | | | | Forward price | 15.40 | % | 262.00 | % | 98.53 | % | As of March 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | | Credit derivatives (gross) | | Credit derivatives (gross) | $ | 1,854 | | Model-based | Credit spread | 3.50 bps | 352.35 bps | 99.89 bps | | | | Commodity volatility | 0.65 | % | 138.96 | % | 29.38 | % | | 408 | | Price-based | Recovery rate | 20.00 | % | 60.00 | % | 41.60 | % | Credit derivatives (gross) | $ | 1,985 |
| Model-based | Credit correlation | 25.00 | % | 90.00 | % | 44.94 | % | | | | | Credit correlation | 25.00 | % | 80.00 | % | 43.36 | % | | | | Upfront points | 0 | % | 107.20 | % | 48.10 | % | | | 417 |
| Price-based | Credit spread | 17 bps |
| 710 bps |
| 170 bps |
| | | | | Recovery rate | 1.00 | % | 65.00 | % | 36.93 | % | | | | | Upfront points | 2.50 | % | 108.63 | % | 65.28 | % | | Loans and leases | $ | 495 |
| Model-based | Equity volatility | 24.01 | % | 177.87 | % | 66.18 | % | Loans and leases | $ | 1,804 | | Model-based | Equity volatility | 24.65 | % | 83.09 | % | 58.23 | % | | | | Credit spread | 34 bps |
| 576 bps |
| 189 bps |
| | Mortgage servicing rights | $ | 290 |
| Cash flow | Yield | 2.45 | % | 12.00 | % | 6.56 | % | Mortgage servicing rights | $ | 258 | | Cash flow | Yield | 2.86 | % | 16.00 | % | 6.32 | % | | 77 |
| Model-based | WAL | 2.94 years |
| 5.97 years |
| 4.6 years |
| | 78 | | Model-based | WAL | 2.66 years | 5.40 years | 4.46 years | Liabilities | | | | Liabilities | | Interest-bearing deposits | $ | 491 |
| Model-based | IR normal volatility | 0.35 | % | 1.15 | % | 0.59 | % | Interest-bearing deposits | $ | 206 | | Model-based | IR Normal volatility | 0.11 | % | 0.73 | % | 0.54 | % | Securities loaned and sold under agreement to repurchase | $ | 730 |
| Model-based | Interest rate | 0.15 | % | 1.84 | % | 1.01 | % | | | Securities loaned and sold under agreements to repurchase | | Securities loaned and sold under agreements to repurchase | $ | 631 | | Model-based | Interest rate | 0.08 | % | 1.86 | % | 0.71 | % | Trading account liabilities | | | | Trading account liabilities | | Securities sold, not yet purchased | $ | 1,165 |
| Model-based | Credit spread | 505 bps |
| 1,100 bps |
| 747 bps |
| Securities sold, not yet purchased | $ | 178 | | Model-based | IR lognormal volatility | 52.06 | % | 128.87 | % | 89.82 | % | | 155 |
| Price-based | Price | $ | — |
| $ | 7,038 |
| $ | 107 |
| | 62 | | Price-based | Price | $ | 0 | | $ | 866 | | $ | 80 | | | | | Interest rate | 10.03 | % | 20.07 | % | 13.70 | % | | Short-term borrowings and long-term debt | $ | 18,260 |
| Model-based | IR normal volatility | 0.22 | % | 1.15 | % | 0.56 | % | Short-term borrowings and long-term debt | $ | 24,827 | | Model-based | IR Normal volatility | 0.11 | % | 0.73 | % | 0.51 | % | | | | Forward price | 33.94 | % | 583.93 | % | 92.99 | % | | Forward price | 15.40 | % | 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.
| | | | | | | | | | | | | | | | As of December 31, 2019 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | Assets | | | | | | | Securities borrowed and purchased under agreements to resell | $ | 303 |
| Model-based | Credit spread | 15 bps |
| 15 bps |
| 15 bps |
| | | | Interest rate | 1.59 | % | 3.67 | % | 2.72 | % | Mortgage-backed securities | $ | 196 |
| Price-based | Price | $ | 36 |
| $ | 505 |
| $ | 97 |
| | 22 |
| Model-based | | | | | State and municipal, foreign government, corporate and other debt securities | $ | 880 |
| Model-based | Price | $ | — |
| $ | 1,238 |
| $ | 90 |
| | 677 |
| Price-based | Credit spread | 35 bps |
| 295 bps |
| 209 bps |
| Marketable equity securities(5) | $ | 70 |
| Price-based | Price | $ | — |
| $ | 38,500 |
| $ | 2,979 |
| | 30 |
| Model-based | WAL | 1.48 years |
| 1.48 years |
| 1.48 years |
| | | | Recovery (in millions) | $ | 5,450 |
| $ | 5,450 |
| $ | 5,450 |
| Asset-backed securities | $ | 812 |
| Price-based | Price | $ | 4 |
| $ | 103 |
| $ | 60 |
| | 368 |
| Yield analysis | Yield | 0.61 | % | 23.38 | % | 8.88 | % | Non-marketable equities | $ | 316 |
| Comparables analysis | EBITDA multiples | 7.00x |
| 17.95x |
| 10.34x |
| | 97 |
| Price-based | Appraised value (in thousands) | $ | 397 |
| $ | 33,246 |
| $ | 8,446 |
| | | | Price | $ | 3 |
| $ | 2,019 |
| $ | 1,020 |
| | | | PE ratio | 14.70x |
| 28.70x |
| 20.54x |
| | | | Price to book ratio | 1.50x |
| 3.00x |
| 1.88x |
