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C Citigroup

Filed: 4 May 20, 5:27pm
0000831001 srt:NorthAmericaMember us-gaap:ConsumerPortfolioSegmentMember us-gaap:HomeEquityMember us-gaap:PaymentDeferralMember 2019-01-01 2019-03-31 0000831001 c:CreditDerivativeMaturitiesRollingAfterYearFiveMember 2020-03-31 0000831001 srt:MinimumMember us-gaap:FairValueInputsLevel3Member c:MeasurementInputMeanReversionMember c:ValuationTechniqueModelbasedMember 2019-12-31
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
(Mark One)
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2020

OR

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from  to
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
Delaware 52-1568099
(State or other jurisdiction of incorporation or organization) (I.R.S. Employer Identification No.)
388 Greenwich Street,New YorkNY 10013
(Address of principal executive offices)

 (Zip code)
(212559-1000
(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Securities Exchange Act of 1934 formatted in Inline XBRL: See Exhibit 99.01
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes     No 
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes   No 
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated filerAccelerated filerNon-accelerated filerSmaller reporting company
      Emerging growth company

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes     
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes     No 
Number of shares of Citigroup Inc. common stock outstanding on March 31, 2020: 2,081,808,009

Available on the web at www.citigroup.com
 




CITIGROUP’S FIRST QUARTER 2020—FORM 10-Q
OVERVIEW
MANAGEMENT’S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
Executive Summary
COVID-19 Overview
    RISK FACTORS
Summary of Selected Financial Data
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
SEGMENT BALANCE SHEET
Global Consumer Banking (GCB)
North America GCB
Latin America GCB
Asia GCB
Institutional Clients Group
Corporate/Other
OFF-BALANCE SHEET ARRANGEMENTS
CAPITAL RESOURCES
MANAGING GLOBAL RISK TABLE OF
  CONTENTS
MANAGING GLOBAL RISK
SIGNIFICANT ACCOUNTING POLICIES AND
  SIGNIFICANT ESTIMATES
DISCLOSURE CONTROLS AND
  PROCEDURES
DISCLOSURE PURSUANT TO SECTION 219 OF
  THE IRAN THREAT REDUCTION AND SYRIA
  HUMAN RIGHTS ACT
FORWARD-LOOKING STATEMENTS
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
UNREGISTERED SALES OF EQUITY SECURITIES,
  REPURCHASES OF EQUITY SECURITIES AND
  DIVIDENDS




OVERVIEW

This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2019 (2019 Annual Report on Form 10-K).
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available free of charge through Citi’s website by clicking on the “Investors” tab and selecting “SEC Filings,” then “Citigroup Inc.” The SEC’s website also contains current reports on Form 8-K and other information regarding Citi at www.sec.gov.
Certain reclassifications, including a realignment of certain businesses, have been made to the prior periods’ financial statements and disclosures to conform to the current period’s presentation. For additional information on certain recent reclassifications, see Note 1 to the Consolidated Financial Statements below and Notes 1 and 3 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.


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Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional Clients Group, with the remaining operations in Corporate/Other.
citisegments123119.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citiregions18q1a12.jpg

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

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

EXECUTIVE SUMMARY

First Quarter of 2020—Results Demonstrated Financial Strength and Operational Resilience in a Challenging Environment
As described further throughout this Executive Summary, during the first quarter of 2020, Citi demonstrated financial strength and operational resilience, despite a significant deterioration in economic conditions late in the quarter due to the rapidly evolving COVID-19 pandemic and while protecting the health, safety and welfare of its employees and supporting its customers and communities:

Citi’s earnings were significantly reduced by higher reserves taken during the quarter. Citi built approximately $4.9 billion of net loan loss reserves, reflecting the impact of changes in Citi’s economic outlook on estimated lifetime losses on the March 31, 2020 portfolios under the new Current Expected Credit Losses (CECL) standard due to the COVID-19 pandemic. Despite the challenging environment, Citi had solid revenue growth in Institutional Clients Group (ICG), reflecting strong performance in fixed income and equity markets, as well as mark-to-market gains on loan hedges, partially offset by a decline in treasury and trade solutions, due to the impact of lower interest rates and lower corporate lending revenues.
Citi also had revenue growth in Global Consumer Banking (GCB), as solid performance in Citi-branded cards in North America GCB was partially offset by lower revenues in Asia GCB, reflecting the initial impact of the COVID-19 pandemic on customer behavior.
Citi demonstrated good expense discipline, resulting in expenses that were largely unchanged from the prior year, as well as positive operating leverage and 27% improvement in operating margin.
Citi maintained credit discipline, while supporting clients.
Citi had broad-based loan and deposit growth across GCB and ICG.
Citi returned $4.0 billion of capital to its shareholders in the form of common stock repurchases and dividends; Citi repurchased approximately 41 million common shares, contributing to a 10% reduction in average outstanding common shares from the prior year. As previously announced, in March 2020, Citi along with other major U.S. banks took the proactive step to suspend share repurchases to further bolster capital and liquidity positions, in order to allow additional capacity to support clients during this time of uncertainty.
Citi continues to support its customers and clients as well as the broader economy during this challenging time, even as roughly 80% of its workforce is working remotely, and maintained strong regulatory capital and liquidity metrics.
 
For further information on Citi’s measures to support its employees, customers and clients in response to the COVID-19 pandemic, see “COVID-19 Overview” below.
As a result of the COVID-19 pandemic, the economic outlook for 2020 has been lowered substantially, and continued uncertainties around COVID-19, including, among others, the length and severity of the economic and public health impacts, have created a much more volatile operating environment that could negatively impact Citi’s businesses and future results during the remainder of 2020. For a discussion of risks and uncertainties related to the pandemic, see “COVID-19 Overview,” “Risk Factors” and each respective business’s results of operations below. For a discussion of additional risks and uncertainties that could affect Citi, see “Forward-Looking Statements” below and each respective business’s results of operations and “Managing Global Risk” and “Risk Factors” in Citi’s 2019 Annual Report on Form 10-K.

First Quarter of 2020 Results Summary

Citigroup
Citigroup reported net income of $2.5 billion, or $1.05 per share, compared to net income of $4.7 billion, or $1.87 per share, in the prior-year period. Net income declined 46%, primarily driven by higher loan loss reserves, reflecting the impact of changes in Citi’s economic outlook on estimated lifetime losses under CECL due to the COVID-19 pandemic. Earnings per share decreased 44%, as the decline in net income was partially offset by a 10% reduction in average diluted shares outstanding.
Citigroup revenues of $20.7 billion in the first quarter of 2020 increased 12% from the prior-year period, primarily reflecting higher revenues in ICG, including higher revenues in fixed income and equity markets as well as the benefit of mark-to-market gains on loan hedges.
Citigroup’s end-of-period loans increased 6% to $721 billion. Excluding the impact of FX translation, Citigroup’s end-of-period loans grew 8%, as 9% aggregate growth in ICG and GCB was partially offset by the continued wind-down of legacy assets in Corporate/Other. Citigroup’s end-of-period deposits increased 15% to $1.2 trillion. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 17%, primarily driven by 21% growth in ICG and 8% growth in GCB. (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures.)

Expenses
Citigroup operating expenses of $10.6 billion were largely unchanged versus the prior-year period, as continued investments in the franchise, higher compensation and volume-related expenses were offset by efficiency savings and the wind-down of legacy assets. Year-over-year, GCB and Corporate/Other operating expenses declined 1% and 24%, respectively, while ICG expenses increased 3%.


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Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $7.0 billion compared to $2.0 billion in the prior-year period. The increase reflected the loan loss reserve builds related to the impact of changes in Citi’s economic outlook on estimated lifetime losses on the March 31, 2020 portfolios under the CECL standard due to the COVID-19 pandemic.
Net credit losses of $2.1 billion increased 8%. Consumer net credit losses of $2.0 billion increased 6%, primarily reflecting volume growth and seasoning in the North America cards portfolios. Corporate net credit losses increased to $127 million from $79 million in the prior-year period.
For additional information on Citi’s consumer and corporate credit costs and allowance for loan losses, see each respective business’s results of operations and “Credit Risk” below.

Capital
Citigroup’s Common Equity Tier 1 (CET1) Capital ratio was 11.2% as of March 31, 2020, based on the Basel III Advanced Approaches framework for determining risk-weighted assets, compared to 11.9% as of March 31, 2019, based on the Basel III Standardized Approach for determining risk-weighted assets. The decline in the ratio primarily reflected an increase in risk-weighted assets, as Citi further supported its clients during the quarter, as well as increased market volatility and the widening of credit spreads. Citigroup’s Supplementary Leverage ratio as of March 31, 2020 was 6.0%, compared to 6.4% as of March 31, 2019. For additional information on Citi’s capital ratios and related components, see “Capital Resources” below.

Global Consumer Banking
GCB net loss of $0.8 billion, compared to income of $1.3 billion in the prior-year period, reflected higher cost of credit, partially offset by higher revenues and lower expenses. GCB operating expenses of $4.4 billion decreased 1%. Excluding the impact of FX translation, expenses were largely unchanged, as efficiency savings were offset by continued investments in the franchise and volume-driven growth.
GCB revenues of $8.2 billion increased 1%. Excluding the impact of FX translation, revenues increased 2%, as growth in North America GCB was partially offset by lower revenues in Asia GCB, reflecting the early impact of the COVID-19 pandemic on customer behavior. North America GCB revenues of $5.2 billion increased 4%, primarily driven by growth in Citi-branded cards and Citi retail services, while retail banking revenues were largely unchanged. In North America GCB, Citi-branded cards revenues of $2.3 billion increased 7%, reflecting volume growth as well as spread expansion. Citi retail services revenues of $1.7 billion increased 4%, reflecting a reduction in partner payments and higher average loans. Retail banking revenues of $1.1 billion were largely unchanged versus the prior-year period, as deposit growth and higher mortgage revenues were offset by lower deposit spreads.
North America GCB average deposits of $161 billion increased 8% year-over-year, average retail banking loans of $51 billion increased 6% year-over-year and assets under
 
management of $62 billion declined 6% (including the impact of market movements). Average Citi-branded card loans of $92 billion increased 5%, while Citi-branded card purchase sales of $86 billion increased 3%, including pressure during the latter part of March, driven by reduced client activity related to the COVID-19 pandemic. Average Citi retail services loans of $51 billion increased 1%, while Citi retail services purchase sales of $18 billion decreased 3%, including pressure during the latter part of March, driven by reduced client activity and store closures related to COVID-19. For additional information on the results of operations of North America GCB for the first quarter of 2020, see “Global Consumer Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations in certain EMEA countries)), of $3.0 billion declined 5% versus the prior-year period. Excluding the impact of FX translation, international GCB revenues declined 1%. On this basis, Latin America GCB revenues were largely unchanged. Excluding the impact of a residual gain in the prior-year period on the sale of an asset management business, revenues increased 3%, driven by deposit growth and improved spreads in cards. Asia GCB revenues decreased 1%, as growth in fees on investments and foreign currency transactions was more than offset by lower revenues in cards, reflecting lower sales volumes due to COVID-19. For additional information on the results of operations of Latin America GCB and Asia GCB for the first quarter of 2020, including the impact of FX translation, see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $129 billion increased 8%, average retail banking loans of $73 billion increased 6%, assets under management of $83 billion decreased 6% (including the impact of market movements), average card loans of $24 billion increased 1% and card purchase sales of $24 billion decreased 4%, all excluding the impact of FX translation.

Institutional Clients Group
ICG net income of $3.6 billion increased 7%, primarily driven by higher revenues, partially offset by higher cost of credit and expenses. ICG operating expenses increased 3% to $5.8 billion, primarily driven by higher compensation costs, continued investments and volume-driven growth, partially offset by efficiency savings.
ICG revenues of $12.5 billion increased 25%, reflecting a 13% increase in Banking revenues and a 37% increase in Markets and securities services revenues. The increase in Banking revenues included the impact of $816 million of gains on loan hedges related to corporate lending and the private bank, compared to losses of $231 million related to corporate lending in the prior-year period.
Banking revenues of $5.2 billion (excluding the impact of gains (losses) on loan hedges) decreased 6%, as declines in both corporate lending and treasury and trade solutions were partially offset by higher revenues in the private bank. Investment banking revenues of $1.4 billion were largely unchanged, as growth in advisory and equity underwriting was offset by a decline in debt underwriting. Advisory revenues

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increased 2% to $386 million, equity underwriting revenues increased 5% to $180 million and debt underwriting revenues declined 2% to $784 million.
Treasury and trade solutions revenues of $2.4 billion declined 5%, and 2% excluding the impact of FX translation, as strong client engagement and growth in deposits were more than offset by the impact of lower interest rates. Private bank revenues of $949 million increased 8% (excluding the impact of gains (losses) on loan hedges), driven by higher lending and deposit volumes as well as increased capital markets activity, partially offset by lower deposit spreads. Corporate lending revenues of $1.3 billion increased from $518 million in the prior-year period. Excluding the impact of gains (losses) on loan hedges, corporate lending revenues decreased 40%, primarily reflecting an adjustment to the residual value of a lease financing, as well as other marks on the portfolio.
Markets and securities services revenues of $6.5 billion increased 37%. Fixed income markets revenues of $4.8 billion increased 39%, reflecting strength in rates and currencies and commodities. Equity markets revenues of $1.2 billion increased 39%, with strong performance in derivatives, including an increase in client activity, due to higher volatility. Securities services revenues of $645 million increased 1%, and 5% excluding the impact of FX translation, reflecting higher client activity and deposit volumes, partially offset by lower spreads. For additional information on the results of operations of ICG for the first quarter of 2020, see “Institutional Clients Group” below.

Corporate/Other
Corporate/Other net loss was $351 million in the first quarter of 2020, compared to a net loss of $11 million in the prior-year period, driven by higher cost of credit, reflecting loan loss reserves on Citi’s residual legacy portfolio under the CECL standard, and lower revenues, partially offset by a decrease in expenses. Operating expenses of $416 million declined 24%, reflecting the continued wind-down of legacy assets, partially offset by higher infrastructure costs as well as incremental costs associated with COVID-19, including special compensation awarded to 75,000 employees most directly impacted by the pandemic. Corporate/Other revenues of $73 million declined 84%, reflecting the wind-down of legacy assets, the impact of lower interest rates and marks on legacy securities. For additional information on the results of operations of Corporate/Other for the first quarter of 2020, see “Corporate/Other” below.


