UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K
ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 20142017
Commission file number 1-9924
Citigroup Inc.
(Exact name of registrant as specified in its charter)
Delaware
(State or other jurisdiction of incorporation or organization)
 
52-1568099
(I.R.S. Employer Identification No.)
399 Park Avenue,388 Greenwich Street, New York, NY
(Address of principal executive offices)
 
1002210013
(Zip code)
(212) 559-1000
(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: See Exhibit 99.01

Securities registered pursuant to Section 12(g) of the Act: none

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes xo No ox
Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes o No x
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x    No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Webweb site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x  No o
Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K. x
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of "large accelerated filer," "accelerated filer" and "smaller reporting company" in Rule 12b-2 of the Exchange Act.
Large accelerated filer x
 
Accelerated filer o
 
Non-accelerated filer o
 (Do not check if a smaller reporting company)
 
Smaller reporting company o
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. Yes o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes o    No x
The aggregate market value of Citigroup Inc. common stock held by non-affiliates of Citigroup Inc. on June 30, 20142017 was approximately $142.6$123.0 billion.
Number of shares of Citigroup Inc. common stock outstanding on January 31, 2015: 3,033,851,3092018: 2,570,065,748
Documents Incorporated by Reference: Portions of the registrant’s proxy statement for the annual meeting of stockholders scheduled to be held on April 28, 2015,24, 2018, are incorporated by reference in this Form 10-K in response to Items 10, 11, 12, 13 and 14 of Part III.
Available on the web at www.citigroup.com
 



FORM 10-K CROSS-REFERENCE INDEX

  
Item NumberPage
  
Part I 
  
1. Business2–29, 32, 122–124,4–30, 121–125,
   127, 158,128, 153,
   307–308303–304
    
1A. Risk Factors52–6356–64
    
1B. Unresolved Staff CommentsNot Applicable
    
2. Properties307–308303–304
    
3. Legal Proceedings—See Note 2827 to the Consolidated Financial Statements295–304283–290
    
4. Mine Safety DisclosuresNot Applicable
    
Part II 
  
5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities137–138, 164, 305, 309–310136–137, 157–159, 305–306
    
6. Selected Financial Data8–910–11
    
7. Management’s Discussion and Analysis of Financial Condition and Results of Operations4–34, 65–1216–32, 66–120
    
7A. Quantitative and Qualitative Disclosures About Market Risk65–121, 159–161, 186–220, 229–28866–120, 154–156, 178–215, 222–275
    
8. Financial Statements and Supplementary Data132–306302
    
9. Changes in and Disagreements with Accountants on Accounting and Financial DisclosureNot Applicable
    
9A. Controls and Procedures125–126126–127
    
9B. Other InformationNot Applicable
    
 
    
    
  
Part III
 
10. Directors, Executive Officers and Corporate Governance311–312*307–309*
 
11. Executive Compensation**
 
12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters***
 
13. Certain Relationships and Related Transactions and Director Independence****
 
14. Principal Accountant Fees and Services*****
 
Part IV 
 
15. Exhibits and Financial Statement Schedules310–314

*For additional information regarding Citigroup’s Directors, see “Corporate Governance,” “Proposal 1: Election of Directors” and “Section 16(a) Beneficial Ownership Reporting Compliance” in the definitive Proxy Statement for Citigroup’s Annual Meeting of Stockholders scheduled to be held on April 28, 2015,24, 2018, to be filed with the SEC (the Proxy Statement), incorporated herein by reference.
**
See “Executive Compensation—The“Compensation Discussion and Analysis,” “The Personnel and Compensation Committee Report,” “—Compensation Discussion and Analysis” and “—2014“2017 Summary Compensation Table and Compensation Information” and “CEO Pay Ratio”
in the Proxy Statement, incorporated herein by reference.
***See “About the Annual Meeting,” “Stock Ownership” and “Proposal 4: Approval of Additional Authorized Shares under the Citigroup 2014 Stock Incentive Plan”“Equity Compensation Plan Information” in the Proxy Statement, incorporated herein by reference.
****See “Corporate Governance—Director Independence,” “—Certain Transactions and Relationships, Compensation Committee Interlocks and Insider Participation,”Participation” and “—Indebtedness” in the Proxy Statement, incorporated herein by reference.
*****See “Proposal 2: Ratification of Selection of Independent Registered Public Accounting Firm” in the Proxy Statement, incorporated herein by reference.





CITIGROUP’S 20142017 ANNUAL REPORT ON FORM 10-K
OVERVIEW
24
MANAGEMENT'S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
46
Executive Summary
46
Impact of Tax Reform
9
Summary of Selected Financial Data
810
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
1012
CITICORPSEGMENT BALANCE SHEET
1214
Global Consumer Banking (GCB)
1316
North America GCB
15
EMEA GCB
1718
Latin America GCB
1920
Asia GCB
2122
Institutional Clients Group
2324
Corporate/Other
27
CITI HOLDINGS
28
BALANCE SHEET REVIEW
3029
OFF BALANCEOFF-BALANCE SHEET
  ARRANGEMENTS
3331
CONTRACTUAL OBLIGATIONS
3432
CAPITAL RESOURCES
3533
   Current Regulatory Capital Standards
   Overview
   Basel III Transition Arrangements
      Basel III (Full Implementation)
      Supplementary Leverage Ratio
 Regulatory Capital Standards Developments
   Tangible Common Equity, Tangible Book Value
       Per Share and Book Value Per Share
RISK FACTORS
5256
Managing Global Risk Table of Contents—
  Credit, Market (Including Funding and Liquidity),
  Operational and Country and Cross-Border Risk
  Sections

6465
MANAGING GLOBAL RISK
6566
Overview
Citi’s Risk Management Organization
Citi’s Compliance Organization
SIGNIFICANT ACCOUNTING POLICIES AND
  SIGNIFICANT ESTIMATES
122121
FUTURE APPLICATION OF ACCOUNTING
  STANDARDS
124
DISCLOSURE CONTROLS AND
  PROCEDURES
125126
MANAGEMENT’S ANNUAL REPORT ON
  INTERNAL CONTROL OVER FINANCIAL
  REPORTING
126127
FORWARD-LOOKING STATEMENTS
127128
REPORT OF INDEPENDENT REGISTERED
  PUBLIC ACCOUNTING FIRM—INTERNAL
  CONTROL OVER FINANCIAL REPORTING
129
REPORT OF INDEPENDENT REGISTERED
  PUBLIC ACCOUNTING FIRM—
  CONSOLIDATED FINANCIAL STATEMENTS
130
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
131
CONSOLIDATED FINANCIAL STATEMENTS
132
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS
141140
FINANCIAL DATA SUPPLEMENT
301
SUPERVISION, REGULATION AND OTHER
301302
Supervision and Regulation
Competition
Properties
Disclosure Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act
UNREGISTERED SALES OF EQUITY,
  PURCHASES OF EQUITY SECURITIES,
  DIVIDENDS
303
PERFORMANCE GRAPH
CORPORATE INFORMATION
305306
Citigroup Executive Officers
306
Citigroup Board of Directors
307


1


OVERVIEW

Citigroup’s history dates back to the founding of the City
Bank of New York in 1812. Citigroup’s original corporate predecessor was incorporated in 1988 under the laws of the State of Delaware. Following a series of transactions over a number of years, Citigroup Inc. was formed in 1998 upon the merger of Citicorp and Travelers Group Inc.
Citigroup is a global diversified financial services holding company whose businesses provide consumers, corporations, governments and institutions with a broad, yet focused, range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, trade and securities services and wealth management. Citi has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions.
At December 31, 2014,2017, Citi had approximately 241,000209,000 full-time employees, compared to approximately 251,000219,000 full-time employees at December 31, 2013.2016.
Citigroup currently operates, for management reporting purposes, via two primary business segments: Citicorp, consisting of Citi’s Global Consumer Banking businesses and Institutional Clients Group; and Citi Holdings, consisting of businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses., with the remaining operations in Corporate/Other. For a further description of the business segments and the products and services they provide, see “Citigroup Segments” below, “Management’s Discussion and Analysis of Financial Condition and Results of Operations” and Note 3 to the Consolidated Financial Statements.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s recent annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available free of charge through Citi’s website by clicking on the “Investors” page and selecting “All SEC Filings.” The SEC’s website also contains current reports information statements,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 to conform to the current period’s presentation. For information on certain recent such reclassifications, see Note 3 to the Consolidated Financial Statements.

Please see “Risk Factors” below for a discussion of the most significant risks and uncertainties that could impact Citigroup’s businesses, financial condition and results of operations.
















































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As described above, Citigroup is managed pursuant to two business segments: Global Consumer Banking and Institutional Clients Group, with the following segments:remaining operations in Corporate/Other.
*
As previously announced, Citigroup intends to exit its consumer businesses in 11 markets and its consumer finance business in Korea in GCB and certain businesses in ICG. Effective in the first quarter of 2015, these businesses will be reported as part of Citi Holdings. For additional information, see “Executive Summary,” “Global Consumer Banking” and “Institutional Clients Group” below. Citi intends to release a revised Quarterly Financial Data Supplement reflecting this realignment prior to the release of its first quarter of 2015 earnings information.

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

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


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

EXECUTIVE SUMMARY

Steady Progress on Execution Priorities Despite Continued Challenging Operating Environment
As discusseddescribed further throughout this Form 10-K, Citi’s 2014Executive Summary, Citi reported balanced operating results reflected afor full-year 2017, reflecting continued challengingmomentum across businesses and geographies, notably many of those where Citi has been making investments.
During 2017, Citi had revenue and loan growth and positive operating environment for Citi and its businesses in several respects, including:

the impact of macroeconomic uncertainty on the markets, trading environment and customer activity, particularly during the latter part of the year;
significant costs associated with legal settlements as Citi resolved its significant legacy legal issues and continued to work through its outstanding legal matters;
uneven global economic growth; and
a continued low interest rate environment.

In addition, as part of its execution priorities to improve its efficiency and reduce expenses, Citi incurred higher repositioning costs during the year, which also impacted its 2014 results of operations.
Despite these difficult decisions and challenges, Citi continued to make progress on its execution priorities in 2014, including:

Efficient resource allocation and disciplined expense management: As noted above, Citi continued to take actions to simplify and streamline the organizationleverage as well as improve productivity. As part of these efforts, Citi announced strategic actions to exit its consumer businessesoperating margin expansion in certain international marketsthe Institutional Clients Group (ICG) and every region in Global Consumer Banking (GCB). (Citi also continued to demonstrate strong expense discipline, resulting in an operating efficiency ratio of 58% in 2017.Results in 2017 also included an updated estimate for a one-time, non-cash charge of $22.6 billion related to the impact of the Tax Cuts and Jobs Act (Tax Reform), which impacted the tax line within GCB) Corporate/Otherand certain businesses, as well as the tax lines in Institutional Clients Group (ICG)North America GCB to focus on those markets and businesses where it believes it has the greatest scale, growth potential and ability to provide meaningful returns to its shareholders.
Wind down of Citi Holdings: Citi continued to wind down Citi Holdings, including reducing its assets by $19 billion, or 16%, from year end 2013.
Utilization of deferred tax assets (DTAs): Citi utilized approximately $3.3 billion in DTAs during 2014ICG (for additional information on this updated estimate, see “Income Taxes”“Impact of Tax Reform” below).

In 2017, Citi increased the amount of capital returned to shareholders, while each of its key regulatory capital metrics remained strong (see “Capital” below). During the year, Citi returned approximately $17.1 billion in the form of common stock repurchases and dividends and repurchased approximately 214 million common shares as outstanding common shares declined 7% from the prior year.
While making progress on these initiatives in 2014, Citi expectsGoing into 2018, while economic sentiment has improved and the operatingmacroeconomic environment in 2015 to remain challenging. Regulatory changes and requirementsremains largely positive, there continue to createbe various economic, political and other risks and uncertainties for Citithat could impact Citi’s businesses and its businesses. While the U.S. economy continues to improve, it remains susceptible to global events and volatility. The economic and fiscal situations of several European countries remain fragile, and geopolitical tensions in the region have added to the uncertainties. Although most emerging market economies continue to grow, growth has slowed in some markets and these economies are also susceptible to outside macroeconomic events and challenges. The frequency with which legal and regulatory proceedings are initiated against
financial institutions, and the severity of the remedies sought in these proceedings, has increased substantially over the past several years, including 2014. Financial institutions also remain a target for an increasing number of cybersecurity attacks.future results. For a more detailed discussion of thesethe risks and other risksuncertainties that could impact Citi’s businesses, results of operations and financial condition during 2015,2018, see each respective business’business’s results of operations, “Risk Factors” and “Managing Global Risk” below.
While Despite these risks and uncertainties, Citi may not be ableintends to completely control these and other factors affectingcontinue to build on the progress made during 2017 with a focus on further optimizing its operating environment in 2015, it will remain focused on its execution priorities, as described above, and remains committedperformance to achieving its 2015 financial targets for Citicorp’s operating efficiency ratio and Citigroup’s return on assets.benefit shareholders.

20142017 Summary Results

Citigroup
Citigroup reported a net loss of $6.8 billion, or $2.98 per share, compared to net income of $7.3$14.9 billion, or $2.20 per diluted share, compared to $13.7 billion or $4.35 per share in 2013. In 2014, Citi’s results included negative $390 million (negative $240 million after-tax) of CVA/DVA, compared to negative $342 million (negative $213 million after-tax) in 2013 (for additional information, including Citi’s adoption of funding valuation adjustments, or FVA, in 2014, see Note 25 to the Consolidated Financial Statements). Citi’s results in 2014 also included a charge of $3.8 billion ($3.7 billion after-tax) related to the mortgage settlement announced in July 2014 regarding certain of Citi’s legacy residential mortgage-backed securities and CDO activities, recorded in Citi Holdings. Results in 2014 further included a tax charge of approximately $210 million related to corporate tax reforms enacted in two states, compared to a tax benefit of $176 million in 2013 related to the resolution of certain tax audit items, both recorded in Corporate/Other. In addition, Citi’s 2013 results included a net fraud loss in Mexico of $360 million ($235 million after-tax) recorded in ICG, and a $189 million after-tax benefit related to the divestiture of Credicard, Citi’s non-Citibank branded cards and consumer finance business in Brazil (Credicard), recorded in Corporate/Other.
Excluding these items, Citi reported net income of $11.5 billion in 2014, or $3.55 per diluted share, compared to $13.8 billion, or $4.37$4.72 per share, in the prior year. The 16% decrease from 2013 was driven by higher expenses, a lowerExcluding the impact of Tax Reform, Citigroup net loan loss reserve release and a higher effective tax rate due primarily to non-deductible legal and related expenses incurred during the year (for additional information, see Note 9income of $15.8 billion increased 6% compared to the Consolidated Financial Statements),prior year, reflecting higher revenues, partially offset by higher cost of credit, while earnings per share increased revenues13%, including the impact of a 7% reduction in Citi Holdings and a decline in net credit losses.average shares outstanding. (Citi’s results of operations excluding the impactsimpact of CVA/DVA, the mortgage settlement, the tax items, the net fraud loss and the Credicard divestitureTax Reform are non-GAAP financial measures. Citi believes the presentation of its results of operations excluding these impactsthe impact of Tax Reform provides a more


4


meaningful depiction for investors of the underlying fundamentals of its businesses.) For additional information regarding the impact of Tax Reform, see “Impact of Tax Reform,” “Risk Factors,”
“Significant Accounting Policies and Significant Estimates—Income Taxes” below and Notes 1 and 9 to the Consolidated Financial Statements.
Citi’sCitigroup revenues net of interest expense, were $76.9$71.4 billion in 2014, up 1% versus the prior year. Excluding CVA/DVA, revenues were $77.3 billion, also up 1% from 2013, as revenues rose 28%2017 increased 2%, driven by 6% aggregate growth in Citi Holdings,ICG and GCB, partially offset by a 1% decline in Citicorp. Net interest revenues of $48.0 billion were 3% higher than 2013, mostly driven by lower funding costs. Excluding CVA/DVA, non-interest revenues were $29.3 billion, down 2% from 2013, driven by lower revenues40% decrease in ICG Corporate/Otherand GCB in Citicorp, partially offset by higher non-interest revenues in Citi Holdings., primarily due to the continued wind-down of legacy assets.

Expenses
Citigroup expensesCitigroup’s end-of-period loans increased 14%7% to $667 billion versus 2013 to $55.1 billion.the prior-year period. Excluding the impact of the mortgage settlementforeign currency translation in 2014 and the net fraud loss in 2013, operating expenses increased 7% versus the prior year to $51.3 billion driven by higher legal and related expenses ($5.8 billion compared to $3.0 billion in the prior year) and repositioning costs ($1.6 billion compared to $590 million in the prior year).
Excluding the legal and related expenses, net fraud loss in 2013, repositioning charges and the impact of foreign exchange translation into U.S. dollars for reporting purposes (FX translation), which lowered reported expenses by approximately $503 millionCitigroup’s end-of-period loans grew 5%, as 9% growth in 2014 compared to 2013, expenses were roughly unchanged at $43.9 billion as repositioning savings, expense reductionsICG and 4% growth in Citi Holdings and other productivity initiatives were fullyGCB was partially offset by the impactcontinued wind-down of higher regulatory and compliance and volume-related costs.legacy assets in Corporate/Other (Citi’s results of operations excluding the impact of legal and related expenses, repositioning charges and FX translation are non-GAAP financial measures. Citi believes the presentation of its results of operations excluding these impactsthe impact of FX translation provides a more meaningful depiction for investors of the underlying fundamentals of its businesses.)
businesses). Citigroup’s end-of-period deposits increased 3% to $960 billion versus the prior year. Excluding the impact of the net fraud lossFX translation, Citigroup’s deposits were up 1%, as a 2% increase in 2013, Citicorp’sICG deposits was partially offset by a decline in Corporate/ Other deposits, and GCB deposits were largely unchanged.

Expenses
Citigroup operating expenses were $47.3 billion, up 12% fromlargely unchanged versus the prior year, primarily reflecting higher legal and related expenses, largely in Corporate/Other ($4.8 billion compared to $432 million in 2013), higher repositioning costs ($1.6 billion compared to $547 million in 2013), higher regulatory and compliance costs andas the impact of higher volume-related costs, partiallyexpenses and ongoing investments were offset by efficiency savings. Excludingsavings and the impactwind-down of the mortgage settlement in 2014, Citi Holdings’legacy assets. Year-over-year, ICG operating expenses were $4.0 billion, down 34% from 2013, reflecting lower legalup 3% and relatedGCB operating expenses as well asincreased 2%, while Corporate/Other operating expenses declined 24%, all versus the ongoing decline in Citi Holdings’ assets.prior year.

Cost of Credit Costs and Allowance for Loan Losses
Citi’s total provisions for credit losses and for benefits and claims of $7.5 billion declined 12%increased 7% from 2013. Excluding the impact of the mortgage settlementprior year. The increase was mostly driven by a $515 million increase in 2014, total provisions fornet credit losses, andprimarily in North America GCB, partially offset by a lower provision for benefits and claims declined 13%due to $7.4 billion versuscontinued legacy asset divestitures within Corporate/Other. The net loan loss reserve build of $266 million compared to a net loan loss reserve build of $217 million in the prior year. The increase was mostly due to volume growth and seasoning, as well as the impact of loan loss reserve builds related to forward-looking net credit loss expectations, all in the North America cards portfolios, partially offset by a higher net reserve release in ICG.
Net credit losses of $9.0$7.1 billion were down 14%increased 8% versus the prior year. Consumer net credit losses declined 15%increased 11% to $8.7
$6.7 billion, mostly reflecting continued improvementsvolume growth and seasoning in the North America mortgage portfolio within Citi Holdings,as well ascards portfolios and the impact of acquiring the Costco portfolio. The increase in consumer net credit losses was partially offset by the continued wind-down of legacy assets in North AmericaCorporate/Other Citi-branded cards and Citi retail services in Citicorp.. Corporate net credit losses increased 43%

decreased 26% to $288$379 million, largely driven by improvement in 2014. Corporate net credit losses in 2014 included approximately $113 million of incremental net credit losses related to the Pemex supplier program in Mexico (forenergy sector.
For additional information regarding the Pemex supplier program, see “Institutional Clients Group” below).
The net release ofon Citi’s consumer and corporate credit costs and allowance for loan losses, see each respective business’s results of operations and unfunded lending commitments was $2.3 billion in 2014. Excluding the impact of the mortgage settlement in 2014, the net release of allowance for loan losses and unfunded lending commitments was $2.4 billion in 2014 compared to a $2.8 billion release in the prior year. Citicorp’s net reserve release increased to $1.4 billion from $736 million in 2013 due to higher reserve releases in North America GCB and ICG, reflecting improved credit trends. Citi Holdings’ net reserve release, excluding the impact of the mortgage settlement in 2014, decreased 53% to $958 million, primarily due to lower releases related to the North America mortgage portfolio (which also had lower net credit losses).
Citigroup’s total allowance for loan losses was $16.0 billion at year end, or 2.50% of total loans, compared to $19.6 billion, or 2.97%, at the end of 2013. The decline in the total allowance for loan losses reflected the continued wind down of Citi Holdings and overall continued improvement in the credit quality of Citi’s loan portfolios. The consumer allowance for loan losses was $13.6 billion, or 3.68% of total consumer loans, at year end, compared to $17.1 billion, or 4.34% of total loans, at the end of 2013. The consumer 90+ days past due delinquencies were $4.6 billion, or 1.27% of consumer loans, at year end, a decline from $5.7 billion or 1.49% of loans in the prior year. Total non-accrual assets fell to $7.4 billion, a 22% reduction compared to 2013. Corporate non-accrual loans declined 38% to $1.2 billion, while Consumer non-accrual loans declined 17% to $5.9 billion, both reflecting the continued improvement in credit trends.“Credit Risk” below.

Capital
Despite the challenging operating environment and elevated legal and related expenses during 2014, Citi was able to maintain its regulatory capital, primarily through net income and the further reduction of its DTAs. Citigroup’s Basel IIICommon Equity Tier 1 Capital and Common Equity Tier 1 Capital ratios, on a fully implemented basis, were 11.5%12.4% and 10.6%14.1% as of December 31, 2014,2017 (based on the Basel III Standardized Approach for determining risk-weighted assets), respectively, compared to 11.3%12.6% and 10.6%14.2% as of December 31, 2013 (all based2016 (based on the Basel III Advanced Approaches for determining risk-weighted assets). The decline in regulatory capital reflected the return of capital to common shareholders and an approximately $6 billion reduction in Common Equity Tier 1 (CET1) Capital due to the impact of Tax Reform, partially offset by earnings growth. Citigroup’s estimated Basel III Supplementary Leverage ratio as of December 31, 20142017, on a fully implemented basis, was 6.0%6.7%, compared to 5.4%7.2% as of


5


December 31, 2013, each based on the revised final U.S. Basel III rules.2016. For additional information on Citi’s capital ratios and related components, including the impact of Tax Reform on its capital ratios, see “Capital Resources” below.

CiticorpGlobal Consumer Banking
Citicorp GCB net income decreased 32% from21%. Excluding the impact of Tax Reform, GCB net income decreased 6%, as higher revenues were more than offset by higher expenses and higher cost of credit. Operating expenses were $17.8 billion, up 2%, as higher volume-related expenses and continued investments were partially offset by efficiency savings.
GCB revenues of $32.7 billion increased 4% versus the prior year, driven by growth across all regions. North America GCB revenues increased 3% to $10.7 billion. CVA/DVA, recorded in ICG,was negative $343 million (negative $211 million after-tax) in 2014, compared to negative $345 million (negative $214 million after-tax) in$20.3 billion, driven by higher revenues across all businesses. Citi-branded cards revenues of $8.6 billion were up 5% versus the prior year, (formostly reflecting the addition of the Costco portfolio as well as modest growth in interest-earning balances, partially offset by the continued run-off of non-core portfolios as well as a summaryhigher cost to fund growth in transactor and promotional balances, given higher interest rates. Citi retail services revenues of CVA/DVA$6.4 billion increased 1% versus the prior year, as continued loan growth was partially offset by business within ICG, see “Institutional Clients Group” below).
Excluding CVA/DVAthe impact of the renewal and extension of certain partnerships, as well as the impactabsence of the net fraud lossgains on sales of two cards portfolios in Mexico, the tax items and the divestiture of Credicard noted above, Citicorp’s net income was $11.1 billion, down 29% from the prior year, as higher expenses, a higher effective tax rate and lower2016. Retail banking revenues were partially offset by continued improvement in credit costs.
Citicorp revenues, net of interest expense, decreasedincreased 1% from the prior year to $71.1$5.3 billion. Excluding CVA/DVA, Citicorpmortgage revenues, retail banking revenues of $4.5 billion were $71.4 billion in 2014, also down 1%up 9% from the prior year. GCB revenues of $37.8 billion decreased 1% versus the prior year. North America GCB revenues declined 1% to $19.6 billionyear, driven by lower retail banking revenues, partially offset bycontinued growth in loans and assets under management, as well as a benefit from higher revenues in Citi-branded cards and Citi retail services. Retail banking revenues declined 9% to $4.9 billion versus the prior year, primarily reflecting lower mortgage origination revenues and spread compression in the deposits portfolios, partially offset by volume-related growth and gains from branch sales during the year. Citi-branded cards revenues of $8.3 billion were up 1% versus the prior year as purchase sales grew and an improvement in spreads driven by a reduction in promotional rate balances mostly offset the impact of lower average loans. Citi retail services revenues increased 4% to $6.5 billion, mainly reflecting the impact of the Best Buy portfolio acquisition in September 2013, partially offset by continued declines in fee revenues primarily reflecting higher yields and improving credit and the resulting increase in contractual partner payments. interest rates.
North America GCB average deposits of $171$184 billion grew 3%increased 1% year-over-year, and average retail loans of $46$56 billion grew 9%3% and assets under management of $60 billion grew 14%. Average Citi-branded card loans of $110$85 billion increased 2%15%, andwhile Citi-branded card purchase sales of $252$320 billion increased 5%28% versus the prior year. Average Citi retail services loans of $46 billion increased 4% versus the prior
year, while retail services purchase sales of $81 billion were up 2%. For additional information on the results of operations of North America GCB for 2014,2017, see “Global Consumer Banking—North America GCB” below.
International GCB revenues (consisting of EMEA GCB, Latin America GCB and Asia GCB (which includes the results of operations in certain EMEA countries)) decreased 2%increased 6% versus the prior year to $18.1$12.4 billion. Excluding the impact of FX translation, international GCB revenues rose 2% fromincreased 5% versus the prior year, driven by 4% growth inyear. Latin America GCB and 1% growth in Asia GCB, partially offset by a 1% decline in EMEA GCB (for the impact of FX translation on 2014 results of operations for each of EMEA GCB, Latin America GCB and Asia GCBrevenues increased 6% versus the prior year, see the table accompanying the discussion of each respective business’ results of operations below). Thedriven by growth in internationalloans and deposits, as well as improved deposit spreads. Asia GCBrevenues increased 5% (4% excluding modest gains on the impactsales of FX translation, mainly reflected volume growthmerchant acquiring businesses in all regions,the second and fourth quarters of 2017) versus the prior year, primarily reflecting an increase in cards revenues and wealth management revenues, partially offset by spread compression, the ongoing impact of regulatory changes and the repositioning of Citi’s franchise in
Korea, as well as market exits in EMEA GCB in 2013.lower retail lending revenues. For additional information on the results of operations of EMEA GCB, Latin America GCB and Asia GCB for 2014,2017, including the impact of FX translation, see “Global Consumer BankingBanking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $122 billion increased 2%5%, average retail loans of $87 billion were largely unchanged, assets under management of $101 billion increased 7%, investment sales increased 8%14%, average card loans of $24 billion increased 2%5% and card purchase sales of $98 billion increased 5%7%, all excluding the impact of Credicard’s resultsFX translation.

Institutional Clients Group
ICG net incomedecreased 5%. Excluding the impact of Tax Reform, ICG net income increased 16%, driven by higher revenues and a small benefit to cost of credit (compared to a $486 million cost of credit in the prior year periodyear), partially offset by higher operating expenses. ICG operating expenses increased 3% to $19.6 billion, as higher compensation, investments and FX translation.volume-related expenses were partially offset by efficiency savings.
ICG revenues were $33.3$35.7 billion in 2014, down 1% from the prior year. Excluding CVA/DVA, ICG revenues were $33.6 billion, also down 1% from the prior year. Banking revenues of $17.0 billion, excluding CVA/DVA and the impact of mark-to-market gains/(losses) on hedges related to accrual loans within corporate lending (see below), increased 5%2017, up 7% from the prior year, primarily driven by a 16% increase in Banking revenues. Markets and securities services were largely unchanged versus the prior year. The increase in Banking revenues included the impact of $133 million of losses on loan hedges within corporate lending, compared to losses of $594 million in the prior year.
Banking revenues of $18.7 billion (excluding the impact of losses on loan hedges within corporate lending) increased 12%, driven by solid growth across all products. Investment banking revenues of $5.2 billion increased 20% versus the prior year, reflecting wallet share gains across all products. Advisory revenues increased 11% to $1.1 billion, equity underwriting revenues increased 68% to $1.1 billion and debt underwriting revenues increased 13% to $3.0 billion, all versus the prior year.
Private bank revenues increased 14% from the prior year, driven by growth in investment banking,clients, loans, investments and deposits, as well as improved spreads. Corporate lending revenues increased 59% to $1.8 billion. Excluding the impact of losses on loan hedges, corporate lending revenues increased 12% versus the prior year, primarily driven by lower hedging costs,

as well as the prior-year adjustment to the residual value of a lease financing. Treasury and private bank revenues. Investment bankingtrade solutions revenues of $8.5 billion increased 7% versus the prior year, driven by an 11% increase in advisory revenues to $949 million and an 18% increase in equity underwriting to $1.2 billion. Debt underwriting revenues of $2.5 billion were largely unchanged from 2013. Private bank revenues, excluding CVA/DVA, increased 7% to $2.7 billion from the prior year, driven by increased client volumes andreflecting volume growth in investment and capital markets products, partially offset by spread compression. Corporate lending revenues rose 52% to $1.9 billion, including $116 million of mark-to-market gains on hedges related to accrual loans compared to a $287 million loss in the prior year. Excluding the mark-to-market impact on hedges related to accrual loans in both periods, corporate lending revenues rose 15% versus the prior year to $1.7 billion, primarily reflecting growth in average loans and improved funding costs. Treasury and trade solutions revenues increased by 1% versus the prior year to $7.9 billion as volumespreads, with balanced growth across net interest and fee growth was largely offset by the impact of spread compression globally.income.
Markets and securities services revenues of $16.5$17.1 billion excluding CVA/DVA, decreased 8%were largely unchanged from the prior year.year, as a decline in fixed income markets and equity markets revenues was offset by an increase in securities services revenues as well as a $580 million gain on the sale of a fixed income analytics business. Fixed income markets revenues of $11.8$12.1 billion excluding CVA/DVA, decreased 11%6% from the prior year, reflecting weakness across rates and currencies, credit markets and municipals duelow volatility, as well as the comparison to challenginghigher revenues from a more robust trading conditions, partially offset by increased securitized products and commodities revenues. The first halfenvironment in the prior year following the vote in the U.K. in favor of 2013 included a strong performance in rates and currencies, driven in part byits withdrawal from the impact of quantitative easing globally.European Union, as well as the U.S. election. Equity markets revenues of $2.8$2.7 billion excluding CVA/DVA, declined 1% versusdecreased 2% from the prior year, mostly reflecting weakness in cash equities in EMEA driven by volatilityan episodic loss in Europe, partially offsetderivatives of roughly $130 million related to a single client event. Excluding this item, equity markets revenues increased 2% from the prior year, driven by strengthgrowth in prime finance.client balances and higher investor client revenue. Securities services revenues of $2.3 billion increased 3% versus the prior year primarily due to increased8%, driven by growth in client volumes assets under custody and overall client activity.higher interest revenue. For additional information on the results of operations of ICG for 2014,2017, see “Institutional Clients Group” below.

Corporate/Other
Corporate/Other revenues decreased to $47 million from $121 million in the prior year, driven mainly by lower revenues from sales of available-for-sale securities as well as hedging activities. For additional information on the results of


6


operations of Corporate/Other in 2014, see “Corporate/Other” below.
Citicorp end-of-period loans were roughly unchanged at $572 billion, with 1% growth in corporate loans offset by a 2% decline in consumer loans. Excluding the impact of FX translation, Citicorp loans grew 3%, with 4% growth in corporate loans and 2% growth in consumer loans.

Citi Holdings
Citi Holdings’ net loss was $3.4$19.7 billion in 20142017, compared to a net lossincome of $1.9 billion in 2013. CVA/DVAwas negative $47$498 million (negative $29 million after-tax) in 2014, compared to positive $3 million (positive $1 million after-tax) in the prior year. Excluding the impact of CVA/DVA and the mortgage settlement in 2014, Citi Holdings’ Tax Reform, Corporate/Other net income was $385declined 69% to $153 million, reflecting lower expenses, higher revenues, and lower net credit losses, partially offset by a lower net loan loss reserve release.
Citi Holdings’ revenues increased 27% to $5.8operating expenses and lower cost of credit. Operating expenses of $3.8 billion declined 24% from the prior year. Excluding CVA/DVA, Citi Holdings’prior-year period, reflecting the wind-down of legacy assets and lower legal expenses.
Corporate/Other revenues increased 28% to $5.9were $3.1 billion, from the prior year. Net interest revenues increased 11% year-over-year to $3.5 billion, largely driven by lower funding costs. Non-interest revenues, excluding CVA/DVA, increased 68% to $2.3 billiondown 40% from the prior year, primarily driven by higher gains onreflecting the wind-down of legacy assets sales andas well as the absence of repurchase reserve builds for representation and warranty claimsgains related to debt buybacks in 2014.2016.
Corporate/Other end-of-period assets of $77 billion decreased 25% from the prior year, reflecting the continued wind-down of legacy assets as well as the impact of Tax Reform, which reduced assets by approximately $20 billion. For additional information on the results of operations of Citi Holdings in 2014,Corporate/Other for 2017, see “Citi Holdings”“Corporate/Other” below.
Citi Holdings’ assets were $98 billion, 16% below the prior year, and represented approximately 5% of Citi’s total GAAP assets and 14% of its risk-weighted assets under Basel III as of year end (based on the Advanced Approaches for determining risk-weighted assets).