| | | | Discount to price | — | % | 10.00 | % | 2.32 | % | Derivatives—gross(6) | | | | | | | Interest rate contracts (gross) | $ | 2,196 |
| Model-based | Inflation volatility | 0.21 | % | 2.74 | % | 0.79 | % | | | | Mean reversion | 1.00 | % | 20.00 | % | 10.50 | % | | | | IR normal volatility | 0.09 | % | 0.66 | % | 0.53 | % |
| | | | | | | | | | | | | | | | As of December 31, 2019 | Fair value(1) (in millions) | Methodology | Input | Low(2)(3) | High(2)(3) | Weighted average(4) | Foreign exchange contracts (gross) | $ | 1,099 |
| Model-based | FX volatility | 1.27 | % | 12.16 | % | 9.17 | % | | | | IR normal volatility | 0.27 | % | 0.66 | % | 0.58 | % | | | | FX rate | 37.39 | % | 586.84 | % | 80.64 | % | | | | Interest rate | 2.72 | % | 56.14 | % | 13.11 | % | | | | IR-IR correlation | (51.00 | )% | 40.00 | % | 32.00 | % | | | | IR-FX correlation | 40.00 | % | 60.00 | % | 50.00 | % | Equity contracts (gross)(7) | $ | 2,076 |
| Model-based | Equity volatility | 3.16 | % | 52.80 | % | 28.43 | % | | | | Forward price | 62.60 | % | 112.69 | % | 98.46 | % | | | | WAL | 1.48 years |
| 1.48 years |
| 1.48 years |
| | | | Recovery (in millions) | $ | 5,450 |
| $ | 5,450 |
| $ | 5,450 |
| Commodity and other contracts (gross) | $ | 1,487 |
| Model-based | Forward price | 37.62 | % | 362.57 | % | 119.32 | % | | | | Commodity volatility | 5.25 | % | 93.63 | % | 23.55 | % | | | | Commodity correlation | (39.65 | )% | 87.81 | % | 41.80 | % | Credit derivatives (gross) | $ | 613 |
| Model-based | Credit spread | 8 bps |
| 283 bps |
| 80 bps |
| | 341 |
| Price-based | Upfront points | 2.59 | % | 99.94 | % | 59.41 | % | | | | Price | $ | 12 |
| $ | 100 |
| $ | 87 |
| | | | Credit correlation | 25.00 | % | 87.00 | % | 48.57 | % | | | | Recovery rate | 20.00 | % | 65.00 | % | 48.00 | % | Loans and leases | $ | 378 |
| Model-based | Credit spread | 9 bps |
| 52 bps |
| 48 bps |
| | | | Equity volatility | 32.00 | % | 32.00 | % | 32.00 | % | Mortgage servicing rights | $ | 418 |
| Cash flow | Yield | 1.78 | % | 12.00 | % | 9.49 | % | | 77 |
| Model-based | WAL | 4.07 years |
| 8.13 years |
| 6.61 years |
| Liabilities | | | | | | | Interest-bearing deposits | $ | 215 |
| Model-based | Mean reversion | 1.00 | % | 20.00 | % | 10.50 | % | | | | Forward price | 97.59 | % | 111.06 | % | 102.96 | % | Securities loaned and sold under agreements to repurchase | $ | 757 |
| Model-based | Interest rate | 1.59 | % | 2.38 | % | 1.95 | % | Trading account liabilities | | | | | | | Securities sold, not yet purchased | $ | 46 |
| Price-based | Price | $ | — |
| $ | 866 |
| $ | 96 |
| Short-term borrowings and long-term debt | $ | 17,182 |
| Model-based | Mean reversion | 1.00 | % | 20.00 | % | 10.50 | % | | | | IR normal volatility | 0.09 | % | 0.66 | % | 0.46 | % | | | | Forward price | 37.62 | % | 362.57 | % | 97.52 | % | | | | 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 dollars | Fair value | Level 2 | Level 3 | March 31, 2021 | | | | Loans HFS(1) | $ | 1,859 | | $ | 895 | | $ | 964 | | Other real estate owned | 26 | | 6 | | 20 | | Loans(2) | 1,060 | | 646 | | 414 | | | | | | Non-marketable equity securities measured using the measurement alternative | 254 | | 254 | | 0 | | Total assets at fair value on a nonrecurring basis | $ | 3,199 | | $ | 1,801 | | $ | 1,398 | |
| | In millions of dollars | Fair value | Level 2 | Level 3 | In millions of dollars | Fair value | Level 2 | Level 3 | March 31, 2020 | | | | December 31, 2020 | | December 31, 2020 | | | | Loans HFS(1) | $ | 4,951 |
| $ | 781 |
| $ | 4,170 |
| Loans HFS(1) | $ | 3,375 | | $ | 478 | | $ | 2,897 | | Other real estate owned | 15 |
| 8 |
| 7 |
| Other real estate owned | 17 | | 4 | | 13 | | Loans(2) | 759 |
| 553 |
| 206 |
| Loans(2) | 1,015 | | 679 | | 336 | | Non-marketable equity securities measured using the measurement alternative | 308 |
| 308 |
| — |
| Non-marketable equity securities measured using the measurement alternative | 315 | | 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 dollars | Fair value | Level 2 | Level 3 | December 31, 2019 | | | | Loans HFS(1) | $ | 4,579 |
| $ | 3,249 |
| $ | 1,330 |
| Other real estate owned | 20 |
| 6 |
| 14 |
| Loans(2) | 344 |
| 93 |
| 251 |
| Non-marketable equity securities measured using the measurement alternative | 249 |
| 249 |
| — |
| Total assets at fair value on a nonrecurring basis | $ | 5,192 |
| $ | 3,597 |
| $ | 1,595 |
|
| | (1) | Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.