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

Citi’s COVID-19 ResponseSupporting Employees, Customers and Communities

Citi Employees

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

Global Consumer Banking Customers

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

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

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

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

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

Corporate Clients

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

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

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

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

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

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

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



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

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

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

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

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

Certain Key Government Actions in Support of the Economy

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

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

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

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

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

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


8



RISK FACTORS

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

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

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

9











 







                    





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10



RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
 First Quarter 
In millions of dollars, except per share amounts20202019% Change
Net interest revenue$11,492
$11,759
(2)%
Non-interest revenue9,239
6,817
36
Revenues, net of interest expense$20,731
$18,576
12 %
Operating expenses10,594
10,584

Provisions for credit losses and for benefits and claims7,027
1,980
NM
Income from continuing operations before income taxes$3,110
$6,012
(48)%
Income taxes576
1,275
(55)
Income from continuing operations$2,534
$4,737
(47)%
Income (loss) from discontinued operations, net of taxes(18)(2)NM
Net income before attribution of noncontrolling interests$2,516
$4,735
(47)%
Net income attributable to noncontrolling interests(6)25
NM
Citigroup’s net income$2,522
$4,710
(46)%
Earnings per share  

Basic  

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

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

Table continues on the next page, including footnotes.

11



SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated Subsidiaries
 First Quarter 
In millions of dollars, except per share amounts, ratios and direct staff20202019% Change
At March 31:   
Total assets$2,219,770
$1,958,413
13 %
Total deposits1,184,911
1,030,355
15
Long-term debt266,098
243,566
9
Citigroup common stockholders’ equity174,351
178,272
(2)
Total Citigroup stockholders’ equity192,331
196,252
(2)
Average assets2,079,719
1,939,414
7
Direct staff (in thousands)
201
203
(1)
Performance metrics  

Return on average assets0.49%0.98%

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


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


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


Basel III ratios   
Common Equity Tier 1 Capital(4)
11.17%11.91% 
Tier 1 Capital(4)
12.61
13.44
 
Total Capital(4)
15.11
16.41
 
Supplementary Leverage ratio5.97
6.43
 
Citigroup common stockholders’ equity to assets7.85%9.10% 
Total Citigroup stockholders’ equity to assets8.66
10.02
 
Dividend payout ratio(5)
48.6
24.1
 
Total payout ratio(6)
179.6
115.3
 
Book value per common share$83.75
$77.09
9 %
Tangible book value (TBV) per share(3)
71.52
65.55
9
(1)Certain series of preferred stock have semi-annual payment dates. See Note 9 to the Consolidated Financial Statements.
(2)The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(3)For information on RoTCE and TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.
(4)Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of March 31, 2020, and the Basel III Standardized Approach as of March 31, 2019, whereas Citi’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework for all periods presented. This reflects the U.S. Basel III requirement to report the lower of risk-based capital ratios under both the Standardized Approach and Advanced Approaches in accordance with the Collins Amendment of the Dodd-Frank Act.
(5)Dividends declared per common share as a percentage of net income per diluted share.
(6)
Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders (Net income, less preferred dividends). See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
NM Not Meaningful




12



SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
 First Quarter 
In millions of dollars20202019% Change
Income (loss) from continuing operations   
Global Consumer Banking   
  North America$(910)$707
NM
  Latin America(36)216
NM
  Asia(1)
191
397
(52)
Total$(755)$1,320
NM
Institutional Clients Group

 

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

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

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

 

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




13



SEGMENT BALANCE SHEET(1)—MARCH 31, 2020
In millions of dollars
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
Citigroup
parent company-
issued long-term
debt and
stockholders’
equity(3)
Total
Citigroup
consolidated
Assets     
Cash and deposits with banks, net of allowance$6,432
$88,038
$191,450
$
$285,920
Securities borrowed and purchased under agreements to resell, net of allowance93
262,157
286

262,536
Trading account assets2,609
350,705
11,686

365,000
Investments, net of allowance1,002
128,915
268,966

398,883
Loans, net of unearned income and
  allowance for credit losses on loans
262,277
429,128
8,774

700,179
Other assets, net of allowance36,398
132,238
38,616

207,252
Net inter-segment liquid assets(4)
94,042
331,746
(425,788)

Total assets$402,853
$1,722,927
$93,990
$
$2,219,770
Liabilities and equity    
Total deposits$293,896
$878,252
$12,763
$
$1,184,911
Securities loaned and sold under
  agreements to repurchase
1,253
221,048
23

222,324
Trading account liabilities1,929
161,608
458

163,995
Short-term borrowings289
31,222
23,440

54,951
Long-term debt(3)
1,246
61,648
46,743
156,461
266,098
Other liabilities, net of allowance17,077
98,262
19,170

134,509
Net inter-segment funding (lending)(3)
87,163
270,887
(9,258)(348,792)
Total liabilities$402,853
$1,722,927
$93,339
$(192,331)$2,026,788
Total stockholders’ equity(5)


651
192,331
192,982
Total liabilities and equity$402,853
$1,722,927
$93,990
$
$2,219,770

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

14






































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15



GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,333 branches in 19 countries and jurisdictions as of March 31, 2020. At March 31, 2020, GCB had approximately $403 billion in assets and $294 billion in deposits.
GCB’s overall strategy is to leverage Citi’s global footprint and be the pre-eminent bank for the affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies.
 First Quarter 
In millions of dollars, except as otherwise noted20202019% Change
Net interest revenue$7,072
$6,940
2 %
Non-interest revenue1,102
1,150
(4)
Total revenues, net of interest expense$8,174
$8,090
1 %
Total operating expenses$4,368
$4,416
(1)%
Net credit losses on loans$1,983
$1,868
6 %
Credit reserve build (release) for loans2,829
96
NM
Provision (release) for credit losses on unfunded lending commitments(1)(3)67
Provisions for benefits and claims, HTM debt securities and other assets20
12
67
Provisions for credit losses and for benefits and claims (PBC)$4,831
$1,973
NM
Income (loss) from continuing operations before taxes$(1,025)$1,701
NM
Income taxes (benefits)(270)381
NM
Income (loss) from continuing operations$(755)$1,320
NM
Noncontrolling interests(1)
(100)
Net income (loss)$(754)$1,320
NM
Balance Sheet data and ratios (in billions of dollars)


 

EOP assets$403
$379
6 %
Average assets406
380
7
Return on average assets(0.75)%1.41%

Efficiency ratio53
55


Average deposits$290.1
$271.7
7
Net credit losses as a percentage of average loans2.75 %2.70%

Revenue by business

 

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

 

Retail banking$120
$409
(71)%
Cards(1)
(875)911
NM
Total$(755)$1,320
NM
Table continues on the next page, including footnotes.


16



Foreign currency (FX) translation impact  

Total revenue—as reported$8,174
$8,090
1 %
Impact of FX translation(2)

(115)

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

(66)

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

(26)

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

(15)

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




17



NORTH AMERICA GCB
North America GCB provides traditional retail banking and Citi-branded and Citi retail services card products to retail and small business customers in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards, as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Best Buy and Macy’s) within Citi retail services.
At March 31, 2020, North America GCB had 686 retail bank branches concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of March 31, 2020, North America GCB had approximately $50.8 billion in retail banking loans and $166.4 billion in deposits. In addition, North America GCB had approximately $137.3 billion in outstanding card loan balances.
 First Quarter 
In millions of dollars, except as otherwise noted20202019% Change
Net interest revenue$5,036
$4,897
3 %
Non-interest revenue188
103
83
Total revenues, net of interest expense$5,224
$5,000
4 %
Total operating expenses$2,536
$2,572
(1)%
Net credit losses on loans$1,526
$1,408
8 %
Credit reserve build for loans2,362
118
NM
Provision (release) for credit losses on unfunded lending commitments(1)(3)67
Provisions for benefits and claims, HTM debt securities and other assets5
6
(17)
Provisions for credit losses and for benefits and claims$3,892
$1,529
NM
Income (loss) from continuing operations before taxes$(1,204)$899
NM
Income taxes (benefits)(294)192
NM
Income (loss) from continuing operations$(910)$707
NM
Noncontrolling interests


Net income (loss)$(910)$707
NM
Balance Sheet data and ratios (in billions of dollars)


 

Average assets$246
$226
9 %
Return on average assets(1.49)%1.27%

Efficiency ratio49
51


Average deposits$161.3
$149.6
8
Net credit losses as a percentage of average loans3.18 %3.08%

Revenue by business

 

Retail banking$1,130
$1,131
 %
Citi-branded cards2,347
2,195
7
Citi retail services1,747
1,674
4
Total$5,224
$5,000
4 %
Income (loss) from continuing operations by business

 

Retail banking$(73)$21
NM
Citi-branded cards(529)382
NM
Citi retail services(308)304
NM
Total$(910)$707
NM

NM Not meaningful

18



1Q20 vs. 1Q19
Net loss was $910 million in the first quarter of 2020, compared to net income of $707 million in the prior-year period, reflecting significantly higher cost of credit, partially offset by higher revenues and lower expenses.
Revenues increased 4%, reflecting growth in both Citi-branded cards and Citi retail services.
Retail banking revenues were largely unchanged, as deposit growth and higher mortgage revenues were offset by lower deposit spreads, reflecting lower interest rates. Average deposits increased 8%, while assets under management decreased 6%, reflecting the impact of market movements.
Cards revenues increased 6%. In Citi-branded cards revenues increased 7%, reflecting volume growth, as well as spread expansion. Average loans increased 5% and purchase sales increased 3%, reflecting momentum in the first two months of the first quarter, partially offset by the impact of the COVID-19 pandemic on customer behavior during the second half of March.
Citi retail services revenues increased 4%, primarily reflecting a reduction in partner payments and higher average loans (up 1%), while purchase sales decreased 3%, including the impact of the COVID-19 pandemic on customer behavior and store closures during the second half of March.
Expenses decreased 1%, as efficiency savings more than offset ongoing investments and higher volume-related expenses.
Provisions of $3.9 billion increased $2.4 billion from the prior-year period, driven by a higher net credit loss reserve build and higher net credit losses. Net credit losses increased 8%, primarily driven by higher net credit losses in Citi-branded cards (up 13% to $795 million) and Citi retail services (up 5% to $694 million). The increase in net credit losses reflected volume growth and seasoning in both cards portfolios.
The net loan loss reserve build in the current quarter was $2.4 billion, reflecting the impact of changes in the economic outlook, primarily driven by the COVID-19 pandemic, on estimated lifetime credit losses under CECL (compared to a build of $115 million in the prior-year period under prior accounting standards).
For additional information on North America GCB’s retail banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.
For additional information on CECL, see “Significant Accounting Policies and Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the COVID-19 pandemic, see the “COVID-19 Overview” and “Risk Factors” sections above.










19



LATIN AMERICA GCB
Latin America GCB provides traditional retail banking and Citi-branded card products to retail and small business customers in Mexico through Citibanamex, one of Mexico’s largest banks.
At March 31, 2020, Latin America GCB had 1,411 retail branches in Mexico, with approximately $9.2 billion in retail banking loans and $19.8 billion in deposits. In addition, the business had approximately $4.5 billion in outstanding card loan balances.
 First Quarter 
In millions of dollars, except as otherwise noted20202019% Change
Net interest revenue$887
$877
1 %
Non-interest revenue312
395
(21)
Total revenues, net of interest expense$1,199
$1,272
(6)%
Total operating expenses$699
$673
4 %
Net credit losses on loans$277
$296
(6)%
Credit reserve build (release) for loans265
(2)NM
Provision for credit losses on unfunded lending commitments


Provisions for benefits and claims, HTM debt securities and other assets15
6
NM
Provisions for credit losses and for benefits and claims (PBC)$557
$300
86 %
Income (loss) from continuing operations before taxes$(57)$299
NM
Income taxes (benefits)(21)83
NM
Income (loss) from continuing operations$(36)$216
NM
Net income (loss)$(36)$216
NM
Balance Sheet data and ratios (in billions of dollars)


 

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

Efficiency ratio58
53


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

Revenue by business

 

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

 

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

 

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

(74)

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

(36)

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

(19)

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

(12)

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

20



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

1Q20 vs. 1Q19
Net loss was $36 million in the first quarter of 2020, compared to net income of $204 million in the prior-year period, reflecting significantly higher cost of credit and higher expenses.
Revenues were largely unchanged. Excluding the impact of a residual gain (approximately $30 million) in the prior-year period on the sale of an asset management business, revenues increased 3%, primarily driven by deposit growth and improved spreads in cards.
Retail banking revenues decreased 8%. Excluding the residual gain in the prior-year period, retail banking revenues decreased 4%, as improved deposit spreads were more than offset by lower retirement services and insurance-related revenues. Average deposits were up 4%, while average loans were largely unchanged.
Cards revenues increased 18%, primarily driven by improved spreads and volume growth. Average cards loans grew 2%, while purchase sales were down 3%, including the impact of the COVID-19 pandemic on customer behavior during the second half of March.
Expenses increased 10%, as ongoing investment spending and episodic items were partially offset by efficiency savings.
Provisions increased $276 million, primarily driven by a net credit loss reserve build of $265 million in the current quarter (versus a $2 million net credit loss release in the prior-year period) reflecting the impact of changes in the economic outlook due to the COVID-19 pandemic on estimated lifetime credit losses under the CECL standard.
For additional information on Latin America GCB’s retail banking and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information on CECL, see “Significant Accounting Policies and Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the COVID-19 pandemic, see the “COVID-19 Overview” and “Risk Factors” sections above.