7
Impact of Tax Reform
Citi’s full-year 2017 results included the updated estimate for a one-time, non-cash charge of $22.6 billion, recorded within Corporate/Other, North America GCB and ICG related to the enactment of Tax Reform, which was signed into law on December 22, 2017. This updated estimate resulted in a downward adjustment to fourth-quarter and full-year 2017 financial results, as well as changes in the segments where the impact was recorded (previously, the entire charge was recorded in Corporate/Other), from those reported on January 16, 2018, by an aggregate of $594 million due to refinements of original estimates. The approximate $6 billion reduction in CET1 Capital due to the impact of Tax Reform was unchanged.
This charge was composed of a $12.4 billion remeasurement of Citi’s deferred tax assets (DTAs) due to the reduction to the U.S. corporate tax rate and the change to a quasi-territorial tax system (see “Significant Accounting Policies and Estimates—Income Taxes” below), a $7.9 billion valuation allowance against Citi’s foreign tax credit (FTC) carry-forwards and its U.S. residual DTAs related to its non-U.S. branches, and a $2.3 billion reduction in Citi’s FTC carry-forwards related to the deemed repatriation of undistributed earnings of non-U.S. subsidiaries.
The financial results in the table below disclose the as-reported GAAP results for 2017 and 2016, the impact of Tax Reform and the 2017 adjusted results excluding the impact of Tax Reform. The charge related to Tax Reform is reflected in Citi’s results throughout this Annual Report on Form 10-K, unless otherwise noted.
The final impact of Tax Reform may differ from the estimate due to, among other things, changes in assumptions
made by Citigroup and additional guidance that may be issued by the U.S. Department of the Treasury. For more information on possible changes to the estimated impact related to Tax Reform, see “Risk Factors—Strategic Risks” below and Notes 1 and 9 to the Consolidated Financial Statements.
























In millions of dollars, except per share amounts, and as otherwise noted
2017
as reported
Impact of
Tax Reform
 
2017
adjusted results(1)
2016
as reported
2017 Ex-Tax Reform increase/(decrease)
vs. 2016
 
$ Change% Change 
Net income (loss)$(6,798)$(22,594) $15,796
$14,912
$884
6 % 
Diluted earnings per share:      

 
Income (loss) from continuing operations(2.94)(8.31) 5.37
4.74
0.63
13
 
Net income (loss)(2.98)(8.31) 5.33
4.72
0.61
13
 
Effective tax rate129.1 %(9,930)bps29.8%30.0% (20)bps
Global Consumer Banking—Net income
$3,884
$(750) $4,634
$4,947
$(313)(6)% 
North America GCB—Net income
2,044
(750) 2,794
3,240
(446)(14) 
Institutional Clients Group—Net income
9,009
(2,000) 11,009
9,467
1,542
16
 
Corporate/Other—Net income (loss)
(19,691)(19,844) 153
498
(345)(69) 
         
Performance and other metrics:        
  Return on average assets(0.36)%(120)bps0.84%0.82% 2
bps
  Return on average common stockholders’ equity(3.9)(1,090) 7.0
6.6
 40
 
  Return on average total stockholders’ equity(3.0)(1,000) 7.0
6.5
 50
 
  Return on average tangible common equity(4.6)(1,270) 8.1
7.6
 50
 
  Dividend payout ratio(32.2)(5,020) 18.0
8.9
 910
 
  Total payout ratio(213.9)(33,140) 117.5
77.1
 404
 

(1) Excludes the impact of Tax Reform.


RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
In millions of dollars, except per-share amounts and ratios2014201320122011201020172016201520142013
Net interest revenue$47,993
$46,793
$46,686
$47,649
$53,539
$44,687
$45,104
$46,630
$47,993
$46,793
Non-interest revenue28,889
29,626
22,504
29,612
32,210
26,762
24,771
29,724
29,226
29,931
Revenues, net of interest expense$76,882
$76,419
$69,190
$77,261
$85,749
$71,449
$69,875
$76,354
$77,219
$76,724
Operating expenses55,051
48,408
50,036
50,180
46,824
41,237
41,416
43,615
55,051
48,408
Provisions for credit losses and for benefits and claims7,467
8,514
11,329
12,359
25,809
7,451
6,982
7,913
7,467
8,514
Income from continuing operations before income taxes$14,364
$19,497
$7,825
$14,722
$13,116
$22,761
$21,477
$24,826
$14,701
$19,802
Income taxes(1)6,864
5,867
7
3,575
2,217
29,388
6,444
7,440
7,197
6,186
Income from continuing operations$7,500
$13,630
$7,818
$11,147
$10,899
Income (loss) from continuing operations$(6,627)$15,033
$17,386
$7,504
$13,616
Income (loss) from discontinued operations, net of taxes (1)(2)
(2)270
(58)68
(16)(111)(58)(54)(2)270
Net income before attribution of noncontrolling interests$7,498
$13,900
$7,760
$11,215
$10,883
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
$7,502
$13,886
Net income attributable to noncontrolling interests185
227
219
148
281
60
63
90
192
227
Citigroup’s net income$7,313
$13,673
$7,541
$11,067
$10,602
Citigroup’s net income (loss)(1)
$(6,798)$14,912
$17,242
$7,310
$13,659
Less:  
Preferred dividends-Basic$511
$194
$26
$26
$9
Preferred dividends—Basic$1,213
$1,077
$769
$511
$194
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS111
263
166
186
90
37
195
224
111
263
Income allocated to unrestricted common shareholders for basic EPS$6,691
$13,216
$7,349
$10,855
$10,503
Add: Interest expense, net of tax, dividends on convertible securities and adjustment of undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to diluted EPS—
1
11
17
2
Income allocated to unrestricted common shareholders for diluted EPS$6,691
$13,217
$7,360
$10,872
$10,505
Income (loss) allocated to unrestricted common shareholders for basic EPS$(8,048)$13,640
$16,249
$6,688
$13,202
Add: Other adjustments to income—
—
—
1
1
Income (loss) allocated to unrestricted common shareholders for diluted EPS$(8,048)$13,640
$16,249
$6,689
$13,203
Earnings per share  
  
Basic  
  
Income from continuing operations$2.21
$4.27
$2.53
$3.71
$3.64
Net income2.21
4.35
2.51
3.73
3.65
Income (loss) from continuing operations$(2.94)$4.74
$5.43
$2.21
$4.26
Net income (loss)(2.98)4.72
5.41
2.21
4.35
Diluted  
Income from continuing operations$2.20
$4.26
$2.46
$3.60
$3.53
Net income2.20
4.35
2.44
3.63
3.54
Income (loss) from continuing operations$(2.94)$4.74
$5.42
$2.20
$4.25
Net income (loss)
(2.98)4.72
5.40
2.20
4.34
Dividends declared per common share0.04
0.04
0.04
0.03
—
0.96
0.42
0.16
0.04
0.04

StatementTable continues on the next page, including notes to the table.footnotes.

8


SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated Subsidiaries Citigroup Inc. and Consolidated Subsidiaries 
In millions of dollars, except per-share amounts, ratios and direct staff2014201320122011201020172016201520142013
At December 31:   
Total assets$1,842,530
$1,880,382
$1,864,660
$1,873,878
$1,913,902
$1,842,465
$1,792,077
$1,731,210
$1,842,181
$1,880,035
Total deposits (2)
899,332
968,273
930,560
865,936
844,968
959,822
929,406
907,887
899,332
968,273
Long-term debt223,080
221,116
239,463
323,505
381,183
236,709
206,178
201,275
223,080
221,116
Citigroup common stockholders’ equity200,066
197,601
186,487
177,494
163,156
181,487
205,867
205,139
199,717
197,254
Total Citigroup stockholders’ equity210,534
204,339
189,049
177,806
163,468
200,740
225,120
221,857
210,185
203,992
Direct staff (in thousands)
241
251
259
266
260
209
219
231
241
251
Performance metrics    
Return on average assets0.39%0.73%0.39%0.55%0.53%(0.36)%0.82%0.95%0.39%0.73%
Return on average common stockholders’ equity (3)
3.4
7.0
4.1
6.3
6.8
(3.9)6.6
8.1
3.4
7.0
Return on average total stockholders’ equity (3)
3.5
6.9
4.1
6.3
6.8
(3.0)6.5
7.9
3.5
6.9
Efficiency ratio (Operating expenses/Total revenues)72
63
72
65
55
Basel III ratios - full implementation 
Efficiency ratio (total operating expenses/total revenues)58
59
57
71
63
Basel III ratios—full implementation 
Common Equity Tier 1 Capital (4)
10.58%10.59%8.74%N/A
N/A
12.36 %12.57%12.07%10.57%10.57%
Tier 1 Capital (4)
11.47
11.25
9.05
N/A
N/A
14.06
14.24
13.49
11.45
11.23
Total Capital (4)
12.81
12.65
10.83
N/A
N/A
16.30
16.24
15.30
12.80
12.64
Estimated supplementary leverage ratio (5)
5.96
5.43
N/A
N/A
N/A
Supplementary Leverage ratio(5)
6.68
7.22
7.08
5.94
5.42
Citigroup common stockholders’ equity to assets10.86%10.51%10.00%9.47%8.52%9.85 %11.49%11.85%10.84%10.49%
Total Citigroup stockholders’ equity to assets11.43
10.87
10.14
9.49
8.54
10.90
12.56
12.82
11.41
10.85
Dividend payout ratio (6)
1.8
0.9
1.6
0.8
NM
         NM8.9
3.0
1.8
0.9
Total payout ratio(7)
         NM77.1
36.0
19.9
7.1
Book value per common share$66.16
$65.23
$61.57
$60.70
$56.15
$70.62
$74.26
$69.46
$66.05
$65.12
Tangible book value (TBV) per share(8)
60.16
64.57
60.61
56.71
55.19
Ratio of earnings to fixed charges and preferred stock dividends1.98x
2.16x
1.37x
1.60x
1.51x
2.26x2.54x2.89x
2.00x
2.18x
(1)Discontinued operations include Credicard, Citi Capital Advisors and Egg Banking credit card business. 2017 includes the impact of Tax Reform. See “Impact of Tax Reform” above.
(2)See Note 2 to the Consolidated Financial Statements for additional information on Citi’s discontinued operations.
(2)
Reflects reclassification of approximately $21 billion of deposits to held-for-sale (Other liabilities) at December 31, 2014 as a result of the agreement to sell Citi’s retail banking business in Japan. See “Asia GCB” below and Note 2 to the Consolidated Financial Statements.
(3)The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(4)CapitalCiti’s regulatory capital ratios based onreflect full implementation of the final U.S. Basel III rules, with full implementation assumed for capital components; risk-weighted assets based onrules. As of December 31, 2017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches for determining total risk-weighted assets. See “Capital Resources” below.framework. For all prior periods presented, Citi’s Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(5)Citi’s estimated Supplementary Leverage ratio is based onreflects full implementation of the revised final U.S. Basel III rules issued in September 2014 and represents the ratio of Tier 1 Capital to Total Leverage Exposure (TLE). TLE is the sum of the daily average of on balance sheet assets for the quarter and the average of certain off balance sheet exposures calculated as of the last day of each month in the quarter, less applicable Tier 1 Capital deductions. See “Capital Resources” below.rules.
(6) Dividends declared per common share as a percentage of net income per diluted share.
(7)Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders. See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 10 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
N/A Not applicable to 2012, 2011(8) For information on TBV, see “Capital Resources—Tangible Common Equity, Tangible Book Value Per Share, Book Value Per Share and 2010. See “Capital Resources”Returns on Equity” below.
NM Not meaningful

9


SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
The following tables show the income (loss) and revenues for Citigroup on a segment and business view:
CITIGROUP INCOME
In millions of dollars201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012
2017(1)
20162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Income (loss) from continuing operations    
CITICORP  
Global Consumer Banking    
North America$4,421
$3,910
$4,564
13 %(14)%$2,043
$3,238
$4,188
(37)%(23)%
EMEA(7)35
(61)NM
NM
Latin America1,204
1,337
1,382
(10)(3)590
633
826
(7)(23)
Asia1,320
1,481
1,712
(11)(13)
Asia(2)
1,260
1,083
1,200
16
(10)
Total$6,938
$6,763
$7,597
3 %(11)%$3,893
$4,954
$6,214
(21)%(20)%
Institutional Clients Group

 



  
North America$3,896
$3,143
$1,598
24 %97 %$2,449
$3,495
$3,316
(30)%5 %
EMEA1,984
2,432
2,467
(18)(1)2,804
2,365
2,230
19
6
Latin America1,337
1,628
1,879
(18)(13)1,513
1,454
1,351
4
8
Asia2,304
2,211
1,890
4
17
2,300
2,211
2,213
4
—
Total$9,521
$9,414
$7,834
1 %20 %$9,066
$9,525
$9,110
(5)%5 %
Corporate/Other$(5,593)$(630)$(1,048)NM
40 %$(19,586)$554
$2,062
NM
(73)%
Total Citicorp$10,866
$15,547
$14,383
(30)%8 %
Citi Holdings$(3,366)$(1,917)$(6,565)(76)%71 %
Income from continuing operations$7,500
$13,630
$7,818
(45)%74 %
Income (loss) from continuing operations$(6,627)$15,033
$17,386
NM
(14)%
Discontinued operations$(2)$270
$(58)NM
NM
$(111)$(58)$(54)(91)%(7)%
Net income attributable to noncontrolling interests185
227
219
(19)%4 %
Citigroup’s net income$7,313
$13,673
$7,541
(47)%81 %
Net income (loss) attributable to noncontrolling interests60
63
90
(5)(30)
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
NM
(14)%

(1)2017 includes the impact of Tax Reform. See “Impact of Tax Reform” above.
(2) Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
NM Not meaningful

CITIGROUP REVENUES
10
In millions of dollars201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Global Consumer Banking     
North America$20,262
$19,759
$19,515
3 %1 %
Latin America5,152
4,922
5,722
5
(14)
Asia(1)
7,283
6,838
7,014
7
(3)
Total$32,697
$31,519
$32,251
4 %(2)%
Institutional Clients Group     
North America$13,636
$12,513
$12,698
9 %(1)%
EMEA10,692
9,855
9,788
8
1
Latin America4,216
3,977
3,944
6
1
Asia7,123
6,882
6,902
4
—
Total$35,667
$33,227
$33,332
7 %— %
Corporate/Other$3,085
$5,129
$10,771
(40)%(52)%
Total Citigroup net revenues$71,449
$69,875
$76,354
2 %(8)%
(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.




CITIGROUP REVENUESSEGMENT BALANCE SHEET(1)
In millions of dollars201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012
CITICORP     
Global Consumer Banking     
North America$19,645
$19,776
$20,950
(1)%(6)%
EMEA1,358
1,449
1,485
(6)(2)
Latin America9,204
9,316
8,742
(1)7
Asia7,546
7,624
7,928
(1)(4)
Total$37,753
$38,165
$39,105
(1)%(2)%
Institutional Clients Group   

 
North America$12,345
$11,473
$8,973
8 %28 %
EMEA9,513
10,020
9,977
(5)—
Latin America4,237
4,692
4,710
(10)—
Asia7,172
7,382
7,102
(3)4
Total$33,267
$33,567
$30,762
(1)%9 %
Corporate/Other$47
$121
$128
(61)%(5)%
Total Citicorp$71,067
$71,853
$69,995
(1)%3 %
Citi Holdings$5,815
$4,566
$(805)27 %NM
Total Citigroup net revenues$76,882
$76,419
$69,190
1 %10 %
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$11,446
$65,916
$103,154
$—
$180,516
Federal funds sold and securities borrowed or purchased under agreements to resell242
231,806
430
—
232,478
Trading account assets5,885
243,916
1,755
—
251,556
Investments10,786
109,231
232,273
—
352,290
Loans, net of unearned income and    
allowance for loan losses301,729
330,826
22,124
—
654,679
Other assets38,037
96,266
36,643
—
170,946
Liquidity assets(4)
60,755
258,342
(319,097)—
—
Total assets$428,880
$1,336,303
$77,282
$—
$1,842,465
Liabilities and equity    
Total deposits$307,244
$639,487
$13,091
$—
$959,822
Federal funds purchased and securities loaned or sold under agreements to repurchase4,705
151,563
9
—
156,277
Trading account liabilities20
123,933
94
—
124,047
Short-term borrowings576
20,075
23,801
—
44,452
Long-term debt(3)
2,143
35,297
47,106
152,163
236,709
Other liabilities19,745
80,383
19,358
—
119,486
Net inter-segment funding (lending)(3)
94,447
285,565
(27,109)(352,903)—
Total liabilities$428,880
$1,336,303
$76,350
$(200,740)$1,640,793
Total equity(5)
—
—
932
200,740
201,672
Total liabilities and equity$428,880
$1,336,303
$77,282
$—
$1,842,465

NM Not meaningful

11
(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of December 31, 2017. The respective segment information depicts the assets and liabilities managed by each segment as of such date.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other. The impact of Tax Reform is included in North America GCB, ICG and Corporate/Other.
(3)The total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company Consolidated Balance Sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquidity assets (primarily consisting of cash and available-for-sale securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
(5)
Corporate/Other equity represents noncontrolling interests.


CITICORP
Citicorp is Citigroup’s global bank for consumers and businesses and represents Citi’s core franchises. Citicorp is focused on providing best-in-class products and services to customers and leveraging Citigroup’s unparalleled global network, including many of the world’s emerging economies. Citicorp is physically present in approximately 100 countries, many for over 100 years, and offers services in over 160 countries and jurisdictions. Citi believes this global network provides a strong foundation for servicing the broad financial services needs of its large multinational clients and for meeting the needs of retail, private banking, commercial, public sector and institutional clients around the world.
Citicorp consists of the following operating businesses: Global Consumer Banking (which consists of consumer banking in North America, EMEA, Latin America and Asia) and Institutional Clients Group (which includes Banking and Markets and securities services). Citicorp also includes Corporate/Other. At December 31, 2014, Citicorp had $1.7 trillion of assets and $889 billion of deposits, representing 95% of Citi’s total assets and 99% of Citi’s total deposits, respectively.This page intentionally left blank.

In millions of dollars except as otherwise noted201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012
Net interest revenue$44,452
$43,609
$44,067
2 %(1)%
Non-interest revenue26,615
28,244
25,928
(6)9
Total revenues, net of interest expense$71,067
$71,853
$69,995
(1)%3 %
Provisions for credit losses and for benefits and claims   

 
Net credit losses$7,327
$7,393
$8,389
(1)%(12)%
Credit reserve build (release)(1,252)(826)(2,222)(52)63
Provision for loan losses$6,075
$6,567
$6,167
(7)%6 %
Provision for benefits and claims199
212
236
(6)(10)
Provision for unfunded lending commitments(152)90
40
NM
NM
Total provisions for credit losses and for benefits and claims$6,122
$6,869
$6,443
(11)%7 %
Total operating expenses$47,336
$42,438
$44,773
12 %(5)%
Income from continuing operations before taxes$17,609
$22,546
$18,779
(22)%20 %
Income taxes6,743
6,999
4,396
(4)59
Income from continuing operations$10,866
$15,547
$14,383
(30)%8 %
Income (loss) from discontinued operations, net of taxes(2)270
(58)NM
NM
Noncontrolling interests181
211
216
(14)(2)
Net income$10,683
$15,606
$14,109
(32)%11 %
Balance sheet data (in billions of dollars)
   

 
Total end-of-period (EOP) assets$1,745
$1,763
$1,709
(1)%3 %
Average assets1,788
1,749
1,717
2
2
Return on average assets0.60%0.89%0.82%

 
Efficiency ratio (Operating expenses/Total revenues)67
59
64


 
Total EOP loans$572
$573
$540
—
6
Total EOP deposits889
932
863
(5)8
NM Not meaningful

12


GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB)consists of Citigroup’s four geographical consumer bankingbusinesses that providein North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is a globally diversified businessfocused on its priority markets in the U.S., Mexico and Asia with 3,2802,451 branches in 3519 countries around the worldand jurisdictions as of December 31, 2014. For the year ended2017. At December 31, 2014,2017, GCB had $399approximately $429 billion of averagein assets and $331$307 billion of averagein deposits.
GCB’s overall strategy is to leverage Citi’s global footprint and seek to be the preeminentpre-eminent bank for the emerging affluent and 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.
Consistent with its strategy to continue to optimize its branch footprint and further concentrate its presence in major metropolitan areas, during 2014, Citi announced that it intends to exit its consumer businesses in
In millions of dollars except as otherwise noted201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Net interest revenue$27,187
$26,025
$25,752
4 %1 %
Non-interest revenue5,510
5,494
6,499
—
(15)
Total revenues, net of interest expense$32,697
$31,519
$32,251
4 %(2)%
Total operating expenses$17,843
$17,483
$17,199
2 %2 %
Net credit losses$6,562
$5,610
$5,752
17 %(2)%
Credit reserve build (release)965
708
(395)36
NM
Provision (release) for unfunded lending commitments(2)3
4
NM
(25)
Provision for benefits and claims116
106
108
9
(2)
Provisions for credit losses and for benefits and claims$7,641
$6,427
$5,469
19 %18 %
Income from continuing operations before taxes$7,213
$7,609
$9,583
(5)%(21)%
Income taxes3,320
2,655
3,369
25
(21)
Income from continuing operations$3,893
$4,954
$6,214
(21)%(20)%
Noncontrolling interests$9
$7
$10
29 %(30)%
Net income$3,884
$4,947
$6,204
(21)%(20)%
Balance Sheet data (in billions of dollars)
     
Total EOP assets$429
$412
$381
4 %8 %
Average assets418
396
378
6
5
Return on average assets0.93%1.25%1.64%  
Efficiency ratio55
55
53
  
Average deposits$306
$298
$295
3
1
Net credit losses as a percentage of average loans2.21%2.01%2.12%  
Revenue by business     
Retail banking$13,378
$12,916
$13,654
4 %(5)%
Cards(1)
19,319
18,603
18,597
4
—
Total$32,697
$31,519
$32,251
4 %(2)%
Income from continuing operations by business     
Retail banking$1,673
$1,566
$1,875
7 %(16)%
Cards(1)
2,220
3,388
4,339
(34)(22)
Total$3,893
$4,954
$6,214
(21)%(20)%
Table continues on the following markets: Costa Rica, El Salvador, Guatemala, Nicaragua, Panama and Peru (in Latin America); Japan, Guam and its consumer finance business in Korea (in Asia); and the Czech Republic, Egypt and Hungary (in EMEA). Citi expects to substantially complete its exit from these businesses by the end of 2015. These consumer businesses, consisting of $28 billion of assets, $7 billion of consumer loans and $3 billion of deposits (excluding approximately $21 billion of deposits reclassified to held-for-sale as a result of Citi’s agreement in December 2014 to sell its Japan retail banking business) as of December 31, 2014, contributed approximately $1.6 billion of revenues, $1.4 billion of expenses and a net loss of $40 million in 2014, with the loss primarily attributable to repositioning and other actions directly related to the exit plans. These businesses will be reported as part of Citi Holdings beginning in the first quarter of 2015. For additional information, see “Executive Summary” above and “Latin America GCB” and “Asia GCB” below.next page, including footnotes.


In millions of dollars except as otherwise noted201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012
Net interest revenue$28,910
$28,648
$28,665
1 %— %
Non-interest revenue8,843
9,517
10,440
(7)(9)
Total revenues, net of interest expense$37,753
$38,165
$39,105
(1)%(2)%
Total operating expenses$21,277
$21,187
$21,872
— %(3)%
Net credit losses$7,051
$7,211
$8,107
(2)%(11)%
Credit reserve build (release)(1,162)(669)(2,176)(74)69
Provision (release) for unfunded lending commitments(23)37
—
NM
—
Provision for benefits and claims199
212
237
(6)(11)
Provisions for credit losses and for benefits and claims$6,065
$6,791
$6,168
(11)%10 %
Income from continuing operations before taxes$10,411
$10,187
$11,065
2 %(8)%
Income taxes3,473
3,424
3,468
1
(1)
Income from continuing operations$6,938
$6,763
$7,597
3 %(11)%
Noncontrolling interests26
17
3
53
NM
Net income$6,912
$6,746
$7,594
2 %(11)%
Balance Sheet data (in billions of dollars)
   

 
Average assets$399
$395
$388
1 %2 %
Return on average assets1.73%1.71%1.98%

 
Efficiency ratio56
56
56


 
Total EOP assets$396
$405
$404
(2)—
Average deposits331
327
322
1
2
Net credit losses as a percentage of average loans2.37%2.51%2.87%

 
Revenue by business   

 
Retail banking$16,354
$16,941
$18,167
(3)%(7)%
Cards (1)
21,399
21,224
20,938
1
1
Total$37,753
$38,165
$39,105
(1)%(2)%
Income from continuing operations by business   

 
Retail banking$1,776
$1,907
$2,794
(7)%(32)%
Cards (1)
5,162
4,856
4,803
6
1
Total$6,938
$6,763
$7,597
3 %(11)%
(Table continues on next page.)


13


Foreign currency (FX) translation impact     
Total revenue-as reported$37,753
$38,165
$39,105
(1)%(2)%
Impact of FX translation (2)
—
(674)(890)

 
Total revenues-ex-FX$37,753
$37,491
$38,215
1 %(2)%
Total operating expenses-as reported$21,277
$21,187
$21,872
— %(3)%
Impact of FX translation (2)
—
(373)(630)

 
Total operating expenses-ex-FX$21,277
$20,814
$21,242
2 %(2)%
Total provisions for LLR & PBC-as reported$6,065
$6,791
$6,168
(11)%10 %
Impact of FX translation (2)
—
(122)(136)

 
Total provisions for LLR & PBC-ex-FX$6,065
$6,669
$6,032
(9)%11 %
Net income-as reported$6,912
$6,746
$7,594
2 %(11)%
Impact of FX translation (2)
—
(120)(79)

 
Net income-ex-FX$6,912
$6,626
$7,515
4 %(12)%
Foreign currency (FX) translation impact     
Total revenue—as reported$32,697
$31,519
$32,251
4 %(2)%
Impact of FX translation(2)
—
66
(924)  
Total revenues—ex-FX(3)
$32,697
$31,585
$31,327
4 %1 %
Total operating expenses—as reported$17,843
$17,483
$17,199
2 %2 %
Impact of FX translation(2)
—
54
(401)  
Total operating expenses—ex-FX(3)
$17,843
$17,537
$16,798
2 %4 %
Total provisions for LLR & PBC—as reported$7,641
$6,427
$5,469
19 %18 %
Impact of FX translation(2)
—
(1)(214)  
Total provisions for LLR & PBC—ex-FX(3)
$7,641
$6,426
$5,255
19 %22 %
Net income—as reported$3,884
$4,947
$6,204
(21)%(20)%
Impact of FX translation(2)
—
7
(236)  
Net income—ex-FX(3)
$3,884
$4,954
$5,968
(22)%(17)%
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of foreign exchange (FX)FX translation into U.S. dollars at the fourth quarter of 2014 average exchange rates for all periods presented.
NM Not meaningful


14


NORTH AMERICA GCB
North America GCB provides traditional banking and Citi-branded cards and Citi retail services to retail customers and small to mid-size businesses in the U.S. North America GCB’s 849 retail bank branches as of December 31, 2014 are largely concentrated in the greater metropolitan areas of New York, Chicago, Miami, Washington, D.C., Boston, Los Angeles and San Francisco.
At December 31, 2014, North America GCB had approximately 11.7 million retail banking customer accounts, $46.8 billion of retail banking loans and $171.4 billion of deposits. In addition, North America GCB had approximately 111.7 million Citi-branded and Citi retail services credit card accounts, with $114.0 billion in outstanding card loan balances.

In millions of dollars, except as otherwise noted201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012
Net interest revenue$17,200
$16,658
$16,460
3 %1 %
Non-interest revenue2,445
3,118
4,490
(22)(31)
Total revenues, net of interest expense$19,645
$19,776
$20,950
(1)%(6)%
Total operating expenses$9,676
$9,850
$10,204
(2)%(3)%
Net credit losses$4,203
$4,634
$5,756
(9)%(19)%
Credit reserve build (release)(1,241)(1,036)(2,389)(20)57
Provisions for benefits and claims41
60
70
(32)(14)
Provision for unfunded lending commitments(8)6
1
NM
NM
Provisions for credit losses and for benefits and claims$2,995
$3,664
$3,438
(18)%7 %
Income from continuing operations before taxes$6,974
$6,262
$7,308
11 %(14)%
Income taxes2,553
2,352
2,744
9
(14)
Income from continuing operations$4,421
$3,910
$4,564
13 %(14)%
Noncontrolling interests(1)2
1
NM
100
Net income$4,422
$3,908
$4,563
13 %(14)%
Balance Sheet data (in billions of dollars)
  
 


 
Average assets$178
$175
$172
2 %2 %
Return on average assets2.48%2.23%2.65%

 
Efficiency ratio49
50
49


 
Average deposits$170.7
$166.0
$153.9
3
8
Net credit losses as a percentage of average loans2.69%3.09%3.83%

 
Revenue by business  
 


 
Retail banking$4,901
$5,376
$6,687
(9)%(20)%
Citi-branded cards8,282
8,211
8,234
1
—
Citi retail services6,462
6,189
6,029
4
3
Total$19,645
$19,776
$20,950
(1)%(6)%
Income from continuing operations by business  
 


 
Retail banking$349
$411
$1,136
(15)%(64)%
Citi-branded cards2,402
1,942
1,988
24
(2)
Citi retail services1,670
1,557
1,440
7
8
Total$4,421
$3,910
$4,564
13 %(14)%


NM Not meaningful


15


2014 vs. 2013
Net income increased by 13% due to lower net credit losses, higher loan loss reserve releases and lower expenses, partially offset by lower revenues.
Revenues decreased 1%, with lower revenues in retail banking, partially offset by higher revenues in Citi-branded cards and Citi retail services. Net interest revenue increased 3% primarily due to an increase in average loans in Citi retail services driven by the Best Buy portfolio acquisition in September 2013 and continued volume growth in retail banking, which more than offset lower average loans in Citi-branded cards. Non-interest revenue decreased 22%, driven by lower mortgage origination revenues due to significantly lower U.S. mortgage refinancing activity and a continued decline in revenues in Citi retail services, primarily reflecting improving credit and the resulting impact on contractual partner payments, partially offset by a 5% increase in total card purchase sales to $252 billion and gains during the year from branch sales (approximately $130 million).
Retail banking revenues of $4.9 billion decreased 9% due to the lower mortgage origination revenues and spread compression in the deposit portfolios, which began to abate during the latter part of the year, partially offset by continued volume-related growth and the gains from branch sales. Consistent with GCB’s strategy, during 2014, NA GCB closed or sold over 130 branches (a 14% decline from the prior year), with announced plans to sell or close an additional 60 branches in early 2015. Average loans of $46 billion increased 9% and average deposits of $171 billion increased 3%.
Cards revenues increased 2% as average loans of $110 billion increased 3% versus 2013. In Citi-branded cards, revenues increased 1% as a 4% increase in purchase sales and higher net interest spreads, driven by the continued reduction of promotional balances in the portfolio, mostly offset lower average loans (3% decline from 2013). The decline in average loans was driven primarily by the reduction in promotional balances, and to a lesser extent, increased customer payment rates during the year. In addition, while the business experienced modest full rate loan growth during 2014, growth in full rate loan balances began to slow during the latter part of the year. Combined with the continued reduction in promotional balances, NA GCB could experience pressure on full rate loan growth during 2015.
Citi retail services revenues increased 4% primarily due to a 12% increase in average loans driven by the Best Buy acquisition, partially offset by continued declines in fee revenues primarily reflecting higher yields and improving credit and the resulting increase in contractual partner payments. Citi retail services revenues also benefited from lower funding costs, partially offset by a decline in net interest spreads due to a higher percentage of promotional balances within the portfolio. Purchase sales in Citi retail services increased 7% from 2013, driven by the acquisition of the Best Buy portfolio.
With respect to both cards portfolios, as widely publicized, U.S. gas prices declined during 2014, particularly in the fourth quarter. The decline in gas prices has negatively impacted purchase sales in the fuel portfolios, particularly in Citi retail services, and consumer savings from lower gas
prices may not result in higher spending in other spend categories. NA GCB will continue to monitor trends in this area going into 2015.
Expenses decreased 2% as ongoing cost reduction initiatives were partially offset by higher repositioning charges, increased investment spending and an increase in Citi retail services expenses due to the impact of the Best Buy portfolio acquisition. Cost reduction initiatives included the ongoing repositioning of the mortgage business due to the decline in mortgage refinancing activity, as well as continued rationalization of the branch footprint, including reducing the number of overall branches, as discussed above.
Provisions decreased 18% due to lower net credit losses (9%) and higher loan loss reserve releases (21%). Net credit losses declined in Citi-branded cards (down 14% to $2.2 billion) and in Citi retail services (down 2% to $1.9 billion). The loan loss reserve release increased to $1.2 billion due to the continued improvement in Citi-branded cards, partially offset by a lower loan loss reserve release in Citi retail services due to reserve builds for new loans originated in the Best Buy portfolio. Given the improvement in credit within the cards portfolios during 2014, NA GCB would not expect to see similar levels of loan loss reserve releases in 2015.

2013 vs. 2012
Net income decreased 14%, mainly driven by lower revenues and lower loan loss reserve releases, partially offset by lower net credit losses and expenses.
Revenues decreased 6% primarily due to lower retail banking revenues. The decline in retail banking revenues was primarily due to lower mortgage origination revenues driven by the significantly lower U.S. mortgage refinancing activity and ongoing spread compression in the deposit portfolios, partially offset by growth in average deposits, average commercial loans and average retail loans.
Cards revenues increased 1%. In Citi-branded cards, revenues were unchanged as continued improvement in net interest spreads, reflecting higher yields as promotional balances represented a smaller percentage of the portfolio total as well as lower funding costs, were offset by a decline in average loans. Citi retail services revenues increased 3% primarily due to the acquisition of the Best Buy portfolio, partially offset by improving credit and the resulting impact on contractual partner payments.
Expenses decreased 3%, primarily due to lower legal and related costs and repositioning savings, partially offset by highermortgage origination costs and expenses in cards as a result of the Best Buy portfolio acquisition.
Provisions increased 7%, as lower net credit losses in the Citi-branded cards and Citi retail services portfolios were offset by lower loan loss reserve releases ($1.0 billion in 2013 compared to $2.4 billion in 2012), primarily related to cards, as well as reserve builds for new loans originated in the Best Buy portfolio.