|
| | (2) | Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate. |
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) | Methodology | Input | Low(2) | High | Weighted average(3) | Loans held-for-sale | $ | 964 | | Price-based | Price | $ | 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-based | Price | 53.30 | | 53.30 | | 53.30 | | Loans(5) | $ | 377 | | Price-based | Price | $ | 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) | Methodology | Input | Low(2) | High | Weighted average(3) | Loans held-for-sale | $ | 2,683 | | Price-based | Price | $ | 79 | | $ | 100 | | $ | 98 | | Other real estate owned | $ | 7 | | Price-based | Appraised value(4) | $ | 3,110,711 | | $ | 4,241,357 | | $ | 3,586,975 | | | 4 | | Recovery analysis | Price | 51 | | 51 | | 51 | | | | | | | | | | | | | | | | Loans(5) | $ | 147 | | Price-based | Price | $ | 2 | | $ | 49 | | $ | 23 | | | 73 | | Recovery analysis | Recovery rate | 0.99 | % | 78.00 | % | 13.37 | % | | | | Appraised value(4) | $ | 34 | | $ | 43,646,426 | | $ | 17,762,950 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | As of March 31, 2020 | Fair value(1) (in millions) | Methodology | Input | Low(2) | High | Weighted average(3) | Loans held-for-sale | $ | 4,107 |
| Price-based | Price | $ | 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 analysis | Recovery rate | — | % | 100.00 | % | 59.77 | % | | 28 |
| Price based | Cost of capital | 0.10 | % | 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) | Methodology | Input | Low(2) | High | Weighted average(3) | Loans held-for-sale | $ | 1,320 |
| Price-based | Price | $ | 86 |
| $ | 100 |
| $ | 99 |
| Other real estate owned | $ | 11 |
| Price-based | Appraised value(4) | $ | 2,297,358 |
| $ | 8,394,102 |
| $ | 5,615,884 |
| | 5 |
| Recovery analysis | |
|
|
| Loans(6) | $ | 100 |
| Recovery analysis | Recovery rate | 0.57 | % | 100.00 | % | 64.78 | % | | 54 |
| Cash flow | Price | $ | 2 |
| $ | 54 |
| $ | 27 |
| | 47 |
| Price-based | Cost of capital | 0.10 | % | 100.00 | % | 54.84 | % | | 29 |
| Price-based | Appraised value(4) | $ | 17,521,218 |
| $ | 43,646,426 |
| $ | 30,583,822 |
|
(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 dollars | 2021 | 2020 | Loans HFS | $ | (4) | | $ | (391) | | Other real estate owned | 0 | | 0 | | Loans(1) | 1 | | (44) | | Non-marketable equity securities measured using the measurement alternative | 81 | | 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 dollars | 2020 | 2019 | 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, 2020 | Estimated fair value | | March 31, 2021 | Estimated fair value | | Carrying value | Estimated fair value | | | Carrying value | Estimated fair value | | | In billions of dollars | Level 1 | Level 2 | Level 3 | In billions of dollars | Level 1 | Level 2 | Level 3 | Assets | | | Assets | | | | | Investments | $ | 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 resell | 106.9 |
| 106.9 |
| — |
| 106.9 |
| — |
| Securities borrowed and purchased under agreements to resell | 116.2 | | 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 repurchase | 159.6 |
| 159.6 |
| — |
| 159.6 |
| — |
| Securities loaned and sold under agreements to repurchase | 150.5 | | 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, 2020 | Estimated fair value | | Carrying value | Estimated fair value | | | | In billions of dollars | Level 1 | Level 2 | Level 3 | Assets | | | | | | Investments | $ | 110.3 | | $ | 113.2 | | $ | 23.3 | | $ | 87.0 | | $ | 2.9 | | Securities borrowed and purchased under agreements to resell | 109.5 | | 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 repurchase | 139.3 | | 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, 2019 | Estimated fair value | | Carrying value | Estimated fair value | | | | In billions of dollars | Level 1 | Level 2 | Level 3 | Assets | | | | | | Investments | $ | 86.4 |
| $ | 87.8 |
| $ | 1.9 |
| $ | 83.8 |
| $ | 2.1 |
| Securities borrowed and purchased under agreements to resell | 98.1 |
| 98.1 |
| — |
| 98.1 |
| — |
| Loans(1)(2) | 681.2 |
| 677.7 |
| — |
| 4.7 |
| 673.0 |
| Other financial assets(2)(3) | 262.4 |
| 262.4 |
| 177.6 |
| 16.3 |
| 68.5 |
| Liabilities | | | | | | Deposits | $ | 1,068.3 |
| $ | 1,066.7 |
| $ | — |
| $ | 875.5 |
| $ | 191.2 |
| Securities loaned and sold under agreements to repurchase | 125.7 |
| 125.7 |
| — |
| 125.7 |
| — |
| Long-term debt(4) | 193.0 |
| 203.8 |
| — |
| 187.3 |
| 16.5 |
| Other financial liabilities(5) | 110.2 |
| 110.2 |
| — |
| 37.5 |
| 72.7 |
|
| | (1) | The carrying value of loans is net of the
Allowance for loan losses of $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.
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 dollars | 2021 | 2020 | | | Assets | | | | | Securities borrowed and purchased under agreements to resell | $ | (28) | | $ | 92 | | | | Trading account assets | 101 | | (834) | | | | Investments | 0 | | 0 | | | | Loans | | | | | Certain corporate loans | 129 | | (863) | | | | Certain consumer loans | 0 | | 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 repurchase | 13 | | (288) | | | | Trading account liabilities | 2 | | (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 dollars | 2020 | 2019 | 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 loans | 1 |
| — |
| 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.