21



ASIA GCB
Asia GCB provides traditional retail banking and Citi-branded card products to retail and small business customers. During the first quarter of 2020, Asia GCB’s most significant revenues in Asia were from Singapore, Hong Kong, South Korea, Taiwan, India, Australia, Thailand, Philippines, Indonesia and Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily the United Arab Emirates, Poland and Russia.
At March 31, 2020, on a combined basis, the businesses had 236 retail branches, approximately $60.2 billion in retail banking loans and $107.8 billion in deposits. In addition, the businesses had approximately $17.3 billion in outstanding card loan balances.
 First Quarter 
In millions of dollars, except as otherwise noted(1)
20202019% Change
Net interest revenue$1,149
$1,166
(1)%
Non-interest revenue602
652
(8)
Total revenues, net of interest expense$1,751
$1,818
(4)%
Total operating expenses$1,133
$1,171
(3)%
Net credit losses on loans$180
$164
10 %
Credit reserve build (release) for loans202
(20)NM
Provision for credit losses on unfunded lending commitments


Provisions for credit losses$382
$144
NM
Income from continuing operations before taxes$236
$503
(53)%
Income taxes45
106
(58)
Income from continuing operations$191
$397
(52)%
Noncontrolling interests(1)

Net income$192
$397
(52)%
Balance Sheet data and ratios (in billions of dollars)






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

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

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





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


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

(41)

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

(30)

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

(7)

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

(3)

Net income—ex-FX(3)
$192
$394
(51)%

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

22



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

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

1Q20 vs. 1Q19
Net income decreased 51%, reflecting significantly higher cost of credit and lower revenues, partially offset by lower expenses.
Revenues decreased 1%, as growth in fees on investments and foreign currency transactions was more than offset by lower revenues in cards and insurance, reflecting the initial impact of the COVID-19 pandemic on customer behavior.
Retail banking revenues increased 7%, primarily driven by higher fees on investments and foreign currency transactions due to higher volumes and volatility, partially offset by lower deposit spreads and insurance revenues. Average deposits increased 8% and average loans increased 7%. Assets under management declined 11%, reflecting the impact of market movements, while investment sales increased 53%. Retail lending revenues improved, reflecting growth in personal loans and mortgages.
Cards revenues decreased 14%, primarily driven by lower purchase sales (down 4%), reflecting the initial impact of the COVID-19 pandemic on customer behavior and a modest one-time gain in the prior-year quarter.
Expenses decreased 1%, as efficiency savings more than offset investment spending and volume-driven growth.
Provisions increased $245 million, primarily driven by a net credit loss reserve build in the current quarter (versus a $21 million net credit loss release in the prior-year period under prior accounting standards), reflecting the impact of changes in the economic outlook due to the COVID-19 pandemic on estimated lifetime credit losses under the CECL standard, as well as higher net credit losses (increase of 14%), primarily driven by volume growth.
For additional information on Asia GCB’s retail banking portfolios and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.
For additional information on CECL, see “Significant Accounting Policies and Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the COVID-19 pandemic, see the “COVID-19 Overview” and “Risk Factors” sections above.












 





23


INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG) includes Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products. For more information on ICG’s business activities, see “Institutional Clients Group” in Citi’s 2019 Annual Report on Form 10-K.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in 97 countries and jurisdictions. At March 31, 2020, ICG had approximately $1.7 trillion in assets and $878 billion in deposits, while two of its businesses—securities services and issuer services—managed approximately $18.7 trillion in assets under custody compared to $20.3 trillion at December 31, 2019 and $18.4 trillion at March 31, 2019.
 First Quarter 
In millions of dollars, except as otherwise noted20202019% Change
Commissions and fees$1,222
$1,154
6 %
Administration and other fiduciary fees691
683
1
Investment banking1,231
1,113
11
Principal transactions5,359
2,638
NM
Other(114)280
NM
Total non-interest revenue$8,389
$5,868
43 %
Net interest revenue (including dividends)4,095
4,150
(1)
Total revenues, net of interest expense$12,484
$10,018
25 %
Total operating expenses$5,810
$5,619
3 %
Net credit losses on loans$127
$78
63 %
Credit reserve build (release) for loans1,316
(74)NM
Provision for credit losses on unfunded lending commitments

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

8

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

Efficiency ratio47
56


Revenues by region  

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

North America$896
$748
20 %
EMEA1,035
1,125
(8)
Latin America526
540
(3)
Asia1,169
999
17
Total$3,626
$3,412
6 %

24


Average loans by region (in billions of dollars)
  

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

NM Not meaningful

ICG Revenue Details
 First Quarter 
In millions of dollars20202019% Change
Investment banking revenue details
   
Advisory$386
$378
2 %
Equity underwriting180
172
5
Debt underwriting784
804
(2)
Total investment banking$1,350
$1,354
 %
Treasury and trade solutions2,423
2,539
(5)
Corporate lending—excluding gains (losses) on loan hedges(1)
448
749
(40)
Private bank—excluding gains (losses) on loan hedges(1)

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

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

25


fixed premium costs of these hedges are netted against the private bank and corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
(2)
Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
(3)
Citi assesses its Markets business performance on a total revenue basis, as offsets may occur across revenue line items. For example, securities that generate Net interest revenue may be risk managed by derivatives that are recorded in Principal transactions revenue. For a description of the composition of these revenue line items, see Notes 4, 5 and 6 to the Consolidated Financial Statements.
NM Not meaningful

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

1Q20 vs. 1Q19
Net income increased 7%, as significant growth in revenues was partially offset by significantly higher cost of credit and higher expenses.
Revenues were up 25%, reflecting higher Markets and securities services revenues (increase of 37%) and higher Banking revenues (increase of 13% including the gains (losses) on loan hedges). Excluding the impact of the gains (losses) on loan hedges, Banking revenues were down 6%, driven by lower revenues in treasury and trade solutions and corporate lending, partially offset by higher revenues in the private bank, while investment banking was largely unchanged. Markets and securities services revenues were up 37%, primarily driven by higher revenues in fixed income and equity markets, reflecting increased client activity due to higher market volatility, particularly later in the quarter related to the impact of the COVID-19 pandemic.

Within Banking:

Investment banking revenues were largely unchanged, as growth in equity underwriting and advisory revenues was offset by lower debt underwriting revenues. The increase in revenues reflected an improved market share despite a decline in the overall market wallet. Advisory revenues increased 2%, primarily driven by strength in North America. Equity underwriting revenues increased 5%, driven by growth in the market wallet, as well as share gains. Debt underwriting revenues decreased 2%, reflecting lower revenues in EMEA, Asia and Latin America, while investment-grade debt underwriting was up double digits, as the business assisted clients with sourcing liquidity in the evolving environment.
Treasury and trade solutions revenues decreased 5%. Excluding the impact of FX translation, revenues decreased 2%, reflecting a decline in both the cash and trade businesses. The decline in revenues in the cash business reflected the continued impact of lower rates, partially offset by strong deposit volumes. End-of-period deposits increased 21% (24% excluding the impact of FX translation), while average deposit balances increased 12% (13% excluding the impact of FX translation), both reflecting strong client engagement and solid growth across all regions. In trade, revenues were impacted by a decline in average trade loans (decline of 4%, or 3% excluding the impact of FX translation), as well as a decline in spreads. However, the business experienced an increase in demand for working capital finance solutions toward the end of the quarter.

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

Within Markets and securities services:

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

26


activity due to higher volatility, particularly later in the quarter related to the impact of the COVID-19 pandemic. Prime finance revenues declined modestly as underlying client momentum was more than offset by lower financing balances. Non-interest revenues increased, primarily driven by higher principal transactions and commissions and fee revenues, due to higher client activity and a more volatile trading environment related to the COVID-19 pandemic, as well as a change in the mix of trading positions in support of client activity.
Securities services revenues were up 1%. Excluding the impact of FX translation, revenues increased 5%, reflecting higher client activity and deposit volumes, partially offset by lower interest revenue as interest rates declined.

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

Expenses increased 3%, as efficiency savings were more than offset by higher compensation costs, continued investments in the businesses and volume-related growth.
Provisions increased to $2.0 billion. Provisions for credit losses included net credit losses of $127 million, compared to $78 million in the prior-year period under prior accounting standards, and a net credit loss reserve build of $1.9 billion, compared to a net credit loss release of $46 million in the prior-year period under prior accounting standards.
The increase in the net credit loss reserve build primarily reflected the impact of deterioration in the economic outlook driven by the COVID-19 pandemic across multiple sectors under the CECL standard, as well as some downgrades, along with volume growth in the portfolio.
For additional information on ICG’s corporate credit portfolio, see “Managing Global Risk—Credit Risk—Corporate Credit” below.
For additional information on CECL, see “Significant Accounting Policies and Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.
For additional information about trends, uncertainties and risks related to the COVID-19 pandemic, see the “COVID-19 Overview” and “Risk Factors” sections above.






27



CORPORATE/OTHER
Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses and income taxes, as well as Corporate Treasury, certain North America legacy consumer loan portfolios, other legacy assets and discontinued operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At March 31, 2020, Corporate/Other had $94 billion in assets.
 First Quarter 
In millions of dollars20202019% Change
Net interest revenue$325
$669
(51)%
Non-interest revenue(252)(201)(25)
Total revenues, net of interest expense$73
$468
(84)%
Total operating expenses$416
$549
(24)%
Net credit losses (recoveries) on loans$(2)$2
NM
Credit reserve build (release) for loans191
(26)NM
Provision (release) for credit losses on unfunded lending commitments5
(1)NM
Provisions for benefits and claims, HTM debt securities and other assets(2)

Provisions (release) for credit losses and for benefits and claims$192
$(25)NM
Income (loss) from continuing operations before taxes$(535)$(56)NM
Income taxes (benefits)(198)(61)NM
Income (loss) from continuing operations$(337)$5
NM
Income (loss) from discontinued operations, net of taxes(18)(2)NM
Net income (loss) before attribution of noncontrolling interests$(355)$3
NM
Noncontrolling interests(4)14
NM
Net income (loss)$(351)$(11)NM
NM Not meaningful

1Q20 vs. 1Q19
Net loss was $351 million, compared to a net loss of $11 million in the prior-year period, largely driven by lower revenues and significantly higher cost of credit, partially offset by lower expenses.
Revenues decreased 84%, reflecting the wind-down of legacy assets, the impact of lower interest rates and marks on legacy securities, as spreads widened during the quarter.
Expenses decreased 24%, primarily reflecting the wind-down of legacy assets, partially offset by higher infrastructure costs as well as incremental costs associated with the COVID-19 pandemic, including special compensation awarded to approximately 75,000 employees most directly impacted by the pandemic.
Provisions increased $217 million, primarily driven by a net credit loss reserve build on legacy assets in the current quarter (versus a net credit loss release in the prior-year period under prior accounting standards), reflecting the impact of changes in the economic outlook due to COVID-19 on estimated lifetime credit losses under the CECL standard.
For additional information on CECL, see “Significant Accounting Policies and Estimates” below, and Notes 1 and 14 to the Consolidated Financial Statements.




28



OFF-BALANCE SHEET ARRANGEMENTS

The table below shows where a discussion of Citi’s various off-balance sheet arrangements in this Form 10-Q may be found. For additional information, see “Off-Balance Sheet Arrangements” and Notes 1, 21 and 26 to the Consolidated Financial Statements in Citigroup’s 2019 Annual Report on Form 10-K.
Types of Off-Balance Sheet Arrangements Disclosures in this Form 10-Q
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEsSee Note 18 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitmentsSee Note 22 to the Consolidated Financial Statements.
GuaranteesSee Note 22 to the Consolidated Financial Statements.

29



CAPITAL RESOURCES
For additional information about capital resources, including Citi’s capital management, the stress testing component of capital planning, current regulatory capital standards and regulatory capital standards developments, see “Capital Resources” and “Risk Factors” in Citi’s 2019 Annual Report on Form 10-K.
During the first quarter of 2020, Citi returned a total of $4.0 billion of capital to common shareholders in the form of share repurchases (approximately 41 million common shares) and dividends. As discussed above, on March 15, 2020, Citi announced it had joined other major U.S. banks in suspending stock repurchases to support clients in light of the COVID-19 pandemic. Citi stated there was no change to its dividend policy. For additional information, see “Unregistered Sales of Equity Securities, Repurchases of Equity Securities and Dividends—Equity Security Repurchases” below.

Regulatory Capital Relief Resulting from the COVID-19 Pandemic
The U.S. banking agencies issued several interim final rules during March 2020 to revise the current regulatory capital standards applicable to Citi, in light of the COVID-19 pandemic.

Use of Regulatory Capital Buffers
In March 2020, the U.S. banking agencies issued a statement encouraging banking organizations to use their regulatory capital buffers as they respond to the challenges presented by the effects of the COVID-19 pandemic.
Consistent with the statement, in March 2020, the U.S. banking agencies issued an interim final rule that eases capital distribution limitations in the U.S. Basel III rules, in an effort to reduce the impact of using regulatory capital buffers. The changes in the rule have the potential to prevent a complete and sudden cessation of capital distributions due to a breach of regulatory capital buffers, which include the GSIB surcharge, Capital Conservation Buffer, and any Countercyclical Capital Buffer (currently 0%). The interim final rule became effective in March 2020, and applies to risk-based capital ratios and the Supplementary Leverage ratio.
More specifically, under the U.S. Basel III rules, banking organizations that fall below their regulatory capital buffers are subject to limitations on capital distributions based on a percentage of “Eligible Retained Income” (ERI), with increasing restrictions based upon the severity of the breach. The original definition of ERI in the U.S. Basel III rules was equal to the bank’s net income for the four calendar quarters preceding the current calendar quarter, net of any distributions and tax effects not already reflected in net income. The interim final rule revises the definition of ERI to equal the greater of: (i) the bank’s net income for the four calendar quarters preceding the current calendar quarter, net of any distributions and tax effects not already reflected in net income, and (ii) the average of the
 
bank’s net income for the four calendar quarters preceding the current calendar quarter.
As of March 31, 2020, Citi’s regulatory capital ratios exceeded effective regulatory minimum requirements. Therefore, Citi is not subject to any payout limitations.
The impact of the interim final rule on Citibank, N.A. (Citibank) is limited, because the minimum requirements to be considered “well-capitalized” under the Prompt Corrective Action (PCA) framework are unchanged. For additional information on the PCA framework, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework” in Citi’s 2019 Annual Report on Form 10-K.
In March 2020, the Federal Reserve Board issued another interim final rule clarifying that the ERI revisions also apply to external Total Loss-Absorbing Capacity (TLAC) buffers, and are intended to provide the same easing in the automatic distribution restrictions if a U.S. global systemically important bank holding company, such as Citi, breaches its RWA-based or leverage-based TLAC buffers. Long-Term Debt requirements do not include any buffers, and are therefore unaffected by the interim final rule. For additional information on Citi’s TLAC-related requirements, see “Liquidity Risk—Long-Term Debt—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance, Conduct and Legal Risks” in Citi’s 2019 Annual Report on Form 10-K.