16


EMEA GCB
EMEA GCB provides traditional banking and Citi-branded card services to retail customers and small to mid-size businesses, primarily in Central and Eastern Europe and the Middle East. The countries in which EMEA GCB has the largest presence are Poland, Russia and the United Arab Emirates.
At December 31, 2014, EMEA GCB had 137 retail bank branches with approximately 3.1 million retail banking customer accounts, $5.4 billion in retail banking loans, $12.8 billion in deposits, and 2.0 million Citi-branded card accounts with $2.2 billion in outstanding card loan balances.

In millions of dollars, except as otherwise noted201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012
Net interest revenue$899
$948
$1,010
(5)%(6)%
Non-interest revenue459
501
475
(8)5
Total revenues, net of interest expense$1,358
$1,449
$1,485
(6)%(2)%
Total operating expenses$1,283
$1,359
$1,469
(6)%(7)%
Net credit losses$61
$68
$105
(10)%(35)%
Credit reserve build (release)24
(18)(5)NM
NM
Provision for unfunded lending commitments2
—
(1)100
100
Provisions for credit losses$87
$50
$99
74 %(49)%
Income (loss) from continuing operations before taxes$(12)$40
$(83)NM
NM
Income taxes (benefits)(5)5
(22)NM
NM
Income (loss) from continuing operations$(7)$35
$(61)NM
NM
Noncontrolling interests20
11
4
82 %NM
Net income (loss)$(27)$24
$(65)NM
NM
Balance Sheet data (in billions of dollars)
   

 
Average assets$10
$10
$9
— %11 %
Return on average assets(0.27)%0.24%(0.72)%

 
Efficiency ratio94
94
99


 
Average deposits$13.1
$12.6
$12.6
4
—
Net credit losses as a percentage of average loans0.75 %0.85%1.40 %

 
Revenue by business   

 
Retail banking$844
$868
$873
(3)%(1)%
Citi-branded cards514
581
612
(12)(5)
Total$1,358
$1,449
$1,485
(6)%(2)%
Income (loss) from continuing operations by business   

 
Retail banking$(30)$(42)$(109)29 %61 %
Citi-branded cards23
77
48
(70)60
Total$(7)$35
$(61)NM
NM
Foreign currency (FX) translation impact   

 
Total revenues-as reported$1,358
$1,449
$1,485
(6)%(2)%
Impact of FX translation (1)
—
(72)(77)

 
Total revenues-ex-FX$1,358
$1,377
$1,408
(1)%(2)%
Total operating expenses-as reported$1,283
$1,359
$1,469
(6)%(7)%
Impact of FX translation (1)
—
(59)(79)

 
Total operating expenses-ex-FX$1,283
$1,300
$1,390
(1)%(6)%
Provisions for credit losses-as reported$87
$50
$99
74 %(49)
Impact of FX translation (1)
—
(6)(6)

 
Provisions for credit losses-ex-FX$87
$44
$93
98 %(53)%
Net income (loss)-as reported$(27)$24
$(65)NM
NM
Impact of FX translation (1)
—
7
9


 
Net income (loss)-ex-FX$(27)$31
$(56)NM
NM
(1)Reflects the impact of foreign exchange (FX) translation into U.S. dollars at the fourth quarter of 20142017 average exchange rates for all periods presented.
NM(3)Not meaningfulPresentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful


NORTH AMERICA GCB
North America GCB provides traditional retail banking, including commercial banking, Citi-branded cards products and Citi retail services card products to retail customers and small to mid-size businesses, as applicable, in the U.S. North America GCB’s U.S. cards product portfolio includes its proprietary portfolio (including the Citi Double Cash, Thank You and Value cards) and co-branded cards (including, among others, American Airlines and Costco) within Citi-branded cards as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Best Buy and Macy’s) within Citi retail services.
As previously announced, the Hilton Honors co-brand credit card partnership with Citi was scheduled to terminate as of year-end 2017. On October 23, 2017, Citi signed an agreement to sell the Hilton credit card portfolio (approximately $1.1 billion in outstanding loan balances in Citi-branded cards as of December 31, 2017) to American Express. In connection with the sale agreement, the existing partnership was extended through the closing date. The sale was completed on January 30, 2018, resulting in a pretax gain of approximately $150 million, which approximates one year of revenues from the portfolio. The sale will impact North America GCB’s quarterly comparisons in 2018.
As of December 31, 2017, North America GCB’s 694 retail bank branches are concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of December 31, 2017, North America GCB had approximately 9.2 million retail banking customer accounts, $56.0 billion in retail banking loans and $182.5 billion in deposits. In addition, North America GCB had approximately 121 million Citi-branded and Citi retail services credit card accounts with $139.7 billion in outstanding card loan balances.
In millions of dollars, except as otherwise noted201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Net interest revenue$18,881
$18,131
$17,409
4 %4 %
Non-interest revenue1,381
1,628
2,106
(15)(23)
Total revenues, net of interest expense$20,262
$19,759
$19,515
3 %1 %
Total operating expenses$10,160
$10,058
$9,369
1 %7 %
Net credit losses$4,796
$3,919
$3,751
22 %4 %
Credit reserve build (release)869
653
(339)33
NM
Provision for unfunded lending commitments4
6
8
(33)(25)
Provision for benefits and claims33
34
39
(3)(13)
Provisions for credit losses and for benefits and claims$5,702
$4,612
$3,459
24 %33 %
Income from continuing operations before taxes$4,400
$5,089
$6,687
(14)%(24)%
Income taxes2,357
1,851
2,499
27
(26)
Income from continuing operations$2,043
$3,238
$4,188
(37)%(23)%
Noncontrolling interests(1)(2)3
50
NM
Net income$2,044
$3,240
$4,185
(37)%(23)%
Balance Sheet data (in billions of dollars)
  
 
  
Average assets$248
$228
$208
9 %10 %
Return on average assets0.82%1.42%2.01%  
Efficiency ratio50
51
48
  
Average deposits$184.4
$183.2
$180.7
1
1
Net credit losses as a percentage of average loans2.58%2.29%2.39%  
Revenue by business  
 
  
Retail banking$5,257
$5,222
$5,312
1 %(2)%
Citi-branded cards8,578
8,150
7,781
5
5
Citi retail services6,427
6,387
6,422
1
(1)
Total$20,262
$19,759
$19,515
3 %1 %
Income from continuing operations by business  
 
  
Retail banking$455
$533
$616
(15)%(13)%
Citi-branded cards1,019
1,441
2,057
(29)(30)
Citi retail services569
1,264
1,515
(55)(17)
Total$2,043
$3,238
$4,188
(37)%(23)%

NM Not meaningful



17


The discussion of the results of operations for EMEA 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. Citi believes the presentation of EMEA GCB’s results excluding the impact of FX translation is a more meaningful depiction of the underlying fundamentals of the business. For a reconciliation of certain of these metrics to the reported results, see the table above.

20142017 vs. 20132016
Net income declined $58decreased 37% and was impacted by an estimated $750 million non-cash charge recorded in the tax line due to athe impact of Tax Reform (for additional information, see “Impact of Tax Reform” above). Excluding the impact of Tax Reform, net lossincome decreased 14% due to higher cost of $27 million ascredit and slightly higher credit costs and lower revenues wereexpenses, partially offset by lower expenses.higher revenues.
Revenues decreased 1%increased 3%, driven by lowerhigher revenues resulting from the sales of Citi’s consumer operations in Turkey and Romania during 2013, spread compression and the absence of the prior-year gain related to the Turkey sale, largely offset by volume growth. Net interest revenue was roughly unchanged as spread compression was offset by growth in average retail loans. Non-interest revenue decreased 4%, mainly reflecting lower revenues due to the sales of the consumer operations in Turkey and Romania, partially offset by higher investment fees due to increased sales of higher spread investment products.across all businesses.
Retail banking revenues increased 2%1%. Excluding the decline in mortgage revenues (down of 32%), retail banking revenues were up 9%, driven by growth in checking deposits, continued growth in loans (average loans up 3%) and assets under management (up 14%) and increased commercial banking activity, as well as a benefit from higher interest rates. The decline in mortgage revenues was driven by lower origination activity and higher cost of funds, reflecting the higher interest rate environment, as well as the impact of the previously announced sale of a portion of Citi’s mortgage servicing rights.
Cards revenues increased 3%. In Citi-branded cards, revenues increased 5%, primarily duereflecting the acquisition of the Costco portfolio (completed June 17, 2016), as well as modest growth in interest-earning balances, partially offset by the continued run-off of non-core portfolios and the higher cost to increasesfund growth in investmenttransactor and promotional balances, given the higher interest rates. Average loans grew 15% and purchase sales (3%)grew 28%. North America GCB expects that additional terms in certain partnership contracts that go into effect in 2018 will negatively impact Citi-branded cards revenues going forward.
Citi retail services revenues increased 1%, average deposits (5%) and average retail loans (11%),as continued loan growth was partially offset by the impact of the previously disclosed renewal and extension of certain partnerships within the portfolio, as well as the absence of gains on sales of two cards portfolios in 2016. Average loans grew 4% and purchase sales grew 2%.
Expenses increased 1%, driven by the consumer operationsaddition of the Costco portfolio, higher volume-related expenses and investments, partially offset by efficiency savings. Also included in Turkeyexpenses is an $80 million provision for remediation costs related to a Credit Card Accountability Responsibility and Romania. Disclosure Act (CARD Act) matter (for additional information, see “Corporate/Other” below and Note 27 to the Consolidated Financial Statements).
Provisions increased 24% from the prior year, driven by higher net credit losses and a higher net loan loss reserve build.
Net credit losses increased 22% to $4.8 billion, largely driven by higher net credit losses in Citi-branded cards (up 28% to $2.4 billion) and Citi retail services (up 19% to $2.2 billion). The increase in net credit losses primarily reflected volume growth and seasoning in both cards portfolios, as well as the impact of acquiring the Costco portfolio in Citi-branded cards.
The net loan loss reserve build in 2017 was $873 million (compared to a build of $659 million in the prior year), driven by volume growth and seasoning in both cards portfolios, as
well as the increase in net flow rates in later delinquency buckets leading to higher inherent credit loss expectations, primarily in Citi retail services.
For additional information on North America GCB’s retail banking portfolios, including commercial banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.

2016 vs. 2015
Net income decreased by 23% due to significantly higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 1%, reflecting higher revenues in Citi-branded cards, partially offset by lower revenues in retail banking and Citi retail services. Retail banking revenues decreased 2%. Excluding the previously disclosed $110 million gain on sale of branches in Texas in the first quarter of 2015, retail banking revenues were largely unchanged, as lower mortgage revenues were offset by continued volume growth, including growth in average loans (9%) and average checking deposits (9%).
Cards revenues declinedincreased 2%. In Citi-branded cards, revenues increased 5%, primarily reflecting the acquisition of the Costco portfolio as well as volume growth, partially offset by higher investment-related acquisition and rewards costs and the impact of higher promotional balances. Citi retail services revenues decreased 1%, as the impact of the renewal and extension of several partnerships within the portfolio as well as the absence of revenues from portfolio exits were partially offset by modest growth in average loans.
Expenses increased 7%, primarily due to the Costco acquisition, continued investment spending, volume growth, higher repositioning charges and regulatory and compliance costs, partially offset by ongoing efficiency savings and lower legal and related costs.
Provisions increased 33%, driven by a net loan loss reserve build, compared to a loan loss reserve release in the prior year, and higher net credit losses. The net loan loss reserve build mostly reflected reserve builds in the cards portfolios and was primarily driven by the impact of the acquisition of the Costco portfolio, as well as volume growth and seasoning of the portfolios and the absence of nearly $400 million of reserve releases in 2015 as credit normalized. The reserve build was also due to the estimated impact of proposed regulatory guidelines on third-party debt collections.
The increase in net credit losses was driven by increases in cards and retail banking. In retail banking, net credit losses grew 37%, primarily due to an increase related to Citi’s energy and energy-related exposures within the commercial banking portfolio, which was largely offset by releases of previously established loan loss reserves. In Citi-branded cards, net credit losses increased 1%, driven by volume growth, including the impact of Costco beginning in the fourth quarter of 2016, seasoning and the impact of the regulatory changes on collections. In Citi retail services, net credit losses increased 6%, primarily due to spread compression, interest rate caps, particularly in Poland,portfolio growth and seasoning and the impact of the sales of the consumer operations in Turkey and Romania. Continued regulatory changes including caps on interchange rates in Poland, and spread compression will likely continue to negatively impact revenues in EMEA GCB in 2015.
Expenses decreased 1%, primarily due to the impact of the sales of the consumer operations in Turkey and Romania and efficiency savings, which were largely offset by higher repositioning charges, continued investment spending on new internal operating platforms and volume-related expenses.
Provisions increased 98% to $87 million driven by a loan loss reserve build mainly related to Citi’s consumer business in Russia due to the ongoing economic situation in Russia (as discussed below), partially offset by a 1% decline in net credit losses.

Russia
Citi’s ability to grow its consumer business in Russia has been negatively impacted by actions Citi has taken to mitigate its risks and exposures in response to the ongoing political instability, such as limiting its exposure to additional credit risk. In addition, the ongoing economic situation in Russia, coupled with consumer overleveraging in the market, has negatively impacted consumer credit, particularly delinquencies in theRussian card and personal installment loan portfolios (which totaled $1.2 billion as of December 31, 2014, or 0.4% of total GCB loans), and Citi currently expects these trends could continue into 2015. Citi has taken these trends into consideration in determining its allowance for loan loss reserves. Any further actions Citi may take to mitigate its exposures or risks, or the imposition of additional sanctions (such as asset freezes) involving Russia or against Russian entities, business sectors, individuals or otherwise, could further negatively impact the results of operations of EMEA GCB. For additional information on Citi’s exposures in Russia, see “Managing Global Risk—Country and Cross-Border Risk” below.


2013 vs. 2012
Net income of $31 million compared to a net loss of $56 million in 2012 as lower expenses and lower net credit losses were partially offset by lower revenues, primarily due to the impact of the sales of Citi’s consumer operations in Turkey and Romania.
Revenues decreased 2%, mainly driven by the lower revenues resulting from the sales of the consumer operations in Turkey and Romania, partially offset by higher volumes in core markets and a gain related to the Turkey sale.
Retail banking revenues decreased 1%, driven by the sales of the consumer operations in Turkey and Romania, partially offset by increases in average deposits (1%) and average retail loans (13%) as well as the gain related to the Turkey sale. Cards revenues declined 4%, primarily due to spread compression and interest rate caps, particularly in Poland, and an 8% decrease in average cards loans, primarily due to the sales of the consumer operations in Turkey and Romania.
Expenses declined 6%, primarily due to repositioning savings as well as lower repositioning charges, partially offset by higher volume-related expenses and continued investment spending on new internal operating platforms.
Provisions declined 53% due to a 37% decrease in net credit losses largely resulting from the impact of the sales of the consumer operations in Turkey and Romania and a net credit recovery in the second quarter 2013.


collections.




18


LATIN AMERICA GCB
Latin America GCB provides traditional retail banking, including commercial banking, and its Citi-branded card servicesproducts to retail customers and small to mid-size businesses with the largest presence in Mexico and Brazil. Latin America GCB includes branch networks throughout Latin America as well as Banco Nacional de Mexico, or Banamex,through Citibanamex, one of Mexico’s second-largest bank, with 1,542 branches as of December 31, 2014. As previously announced, in the fourth quarter of 2014, Citi entered into an agreement to sell its consumer business in Peru (for additional information, see “Executive Summary” and “Global Consumer Banking” above).largest banks.
At December 31, 2014,2017, Latin America GCB had 1,8291,479 retail branches in Mexico, with approximately 31.527.7 million retail banking customer accounts, $27.7$19.9 billion in retail banking loans and $45.5$27.1 billion in deposits. In addition, the business had approximately 8.85.6 million Citi-branded card accounts with $10.9$5.4 billion in outstanding loan balances.

On November 27, 2017, Citi entered into an agreement to sell its Mexico asset management business reported within Latin America GCB. For additional information on this sale, see Note 2 to the Consolidated Financial Statements.
In millions of dollars, except as otherwise noted201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012		201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Net interest revenue$6,230
$6,286
$6,041
(1)%4 %$3,638
$3,431
$3,849
6 %(11)%
Non-interest revenue2,974
3,030
2,701
(2)12
1,514
1,491
1,873
2
(20)
Total revenues, net of interest expense$9,204
$9,316
$8,742
(1)%7 %$5,152
$4,922
$5,722
5 %(14)%
Total operating expenses$5,422
$5,392
$5,301
1 %2 %$2,920
$2,838
$3,251
3 %(13)%
Net credit losses$2,008
$1,727
$1,405
16 %23 %$1,117
$1,040
$1,280
7 %(19)%
Credit reserve build (release)151
376
254
(60)48
125
83
33
51
NM
Provision (release) for unfunded lending commitments(1)—
—
(100)—
(1)1
(2)NM
NM
Provision for benefits and claims158
152
167
4
(9)83
72
69
15
4
Provisions for loan losses and for benefits and claims (LLR & PBC)$2,316
$2,255
$1,826
3 %23 %
Provisions for credit losses and for benefits and claims (LLR & PBC)$1,324
$1,196
$1,380
11 %(13)%
Income from continuing operations before taxes$1,466
$1,669
$1,615
(12)%3 %$908
$888
$1,091
2 %(19)%
Income taxes262
332
233
(21)42
318
255
265
25
(4)
Income from continuing operations$1,204
$1,337
$1,382
(10)%(3)%$590
$633
$826
(7)%(23)%
Noncontrolling interests7
4
(2)75
NM
5
5
3
—
67
Net income$1,197
$1,333
$1,384
(10)%(4)%$585
$628
$823
(7)%(24)%
Balance Sheet data (in billions of dollars)
  
 


   
 
 
Average assets$80
$82
$80
(2)%3 %$45
$49
$53
(8)%(8)%
Return on average assets1.50%1.65%1.82%

 1.30%1.28%1.55% 
Efficiency ratio59
58
61


 57
58
57
 
Average deposits$46.4
$45.6
$44.5
2
2
$27.4
$25.7
$26.7
7
(4)
Net credit losses as a percentage of average loans4.85%4.19%3.83%

 4.42%4.32%4.87% 
Revenue by business 

   
Retail banking$6,000
$6,133
$5,841
(2)%5 %$3,690
$3,447
$3,933
7 %(12)%
Citi-branded cards3,204
3,183
2,901
1
10
1,462
1,475
1,789
(1)(18)
Total$9,204
$9,316
$8,742
(1)%7 %$5,152
$4,922
$5,722
5 %(14)%
Income from continuing operations by business  
 


   
 
 
Retail banking$719
$752
$837
(4)%(10)%$410
$355
$520
15 %(32)%
Citi-branded cards485
585
545
(17)7
180
278
306
(35)(9)
Total$1,204
$1,337
$1,382
(10)%(3)%$590
$633
$826
(7)%(23)%
Foreign currency (FX) translation impact  
 


 
Total revenues-as reported$9,204
$9,316
$8,742
(1)%7 %
FX translation impact  
 
 
Total revenues—as reported$5,152
$4,922
$5,722
5 %(14)%
Impact of FX translation (1)
—
(446)(426)

 —
(45)(906) 
Total revenues-ex-FX$9,204
$8,870
$8,316
4 %7 %
Total operating expenses-as reported$5,422
$5,392
$5,301
1 %2 %
Total revenues—ex-FX(2)
$5,152
$4,877
$4,816
6 %1 %
Total operating expenses—as reported$2,920
$2,838
$3,251
3 %(13)%
Impact of FX translation (1)
—
(232)(297)

 —
(21)(376) 
Total operating expenses-ex-FX$5,422
$5,160
$5,004
5 %3 %
Provisions for LLR & PBC-as reported$2,316
$2,255
$1,826
3 %23 %
Total operating expenses—ex-FX(2)
$2,920
$2,817
$2,875
4 %(2)%
Provisions for LLR & PBC—as reported$1,324
$1,196
$1,380
11 %(13)%
Impact of FX translation (1)
—
(100)(103)

 —
(10)(211) 
Provisions for LLR & PBC-ex-FX$2,316
$2,155
$1,723
7 %25 %
Net income-as reported$1,197
$1,333
$1,384
(10)%(4)%
Provisions for LLR & PBC—ex-FX(2)
$1,324
$1,186
$1,169
12 %1 %
Net income—as reported$585
$628
$823
(7)%(24)%
Impact of FX translation (1)
—
(97)(31)

 —
(10)(244)  
Net income-ex-FX$1,197
$1,236
$1,353
(3)%(9)%
Net income—ex-FX(2)
$585
$618
$579
(5)%7 %
(1)Reflects the impact of foreign exchange (FX)FX translation into U.S. dollars at the fourth quarter of 20142017 average exchange rates for all periods presented.
(2)Presentation of this metric excluding FX translation is a non-GAAP financial measure.

NM Not Meaningfulmeaningful



19





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. Citi believes the presentation of Latin America GCB’s results excluding the impact of FX translation is a more meaningful depiction of the underlying fundamentals of the business. For a reconciliation of certain of these metrics to the reported results, see the table above.

20142017 vs. 20132016
Net income decreased 3% as5%, primarily driven by higher expenses and credit costs wereand expenses, partially offset by higher revenues.
Revenues increased 4%6%, primarily due to volume growth and spread and fee growthdriven by higher revenues in Mexico, partially offset by continued spread compression in the region and slower overall economic growth in certain Latin America markets, including Mexico and Brazil. Net interest revenue increased 4% due to increased volumes and stable spreads in Mexico, partially offset by the ongoing spread compression in other Latin America markets. Non-interest revenue increased 3%, primarily due to higher fees from increased volumes in retail banking and cards.
retail banking.
Retail banking revenues increased 3% as8%, reflecting continued growth in volumes, including an increase in average deposits (8%), average loans increased 6%(6%), investment sales increased 19% and average deposits increased 6%, partially offset by lower spreads in Brazil and Colombia. Cards revenues increased 6% as average loans increased 5% and purchase sales increased 1%, excluding the impact of Credicard’s results in the prior year period (for additional information, see Note 2 to the Consolidated Financial Statements). Thereflecting growth across most portfolios, an increase in cards revenues was partially offset by lower economic growth and slowing cards purchase sales in Mexico due to the previously disclosed fiscal reforms enacted in 2013 in Mexico, which included, among other things, higher income and other taxes that negatively impacted consumer behavior and spending. Citi expects these trends,assets under management (6%), as well as spread compression, could continueimproved deposit spreads, driven by higher interest rates. Cards revenues were largely unchanged, as continued improvement in full-rate revolving loans in the second half of 2017 was offset by a higher cost to negatively impact revenues in Latin America GCB in 2015.fund non-revolving loans. Purchase sales grew 8% and average card loans grew 5%.
Expenses increased 5%4%, primarily due to mandatory salary increases in certain countries, higher legalas ongoing investment spending and related costs, increased repositioning charges and higher technology spending,business growth were partially offset by productivityefficiency savings. Citi continues to execute on its investment plans for Citibanamex (totaling more than $1 billion through 2020), including initiatives to modernize the branch network, enhance digital capabilities and repositioning savings.upgrade core operating platforms.
Provisions increased 7%12%, primarily due todriven by higher net credit losses which were partially offset by(8%) and a lower$42 million increase in the net loan loss reserve build. Net credit losses increased 22%,build, largely reflecting volume growth and seasoning. The increase in the loan loss reserve build was also driven by portfolio growth and continued seasoninga Mexico earthquake-related loan loss reserve build in the Mexico cards portfolio. Net credit losses were also impacted by both the slower economic growth and fiscal reforms in Mexico (as discussed above) as well as a $71 million charge-off in the fourththird quarter of 2014 related to Citi’s homebuilder exposure in Mexico, which was offset by a related release of previously established loan loss reserves and thus neutral to the cost of credit. The continued impact of the fiscal reforms and economic slowdown in Mexico is likely to cause net credit losses in2017 (approximately $25 million).
For additional information on LatinAmerica GCB to remain elevated.’s retail banking portfolios, including commercial banking, and its Citi-branded cards portfolio, see “Credit Risk—Consumer Credit” below.
For additional information on potential macroeconomic
and geopolitical challenges and other risks facing Latin
America GCB, see “Risk Factors—Strategic Risks” below.



 

Argentina/Venezuela
For additional information on Citi’s exposures in Argentina and Venezuela and the potential impact to Latin America GCB results of operations as a result of certain developments in these countries, see “Managing Global Risk—Country and Cross-Border Risk” below.

20132016 vs. 20122015
Net income decreased 9% asincreased 7%, driven by higher revenues and lower expenses, partially offset by higher credit costs,costs.
Revenues increased 1%, driven by overall volume growth, largely offset by the absence of a $160 million gain on sale related to the sale of the merchant acquiring business in Mexico in 2015. Excluding this gain, revenues increased 5%, primarily due to higher revenues in retail banking, partially offset by lower revenues in cards. Retail banking revenues increased 3%. Excluding the gain on sale related to the merchant acquiring business, revenues increased 9%, driven by volume growth. Cards revenues decreased 4%, driven by the impact of higher payment rates, partially offset by increased purchase sales.
Expenses decreased 2%, as lower legal and related expenses, the impact of business divestitures and a higher effective tax rateongoing efficiency savings were partially offset by higher revenues.
Revenues increased 7%, primarily due to volume growth in retail banking and cards, partially offset by spread compression. Retail banking revenues increased 5% as average loans increased 12%, investment sales increased 13% and average deposits increased 2%. Cards revenues increased 10% as average loans increased 10% and purchase sales increased 12%, excluding the impact of Credicard’s results.
Expenses increased 3% due to increased volume-related costs, mandatory salary increases in certain countries and higher regulatory costs, partially offset by lower repositioning charges and higher repositioning savings.ongoing investment spending.
Provisions increased 25%1%, primarily due todriven by a higher net credit losses as well as a higher loan loss reserve build. Netbuild, partially offset by lower net credit losses increased 25%, primarily in the Mexico cards and personal loan portfolios, reflecting both volume growth and portfolio seasoning.losses. The net loan loss reserve build increased 52%, primarily$56 million, largely due to an increase in reserves in Mexico related to the top three Mexican homebuilders, with the remainder due to portfolio growth and seasoning and the impact of potentialvolume growth. Net credit losses related to hurricanesdecreased 5%, largely reflecting continued lower net credit losses in the region during September 2013.cards portfolio, partially offset by higher net credit losses in the personal loan portfolio.









20


ASIA GCB
Asia GCB provides traditional retail banking, including commercial banking, and its Citi-branded card servicesproducts to retail customers and small to mid-size businesses, with the largest Citi presence in Korea, Singapore, Australia, Hong Kong, Taiwan, India, Japan, Malaysia, Indonesia, Thailand and the Philippines as applicable. As of December 31, 2014. As previously announced, Citi entered into an agreement2017, Citi’s most significant revenues in December 2014 to sell its retail banking business in Japan (for additional information, see “Executive Summary”the region were from Singapore, Hong Kong, Korea, Australia, India, Taiwan, Indonesia, Philippines, Thailand and “Global Consumer Banking” above).
At December 31, 2014,Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily in Poland, Russia and the United Arab Emirates.
At December 31, 2017, on a combined basis, the businesses had 465278 retail branches, approximately 16.416.0 million retail banking customer accounts, $71.8$70.0 billion in retail banking loans and $77.9$97.7 billion in deposits (excluding approximately $21 billion of deposits reclassified to held-for-sale as a result of Citi’s agreement in December 2014 to sell its Japan retail banking business).deposits. In addition, the businessbusinesses had approximately 16.516.4 million Citi-branded card accounts with $18.4$19.8 billion in outstanding loan balances.

In millions of dollars, except as otherwise noted(1)201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012		201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Net interest revenue$4,581
$4,756
$5,154
(4)%(8)%$4,668
$4,463
$4,494
5 %(1)%
Non-interest revenue2,965
2,868
2,774
3
3
2,615
2,375
2,520
10
(6)
Total revenues, net of interest expense$7,546
$7,624
$7,928
(1)%(4)%$7,283
$6,838
$7,014
7 %(3)%
Total operating expenses$4,896
$4,586
$4,898
7 %(6)%$4,763
$4,587
$4,579
4 %— %
Net credit losses$779
$782
$841
— %(7)%$649
$651
$721
— %(10)%
Credit reserve build (release)(96)9
(36)NM
NM
(29)(28)(89)(4)69
Provision for unfunded lending commitments(16)31
—
NM
—
Provisions for loan losses$667
$822
$805
(19)%2 %
Provision (release) for unfunded lending commitments(5)(4)(2)(25)(100)
Provisions for credit losses$615
$619
$630
(1)%(2)%
Income from continuing operations before taxes$1,983
$2,216
$2,225
(11)%— %$1,905
$1,632
$1,805
17 %(10)%
Income taxes663
735
513
(10)43
645
549
605
17
(9)
Income from continuing operations$1,320
$1,481
$1,712
(11)%(13)%$1,260
$1,083
$1,200
16 %(10)%
Noncontrolling interests—
—
—
—
—
5
4
4
25
—
Net income$1,320
$1,481
$1,712
(11)%(13)%$1,255
$1,079
$1,196
16 %(10)%
Balance Sheet data (in billions of dollars)
  
 


   
 
 
Average assets$131
$129
$127
2 %2 %$125
$119
$117
5 %2 %
Return on average assets1.01%1.15%1.35%

 1.00%0.91%1.02% 
Efficiency ratio65
60
62


 65
67
65
 
Average deposits$101.2
$102.6
$110.8
(1)(7)$94.6
$89.5
$87.7
6
2
Net credit losses as a percentage of average loans0.84%0.88%0.95%

 0.76%0.77%0.81% 
Revenue by business 

   
Retail banking$4,609
$4,564
$4,766
1 %(4)%$4,431
$4,247
$4,409
4 %(4)%
Citi-branded cards2,937
3,060
3,162
(4)(3)2,852
2,591
2,605
10
(1)
Total$7,546
$7,624
$7,928
(1)%(4)%$7,283
$6,838
$7,014
7 %(3)%
Income from continuing operations by business 

   
Retail banking$738
$786
$930
(6)%(15)%$808
$678
$739
19 %(8)%
Citi-branded cards582
695
782
(16)(11)452
405
461
12
(12)
Total$1,320
$1,481
$1,712
(11)%(13)%$1,260
$1,083
$1,200
16 %(10)%
Foreign currency (FX) translation impact 

 
Total revenues-as reported$7,546
$7,624
$7,928
(1)%(4)%
Impact of FX translation (1)
—
(156)(387)

 
Total revenues-ex-FX$7,546
$7,468
$7,541
1 %(1)%
Total operating expenses-as reported$4,896
$4,586
$4,898
7 %(6)%
Impact of FX translation (1)
—
(82)(254)

 
Total operating expenses-ex-FX$4,896
$4,504
$4,644
9 %(3)%
Provisions for loan losses-as reported$667
$822
$805
(19)%2 %
Impact of FX translation (1)
—
(16)(27)

 
Provisions for loan losses-ex-FX$667
$806
$778
(17)%4 %
Net income-as reported$1,320
$1,481
$1,712
(11)%(13)%
Impact of FX translation (1)
—
(30)(57)

 
Net income-ex-FX$1,320
$1,451
$1,655
(9)%(12)%

FX translation impact     
Total revenues—as reported$7,283
$6,838
$7,014
7 %(3)%
Impact of FX translation(2)
—
111
(18)  
Total revenues—ex-FX(3)
$7,283
$6,949
$6,996
5 %(1)%
Total operating expenses—as reported$4,763
$4,587
$4,579
4 %— %
Impact of FX translation(2)
—
75
(25)  
Total operating expenses—ex-FX(3)
$4,763
$4,662
$4,554
2 %2 %
Provisions for credit losses—as reported$615
$619
$630
(1)%(2)%
Impact of FX translation(2)
—
9
(3)  
Provisions for credit losses—ex-FX(3)
$615
$628
$627
(2)%— %
Net income—as reported$1,255
$1,079
$1,196
16 %(10)%
Impact of FX translation(2)
—
17
8
  
Net income—ex-FX(3)
$1,255
$1,096
$1,204
15 %(9)%

(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(2)Reflects the impact of foreign exchange (FX)FX translation into U.S. dollars at the fourth quarter of 20142017 average exchange rates for all periods presented.
NM(3)Not meaningfulPresentation of this metric excluding FX translation is a non-GAAP financial measure.







21


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. Citi believes the presentation of Asia GCB’s results excluding the impact of FX translation is a more meaningful depiction of the underlying fundamentals of the business. For a reconciliation of certain of these metrics to the reported results, see the table above.

20142017 vs. 20132016
Net income increased 15%, reflecting higher revenues and lower cost of credit, partially offset by higher expenses.
Revenues increased 5%, driven by improvement in cards and wealth management revenues, partially offset by continued lower retail lending revenues.
Retail banking revenues increased 3%, primarily due to the continued improvement in wealth management revenues, partially offset by the repositioning of the retail loan portfolio. Wealth management revenues increased due to improvement in investor sentiment, stronger equity markets and increases in assets under management (18%) and investment sales (38%). Average deposits increased 5%. The increase in revenues was partially offset by the lower retail lending revenues (down 4%), reflecting continued lower average loans (1%) due to the continued optimization of this portfolio away from lower yielding mortgage loans to focus on growing higher-return personal loans.
Cards revenues increased 8%, reflecting 5% growth in average loans and 7% growth in purchase sales, both of which benefited from the previously disclosed portfolio acquisition in Australia in 2017, as well as modest gains in 2017 related to sales of merchant acquiring businesses in certain countries.
Expenses increased 2%, resulting from volume growth and ongoing investment spending, partially offset by efficiency savings.
Provisions decreased 2%, primarily driven by a decrease in net credit losses.
For additional information on AsiaGCB’s retail banking portfolios, including commercial banking, and its Citi-branded cards portfolio, see “Credit Risk—Consumer Credit” below.

2016 vs. 2015
Net income decreased 9%, primarily due to higher expenses, partially offset byreflecting lower credit costsrevenues and higher revenues.
Revenues increased 1%, as higher non-interest revenue was partially offset by a decline in net interest revenue. Non-interest revenue increased 5%, primarily driven by higher fee revenues (largely due to the previously disclosed distribution agreement that commenced during the first quarter of 2014), partially offset by a decline in investment sales revenues. Net interest revenue declined 2%, driven by the ongoing impact of regulatory changes, continued spread compression and the repositioning of the franchise in Korea.
Retail banking revenues increased 2%, due to the higher insurance fee revenues, partially offset by lower investment sales revenues and the repositioning of the franchise in Korea. Investment sales revenues decreased 2%, due to weaker investor sentiment reflecting overall market trends and strong prior year performance, particularly in the first half of 2013. Citi expects investment sales revenues will continue to reflect the overall capital markets environment in the region, including seasonal trends. Average retail deposits increased 1% (2% excluding Korea) and average retail loans increased 7% (9% excluding Korea).
Cards revenues decreased 1%, due to the impact of regulatory changes, particularly in Korea, Indonesia and Singapore, spread compression and customer deleveraging, largely offset by a 2% increase in average loans and a 5% increase (8% excluding Korea) in purchase sales driven by growth in China, India, Singapore and Hong Kong.
While repositioning in Korea continued to have a negative impact on year-over-year revenue comparisons in Asia GCB, revenues in Korea largely stabilized in the second half of 2014. Citi expects spread compression and regulatory changes in several markets across the region will continue to have a negative impact on Asia GCB revenues in 2015.
Expenses increased 9%, primarily due to higher repositioning charges in Korea, investment spending and volume-related growth, partially offset by higher efficiency savings.
Provisions decreased 17%, primarily due to higher loan loss reserve releases. Overall credit quality remained stable across the region during 2014.