| | (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, 2021 | December 31, 2020 | In millions of dollars | Trading assets | Loans | Trading assets | Loans | 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 due | 0 | | 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 due | 0 | | 0 | | 0 | | 0 | |
| | | | | | | | | | | | | | | March 31, 2020 | December 31, 2019 | In millions of dollars | Trading assets | Loans | Trading assets | Loans | 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 value | 1,012 |
| 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 | — |
| — |
| — |
| — |
|
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 dollars | March 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 due | 0 | | 0 | | Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due | 0 | | 0 | |
| | | | | | | | In millions of dollars | March 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 balance | 54 |
| (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 | — |
| — |
|
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 dollars | March 31, 2020 | December 31, 2019 | Interest rate linked | $ | 22.0 |
| $ | 22.9 |
| Foreign exchange linked | 0.7 |
| 0.9 |
| Equity linked | 18.9 |
| 21.7 |
| Commodity linked | 1.7 |
| 1.8 |
| Credit linked | 2.2 |
| 2.4 |
| Total | $ | 45.5 |
| $ | 49.7 |
|
| | | | | | | | | In billions of dollars | March 31, 2021 | December 31, 2020 | Interest rate linked | $ | 24.7 | | $ | 16.0 | | Foreign exchange linked | 0.8 | | 1.2 | | Equity linked | 29.5 | | 27.3 | | Commodity linked | 1.4 | | 1.4 | | Credit linked | 2.6 | | 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 dollars | March 31, 2021 | December 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 dollars | March 31, 2020 | December 31, 2019 | Carrying amount reported on the Consolidated Balance Sheet | $ | 52,914 |
| $ | 55,783 |
| Aggregate unpaid principal balance in excess of (less than) fair value | 2,130 |
| (2,967 | ) |
The following table provides information about short-term borrowings carried at fair value: | | | | | | | | | In millions of dollars | March 31, 2021 | December 31, 2020 | Carrying amount reported on the Consolidated Balance Sheet | $ | 7,406 | | $ | 4,683 | | Aggregate unpaid principal balance in excess of (less than) fair value | 0 | | 68 | |
| | | | | | | | In millions of dollars | March 31, 2020 | December 31, 2019 | Carrying amount reported on the Consolidated Balance Sheet | $ | 8,364 |
| $ | 4,946 |
| Aggregate unpaid principal balance in excess of (less than) fair value | 666 |
| 1,411 |
|
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, 2021 | Expire 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 guarantees | 6.6 | | 6.2 | | 12.8 | | 63 | | Derivative instruments considered to be guarantees | 12.2 | | 57.2 | | 69.4 | | 458 | | Loans sold with recourse | 0 | | 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 partners | 0 | | 0.8 | | 0.8 | | 7 | | Custody indemnifications and other | 0 | | 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, 2020 | Expire 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 guarantees | 7.3 | | 6.0 | | 13.3 | | 72 | | Derivative instruments considered to be guarantees | 20.0 | | 60.9 | | 80.9 | | 671 | | Loans sold with recourse | 0 | | 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 partners | 0.2 | | 0.8 | | 1.0 | | 7 | | Custody indemnifications and other | 0 | | 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 guarantees | 6.5 |
| 5.6 |
| 12.1 |
| 23 |
| Derivative instruments considered to be guarantees | 22.3 |
| 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 partners | 0.2 |
| 0.4 |
| 0.6 |
| 7 |
| Custody indemnifications and other | — |
| 28.6 |
| 28.6 |
| 40 |
| Total | $ | 250.3 |
| $ | 144.8 |
| $ | 395.1 |
| $ | 2,884 |
|
| | | | | | | | | | | | | | | Maximum potential amount of future payments | | In billions of dollars at December 31, 2019 | Expire within 1 year | Expire after 1 year | Total amount outstanding | Carrying value (in millions of dollars) | Financial standby letters of credit | $ | 31.9 |
| $ | 62.4 |
| $ | 94.3 |
| $ | 140 |
| Performance guarantees | 6.9 |
| 5.5 |
| 12.4 |
| 21 |
| Derivative instruments considered to be guarantees | 35.2 |
| 60.8 |
| 96.0 |
| 474 |
| Loans sold with recourse | — |
| 1.2 |
| 1.2 |
| 7 |
| Securities lending indemnifications(1) | 87.8 |
| — |
| 87.8 |
| — |
| Credit card merchant processing(1)(2) | 91.6 |
| — |
| 91.6 |
| — |
| Credit card arrangements with partners | 0.2 |
| 0.4 |
| 0.6 |
| 23 |
| Custody indemnifications and other | — |
| 33.7 |
| 33.7 |
| 41 |
| Total | $ | 253.6 |
| $ | 164.0 |
| $ | 417.6 |
| $ | 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,
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.
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, 2021 | | In billions of dollars at March 31, 2021 | Investment 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 guarantees | 9.3 |
| 2.3 |
| 0.5 |
| 12.1 |
| Performance guarantees | 9.7 | | 3.1 | | 0 | | 12.8 | | Derivative instruments deemed to be guarantees | — |
| — |
| 74.0 |
| 74.0 |
| Derivative instruments deemed to be guarantees | 0 | | 0 | | 69.4 | | 69.4 | | Loans sold with recourse | — |
| — |
| 1.2 |
| 1.2 |
| Loans sold with recourse | 0 | | 0 | | 1.2 | | 1.2 | | Securities lending indemnifications | — |
| — |
| 107.8 |
| 107.8 |
| Securities lending indemnifications | 0 | | 0 | | 132.1 | | 132.1 | | Credit card merchant processing | — |
| — |
| 84.2 |
| 84.2 |
| Credit card merchant processing | 0 | | 0 | | 96.4 | | 96.4 | | Credit card arrangements with partners | — |
| — |
| 0.6 |
| 0.6 |
| Credit card arrangements with partners | 0 | | 0 | | 0.8 | | 0.8 | | Custody indemnifications and other | 16.3 |
| 12.3 |
| — |
| 28.6 |
| Custody indemnifications and other | 10.6 | | 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, 2020 | Investment grade | Non-investment grade | Not rated | Total | Financial standby letters of credit | $ | 78.5 | | $ | 14.6 | | $ | 0.6 | | $ | 93.7 | | Performance guarantees | 9.8 | | 3.0 | | 0.5 | | 13.3 | | Derivative instruments deemed to be guarantees | 0 | | 0 | | 80.9 | | 80.9 | | Loans sold with recourse | 0 | | 0 | | 1.2 | | 1.2 | | Securities lending indemnifications | 0 | | 0 | | 112.2 | | 112.2 | | Credit card merchant processing | 0 | | 0 | | 101.9 | | 101.9 | | Credit card arrangements with partners | 0 | | 0 | | 1.0 | | 1.0 | | Custody indemnifications and other | 24.9 | | 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 guarantees | 9.7 |
| 2.3 |
| 0.4 |
| 12.4 |
| Derivative instruments deemed to be guarantees | — |
| — |
| 96.0 |
| 96.0 |
| Loans sold with recourse | — |
| — |
| 1.2 |
| 1.2 |
| Securities lending indemnifications | — |
| — |
| 87.8 |
| 87.8 |
| Credit card merchant processing | — |
| — |
| 91.6 |
| 91.6 |
| Credit card arrangements with partners | — |
| — |
| 0.6 |
| 0.6 |
| Custody indemnifications and other | 21.3 |
| 12.4 |
| — |
| 33.7 |
| Total | $ | 97.4 |
| $ | 27.2 |
| $ | 293.0 |
| $ | 417.6 |
|
Leases The Company’s operating leases, where Citi is a lessee, include real estate such as office space and branches and various types of equipment. These leases have a weighted-average remaining lease term of approximately six years as of 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.