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

30



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

Regulatory Capital Impact of the Money Market Mutual Fund Liquidity Facility
In March 2020, the Federal Reserve Board established the Money Market Mutual Fund Liquidity Facility (MMLF), to further support the flow of credit to households and businesses by taking steps to enhance the liquidity and functioning of crucial money markets. Through the MMLF, the Federal Reserve Bank of Boston can make non-recourse loans available to eligible financial institutions secured by high-quality assets purchased by the financial institution from money market mutual funds.
To ensure that financial institutions would be able to effectively use the MMLF, in March 2020, the U.S. banking agencies issued an interim final rule that permits banking organizations to exclude exposures acquired pursuant to a non-recourse loan as part of the MMLF from risk-weighted assets under the Standardized Approach and Advanced Approaches, as well as quarterly adjusted average total assets and Total Leverage Exposure. The interim final rule is effective commencing with the quarter ended March 31, 2020.

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


31



Citigroup’s Capital Resources
The following tables set forth Citi’s capital components and ratios:
  Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Effective Minimum Requirement(1)
March 31, 2020December 31, 2019March 31, 2020December 31, 2019
Common Equity Tier 1 Capital(2)
 $136,695
$137,798
$136,695
$137,798
Tier 1 Capital 154,304
155,805
154,304
155,805
Total Capital (Tier 1 Capital
    + Tier 2 Capital)(2)
 184,902
181,337
194,369
193,682
Total Risk-Weighted Assets(3)


1,224,085
1,135,553
1,217,805
1,166,523
   Credit Risk(2)
 $839,439
$771,508
$1,136,874
$1,107,775
   Market Risk 78,915
57,317
80,931
58,748
   Operational Risk 305,731
306,728


Common Equity Tier 1
  Capital ratio(4)
10.0%11.17%12.13%11.22%11.81%
Tier 1 Capital ratio(4)
11.5
12.61
13.72
12.67
13.36
Total Capital ratio(4)
13.5
15.11
15.97
15.96
16.60
In millions of dollars, except ratiosEffective Minimum RequirementMarch 31, 2020December 31, 2019
Quarterly Adjusted Average Total Assets(2)(3)(5)
 $2,044,340
$1,957,039
Total Leverage Exposure(2)(3)(6)
 2,585,730
2,507,891
Tier 1 Leverage ratio4.0%7.55%7.96%
Supplementary Leverage ratio5.0
5.97
6.21

(1)Citi’s effective minimum risk-based capital requirements include the 2.5% Capital Conservation Buffer and the 3.0% GSIB surcharge (all of which must be composed of Common Equity Tier 1 Capital).
(2)Citi has elected to apply the modified transition provision related to the impact of the CECL accounting standard on regulatory capital, as provided by the U.S. banking agencies’ March 2020 interim final rule. Under the modified CECL transition provision, the changes in retained earnings (after-tax), deferred tax assets (DTAs) arising from temporary differences, and the allowance for credit losses upon the January 1, 2020 CECL adoption date have been deferred and will phase in to regulatory capital at 25% per year commencing January 1, 2022. For the ongoing impact of CECL, Citigroup is allowed to adjust retained earnings and the allowance for credit losses in an amount equal to 25% of the change in the allowance for credit losses recognized through earnings (pre-tax) for each period between January 1, 2020 and December 31, 2021. The cumulative adjustments to retained earnings and the allowance for credit losses between January 1, 2020 and December 31, 2021 will also phase in to regulatory capital at 25% per year commencing January 1, 2022, along with the deferred impacts related to the January 1, 2020 CECL adoption date. Corresponding adjustments to average on-balance sheet assets are reflected in quarterly adjusted average total assets and Total Leverage Exposure. Additionally, the increase in DTAs arising from temporary differences upon the January 1, 2020 adoption date has been deducted from risk-weighted assets (RWA) and will phase in to RWA at 25% per year commencing January 1, 2022.
(3)Commencing with the quarter ended March 31, 2020, exposures acquired pursuant to a non-recourse loan as part of the MMLF are excluded from risk-weighted assets under the Advanced Approaches and Standardized Approach, as well as quarterly adjusted average total assets and Total Leverage Exposure.
(4)Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were derived under the Basel III Advanced Approaches framework as of March 31, 2020, and the Basel III Standardized Approach as of December 31, 2019, whereas Citi’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework for all periods presented.
(5)Tier 1 Leverage ratio denominator. Represents quarterly average total assets less amounts deducted from Tier 1 Capital.
(6)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s risk-based capital ratios at March 31, 2020 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of March 31, 2020.

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

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

32



Components of Citigroup Capital
In millions of dollarsMarch 31,
2020
December 31, 2019
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$174,502
$175,414
Add: Qualifying noncontrolling interests138
154
Regulatory capital adjustments and deductions:  
Add: CECL transition and 25% provision deferral(2)
4,300

Less: Accumulated net unrealized gains (losses) on cash flow hedges, net of tax2,020
123
Less: Cumulative unrealized net gain (loss) related to changes in fair value of
   financial liabilities attributable to own creditworthiness, net of tax
2,838
(679)
Less: Intangible assets:  
Goodwill, net of related DTLs(3)
20,123
21,066
Identifiable intangible assets other than MSRs, net of related DTLs 
3,953
4,087
Less: Defined benefit pension plan net assets1,052
803
Less: DTAs arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(4)
12,259
12,370
Total Common Equity Tier 1 Capital (Advanced Approaches and Standardized Approach)$136,695
$137,798
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$17,829
$17,828
Qualifying trust preferred securities(5)
1,390
1,389
Qualifying noncontrolling interests40
42
Regulatory capital deductions:  
Less: Permitted ownership interests in covered funds(6)
1,622
1,216
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(7)
28
36
Total Additional Tier 1 Capital (Advanced Approaches and Standardized Approach)$17,609
$18,007
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Advanced Approaches and Standardized Approach)
$154,304
$155,805
Tier 2 Capital  
Qualifying subordinated debt$25,461
$23,673
Qualifying trust preferred securities(8)
318
326
Qualifying noncontrolling interests42
46
Excess of eligible credit reserves over expected credit losses(2)(9)
4,805
1,523
Regulatory capital deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(7)
28
36
Total Tier 2 Capital (Advanced Approaches)$30,598
$25,532
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$184,902
$181,337
Adjustment for eligible allowance for credit losses(2)(9)
$9,467
$12,345
Total Tier 2 Capital (Standardized Approach)

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

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


Footnotes continue on the following page.

33



(4)Of Citi’s $22.1 billion of net DTAs at March 31, 2020, $13.1 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $9.0 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of March 31, 2020 was $12.3 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, which was reduced by $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 in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. Citi’s DTAs arising from temporary differences are less than the 10% limitation under the U.S. Basel III rules and therefore not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk weighting at 250%.
(5)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(6)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. The U.S. agencies issued a revised Volcker Rule 2.0 in November 2019 that removes permitted investments in third-party covered funds from capital deduction requirements, among other changes. Upon the removal of the capital deduction, permitted investments in third-party covered funds will be included in risk-weighted assets. Mandatory compliance with the revised Volcker Rule 2.0 is required by January 1, 2021, with early adoption permitted, in whole or in part, beginning January 1, 2020. Citi continues to deduct from Tier 1 Capital all permitted ownership interests in covered funds for all periods presented.
(7)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(8)Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
(9)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach, in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets. The total amount of allowance for credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Standardized Approach framework was $14.3 billion and $13.9 billion at March 31, 2020 and December 31, 2019, respectively.

34



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

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


35



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

(1)Retail exposures decreased during the three months ended March 31, 2020 primarily due to seasonal holiday spending repayments.
(2)Wholesale exposures increased during the three months ended March 31, 2020 primarily due to growth in commercial loans and changes in obligor ratings, partially offset by decrease due to annual model parameter updates reflecting Citi’s loss experiences.
(3)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions. Repo-style transactions increased during the three months ended March 31, 2020 mainly driven by market volatility.
(4)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.
(5)Derivatives CVA increased during the three months ended March 31, 2020 primarily due to widening of credit spreads and market volatility.
(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the three months ended March 31, 2020 primarily due to increases in notional for client cleared derivatives.
(7)Market risk-weighted assets increased during the three months ended March 31, 2020 primarily due to increases in market volatility and exposure levels subject to various Market risk-weighted assets components.

As set forth in the table above, total risk-weighted assets under 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 was primarily due to an increase in wholesale 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 2019 primarily due to increases in market volatility and exposure levels.


36



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

(1)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.
(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.
(3)Equity exposures decreased during the three months ended March 31, 2020, primarily due to a decrease in market value of investments.
(4)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.
(5)Off-balance sheet exposures decreased during the three months ended March 31, 2020, primarily due to drawdowns in loan commitments.
(6)Market risk-weighted assets increased during the three months ended March 31, 2020 primarily due to increases in market volatility and exposure levels subject to various Market risk-weighted assets components.

As set forth in the table above, total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2019 primarily due to higher credit and market risk-weighted assets. The increase in credit risk-weighted assets was primarily due to changes in OTC derivatives activities, an increase in commercial loans 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 assets increased from year-end 2019 primarily due to increases in market volatility and exposure levels.


37



Supplementary Leverage Ratio
The following table sets forth Citi’s Supplementary Leverage ratio and related components:
In millions of dollars, except ratiosMarch 31, 2020December 31, 2019
Tier 1 Capital$154,304
$155,805
Total Leverage Exposure  
On-balance sheet assets(1)
$2,083,377
$1,996,617
Certain off-balance sheet exposures:(2)
  
   Potential future exposure on derivative contracts169,296
169,478
   Effective notional of sold credit derivatives, net(3)
38,910
38,481
   Counterparty credit risk for repo-style transactions(4)
22,386
23,715
   Unconditionally cancellable commitments71,453
70,870
   Other off-balance sheet exposures239,345
248,308
Total of certain off-balance sheet exposures$541,390
$550,852
Less: Tier 1 Capital deductions(39,037)(39,578)
Total Leverage Exposure$2,585,730
$2,507,891
Supplementary Leverage ratio5.97%6.21%

(1)Represents the daily average of on-balance sheet assets for the quarter. 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.

As set forth in the table above, Citigroup’s Supplementary Leverage ratio was 6.0% for the first quarter of 2020, compared to 6.2% for the fourth quarter of 2019. The ratio decreased from the fourth quarter of 2019, primarily driven by an increase in Total Leverage Exposure mainly due to growth in 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, partially offset by unrealized gains on AFS debt securities of $3.1 billion, net income of $2.5 billion, and the relief of the modified CECL transition provision for the quarter.


38



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

  Advanced ApproachesStandardized Approach
In millions of dollars, except ratios
Effective Minimum Requirement(1)
March 31, 2020December 31, 2019March 31, 2020December 31, 2019
Common Equity Tier 1 Capital(2)
 $134,835
$130,720
$134,835
$130,720
Tier 1 Capital 136,919
132,847
136,919
132,847
Total Capital (Tier 1 Capital
    + Tier 2 Capital)(2)(3)
 153,194
145,918
161,629
157,253
Total Risk-Weighted Assets 1,008,709
931,743
1,058,427
1,019,266
   Credit Risk(2)
 $722,304
$664,139
$1,010,662
$989,669
   Market Risk 47,579
29,167
47,765
29,597
   Operational Risk 238,826
238,437


Common Equity Tier 1
  Capital ratio(4)(5)
7.0%13.37%14.03%12.74%12.82%
Tier 1 Capital ratio(4)(5)
8.5
13.57
14.26
12.94
13.03
Total Capital ratio(4)(5)
10.5
15.19
15.66
15.27
15.43
In millions of dollars, except ratiosEffective Minimum RequirementMarch 31, 2020December 31, 2019
Quarterly Adjusted Average Total Assets(2)(6)
 $1,512,382
$1,459,780
Total Leverage Exposure(2)(7)
 1,994,180
1,951,630
Tier 1 Leverage ratio(5)
5.0%9.05%9.10%
Supplementary Leverage ratio(5)
6.0
6.87
6.81

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

39



As indicated in the table above, Citibank’s capital ratios at March 31, 2020 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of March 31, 2020.

Impact of Changes on Citigroup and Citibank Capital Ratios
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in
Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of March 31, 2020. This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.

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

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


40



Citigroup Broker-Dealer Subsidiaries
At March 31, 2020, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $6.8 billion, which exceeded the minimum requirement by $2.6 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 billion at March 31, 2020, which exceeded the PRA's minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other principal broker-dealer subsidiaries were in compliance with their regulatory capital requirements at March 31, 2020.
 
Total Loss-Absorbing Capacity (TLAC)
The table below details Citi’s eligible external TLAC and long-term debt (LTD) amounts and ratios, and each effective minimum TLAC and LTD ratio requirement, as well as the surplus amount in dollars in excess of each requirement.
As of March 31, 2020, Citi exceeded each of the minimum TLAC and LTD requirements, resulting in a $14 billion surplus above its binding TLAC requirement of LTD as a percentage of Total Leverage Exposure.
 March 31, 2020
In billions of dollars, except ratios
External TLAC

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

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

For additional information on Citi’s TLAC-related requirements, see “Liquidity Risk—Long-Term Debt—Total Loss-Absorbing Capacity (TLAC)” and “Risk Factors—Compliance, Conduct and Legal Risks” in Citi’s 2019 Annual Report on Form 10-K.