2013 vs. 2012
Net income decreased 12%, primarily due to a higher effective tax rate and lower revenues, partially offset by lower expenses.
Revenues decreased 1%, asreflecting lower net interest revenueretail banking revenues, partially offset by higher cards revenues. Retail banking revenues decreased 2%, mainly due to a 5% decrease in wealth management revenues due to lower client activity, modestly lower investment assets under management and a decline in average loans. The decline in revenues was partially offset by higher non-interest revenue. Net interest revenue declined 5%, primarily driven by spread compression and the repositioning of the franchise in Korea. Non-interest revenue increased 7%, mainly driven by growth in investment sales volume, despite a decrease indeposit volumes in the second half of the year due to investor sentiment, reflecting overall market uncertainty. Retail banking revenues decreased 3%, primarily driven by spread compression and the impact of regulatory changes, partially offset by a 12% increase in investment saleshigher insurance revenues. Cards revenues increased 2%1%, as cards purchase sales increased 7% withdriven by continued improvement in yields, modestly abating regulatory headwinds and modest volume growth across the region, partially offset by thedue to continued impact of regulatory changes and customer deleveraging.stabilizing payment rates.
Expenses declined 3%increased 2%, as lowerprimarily due to higher repositioning chargescosts, higher regulatory and efficiencycompliance costs and repositioning savings wereincreased investment spending, partially offset by increased investment spending, particularly in China cards.efficiency savings.
Provisions increased 4%, reflecting a higherwere largely unchanged as lower net loan loss reserve build due to volume growth in China, Hong Kong, India and Singapore as well as regulatory requirements in Korea, partiallyreleases were offset by lower net credit losses.losses, primarily in the commercial portfolio.




22

INSTITUTIONAL CLIENTS GROUP

Institutional Clients Group (ICG) includes Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.
ICG revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients in clearing transactions, providing brokerage and investment banking services and other such activities. Revenue generated from these activities is recorded in Commissions and fees and Investment banking. Revenue is also generated from transaction processing and assets under custody and administration. Revenue generated from these activities is primarily recorded in Administration and other fiduciary fees. In addition, as a market maker, ICG facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions(for additional information on Principal transactions revenue, see Note 6 to the Consolidated Financial Statements).Other primarily includes mark-to-market gains and losses on certain credit derivatives, gains and losses on available-for-sale (AFS) securities and other non-recurring gains and losses. Interest income earned on inventory and loansassets held, less interest paid to customers on deposits and long- and short-term debt, is recorded as Net interest revenue. Revenue is also generated from transaction processing
The amount and assets under custodytypes of Markets revenues are impacted by a variety of interrelated factors, including market liquidity; changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and administration.credit spreads, as well as their implied volatilities; investor confidence; and other macroeconomic conditions. Assuming all other market conditions do not change, increases in client activity levels or bid/offer spreads generally result in increases in revenues. However, changes in market conditions can significantly impact client activity levels, bid/offer spreads and the fair value of product inventory. For example, a decrease in market liquidity may increase bid/offer spreads, decrease client activity levels and widen credit spreads on product inventory positions.
ICG’s management of the Markets businesses involves daily monitoring and evaluating of the above factors at the trading desk as well as the country level. ICG does not separately track the impact on total Markets revenues of the volume of transactions, bid/offer spreads, fair value changes of product inventory positions and economic hedges because, as noted above, these components are interrelated and are not deemed useful or necessary individually to manage the Markets businesses at an aggregatelevel.
In the Markets businesses, client revenues are those revenues directly attributable to client transactions at the time of inception, including commissions, interest or fees earned. Client revenues do not include the results of client facilitation activities (for example, holding product inventory in anticipation of client demand) or the results of certain economic hedging activities.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in over 9598 countries and jurisdictions. At December 31, 2014,2017, ICG had approximately $1.0$1.3 trillion of assets and $559$640 billion of deposits, while two of its businesses, businesses—securities services and issuer services, services—managed approximately $16.2$17.4 trillion of assets under custody compared to $14.3$15.2 trillion at the end of 2013.the prior-year period.
As previously announced, Citi intends to exit certain businesses in ICG, including hedge fund services within Securities services, the prepaid cards business in Treasury and trade solutions, certain transfer agency operations and wealth management administration. These businesses, consisting of approximately $4 billion of assets and deposits as of December 31, 2014, contributed approximately $460 million of revenues, $600 million of operating expenses and a net loss of $80 million in 2014, with roughly half of the pre-tax loss primarily attributable to repositioning and other actions directly related to the exit plans. These businesses will be reported as part of Citi Holdings beginning in the first quarter of 2015. For additional information, see “Executive Summary” above.
In millions of dollars, except as otherwise noted201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Commissions and fees$4,314
$4,045
$4,088
7 %(1)%
Administration and other fiduciary fees2,523
2,262
2,248
12
1
Investment banking4,404
3,655
4,110
20
(11)
Principal transactions7,740
7,335
5,824
6
26
Other(1)
1,149
(164)1,394
NM
NM
Total non-interest revenue$20,130
$17,133
$17,664
17 %(3)%
Net interest revenue (including dividends)15,537
16,094
15,668
(3)3
Total revenues, net of interest expense$35,667
$33,227
$33,332
7 %— %
Total operating expenses$19,608
$18,956
$19,087
3 %(1)%
Net credit losses$365
$516
$214
(29)%NM
Credit reserve build (release)(221)(64)654
NM
NM
Provision (release) for unfunded lending commitments(159)34
94
NM
(64)
Provisions for credit losses$(15)$486
$962
NM
(49)%
Income from continuing operations before taxes$16,074
$13,785
$13,283
17 %4 %
Income taxes7,008
4,260
4,173
65
2
Income from continuing operations$9,066
$9,525
$9,110
(5)%5 %

In millions of dollars, except as otherwise noted201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012
Commissions and fees$4,386
$4,344
$4,171
1 %4 %
Administration and other fiduciary fees2,577
2,626
2,741
(2)(4)
Investment banking4,269
3,862
3,618
11
7
Principal transactions5,908
6,491
4,330
(9)50
Other363
674
(76)(46)NM
Total non-interest revenue$17,503
$17,997
$14,784
(3)%22 %
Net interest revenue (including dividends)15,764
15,570
15,978
1
(3)
Total revenues, net of interest expense$33,267
$33,567
$30,762
(1)%9 %
Total operating expenses$19,960
$20,218
$20,631
(1)%(2)%
Net credit losses$276
$182
$282
52 %(35)%
Provision (release) for unfunded lending commitments(129)53
39
NM
36
Credit reserve release(90)(157)(45)43
NM
Provisions for credit losses$57
$78
$276
(27)%(72)%
Income from continuing operations before taxes$13,250
$13,271
$9,855
— %35 %
Income taxes3,729
3,857
2,021
(3)91
Income from continuing operations$9,521
$9,414
$7,834
1 %20 %
Noncontrolling interests111
110
128
1
(14)
Net income$9,410
$9,304
$7,706
1 %21 %
Average assets (in billions of dollars)
$1,058
$1,066
$1,044
(1)%2 %
Return on average assets0.89%0.87%0.74%

 
Efficiency ratio60
60
67


 
Revenues by region   

 
North America$12,345
$11,473
$8,973
8 %28 %
EMEA9,513
10,020
9,977
(5)—
Latin America4,237
4,692
4,710
(10)—
Asia7,172
7,382
7,102
(3)4
Total$33,267
$33,567
$30,762
(1)%9 %

23

Noncontrolling interests57
58
51
(2)14
Net income$9,009
$9,467
$9,059
(5)%5 %
Average assets (in billions of dollars)
$1,358
$1,298
$1,272
5 %2 %
Return on average assets0.66%0.73%0.71% 
Efficiency ratio55
57
57
 
CVA/DVA after-tax$—
$—
$172
— %(100)%
Net income ex-CVA/DVA(2)
9,009
9,467
8,887
(5)7
Revenues by region  
North America$13,636
$12,513
$12,698
9 %(1)%
EMEA10,692
9,855
9,788
8
1
Latin America4,216
3,977
3,944
6
1
Asia7,123
6,882
6,902
4
—
Total$35,667
$33,227
$33,332
7 %— %
Income from continuing operations by region  
 

   
  
North America$3,896
$3,143
$1,598
24 %97 %$2,449
$3,495
$3,316
(30)%5 %
EMEA1,984
2,432
2,467
(18)(1)2,804
2,365
2,230
19
6
Latin America1,337
1,628
1,879
(18)(13)1,513
1,454
1,351
4
8
Asia2,304
2,211
1,890
4
17
2,300
2,211
2,213
4
—
Total$9,521
$9,414
$7,834
1 %20 %$9,066
$9,525
$9,110
(5)%5 %
Average loans by region (in billions of dollars)
  
 

   
  
North America$111
$98
$83
13 %18 %$151
$145
$130
4 %12 %
EMEA58
55
53
5
4
69
66
62
5
6
Latin America40
38
35
5
9
34
35
37
(3)(5)
Asia68
65
63
5
3
62
57
59
9
(3)
Total$277
$256
$234
8 %9 %$316
$303
$288
4 %5 %
EOP deposits by business (in billions of dollars) 

   
Treasury and trade solutions$380
$380
$325
—
17 %$432
$412
$394
5 %5 %
All other ICG businesses
179
194
199
(8)(3)208
200
195
4
3
Total$559
$574
$524
(3)%10 %$640
$612
$589
5 %4 %

(1)2017 includes the $580 million gain on the sale of a fixed income analytics business. 2016 includes a charge of approximately $180 million, primarily reflecting the write-down of Citi’s net investment in Venezuela as a result of changes in the exchange rate.
(2)Excludes CVA/DVA in 2015, consistent with current presentation. For additional information, see Notes 1 and 24 to the Consolidated Financial Statements.
NM Not meaningful



ICG Revenue Details—Excluding CVA/DVA and Gain/(Loss)Gains (Losses) on Loan Hedges
In millions of dollars201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012		201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Investment banking revenue details
    
Advisory$949
$852
$715
11 %19 %$1,108
$1,000
$1,093
11 %(9)%
Equity underwriting1,246
1,059
731
18
45
1,053
628
906
68
(31)
Debt underwriting2,508
2,500
2,656
—
(6)3,011
2,674
2,558
13
5
Total investment banking$4,703
$4,411
$4,102
7 %8 %$5,172
$4,302
$4,557
20 %(6)%
Treasury and trade solutions7,882
7,819
8,026
1
(3)8,473
7,897
7,482
7
6
Corporate lending - excluding gain/(loss) on loan hedges1,742
1,513
1,576
15
(4)
Corporate lending—excluding gains (losses) on loan hedges(1)1,922
1,718
1,827
12
(6)
Private bank2,653
2,487
2,394
7
4
3,088
2,709
2,582
14
5
Total banking revenues (ex-CVA/DVA and gain/(loss) on loan hedges)$16,980
$16,230
$16,098
5 %1 %
Corporate lending - gain/(loss) on loan hedges (1)
$116
$(287)$(698)NM
59 %
Total banking revenues (ex-CVA/DVA and including gain/(loss) on loan hedges)$17,096
$15,943
$15,400
7 %4 %
Total banking revenues (ex-CVA/DVA and gains (losses) on
loan hedges)(2)
$18,655
$16,626
$16,448
12 %1 %
Corporate lending—gains (losses) on loan hedges(1)$(133)$(594)$324
78 %NM
Total banking revenues (ex-CVA/DVA and including gains
(losses) on loan hedges)(2)
$18,522
$16,032
$16,772
16 %(4)%
Fixed income markets$11,815
$13,322
$14,361
(11)%(7)%$12,127
$12,853
$11,277
(6)%14 %
Equity markets2,776
2,818
2,281
(1)24
2,747
2,812
3,101
(2)(9)
Securities services2,333
2,272
2,214
3
3
2,329
2,152
2,114
8
2
Other(3)(410)(443)(1,007)7
56
(58)(622)(201)91
NM
Total Markets and securities services (ex-CVA/DVA)(2)$16,514
$17,969
$17,849
(8)%1 %$17,145
$17,195
$16,291
— %6 %
Total ICG (ex-CVA/DVA)
$33,610
$33,912
$33,249
(1)%2 %$35,667
$33,227
$33,063
7 %— %
CVA/DVA (excluded as applicable in lines above) (2)
(343)(345)(2,487)1
86
—
—
269
NM
NM
Fixed income markets(359)(300)(2,048)(20)85
—
—
220
NM
NM
Equity markets24
(39)(424)NM
91
—
—
47
NM
NM
Private bank(8)(6)(15)(33)60
—
—
2
NM
NM
Total revenues, net of interest expense$33,267
$33,567
$30,762
(1)%9 %$35,667
$33,227
$33,332
7 %— %
Commissions and fees$625
$474
$467
32 %1 %
Principal transactions(4)
6,826
6,538
5,374
4
22
Other590
591
330
—
79
Total non-interest revenue$8,041
$7,603
$6,171
6 %23 %
Net interest revenue4,086
5,250
5,106
(22)3
Total fixed income markets (ex-CVA/DVA)(2)
$12,127
$12,853
$11,277
(6)%14 %
Rates and currencies$8,783
$9,289
$7,616
(5)%22 %
Spread products / other fixed income3,344
3,564
3,661
(6)(3)
Total fixed income markets (ex-CVA/DVA)(2)
$12,127
$12,853
$11,277
(6)%14 %
Commissions and fees$1,234
$1,300
$1,338
(5)%(3)%
Principal transactions(4)
382
134
270
NM
(50)
Other4
139
54
(97)NM
Total non-interest revenue$1,620
$1,573
$1,662
3 %(5)%
Net interest revenue1,127
1,239
1,439
(9)(14)
Total equity markets (ex-CVA/DVA)(2)
$2,747
$2,812
$3,101
(2)%(9)%

(1)Hedges on accrual loans reflect the mark-to-market on creditCredit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual portfolio.loans and loans at fair value. Gains (losses) on loan hedges includes the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection. Citigroup’s results of operations excluding the impact of gains (losses) on loan hedges are non-GAAP financial measures.
(2)2014 includes the impact of a one-time pretax charge of $430 million related to the implementation of funding valuation adjustments (FVA) on derivativesExcludes CVA/DVA in the third quarter of 2014.2015, consistent with current presentation. For additional information, see Note 25Notes 1 and 24 to the Consolidated Financial Statements. FVA is included within CVA for presentation purposes.
(3)2017 includes the $580 million gain on the sale of a fixed income analytics business. 2016 includes a charge of approximately $180 million, primarily reflecting the write-down of Citi’s net investment in Venezuela as a result of changes in the exchange rate.
(4) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
NM Not meaningful








24

The discussion of the results of operations for ICG below excludes the impact of CVA/DVA for all periods presented.2015. Presentations of the results of operations, excluding the impact of CVA/DVA and the impact of gains/gains (losses) on hedges onof accrual loans, are non-GAAP financial measures. Citi believes the presentation of ICG’s results excluding the impact of these items is a more meaningful depiction of the underlying fundamentals of the business. For a reconciliation of these metrics to the reported results, see the table above.

20142017 vs. 20132016
Net income decreased 5% and was impacted by an estimated $2.0 billion non-cash charge recorded in the tax line due to the impact of Tax Reform (for additional information, see “Impact of Tax Reform” above). Excluding the impact of Tax Reform, net income increased 1%16%, primarily driven by lower expenseshigher revenues and lower cost of credit, costs, largelypartially offset by lower revenues. Excluding the impact of the net fraud loss in 2013 (see “Executive Summary” above), net income decreased 1%, primarily driven by the lower revenues and higher expenses, largely offset by the lower credit costs.expenses.

Revenues decreased 1%increased 7%, reflecting lower a 16% increase in Banking (including the losses on loan hedges). Excluding the impact of the losses on loan hedges, Banking revenues inincreased 12%, driven by solid growth across all products. Markets and securities services were largely unchanged, as growth in securities services (decreaserevenues (increase of 8%), partially as well as the $580 million gain on the sale of a fixed income analytics business were offset by higher revenuesa 6% decrease in Banking (increase of 7%, 5% excluding the gains/(losses) on hedges on accrual loans). Citi expects revenuesfixed income markets and a 2% decrease in ICG, particularly in its Markets and securities services businesses, will likely continue to reflect the overall market environment.equity markets revenues.

Within Banking:

Investment banking revenues increased 7%20%, largely reflecting a stronger overall market environment and improvedgains in wallet share with ICG’s target clients, partially offset by a modest declineacross products and regions as well as an improvement from the industry-wide slowdown in overall wallet share. The declineactivity levels during the first half of 2016, particularly in overall wallet share was primarily driven by equity and debt underwriting and reflected market fragmentation.advisory. Advisory revenues increased 11%, driven by North America and EMEA, reflecting wallet share gains and the increased target client activity and an expansion of the overall M&A market.market activity. Equity underwriting revenues increased 18% largely68%, driven by strength in line withNorth America and EMEA, due to significant wallet share gains as well as the increase in overall growth in market fees.activity. Debt underwriting revenues were largely unchanged.increased 13%, reflecting strength across regions, primarily driven by wallet share gains.
Treasury and trade solutions revenues increased 1%7%, reflecting growth across all regions that was balanced across both net interest and fee income. The increase was primarily due to continued growth in transaction volumes with new and existing clients, continued growth in deposit balances and improved spreads in certain regions. The trade business experienced modest revenue growth, as continued higherfocus on high-quality loan growth was largely offset by industry-wide tightening of spreads. Average deposit balances fee growth andincreased 4%, while average trade activity were partially offset by the impact of spread compression globally. End-of-period deposit balances were unchanged, butloans increased 3%5% (4% excluding the impact of FX translation, largely driven by North America. Average trade loans decreased 9% (7% excluding the impact of FX translation), as the business maintained origination volumes while reducing lower spread assets and increasing asset sales to optimize returns (see “Balance Sheet Review” below).
Corporate lending revenues increased 52%59%. Excluding the impact of gains/(losses)losses on loans hedges, on accrual loans, revenues increased 15%12%, primarily due to continued growth in average loan balances driven by lower hedging costsand lower funding costs. (For information on Citi’s corporate credit exposurethe absence of a prior-year adjustment to the energy sector, see “Managing Global Risk—Credit Risk—Corporate Credit Details” below.)residual value of a lease financing transaction.
Private bank revenues increased 7%14%, reflecting strength across all regions and products. The increase in revenues was primarily due to growth in client businesshigher loan and deposit volumes, and improved spreads in banking, higher capital markets activity and an increase in assets under management in managed investments, partially offset by continued spread compression in lending.

 

Within Markets and securities services:

Fixed income markets revenues decreased 11%, driven by a decrease in rates and currencies revenues, partially offset by increased securitized products and commodities revenues. Rates and currencies revenues declined due to historically muted levels of volatility, uncertainties around Russia and Greece and lower client activity in the first half of 2014. In addition, the first half of 2013 included a strong performance in rates and currencies, driven in part by the impact of quantitative easing globally. Municipals and credit markets revenues declined due to challenging trading conditions resulting from macroeconomic uncertainties, particularly in the fourth quarter of 2014. These declines were partially offset by increased securitized products and commodities revenues, largely in North America.
Equity markets revenues decreased 1%, primarily reflecting weakness in EMEA, particularly cash equities, driven by volatility in Europe, largely offset by improved performance in prime finance due to increased customer flows.
Securities services revenues increased 3% due to increased volumes, assets under custody and overall client activity.

Expenses decreased 1%, as efficiency savings, the absence of the net fraud loss in 2014 and lower performance-based compensation was partially offset by higher repositioning charges and legal and related expenses as well as increased regulatory and compliance costs. Excluding the impact of the net fraud loss, expenses increased 1%, as higher repositioning charges and legal and related expenses as well as increased regulatory and compliance costs were partially offset by efficiency savings and lower performance-based compensation.
Provisions decreased 27%, primarily reflecting an improvement in the provision for unfunded lending commitments in the corporate loan portfolio, partially offset by higher net credit losses and a lower loan loss reserve release driven by the overall economic environment. Net credit losses increased 52%, largely related to the Petróleos Mexicanos (Pemex) supplier program in the first quarter of 2014 (for additional information, see Citi’s Form 8-K filed with the SEC on February 28, 2014) as well as write-offs related to a specific counterparty. For information on certain legal and regulatory matters related to the Pemex supplier program, see Note 28 to the Consolidated Financial Statements.

Russia
Citi continues to monitor and manage its exposures in ICG resulting from the instability in Russia and Ukraine. As discussed above, the ongoing uncertainties created by the instability in the region have impacted markets in the region, including certain of Citi’s markets businesses, and could


25

continue to do so in the future. Any actions Citi may take to mitigate its exposures or risks, or the imposition of additional sanctions (such as asset freezes) involving Russia or against Russian entities, business sectors, individuals or otherwise, could negatively impact the results of operations of EMEA ICG. For additional information on Citi’s exposures in these countries, see “Managing Global Risk—Country and Cross-Border Risk” below.

2013 vs. 2012
Net income increased 3%, primarily driven by higher revenues and lower expenses and credit costs, partially offset by a higher effective tax rate.

Revenues increased 2%, primarily reflecting higher revenues in Banking (increase of 4%, 1% excluding the gains/(losses) on hedges on accrual loans) and in Markets and securities services (increase of 1%).

Within Banking:

Investment banking revenues increased 8%, reflecting gains in overall investment banking wallet share. Advisory revenues increased 19%, reflecting an improvement in wallet share, despite a contraction in the overall M&A market wallet. Equity underwriting revenues increased 45%, driven by improved wallet sharedeposit spreads and increased market activity, particularly initial public offerings. Debt underwriting revenues decreased 6%, primarily due to lower bond underwriting fees and a decline in wallet share during the year.
Treasury and trade solutions revenues decreased 3%, as the ongoing impact of spread compression globally was partially offset by higher balances and fee growth. Average deposits increased 7% and average trade loans increased 22%, including the impact of the consolidation of approximately $7 billion of trade loans during the second quarter of 2013.
Corporate lending revenues increased 40%. Excluding the impact of gains/(losses) on hedges on accrual loans, revenues decreased 4%, primarily due to increased hedge premium costs and moderately lower loan balances, partially offset by higher spreads.
Private bank revenues increased 4%, with growth across all regions and products, particularly in managed investments where growth reflected both higher client assets under management and increased placement fees, as well as in capital markets. Revenue growth in lending and deposits, primarily driven by growth in client volumes, was partially offset by continued spread compression.
markets activity.

Within Markets and securities services:

Fixed income marketsrevenues decreased 7%6%, with lower revenues in all regions, primarily reflecting industry-wide weaknessdue to low volatility as well as the comparison to higher revenues in the prior year from a more robust trading environment following the vote in the U.K. in favor of its withdrawal from the European Union, as well as the U.S. election. The decline in revenues was driven by lower net interest revenue (decreased 22%), largely due to higher funding costs and a change in the mix of trading positions in support of client activity. The decline was partially offset by higher principal transactions revenues and commissions and fees revenues.
Rates and currencies revenues decreased 5%, driven by lower G10 rates and currencies revenues. Despite the challenging trading environment, corporate client revenues in rates and currencies across the global network remained strong. Spread products and other fixed income revenues decreased 6%, due to a difficult trading environment in the current year given low volatility, driving lower credit markets and commodities revenues, particularly in North America, partially offset by strong performancehigher municipals revenues, as well as higher securitized markets revenues.
Equity markets revenues decreased 2%. Excluding an episodic loss in credit-related and securitized products and commodities. Rates and currencies performance was lower comparedderivatives of approximately $130 million in the fourth quarter of 2017 related to a strong 2012 that benefited fromsingle client event, revenues increased 2%, as continued growth in prime finance and delta one client revenuesbalances and a more liquid market environment, particularlyhigher investor client activity (particularly in EMEA and Asia) were partially offset by lower episodic activity with corporate clients in North America. 2013 results also reflectedExcluding the episodic loss in derivatives, equity derivatives revenues increased, driven by the stronger investor client activity. Cash equities revenues were modestly higher as well, driven by higher revenues in Asia, partially offset by lower cash commissions, as clients continued to move toward automated execution platforms across the industry.
Securities services revenues increased 8%. Excluding the impact of the prior year’s divestiture of a generalprivate equity fund services business, revenues increased 12%, reflecting strength in all regions, driven by growth in client volumes and higher interest revenue due to a more favorable rate environment.

Expenses increased 3%, as higher compensation, volume-related expenses and investments were partially offset by efficiency savings.
Provisions improved $501 million, driven by a net loan loss release of $380 million (compared to a net release of $30 million in the prior year) and a 29% decline in net credit

losses. The increase in net loan loss reserve releases was driven by an improvement in the provision for unfunded lending commitments in the corporate loan portfolio, as well as a favorable credit environment, stability in commodity prices and continued improvement in the portfolio. The decline in net credit losses was largely driven by improvement in the energy sector, partially offset by the impact of the single client event in the fourth quarter noted above.

2016 vs. 2015
Net income increased 5%, primarily driven by lower expenses and lower cost of credit.

Revenues were largely unchanged, reflecting higher revenues in Markets and securities services (increase of 6%), driven by fixed income markets, offset by lower revenues in Banking (decrease of 4% including the gains (losses) on loan hedges). Excluding the impact of the gains (losses) on loan hedges, Banking revenues increased 1%, driven by treasury and trade solutions and the private bank.

Within Banking:

Investment banking revenues decreased 6%, largely reflecting the overall industry-wide slowdown in client activity exacerbatedlevels in equity underwriting and advisory during the first half of 2016. Advisory revenues decreased 9%, reflecting strong performance in 2015.Equity underwriting revenues decreased 31%, primarily reflecting the lower market activity. Debt underwriting revenues increased 5%, primarily due to higher market activity reflecting a favorable interest rate environment.
Treasury and trade solutions revenues increased 6%. Excluding the impact of FX translation, revenues increased 8%, reflecting growth across most regions. The increase was primarily due to continued growth in transaction volumes and deposit balances and improved spreads in certain regions. Trade revenues increased modestly due to loan growth as well as spread improvements. End-of-period deposit balances increased 5% (6% excluding the impact of FX translation), while average trade loans decreased 2% (1% excluding the impact of FX translation).
Corporate lending revenues decreased 48%. Excluding the impact of gains (losses) on loan hedges, revenues decreased 6%. Excluding the impact of gains (losses) on loan hedges and FX translation, revenues decreased 1%, mostly reflecting the adjustment to the residual value of a lease financing transaction, spread compression and higher hedging costs, partially offset by uncertainty around the tapering ofhigher average loans.
Private bank revenues increased 5%, reflecting growth in loan volumes and improved deposit spreads, partially offset by lower capital markets activity and lower managed investments revenues.

 
quantitative easing as well as geopolitical issues. Credit-relatedWithin Markets and securities services:

Fixed income markets revenues increased 14%, with higher revenues in all regions, largely driven by both higher principal transactions revenues (up 22%) and other revenues (up 79%). The increase in principal transactions revenues was primarily due to higher rates and currencies revenues and higher spread products revenues. Other revenues increased mainly due to foreign currency losses in 2015. Rates and currencies revenues grew 22%, primarily due to the more favorable trading environment and higher client revenues following the vote in the U.K. and the U.S. election. Spread products and other fixed income revenues decreased 3%, due to lower securitized products results reflected increased client activityrevenues, driven by improvedthe impact of significantly lower liquidity in the market conditions and demand for spread products.in the first quarter of 2016.
Equity markets revenues increased 24%declined 9%. Equityderivatives and prime finance revenues declined 13%, primarily duereflecting both a challenging trading environment across all regions driven by lower volatility compared to market share gains, continued improvement in cash2015, and derivative trading performance anda comparison to a more favorable market environment.trading environment in 2015 in Asia. The decline in equity markets revenue was also due to lower equity cash commissions driven by a continued shift to electronic trading and passive investing by clients across the industry.
Securities services revenues increased 3%2%. Excluding the
impact of FX translation, revenues increased 5%, as settlement driven
by EMEA, primarily reflecting increased client activity, a
modest gain on the sale of a private equity fund services
business in the first quarter of 2016, higher deposit
volumes increased 15% and assets under custody increased 8%,improved spreads. The increase in revenues
was partially offset by spread compression related to deposits.
the absence of revenues from

Expenses decreased 2%, primarily reflecting repositioning savings, the impact of lower performance-based compensation, lower repositioning charges anddivestitures. Excluding the impact of FX translation partially offset by the net fraud loss in 2013and
divestitures, revenues increased 6%.
Expenses decreased 1% as well as higher legala benefit from FX translation and related costs and volume-related expenses. Excluding the impact of the net fraud loss, expenses decreased 4%, primarily reflecting repositioningefficiency savings the impact of lower performance-based compensation, lower repositioning charges and the impact of FX translation,were partially offset by higher legalcompensation expense and related costs and volume-related expenses.higher repositioning charges.
Provisions decreased 72%49%, primarily reflecting higherdriven by a net loan loss reserve releasesrelease of $30 million (compared to a net build of $748 million in the prior year). The significant decline in loan loss reserve builds was related to energy and lowerenergy-related exposures and was driven by stabilization of commodities as oil prices continued to recover from lows in early 2016. The decline in cost of credit was partially offset by higher net credit losses.losses of $516 million (compared to $214 million in the prior year) mostly related to the energy and energy-related exposures, with a vast majority offset by the release of previously established loan loss reserves.





26


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, Corporate Treasury, certain North America and international legacy consumer loan portfolios, other legacy assets and discontinued operations.operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At December 31, 2014,2017, Corporate/Other had $329$77 billion in assets, a decrease of 25% year-over-year and 23% from September 30, 2017. The decrease in assets or 18%included an approximate $20 billion decline in DTAs during the fourth quarter of Citigroup’s total assets, consisting primarily2017 due to the impact of Citi’s liquidity portfolio (approximately $80 billion of cash and cash equivalents and $197 billion of liquid investment securities). For additional information, see “Balance Sheet Review” and “Managing Global Risk—Market Risk—Funding and Liquidity” below.Tax Reform.

In millions of dollars201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012		201720162015% Change 
 2017 vs. 2016		% Change 
 2016 vs. 2015
Net interest revenue$(222)$(609)$(576)64 %(6)%$1,963
$2,985
$5,210
(34)%(43)%
Non-interest revenue269
730
704
(63)4
1,122
2,144
5,561
(48)(61)
Total revenues, net of interest expense$47
$121
$128
(61)%(5)%$3,085
$5,129
$10,771
(40)%(52)%
Total operating expenses$6,099
$1,033
$2,270
NM
(54)%$3,786
$4,977
$7,329
(24)%(32)%
Net credit losses149
435
1,336
(66)%(67)%
Credit reserve build (release)(317)(456)(453)30 %(1)%
Provision (release) for unfunded lending commitments—
(8)(24)100 %67 %
Provision for benefits and claims(7)98
623
NM
(84)%
Provisions for loan losses and for benefits and claims—
—
(1)— %100
$(175)$69
$1,482
NM
(95)%
Loss from continuing operations before taxes$(6,052)$(912)$(2,141)NM
57 %
Benefits for income taxes(459)(282)(1,093)(63)%74
Loss from continuing operations$(5,593)$(630)$(1,048)NM
40 %
Income (loss) from continuing operations before taxes$(526)$83
$1,960
NM
(96)%
Income taxes (benefits)19,060
(471)(102)NM
NM
Income (loss) from continuing operations$(19,586)$554
$2,062
NM
(73)%
Income (loss) from discontinued operations, net of taxes(2)270
(58)NM
NM
(111)(58)(54)(91)%(7)
Net loss before attribution of noncontrolling interests$(5,595)$(360)$(1,106)NM
67 %
Net income (loss) before attribution of noncontrolling interests$(19,697)$496
$2,008
NM
(75)%
Noncontrolling interests44
84
85
(48)%(1)(6)(2)29
NM
NM
Net loss$(5,639)$(444)$(1,191)NM
63 %
Net income (loss)$(19,691)$498
$1,979
NM
(75)%
NM Not meaningful

20142017 vs. 20132016
The net loss increased $5.2was $19.7 billion in 2017, compared to $5.6net income of $498 million in the prior year, primarily driven by the estimated $19.8 billion non-cash charge recorded in the tax line due to the impact of Tax Reform (for additional information, see “Impact of Tax Reform” above). Excluding the impact of Tax Reform, net income declined 69% to $153 million, reflecting lower revenues, partially offset by lower expenses and lower cost of credit.
Revenues declined 40%, primarily reflecting the continued wind-down of legacy assets and the absence of gains related to debt buybacks in 2016. Revenues included approximately $750 million in gains on asset sales in the first quarter of 2017, which more than offset a roughly $300 million charge related to the exit of Citi’s U.S. mortgage servicing operations in the quarter.
Expenses declined 24%, reflecting the wind-down of legacy assets and lower legal expenses, partially offset by approximately $100 million in episodic expenses primarily related to the exit of the U.S. mortgage servicing operations. Also included in expenses is an approximately $255 million provision for remediation costs related to a CARD Act matter (for additional information, see “North America GCB” above and Note 27 to the Consolidated Financial Statements). Citi believes the aggregate approximately $335 million provision (including the $80 million provision in North America GCB) to be sufficient for Citi’s planned remediation.
Provisions decreased $244 million to a net benefit of $175 million, primarily due to lower net credit losses and a lower provision for benefits and claims, partially offset by a lower net loan loss reserve release. Net credit losses declined 66% to $149 million, primarily reflecting the impact of ongoing divestiture activity and the continued wind-down of the North America mortgage portfolio. The provision for benefits and claims declined by $105 million, primarily due to lower insurance activity. The net reserve release declined by $147 million to $317 million, and reflected the continued wind-down of the legacy North America mortgage portfolio and divestitures.