Credit Commitments and Lines of Credit The table below summarizes Citigroup’s credit commitments: | | | | | | | | | | | | | | In millions of dollars | U.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 mortgages | 2,862 |
| 1,887 |
| 4,749 |
| 3,721 |
| Revolving open-end loans secured by one- to four-family residential properties | 9,220 |
| 1,199 |
| 10,419 |
| 10,799 |
| Commercial real estate, construction and land development | 8,801 |
| 2,589 |
| 11,390 |
| 12,981 |
| Credit card lines | 621,188 |
| 95,362 |
| 716,550 |
| 708,023 |
| Commercial and other consumer loan commitments | 183,973 |
| 101,712 |
| 285,685 |
| 324,359 |
| Other commitments and contingencies | 1,825 |
| 1,460 |
| 3,285 |
| 1,948 |
| Total | $ | 828,586 |
| $ | 208,108 |
| $ | 1,036,694 |
| $ | 1,066,364 |
|
| | | | | | | | | | | | | | | In millions of dollars | U.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 mortgages | 3,393 | | 2,387 | | 5,780 | | 5,002 | | Revolving open-end loans secured by one- to four-family residential properties | 8,105 | | 1,204 | | 9,309 | | 9,626 | | Commercial real estate, construction and land development | 13,980 | | 2,356 | | 16,336 | | 12,867 | | Credit card lines | 609,591 | | 100,961 | | 710,552 | | 710,399 | | Commercial and other consumer loan commitments | 217,804 | | 123,196 | | 341,000 | | 322,458 | | Other commitments and contingencies | 5,302 | | 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 dollars | March 31, 2021 | December 31, 2020 | Cash and due from banks | $ | 3,884 | | $ | 3,774 | | Deposits with banks, net of allowance | 12,006 | | 14,203 | | Total | $ | 15,890 | | $ | 17,977 | |
| | | | | | | | In millions of dollars | March 31, 2020 | December 31, 2019 | Cash and due from banks | $ | 2,978 |
| $ | 3,758 |
| Deposits with banks, net of allowance | 10,723 |
| 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.
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.
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 dollars | Citigroup 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—intercompany | 1,144 |
| | 341 |
| | (1,485 | ) | | — |
| | — |
| Interest expense | 1,143 |
| | 1,141 |
| | 3,363 |
| | — |
| | 5,647 |
| Interest expense—intercompany | 248 |
| | 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—intercompany | 502 |
| | (4,391 | ) | | 3,889 |
| | — |
| | — |
| Other income | 80 |
| | 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—intercompany | 74 |
| | — |
| | (74 | ) | | — |
| | — |
| Other operating | 23 |
| | 598 |
| | 4,319 |
| | — |
| | 4,940 |
| Other operating—intercompany | 4 |
| | 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 |
|
Condensed Consolidating Statements of Income and Comprehensive Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2021 | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | Revenues | | | | | | | | | | Dividends from subsidiaries | $ | 100 | | | $ | 0 | | | $ | 0 | | | $ | (100) | | | $ | 0 | | Interest revenue | 0 | | | 971 | | | 11,563 | | | 0 | | | 12,534 | | Interest revenue—intercompany | 958 | | | 145 | | | (1,103) | | | 0 | | | 0 | | Interest expense | 1,212 | | | 223 | | | 933 | | | 0 | | | 2,368 | | Interest expense—intercompany | 84 | | | 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 transactions | 1,769 | | | 5,658 | | | (3,514) | | | 0 | | | 3,913 | | Principal transactions—intercompany | (1,878) | | | (4,238) | | | 6,116 | | | 0 | | | 0 | | Other revenue | 55 | | | 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—intercompany | 24 | | | 0 | | | (24) | | | 0 | | | 0 | | Other operating | 11 | | | 642 | | | 4,419 | | | 0 | | | 5,072 | | Other operating—intercompany | 3 | | | 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 taxes | 0 | | | 0 | | | (2) | | | 0 | | | (2) | | Net income before attribution of noncontrolling interests | $ | 7,942 | | | $ | 1,163 | | | $ | 7,143 | | | $ | (8,273) | | | $ | 7,975 | | Noncontrolling interests | 0 | | | 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 interests | 0 | | | 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 dollars | Citigroup 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—intercompany | 1,325 |
| | 503 |
| | (1,828 | ) | | — |
| | — |
| Interest expense | 1,271 |
| | 1,824 |
| | 4,222 |
| | — |
| | 7,317 |
| Interest expense—intercompany | 312 |
| | 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—intercompany | 447 |
| | 2,036 |
| | (2,483 | ) | | — |
| | — |
| Other income | 319 |
| | 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—intercompany | 26 |
| | — |
| | (26 | ) | | — |
| | — |
| Other operating | 5 |
| | 553 |
| | 4,368 |
| | — |
| | 4,926 |
| Other operating—intercompany | 5 |
| | 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 |
|