Capital Resources (Full Adoption of CECL)
The following tables set forth Citigroup’s and Citibank’s capital components and ratios reflecting the full impact of CECL on regulatory capital as of March 31, 2020:

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


41



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.
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 excluding U.S. Treasuries and deposits at Federal Reserve banks from 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 Program
In April 2020, as part of the Coronavirus Aid, Relief, and Economic Security Act (CARES Act) and in recognition of the exigent circumstances faced by small businesses, Congress created the Paycheck Protection Program (PPP). PPP covered loans are fully guaranteed as to principal and accrued interest by the Small Business Administration (SBA). As a general matter, SBA guarantees are backed by the full faith and credit of the U.S. government.
In order to provide liquidity to small business lenders and the broader credit markets, and to help stabilize the financial system, 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, the U.S. banking agencies issued an interim final rule that allows banking organizations to neutralize certain regulatory capital effects of PPP loans. The interim final rule states 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 collateral to the PPPLF from quarterly adjusted average total assets and Total Leverage Exposure. The interim final rule is effective commencing with the quarter ended June 30, 2020.

Deferral of Basel III Revisions
In April 2020, in light of the COVID-19 pandemic, the Basel Committee 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 Basel

42



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.
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 Returns on Equity
Tangible common equity (TCE), as defined by Citi, represents common stockholders’ equity less goodwill and identifiable intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE, tangible book value (TBV) per share and returns on average TCE are non-GAAP financial measures. Citi believes the presentation of TCE, TBV per share and return on average TCE provides alternate measures of capital strength and performance that are commonly used by investors and industry analysts.
 



















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

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

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


43



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 57
     Non-Accrual Loans and Assets and Renegotiated Loans 
LIQUIDITY RISK 
High-Quality Liquid Assets (HQLA) 
Liquidity Coverage Ratio (LCR) 
Loans 62
Deposits 62
Long-Term Debt 63
Secured Funding Transactions and Short-Term Borrowings 65
Credit Ratings 66
MARKET RISK(1)
 
Market Risk of Non-Trading Portfolios 
Market Risk of Trading Portfolios 
STRATEGIC RISK 
Country Risk 
Argentina 

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


44



MANAGING GLOBAL RISK

For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to identify, monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission and value proposition, the key principles that guide it and Citi's risk appetite.
For more information on Citi’s management of global risk, including its three lines of defense, see “Managing Global Risk” in Citi’s 2019 Annual Report on Form 10-K.
 
 


CREDIT RISK

For additional information on credit risk, including Citi’s credit risk management, measurement and stress testing, and Citi’s consumer and corporate credit portfolios, see “Credit Risk” and “Risk Factors” in Citi’s 2019 Annual Report on Form 10-K.
 


CONSUMER CREDIT
The following table shows Citi’s quarterly end-of-period consumer loans:(1) 
In billions of dollars1Q’192Q’193Q’194Q’191Q’20
Retail banking:     
Mortgages$80.8
$81.9
$83.0
$85.1
$83.3
Personal, small business and other37.3
37.8
37.6
39.7
36.9
Total retail banking$118.1
$119.7
$120.6
$124.8
$120.2
Cards:     
Citi-branded cards$111.4
$115.5
$115.8
$122.2
$110.2
Citi retail services48.9
49.6
50.0
52.9
48.9
Total cards$160.3
$165.1
$165.8
$175.1
$159.1
Total GCB
$278.4
$284.8
$286.4
$299.9
$279.3
GCB regional distribution:
     
North America66%66%66%66%67%
Latin America6
6
6
6
5
Asia(2)
28
28
28
28
28
Total GCB
100%100%100%100%100%
Corporate/Other(3)
$12.6
$11.7
$11.0
$9.6
$9.1
Total consumer loans$291.0
$296.5
$297.4
$309.5
$288.4

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

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




45



Overall Consumer Credit Trends
GCB did not experience significant delinquency or net credit loss impacts from the COVID-19 pandemic during the first quarter. Citi expects that during the remainder of 2020, the 90+ days past due delinquency and net credit loss rates in North America GCB, Latin America GCB and Asia GCB will be adversely impacted by the evolving macroeconomic and market conditions, including the severity and duration of the impact from the 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 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.
For additional information about trends, uncertainties and risks related to the COVID-19 pandemic, see “COVID-19 Overview” and “Risk Factors” above.
 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 Banking
legendc31.jpg
cctglobal2a04.jpg

North America GCB
legendc27.jpg
cctna2a03.jpg

North America GCB provides 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 States (for additional information on the U.S. retail bank, see “North America GCB” above).
As of March 31, 2020, approximately 73% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB (for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below).
As shown in the chart above, the net credit loss rate and 90+ days past due delinquency rate in North America GCB increased quarter-over-quarter, primarily driven by seasonality in both cards portfolios.
The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, primarily driven by seasoning of more recent vintages in Citi-branded cards and an increase in net flow rates in later delinquency buckets in Citi retail services.

Latin America GCB
legendc30.jpg
cctlatam2a03.jpg

Latin America GCB operates in Mexico through
Citibanamex, one of Mexico’s largest banks, and provides
credit cards, consumer mortgages and small business and personal loans. Latin America GCB serves a more mass-market segment in Mexico and focuses on developing multi-product relationships with customers.
As shown in the chart above, the net credit loss rate in Latin America GCB increased quarter-over-quarter, primarily due to seasonality, while the 90+ days past due delinquency rate remained broadly stable.
The net credit loss rate decreased 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 the 90+ days past due delinquency rate remained stable.


46



Asia(1) GCB
legendc38.jpg
cctasia2a06.jpg

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

Asia GCB operates in 17 countries in Asia and 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 increased quarter-over-quarter, primarily due to seasonality, while the 90+ days past due delinquency rate remained broadly stable quarter-over-quarter.
The net credit loss rate and the 90+ days past due delinquency rate were broadly stable year-over-year.
The stability in Asia GCB’s portfolios reflects 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 portfolio credit quality.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.

Credit Card Trends
The following charts show the quarterly trends in delinquencies and net credit losses for total GCB cards, North America Citi-branded cards and Citi retail services portfolios, as well as for Citi’s Latin America and Asia Citi-branded cards portfolios.
Global Cards
legendc30.jpg
ccglobalcardsa20.jpg

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

North America GCB’s Citi-branded cards portfolio issues proprietary and co-branded cards. As shown in the chart above, the net credit loss rate and 90+ days past due delinquency rate in North America Citi-branded cards increased quarter-over-quarter, primarily due to seasonality.
The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, primarily driven by portfolio growth and seasoning of more recent vintages.

North America Citi Retail Services
legendc25.jpg
ccnaretaila03.jpg

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


47



Latin America Citi-Branded Cards
legendc24.jpg
cclatamcardsa04.jpg

Latin America GCB issues proprietary and co-branded cards. As shown in the chart above, the net credit loss rate in Latin America Citi-branded cards increased quarter-over-quarter, primarily due to seasonality, while the 90+ days past due delinquency rate decreased, also primarily due to seasonality.
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)
legendc49.jpg
ccasiacards2a04.jpg

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

Asia GCB issues proprietary and co-branded cards.
As set forth in the chart above, the net credit loss rate in Asia Citi-branded cards increased quarter-over-quarter, primarily due to seasonality, and the 90+ days past due delinquency rate increased, mainly due to the impact of recent regulatory changes on collections. 
The net credit loss rate and 90+ days past due delinquency rate increased year-over-year, due to the impact of recent regulatory changes on collections. 
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, 2020December 31, 2019March 31, 2019
  > 76039%42%41%
   680–76042
40
41
  < 68019
18
18
Total100%100%100%

Citi Retail Services
FICO distribution(1)
March 31, 2020December 31, 2019March 31, 2019
   > 76023%25%23%
   680–76042
42
43
  < 68035
33
34
Total100%100%100%

(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 prior year, demonstrating strong underlying credit quality. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.













48



Additional Consumer Credit Details

Consumer Loan Delinquencies Amounts and Ratios
 
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
In millions of dollars,
except EOP loan amounts in billions
March 31,
2020
March 31,
2020
December 31,
2019
March 31,
2019
March 31,
2020
December 31,
2019
March 31,
2019
Global Consumer Banking(3)(4)
       
Total$279.3
$2,603
$2,737
$2,505
$2,870
$3,001
$2,751
Ratio 0.93%0.91%0.90%1.03%1.00%0.99%
Retail banking       
Total$120.2
$429
$438
$394
$794
$816
$744
Ratio 0.36%0.35%0.34%0.66%0.66%0.63%
North America50.8
161
146
132
298
334
263
Ratio 0.32%0.29%0.28%0.59%0.67%0.56%
Latin America9.2
90
106
95
140
180
185
Ratio 0.98%0.91%0.84%1.52%1.54%1.64%
Asia(5)
60.2
178
186
167
356
302
296
Ratio 0.30%0.30%0.28%0.59%0.48%0.50%
Cards       
Total$159.1
$2,174
$2,299
$2,111
$2,076
$2,185
$2,007
Ratio 1.37%1.31%1.32%1.30%1.25%1.25%
North America—Citi-branded
88.4
891
915
828
770
814
731
Ratio 1.01%0.95%0.95%0.87%0.85%0.84%
North America—Citi retail services
48.9
958
1,012
918
903
945
859
Ratio 1.96%1.91%1.88%1.85%1.79%1.76%
Latin America4.5
121
165
165
132
159
161
Ratio 2.69%2.75%2.95%2.93%2.65%2.88%
Asia(5)
17.3
204
207
200
271
267
256
Ratio 1.18%1.04%1.06%1.57%1.34%1.36%
Corporate/Other—Consumer(6)
       
Total$9.1
$281
$278
$354
$252
$295
$348
Ratio 3.23%3.02%2.97%2.90%3.21%2.92%
Total Citigroup$288.4
$2,884
$3,015
$2,859
$3,122
$3,296
$3,099
Ratio 1.00%0.98%0.99%1.09%1.07%1.07%
(1)End-of-period (EOP) loans include interest and fees on credit cards.
(2)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(3)
The 90+ days past due balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(4)
The 90+ days past due and 30–89 days past due and related ratios for North America GCB exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored 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.

49



Consumer Loan Net Credit Losses and Ratios
 
Average
loans(1)
Net credit losses(2)
In millions of dollars, except average loan amounts in billions1Q201Q204Q191Q19
Global Consumer Banking    
Total$290.3
$1,983
$1,842
$1,868
Ratio 2.75 %2.51%2.70%
Retail banking    
Total$123.1
$235
$227
$233
Ratio 0.77 %0.73%0.80%
North America50.5
37
42
39
Ratio 0.29 %0.33%0.33%
Latin America11.1
130
116
136
Ratio 4.71 %3.97%4.80%
Asia(3)
61.5
68
69
58
Ratio 0.44 %0.44%0.40%
Cards    
Total$167.2
$1,748
$1,615
$1,635
Ratio 4.20 %3.81%4.08%
North America—Citi-branded
92.3
795
723
706
Ratio 3.46 %3.10%3.26%
North America—Citi retail services
50.5
694
643
663
Ratio 5.53 %5.05%5.36%
Latin America5.6
147
143
160
Ratio 10.56 %9.78%11.38%
Asia(3)
18.8
112
106
106
Ratio 2.40 %2.18%2.25%
Corporate/Other—Consumer
    
Total$9.4
$(2)$(12)$1
Ratio (0.09)%0.45%0.03%
Total Citigroup$299.7
$1,981
$1,830
$1,869
Ratio 2.66 %2.36%2.11%
(1)Average loans include interest and fees on credit cards.
(2)The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3)
Asia includes NCLs and average loans in certain EMEA countries for all periods presented.





50



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 details Citi’s corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:
 








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

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

Portfolio Mix—Industry
Citi’s corporate credit portfolio is diversified by industry. The following details the allocation of Citi’s total corporate credit portfolio by industry (excluding private bank):
 Total exposure
 March 31,
2020
December 31,
2019
March 31,
2019
Transportation and industrials22%21%21%
Consumer retail12
12
10
Health5
5
4
Technology, media and telecom11
12
12
Power, chemicals, metals and mining10
11
11
Banks and finance companies9
8
8
Securities firms


Real estate9
8
9
Energy and commodities8
8
8
Public sector4
4
4
Insurance4
4
4
Asset managers and funds3
4
4
Financial markets infrastructure2
2
3
Other industries1
1
2
Total100%100%100%

51



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

(12)
Other industries10,433
5,434
4,999
3,888
6,545
(64)
Total$685,135
$320,628
$364,507
$540,776
$144,359
$(36,159)

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


52



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

(12)
Other industries16,842
9,282
7,560
8,300
8,542
35
Total$692,113
$280,953
$411,160
$565,156
$126,957
$(35,219)

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

Portfolio Mix—Geography and Counterparty
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region (excluding private bank) based on Citi’s internal management geography:
 March 31,
2020
December 31,
2019
March 31,
2019
North America55%55%54%
EMEA26
26
28
Asia12
12
11
Latin America7
7
7
Total100%100%100%

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty
 
and are derived by leveraging validated statistical models, scorecard models and external agency ratings (under defined circumstances), in combination with consideration of factors specific to the obligor or market, such as management experience, competitive position, regulatory environment and commodity prices. Facility risk ratings are assigned that reflect the probability of default of the obligor and factors that affect the loss given default of the facility, such as support or collateral. Internal obligor ratings that generally correspond to BBB and above are considered investment grade, while those below are considered non-investment grade.
Citigroup also has incorporated environmental factors like climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.

53



The following table presents the corporate credit portfolio (excluding private bank) by facility risk rating as a percentage of the total corporate credit portfolio:
 Total exposure
 March 31,
2020
December 31,
2019
March 31,
2019
AAA/AA/A44%46%49%
BBB35
36
35
BB/B19
16
15
CCC or below2
2
1
Total100%100%100%

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

For additional information on Citi’s corporate credit portfolio, see Note 13 to the Consolidated Financial Statements.

Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. 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, December 31, 2019 and March 31, 2019, ICG (excluding private bank) had economic hedges in place on the corporate credit portfolio of $36.2 billion, $35.2 billion and $30.4 billion, respectively. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked to market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying ICG (excluding private bank) corporate credit portfolio exposures with the following risk rating distribution:

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




54



ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
 1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20202019201920192019
Consumer loans




In North America offices(1)





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




In North America offices(1)





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





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


55



Details of Credit Loss Experience
 1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars20202019201920192019
Allowance for credit losses on loans (ACLL) at beginning of period$12,783
$12,530
$12,466
$12,329
$12,315
Adjustment to opening balance for CECL adoption(1)
4,201




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

56



(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, 2020
In billions of dollarsACLL
EOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
North America cards(2)
$13.4
$137.3
9.8%
North America mortgages(3)
0.6
56.2
1.1
North America other
0.3
3.7
8.1
International cards1.7
21.8
7.8
International other(4)
1.4
69.4
2.0
Total consumer$17.4
$288.4
6.0%
Total corporate3.4
432.6
0.8
Total Citigroup$20.8
$721.0
2.9%
(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 to 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 dollarsACLL
EOP loans, net of
unearned income
ACLL as a
percentage of EOP loans(1)
North America cards(2)
$7.0
$149.2
4.7%
North America mortgages(3)
0.3
56.2
0.5
North America other
0.1
3.7
2.7
International cards0.7
25.9
2.7
International other(4)
1.8
74.9
2.4
Total consumer$9.9
$309.9
3.2%
Total corporate2.9
389.9
0.7
Total Citigroup$12.8
$699.8
1.8%
(1)Because loans carried at fair value do not have an ACLL, they are excluded from the ACLL ratio calculation.
(2)Includes both Citi-branded cards and Citi retail services. The $7.0 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
(3)
Of the $0.3 billion, nearly all was allocated to North America mortgages in Corporate/Other, including $0.1 billion and $0.2 billion determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $56.2 billion in loans, approximately $54.2 billion and $2.0 billion of the loans were evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 14 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.

57



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 2019 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,
In millions of dollars20202019201920192019
Corporate non-accrual loans(1)
     
North America$1,138
$1,214
$1,056
$913
$1,061
EMEA720
430
307
321
317
Latin America447
473
399
353
305
Asia179
71
84
80
49
Total corporate non-accrual loans$2,484
$2,188
$1,846
$1,667
$1,732
Consumer non-accrual loans(2)
     
North America$926
$905
$1,013
$1,082
$1,090
Latin America489
632
595
629
614
Asia(3)
284
279
258
260
251
Total consumer non-accrual loans$1,699
$1,816
$1,866
$1,971
$1,955
Total non-accrual loans$4,183
$4,004
$3,712
$3,638
$3,687
(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 million at December 31, 2019, $117 million at September 30, 2019, $123 million at June 30, 2019 and $125 million at March 31, 2019.
(3)
Asia GCB includes balances in certain EMEA countries for all periods presented.


The changes in Citigroup’s non-accrual loans were as follows:
 Three Months EndedThree Months Ended
 March 31, 2020March 31, 2019
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,188
$1,816
$4,004
$1,311
$2,027
$3,338
Additions816
952
1,768
723
722
1,445
Sales and transfers to HFS(1)(20)(21)(5)(34)(39)
Returned to performing(48)(91)(139)(28)(142)(170)
Paydowns/settlements(354)(324)(678)(485)(174)(659)
Charge-offs(91)(327)(418)(35)(402)(437)
Other(26)(307)(333)251
(42)209
Ending balance$2,484
$1,699
$4,183
$1,732
$1,955
$3,687




58



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

(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.

59



Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
In millions of dollarsMar. 31, 2020Dec. 31, 2019
Corporate renegotiated loans(1)
  
In U.S. offices  
Commercial and industrial(2)
$332
$226
Mortgage and real estate56
57
Financial institutions

Other3
4
Total$391
$287
In offices outside the U.S.  
Commercial and industrial(2)
$353
$200
Mortgage and real estate21
22
Financial institutions

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


60



LIQUIDITY RISK

For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors” in Citi’s 2019 Annual Report on Form 10-K.
 
 




High-Quality Liquid Assets (HQLA)
 CitibankCiti non-bank and other entitiesTotal
In billions of dollarsMar. 31, 2020Dec. 31, 2019Mar. 31, 2019Mar. 31, 2020Dec. 31, 2019Mar. 31, 2019Mar. 31, 2020Dec. 31, 2019Mar. 31, 2019
Available cash$170.9
$158.7
$94.7
$3.1
$2.1
$34.9
$174.0
$160.8
$129.6
U.S. sovereign92.1
100.2
94.9
34.7
29.6
29.5
126.8
129.8
124.4
U.S. agency/agency MBS52.4
56.9
59.3
7.2
4.4
5.3
59.6
61.3
64.6
Foreign government debt(1)
66.3
66.4
67.7
12.7
16.5
3.5
78.9
82.9
71.2
Other investment grade1.5
2.4
3.5
1.1
0.5
1.6
2.7
2.8
5.1
Total HQLA (AVG)$383.2
$384.6
$320.1
$58.8
$53.1
$74.8
$442.0
$437.6
$394.9

Note: The amounts set forth in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts that would be required for securities financing transactions. 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.

The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated Liquidity Coverage Ratio (LCR), pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to other entities within Citigroup. Citigroup’s HQLA increased modestly quarter-over-quarter, primarily due to long-term debt issuance. While Citi saw strong deposit growth in the first quarter of 2020, it occurred late in the quarter and therefore did not have a meaningful impact on Citigroup’s average HQLA.
As of March 31, 2020, Citigroup had approximately $840 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’s HQLA to support Federal Home Loan Bank (FHLB) and Federal Reserve Bank discount window borrowing capacity.

 

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

Note: The amounts are presented on an average basis.

As of March 31, 2020, Citigroup’s average LCR remained unchanged from the quarter ended December 31, 2019, as an increase in the average HQLA reflecting the issuance of long-term debt was offset by an increase in the average net outflows.


61



Loans
The table below details the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
In billions of dollarsMar. 31, 2020Dec. 31, 2019Mar. 31, 2019
Global Consumer Banking   
North America$193.3
$192.7
$185.5
Latin America16.7
17.4
17.2
Asia(1)
80.3
80.9
77.9
Total$290.3
$291.0
$280.6
Institutional Clients Group   
Corporate lending$159.9
$154.2
$161.7
Treasury and trade solutions (TTS)73.1
74.5
75.1
Private bank109.9
106.6
97.2
Markets and securities services
  and other
52.1
56.0
51.0
Total$395.0
$391.3
$385.0
Total Corporate/Other
$9.4
$10.3
$13.6
Total Citigroup loans (AVG)$694.7
$692.6
$679.2
Total Citigroup loans (EOP)$721.0
$699.5
$682.3

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

End-of-period loans increased 6% year-over-year and 3% sequentially. Excluding the impact of FX translation, end-of-period loans increased 8% year-over-year and 5% sequentially.
On an average basis, loans increased 2% year-over-year and remained largely unchanged sequentially. Excluding the impact of FX translation, average loans increased 3% year-over-year and 4% in aggregate across GCB and ICG. Average GCB loans grew 4% year-over-year, driven by growth across regions.
Excluding the impact of FX translation, average ICG loans increased 4% year-over-year, driven primarily by the private bank. Loans in corporate lending were largely unchanged on an average basis, but grew 22% on an end-of-period basis, reflecting drawdowns and new facilities as Citi’s clients built liquidity in response to the COVID-19 pandemic.
Average Corporate/Other loans continued to decline (down 31%), driven by the wind-down of legacy assets.
 
Deposits
The table below details the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
In billions of dollarsMar. 31, 2020Dec. 31, 2019Mar. 31, 2019
Global Consumer Banking   
North America$161.3
$156.2
$149.6
Latin America22.9
23.0
22.7
Asia(1)
105.9
103.4
99.4
Total$290.1
$282.6
$271.7
Institutional Clients Group   
Treasury and trade solutions (TTS)$571.3
$558.7
$510.9
Banking ex-TTS
140.1
140.7
130.1
Markets and securities services100.1
95.0
90.0
Total$811.5
$794.4
$731.0
Corporate/Other$12.9
$12.5
$14.4
Total Citigroup deposits (AVG)$1,114.5
$1,089.5
$1,017.1
Total Citigroup deposits (EOP)$1,184.9
$1,070.6
$1,030.4
(1)
Includes deposits in certain EMEA countries for all periods presented.

End-of-period deposits increased 15% year-over-year and 11% sequentially. Excluding the impact of FX translation, end-of-period deposits increased 17% year-over-year and 13% sequentially.
On an average basis, deposits increased 10% year-over-year and 2% sequentially. Excluding the impact of FX translation, average deposits grew 11% from the prior-year period.
In GCB, average deposit growth accelerated to 8%, driven by strong growth across all regions. In North America GCB, strong average deposit growth of 8% reflected digital deposit sales, as well as good engagement with existing clients.
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.




62



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 9.0 years as of March 31, 2020, compared to 8.6 years as of the prior year and 8.4 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, FHLB advances and securitizations.

 
Long-Term Debt Outstanding
The following table sets forth Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:
In billions of dollarsMar. 31, 2020Dec. 31, 2019Mar. 31, 2019
Parent and other(1)






Benchmark debt:   
Senior debt$115.5
$106.6
$109.7
Subordinated debt27.5
25.5
24.9
Trust preferred1.7
1.7
1.7
Customer-related debt51.7
53.8
42.4
Local country and other(2)
7.3
7.9
3.4
Total parent and other$203.7
$195.5
$182.1
Bank





FHLB borrowings$16.0
$5.5
$10.5
Securitizations(3)
20.8
20.7
25.9
Citibank benchmark senior debt22.2
23.1
21.4
Local country and other(2)
3.4
4.0
3.7
Total bank$62.4
$53.3
$61.5
Total long-term debt$266.1
$248.8
$243.6
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.

Citi’s total long-term debt outstanding increased both year-over-year and sequentially. The increase year-over-year was primarily driven 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.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs. During the first quarter of 2020, Citi repurchased and called an aggregate of approximately $9.4 billion of its outstanding long-term debt, including early redemptions of FHLB advances.





63



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:
 1Q204Q191Q19
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other











Benchmark debt:   
  
Senior debt$2.1
$7.6
$4.3
$7.0
$0.2
$4.6
Subordinated debt





Trust preferred





Customer-related debt6.4
7.9
5.9
6.3
1.0
5.2
Local country and other0.4
0.2
0.6
5.0

0.3
Total parent and other$8.9
$15.7
$10.8
$18.3
$1.2
$10.1
Bank











FHLB borrowings$2.4
$12.9
$
$
$
$
Securitizations0.1

2.1
0.1
2.6

Citibank benchmark senior debt1.0



2.5
5.0
Local country and other0.7
0.3
0.2
0.6
0.3
0.5
Total bank$4.2
$13.2
$2.3
$0.7
$5.4
$5.5
Total$13.1
$28.9
$13.1
$19.0
$6.6
$15.6

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) during the first quarter of 2020, as well as its aggregate expected remaining long-term debt maturities by year as of March 31, 2020:
 1Q20Maturities
In billions of dollars202020212022202320242025ThereafterTotal
Parent and other

















Benchmark debt:        
Senior debt$2.1
$4.4
$14.2
$11.5
$12.6
$7.0
$7.4
$58.5
$115.5
Subordinated debt


0.7
1.3
1.1
5.2
19.1
27.5
Trust preferred






1.7
1.7
Customer-related debt6.4
5.3
6.1
6.1
3.9
3.2
2.1
25.0
51.7
Local country and other0.4
1.0
3.7
1.5



1.1
7.3
Total parent and other$8.9
$10.7
$24.0
$19.8
$17.8
$11.3
$14.7
$105.4
$203.7
Bank

















FHLB borrowings$2.4
$3.1
$7.7
$5.2
$
$
$
$
$16.0
Securitizations0.1
4.3
7.1
2.2
2.5
1.1
0.4
3.3
20.8
Citibank benchmark senior debt1.0
8.8
5.1
5.6

2.8


22.2
Local country and other0.7
1.2
0.7
0.5
0.1
0.5

0.2
3.4
Total bank$4.2
$17.4
$20.6
$13.5
$2.6
$4.4
$0.4
$3.5
$62.4
Total long-term debt$13.1
$28.1
$44.6
$33.3
$20.4
$15.7
$15.1
$108.9
$266.1









 









64



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 billion as of March 31, 2020 increased 17% from the prior-year period and 34% sequentially. Excluding the impact of FX translation, secured funding increased 21% from the prior-year period and 39% sequentially, both driven by normal business activity. The average balances for secured funding were approximately $199 billion for the quarter ended March 31, 2020.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less liquid securities, including equity securities, corporate bonds and asset-backed securities, 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 of March 31, 2020.
 
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. 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 billion increased 40% year-over-year and 22% sequentially, primarily driven by an increase 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 market (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).

















65



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.
 


Ratings as of March 31, 2020
 Citigroup Inc.Citibank, N.A.
 
Senior
debt
Commercial
paper
Outlook
Long-
term
Short-
term
Outlook
Fitch Ratings (Fitch)AF1StableA+F1Stable
Moody’s Investors Service (Moody’s)A3P-2StableAa3P-1Stable
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable

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 2019 Annual Report on Form 10-K.



66



Citigroup Inc. and Citibank—Potential Derivative Triggers
As of March 31, 2020, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.6 billion, compared to $0.5 billion from December 31, 2019. Other funding sources, such as secured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of March 31, 2020, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity due to derivative triggers by approximately $0.6 billion, compared to $0.3 billion as of December 31, 2019.
In total, as of March 31, 2020, Citi estimates that a one-notch downgrade of Citigroup and Citibank across all three major rating agencies could result in increased aggregate cash obligations and collateral requirements of approximately $1.2 billion, compared to $0.8 billion as of December 31, 2019 (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 from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.

 
Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential downgrade of Citibank’s senior debt/long-term rating across any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of March 31, 2020, Citibank had liquidity commitments of approximately $12.2 billion to consolidated asset-backed commercial paper conduits, compared to $10.2 billion as of December 31, 2019 (as referenced in Note 18 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.

67



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 2019 Annual Report on Form 10-K.
 