2016 vs. 2015
Net income was $498 million, compared to net income of $2.0 billion in 2015, primarily reflecting lower revenues and a higher legal and related expenses.effective tax rate in 2016 due to the absence of certain tax benefits in 2015.
Revenues decreased 61%52%, primarily driven by the overall wind-down of legacy assets and lower revenues fromnet gains on sales, particularly the sales of available-for-sale (AFS) securities as well as hedging activities.OneMain Financial and the retail banking and credit cards businesses in Japan in the fourth quarter of 2015.
Expenses increased $5.1 billion to $6.1 billion, largely driven bydecreased 32%, reflecting the highersales and run-off of assets, lower legal and related expenses ($4.4 billionand lower repositioning costs.

Provisions decreased 95% due to lower net credit losses and a lower provision for benefits and claims (decrease of 84%) due to lower insurance activity. Net credit losses declined 67%, primarily due to the impact of divestitures and continued credit improvements in North America mortgages.

Payment Protection Insurance (PPI)
The selling of PPI by financial institutions in the U.K. has been the subject of intense review and focus by U.K. regulators and the U.K. Supreme Court.
PPI is designed to cover a customer’s loan repayments if certain events occur, such as long-term illness or unemployment.  The U.K. Financial Conduct Authority (FCA) found certain problems across the industry with how these products were sold, including customers not realizing that the cost of PPI premiums was being added to their loan or PPI being unsuitable for the customer.  Redress generally involves the repayment of premiums and the refund of all applicable contractual interest, together with compensatory interest of 8%. 
In addition, during the fourth quarter of 2014, the U.K. Supreme Court issued a ruling in a case (Plevin) involving PPI pursuant to which the court ruled, independent of the sale of the PPI contract, that the PPI contract at issue in the case was “unfair” due to the high sales commissions earned and the lack of disclosure to the customer thereof. 
In addition, the FCA released a policy statement related to PPI that (i) set a deadline of August 29, 2019 by which consumers must file PPI claims, (ii) provides for the launch of FCA-led marketing campaigns to inform consumers of this deadline, (iii) set new rules and guidance for the handling of PPI complaints in light of the Supreme Court’s decision on Plevin and (iv) requires all firms to contact all previously rejected customers who may be able to complain under the new “Plevin” rule (the Plevin Customer Contact Exercise). Citi completed the Plevin Customer Contact Exercise during the fourth quarter of 2017. The FCA-led marketing campaigns began in August 2017 and will continue through the August 2019 deadline. The level of PPI claims also continues to be influenced by the solicitation activity of Claims Management Companies (CMCs).
During 2017, Citi increased its PPI reserves by approximately $109 million (with $105 million recorded in Corporate/Other and $4 million recorded in Discontinued operations).  The increase for full-year 2017 compared to $172an increase of $134 million during 2016 and was primarily due to the ongoing level of PPI claims.
Citi’s year-end 2017 PPI reserve was $213 million, compared to $228 million as of December 31, 2016.
Additional reserving actions, if any, in 2013) as well as increased regulatory2018 will largely depend on the level of customer claims in response to the FCA-led marketing campaigns and compliance costs and higher repositioning charges.the level of ongoing CMC activity.






 

2013 vs. 2012
The net loss decreased $747 million to $444 million, primarily due to lower expenses and the $189 million after-tax benefit from the sale of Credicard, partially offset by a lower tax benefit.
Revenues decreased $7 million, driven by lower revenue from sales of AFS securities in 2013, partially offset by higher revenues from debt repurchases and hedging gains.
Expenses decreased 54%, largely driven by lower legal and related costs and repositioning charges.






27


CITI HOLDINGS
Citi Holdings contains businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. Consistent with this determination, as previously announced, beginning in the first quarter of 2015, Citi’s consumer operations in 11 markets, as well as the consumer finance business in Korea, and certain businesses in ICG, will be reported as part of Citi Holdings (see “Executive Summary,” “Global Consumer Banking” and "Institutional Clients Group” above).
As of December 31, 2014, Citi Holdings assets were approximately $98 billion, a decrease of 16% year-over-year and 5% from September 30, 2014. The decline in assets of $5 billion from September 30, 2014 primarily consisted of divestitures and run-off. As of December 31, 2014, consumer assets in Citi Holdings were approximately $87 billion, or approximately 89% of Citi Holdings assets. Of the consumer assets, approximately $59 billion, or 68%, consisted of North America mortgages (residential first mortgages and home equity loans), including consumer mortgages originated by Citi’s legacy CitiFinancial North America business (approximately $10 billion, or 17%, of the $59 billion as of December 31, 2014). As of December 31, 2014, Citi Holdings represented approximately 5% of Citi’s GAAP assets and 14% of its risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).

In millions of dollars, except as otherwise noted201420132012% Change 
 2014 vs. 2013		% Change 
 2013 vs. 2012
Net interest revenue$3,541
$3,184
$2,619
11 %22 %
Non-interest revenue2,274
1,382
(3,424)65
NM
Total revenues, net of interest expense$5,815
$4,566
$(805)27 %NM
Provisions for credit losses and for benefits and claims   

 
Net credit losses$1,646
$3,070
$5,842
(46)%(47)%
Credit reserve release(893)(2,033)(1,551)56
(31)
Provision for loan losses$753
$1,037
$4,291
(27)%(76)%
Provision for benefits and claims602
618
651
(3)(5)
Release for unfunded lending commitments(10)(10)(56)—
82
Total provisions for credit losses and for benefits and claims$1,345
$1,645
$4,886
(18)%(66)%
Total operating expenses$7,715
$5,970
$5,263
29 %13 %
Loss from continuing operations before taxes$(3,245)$(3,049)$(10,954)(6)%72 %
Income taxes (benefits)121
(1,132)(4,389)NM
74
Loss from continuing operations$(3,366)$(1,917)$(6,565)(76)%71 %
Noncontrolling interests$4
$16
$3
(75)%NM
Citi Holdings net loss$(3,370)$(1,933)$(6,568)(74)%71 %
Total revenues, net of interest expense (excluding CVA/DVA)   

 
Total revenues-as reported$5,815
$4,566
$(805)27 %NM
     CVA/DVA(1)
(47)3
157
NM
(98)%
Total revenues-excluding CVA/DVA$5,862
$4,563
$(962)28 %NM
Balance sheet data (in billions of dollars)
   

 
Average assets$109
$135
$194
(19)%(30)%
Return on average assets(3.09)%(1.43)%(3.39)%

 
Efficiency ratio133 %131 %(654)%

 
Total EOP assets$98
$117
$156
(16)(25)
Total EOP loans73
93
116
(21)(20)
Total EOP deposits10
36
68
(72)(47)

(1)2014 includes the impact of a one-time pretax charge of $44 million related to the implementation of funding valuation adjustments (FVA) on derivatives in the third quarter of 2014. For additional information, see Note 25 to the Consolidated Financial Statements. FVA is included within CVA for presentation purposes.
NM Not meaningful







28


The discussion of the results of operations for Citi Holdings below excludes the impact of CVA/DVA for all periods presented. Presentations of the results of operations, excluding the impact of CVA/DVA, are non-GAAP financial measures. Citi believes the presentation of Citi Holdings’ results excluding the impact of CVA/DVA is a more meaningful depiction of the underlying fundamentals of the business. For a reconciliation of these metrics to the reported results, see the table above.

2014 vs. 2013
The net loss increased by $1.4 billion to $3.3 billion, largely due to the impact of the mortgage settlement in July 2014 (see “Executive Summary” above), partially offset by higher revenues and lower cost of credit. Excluding the mortgage settlement, net income increased by $2.3 billion to $385 million, primarily due to lower expenses, higher revenues and lower net credit losses, partially offset by a lower net loan loss reserve release.
Revenues increased 28%, primarily driven by gains on asset sales, including the sales of the consumer operations in Greece and Spain in the third quarter of 2014, lower funding costs and the absence of residential mortgage repurchase reserve builds for representation and warranty claims in 2014, partially offset by losses on the redemption of debt associated with funding Citi Holdings assets.
Expenses increased 29%, principally reflecting higher legal and related costs ($4.7 billion compared to $2.6 billion in 2013) due to the mortgage settlement, partially offset by lower expenses driven by the ongoing decline in assets. Excluding the impact of the mortgage settlement, expenses declined 34%, primarily driven by lower legal and related costs ($986 million compared to $2.6 billion in 2013) as well as the ongoing decline in assets.
Provisions decreased 18%, driven by lower net credit losses, partially offset by a lower net loss reserve release. Excluding the impact of the mortgage settlement, provisions declined 22%, driven by a 46% decline in net credit losses primarily due to continued improvements in North America mortgages and overall lower asset levels. The net reserve release decreased 56% to $903 million, primarily due to lower releases related to the North America mortgage portfolio, partially offset by lower losses on asset sales. Excluding the impact of the mortgage settlement, the net reserve release decreased 53%. Loan loss reserves related to the North America mortgage portfolio were utilized to nearly fully offset net credit losses in the portfolio in 2014.

2013 vs. 2012
The net loss decreased by 71% to $1.9 billion. 2012 included the pretax loss of $4.7 billion ($2.9 billion after-tax) related to the sale of the Morgan Stanley Smith Barney joint venture (MSSB) to Morgan Stanley. Excluding the MSSB loss, the net loss decreased to $1.9 billion from a net loss of $3.8 billion in 2012, due to significantly lower provisions for credit losses and higher revenues, partially offset by higher expenses.
Revenues increased to $4.6 billion, primarily due to the absence of the MSSB loss. Excluding the MSSB loss, revenues increased 23%, primarily driven by lower funding costs and lower residential mortgage repurchase reserve builds for representation and warranty claims ($470 million, compared to $700 million in 2012).
Expenses increased 13%, primarily due to higher legal and related costs ($2.6 billion in 2013 compared to
$1.2 billion in 2012), driven largely by legacy private-label securitization and other mortgage-related issues, partially offset by lower overall assets. Excluding legal and related costs, expenses declined 18% versus 2012.
Provisions decreased 66%, driven by the absence of incremental net credit losses relating to the national mortgage settlement and those required by Office of the Comptroller of the Currency (OCC) guidance during 2012 (for additional information, see Note 16 to the Consolidated Financial Statements), as well as improved credit in North America mortgages and overall lower asset levels. Loan loss reserve releases increased 27% to $2 billion, which included a loan loss reserve release of approximately $2.2 billion related to the North America mortgage portfolio, partially offset by losses on asset sales.

Japan Consumer Finance
In 2008, Citi decided to exit its Japan Consumer Finance business and has liquidated approximately 95% of the portfolio since that time. As of December 31, 2014, Citi’s Japan Consumer Finance business had approximately $151 million in outstanding loans that currently charge or have previously charged interest rates in the “gray zone” (interest at rates that are legal but may not be enforceable and thus may subject Citi to customer refund claims), compared to approximately $278 million as of December 31, 2013. Although the portfolio has largely been liquidated, Citi could be subject to refund claims on previously outstanding loans that charged gray zone interest and thus could be subject to losses on loans in excess of these amounts.
At December 31, 2014, Citi’s reserves related to customer refunds in the Japan Consumer Finance business were $442 million, compared to $434 million at December 31, 2013. The increase in the total reserve year-over-year primarily resulted from net reserve builds in 2014 ($248 million compared to $28 million in 2013) due to less than expected declines in customer refund claims, partially offset by payments made to customers and a continuing reduction in the population of current and former customers who are eligible to make refund claims.
Citi continues to monitor and evaluate trends and developments relating to the charging of gray zone interest, including customer defaults, refund claims and litigation, and financial, legislative, regulatory, judicial and other political developments, as well as the potential impact to both currently and previously outstanding loans in this legacy business and its reserves related thereto. Citi could be subject to additional losses as a result of these developments and the impact on Citi is subject to uncertainty and continues to be difficult to predict.




29


BALANCE SHEET REVIEW
The following sets forth a general discussion of the changes in certain of the more significant line items of Citi’s Consolidated Balance Sheet. For a description of and additional information on each of these balance sheet categories, see Notes 11, 13, 14, 15 and 18 to the Consolidated Financial Statements. For additional information on Citigroup’s liquidity resources, including its deposits, short-term and long-term debt and secured financing transactions, see “Managing Global Risk—Market Risk—Funding and Liquidity Risk” below.
In billions of dollarsDec. 31, 2014September 30,
2014		Dec. 31, 2013
EOP
4Q14 vs. 3Q14
Increase
(decrease)
%
Change
EOP
4Q14 vs. 4Q13
Increase
(decrease)
%
Change
Assets       
Cash and deposits with banks$160
$179
$199
$(19)(11)%$(39)(20)%
Federal funds sold and securities borrowed or purchased under agreements to resell243
245
257
(2)(1)(14)(5)
Trading account assets297
291
286
6
2
11
4
Investments333
333
309
—
—
24
8
Loans, net of unearned income645
654
665
(9)(1)(20)(3)
Allowance for loan losses(16)(17)(19)1
(6)3
(16)
Loans, net629
637
646
(8)(1)(17)(3)
Other assets181
198
183
(17)(9)(2)(1)
Total assets$1,843
$1,883
$1,880
$(40)(2)%$(37)(2)%
Liabilities       
Deposits$899
$943
$968
$(44)(5)%$(69)(7)%
Federal funds purchased and securities loaned or sold under agreements to repurchase173
176
204
(3)(2)(31)(15)
Trading account liabilities139
137
109
2
1
30
28
Short-term borrowings58
65
59
(7)(11)(1)(2)
Long-term debt223
224
221
(1)—
2
1
Other liabilities139
124
113
15
12
26
23
Total liabilities$1,631
$1,669
$1,674
$(38)(2)%$(43)(3)%
Total equity212
214
206
(2)(1)6
3
Total liabilities and equity$1,843
$1,883
$1,880
$(40)(2)%$(37)(2)%
ASSETS

Cash and Deposits with Banks
Cash and deposits with banks decreased from the prior-year period as Citi continued to grow its investment portfolio to manage its interest rate position and deploy its excess liquidity. Average cash balances were $182 billion in the fourth quarter of 2014 compared to $204 billion in the fourth quarter of 2013.

Federal Funds Sold and Securities Borrowed or Purchased Under Agreements to Resell (Reverse Repos)
The decline in reverse repos and securities borrowing transactions from the prior-year period was due to the impact of FX translation and continued optimization of Citi’s secured lending (for additional information, see “Managing Global Risk—Market Risk—Funding and Liquidity Risk”
below), partially offset by increased short trading in the Markets and securities services businesses within ICG.

Trading Account Assets
Trading account assets increased from the prior-year period, as increased market volatility, particularly in rates and currencies within Markets and securities services within ICG, increased the carrying value of Citi’s derivatives positions. Average trading account assets were $309 billion in the fourth quarter of 2014 compared to $292 billion in the fourth quarter of 2013.

Investments
The increase in investments year-over-year reflected Citi’s continued deployment of its excess cash (as discussed above) by investing in available-for-sale securities, particularly in U.S. treasuries.


30


Loans
The impact of FX translation on Citi’s reported loans was a negative $17 billion versus the prior-year period and negative $10 billion sequentially.
Excluding the impact of FX translation, Citi’s loans decreased 1% from the prior-year period, as 3% loan growth in Citicorp was offset by the continued declines in Citi Holdings. Consumer loans grew 2% year-over-year, driven by 4% growth internationally. Corporate loans grew 4% year-over-year. Traditional corporate lending balances grew 4%, with growth in North America driven by higher client transaction activity. Treasury and trade solutions loans decreased 8%, as Citi maintained trade origination volumes while reducing lower spread assets and increasing asset sales to optimize returns. Private bank and markets loans increased 16%, led by growth in the North America private bank, contributing to the revenue growth in that business. Citi Holdings loans decreased 21% year-over-year, mainly due to continued runoff and asset sales in the North America mortgage portfolio as well as the sales of the Greece and Spain consumer operations in the third quarter of 2014.
Sequentially, loans were relatively unchanged,excluding the impact of FX translation, as the decline in Citi Holdings loans was offset by continued growth in Citicorp, driven by consumer loans.
During the fourth quarter of 2014, average loans of $651 billion yielded an average rate of 6.7%, compared to $659 billion and 6.7% in the third quarter of 2014 and $659 billion and 7.0% in the fourth quarter of 2013.
For further information on Citi’s loan portfolios, see “Managing Global Risk—Credit Risk” and “— Country Risk” below.

Other Assets
The fluctuations in other assets during the periods presented were largely changes in brokerage receivables driven by normal business activities.


LIABILITIES

Deposits
For a discussion of Citi’s deposits, see “Managing Global Risk—Market Risk—Funding and Liquidity Risk” below.

Federal Funds Purchased and Securities Loaned or Sold Under Agreements to Repurchase (Repos)
Citi’s federal funds purchased were not significant for the periods presented. The decrease in repos and securities lending transactions was due to the impact of FX translation and the continued optimization of secured funding.
For further information on Citi’s secured financing transactions, see “Managing Global Risk—Market Risk—Funding and Liquidity” below.

Trading Account Liabilities
The increase in trading account liabilities from the prior-year period was consistent with and driven by the increase in trading account assets, as discussed above. Average trading account liabilities were $147 billion during the fourth quarter of 2014, compared to $112 billion in the fourth quarter of 2013.

Debt
For information on Citi’s long-term and short-term debt borrowings, see “Managing Global Risk—Market Risk—Funding and Liquidity Risk” below.

Other Liabilities
The increase in other liabilities from the prior-year period was driven by the reclassification to held-for-sale of approximately $21 billion of deposits as a result of Citi’s entry into an agreement in December 2014 to sell its Japan retail banking business, as well as changes in the levels of brokerage payables driven by normal business activities.




31


Segment Balance Sheet(1)
In millions of dollars
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
Consolidating
Eliminations(2)
Subtotal
Citicorp
Citi
Holdings
Citigroup
Parent
Company-
Issued
Long-Term
Debt and
Stockholders’
Equity(3)
Total
Citigroup
Consolidated
Assets       
Cash and deposits with banks$17,192
$62,245
$79,701
$159,138
$1,059
$—
$160,197
Federal funds sold and securities borrowed or purchased under agreements to resell5,317
236,211
—
241,528
1,042
—
242,570
Trading account assets7,328
284,922
754
293,004
3,782
—
296,786
Investments26,395
90,434
205,805
322,634
10,809
—
333,443
Loans, net of unearned income and      
allowance for loan losses287,934
272,002
—
559,936
68,705
—
628,641
Other assets51,885
74,259
42,284
168,428
12,465
—
180,893
Total assets$396,051
$1,020,073
$328,544
$1,744,668
$97,862
$—
$1,842,530
Liabilities and equity       
Total deposits (4)
$307,626
$558,926
$22,803
$889,355
$9,977
$—
$899,332
Federal funds purchased and securities loaned or sold under agreements to repurchase5,826
167,500
—
173,326
112
—
173,438
Trading account liabilities19
138,195
—
138,214
822
—
139,036
Short-term borrowings396
46,664
11,229
58,289
46
—
58,335
Long-term debt1,939
35,411
29,349
66,699
6,869
149,512
223,080
Other liabilities39,210
74,353
15,181
128,744
8,520
—
137,264
Net inter-segment funding (lending)41,035
(976)248,471
288,530
71,516
(360,046)—
Total liabilities$396,051
$1,020,073
$327,033
$1,743,157
$97,862
$(210,534)$1,630,485
Total equity—
—
1,511
1,511
—
210,534
212,045
Total liabilities and equity$396,051
$1,020,073
$328,544
$1,744,668
$97,862
$—
$1,842,530

(1)
The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of December 31, 2014. The respective segment information depicts the assets and liabilities managed by each segment as of such date. While this presentation is not defined by GAAP, Citi believes that these non-GAAP financial measures enhance investors’ understanding of the balance sheet components managed by the underlying business segments, as well as the beneficial inter-relationships of the asset and liability dynamics of the balance sheet components among Citi’s business segments.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within the Corporate/Other segment.
(3)The total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company Consolidated Balance Sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)
Reflects reclassification of approximately $21 billion of deposits to held-for-sale (Other liabilities) at December 31, 2014 as a result of the agreement to sell Citi’s retail banking business in Japan.



32


OFF BALANCEOFF-BALANCE SHEET ARRANGEMENTS

Citigroup enters into various types of off balanceoff-balance sheet arrangements in the ordinary course of business. Citi’s involvement in these arrangements can take many different forms, including without limitation:

purchasing or retaining residual and other interests in unconsolidated special purpose entities, such as credit card receivables and mortgage-backed and other asset-backed securitization entities;
holding senior and subordinated debt, interests in limited and general partnerships and equity interests in other unconsolidated special purpose entities;
providing guarantees, indemnifications, loan commitments, letters of credit and representations and warranties; and
entering into operating leases for property and equipment.

Citi enters into these arrangements for a variety of business purposes. For example, securitization arrangements offer investors access to specific cash flows and risks created through the securitization process. Securitization arrangements also assist Citi and Citi’sits customers in monetizing their financial assets and securing financing at more favorable rates than Citi or the customers could otherwise obtain.
The table below shows where a discussion of Citi’s various off balanceoff-balance sheet arrangements may be found in this Form 10-K. In addition, see NotesNote 1 22 and 27 to the Consolidated Financial Statements.

Types of Off BalanceOff-Balance Sheet Arrangements Disclosures in this Form 10-K
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEsSee Note 2221 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitmentsSee Note 2726 to the Consolidated Financial Statements.
GuaranteesSee Note 2726 to the Consolidated Financial Statements.
LeasesSee Note 2726 to the Consolidated Financial Statements.


33


CONTRACTUAL OBLIGATIONS

The following table includes information on Citigroup’s contractual obligations, as specified and aggregated pursuant to SEC requirements.requirements:
Contractual obligations by year Contractual obligations by year 
In millions of dollars20152016201720182019ThereafterTotal20182019202020212022ThereafterTotal
Long-term debt obligations—principal (1)
$31,070
$42,128
$40,249
$22,017
$22,117
$65,499
$223,080
$53,478
$36,289
$23,188
$21,019
$12,364
$90,371
$236,709
Long-term debt obligations—interest payments (2)
6,932
5,710
4,334
3,294
2,557
33,895
56,722
7,496
5,894
4,832
4,043
3,447
33,955
59,667
Operating and capital lease obligations1,415
1,192
964
771
679
4,994
10,015
968
837
676
568
469
2,593
6,111
Purchase obligations(3)
1,245
676
657
408
188
223
3,397
407
347
358
318
316
1,147
2,893
Other liabilities (4)
31,120
693
955
264
213
4,282
37,527
34,180
498
93
87
80
1,794
36,732
Total$71,782
$50,399
$47,159
$26,754
$25,754
$108,893
$330,741
$96,529
$43,865
$29,147
$26,035
$16,676
$129,860
$342,112

(1)For additional information about long-term debt obligations, see “Managing Global“Liquidity Risk—Market Risk—Funding and Liquidity”Long-Term Debt” below and Note 1817 to the Consolidated Financial Statements.
(2)Contractual obligations related to interest payments on long-term debt for 2015—20192018–2022 are calculated by applying the December 31, 2014 weighted- average2017 weighted-average interest rate (3.34%(3.57%) on average outstanding long-term debt to the average remaining contractual obligations on long-term debt for each of those years. The “Thereafter” interest payments on long-term debt for the remaining years to maturity (for 2020—(2023–2098) are calculated by applying current interest rates on the remaining contractual obligations on long-term debt for each of those years.
(3)Purchase obligations consist of obligations to purchase goods or services that are enforceable and legally binding on Citi. For presentation purposes, purchase obligations are included in the table above through the termination date of the respective agreements, even if the contract is renewable. Many of the purchase agreements for goods or services include clauses that would allow Citi to cancel the agreement with specified notice;notice, however, that impact is not included in the table above (unless Citi has already notified the counterparty of its intention to terminate the agreement).
(4)
Other liabilities reflected on Citigroup’s Consolidated Balance Sheet includes accounts payable, accrued expenses, uncertain tax positions and other liabilities that have been incurred and will ultimately be paid in cash; legal reserve accruals are not included in the table above. Also includes discretionary contributions in 20152018 for Citi’s non-U.S.employee-defined benefit obligations for the pension, postretirement and post employment plans and the non-U.S. postretirement plans, as well as employee benefit obligations accounted for under SFAS 87 (ASC 715), SFAS 106 (ASC 715) and SFAS 112 (ASC 712).defined contribution plans.

34


CAPITAL RESOURCES

Overview
Capital is used principally to support assets in Citi’s businesses and to absorb credit, market and operational losses. Citi primarily generates capital through earnings from its operating businesses. Citi may augment its capital through issuances of common stock, noncumulative perpetual preferred stock and equity issued through awards under employee benefit plans, among other issuances. During 2014, Citi continued to raise capital through noncumulative perpetual preferred stock issuances amounting to approximately $3.7 billion, resulting in a total of approximately $10.5 billion outstanding as of December 31, 2014.
Further, Citi’s capital levels may also be affected by changes in regulatoryaccounting and accountingregulatory standards, as well as U.S. corporate tax laws and the impact of future events on Citi’s business results, such as corporatechanges in interest and foreign exchange rates, as well as business and asset dispositions.
During 2017, Citi returned a total of $17.1 billion of capital to common shareholders in the form of share repurchases (approximately 214 million common shares) and dividends.

Capital Management
Citigroup’sCiti’s capital management framework is designed to ensure that Citigroup and its principal subsidiaries maintain sufficient capital consistent with each entity’s respective risk profile, management targets and all applicable regulatory standards and guidelines. Citi assesses its capital adequacy against a series of internal quantitative capital goals, designed to evaluate the Company’s capital levels in expected and stressed economic environments. Underlying these internal quantitative capital goals are strategic capital considerations, centered on preserving and building financial strength. Senior management,The Citigroup Capital Committee, with oversight from the Risk Management Committee of Citigroup’s Board of Directors, is responsiblehas responsibility for Citi’s aggregate capital structure, including the capital assessment and planning process, which is integrated into Citi’s capital plan. ImplementationBalance sheet management, including oversight of the capital planadequacy, for Citigroup’s subsidiaries is carried out mainly through Citigroup’sgoverned by each entity’s Asset and Liability Committee, with oversight from the Risk Management Committeewhere applicable. For additional information regarding Citi’s capital planning and stress testing exercises, see “Stress Testing—Component of Citigroup’s Board of Directors. Asset and liability committees are also established globally and for each significant legal entity, region, country and/or major line of business.Capital Planning” below.

Current Regulatory Capital Standards

Overview
Citi is subject to regulatory capital standards issued by the Federal Reserve Board, which commencing with 2014, constitute the substantial adoption of the finalU.S. Basel III rules. These rules establish an integrated capital adequacy framework, encompassing both risk-based capital ratios and leverage ratios.






Risk-Based Capital Ratios
The U.S. Basel III rules (Final Basel III Rules), such as those governingset forth the composition of regulatory capital (including the application of regulatory capital adjustments and deductions), as well as two comprehensive methodologies (a Standardized Approach and initiallyAdvanced Approaches) for measuring total risk-weighted assets. Total risk-weighted assets under the second quarterAdvanced Approaches, which are primarily models based, include credit, market, and operational risk-weighted assets. Conversely, the Standardized Approach excludes operational risk-weighted assets and generally applies prescribed supervisory risk weights to broad categories of 2014credit risk exposures. As a result, credit risk-weighted assets calculated under the Advanced Approaches are more risk sensitive than those calculated under the Standardized Approach. Market risk-weighted assets are derived on a generally consistent basis under both approaches.
The U.S. Basel III rules establish stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios for substantially all U.S. banking organizations, including Citi and Citibank, N.A. (Citibank). Moreover, these rules provide for both a fixed Capital Conservation Buffer and, for Advanced Approaches banking organizations, such as Citi and Citibank, also a discretionary Countercyclical Capital Buffer. These capital buffers would be available to absorb losses in conjunction withadvance of any potential impairment of regulatory capital below the granting of permission bystated minimum risk-based capital ratio requirements. In December 2017, the Federal Reserve Board voted to exit parallel reporting, approval to applyaffirm the Countercyclical Capital Buffer amount at the current level of 0%.
Further, the U.S. Basel III Advanced Approaches framework in deriving risk-based capital ratios. Further, the Final Basel III Rulesrules implement the “capital floor provision” of the so-called “Collins Amendment” of the Dodd-Frank Act, which requires Advanced Approaches
banking organizations such as Citi and Citibank, N.A., upon exiting parallel reporting, to calculate each of the three risk-based capital ratios (Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital) under both the Standardized Approach starting on January 1, 2015 (or, for 2014, prior to the effective date of the Standardized Approach, the Basel I credit risk and Basel II.5 market risk capital rules, subsequently referred to in this section as theU.S. Basel III 2014 Standardized Approach)Approach and the Advanced Approaches and publicly report (as well as measure compliance against) the lower of each of the resulting risk-based capital ratios.











GSIB Surcharge
The Federal Reserve Board imposes a risk-based capital surcharge upon U.S. bank holding companies that are identified as global systemically important bank holding companies (GSIBs), including Citi. The GSIB surcharge augments the Capital Conservation Buffer and, if invoked, any Countercyclical Capital Buffer, and would result in restrictions on earnings distributions (e.g., dividends, equity repurchases, and discretionary executive bonuses) should the expanded buffer be breached to absorb losses during periods of financial or economic stress, with the degree of such restrictions based upon the extent to which the expanded buffer is breached.
Under the FinalFederal Reserve Board’s rule, identification of a GSIB is based primarily on quantitative measurement indicators underlying five equally weighted broad categories of systemic importance: (i) size, (ii) interconnectedness, (iii) cross-jurisdictional activity, (iv) substitutability, and (v) complexity. With the exception of size, each of the other categories are composed of multiple indicators also of equal weight, and amounting to 12 indicators in total.
A U.S. bank holding company that is designated a GSIB under the established methodology is required, on an annual basis, to calculate a surcharge using two methods and will be subject to the higher of the resulting two surcharges. The first method (“method 1”) is based on the same five broad categories of systemic importance used to identify a GSIB. Under the second method (“method 2”), the substitutability category is replaced with a quantitative measure intended to assess the extent of a GSIB’s reliance on short-term wholesale funding. Moreover, method 1 incorporates relative measures of systemic importance across certain global banking organizations and a year-end spot foreign exchange rate, whereas method 2 uses fixed measures of systemic importance and application of an average foreign exchange rate over a three-year period. Effective for 2017 and thereafter, the GSIB surcharges calculated under both method 1 and method 2 are based on measures of systemic importance from the year immediately preceding that in which the GSIB surcharge calculations are being performed (e.g., the method 1 and method 2 GSIB surcharges to be calculated by December 31, 2017 will be based on 2016 systemic indicator data). Generally, the surcharge derived under method 2 will result in a higher surcharge than derived under method 1.
Should a GSIB’s systemic importance change year-over-year such that it becomes subject to a higher surcharge, the higher surcharge would not become effective for a full year (e.g., a higher surcharge calculated by December 31, 2018 would not become effective until January 1, 2020). However, if a GSIB’s systemic importance changes such that the GSIB would be subject to a lower surcharge, the GSIB would be subject to the lower surcharge beginning with the next calendar year (e.g., a lower surcharge calculated by December 31, 2018 would become effective January 1, 2019).






The following table sets forth Citi’s GSIB surcharge as derived under method 1 and method 2 for 2017 and 2016.
 20172016
Method 12.0%2.0%
Method 23.0
3.5

Citi’s GSIB surcharge effective for 2017 and 2016 was 3.0% and 3.5%, respectively, as derived under the higher method 2 result. Citi’s GSIB surcharge effective for 2018 will remain unchanged at 3.0%, as derived under the higher method 2 result. Citi expects that its method 2 GSIB surcharge will continue to remain higher than its method 1 GSIB surcharge, and as such Citi’s GSIB surcharge effective for 2019 will not exceed 3.0%, and Citi’s GSIB surcharge effective for 2020 is not expected to exceed 3.0%.
Transition Provisions
The U.S. Basel III Rules, Citi, as with principally all U.S. banking organizations, is also required to maintain a minimum Tier 1 Leverage ratio of 4% commencing in 2014. The Tier 1 Leverage ratio, a non-risk-based measure of capital adequacy, is defined as Tier 1 Capital as a percentage of quarterly adjusted average total assets less amounts deducted from Tier 1 Capital.

Basel III Transition Arrangements
The Final Basel III Rulesrules contain several differing, largely multi-year transition provisions (i.e., “phase-ins” and “phase-outs”), including with respect to the stated minimum Common Equity Tier 1 Capital and Tier 1 Capital ratio requirements, substantially all regulatory capital adjustments and deductions, and non-qualifying Tier 1 and Tier 2 Capital instruments (such as non-grandfathered trust preferred securities and certain subordinated debt issuances). Moreover, the GSIB surcharge, Capital Conservation Buffer, and any Countercyclical Capital Buffer (currently 0%), commenced phase-in on January 1, 2016, becoming fully effective on January 1, 2019. With the exception of the non-grandfathered trust preferred securities, which do not fully phase-out until January 1, 2022, and the capital buffers. Allbuffers and GSIB surcharge, which do not fully phase-in until January 1, 2019, all other transition provisions will be entirely reflected in Citi’s regulatory capital ratios by January 1, 2018. Citi considers all of these transition provisions with the exception of the phase-out of non-qualifying trust preferred securities from Tier 2 Capital, will beas being fully implemented byon January 1, 2019 (full implementation)., with the inclusion of the capital buffers and GSIB surcharge.


35


The following chart sets forth the transitional progression from January 1, 2016 to full implementation by January 1, 2019 of the regulatory capital components (i.e., inclusive of the mandatory 2.5% Capital Conservation Buffer and at least a 2% global systemically important bank holding company (GSIB) surcharge, but exclusive of the potential imposition of an additional Countercyclical Capital Buffer)Buffer at its current level of 0%, as well as an estimated 3.0% GSIB surcharge) comprising the effective minimum risk-based capital ratios.










Basel III Transition Arrangements: Minimum Risk-Based Capital Ratios
 

(1) The Final Basel III Rules do not address GSIBs. The transitional progression reflected in the chart above is consistent with the phase-in arrangement under the Basel Committee on Banking Supervision’s (Basel Committee) GSIB rules, which would subject Citi to at least a 2% GSIB surcharge. In December 2014, however, the Federal Reserve Board issued a notice of proposed rulemaking which would impose risk-based capital surcharges upon U.S. bank holding companies that are identified as GSIBs, including Citi. As of December 31, 2014, Citi estimates its GSIB surcharge under the Federal Reserve Board’s proposal would be 4%, compared to at least 2% under the Basel Committee requirements. For additional information regarding the Federal Reserve Board’s proposed rule, see “Regulatory Capital Standards Developments” below.
