Condensed Consolidating Statements of Income and Comprehensive Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2020 | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | Revenues | | | | | | | | | | Dividends from subsidiaries | $ | 105 | | | $ | 0 | | | $ | 0 | | | $ | (105) | | | $ | 0 | | Interest revenue | 0 | | | 1,903 | | | 15,236 | | | 0 | | | 17,139 | | Interest revenue—intercompany | 1,144 | | | 341 | | | (1,485) | | | 0 | | | 0 | | Interest expense | 1,143 | | | 1,141 | | | 3,363 | | | 0 | | | 5,647 | | Interest expense—intercompany | 248 | | | 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—intercompany | 502 | | | (4,391) | | | 3,889 | | | 0 | | | 0 | | Other revenue | 80 | | | 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—intercompany | 74 | | | 0 | | | (74) | | | 0 | | | 0 | | Other operating | 23 | | | 598 | | | 4,368 | | | 0 | | | 4,989 | | Other operating—intercompany | 4 | | | 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 taxes | 0 | | | 0 | | | (18) | | | 0 | | | (18) | | Net income (loss) before attribution of noncontrolling interests | $ | 2,536 | | | $ | 1,248 | | | $ | 1,233 | | | $ | (2,487) | | | $ | 2,530 | | Noncontrolling interests | 0 | | | 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 interests | 0 | | | 0 | | | (6) | | | 0 | | | (6) | | Total comprehensive income (loss) | $ | 6,333 | | | $ | 3,005 | | | $ | 14,641 | | | $ | (17,703) | | | $ | 6,276 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Condensed Consolidating Balance Sheet | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | March 31, 2021 | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | Assets | | | | | | | | | | Cash and due from banks | $ | 0 | | | $ | 676 | | | $ | 25,528 | | | $ | 0 | | | $ | 26,204 | | Cash and due from banks—intercompany | 11 | | | 5,929 | | | (5,940) | | | 0 | | | 0 | | Deposits with banks, net of allowance | 0 | | | 5,408 | | | 293,070 | | | 0 | | | 298,478 | | Deposits with banks—intercompany | 3,000 | | | 8,833 | | | (11,833) | | | 0 | | | 0 | | Securities borrowed and purchased under resale agreements | 0 | | | 258,976 | | | 56,096 | | | 0 | | | 315,072 | | Securities borrowed and purchased under resale agreements—intercompany | 0 | | | 25,598 | | | (25,598) | | | 0 | | | 0 | | Trading account assets | 265 | | | 222,114 | | | 138,280 | | | 0 | | | 360,659 | | Trading account assets—intercompany | 1,202 | | | 11,732 | | | (12,934) | | | 0 | | | 0 | | Investments, net of allowance | 1 | | | 235 | | | 472,723 | | | 0 | | | 472,959 | | Loans, net of unearned income | 0 | | | 3,442 | | | 662,546 | | | 0 | | | 665,988 | | Loans, net of unearned income—intercompany | 0 | | | 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 subsidiaries | 218,488 | | | 0 | | | 0 | | | (218,488) | | | 0 | | Other assets, net of allowance(1) | 12,591 | | | 72,333 | | | 111,620 | | | 0 | | | 196,544 | | Other assets—intercompany | 3,445 | | | 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—intercompany | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Securities loaned and sold under repurchase agreements | 0 | | | 201,562 | | | 17,606 | | | 0 | | | 219,168 | | Securities loaned and sold under repurchase agreements—intercompany | 0 | | | 63,566 | | | (63,566) | | | 0 | | | 0 | | Trading account liabilities | 32 | | | 129,449 | | | 49,636 | | | 0 | | | 179,117 | | Trading account liabilities—intercompany | 1,000 | | | 11,181 | | | (12,181) | | | 0 | | | 0 | | Short-term borrowings | 0 | | | 12,874 | | | 19,213 | | | 0 | | | 32,087 | | Short-term borrowings—intercompany | 0 | | | 12,942 | | | (12,942) | | | 0 | | | 0 | | Long-term debt | 164,099 | | | 50,267 | | | 41,969 | | | 0 | | | 256,335 | | Long-term debt—intercompany | 0 | | | 72,433 | | | (72,433) | | | 0 | | | 0 | | Advances from subsidiaries | 17,937 | | | 0 | | | (17,937) | | | 0 | | | 0 | | Other liabilities, including allowance | 2,695 | | | 60,243 | | | 60,373 | | | 0 | | | 123,311 | | Other liabilities—intercompany | 69 | | | 18,352 | | | (18,421) | | | 0 | | | 0 | | Stockholders’ equity | 202,549 | | | 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.
| | | | | | | | | | | | | | | | | | | | | | March 31, 2020 | In millions of dollars | Citigroup 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—intercompany | 15 |
| | 3,909 |
| | (3,924 | ) | | — |
| | — |
| Deposits with banks, net of allowance | — |
| | 6,581 |
| | 255,584 |
| | — |
| | 262,165 |
| Deposits with banks—intercompany | 3,000 |
| | 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 assets | 329 |
| | 212,464 |
| | 152,207 |
| | — |
| | 365,000 |
| Trading account assets—intercompany | 167 |
| | 6,045 |
| | (6,212 | ) | | — |
| | — |
| Investments, net of allowance | 1 |
| | 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 subsidiaries | 204,662 |
| | — |
| | — |
| | (204,662 | ) | | — |
| Other assets, net of allowance(1) | 12,152 |
| | 84,877 |
| | 110,223 |
| | — |
| | 207,252 |
| Other assets—intercompany | 3,451 |
| | 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—intercompany | 445 |
| | 5,421 |
| | (5,866 | ) | | — |
| | — |
| Short-term borrowings | 28 |
| | 13,997 |
| | 40,926 |
| | — |
| | 54,951 |
| Short-term borrowings—intercompany | — |
| | 25,563 |
| | (25,563 | ) | | — |
| | — |
| Long-term debt | 156,461 |
| | 37,118 |
| | 72,519 |
| | — |
| | 266,098 |
| Long-term debt—intercompany | — |
| | 65,945 |
| | (65,945 | ) | | — |
| | — |
| Advances from subsidiaries | 13,996 |
| | — |
| | (13,996 | ) | | — |
| | — |
| Other liabilities, including allowance | 3,001 |
| | 71,096 |
| | 60,412 |
| | — |
| | 134,509 |
| Other liabilities—intercompany | 75 |
| | 10,464 |
| | (10,539 | ) | | — |
| | — |
| Stockholders’ equity | 192,331 |