Market Risk of Non-Trading Portfolios

The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point (bps) increase in interest rates:
In millions of dollars, except as otherwise notedMar. 31, 2020Dec. 31, 2019Mar. 31, 2019
Estimated annualized impact to net interest revenue   
U.S. dollar(1)
$(142)$20
$527
All other currencies660
606
677
Total$518
$626
$1,204
As a percentage of average interest-earning assets0.03%0.03%0.07%
Estimated initial impact to AOCI (after-tax)(2)
$(5,746)$(5,002)$(3,828)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(34)(31)(25)

(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 from an increase in interest rates. The reduction 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) million as of March 31, 2020.
The increase in the estimated impact to AOCI primarily reflected changes to the positioning of Citi Treasury’s investment securities and related interest rate derivatives portfolio. In the event of 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, Citi expects that the negative $5.7 billion impact to AOCI in such a scenario could potentially be offset over approximately 41 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 the table below, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under Scenario 2 as compared to Scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter- and intermediate-term maturities.

In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4Scenario 5
Overnight rate change (bps)100
100


(100)
10-year rate change (bps)100

100
(100)(100)
Estimated annualized impact to net interest revenue 
     
U.S. dollar$(142)$14
$211
$(176)$(553)
All other currencies660
582
46
(36)(368)
Total$518
$596
$257
$(212)$(921)
Estimated initial impact to AOCI (after-tax)(1)
$(5,746)$(3,861)$(2,120)$1,895
$3,368
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(34)(23)(13)11
15

68



Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.
(1)
Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of March 31, 2020, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.4 billion, or 1.0%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, Indian rupee, Euro and Australian dollar.
 

This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates, and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio, are shown in the table below. For additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements.


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

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



69



Interest Revenue/Expense and Net Interest Margin (NIM)
a1qcharta01.jpg
 1st Qtr.
4th Qtr.
1st Qtr.
Change
In millions of dollars, except as otherwise noted2020 2019 2019
1Q20 vs. 1Q19
Interest revenue(1)
$17,185
 $18,593
 $19,140
 (10)% 
Interest expense(2) 
5,647
 6,548
 7,317
 (23) 
Net interest revenue, taxable equivalent basis$11,538
 $12,045
 $11,823
 (2)% 
Interest revenue—average rate(3)
3.69% 4.07% 4.40% (71)bps
Interest expense—average rate1.49
 1.76
 2.10
 (61)bps
Net interest margin(3)(4) 
2.48
 2.63
 2.72
 (24)bps
Interest-rate benchmarks        
Two-year U.S. Treasury note—average rate1.08% 1.62% 2.49% (141)bps
10-year U.S. Treasury note—average rate1.37
 1.79
 2.65
 (128)bps
10-year vs. two-year spread29
bps17
bps16
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 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 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.


70



Net Interest Revenue Excluding ICG Markets
 1st Qtr. 4th Qtr. 1st Qtr. Change
In millions of dollars2020 2019 2019 1Q20 vs. 1Q19
Net interest revenue—taxable equivalent basis(1) per above
$11,538
 $12,045
 $11,823
 (2)%
ICG Markets net interest revenue—taxable equivalent basis(1)
1,182
 1,257
 961
 23
Net interest revenue excluding ICG Markets—taxable equivalent basis(1)
$10,356
 $10,788
 $10,862
 (5)%

 

(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.

Citi’s net interest revenue in the first quarter of 2020 decreased 2% to $11.5 billion versus the prior-year period. Citi’s net interest revenue on a taxable equivalent basis also decreased 2% (as set forth in the table above). Excluding the impact of FX translation, net interest revenue declined slightly year over year by approximately $60 million as a decline of $320 million in net interest revenue excluding ICG Markets was partially offset by a $260 million increase in ICG Markets (fixed income markets and equity markets) net interest revenue. The decrease in non-ICG Markets net interest revenue was primarily driven by the impact of lower interest rates, partially offset by overall loan growth and one additional day in the current quarter. The increase in ICG Markets net interest revenue was primarily driven by ongoing changes 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 decline in the near term, reflecting the full-quarter impact of lower interest rates, as well as a more pronounced impact from the COVID-19 pandemic.
 

Citi’s NIM was 2.48% on a taxable equivalent basis in the first quarter of 2020, a decrease of 15 basis points from the prior quarter, with lower net interest revenue driving approximately half of the decline and the remainder reflecting growth in Citi’s balance sheet. Citi’s ICG Markets and non-ICG Markets net interest revenues 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.

71



Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3) 
Taxable Equivalent Basis
 Average volumeInterest revenue% Average rate
 1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates202020192019202020192019202020192019
Assets
  
  
  
Deposits with banks(4)
$207,130
$195,268
$171,369
$527
$603
$607
1.02%1.23%1.44%
Securities borrowed and purchased under agreements to resell(5)










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












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











In U.S. offices











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












In U.S. offices$403,558
$400,037
$393,397
$7,318
$7,592
$7,648
7.29%7.53%7.88%
In offices outside the U.S.(4)
291,117
292,594
285,811
3,950
4,236
4,342
5.46
5.74
6.16
Total$694,675
$692,631
$679,208
$11,268
$11,828
$11,990
6.52%6.78%7.16%
Other interest-earning assets(9)
$68,737
$58,609
$66,925
$283
$333
$483
1.66%2.25%2.93%
Total interest-earning assets$1,873,235
$1,813,860
$1,764,726
$17,185
$18,593
$19,140
3.69%4.07%4.40%
Non-interest-earning assets(6)
$206,484
$182,757
$174,688
      
Total assets$2,079,719
$1,996,617
$1,939,414
      
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21% in 2020 and 2019) of $46 million, $48 million and $64 million for the three months ended March 31, 2020, December 31, 2019 and March 31, 2019, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(6)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)Includes cash-basis loans.
(9)
Includes Brokerage receivables.

72



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





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





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





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





In U.S. offices$198,006
$193,463
$191,903
$1,318
$1,459
$1,685
2.68%2.99%3.56%
In offices outside the U.S.(5)
4,186
4,509
5,060
7
11
37
0.67
0.97
2.97
Total$202,192
$197,972
$196,963
$1,325
$1,470
$1,722
2.64%2.95%3.55%
Total interest-bearing liabilities$1,526,213
$1,473,163
$1,414,759
$5,647
$6,548
$7,317
1.49%1.76%2.10%
Demand deposits in U.S. offices$26,709
$26,586
$26,893
      
Other non-interest-bearing liabilities(7)
333,210
301,662
301,259
      
Total liabilities$1,886,132
$1,801,411
$1,742,911
      
Citigroup stockholders’ equity$192,946
$194,553
$195,705
      
Noncontrolling interests641
653
798
      
Total equity$193,587
$195,206
$196,503
      
Total liabilities and stockholders’ equity$2,079,719
$1,996,617
$1,939,414
      
Net interest revenue as a percentage of average interest-earning assets(11)
         
In U.S. offices$1,077,872
$1,029,263
$996,569
$7,001
$7,169
$7,233
2.61%2.76%2.94%
In offices outside the U.S.(6)
795,362
784,598
768,157
4,537
4,876
4,590
2.29
2.47
2.42
Total$1,873,235
$1,813,860
$1,764,726
$11,538
$12,045
$11,823
2.48%2.63%2.72%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 21% in 2020 and 2019) of $46 million, $48 million and $64 million for the three months ended March 31, 2020, December 31, 2019 and March 31, 2019, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.
(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(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.

73



(9)
Includes Brokerage payables.
(10)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as the changes in fair value for these obligations are recorded in Principal transactions.
(11)Includes allocations for capital and funding costs based on the location of the asset.


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


74



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



















75


Market Risk of Trading Portfolios

Value at Risk (VAR)
As of March 31, 2020, Citi estimates that the quick-responsive features of the VAR calibration contribute an approximate 348% add-on to what would be a VAR estimated under the assumption of normal and stable markets. As of December 31, 2019, the add-on was 26%.
Realized volatilities in February and March 2020 increased by multiples of 6.7, 2.4, 34 and 9 for the S&P 500, U.S. 5-year Treasury yield, USD BBB bond spread and CDX IG credit spread, respectively, as illustrated for the following key market benchmarks:
varwdeska01.jpg


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


76


As set forth in the table below, Citi’s average trading VAR and average trading and credit portfolio VAR both increased from December 31, 2019 to March 31, 2020. The increases were mainly due to an increase 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.

Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
  First Quarter Fourth Quarter First Quarter
In millions of dollarsMarch 31, 20202020 AverageDecember 31, 20192019 AverageMarch 31, 20192019 Average
Interest rate$78
$38
$32
$33
$32
$37
Credit spread157
55
44
44
43
48
Covariance adjustment(1)
(55)(26)(27)(26)(21)(23)
Fully diversified interest rate and credit spread(2)
$180
$67
$49
$51
$54
$62
Foreign exchange29
21
22
21
15
26
Equity92
37
21
17
20
17
Commodity45
16
13
16
30
28
Covariance adjustment(1)
(155)(66)(52)(54)(66)(67)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$191
$75
$53
$51
$53
$66
Specific risk-only component(3)
$(16)$7
$3
$3
$2
$3
Total trading VAR—general market risk factors only (excluding credit portfolios)$207
$68
$50
$48
$51
$63
Incremental impact of the credit portfolio(4)
$217
$44
$30
$16
$14
$15
Total trading and credit portfolio VAR$408
$119
$83
$67
$67
$81

(1)Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each risk type. The benefit reflects the fact that the risks within individual and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.
(2)
The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG, with the exception of hedges to the loan portfolio, fair value option loans and all CVA exposures. Available-for-sale and accrual exposures are not included.
(3)The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
(4)
The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG.



 

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The table below provides the range of market factor VARs associated with Citi���s total trading VAR, inclusive of specific risk:
 First QuarterFourth QuarterFirst Quarter
 202020192019
In millions of dollarsLowHighLowHighLowHigh
Interest rate$28
$78
$28
$45
$30
$58
Credit spread36
162
36
54
41
55
Fully diversified interest rate and credit spread$44
$180
$43
$60
$51
$89
Foreign exchange14
32
13
29
15
34
Equity13
141
12
24
10
29
Commodity12
45
12
19
19
43
Total trading$47
$191
$40
$59
$53
$87
Total trading and credit portfolio58
414
56
83
62
103
Note: No covariance adjustment can be inferred from the above table as the high and low for each market factor will be from different close-of-business dates.

The following table provides the VAR for ICG, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio:
In millions of dollarsMar. 31, 2020
Total—all market risk factors, including
  general and specific risk
 
Average—during quarter$71
High—during quarter188
Low—during quarter44

Regulatory VAR Back-testing
In accordance with Basel III, Citi is required to perform back-testing to evaluate the effectiveness of its Regulatory VAR model. Regulatory VAR back-testing is the process in which the daily one-day VAR, at a 99% confidence interval, is compared to the buy-and-hold profit and loss (i.e., the profit and loss impact if the portfolio is held constant at the end of the day and re-priced the following day). Buy-and-hold profit and loss represents the daily mark-to-market profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss and changes in reserves.
Based on a 99% confidence level, Citi would expect two to three days in any one year where buy-and-hold losses exceed the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.
As of March 31, 2020, there were four 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.


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STRATEGIC RISK
For additional information on strategic risk at Citi, see “Strategic Risk” in Citi’s 2019 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. The total exposure as of March 31, 2020 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, for U.K. exposure, only 35% of corporate loans presented in the table below are to U.K. domiciled entities (and 38% of unfunded lending commitments are to U.K. domiciled entities), with the balance of the loans predominately outstanding to European domiciled counterparties. Approximately 81% of the total U.K. funded loans and 89% of the total U.K. unfunded lending commitments were investment grade as of March 31, 2020. Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
In billions of dollars
ICG
loans(1)
GCB loans
Other funded(2)
Unfunded(3)
Net MTM on derivatives/repos(4)
Total hedges (on loans and CVA)
Investment securities(5)
Trading account assets(6)
Total
as of
1Q20
Total
as of
4Q19
Total
as of
1Q19
Total as a % of Citi as of 1Q20
United Kingdom$46.0
$
$3.6
$51.2
$19.6
$(5.4)$4.6
$(0.7)$118.9
$105.8
$122.3
6.9%
Mexico17.7
13.7
0.2
6.9
1.2
(0.9)13.8
4.3
56.9
65.0
63.4
3.3
Hong Kong20.7
12.2
0.9
5.9
1.1
(0.9)7.9
1.5
49.3
49.0
50.3
2.9
Singapore15.2
12.9
0.1
4.8
2.2
(0.5)8.3
1.6
44.6
43.3
41.0
2.6
Ireland13.5

0.6
25.3
0.5


0.6
40.5
39.9
33.5
2.4
South Korea3.3
15.7
0.1
2.0
0.9
(0.5)10.7
1.3
33.5
34.7
33.7
2.0
India6.6
4.4
0.8
5.9
2.5
(0.5)9.7
0.8
30.2
30.0
32.0
1.8
Brazil14.6


1.8
4.1
(0.8)3.5
3.0
26.2
28.3
26.8
1.5
Australia4.9
8.6

5.4
4.2
(0.4)1.4
(1.5)22.6
21.5
22.9
1.3
Germany0.8

0.1
4.6
7.6
(4.1)12.2
0.3
21.5
21.8
22.2
1.3
China7.8
3.2
0.5
2.7
2.3
(0.6)6.3
(0.7)21.5
18.7
17.4
1.3
Japan2.7

0.1
2.6
4.7
(1.8)5.8
6.4
20.5
17.0
14.4
1.2
Canada3.4
0.5
0.5
5.8
2.9
(0.6)4.8
0.9
18.2
15.2
15.3
1.1
Taiwan5.9
7.7
0.1
1.3
0.3
(0.1)0.7
0.7
16.6
17.9
17.6
1.0
Poland3.8
1.8

2.2
0.2

5.5
1.2
14.7
13.4
15.3
0.9
United Arab Emirates8.4
1.3
0.1
3.6
0.7
(0.1)0.1
0.1
14.2
12.8
12.4
0.8
Jersey7.6

0.5
4.0

(0.4)

11.7
12.8
9.9
0.7
Malaysia1.8
3.8
0.2
0.9
0.3
(0.1)1.3
0.4
8.6
8.4
10.0
0.5
Thailand0.9
2.5

1.7
0.3

1.7
0.2
7.3
7.7
6.8
0.4
Luxembourg0.7



0.5
(0.3)4.7
0.5
6.1
4.6
4.0
0.4
Indonesia2.2
0.7

1.3
0.2
(0.1)0.8
0.2
5.3
5.9
6.1
0.3
Russia1.9
0.8

1.3
0.4
(0.2)0.9

5.1
5.0
4.7
0.3
Philippines1.0
1.5

0.5


2.0

5.0
4.9
5.9
0.3
South Africa1.5


0.5
0.6
(0.2)1.6

4.0
3.5
3.9
0.2
Czech Republic0.8


0.5
1.8

0.2

3.3
4.3
3.3
0.2
Total as a % of Citi’s total exposure      35.6%
Total as a % of Citi’s non-U.S. total exposure      90.4%

(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).         