36



The following chart presents the transition arrangements (phase-in and phase-out) from January 1, 2016 through January 1, 2018 under the FinalU.S. Basel III Rulesrules for significant regulatory capital adjustments and deductions relative to Citi.

Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions
 January 1,
 201620172018
Phase-in of Significant Regulatory Capital Adjustments and Deductions   
    
Common Equity Tier 1 Capital(1)
60%80%100%
    
Common Equity Tier 1 Capital(2)
60%80%100%
Additional Tier 1 Capital(2)
40%20%0%
 100%100%100%
    
Phase-out of Significant AOCI Regulatory Capital Adjustments   
    
Common Equity Tier 1 Capital(3)
40%20%0%
 January 1
 20142015201620172018
Phase-in of Significant Regulatory Capital Adjustments and Deductions     
      
Common Equity Tier 1 Capital(1)
20%40%60%80%100%
      
Common Equity Tier 1 Capital(2)
20%40%60%80%100%
Additional Tier 1 Capital(2)(3)
80%60%40%20%0%
 100%100%100%100%100%
      
Phase-out of Significant AOCI Regulatory Capital Adjustments     
      
Common Equity Tier 1 Capital(4)
80%60%40%20%0%
(1)Includes the phase-in of Common Equity Tier 1 Capital deductions for all intangible assets other than goodwill and mortgage servicing rights (MSRs); and excess over 10%/15% limitations for deferred tax assets (DTAs) arising from temporary differences, significant common stock investments in unconsolidated financial institutions and MSRs. Goodwill (including goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions) is fully deducted in arriving at Common Equity Tier 1 Capital commencing January 1, 2014.Capital. The amount of all other intangible assets, aside from MSRs, not deducted in arriving at Common Equity Tier 1 Capital are risk-weighted at 100%, as are the excess over the 10%/15% limitations for DTAs arising from temporary differences, significant common stock investments in unconsolidated financial institutions and MSRs prior to full implementation of the Final Basel III Rules. Upon full implementation,through December 31, 2017. Commencing January 1, 2018, the amount of temporary difference DTAs, significant common stock investments in unconsolidated financial institutions and MSRs not deducted in arriving at Common Equity Tier 1 Capital are risk-weighted at 250%.
(2)Includes the phase-in of the Common Equity Tier 1 Capital and Additional Tier 1 Capital adjustment for cumulative unrealized net gains (losses) related to changes in fair value of financial liabilities attributable to Citi’s own creditworthiness; and the phase-in of Common Equity Tier 1 Capital and Additional Tier 1 Capital deductions related to DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards and defined benefit pension plan net assets; and the phase-in of the Common Equity Tier 1 Capital adjustment for cumulative unrealized net gains (losses) related to changes in fair value of financial liabilities attributable to Citi’s own creditworthiness.
(3)To the extent Additional Tier 1 Capital is not sufficient to absorb regulatory capital adjustments and deductions, such excess is to be applied against Common Equity Tier 1 Capital.
(4)
Includes the phase-out from Common Equity Tier 1 Capital of adjustments related to net unrealized gains (losses) on available-for-sale (AFS) debt securities; unrealized gains on AFS equity securities; net unrealized gains (losses) on held-to-maturity (HTM) securities included in AOCI;Accumulated other comprehensive income (loss) (AOCI); and defined benefit plans liability adjustment.


Tier 1 Leverage Ratio
Under the U.S. Basel III rules, Citi, as with principally all U.S. banking organizations, is also required to maintain a minimum Tier 1 Leverage ratio of 4.0%. The Tier 1 Leverage ratio, a non-risk-based measure of capital adequacy, is defined as Tier 1 Capital as a percentage of quarterly adjusted average total assets less amounts deducted from Tier 1 Capital.

Supplementary Leverage Ratio
Advanced Approaches banking organizations are additionally required to calculate a Supplementary Leverage ratio, which significantly differs from the Tier 1 Leverage ratio by also including certain off-balance sheet exposures within the denominator of the ratio (Total Leverage Exposure). The Supplementary Leverage ratio represents end of period Tier 1 Capital to Total Leverage Exposure, with the latter defined as the sum of the daily average of on-balance sheet assets for the quarter and the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter, less applicable Tier 1 Capital deductions. Effective January 1, 2018, Advanced Approaches banking organizations are required to maintain a stated minimum Supplementary Leverage ratio of 3.0%.
Further, U.S. GSIBs, and their subsidiary insured depository institutions, including Citi and Citibank, are subject to enhanced Supplementary Leverage ratio standards. The enhanced Supplementary Leverage ratio standards establish a 2.0% leverage buffer for U.S. GSIBs in addition to the stated 3.0% minimum Supplementary Leverage ratio requirement in the U.S. Basel III rules. If a U.S. GSIB fails to exceed the 2.0% leverage buffer, it will be subject to increasingly onerous restrictions (depending upon the extent of the shortfall) regarding capital distributions and discretionary executive bonus payments. Accordingly, U.S. GSIBs are effectively subject to a 5.0% minimum Supplementary Leverage ratio requirement. Citi is required to be compliant with this higher effective minimum ratio requirement on January 1, 2018.

Prompt Corrective Action Framework
The U.S. Basel III rules revised the Prompt Corrective Action (PCA) regulations applicable to insured depository institutions in certain respects.
In general, the PCA regulations direct the U.S. banking agencies to enforce increasingly strict limitations on the activities of insured depository institutions that fail to meet certain regulatory capital thresholds. The PCA framework contains five categories of capital adequacy as measured by risk-based capital and leverage ratios: (i) “well capitalized,”
(ii) “adequately capitalized,” (iii) undercapitalized,” (iv) “significantly undercapitalized,” and (v) “critically undercapitalized.”
Accordingly, an insured depository institution, such as 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.” Additionally, insured depository institution subsidiaries of U.S. GSIBs, such as Citibank, must maintain a minimum Supplementary Leverage ratio of 6.0%, effective January 1, 2018, to be considered “well capitalized.”
Stress Testing Component of Capital Planning
Citi is subject to an annual assessment by the Federal Reserve Board as to whether Citigroup has effective capital planning processes as well as sufficient regulatory capital to absorb losses during stressful economic and financial conditions, while also meeting obligations to creditors and counterparties and continuing to serve as a credit intermediary. This annual assessment includes two related programs:

The Comprehensive Capital Analysis and Review (CCAR) evaluates Citi’s capital adequacy, capital adequacy process, and its planned capital distributions, such as dividend payments and common stock repurchases. As part of CCAR, the Federal Reserve Board assesses whether Citi has sufficient capital to continue operations throughout times of economic and financial market stress and whether Citi has robust, forward-looking capital planning processes that account for its unique risks. The Federal Reserve Board may object to Citi’s annual capital plan based on either quantitative or qualitative grounds. If the Federal Reserve Board objects to Citi’s annual capital plan, Citi may not undertake any capital distribution unless the Federal Reserve Board indicates in writing that it does not object to the distribution.

Dodd-Frank Act Stress Testing (DFAST) is a forward-looking quantitative evaluation of the impact of stressful economic and financial market conditions on Citi’s regulatory capital. This program serves to inform the Federal Reserve Board, the financial companies, and the general public, how Citi’s regulatory capital ratios might change using a hypothetical set of adverse economic conditions as designed by the Federal Reserve Board. In addition to the annual supervisory stress test conducted by the Federal Reserve Board, Citi is required to conduct annual company-run stress tests under the same adverse economic conditions designed by the Federal Reserve Board, as well as conduct a mid-cycle stress test under company-developed scenarios.

Both CCAR and DFAST include an estimate of projected revenues, losses, reserves, pro forma regulatory capital ratios, and any other additional capital measures deemed relevant by Citi. Projections are required over a nine-quarter planning horizon under three supervisory scenarios (baseline, adverse and severely adverse conditions). All risk-based capital ratios reflect application of the Standardized Approach framework and the transition arrangements under the U.S. Basel III rules. Moreover, the Federal Reserve Board has deferred the use of the Advanced Approaches framework indefinitely. Beginning in 2018, CCAR incorporates the Supplementary Leverage ratio. Accordingly, Advanced Approaches banking organizations are required to demonstrate an ability to maintain a Supplementary Leverage ratio in excess of the stated minimum requirement for all quarters of the 2018 CCAR planning horizon.
For additional information regarding CCAR, see “Risk Factors—Strategic Risks” below.

Citigroup’s Capital Resources Under Current Regulatory Standards
During 2014, Citi wasis required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4%4.5%, 5.5%6.0% and 8%8.0%, respectively.
Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2017, inclusive of the 50% phase-in of both the 2.5% Capital Conservation Buffer and the 3.0% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), are 7.25%, 8.75% and 10.75%, respectively. Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2016, inclusive of the 25% phase-in of both the 2.5% Capital Conservation Buffer and the 3.5% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), were 6.0%, 7.5% and 9.5%, respectively.
Furthermore, to be “well capitalized” under current federal bank regulatory agency definitions, a bank holding
company must have a Tier 1 Capital ratio of at least 6%6.0%, a Total Capital ratio of at least 10%10.0%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels.
The following table setstables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and capitalleverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of December 31, 20142017 and December 31, 2013.














2016.









37



Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
 December 31, 2014 
December 31, 2013(1)
In millions of dollars, except ratiosAdvanced Approaches
Standardized Approach(2)
 Advanced Approaches
Standardized Approach(2)
Common Equity Tier 1 Capital$166,984
$166,984
 $157,473
$157,473
Tier 1 Capital166,984
166,984
 157,473
157,473
Total Capital (Tier 1 Capital + Tier 2 Capital) (3)
185,280
196,379
 176,748
187,374
Risk-Weighted Assets1,275,012
1,080,716
 1,177,736
1,103,045
Quarterly Adjusted Average Total Assets (4)
1,849,297
1,849,297
 1,830,896
1,830,896
Common Equity Tier 1 Capital ratio (5)
13.10%15.45% 13.37%14.28%
Tier 1 Capital ratio (5)
13.10
15.45
 13.37
14.28
Total Capital ratio (5)
14.53
18.17
 15.01
16.99
Tier 1 Leverage ratio9.03
9.03
 8.60
8.60
 December 31, 2017 December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$147,891
$147,891
 $167,378
$167,378
Tier 1 Capital164,841
164,841
 178,387
178,387
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
190,331
202,284
 202,146
214,938
Total Risk-Weighted Assets1,134,864
1,138,167
 1,166,764
1,126,314
   Credit Risk(1)
$749,322
$1,072,440
 $773,483
$1,061,786
   Market Risk65,003
65,727
 64,006
64,528
   Operational Risk320,539
—
 329,275
—
Common Equity Tier 1 Capital ratio(2)
13.03%12.99% 14.35%14.86%
Tier 1 Capital ratio(2)
14.53
14.48
 15.29
15.84
Total Capital ratio(2)
16.77
17.77
 17.33
19.08
In millions of dollars, except ratiosDecember 31, 2017 December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,869,206
  $1,768,415
Total Leverage Exposure(4) 
 2,433,371
  2,351,883
Tier 1 Leverage ratio 8.82%  10.09%
Supplementary Leverage ratio 6.77
  7.58

(1)Pro forma presentation based on applicationUnder the U.S. Basel III rules, credit risk-weighted assets during the transition period reflect the effects of transition arrangements related to regulatory capital adjustments and deductions and, as a result, will differ from credit risk-weighted assets derived under full implementation of the Final Basel III Rules consistent with current period presentation.rules.
(2)Basel III 2014 Standardized Approach which reflects the application of the Basel I credit risk and Basel II.5 market risk capital rules.
(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 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 includable 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)Tier 1 Leverage ratio denominator.
(5)As of December 31, 20142017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2013,2016, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s capital ratios at December 31, 20142017 were in excess of the stated and effective minimum requirements under the FinalU.S. Basel III Rules.rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of December 31, 2014 and December 31, 2013.2017.


38


Components of Citigroup Capital Under Current Regulatory Standards
(Basel (Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsDecember 31,
2014
December 31,
2013(1)
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(2)
$200,190
$197,694
Add: Qualifying noncontrolling interests539
597
Regulatory Capital Adjustments and Deductions:  
Less: Net unrealized gains (losses) on securities AFS, net of tax(3)(4)
46
(1,312)
Less: Defined benefit plans liability adjustment, net of tax(4)
(4,127)
(3,191)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(5)
(909)
(1,245)
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax (4)(6)
56
35
Less: Intangible assets:  
   Goodwill, net of related deferred tax liabilities (DTLs) (7)
22,805
24,518
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
   DTLs(4)
875
990
Less: Defined benefit pension plan net assets(4)
187
225
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
   business credit carry-forwards (4)(8)
4,726
5,288
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs (4)(8)(9)
2,003
2,343
Less: Deductions applied to Common Equity Tier 1 Capital due to insufficient amount of Additional
Tier 1 Capital to cover deductions(4)
8,083
13,167
Total Common Equity Tier 1 Capital$166,984
$157,473
Additional Tier 1 Capital  
Qualifying perpetual preferred stock (2)
$10,344
$6,645
Qualifying trust preferred securities (10)
1,719
2,616
Qualifying noncontrolling interests7
8
Regulatory Capital Adjustment and Deductions:  
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax (4)(6)
223
142
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
279
243
Less: Defined benefit pension plan net assets(4)
749
900
Less: DTAs arising from net operating loss, foreign tax credit and general
   business credit carry-forwards (4)(8)
18,902
21,151
Less: Deductions applied to Common Equity Tier 1 Capital due to insufficient amount of Additional
   Tier 1 Capital to cover deductions(4)
(8,083)
(13,167)
Total Additional Tier 1 Capital$—
$—
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$166,984
$157,473
Tier 2 Capital  
Qualifying subordinated debt(12)
$17,386
$16,594
Qualifying trust preferred securities(10)
—
1,242
Qualifying noncontrolling interests12
13
Excess of eligible credit reserves over expected credit losses(13)
1,177
1,669
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
279
243
Total Tier 2 Capital$18,296
$19,275
Total Capital (Tier 1 Capital + Tier 2 Capital)$185,280
$176,748
In millions of dollarsDecember 31,
2017		December 31,
2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$181,671
$206,051
Add: Qualifying noncontrolling interests224
259
Regulatory Capital Adjustments and Deductions:  
Less: Net unrealized losses on securities available-for-sale (AFS), net of tax(2)(3)
(232)(320)
Less: Defined benefit plans liability adjustment, net of tax(3)
(1,237)(2,066)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(4)
(698)(560)
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(3)(5)
(577)(37)
Less: Intangible assets:  
   Goodwill, net of related deferred tax liabilities (DTLs)(6)
22,052
20,858
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
   DTLs(3)
3,521
2,926
Less: Defined benefit pension plan net assets(3)
717
514
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and
   general business credit carry-forwards(3)(7)
10,458
12,802
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs(3)(7)(8)
—
4,815
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$147,891
$167,378
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$19,069
$19,069
Qualifying trust preferred securities(9)
1,377
1,371
Qualifying noncontrolling interests105
17
Regulatory Capital Adjustment and Deductions:  
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(3)(5)
(144)(24)
Less: Defined benefit pension plan net assets(3)
179
343
Less: DTAs arising from net operating loss, foreign tax credit and
   general business credit carry-forwards(3)(7)
2,614
8,535
Less: Permitted ownership interests in covered funds(10)
900
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
52
61
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$16,950
$11,009
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Standardized Approach and Advanced Approaches)
$164,841
$178,387
Tier 2 Capital  
Qualifying subordinated debt$23,673
$22,818
Qualifying trust preferred securities(12)
329
317
Qualifying noncontrolling interests40
22
Eligible allowance for credit losses(13)
13,453
13,452
Regulatory Capital Adjustment and Deduction:  
Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital—
3
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
52
61
Total Tier 2 Capital (Standardized Approach)$37,443
$36,551
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$202,284
$214,938
Adjustment for excess of eligible credit reserves over expected credit losses(13)
$(11,953)$(12,792)
Total Tier 2 Capital (Advanced Approaches)$25,490
$23,759
 Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$190,331
$202,146


Footnotes are presented on the following page.



39


Citigroup Risk-Weighted Assets (Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsDecember 31,
2014
December 31,
2013(14)
Credit Risk (15)
$862,031
$834,082
Market Risk100,481
112,154
Operational Risk (16)
312,500
231,500
Total Risk-Weighted Assets$1,275,012
$1,177,736

(1)Pro forma presentation of regulatory capital components and tiers based on application of the Final Basel III Rules consistent with current period presentation.
(2)Issuance costs of $124 million and $93$184 million related to noncumulative perpetual preferred stock outstanding at December 31, 20142017 and December 31, 2013, respectively,2016 are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.generally accepted accounting principles (GAAP).
(3)(2)In addition, includes the net amount of unamortized loss on held-to-maturity (HTM) securities. This amount relates to securities that were previously transferred from AFS to HTM, and non-credit related factors such as changes in interest rates and liquidity spreads for HTM securities with other-than-temporary impairment.
(4)(3)The transition arrangements for significant regulatory capital adjustments and deductions impacting Common Equity Tier 1 Capital and/orand Additional Tier 1 Capital are set forth above in the tablechart entitled “Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions.”
(5)(4)
Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCIAccumulated other comprehensive income (loss) (AOCI) that relate to the hedging of items not recognized at fair value on the balance sheet.
(6)(5)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital and Additional Tier 1 Capital, in accordance with the FinalU.S. Basel III Rules.rules.
(7)(6)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(8)(7)Of Citi’s approximately $49.5$22.5 billion of net DTAs at December 31, 2014, approximately $25.52017, $10.2 billion of such assets were includable in regulatory capital pursuant to the FinalU.S. Basel III Rules,rules, while approximately $24.0$12.3 billion of such assets were excludedexcluded. Excluded from Citi’s regulatory capital at December 31, 2017 was in arriving at regulatory capital. Comprising the excluded net DTAs was an aggregate of approximately $25.6total $13.1 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, as well as temporary differences, of which $14.4$10.5 billion were deducted from Common Equity Tier 1 Capital and $11.2$2.6 billion were deducted from Additional Tier 1 Capital. In addition, approximately $1.6Capital, which was reduced by $0.8 billion of net DTLs primarily consisting of DTLs associated with goodwill and certain other intangible assets, partially offset by DTAs related to cash flow hedges, are permitted to be excluded prior to deriving the amount of net DTAs subject to deduction under these rules.assets. Separately, under the FinalU.S. Basel III Rules,rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital, while Citi’s current cash flow hedgesCapital. DTAs arising from net operating loss, foreign tax credit and the related deferred tax effectsgeneral business credit carry-forwards are not required to be reflecteddeducted from both Common Equity Tier 1 Capital and Additional Tier 1 Capital under the transition arrangements of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted solely from Common Equity Tier 1 Capital under these rules, if in regulatory capital.excess of 10%/15% limitations.
(9)(8)Aside fromAssets subject to 10%/15% limitations include MSRs, reflects DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At December 31, 2017, none of these assets were in excess of the 10%/15% limitations. At December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.
(10)(9)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the FinalU.S. Basel III Rules, as well as 50% of non-grandfathered trust preferred securities. The remaining 50% of non-grandfathered trust preferred securitiesrules.
(10)Banking entities are eligible for inclusionrequired to be in Tier 2 Capital during 2014 in accordancecompliance with the transition arrangements for non-qualifying capital instruments underVolcker Rule of the Final Basel III Rules.Dodd-Frank Act which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.
(11)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(12)Under the transition arrangements of the Final Basel III Rules, non-qualifying subordinated debt issuances which consist of those with a fixed-to-floating rate step-up feature where the call/step-up date hasEffective January 1, 2016, non-grandfathered trust preferred securities are not passedeligible for inclusion in Tier 1 Capital, but are eligible for 50% inclusion in Tier 2 Capital subject to full phase-out by January 1, 2022. Non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 50% and 60% during 2014, with the threshold based upon2017 and 2016, respectively, of the aggregate outstanding principal amounts of such issuances as of January 1, 2014.2014, in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules.
(13)Advanced Approaches banking organizations are permitted to includeUnder the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets. The total amount of eligible credit reserves in excess of expected credit losses that were eligible for inclusion in Tier 2 Capital, subject to limitation, under the Advanced Approaches framework was $1.5 billion and $0.7 billion at December 31, 2017 and December 31, 2016, respectively.

Citigroup Capital Rollforward Under Current Regulatory Standards (Basel III Transition Arrangements)
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
Common Equity Tier 1 Capital, beginning of period$162,008
$167,378
Net loss(18,893)(6,798)
Common and preferred stock dividends declared(1,160)(3,808)
 Net increase in treasury stock(5,480)(14,666)
Net change in common stock and additional paid-in capital112
(35)
Net increase in foreign currency translation adjustment net of hedges, net of tax(2,381)(202)
Net increase in unrealized losses on securities AFS, net of tax(792)(447)
Net increase in defined benefit plans liability adjustment, net of tax(674)(1,848)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
(58)(29)
Net increase in goodwill, net of related DTLs(520)(1,194)
Net change in identifiable intangible assets other than MSRs, net of related DTLs7
(595)
Net increase in defined benefit pension plan net assets(141)(203)
Net decrease in DTAs arising from net operating loss, foreign tax credit and
    general business credit carry-forwards
5,596
2,344
Net decrease in excess over 10%/15% limitations for other DTAs, certain common
    stock investments and MSRs
6,948
4,815
Other3,319
3,179
Net decrease in Common Equity Tier 1 Capital$(14,117)$(19,487)
Common Equity Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$147,891
$147,891
Additional Tier 1 Capital, beginning of period$15,296
$11,009
Net increase in qualifying trust preferred securities3
6
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
61
120
Net change in defined benefit pension plan net assets(35)164
Net decrease in DTAs arising from net operating loss, foreign tax credit and
    general business credit carry-forwards
1,400
5,921
Net change in permitted ownership interests in covered funds228
(367)
Other(3)97
Net increase in Additional Tier 1 Capital$1,654
$5,941
Additional Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$16,950
$16,950
Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$164,841
$164,841
Tier 2 Capital, beginning of period (Standardized Approach)$37,483
$36,551
Net increase in qualifying subordinated debt95
855
Net increase in qualifying trust preferred securities—
12
Net decrease in eligible allowance for credit losses(145)1
Other10
24
Net change in Tier 2 Capital (Standardized Approach)$(40)$892
Tier 2 Capital, end of period (Standardized Approach)$37,443
$37,443
Total Capital, end of period (Standardized Approach)$202,284
$202,284
 



Tier 2 Capital, beginning of period (Advanced Approaches)$25,339
$23,759
Net increase in qualifying subordinated debt95
855
Net increase in qualifying trust preferred securities—
12
Net increase in excess of eligible credit reserves over expected credit losses46
840
Other10
24
Net increase in Tier 2 Capital (Advanced Approaches)$151
$1,731
Tier 2 Capital, end of period (Advanced Approaches)$25,490
$25,490
Total Capital, end of period (Advanced Approaches)$190,331
$190,331

Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Standardized Approach with Transition Arrangements)
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
 Total Risk-Weighted Assets, beginning of period$1,158,679
$1,126,314
Changes in Credit Risk-Weighted Assets  
Net increase in general credit risk exposures(1)
10,883
26,037
Net increase in repo-style transactions(2)
4,071
19,489
Net change in securitization exposures(3)
514
(5,669)
Net increase in equity exposures269
1,825
Net decrease in over-the-counter (OTC) derivatives(4)
(24,058)(22,312)
Net decrease in other exposures(5)
(12,910)(11,510)
Net increase in off-balance sheet exposures(6)
203
2,794
Net change in Credit Risk-Weighted Assets$(21,028)$10,654
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(7)
$1,091
$15,254
Net decrease due to model and methodology updates(8)
(575)(14,055)
Net increase in Market Risk-Weighted Assets$516
$1,199
Total Risk-Weighted Assets, end of period$1,138,167
$1,138,167

(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three and twelve months ended December 31, 2017 primarily due to corporate loan growth.
(14)(2)Risk-weighted assets at December 31, 2013 are presented on a pro forma basis, assuming the application of the Final Basel III Rules consistent with current period presentation, including the resultant impact on credit risk-weighted assets.Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.
(15)(3)Under the Final Basel III Rules, credit risk-weighted assetsSecuritization exposures decreased during the transition period reflect the effects of transitional arrangements related to regulatory capital adjustments and deductions and,twelve months ended December 31, 2017 principally as a result will differof certain securitization exposures becoming subject to deduction from credit risk-weighted assets derivedTier 1 Capital under full implementationthe Volcker Rule of the rules.Dodd-Frank Act.
(16)(4)During 2014,OTC derivatives decreased during the three and twelve months ended December 31, 2017 primarily due to notional decreases.
(5)Other exposures include cleared transactions, unsettled transactions, and other assets. Other exposures decreased during the three and twelve months ended December 31, 2017 primarily due to a reduction in Citi’s operationaldeferred tax assets as a result of Tax Reform. For additional information regarding the impact of Tax Reform, see “Impact of Tax Reform” above.
(6)Off-balance sheet exposures increased during the twelve months ended December 31, 2017 primarily due to growth in corporate exposures.
(7)Risk levels increased during the three months ended December 31, 2017 primarily due to an increases in exposures subject to securitization charges and incremental risk charges, partially offset by a decrease in exposures subject to comprehensive risk and Risk Not In the Model. Risk levels increased during the twelve months ended December 31, 2017 primarily due to an increase in exposure levels subject to Stressed Value at Risk, as well as an increase in positions subject to securitization charges.
(8)Risk-weighted assets declined during the twelve months ended December 31, 2017, as Citi received supervisory approval to remove the Comprehensive Risk Measure model surcharge for correlation trading portfolios, commencing with the third quarter of 2017. Further contributing to the decline in risk-weighted assets were increased by $81 billion, of which $56 billion was in conjunction with the granting of permission by the Federal Reserve Board to exit the parallel run period and commence applying the Basel III Advanced Approaches framework, effective with the second quarter of 2014. Further, an additional $25 billion was recognized during the last sixtwelve months of 2014, reflecting an evaluation of ongoing eventsended December 31, 2017 were changes in model inputs regarding volatility and the banking industry.correlation between market risk factors.



40


Citigroup CapitalRisk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended 
 December 31, 2014		Twelve Months Ended 
 December 31, 2014
Common Equity Tier 1 Capital  
Balance, beginning of period(1)
$166,425
$157,473
Net income350
7,313
Dividends declared(190)(633)
Net increase in treasury stock(380)(1,232)
Net increase in additional paid-in capital(2)
229
778
Net increase in foreign currency translation adjustment net of hedges, net of tax(2,716)(4,946)
Net decrease in unrealized losses on securities AFS, net of tax(3)
94
339
Net increase in defined benefit plans liability adjustment, net of tax(3)
(213)(234)
Net increase in cumulative unrealized net gain related to changes in fair value of
    financial liabilities attributable to own creditworthiness, net of tax
(17)(21)
Net decrease in goodwill, net of related deferred tax liabilities (DTLs)873
1,713
Net change in other intangible assets other than mortgage servicing rights (MSRs),
    net of related DTLs
(14)115
Net decrease in defined benefit pension plan net assets49
38
Net decrease in deferred tax assets (DTAs) arising from net operating loss, foreign
    tax credit and general business credit carry-forwards
205
562
Net change in excess over 10%/15% limitations for other DTAs, certain common stock
    investments and MSRs
(88)340
Net decrease in regulatory capital deduction applied to Common Equity Tier 1 Capital
    due to insufficient Additional Tier 1 Capital to cover deductions
2,402
5,084
Other(25)295
Net increase in Common Equity Tier 1 Capital$559
$9,511
Common Equity Tier 1 Capital Balance, end of period$166,984
$166,984
Additional Tier 1 Capital  
Balance, beginning of period(1)
$—
$—
Net increase in qualifying perpetual preferred stock(4)
1,493
3,699
Net decrease in qualifying trust preferred securities(7)(897)
Net increase in cumulative unrealized net gain related to changes in fair value of
    financial liabilities attributable to own creditworthiness, net of tax
(69)(81)
Net decrease in defined benefit pension plan net assets194
151
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
    business credit carry-forwards
822
2,249
Net decrease in regulatory capital deduction applied to Common Equity Tier 1 Capital
    due to insufficient Additional Tier 1 Capital to cover deductions
(2,402)(5,084)
Other(31)(37)
Net change in Additional Tier 1 Capital$—
$—
Tier 1 Capital Balance, end of period$166,984
$166,984
Tier 2 Capital  
Balance, beginning of period(1)
$18,382
$19,275
Net increase in qualifying subordinated debt401
792
Net decrease in qualifying trust preferred securities—
(1,242)
Net decrease in excess of eligible credit reserves over expected credit losses(456)(492)
Other(31)(37)
Net decrease in Tier 2 Capital$(86)$(979)
Tier 2 Capital Balance, end of period$18,296
$18,296
Total Capital (Tier 1 Capital + Tier 2 Capital)$185,280
$185,280



41


(1)Pro forma presentation based on application of the Final Basel III Rules consistent with current period presentation.
(2)Primarily represents an increase in additional paid-in capital related to employee benefit plans.
(3)Presented net of impact of transition arrangements related to unrealized losses on securities AFS and defined benefit plans liability adjustment under the Final Basel III Rules.
(4)Citi issued approximately $3.7 billion and approximately $1.5 billion of qualifying perpetual preferred stock during the twelve months and three months ended December 31, 2014, respectively, which were partially offset by the netting of issuance costs of $31 million and $7 million during those periods.

Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended 
 December 31, 2014
Twelve Months Ended 
December 31, 2014(1)
 Total Risk-Weighted Assets, beginning of period$1,282,986
$1,103,045
Impact of adoption of Basel III Advanced Approaches(2)
—
74,691
Changes in Credit Risk-Weighted Assets  
Net change in retail exposures(3)
5,222
(29,820)
Net change in wholesale exposures(4)
(9,316)31,698
Net change in repo-style transactions(444)4,483
Net change in securitization exposures(166)2,470
Net decrease in equity exposures(893)(1,605)
Net change in over-the-counter (OTC) derivatives(5)
(10,158)9,148
Net increase in derivatives CVA1,834
4,544
Net change in other (6)
(5,004)5,706
Net change in supervisory 6% multiplier (7)
(1,245)1,325
Net change in Credit Risk-Weighted Assets$(20,170)$27,949
   
Changes in Market Risk-Weighted Assets  
Net change in risk levels(8)
$650
$(17,803)
Net change due to model and methodology updates(954)6,130
Net decrease in Market Risk-Weighted Assets$(304)$(11,673)
Net increase in Operational Risk-Weighted Assets (9)
$12,500
$81,000
Total Risk-Weighted Assets, end of period$1,275,012
$1,275,012
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
 Total Risk-Weighted Assets, beginning of period$1,143,448
$1,166,764
Changes in Credit Risk-Weighted Assets  
Net change in retail exposures(1)
994
(5,763)
Net increase in wholesale exposures(2)
8,676
2,730
Net change in repo-style transactions(3)
(2,097)2,563
Net change in securitization exposures(4)
2,139
(4,338)
Net increase in equity exposures272
1,608
Net decrease in over-the-counter (OTC) derivatives(5)
(1,724)(6,733)
Net decrease in derivatives CVA(6)
(3,533)(3,616)
Net decrease in other exposures(7)
(11,726)(9,449)
Net decrease in supervisory 6% multiplier(8)
(208)(1,163)
Net decrease in Credit Risk-Weighted Assets$(7,207)$(24,161)
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(9)
$1,210
$15,052
Net decrease due to model and methodology updates(10)
(575)(14,055)
Net increase in Market Risk-Weighted Assets$635
$997
Net decrease in Operational Risk-Weighted Assets(11)
$(2,012)$(8,736)
Total Risk-Weighted Assets, end of period$1,134,864
$1,134,864

(1)Total risk-weighted assets atRetail exposures increased during the beginning of the period (i.e., as ofthree months ended December 31, 2013) are presented on a pro forma basis2017 primarily due to reflect applicationincreases in qualifying revolving (cards) exposures attributable to seasonal holiday spending. Retail exposures decreased during the twelve months ended December 31, 2017 principally resulting from residential mortgage loan sales and repayments, and divestitures of the Final Basel III Rules related to the effect of transition arrangements on regulatory capital components, consistent with current period presentation.certain legacy assets.
(2) Reflects the effect of adjusting credit risk-weighted assets at the beginning of the period from a Basel I basis to a Basel III Advanced Approaches basis; adjusting market risk-weighted assets from a Basel II.5 basis to a Basel III Advanced Approach basis; and including operational risk-weighted assets as required under the Basel III Advanced Approaches rules.
(2)Wholesale exposures increased during the three and twelve months ended December 31, 2017 primarily due to corporate loan growth. The increase in wholesale exposures during the twelve months ended December 31, 2017 was partially offset by annual updates to model parameters.
(3)Retail exposuresRepo-style transactions decreased from year-end 2013, driven by reductionduring the three months ended December 31, 2017 primarily due to improved portfolio credit quality. Repo-style transactions increased during the twelve months ended December 31, 2017 primarily due to increased activity and a decline in loans and commitments, sale of consumer businesses in Spain and Greece and the impact of FX translation, offset by enhancements toportfolio credit risk models.quality.
(4)WholesaleSecuritization exposures increased during the three months ended December 31, 2017 primarily due to increased activity. Securitization exposures decreased during the twelve months ended December 31, 2017 principally as a result of certain securitization exposures becoming subject to deduction from September 30, 2014, driven by model parameter updates and reductions in loans and commitments. The increase from year-end 2013 was driven by enhancements to credit risk models.Tier 1 Capital under the Volcker Rule of the Dodd-Frank Act.
(5)OTC derivatives decreased from September 30, 2014, driven by model parameter updates. The increase from year-end 2013 was largelyduring the three months ended December 31, 2017 primarily due to enhancementsdecreases in trade volume and changes in fair value. OTC derivatives decreased during the twelve months ended December 31, 2017 primarily due to changes in fair value and improved portfolio credit risk models, partially offset by model parameter updates.quality.
(6)Derivatives CVA decreased during the three and twelve months ended December 31, 2017 primarily driven by decreased volatility and exposure reduction.
(7)Other includesexposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfoliosportfolios. Other exposures decreased during the three and twelve months ended December 31, 2017 primarily due to a reduction in Citi’s deferred tax assets as a result of exposures.Tax Reform. For additional information regarding the impact of Tax Reform, see “Impact of Tax Reform” above.
(7)(8)Supervisory 6% multiplier does not apply to derivatives CVA.
(8)(9)Market risk-weighted assetsRisk levels increased during the three months ended December 31, 2017 primarily due to an increases in exposures subject to securitization charges and incremental risk charges, partially offset by a decrease in exposures subject to comprehensive risk and Risk Not In the Model. Risk levels decreased from year-end 2013 driven by movementincreased during the twelve months ended December 31, 2017 primarily due to an increase in securitization positions from trading bookexposure levels subject to banking book,Stressed Value at Risk, as well as reductionsan increase in inventory positions.positions subject to securitization charges.
(10)Risk-weighted assets declined during the twelve months ended December 31, 2017, as Citi received supervisory approval to remove the Comprehensive Risk Measure model surcharge for correlation trading portfolios, commencing with the third quarter of 2017. Further contributing to the decline in risk-weighted assets during the twelve months ended December 31, 2017 were changes in model inputs regarding volatility and the correlation between market risk factors.
(11)Operational risk-weighted assets decreased during the three months ended December 31, 2017 primarily due to changes in operational loss severity and frequency. Operational risk-weighted assets decreased during the twelve months ended December 31, 2017 primarily due to assessed improvements in the business environment and risk controls and changes in operational loss severity and frequency.
(9) During the first quarter of 2014, Citi increased operational risk-weighted assets by $56 billion in conjunction with the granting of permission by the Federal Reserve Board to exit the parallel run period and commence applying the Basel III Advanced Approaches framework, effective with the second quarter of 2014. Citi’s operational risk-weighted assets were further increased by $12.5 billion during each of the third and fourth quarters of 2014, reflecting an evaluation of ongoing events in the banking industry.