| | 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 dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | Assets | | | | | | | | | | Cash and due from banks | $ | 0 | | | $ | 628 | | | $ | 25,721 | | | $ | 0 | | | $ | 26,349 | | Cash and due from banks—intercompany | 16 | | | 6,081 | | | (6,097) | | | 0 | | | 0 | | Deposits with banks, net of allowance | 0 | | | 5,224 | | | 278,042 | | | 0 | | | 283,266 | | Deposits with banks—intercompany | 4,500 | | | 8,179 | | | (12,679) | | | 0 | | | 0 | | Securities borrowed and purchased under resale agreements | 0 | | | 238,718 | | | 55,994 | | | 0 | | | 294,712 | | Securities borrowed and purchased under resale agreements—intercompany | 0 | | | 24,309 | | | (24,309) | | | 0 | | | 0 | | Trading account assets | 307 | | | 222,278 | | | 152,494 | | | 0 | | | 375,079 | | Trading account assets—intercompany | 723 | | | 9,400 | | | (10,123) | | | 0 | | | 0 | | Investments, net of allowance | 1 | | | 374 | | | 446,984 | | | 0 | | | 447,359 | | Loans, net of unearned income | 0 | | | 2,524 | | | 673,359 | | | 0 | | | 675,883 | | Loans, net of unearned income—intercompany | 0 | | | 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 subsidiaries | 213,267 | | | 0 | | | 0 | | | (213,267) | | | 0 | | Other assets, net of allowance(1) | 12,156 | | | 60,273 | | | 109,969 | | | 0 | | | 182,398 | | Other assets—intercompany | 2,781 | | | 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—intercompany | 0 | | | 0 | | | 0 | | | 0 | | | 0 | | Securities loaned and sold under repurchase agreements | 0 | | | 184,786 | | | 14,739 | | | 0 | | | 199,525 | | Securities loaned and sold under repurchase agreements—intercompany | 0 | | | 76,590 | | | (76,590) | | | 0 | | | 0 | | Trading account liabilities | 0 | | | 113,100 | | | 54,927 | | | 0 | | | 168,027 | | Trading account liabilities—intercompany | 397 | | | 8,591 | | | (8,988) | | | 0 | | | 0 | | Short-term borrowings | 0 | | | 12,323 | | | 17,191 | | | 0 | | | 29,514 | | Short-term borrowings—intercompany | 0 | | | 12,757 | | | (12,757) | | | 0 | | | 0 | | Long-term debt | 170,563 | | | 47,732 | | | 53,391 | | | 0 | | | 271,686 | | Long-term debt—intercompany | 0 | | | 67,322 | | | (67,322) | | | — | | | 0 | | Advances from subsidiaries | 12,975 | | | 0 | | | (12,975) | | | 0 | | | 0 | | Other liabilities, including allowance | 2,692 | | | 55,217 | | | 52,558 | | | 0 | | | 110,467 | | Other liabilities—intercompany | 65 | | | 15,378 | | | (15,443) | | | 0 | | | 0 | | Stockholders’ equity | 199,442 | | | 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 dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | Assets | | | | | | | | | | Cash and due from banks | $ | — |
| | $ | 586 |
| | $ | 23,381 |
| | $ | — |
| | $ | 23,967 |
| Cash and due from banks—intercompany | 21 |
| | 5,095 |
| | (5,116 | ) | | — |
| | — |
| Deposits with banks | — |
| | 4,050 |
| | 165,902 |
| | — |
| | 169,952 |
| Deposits with banks—intercompany | 3,000 |
| | 6,710 |
| | (9,710 | ) | | — |
| | — |
| Securities borrowed and purchased under resale agreements | — |
| | 195,537 |
| | 55,785 |
| | — |
| | 251,322 |
| Securities borrowed and purchased under resale agreements—intercompany | — |
| | 21,446 |
| | (21,446 | ) | | — |
| | — |
| Trading account assets | 286 |
| | 152,115 |
| | 123,739 |
| | — |
| | 276,140 |
| Trading account assets—intercompany | 426 |
| | 5,858 |
| | (6,284 | ) | | — |
| | — |
| Investments, net of allowance | 1 |
| | 541 |
| | 368,021 |
| | — |
| | 368,563 |
| Loans, net of unearned income | — |
| | 2,497 |
| | 696,986 |
| | — |
| | 699,483 |
| Loans, net of unearned income—intercompany | — |
| | — |
| | — |
| | — |
| | — |
| Allowance for credit losses on loans (ACLL) | — |
| | — |
| | (12,783 | ) | | — |
| | (12,783 | ) | Total loans, net | $ | — |
| | $ | 2,497 |
| | $ | 684,203 |
| | $ | — |
| | $ | 686,700 |
| Advances to subsidiaries | $ | 144,587 |
| | $ | — |
| | $ | (144,587 | ) | | $ | — |
| | $ | — |
| Investments in subsidiaries | 202,116 |
| | — |
| | — |
| | (202,116 | ) | | — |
| Other assets, net of allowance(1) | 12,377 |
| | 54,784 |
| | 107,353 |
| | — |
| | 174,514 |
| Other assets—intercompany | 2,799 |
| | 45,588 |
| | (48,387 | ) | | — |
| | — |
| Total assets | $ | 365,613 |
| | $ | 494,807 |
| | $ | 1,292,854 |
| | $ | (202,116 | ) | | $ | 1,951,158 |
| Liabilities and equity | | | | | | | | | | Deposits | $ | — |
| | $ | — |
| | $ | 1,070,590 |
| | $ | — |
| | $ | 1,070,590 |
| Deposits—intercompany | — |
| | — |
| | — |
| | — |
| | — |
| Securities loaned and sold under repurchase agreements | — |
| | 145,473 |
| | 20,866 |
| | — |
| | 166,339 |
| Securities loaned and sold under repurchase agreements—intercompany | — |
| | 36,581 |
| | (36,581 | ) | | — |
| | — |
| Trading account liabilities | 1 |
| | 80,100 |
| | 39,793 |
| | — |
| | 119,894 |
| Trading account liabilities—intercompany | 379 |
| | 5,109 |
| | (5,488 | ) | | — |
| | — |
| Short-term borrowings | 66 |
| | 11,096 |
| | 33,887 |
| | — |
| | 45,049 |
| Short-term borrowings—intercompany | — |
| | 17,129 |
| | (17,129 | ) | | — |
| | — |
| Long-term debt | 150,477 |
| | 39,578 |
| | 58,705 |
| | — |
| | 248,760 |
| Long-term debt—intercompany | — |
| | 66,791 |
| | (66,791 | ) | | — |
| | — |
| Advances from subsidiaries | 20,503 |
| | — |
| | (20,503 | ) | | — |
| | — |
| Other liabilities, including allowance | 937 |
| | 51,777 |
| | 53,866 |
| | — |
| | 106,580 |
| Other liabilities—intercompany | 8 |
| | 8,414 |
| | (8,422 | ) | | — |
| | — |
| Stockholders’ equity | 193,242 |
| | 32,759 |
| | 170,061 |
| | (202,116 | ) | | 193,946 |
| Total liabilities and equity | $ | 365,613 |
| | $ | 494,807 |
| | $ | 1,292,854 |
| | $ | (202,116 | ) | | $ | 1,951,158 |
|
| | (1) | Other assets for Citigroup parent company at December 31, 2019 included $35.1 billion of placements to Citibank and its branches, of which $24.9(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.