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(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, Citi’s net investment in its Argentine operations was approximately $850 million. Citi uses the U.S. dollar as the functional currency for its operations in Argentina because the Argentine economy is considered highly inflationary under U.S. GAAP. For additional information about Citi’s exposures in Argentina, see “Managing Global
Risk—Country Risk—Argentina” in Citi’s 2019 Annual
Report on Form 10-K.
In April 2020, the government of Argentina announced a postponement of debt payments related to foreign currency debt issued under Argentine law. In addition, as 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 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 executed outside of Argentina. As of March 31, 2020, the international NDF market had very limited liquidity, resulting in Citi being unable to economically hedge a significant portion of its Argentine peso exposure. To the extent that Citi is unable to execute additional NDF contracts in the future, devaluations on Citi’s net Argentine peso-denominated assets would be recorded in earnings, without any benefit from a change in the fair value of derivative positions used to economically hedge the exposure.
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 reserves on its Argentine loans, and appropriate fair value adjustments on Argentine assets and liabilities measured at fair value, for such risks under U.S. GAAP as of March 31, 2020. However, given the recent events in Argentina, U.S. regulatory agencies may require Citi to record additional reserves in the future, increasing ICG’s cost of credit, based on the perceived country risk associated with its Argentine exposures. For additional information on emerging markets risks, see “Risk Factors—Strategic Risks” in Citi’s 2019 Annual Report on Form 10-K.




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SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES

This section contains a summary of Citi’s most significant accounting policies. Note 1 to the Consolidated Financial Statements in Citigroup’s 2019 Annual Report on Form 10-K 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 2019 Annual Report on Form 10-K). Management has discussed each of these significant accounting policies, the related estimates and its judgments with the Audit Committee of the Citigroup Board of Directors.

Valuations of Financial Instruments
Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. A substantial majority of these assets and liabilities is reflected at fair value on Citi’s Consolidated Balance Sheet as Trading account assets, Available-for-sale securities and Trading account liabilities.
Citi purchases securities under agreements to resell (reverse repurchase agreements) and sells securities under agreements to repurchase (repurchase agreements), a majority of which are carried at fair value. In addition, certain loans, short-term borrowings, long-term debt and deposits, as well as certain securities borrowed and loaned positions that are collateralized with cash, are carried at fair value. Citigroup holds its investments, trading assets and liabilities, and resale and repurchase agreements on Citi’s Consolidated Balance Sheet to meet customer needs and to manage liquidity needs, interest rate risks and private equity investing.
When available, Citi generally uses quoted market prices to determine fair value and classifies such items within Level 1 of the fair value hierarchy established under ASC 820-10, Fair Value Measurement. If quoted market prices are not available, fair value is based upon internally developed valuation models that use, where possible, current market-based or independently sourced market parameters, such as interest rates, currency rates and option volatilities. Such models are often based on a discounted cash flow analysis. In addition, items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified under the fair value hierarchy as Level 3 even though there may be some significant inputs that are readily observable.
Citi is required to exercise subjective judgments relating to the applicability and functionality of internal valuation models, the significance of inputs or value drivers to the valuation of an instrument and the degree of illiquidity and subsequent lack of observability in certain markets. These
 
judgments have the potential to impact the Company’s financial performance for instruments where the changes in fair value are recognized in either the Consolidated Statement of Income or in AOCI.
Losses on available-for-sale securities whose fair values are less than the amortized cost, where Citi intends to sell the security or could more-likely-than-not be required to sell the security, are recognized in earnings. Where Citi does not intend to sell the security nor could more-likely-than-not be required to sell the security, the portion of the loss related to credit is recognized as an allowance for credit losses with a corresponding provision for credit losses and the remainder of the loss is recognized in other comprehensive income. Such losses are capped at the difference between the fair value and amortized cost of the security.
For equity securities carried at cost or under the measurement alternative, decreases in fair value are recognized as impairment in the Consolidated Statement of Income. Moreover, for certain equity method investments, decreases in fair value are only recognized in earnings in the Consolidated Statement of Income if such decreases are judged to be an other-than-temporary impairment (OTTI). Adjudicating the temporary nature of fair value impairments is also inherently judgmental.
The fair value of financial instruments incorporates the effects of Citi’s own credit risk and the market view of counterparty credit risk, the quantification of which is also complex and judgmental. For additional information on Citi’s fair value analysis, see Notes 6, 20 and 21 to the Consolidated Financial Statements and Note 1 to the Consolidated Financial Statements in Citi’s 2019 Annual Report on Form 10-K.

Allowance for Credit Losses (ACL)
Management provides reserves for an estimate of current expected credit losses in the funded loan portfolio and for the unfunded lending commitments, standby letters of credit and financial guarantees on the Consolidated Balance Sheet in Allowance for credit losses on loans (ACLL) and Other liabilities, respectively. In addition, Citi provides allowances for an estimate of current expected credit losses for other financial assets measured at amortized cost, including held-to-maturity securities, reverse repurchase agreements, securities borrowed, deposits with banks and other financial receivables carried at amortized cost.
The total ACL is composed of quantitative and qualitative components. For the quantitative component, Citi uses a single forward-looking macroeconomic forecast across the Company complemented by a qualitative component. This qualitative component reflects economic uncertainty related to a separate scenario and specific adjustments based on the associated portfolio for estimating the ACL.

Quantitative Component
Citi estimates expected credit losses based upon (i) its internal system of credit risk ratings, (ii) its comprehensive internal history and rating 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.

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Expected credit loss is determined primarily by utilizing models for the borrowers’ probability of default (PD), loss given default (LGD) and exposure at default (EAD). The loss likelihood and severity models use both internal and external information and are sensitive to changes in the macroeconomic variables that inform the forecasts. Adjustments may be made to this data, including (i) statistically calculated estimates to cover the historical fluctuation of the default rates over the credit cycle, the historical variability of loss severity among defaulted loans and obligor concentrations in the global portfolio, and (ii) adjustments made for specifically known items, such as other current economic factors and credit trends.
In addition, delinquency-managed portfolios containing smaller-balance homogeneous loans also use PD x LGD x EAD models to determine the expected credit losses and the reserve balances based upon leading credit indicators, including loan delinquencies and changes in portfolio size, as well as economic trends, including housing prices, unemployment and gross domestic product (GDP). This methodology is applied separately for each individual 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 evaluation. Changes in these estimates could have a direct impact on Citi’s credit costs and the allowance in any period.

Qualitative Component
The qualitative component considers, among other things: the uncertainty of forward-looking economic scenarios based on the probability 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; certain portfolio characteristics and concentrations; collateral coverage; model limitations; idiosyncratic events; and other relevant criteria under banking supervisory guidance for loan loss reserves. The quantitative component and qualitative adjustment for the first quarter of 2020 reflect the estimated impact of the COVID-19 pandemic on the economic forecasts and their impact on credit loss estimates. The outlook around many of these metrics, such as GDP and unemployment, continues to evolve. Although the impact of the COVID-19 pandemic only began to be felt in North America during March 2020, the Company has leveraged its experience in Asia to inform its credit loss reserve. Citi believes its analysis of the allowance for credit losses reflects the forward view of the economic analysis as of March 31, 2020.

ACLL and Non-accrual Ratios
At March 31, 2020, the ratio of the allowance for credit losses to total funded loans was 2.91% (6.10% for consumer loans
 
and 0.81% for corporate loans), compared to 1.82% at December 31, 2019 (3.20% for consumer loans and 0.75% for corporate loans).
Citi’s total non-accrual loans were $4,183 million at March 31, 2020, up $179 million from December 31, 2019. Consumer non-accrual loans declined to $1.7 billion at March 31, 2020 from $1.8 billion at December 31, 2019, while corporate non-accrual loans grew to $2.5 billion at March 31, 2020 from $2.2 billion at December 31, 2019. In addition, the ratio of non-accrual loans to total corporate loans was 0.57%, and to total consumer loans was 0.59% at March 31, 2020.

Macroeconomic Factors
Citi uses 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 estimate of the consumer allowance for credit losses 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 level 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 estimation 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) and West Texas Intermediate (WTI) oil prices; and
For HTM securities: GDP and total country reserves.

In 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

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

Goodwill
Citi tests goodwill for impairment annually on July 1 (the annual test) and through interim assessments between annual tests if an event occurs or circumstances change that would more-likely-than-not reduce the fair value of a reporting unit below its carrying amount, such as a significant adverse change in the business climate, a decision to sell or dispose of all or a significant portion of a reporting unit or a significant decline in Citi’s stock price.
Citi qualitatively assessed the environment in the first quarter of 2020, including the estimated impact of the COVID-19 pandemic on macroeconomic variables and economic forecasts and how those might impact the fair value of reporting units. 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 results of the 2019 impairment test that resulted 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. See Note 15 for a further discussion on goodwill.

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 2019 Annual Report on Form 10-K.
At March 31, 2020, Citigroup had recorded net DTAs of approximately $22.1 billion, a decrease of $1.0 billion from December 31, 2019. The decrease for the quarter was
 
primarily driven by gains 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 
In billions of dollars
March 31,
2020
December 31, 2019
Total U.S.$20.4 $21.0 
Total foreign1.7 2.1 
Total$22.1 $23.1 

Of Citi’s total net DTAs of $22.1 billion as of March 31, 2020, $9.0 billion (primarily relating to net operating losses, foreign tax credit and general business credit carry-forwards, which Citi reduced by $0.1 billion 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, Citi did not have any such DTAs. Accordingly, the remaining $13.1 billion of net DTAs as of March 31, 2020 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 billion at March 31, 2020 is more-likely-than-not, based on 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, 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 2020 was approximately 19%, which included a discrete benefit for vested equity compensation. This compares to an effective tax rate of approximately 21% in the first quarter of 2019.

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.


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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. 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.









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FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target and illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial
conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within
each individual business’s discussion and analysis of its results of operations above and in Citi’s 2019 Annual Report on Form 10-K and other SEC filings; (ii) the factors listed and described under “Risk Factors” above and in Citi’s 2019 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 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, 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 result of macroeconomic and geopolitical 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, and the terms or conditions related to the U.K.’s withdrawal from the European Union;
the ongoing regulatory and legislative uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, such as potential fiscal, monetary, regulatory and other changes from the U.S. federal government and others, potential changes to various aspects of the regulatory capital framework and the terms of and other uncertainties resulting from the U.K.’s exit from the European Union, 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 revenue growth and expense savings, as part of Citi’s overall strategy to meet operational and financial objectives, including as a result of factors that Citi cannot control;
the 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 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;
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, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyperinflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets, as well as the 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 impose mandatory loan loss or other reserve requirements on Citi;
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 or other operational difficulties of the retailer or merchant, termination of a particular relationship, or other factors,

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such as bankruptcies, liquidations, restructurings, consolidations or other similar events;
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 a disruption of its operational systems, including as a result of, among other things, human error, fraud or malice, accidental technological failure, electrical or telecommunication outages or failure of computer servers, or other similar damage to Citi’s property or assets, or failures by third parties with whom Citi does business, as well as disruptions in the operations of Citi’s clients, customers or other third parties;
the increasing risk of continually evolving, sophisticated cybersecurity activities faced by financial institutions and others, including Citi and third parties with whom it does business, 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, 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 incorrect assumptions, judgments or estimates in Citi’s financial statements, including reclassification of any foreign currency translation adjustment (CTA) component of AOCI, including related hedges and taxes, into earnings, due to the sale or substantial liquidation of any foreign entity, such as those related to Citi’s legacy businesses;
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;
the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management and mitigation processes, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, or require refinement, modification or enhancement, or any related approval is withdrawn by Citi’s U.S. banking regulators;
 
the potential impact 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;
the potential impact on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, the competitive environment for deposits, market disruptions and governmental fiscal and monetary policies as well as regulatory changes or negative investor perceptions of Citi’s creditworthiness, unexpected increases in cash or collateral requirements and the inability to monetize available liquidity resources;
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 and risk management practices and controls, including on Citi’s compliance, regulatory and other risks and costs, such as increased regulatory oversight and restrictions, penalties and fines; and
the potential outcomes of the extensive legal and regulatory proceedings, as well as regulatory examinations, investigations and other inquiries, to which Citi is or may be subject at any given time, particularly given the increased focus by regulators on conduct risk and controls and policies and procedures, as well as remediating deficiencies on a timely basis, together with the heightened scrutiny and expectations generally from regulators, and the severity of the remedies sought, such as enforcement proceedings, and potential collateral consequences to Citi arising from such outcomes.

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, 2020
and 2019
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three Months Ended March 31, 2020 and 2019
Consolidated Balance Sheet—March 31, 2020 (Unaudited) and December 31, 2019
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three Months Ended March 31, 2020 and 2019
Consolidated Statement of Cash Flows (Unaudited)—
For the Three Months Ended March 31, 2020 and 2019

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 
Note 1—Basis of Presentation, Updated Accounting Policies and Accounting Changes
Note 2—Discontinued Operations and Significant Disposals
Note 3—Business Segments
Note 4—Interest Revenue and Expense
Note 5—Commissions and Fees; Administration and Other
                 Fiduciary Fees
Note 6—Principal Transactions
Note 7—Incentive Plans
Note 8—Retirement Benefits
Note 9—Earnings per Share
Note 10—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



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CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) Citigroup Inc. and Subsidiaries
 Three Months Ended March 31,
In millions of dollars, except per share amounts20202019
Revenues  
Interest revenue$17,139
$19,076
Interest expense5,647
7,317
Net interest revenue$11,492
$11,759
Commissions and fees$3,021
$2,926
Principal transactions5,261
2,804
Administration and other fiduciary fees854
839
Realized gains on sales of investments, net432
130