Capital Resources of Citigroup’s Subsidiary U.S.
Depository Institutions Under Current Regulatory Standards
Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
During 2017, Citi’s primary subsidiary U.S. depository institution, Citibank, N.A. (Citibank), is subject to effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios, inclusive of the 50% phase-in of the 2.5% Capital Conservation Buffer, of 5.75%, 7.25% and 9.25%, respectively. Citibank’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2016, inclusive of the 25% phase-in of the 2.5% Capital
 
Conservation Buffer, were 5.125%, 6.625% and 8.625%, respectively. Citibank is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6.0% and 8.0%, respectively.
The following table setstables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and capitalleverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citibank, N.A., Citi’s primary subsidiary U.S. depository institution, as of December 31, 20142017 and December 31, 2013.2016.


42


Citibank N.A. Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
 December 31, 2014 
December 31, 2013(1)
In millions of dollars, except ratiosAdvanced Approaches
Standardized Approach(2)
 Advanced Approaches
Standardized Approach(2)
Common Equity Tier 1 Capital$129,135
$129,135
 $128,317
$128,317
Tier 1 Capital129,135
129,135
 128,317
128,317
Total Capital (Tier 1 Capital + Tier 2 Capital) (3)
140,119
150,215
 137,277
146,267
Risk-Weighted Assets946,333
906,250
 893,390
910,553
Quarterly Adjusted Average Total Assets (4)
1,367,444
1,367,444
 1,321,440
1,321,440
Common Equity Tier 1 Capital ratio (5)
13.65%14.25% 14.36%14.09%
Tier 1 Capital ratio (5)
13.65
14.25
 14.36
14.09
Total Capital ratio (5)
14.81
16.58
 15.37
16.06
Tier 1 Leverage ratio9.44
9.44
 9.71
9.71
 December 31, 2017 December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$124,733
$124,733
 $126,220
$126,220
Tier 1 Capital126,303
126,303
 126,465
126,465
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
139,351
150,289
 138,821
150,291
Total Risk-Weighted Assets954,559
1,014,242
 973,933
1,001,016
   Credit Risk$663,783
$970,064
 $669,920
$955,767
   Market Risk43,300
44,178
 44,579
45,249
   Operational Risk247,476
—
 259,434
—
Common Equity Tier 1 Capital ratio(2)
13.07%12.30% 12.96%12.61%
Tier 1 Capital ratio(2)
13.23
12.45
 12.99
12.63
Total Capital ratio(2)
14.60
14.82
 14.25
15.01

In millions of dollars, except ratiosDecember 31, 2017 December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,401,615
  $1,333,161
Total Leverage Exposure(4) 
 1,901,069
  1,859,394
Tier 1 Leverage ratio 9.01%  9.49%
Supplementary Leverage ratio 6.64
  6.80

(1)Pro forma presentation based on application of the Final Basel III Rules consistent with current period presentation.
(2)Basel III 2014 Standardized Approach which reflects the application of the Basel I credit risk and Basel II.5 market risk capital rules.
(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 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 includableeligible 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)Tier 1 Leverage ratio denominator.
(5)(2)As of December 31, 2014, Citibank, N.A.’s reportable Common Equity Tier 1 Capital, Tier 1 Capital,2017 and Total Capital ratios were the lower derived under the Basel III Advanced Approaches. As of December 31, 2013, Citibank, N.A.’s2016, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III 2014 Standardized Approach (Basel I credit riskApproach. As of December 31, 2017 and Basel II.5 market risk capital rules), whereas theDecember 31, 2016, Citibank’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at December 31, 2017 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of December 31, 2017 under the revised PCA regulations.
Further, Citibank is required to conduct the annual Dodd-Frank Act Stress Test. The annual stress test consists of a forward-looking quantitative evaluation of the impact of stressful economic and financial market conditions under


several scenarios on Citibank’s regulatory capital. This program serves to inform the Office of the Comptroller of
the Currency as to how Citibank’s regulatory capital ratios might change during a hypothetical set of adverse economic
conditions and to ultimately evaluate the reliability of Citibank’s capital planning process.


Impact of Changes on Citigroup and Citibank N.A. Capital Ratios Under Current Regulatory Capital Standards
The following table presentstables present the estimated sensitivity of Citigroup’s and Citibank, N.A.’sCitibank’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 as well asand quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), under current regulatory
capital standards (reflecting Basel III Transition Arrangements), as of December 31, 2014.2017. This information is
provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank, N.A.’sCitibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of regulatory capital, risk-weighted assets, or quarterly adjusted average total assets.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 this table.these tables.


Impact of Changes on Citigroup and Citibank Risk-Based Capital Ratios (Basel III Transition Arrangements)
Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratioTier 1 Leverage ratio
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1
Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total
Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1
Capital
Impact of
$1 billion
change in
 quarterly adjusted
average total
assets
Citigroup
Advanced Approaches0.8 bps1.0 bps0.8 bps1.0 bps0.8 bps1.1 bps0.5 bps0.5 bps
Standardized Approach (1)
0.9 bps1.4 bps0.9 bps1.4 bps0.9 bps1.7 bps0.5 bps0.5 bps
Citibank, N.A.
Advanced Approaches1.1 bps1.4 bps1.1 bps1.4 bps1.1 bps1.6 bps0.7 bps0.7 bps
Standardized Approach (1)
1.1 bps1.6 bps1.1 bps1.6 bps1.1 bps1.8 bps0.7 bps0.7 bps
 
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 Approaches0.91.10.91.30.91.5
Standardized Approach0.91.10.91.30.91.6
Citibank      
Advanced Approaches1.01.41.01.41.01.5
Standardized Approach1.01.21.01.21.01.5

(1) BaselImpact of Changes on Citigroup and Citibank Leverage Ratios (Basel III 2014 Standardized Approach which reflects the application of the Basel I credit risk and Basel II.5 market risk capital rules.Transition Arrangements)

43
 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
Citigroup0.50.50.40.3
Citibank0.70.60.50.3


Citigroup Broker-Dealer Subsidiaries
At December 31, 2014,2017, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $5.5$11.0 billion, which exceeded the minimum requirement by $4.4$9.0 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $18.1 billion at December 31, 2017, which exceeded the PRA's minimum regulatory capital requirements.




In addition, certain of Citi’s other broker-dealer
subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other broker-dealer subsidiaries were in compliance with their capital requirements at December 31, 2014.2017.












Basel III (Full Implementation)

Citigroup’s Capital Resources Under Basel III (Full
(Full Implementation)
Citi currently anticipatesestimates that its effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratio requirements under the FinalU.S. Basel III Rules,rules, on a fully implemented basis, will beinclusive of the 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at least 9%its current level of 0%, 10.5% and 12.5%, respectively. However, Citi’s effective minimum ratio requirements will be higher if the Federal Reserve Board’sas well as an expected 3.0% GSIB surcharge, rule were tomay be adopted as proposed.10.0%, 11.5% and 13.5%, respectively.
Further, under the FinalU.S. Basel III Rules,rules, Citi must also comply with a 4%4.0% minimum Tier 1 Leverage ratio requirement and an effective 5%5.0% minimum Supplementary Leverage ratio requirement.
The following table setstables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and capitalleverage ratios, assuming full implementation under the FinalU.S. Basel III Rulesrules, for Citi assuming full implementation, as of December 31, 20142017 and December 31, 2013.2016.
At December 31, 2017, Citi’s constraining Common Equity Tier 1 Capital and Tier 1 Capital ratios were those derived under the Basel III Standardized Approach, whereas Citi’s binding Total Capital ratio was that resulting from application of the Basel III Advanced Approaches framework. Further, each of Citi’s risk-based capital ratios was constrained by the Basel III Advanced Approaches framework for all periods prior to June 30, 2017.


Citigroup Capital Components and Ratios Under Basel III (Full Implementation)
 December 31, 2014 December 31, 2013
In millions of dollars, except ratiosAdvanced Approaches
Standardized Approach(1)
 Advanced Approaches
Standardized Approach(1)
Common Equity Tier 1 Capital$136,806
$136,806
 $125,597
$125,597
Tier 1 Capital148,275
148,275
 133,412
133,412
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)
165,663
178,625
 150,049
161,782
Risk-Weighted Assets1,292,878
1,228,748
 1,185,766
1,176,886
Quarterly Adjusted Average Total Assets(3)
1,835,497
1,835,497
 1,814,368
1,814,368
Common Equity Tier 1 Capital ratio(4)(5)
10.58%11.13% 10.59%10.67%
Tier 1 Capital ratio(4)(5)
11.47
12.07
 11.25
11.34
Total Capital ratio(4)(5)
12.81
14.54
 12.65
13.75
Tier 1 Leverage ratio(5) 
8.08
8.08
 7.35
7.35
 December 31, 2017 December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$142,822
$142,822
 $149,516
$149,516
Tier 1 Capital162,377
162,377
 169,390
169,390
Total Capital (Tier 1 Capital + Tier 2 Capital)187,877
199,989
 193,160
205,975
Total Risk-Weighted Assets1,152,644
1,155,099
 1,189,680
1,147,956
   Credit Risk$767,102
$1,089,372
 $796,399
$1,083,428
   Market Risk65,003
65,727
 64,006
64,528
   Operational Risk320,539
—
 329,275
���
Common Equity Tier 1 Capital ratio(1)(2)
12.39%12.36% 12.57%13.02%
Tier 1 Capital ratio(1)(2)
14.09
14.06
 14.24
14.76
Total Capital ratio(1)(2)
16.30
17.31
 16.24
17.94

(1) Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios as well as related components reflect application of the Basel III Standardized Approach framework effective January 1, 2015.
In millions of dollars, except ratiosDecember 31, 2017 December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,868,326
  $1,761,923
Total Leverage Exposure(4) 
 2,432,491
  2,345,391
Tier 1 Leverage ratio(2)
 8.69%  9.61%
Supplementary Leverage ratio(2)
 6.68
  7.22

(1)As of December 31, 2017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2016, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(2)UnderCiti’s Basel III risk-based capital and leverage ratios and related components, on a fully implemented basis, are non-GAAP financial measures. Citi believes these ratios and the Advanced Approaches framework eligible credit reserves that exceed expected credit losses are eligible for inclusion in related components provide useful information to investors and others by measuring Citi’s progress against future regulatory capital standards.
(3)Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is includable 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.1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.
(3) Tier 1 Leverage ratio denominator.
(4) As of December 31, 2014 and December 31, 2013, Citi’s Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(5) Citi’s Basel III capital ratios and certain related components are non-GAAP financial measures. Citi believes these ratios and their related components provide useful information to investors and others by measuring Citi’s progress against future regulatory capital standards.


Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 10.6%12.4% at December 31, 2014, unchanged from that estimated as of2017, compared to 13.0% at September 30, 2017 and 12.6% at December 31, 2013 (both based on application of the Advanced Approaches for determining total risk-weighted assets).2016. The ratio remained stabledeclined quarter-over-quarter and year-over-year, as the growthprimarily due to a reduction in Common Equity Tier 1 Capital largely reflecting net incomeresulting from the return of $7.3 billion andcapital to common shareholders as well as the favorable effects attributable to DTA utilizationimpact of approximately $3.3Tax Reform.


billion, was offset by a decline in Accumulated other comprehensive income (loss), and higher credit and operational risk-weighted assets.







44


Components of Citigroup Capital Under Basel III (Advanced Approaches with Full(Full Implementation)
In millions of dollarsDecember 31,
2014		December 31, 2013
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity (1)
$200,190
$197,694
Add: Qualifying noncontrolling interests165
182
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax (2)
(909)(1,245)
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax (3)
279
177
Less: Intangible assets:  
  Goodwill, net of related deferred tax liabilities (DTLs) (4)
22,805
24,518
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs4,373
4,950
Less: Defined benefit pension plan net assets936
1,125
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
   business credit carry-forwards (5)
23,628
26,439
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs (5)(6)
12,437
16,315
Total Common Equity Tier 1 Capital$136,806
$125,597
Additional Tier 1 Capital  
Qualifying perpetual preferred stock (1)
$10,344
$6,645
Qualifying trust preferred securities (7)
1,369
1,374
Qualifying noncontrolling interests35
39
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(8)
279
243
Total Additional Tier 1 Capital$11,469
$7,815
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$148,275
$133,412
Tier 2 Capital  
Qualifying subordinated debt (9)
$16,094
$14,414
Qualifying trust preferred securities (10)
350
745
Qualifying noncontrolling interests46
52
Excess of eligible credit reserves over expected credit losses(11)
1,177
1,669
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(8)
279
243
Total Tier 2 Capital$17,388
$16,637
Total Capital (Tier 1 Capital + Tier 2 Capital) (12)
$165,663
$150,049
In millions of dollarsDecember 31,
2017		December 31,
2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$181,671
$206,051
Add: Qualifying noncontrolling interests153
129
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)
(698)(560)
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(3)
(721)(61)
Less: Intangible assets:  
  Goodwill, net of related DTLs(4)
22,052
20,858
    Identifiable intangible assets other than MSRs, net of related DTLs4,401
4,876
Less: Defined benefit pension plan net assets896
857
Less: DTAs arising from net operating loss, foreign tax credit and general business credit
   carry-forwards(5)
13,072
21,337
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs(5)(6)
—
9,357
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$142,822
$149,516
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$19,069
$19,069
Qualifying trust preferred securities(7)
1,377
1,371
Qualifying noncontrolling interests61
28
Regulatory Capital Deductions:  
Less: Permitted ownership interests in covered funds(8)
900
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
52
61
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$19,555
$19,874
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Standardized Approach and Advanced Approaches)
$162,377
$169,390
Tier 2 Capital  
Qualifying subordinated debt$23,673
$22,818
Qualifying trust preferred securities(10)
329
317
Qualifying noncontrolling interests50
36
Eligible allowance for credit losses(11)
13,612
13,475
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
52
61
Total Tier 2 Capital (Standardized Approach)$37,612
$36,585
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$199,989
$205,975
Adjustment for excess of eligible credit reserves over expected credit losses(11)
$(12,112)$(12,815)
Total Tier 2 Capital (Advanced Approaches)$25,500
$23,770
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$187,877
$193,160

(1)Issuance costs of $124 million and $93$184 million related to noncumulative perpetual preferred stock outstanding at December 31, 20142017 and December 31, 2013, respectively,2016 are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCI that relate to the hedging of items not recognized at fair value on the balance sheet.
(3)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital, in accordance with the FinalU.S. Basel III Rules.rules.
(4)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.





Footnotes continue on the following page.

(5)Of Citi’s approximately $49.5$22.5 billion of net DTAs at December 31, 2014, approximately $15.22017, $10.2 billion of such assets were includable in regulatory capital pursuant to the Final Basel III Rules, while approximately $34.3 billion of such assets were excluded in arriving at Common Equity Tier 1 Capital. ComprisingCapital pursuant to the excluded net DTAsU.S. Basel III rules, while $12.3 billion were excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of December 31, 2017 was an aggregate of approximately $35.9$13.1 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, as well as temporary differences that were deducted from Common Equity Tier 1 Capital. In addition, approximately $1.6which was reduced by $0.8 billion of net DTLs primarily consisting of DTLs associated with goodwill and certain other intangible assets, partially offset by DTAs related to cash flow hedges, are permitted to be excluded prior to deriving the amount of net DTAs subject to deduction under these rules.assets. Separately, under the FinalU.S. Basel III Rules,rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital, while Citi’s current cash flow hedgesCapital. DTAs arising from net operating loss, foreign tax credit and the related deferred tax effectsgeneral business credit carry-forwards are not required to be reflectedentirely deducted from Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted from Common Equity Tier 1 Capital if in regulatory capital.excess of 10%/15% limitations.
(6)Aside fromAssets subject to 10%/15% limitations include MSRs, reflects DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At December 31, 2017, none of these assets were in excess of the 10%/15% limitations. At December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.
(7)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the FinalU.S. Basel III Rules.rules.
(8)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act which prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.
(9)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.

45


(9)Non-qualifying subordinated debt issuances which consist of those with a fixed-to-floating rate step-up feature where the call/step-up date has not passed are excluded from Tier 2 Capital.
(10)Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the FinalU.S. Basel III Rules,rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
(11)Advanced Approaches banking organizations are permitted to includeUnder the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.
(12)Total Capital as calculated under Advanced Approaches, which differs from the Standardized Approach in the treatment of the The total amount of eligible credit reserves includablein excess of expected credit losses that were eligible for inclusion in Tier 2 Capital.Capital, subject to limitation, under the Advanced Approaches framework was $1.5 billion and $0.7 billion at December 31, 2017 and December 31, 2016, respectively.





Citigroup Capital Rollforward Under Basel III (Advanced Approaches(Full Implementation)
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
Common Equity Tier 1 Capital, beginning of period$153,534
$149,516
Net loss(18,893)(6,798)
Common and preferred stock dividends declared(1,160)(3,808)
 Net increase in treasury stock(5,480)(14,666)
Net change in common stock and additional paid-in capital112
(35)
Net increase in foreign currency translation adjustment net of hedges, net of tax(2,381)(202)
Net increase in unrealized losses on securities AFS, net of tax(990)(359)
Net increase in defined benefit plans liability adjustment, net of tax(843)(1,019)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
3
91
Net increase in goodwill, net of related DTLs(520)(1,194)
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs9
475
Net increase in defined benefit pension plan net assets(176)(39)
 Net decrease in DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards6,996
8,265
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock
    investments and MSRs
9,298
9,357
Other3,313
3,238
Net decrease in Common Equity Tier 1 Capital$(10,712)$(6,694)
Common Equity Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$142,822
$142,822
Additional Tier 1 Capital, beginning of period$19,315
$19,874
Net increase in qualifying trust preferred securities3
6
Net change in permitted ownership interests in covered funds228
(367)
Other9
42
Net change in Additional Tier 1 Capital$240
$(319)
Additional Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$19,555
$19,555
Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$162,377
$162,377
Tier 2 Capital, beginning of period (Standardized Approach)$37,490
$36,585
Net increase in qualifying subordinated debt95
855
Net increase in eligible allowance for credit losses14
137
Other13
35
Net increase in Tier 2 Capital (Standardized Approach)$122
$1,027
Tier 2 Capital, end of period (Standardized Approach)$37,612
$37,612
Total Capital, end of period (Standardized Approach)$199,989
$199,989
   
Tier 2 Capital, beginning of period (Advanced Approaches)$25,346
$23,770
Net increase in qualifying subordinated debt95
855
Net increase in excess of eligible credit reserves over expected credit losses46
840
Other13
35
Net increase in Tier 2 Capital (Advanced Approaches)$154
$1,730
Tier 2 Capital, end of period (Advanced Approaches)$25,500
$25,500
Total Capital, end of period (Advanced Approaches$187,877
$187,877




Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach with Full Implementation)
In millions of dollarsThree Months Ended 
 December 31, 2014		Twelve Months Ended 
 December 31, 2014
Common Equity Tier 1 Capital  
Balance, beginning of period$138,762
$125,597
Net income350
7,313
Dividends declared(190)(633)
Net increase in treasury stock(380)(1,232)
Net increase in additional paid-in capital(1)
229
778
Net increase in foreign currency translation adjustment net of hedges, net of tax(2,716)(4,946)
Net decrease in unrealized losses on securities AFS, net of tax470
1,697
Net increase in defined benefit plans liability adjustment, net of tax(1,064)(1,170)
Net increase in cumulative unrealized net gain related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax(86)(102)
Net decrease in goodwill, net of related deferred tax liabilities (DTLs)873
1,713
Net change in other intangible assets other than mortgage servicing rights (MSRs),
   net of related DTLs
(66)577
Net decrease in defined benefit pension plan net assets243
189
Net decrease in deferred tax assets (DTAs) arising from net operating loss, foreign
    tax credit and general business credit carry-forwards
1,027
2,811
Net change in excess over 10%/15% limitations for other DTAs, certain common stock
   investments and MSRs
(639)3,878
Other(7)336
Net change in Common Equity Tier 1 Capital$(1,956)$11,209
Common Equity Tier 1 Capital Balance, end of period$136,806
$136,806
Additional Tier 1 Capital  
Balance, beginning of period$10,010
$7,815
Net increase in qualifying perpetual preferred stock(2)
1,493
3,699
Net decrease in qualifying trust preferred securities(1)(5)
Other(33)(40)
Net increase in Additional Tier 1 Capital$1,459
$3,654
Tier 1 Capital Balance, end of period$148,275
$148,275
Tier 2 Capital  
Balance, beginning of period$17,482
$16,637
Net increase in qualifying subordinated debt401
1,680
Net decrease in excess of eligible credit reserves over expected credit losses(456)(492)
Other(39)(437)
Net change in Tier 2 Capital$(94)$751
Tier 2 Capital Balance, end of period$17,388
$17,388
Total Capital (Tier 1 Capital + Tier 2 Capital)$165,663
$165,663
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
 Total Risk-Weighted Assets, beginning of period$1,182,918
$1,147,956
Changes in Credit Risk-Weighted Assets  
Net increase in general credit risk exposures(1)
10,883
26,037
Net increase in repo-style transactions4,071
19,489
Net change in securitization exposures514
(5,669)
Net increase in equity exposures493
2,332
Net decrease in over-the-counter (OTC) derivatives(24,058)(22,312)
Net decrease in other exposures(2)
(20,441)(16,727)
Net increase in off-balance sheet exposures203
2,794
Net change in Credit Risk-Weighted Assets$(28,335)$5,944
Changes in Market Risk-Weighted Assets  
Net increase in risk levels$1,091
$15,254
Net decrease due to model and methodology updates(575)(14,055)
Net increase in Market Risk-Weighted Assets$516
$1,199
Total Risk-Weighted Assets, end of period$1,155,099
$1,155,099

(1)Primarily represents an increase in additional paid-in capital related to employee benefit plans.General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases.
(2)Citi issued approximately $3.7 billionOther exposures include cleared transactions, unsettled transactions, and approximately $1.5 billion of qualifying perpetual preferred stock during the twelve months and three months ended December 31, 2014, respectively, which were partially offset by the netting of issuance costs of $31 million and $7 million for those periods.

46


Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at December 31, 2014(1)
 Advanced Approaches Standardized Approach
In millions of dollarsCiticorpCiti HoldingsTotal CiticorpCiti HoldingsTotal
Credit Risk$760,690
$119,207
$879,897
 $1,033,064
$95,203
$1,128,267
Market Risk95,835
4,646
100,481
 95,835
4,646
100,481
Operational Risk (2)
258,693
53,807
312,500
 —
—
—
Total Risk-Weighted Assets$1,115,218
$177,660
$1,292,878
 $1,128,899
$99,849
$1,228,748

Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at December 31, 2013(1)
 Advanced Approaches Standardized Approach
In millions of dollarsCiticorpCiti HoldingsTotal CiticorpCiti HoldingsTotal
Credit Risk$693,469
$148,644
$842,113
 $962,456
$102,277
$1,064,733
Market Risk106,919
5,234
112,153
 106,919
5,234
112,153
Operational Risk159,500
72,000
231,500
 —
—
—
Total Risk-Weighted Assets$959,888
$225,878
$1,185,766
 $1,069,375
$107,511
$1,176,886

(1)Calculated based on the Final Basel III Rules.
(2)During 2014, Citi’s operational risk-weighted assets were increased by $81 billion, of which $56 billion was in conjunction with the granting of permission by the Federal Reserve Board to exit the parallel run period and commence applying the Basel III Advanced Approaches framework, effective with the second quarter of 2014. Further, an additional $25 billion was recognized during the last six months of 2014, reflecting an evaluation of ongoing events in the banking industry.other assets.

Total risk-weighted assets under the Basel III Advanced Approaches increased from year-end 2013 largely due to the previously mentioned increases in operational risk-weighted assets throughout 2014 as well as enhancements to Citi’s credit risk models, partially offset by model parameter updates, the impact of FX translation and the ongoing decline in Citi Holdings assets.
Total risk-weighted assets under the Basel III Standardized Approach increased during 2014 substantially due to an increase in credit risk-weighted assets attributable to an increase in derivative exposures and corporate lending products within the ICG businesses, partially offset by the ongoing decline in Citi Holdings assets.







































47


Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)
In millions of dollars
Three Months Ended 
 December 31, 2014(1)
Twelve Months Ended 
 December 31, 2014(1)
 Total Risk-Weighted Assets, beginning of period$1,301,958
$1,185,766
Changes in Credit Risk-Weighted Assets  
Net change in retail exposures(2)
5,222
(29,820)
Net change in wholesale exposures(3)
(9,316)31,698
Net change in repo-style transactions(444)4,483
Net change in securitization exposures(166)2,470
Net decrease in equity exposures(770)(1,681)
Net change in over-the-counter (OTC) derivatives(4)
(10,158)9,148
Net increase in derivatives CVA1,834
4,544
Net change in other(5)
(6,170)12,638
Net change in supervisory 6% multiplier(6)
(1,308)4,305
Net change in Credit Risk-Weighted Assets$(21,276)$37,785
Changes in Market Risk-Weighted Assets  
Net change in risk levels(7)
$650
$(17,803)
Net change due to model and methodology updates(954)6,130
Net decrease in Market Risk-Weighted Assets$(304)$(11,673)
Net increase in Operational Risk-Weighted Assets (8)
$12,500
$81,000
Total Risk-Weighted Assets, end of period$1,292,878
$1,292,878
In millions of dollarsThree Months Ended December 31, 2017Twelve Months Ended 
 December 31, 2017
 Total Risk-Weighted Assets, beginning of period$1,169,142
$1,189,680
Changes in Credit Risk-Weighted Assets  
Net change in retail exposures994
(5,763)
Net increase in wholesale exposures8,676
2,730
Net change in repo-style transactions(2,097)2,563
Net change in securitization exposures2,139
(4,338)
Net increase in equity exposures496
2,115
Net decrease in over-the-counter (OTC) derivatives(1,724)(6,733)
Net decrease in derivatives CVA(3,533)(3,616)
Net decrease in other exposures(1)
(19,416)(14,801)
Net decrease in supervisory 6% multiplier(2)
(656)(1,454)
Net decrease in Credit Risk-Weighted Assets$(15,121)$(29,297)
Changes in Market Risk-Weighted Assets  
Net increase in risk levels$1,210
$15,052
Net decrease due to model and methodology updates(575)(14,055)
Net increase in Market Risk-Weighted Assets$635
$997
Net decrease in Operational Risk-Weighted Assets$(2,012)$(8,736)
Total Risk-Weighted Assets, end of period$1,152,644
$1,152,644

(1)Calculated based on the Final Basel III Rules.Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories, and non-material portfolios.
(2)Retail exposures decreased from year-end 2013, driven by reduction in loans and commitments, the sales of consumer businesses in Spain and Greece and the impact of FX translation, offset by enhancements to credit risk models.
(3)Wholesale exposures decreased from September 30, 2014, driven by model parameter updates and reductions in loan and commitments. The increase from year-end 2013 was driven by enhancements to credit risk models.
(4)OTC derivatives decreased from September 30, 2014, driven by model parameter updates. The increase from year-end 2013 was largely due to enhancements to credit risk models, partially offset by model parameter updates.
(5) Other includes cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios of exposures.
(6)Supervisory 6% multiplier does not apply to derivatives CVA.
(7)Market risk-weighted assets risk levels decreased from year-end 2013 driven by movement in securitization positions from trading book to banking book, as well as reductions in inventory positions.
(8) During the first quarter of 2014, Citi increased operational

Total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2016 substantially due to higher credit risk-weighted assets, primarily resulting from corporate loan growth and increased repo-style transaction activity, partially offset by approximately $56 billiona decrease in conjunction with the grantingOTC derivative trade activity and a reduction in Citi’s deferred tax assets as a result of permission by the Federal Reserve Board to exit the parallel run period and commence applyingTax Reform.
Total risk-weighted assets under the Basel III Advanced Approaches framework, effective with the second quarter of 2014. Citi’sdecreased from year-end 2016, driven by substantially lower credit and operational risk-weighted assets. The decrease in credit risk-weighted assets were further increased by $12.5 billion during eachwas primarily due to a reduction in Citi’s deferred tax assets as a result of the thirdTax Reform, changes in fair value and fourth quartersimproved portfolio credit quality of 2014, reflecting an evaluationOTC derivatives, residential mortgage loan sales and repayments, and divestitures of ongoing eventscertain legacy assets. Operational risk-weighted assets decreased from year-end 2016 primarily due to assessed improvements in the banking industry.business environment and risk controls, as well as changes in operational loss severity and frequency.

Supplementary Leverage Ratio
Under the Final Basel III Rules, Advanced Approaches banking organizations, including Citi and Citibank, N.A., are also required to calculate aCitigroup’s Supplementary Leverage ratio which significantly differswas 6.7% for the fourth quarter of 2017, compared to 7.1% for the third quarter of 2017 and 7.2% for the fourth quarter of 2016. The decline in the ratio quarter-over-quarter was principally driven by a reduction in Tier 1 Capital resulting from the Tier 1 Leverage ratio by also including certain off-balance sheet exposures within the denominatorreturn of the ratio (Total Leverage Exposure).
In September 2014, the U.S. banking agencies adopted revisions$6.3 billion of capital to the Final Basel III Rules (Revised Final Basel III Rules) with respect to the definition of Total Leverage Exposurecommon shareholders as well as the frequency with which certain componentsimpact of Tax Reform. The decline in the Supplementary Leverage ratio are calculated. As revised,from the Supplementary Leverage ratio represents endfourth quarter of period2016 was largely attributable to a reduction in Tier 1 Capital resulting from the return of $17.1 billion of capital to
common shareholders as well as the impact of Tax Reform, in conjunction with an increase in Total Leverage Exposure with the latter defined as the sum of the dailyprimarily due to growth in average of on-balance sheet assets for the quarter and the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter, less applicable Tier 1 Capital deductions.
Under the Revised Final Basel III Rules, the definition of Total Leverage Exposure has been modified from that of the Final Basel III Rules in certain respects, such as by permitting limited netting of repo-style transactions (i.e., qualifying repurchase or reverse repurchase and securities borrowing or lending transactions) with the same counterparty and allowing for the application of cash variation margin to reduce derivative exposures, both of which are subject to certain specific conditions, as well as by distinguishing and expanding the measure of exposure for written credit derivatives. Moreover, the credit conversion factors (CCF) to be applied to certain off-balance sheet exposures have been conformed to those under the Basel III Standardized Approach for determining credit risk-weighted assets, with the exception of the imposition of a 10% CCF floor.
Consistent with the Final Basel III Rules, Advanced Approaches banking organizations will be required to disclose the Supplementary Leverage ratio commencing January 1, 2015. Further, U.S. GSIBs and their subsidiary


48


insured depository institutions, including Citi and Citibank, N.A., will be subject to enhanced Supplementary Leverage ratio standards. The enhanced Supplementary Leverage ratio standards establish a 2% leverage buffer for U.S. GSIBs in addition to the stated 3% minimum Supplementary Leverage ratio requirement in the Final Basel III Rules. If a U.S. GSIB failed to exceed the 2% leverage buffer, it would be subject to increasingly onerous restrictions (depending upon the extent of the shortfall) regarding capital distributions and discretionary executive bonus payments. Accordingly, U.S. GSIBs are effectively subject to a 5% minimum Supplementary Leverage ratio requirement. Additionally, the final rule requires that
insured depository institution subsidiaries of U.S. GSIBs, including Citibank, N.A., maintain a Supplementary Leverage ratio of 6% to be considered “well capitalized” under the revised prompt corrective action framework established by the Final Basel III Rules. Citi and Citibank, N.A. are required to be compliant with these higher effective minimum ratio requirements on January 1, 2018.assets.
The following table sets forth Citi’s estimated Basel III Supplementary Leverage ratio and related components, assuming full implementation under the Revised FinalU.S. Basel III Rules,rules, for the three months ended December 31, 20142017 and December 31, 2013.2016.



Citigroup Estimated Basel III Supplementary Leverage RatiosRatio and Related Components(1) (Full Implementation)
In millions of dollars, except ratiosDecember 31, 2014
December 31, 2013(2)
December 31, 2017December 31, 2016
Tier 1 Capital$148,275
$133,412
$162,377
$169,390
Total Leverage Exposure (TLE)  
On-balance sheet assets (3)(1)
$1,899,955
$1,886,613
$1,909,699
$1,819,802
Certain off-balance sheet exposures:(4)(2)
  
Potential future exposure (PFE) on derivative contracts240,712
240,534
Potential future exposure on derivative contracts191,555
211,009
Effective notional of sold credit derivatives, net(5)(3)
96,869
102,061
59,207
64,366
Counterparty credit risk for repo-style transactions(6)(4)
21,894
26,035
27,005
22,002
Unconditionally cancellable commitments61,673
63,782
Unconditionally cancelable commitments67,644
66,663
Other off-balance sheet exposures229,672
210,571
218,754
219,428
Total of certain off-balance sheet exposures$650,820
$642,983
$564,165
$583,468
Less: Tier 1 Capital deductions64,458
73,590
41,373
57,879
Total Leverage Exposure$2,486,317
$2,456,006
$2,432,491
$2,345,391
Supplementary Leverage ratio5.96%5.43%6.68%7.22%

(1)Citi’s estimated Basel III Supplementary Leverage ratio and certain related components are non-GAAP financial measures. Citi believes this ratio and its components provide useful information to investors and others by measuring Citigroup’s progress against future regulatory capital standards.
(2)Pro forma presentation based on application of the Revised Final Basel III Rules consistent with current period presentation.
(3)Represents the daily average of on-balance sheet assets for the quarter.
(4)(2)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(5)(3)Under the Revised FinalU.S. Basel III Rules,rules, banking organizations are required to include in TLE the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(6)(4)Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.