|
Condensed Consolidating Statement of Cash Flows | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended March 31, 2021 | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | Net cash provided by (used in) operating activities of continuing operations | $ | (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 investments | 0 | | | 0 | | | 46,049 | | | 0 | | | 46,049 | | Proceeds from maturities of investments | 0 | | | 0 | | | 35,088 | | | 0 | | | 35,088 | | | | | | | | | | | | Change in loans | 0 | | | 0 | | | 9,933 | | | 0 | | | 9,933 | | Proceeds from sales and securitizations of loans | 0 | | | 0 | | | 323 | | | 0 | | | 323 | | | | | | | | | | | | | | | | | | | | | | Change in securities borrowed and purchased under agreements to resell | 0 | | | (21,547) | | | 1,187 | | | 0 | | | (20,360) | | Changes in investments and advances—intercompany | 1,887 | | | (2,991) | | | 1,104 | | | 0 | | | 0 | | Other investing activities | 0 | | | (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 stock | 2,300 | | | 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, net | 0 | | | 5,702 | | | (5,702) | | | 0 | | | 0 | | Change in deposits | 0 | | | 0 | | | 20,304 | | | 0 | | | 20,304 | | Change in securities loaned and sold under agreements to repurchase | 0 | | | 3,752 | | | 15,891 | | | 0 | | | 19,643 | | Change in short-term borrowings | 0 | | | 551 | | | 2,022 | | | 0 | | | 2,573 | | Net change in short-term borrowings and other advances—intercompany | 4,962 | | | (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 period | 4,516 | | | 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 allowance | 3,000 | | | 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 interest | 126 | | | 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 dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | Net cash provided by (used in) operating activities of continuing operations | $ | 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—intercompany | 1,121 |
| | (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 stock | 1,500 |
| | — |
| | — |
| | — |
| | 1,500 |
| Redemption of preferred stock | (1,500 | ) | | — |
| | — |
| | — |
| | (1,500 | ) | Treasury stock acquired | (2,925 | ) | | — |
| | — |
| | — |
| | (2,925 | ) | Proceeds (repayments) from issuance of long-term debt, net | 5,742 |
| | 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 period | 3,021 |
| | 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 allowance | 3,000 |
| | 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 interest | 998 |
| | 1,983 |
| | 2,443 |
| | — |
| | 5,424 |
| Non-cash investing activities | | | | | | | | | | Transfers to loans HFS from loans | $ | — |
| | $ | — |
| | $ | 224 |
| | $ | — |
| | $ | 224 |
|
Condensed Consolidating Statement of Cash Flows | | | Three Months Ended March 31, 2019 | | Three Months Ended March 31, 2020 | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | In millions of dollars | Citigroup parent company | | CGMHI | | Other Citigroup subsidiaries and eliminations | | Consolidating adjustments | | Citigroup consolidated | 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 investments | 0 | | | 0 | | | 44,399 | | | 0 | | | 44,399 | | Proceeds from maturities of investments | — |
| | — |
| | 47,363 |
| | — |
| | 47,363 |
| Proceeds from maturities of investments | 0 | | | 0 | | | 29,203 | | | 0 | | | 29,203 | | Change in loans | — |
| | — |
| | (892 | ) | | — |
| | (892 | ) | Change in loans | 0 | | | 0 | | | (26,743) | | | 0 | | | (26,743) | | Proceeds from sales and securitizations of loans | — |
| | — |
| | 2,062 |
| | — |
| | 2,062 |
| Proceeds from sales and securitizations of loans | 0 | | | 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 resell | 0 | | | (8,421) | | | (2,793) | | | 0 | | | (11,214) | | Changes in investments and advances—intercompany | (106 | ) | | (6,636 | ) | | 6,742 |
| | — |
| | — |
| Changes in investments and advances—intercompany | 1,121 | | | (9,442) | | | 8,321 | | | 0 | | | 0 | | Other investing activities | — |
| | (17 | ) | | (425 | ) | | — |
| | (442 | ) | Other investing activities | 0 | | | 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 stock | | Issuance of preferred stock | 1,500 | | | 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, net | 5,199 |
| | 5,576 |
| | (1,791 | ) | | — |
| | 8,984 |
| Proceeds (repayments) from issuance of long-term debt, net | 5,742 | | | 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, net | 0 | | | 554 | | | (554) | | | 0 | | | 0 | | Change in deposits | — |
| | — |
| | 17,186 |
| | — |
| | 17,186 |
| Change in deposits | 0 | | | 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 repurchase | 0 | | | 49,341 | | | 6,644 | | | 0 | | | 55,985 | | Change in short-term borrowings | — |
| | 2,829 |
| | 4,147 |
| | — |
| | 6,976 |
| Change in short-term borrowings | 0 | | | 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 period | 3,020 |
| | 15,677 |
| | 169,408 |
| | — |
| | 188,105 |
| Cash and due from banks and deposits with banks at beginning of period | 3,021 | | | 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 allowance | 3,000 |
| | 11,522 |
| | 166,923 |
| | — |
| | 181,445 |
| Deposits with banks, net of allowance | 3,000 | | | 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 taxes | | Cash paid during the period for income taxes | $ | 16 | | | $ | 78 | | | $ | 1,347 | | | $ | 0 | | | $ | 1,441 | | Cash paid during the period for interest | 956 |
| | 2,694 |
| | 3,281 |
| | — |
| | 6,931 |
| Cash paid during the period for interest | 998 | | | 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 | | |
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 amounts | Total shares purchased | Average price paid per share | | January 2021 | | | | Open market repurchases | — | | $ | — | | | Employee transactions(1) | — | | — | | | February 2021 | | | | Open market repurchases | 3.5 | | 67.22 | | | Employee transactions(1) | — | | — | | | March 2021 | | | | Open market repurchases | 19.0 | | 72.01 | | | Employee transactions(1) | — | | — | | | Total for 1Q21 | 22.5 | | $ | 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, 2020 | 40.7 |
| $ | 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.
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)
EXHIBIT INDEX | | | | | | | | | Exhibit | | | Number | | Description of Exhibit | | |
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| | | | | | Financial statements from the Quarterly Report on Form 10-Q of Citigroup for the quarter ended March 31, 2020,31, 2021, filed on May 4, 2020,5, 2021, formatted in Inline XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Shareholders’ Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to the Consolidated Financial Statements. | | | | 104 | | See the cover page of this Quarterly Report on Form 10-Q, formatted in Inline XBRL. |
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request. * Denotes a management contract or compensatory plan or arrangement. + Filed herewith.
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