Citigroup’s estimated Basel IIICitibank’s Supplementary Leverage ratio, assuming full implementation under the Revised FinalU.S. Basel III Rulesrules, was 6.0%6.6% for the fourth quarter of 2014, unchanged from2017, compared to 6.7% for the third quarter of 2014,2017 and increased from 5.4%6.6% for the fourth quarter of 2013 (on2016. The quarter-over-quarter decrease was primarily driven by a pro forma basisreduction in Tier 1 Capital resulting from the impact of Tax Reform, partially offset by capital contributions from Citibank’s parent, Citicorp, as well as a decrease in Total Leverage Exposure primarily due to conform to current period presentation). Citi’s estimated Basel III Supplementary Leveragea decline in potential future exposure on derivative contracts. The ratio remained unchanged quarter-over-quarter as the Tier 1 Capital benefits resulting from preferred stock issuances and a decrease in goodwill were offset by a decrease in Accumulated other comprehensive income (loss), with Total Leverage Exposure also remaining substantially unchanged. The growth in the ratio from the fourth quarter of 2013 was principally driven by2016, as an increase in Tier 1 Capital attributable largely to net income of $7.3 billion, approximately $3.3 billion of DTA utilization and approximately $3.7 billion of perpetual preferred stock issuances, offset in part by a reduction in Accumulated
other comprehensive income (loss) and a marginal increase in Total Leverage Exposure.
Citibank, N.A.’s estimated Basel III Supplementary Leverage ratio under the Revised Final Basel III Rules was 6.3% for the fourth quarter of 2014, unchanged from the third quarter of 2014 and, on a pro forma basis, from the fourth quarter of 2013. Tier 1 Capital benefits resulting from quarterly and annual net income and DTA utilization were largely offset by an increase in Total Leverage Exposure and a reduction in Accumulated other comprehensive income (loss) and, for the year only, cash dividends paid by Citibank, N.A. to its parent, Citicorp, and which were subsequently remitted to Citigroup.Exposure.





49


Regulatory Capital Standards Developments
The Basel Committee on Banking Supervision (Basel Committee) issued several proposed and final rules during 2017, the most significant of which was designed to address final revisions or enhancements to the Basel III capital framework.

GSIB SurchargeBasel III: Finalizing Post-Crisis Regulatory Capital Reforms
In December 2014,2017, the Federal Reserve BoardBasel Committee issued a noticerule that finalizes several outstanding Basel III post-crisis regulatory capital reforms. The reforms, which generally become effective in 2022, relate to the methodologies in deriving credit and operational risk-weighted assets, the imposition of proposed rulemaking which would imposea new aggregate output floor for risk-weighted assets, and revisions to the leverage ratio framework.
The final rule, in part, revises the Standardized Approach in measuring credit risk-weighted assets with respect to certain on-balance sheet assets, such as in relation to the risk-weighting methodologies employed with respect to bank, corporate, and real estate (both residential and commercial) exposures; the treatment of off-balance sheet commitments; and aspects of the credit risk mitigation framework. Moreover, the final rule permits the use of external credit ratings combined with due diligence requirements in the calculation of credit risk-weighted assets for exposures to banks and corporates, while also providing alternative approaches for jurisdictions that do not allow the use of external credit ratings for risk-based capital surcharges uponpurposes, such as the U.S.
The final rule also revises the internal ratings-based (IRB) approaches, in part, by prohibiting the use of such approaches for so-called “low default” exposures, including those to banks and other financial institutions, as well as large corporations. Further, the final rule also prohibits the use of the IRB approaches for equity exposures in the banking book. Additionally, for other exposures where the IRB approaches are still permissible, the final rule establishes floors by exposure type regarding the estimation of certain model parameters used in the derivation of credit risk-weighted assets, and also provides greater specification as to permissible parameter estimation practices under the IRB approaches.
Apart from credit risk, the final rule substantially revises the operational risk capital framework applicable to the Advanced Approaches for calculating risk-weighted assets by introducing the Standardized Measurement Approach (SMA). Operational risk capital is derived under the SMA through the combination of two components: a so-called “Business Indicator Component” and a “Loss Component.” The Business Indicator Component, primarily reflective of various income statement elements (i.e., a modified gross income indicator), is calculated as the sum of the three-year average of its components. The Loss Component reflects the operational loss exposure of a banking organization that can be inferred from internal loss experience, and is based on a 10-year average.
To reduce excessive variability with respect to risk-weighted assets, and to therefore enhance the comparability of risk-based capital ratios, the final rule establishes a floor requirement that is to be applied to total risk-weighted assets. More specifically, the risk-weighted assets that banks must use to determine compliance with risk-based capital requirements
must be calculated as the maximum of (i) total risk-weighted assets calculated using the approaches that the bank holding companies that are identified as GSIBs, including Citi. Under the
Federal Reserve Board’s proposed rule, consistenthas supervisory approval to use in accordance with the Basel Committee’s methodology, identificationIII capital framework (including both standardized and internally-modeled based approaches), and (ii) 72.5% of the total risk-weighted assets, calculated using only standardized approaches.
Lastly, the final rule revises the design and calibration of the Basel III leverage ratio (similar to the U.S. Basel III Supplementary Leverage ratio). Among the revisions are those with respect to the exposure measure (i.e., the denominator of the ratio) in relation to the treatment of derivative exposures, provisions, and off-balance sheet exposures.
Although the U.S. banking agencies subsequently issued a statement announcing support for these finalized Basel III reforms, further indicating that they will “consider how to appropriately apply these revisions,” significant uncertainty nonetheless currently exists with regard to the manner and timeframe in which these Basel III capital reforms will be implemented in the U.S.

Pillar 3 Disclosure Requirements—Consolidated and
Enhanced Framework
In March 2017, the Basel Committee issued a final rule
that adopts further revisions arising from the second phase of its review of the “Pillar 3” disclosure requirements, and which builds on the initial revisions from phase one of the review, which were finalized in January 2015.
The final rule consolidates all existing Basel Committee disclosure requirements into the Pillar 3 framework, with these constituting the disclosure requirements regarding the composition of capital, leverage ratio, Liquidity Coverage Ratio, Net Stable Funding Ratio, indicators for measuring the global systemic importance of banks, Countercyclical Capital Buffer, interest rate risk in the banking book, and remuneration. Moreover, the final rule introduces enhancements to the Pillar 3 framework, in part, by incorporating a “dashboard” of a banking organization’s key regulatory capital and liquidity metrics. The final rule also sets forth revisions and additions to the Pillar 3 framework resulting from ongoing reforms to the regulatory capital framework, including incorporating disclosure requirements arising from the Financial Stability Board’s total loss-absorbing capacity (TLAC) regime applicable to global systemically important banks (GSIBs), and revised disclosure requirements for market risk attributable to the revised market risk framework.
The Basel Committee announced in the final rule that it had commenced the third phase of its review of “Pillar 3” disclosure requirements, which will build further upon the revisions arising from the second phase of its review. Among other requirements, the third phase will include development of any disclosure requirements arising from the finalization of the Basel III post-crisis regulatory reforms.
Citi is currently subject to the Advanced Approaches disclosure requirements, as well as those with respect to market risk, under the U.S. Basel III rules. The U.S. banking agencies may revise the nature and extent of these disclosure

requirements in the future, as a GSIBresult of the Basel Committee’s revised Pillar 3 disclosure requirements.

Regulatory Treatment of Accounting Provisions for Expected Credit Losses—Interim Approach and Transitional Arrangements
In March 2017, the Basel Committee issued a final rule that retains, for an interim period, the current Basel III treatment, under both the Standardized Approach and Internal Ratings-Based Approaches, applicable to accounting provisions for credit losses. Such measure is in recognition of the promulgation by both the International Accounting Standards Board and more recently the U.S. Financial Accounting Standards Board of new accounting pronouncements (IFRS 9, “Financial Instruments,” and ASU No. 2016-13, “Financial Instruments—Credit Losses,” respectively) regarding the impairment of financial assets and adoption of provisioning standards which incorporate forward-looking assessments in the estimation of expected credit losses, which represents a substantial departure from the recognition of credit losses under the current incurred loss model. Measuring the impairment of loans and other financial assets under expected credit loss models may result in earlier recognition of, and higher accounting provisions for, credit losses, and consequently may increase volatility in regulatory capital. The current Basel III treatment is being retained so as to afford the Basel Committee additional time in which to thoroughly consider and develop a permanent regulatory capital treatment with respect to accounting provisions for expected credit losses.
Moreover, the final rule provides for optional transitional arrangements, which may be availed by jurisdictions, that would bepermit banking organizations to more evenly absorb the potentially significant adverse impact on regulatory capital arising from the recognition of higher expected credit loss provisions. The final rule also establishes standards with which these transitional arrangements must comply.  
The U.S. banking agencies may revise the Basel III rules in the future in conjunction with the adoption by U.S. banking organizations of the current expected credit loss model as set forth under ASU 2016-13.

Revised Assessment Framework for Global Systemically Important Banks
In March 2017, the Basel Committee issued a consultative document which proposes revisions to the framework for assessing the global systemic importance of banks. The current framework employed by the Basel Committee as to the identification of GSIBs and the assessment of a surcharge is based primarily on quantitative measurement indicators underlying five equally weighted broad categories of systemic importance: (i) size, (ii) interconnectedness, (iii) cross-jurisdictional activity, (iv) substitutability,substitutability/financial institution infrastructure, and (v) complexity. With the exception of size, each of the other categories are comprisedis composed of multiple indicators, also of equal weight, and amounting to 12 indicators in total.
AThe proposal, which reflects the results of the Basel Committee’s planned initial review, sets forth several modifications to its GSIB framework, the most significant of
which for Citi would be the removal of the existing cap on the substitutability/financial institution infrastructure category. Among the other changes proposed by the Basel Committee and estimated to be of lesser impact to Citi, would be the introduction within the substitutability/financial institution infrastructure category of a trading volume indicator, accompanied by an equivalent reduction in the current weighting of the existing underwriting indicator. Moreover, the Basel Committee’s proposed requirement to expand the scope of consolidation to include exposures of insurance subsidiaries within the size, interconnectedness, and complexity categories would raise the global aggregate of these respective measures of systemic importance to which all GSIBs are subject, and as a result it is estimated that Citi would benefit on a relative basis vis-a-vis certain other GSIBs, given that its insurance subsidiaries are presently consolidated under U.S. banking organizationgenerally accepted accounting principles and for regulatory purposes. Aside from these proposed modifications, the Basel Committee is also separately seeking feedback on the potential for a new indicator regarding short-term wholesale funding.
In contrast, a U.S. bank holding company that is designated a GSIB under the proposed methodology wouldFederal Reserve Board’s rule is required, on an annual basis, to calculate a surcharge using two methods, and would beis subject to the higher of the resulting two surcharges. The first method (“method 1”) would beis based on the same five broad categories of systemic importance usedresident under the Basel Committee’s framework to identify a GSIB whereas underand derive a surcharge. Under the second method (“method 2”), the substitutability indicator would becategory is replaced with a quantitative measure intended to assess the extent of a GSIB’s reliance on short-term wholesale funding. As
Accordingly, if the Federal Reserve Board were to adopt the Basel Committee’s proposed given thatrevisions with respect to the calculation underU.S. GSIB framework, Citi’s method 1 GSIB surcharge could potentially increase, while its method 2 involves, in part, the doubling of the indicator scores related to size, interconnectedness, cross-jurisdictional activity and complexity,GSIB surcharge would remain unchanged. Further, while it is currently estimated that under these circumstances method 2 would generally result in higher surcharges as compared to method 1.


Estimated GSIB surcharges under the proposed rule, which would be required to be comprised entirely of Common Equity Tier 1 Capital, would initially range from 1.0% to 4.5% of total risk-weighted assets. Moreover, theremain Citi’s binding constraint for GSIB surcharge would bepurposes, nonetheless an extension of the Capital Conservation Buffer and, if invoked, any Countercyclical Capital Buffer, and would resultincrease in restrictions on earnings distributions (e.g., dividends, equity repurchases, and discretionary executive bonuses) should theCiti’s method 1 GSIB surcharge be drawn upon to absorb losses during periods of financial or economic stress, with the degree of such restrictions based uponcould impact the extent to which Citi satisfies certain TLAC minimum requirements in the surchargefuture.

Revisions to the Securitization Framework
In July 2017, the Basel Committee issued two consultative documents: one which establishes criteria for identifying “simple, transparent, and comparable” (STC) short-term securitizations, and another which provides for an alternative, and potentially preferential, regulatory capital treatment for short-term securitizations identified as STC. The Basel Committee had previously issued criteria solely for identifying STC securitizations in July 2015, and also previously issued an alternative regulatory capital treatment for STC securitizations in July 2016. The July 2017 consultative documents, however, introduce identification criteria and regulatory capital treatments that are uniquely tailored to short-term securitizations, with a focus on exposures related to asset-backed commercial paper conduits.

The U.S. banking agencies may revise the regulatory capital treatment of STC short-term securitizations in the future, based upon any revisions adopted by the Basel Committee.
Identification and Management of Step-in Risk
In October 2017, the Basel Committee issued final guidelines regarding the identification and management of so-called “step-in risk,” which is drawn.defined as “the risk that a bank decides to provide financial support to an unconsolidated entity that is facing stress, in the absence of, or in excess of, any contractual obligations to provide such support.” The guidelines establish a framework to be used by banks for conducting a self-assessment of step-in risk, which would also be reported to each bank’s respective national supervisors. The self-assessment of step-in risk should consider the risk characteristics of certain unconsolidated entities, as well as the bank’s relationship to such entities. The framework, however, does not require any additional regulatory capital or liquidity charges beyond the current Basel III rules.
UnderThe Basel Committee expects the proposal, like thatguidelines to be enacted by member jurisdictions no later than 2020. The U.S. banking agencies may issue guidelines regarding the identification and measurement of step-in risk in the future, as a result of the Basel Committee’s rule, the GSIB surcharge would be introduced in parallel with the Capital Conservation Buffer and, if applicable, any Countercyclical Capital Buffer, commencing phase-in on January 1, 2016 and becoming fully effective on January 1, 2019.guidelines.
As of December 31, 2014, Citi estimates its GSIB surcharge under the Federal Reserve Board’s proposal would be 4%, compared to at least 2% under the Basel Committee requirements.
For additional information regarding the Federal Reserve Board’s GSIB surcharge proposal, as well as the Financial Stability Board’s total loss-absorbing capacity, or TLAC, consultative document, see “Risk Factors—Regulatory Risks” and “Managing Global Risk—Market Risk—Funding and Liquidity Risk” below.



50


Tangible Common Equity, Tangible Book Value Per Share, and Book Value Per Share and Returns on Equity
Tangible common equity (TCE), as currently defined by Citi, represents common equity less goodwill and other intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE, and tangible book value per share and returns on average TCE are non-GAAP financial measures. Citi believes these capital metrics provide useful information, as theyalternative measures of capital strength and performance and are commonly used by investors and industry analysts.

 


In millions of dollars or shares, except per share amountsDecember 31,
2017		December 31,
2016
Total Citigroup stockholders’ equity$200,740
$225,120
Less: Preferred stock19,253
19,253
Common stockholders’ equity$181,487
$205,867
Less:  
    Goodwill22,256
21,659
    Intangible assets (other than MSRs)4,588
5,114
    Goodwill and intangible assets (other than MSRs) related to assets held-for-sale (HFS)32
72
Tangible common equity (TCE)$154,611
$179,022
Common shares outstanding (CSO)2,569.9
2,772.4
Book value per share (common equity/CSO)$70.62
$74.26
Tangible book value per share (TCE/CSO)60.16
64.57
In millions of dollars
Year ended December 31, 2017(1)
Year ended December 31, 2016
Net income less preferred dividends$14,583
$13,835
Average common stockholders’ equity$207,747
$209,629
Average TCE$180,458
$182,135
Less: Average net DTAs excluded from Common Equity Tier 1 Capital(2)
28,569
29,013
Average TCE, excluding net DTAs excluded from Common Equity Tier 1 Capital$151,889
$153,122
Return on average common stockholders’ equity7.0%6.6%
Return on average TCE (ROTCE)(3)
8.1
7.6
Return on average TCE, excluding net DTAs excluded from Common Equity Tier 1 Capital9.6
9.0


(1)Year ended December 31, 2017 excludes the impact of Tax Reform. For a reconciliation of these measures, see “Impact of Tax Reform” above.
(2)Represents average net DTAs excluded in arriving at Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules.
(3)ROTCE represents net income available to common shareholders as a percentage of average TCE.






In millions of dollars or shares, except per share amountsDecember 31,
2014		December 31, 2013
Total Citigroup stockholders’ equity$210,534
$204,339
Less: Preferred stock10,468
6,738
Common equity$200,066
$197,601
Less: Intangible assets:  
    Goodwill23,592
25,009
    Other intangible assets (other than MSRs)4,566
5,056
    Goodwill related to assets held-for-sale71
 
Tangible common equity (TCE)$171,837
$167,536
   
Common shares outstanding (CSO)3,023.9
3,029.2
Tangible book value per share (TCE/CSO)$56.83
$55.31
Book value per share (common equity/CSO)$66.16
$65.23














51


RISK FACTORS

The following discussion sets forth what management currently believes could be the most significant regulatory, credit and market, liquidity, legal and business and operational risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition. Other risks and uncertainties, including those not currently known to Citi or its management, could also negatively impact Citi’s businesses, results of operations and financial condition. Thus, the following should not be considered a complete discussion of all of the risks and uncertainties Citi may face.

REGULATORYSTRATEGIC RISKS

Citi’s Ability to Return Capital to Common Shareholders Consistent with Its Capital Optimization Efforts Substantially Depends on the CCAR Process and the Results of Regulatory Stress Tests.
In addition to Board of Director approval, Citi’s ability to return capital to its common shareholders consistent with its capital optimization efforts, whether through its common stock dividend or through a share repurchase program, substantially depends on regulatory approval, including through the CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act. For additional information on Citi’s return of capital to common shareholders in 2017 as well as the CCAR process and supervisory stress test requirements, see “Capital Resources—Overview” and “Capital Resources—Stress Testing Component of Capital Planning” above.
Citi’s ability to accurately predict, interpret or explain to stakeholders the outcome of the CCAR process, and thus address any such market or investor perceptions, is difficult as the Federal Reserve Board’s assessment of Citi’s capital adequacy is conducted using the Board’s proprietary stress test models, as well as a number of qualitative factors, including a detailed assessment of Citi’s “capital adequacy process,” as defined by the Board. The Federal Reserve Board has stated that it expects leading capital adequacy practices will continue to evolve and will likely be determined by the Board each year as a result of its cross-firm review of capital plan submissions. Similarly, the Federal Reserve Board has indicated that, as part of its stated goal to continually evolve its annual stress testing requirements, several parameters of the annual stress testing process may be altered from time to time, including the severity of the stress test scenario, the Federal Reserve Board modeling of Citi’s balance sheet and the addition of components deemed important by the Federal Reserve Board (e.g., additional macroprudential considerations such as funding and liquidity shocks).
Moreover, in 2016, senior officials at the Federal Reserve Board indicated that the Board was considering integration of the annual stress testing requirements with ongoing regulatory capital requirements. While there has been no formal proposal from the Federal Reserve Board to date, changes to the stress testing regime being discussed, among others, include introduction of a firm-specific “stress capital buffer” (SCB), which would be equal to the maximum decline in a firm’s Common Equity Tier 1 Capital ratio under a severely adverse
scenario over a nine-quarter CCAR measurement period, subject to a minimum requirement of 2.5%. Accordingly, a firm’s SCB would change annually based on its stress test results in the prior year. Officials discussed the idea that the SCB would replace the capital conservation buffer in both the firm’s ongoing regulatory capital requirements and as part of the floor for capital distributions in the CCAR process. Federal Reserve Board senior officials also noted that introduction of the SCB would have the effect of incorporating a firm’s then-effective GSIB surcharge into its post-stress test minimum capital requirements, which the Board has previously indicated it is considering.
Although various uncertainties exist regarding the extent of, and the ultimate impact to Citi Facesfrom, these changes to the Federal Reserve Board’s stress testing and CCAR regimes, these changes would likely increase the level of capital Citi is required to hold, thus potentially impacting the extent to which Citi is able to return capital to shareholders.

Citi, Its Management and Businesses Must Continually Review, Analyze and Successfully Adapt to Ongoing Significant Regulatory Changes and Other Uncertainties and Changes in the U.S. and Non-U.S. JurisdictionsGlobally.
Despite the adoption of final regulations in Which It Operates That Negatively Impactnumerous areas impacting Citi and its businesses over the Management of Its Businessespast several years, Citi, its management and Increase Its Compliance Risksbusinesses continually face ongoing regulatory uncertainties and Costs.
Citi continues to be subject to a significant number of regulatory changes, and uncertainties acrossboth in the U.S. and globally. While the non-U.S. jurisdictions inareas of ongoing regulatory uncertainties and changes facing Citi are too numerous to list completely, various examples include, but are not limited to (i) uncertainties and potential fiscal, monetary and regulatory changes arising from the U.S. Presidential administration and Congress; (ii) potential changes to various aspects of the regulatory capital framework applicable to Citi (see the CCAR risk factor and “Capital Resources—Regulatory Capital Standards Developments” above); and (iii) the terms of and other uncertainties resulting from the U.K.’s potential exit from the European Union (EU) (see the macroeconomic challenges and uncertainties risk factor below).
Ongoing regulatory uncertainties and changes make Citi’s and its management’s long-term business, balance sheet and budget planning difficult or subject to change. For example, the U.S. Presidential administration has discussed various changes to certain regulatory requirements, which it operates. Not only haswould require ongoing assessment by management as to the heightened regulatory environment facing financial institutions such asimpact to Citi, resulted in a tendency toward more regulation, but also in some cases toward the most prescriptive regulation as regulatory agencies have often taken a restrictive approachits businesses and business planning. Business planning is required to rulemaking,be based on possible or proposed rules or outcomes, which can change dramatically upon finalization, or upon implementation or interpretive guidance approvalsfrom numerous regulatory bodies worldwide, and their general ongoing supervisory or prudential authority. such guidance can change.
Moreover, even when U.S. and international regulatory initiatives overlap, such as with derivatives reforms, in many instances they have not always been undertaken or implemented on a coordinated basis, and areas of divergence have developed and continue to develop with respect to the scope, interpretation, timing, structure or approach, leading to additional, inconsistent or even conflicting regulations.regulations, including within a single jurisdiction. For example, in 2016, the European Commission proposed to introduce a new requirement for major banking groups
Ongoing
headquartered outside the EU (which would include Citi) to establish an intermediate EU holding company where the foreign bank has two or more institutions (broadly meaning banks, broker-dealers and similar financial firms) established in the EU. While the proposal mirrors an existing U.S. requirement for non-U.S. banking organizations to form U.S. intermediate holding companies, if adopted, it could lead to additional complexity with respect to Citi’s resolution planning, capital and liquidity allocation and efficiency in various jurisdictions. Regulatory changes have also significantly increased Citi’s compliance risks and costs (see the implementation and interpretation of regulatory changes risk factor below).

Citi’s Ability to Utilize Its DTAs, and uncertainties makeThus Reduce the Negative Impact of the DTAs on Citi’s business planning difficultRegulatory Capital, Will Be Driven by Its Ability to Generate U.S. Taxable Income and could require Citiby the Provisions of and Guidance Issued in Connection with Tax Reform.
At December 31, 2017, after the $22.6 billion remeasurement of DTAs due to change its business models or even its organizational structure, allthe impact of Tax Reform, Citi’s net DTAs were $22.5 billion, net of a valuation allowance of $9.4 billion, of which could ultimately negatively$12.3 billion was excluded from Citi’s Common Equity Tier 1 Capital, on a fully implemented basis, under the U.S. Basel III rules (for additional information, see “Capital Resources—Components of Citigroup Capital Under Basel III (Advanced Approaches with Full Implementation)” above). Of the net DTAs at December 31, 2017, $7.6 billion related to foreign tax credit carry-forwards (FTCs), net of a valuation allowance. The carry-forward utilization period for FTCs is 10 years and represents the most time-sensitive component of Citi’s DTAs. The FTC carry-forwards at December 31, 2017 expire over the period of 2018–2027. Citi must utilize any FTCs generated in the then-current year tax return prior to utilizing any carry-forward FTCs.
The accounting treatment for realization of DTAs, including FTCs, is complex and requires significant judgment and estimates regarding future taxable earnings in the jurisdictions in which the DTAs arise and available tax planning strategies. Citi’s ability to utilize its DTAs, including the FTC components, will be dependent upon Citi’s ability to generate U.S. taxable income in the relevant tax carry-forward periods. Failure to realize any portion of the DTAs would also have a corresponding negative impact on Citi’s net income.
Citi expects transitional guidance from the U.S. Department of the Treasury (U.S. Treasury) in 2018 regarding the required allocation of existing FTC carry-forwards to the appropriate FTC baskets as redefined by Tax Reform. The U.S. Treasury is also expected to provide transitional guidance that addresses the allocation of the overall domestic loss (ODL) to these FTC baskets. An ODL allows a company to recharacterize domestic income as income from sources outside the U.S., which enables a taxpayer to use FTC carry-forwards and FTCs generated in future years, assuming the generation of sufficient U.S. taxed income. If the guidance issued by the U.S. Treasury differs from Citi’s assumptions, the valuation allowance against Citi’s FTC carry-forwards would increase or decrease, depending upon the guidance received. Citi’s net income would change by a corresponding
amount. However, a change in recognized FTC carry-forwards would not impact Citi’s individual businesses, overall strategyregulatory capital, given that such amounts are already fully disallowed.
Citi does not expect to be subject to the Base Erosion Anti-Abuse Tax (BEAT) added by Tax Reform. However, U.S. Treasury guidance regarding BEAT could affect Citi’s decisions as to how to structure its non-U.S. operations, possibly in a less cost efficient manner. In addition, if BEAT were to be applicable to Citi in any given year, it could have a significantly adverse effect on both Citi’s net income and resultsregulatory capital.
For additional information on the impact of operationsTax Reform and on Citi’s DTAs, including the FTCs, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below and Notes 1 and 9 to the Consolidated Financial Statements.

Citi’s Interpretation or Application of the Complex Tax Laws to Which It Is Subject Could Differ from Those of the Relevant Governmental Authorities, Which Could Result in the Payment of Additional Taxes, Penalties or Interest.
Citi is subject to the various tax laws of the U.S. and its states and municipalities, as well as realizationthe numerous non-U.S. jurisdictions in which it operates. These tax laws are inherently complex and Citi must make judgments and interpretations about the application of these laws, including Tax Reform as mentioned above, to its deferredentities, operations and businesses. Citi’s interpretations and application of the tax assets (DTAs).laws, including with respect to Tax Reform, withholding tax obligations and stamp and other transactional taxes, could differ from that of the relevant governmental taxing authority, which could result in the payment of additional taxes, penalties or interest, which could be material.

Citi’s Ongoing Investments and Efficiency Initiatives May Not Be as Successful as It Projects or Expects.
Citi continues to make important investments to streamline its infrastructure and improve its client experience. For example, several jurisdictions,Citi has been investing in higher return businesses, including the U.S. cards and wealth management businesses in Asia, Latin America and Europe, continue to enact fee and rate limits on debit and credit card transactionsGlobal Consumer Banking as well as certain businesses in Institutional Clients Group, such as equities. Citi continues to invest in its technology systems to enhance its digital capabilities across the franchise. In addition, in 2016, Citi announced a more than $1 billion investment in Citibanamex that is expected to be completed by 2020. Citi’s investment strategy will likely continue to evolve and change as its business strategy and priorities change. Citi also has been pursuing efficiency savings through its technology and digital initiatives, location strategy and organizational simplification.
These investments and efficiency initiatives are being undertaken as part of Citi’s overall strategy to meet operational and financial objectives and targets, including earnings growth expectations. There is no guarantee that these or other initiatives Citi may pursue in its businesses or operations will be as productive or effective as Citi expects, or at all. Further, Citi’s ability to achieve expected returns on its investments and costs savings depends, in part, on factors that it cannot control, such as macroeconomic conditions, customer

and client reactions and ongoing regulatory changes, among others.

Citi Has Co-Branding and Private Label Credit Card Relationships with Various Retailers and Merchants and the Failure to Maintain These Relationships Could Have a Negative Impact on Citi’s Results of Operations or Financial Condition.
Citi has co-branding and private label relationships through its Citi-branded cards and Citi retail services credit card businesses with various limits on sales practicesretailers and merchants globally in the ordinary course of business whereby Citi issues credit cards to customers of the retailers or merchants. Citi’s co-branding and private label agreements provide for theseshared economics between the parties and other areasgenerally have a fixed term. The five largest relationships constituted an aggregate of consumer lending, whichapproximately 11% of Citi’s revenues for 2017.
These relationships could be negatively impacted due to, among other things, negatively impact GCB’s businessesdeclining sales and revenues.revenues or other difficulties of the retailer or merchant, termination due to a breach by Citi, the retailer or merchant of its responsibilities, or external factors, including bankruptcies, liquidations, restructurings, consolidations and other similar events. Over the last several years, a number of retailers in the U.S. have continued to experience declining sales, which has resulted in significant numbers of store closures and, in a number of cases, bankruptcies, as retailers attempt to cut costs and compete with online retailers. In addition, during 2014, financial reform legislation was enacted in Mexico that required an antitrust study of the Mexican financial sector. The studyas has been issuedwidely reported, competition among card issuers, including Citi, for these relationships is significant, and its recommendations include additional regulations intendedit has become increasingly difficult in recent years to increase competition inmaintain such relationships on the financial services industry in Mexico, whichsame terms or at all. While various mitigating factors could negatively impact Citi’s Banamex subsidiary, Mexico’s second largest bank.In certain jurisdictions, including in the European Union (EU), there is discussionbe available to Citi if any of adopting a financial transaction tax or similar fees on large financial institutions these events were to occur—such as Citi, whichby replacing the retailer or merchant or offering other card products—such events could increase the costs to engage in certain transactions or otherwise negatively impact Citi’s results of operations. In addition, various regulators globally continue to consider
adoption of data privacy and/operations or “onshoring” requirements, such as the EU data protection framework, that would restrict the storage and use of client information. These regulations could conflict with anti-money laundering and other requirements in other jurisdictions, impede information sharing between Citi’s businesses and increase Citi’s compliance risks and costs. They could also impede or potentially reverse Citi’s centralization or standardization efforts, which provide expense efficiencies.
Unless and until there is sufficient regulatory certainty, Citi’s business planning and/or proposed pricing for affected businesses necessarily include assumptions based on possible or proposed rules, requirements or outcomes. Business planning is further complicated by management’s continual need to review and evaluate the impact on Citi’s businesses of ongoing rule proposals, final rules, and implementation guidance from numerous regulatory bodies worldwide, often within compressed timeframes. In some cases, management’s implementation of a regulatory requirement and assessment of its impact is occurring simultaneously with changing regulatory guidance, legal challenges or legislative action to modify or repeal final rules, thus increasing management uncertainty.
Ongoing regulatory changes also result in higher regulatory and compliance risks and costs. Citi estimates its regulatory and compliance costs have grown approximately 10% annually since 2011. These higher regulatory and compliance costs partially offset Citi’s continued cost reduction initiatives that are part of its execution priorities and negatively impact its results of operations. Ongoing regulatory changes and uncertainties also require management to continually manage Citi’s expenses and potentially reallocate resources,financial condition, including potentially away from ongoing business investment initiatives.

There Continue to Be Changes and Uncertainties Relating to the Regulatory Capital Requirements Applicable to Citi and the Ultimate Impact of These Requirements on Citi’s Businesses, Products and Results of Operations.
Despite the adoption of the final U.S. Basel III rules, there continue to be changes and uncertainties regarding the regulatory capital requirements applicable to, and, as a result the ultimate impact of these requirementsloss of revenues, higher cost of credit, impairment of purchased credit card relationships and contract-related intangibles or other losses (for information on Citi.
Citi’s Basel III capital ratios and related components are subject to, among other things, ongoing regulatory supervision, including review and approval of Citi’s credit market and operational risk models, additional refinements, modifications or enhancements (whether required or otherwise) to these models and any further implementation guidance in the U.S. Modifications or requirements resulting from these ongoing reviews, as well as the ongoing efforts by U.S. banking agencies to finalize and enhance the regulatory capital framework, have resulted and could continue to result in changes to Citi’s risk-weighted assets, total leverage exposure or other components of Citi’s capital ratios. These changes can negatively impact Citi’s capital ratios and its ability to achieve its capital requirements as it projects or as required. Further, because operational risk is measured based not only upon Citi’s historical loss experience but also upon


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ongoing events in the banking industrycard related intangibles generally, Citi’s level of operational risk-weighted assets is likely to remain elevated for the foreseeable future, despite Citi’s continuing efforts to reduce its risk-weighted assets and exposures.
Moreover, in December 2014, the Federal Reserve Board issued a notice of proposed rulemaking that would establish a risk-based capital surcharge for global systemically important bank holding companies (GSIB) in the U.S., including Citi. The Federal Reserve Board’s proposal is based on the Basel Committee on Banking Supervision’s (Basel Committee) GSIB surcharge framework, but adds an alternative method for calculating a U.S. GSIBs score (and thus its GSIB surcharge), which Citi expects will result in a significantly higher surcharge than the 2% calculated under the Basel Committee’s framework (for additional information on the details of the proposal, see “Capital Resources—Regulatory Capital Standards Developments” above).
The Federal Reserve Board’s GSIB proposal creates ongoing uncertainty with respectNote 16 to the ultimate surcharge applicable to Citi due to, among other things, the (i) requirement to recalculate the surcharge on an annual basis; (ii) complex calculations required to determine the amount of the surcharge; and (iii) the score for the indicators aligned with the Basel Committee GSIB framework is to be determined by converting Citi’s indicators into Euros and calibrating proportionally against a denominator based upon the aggregate indicator scores of other large global banking organizations, meaning that Citi’s score will fluctuate based on actions taken by these banking organizations, as well as movements in foreign exchange rates. Moreover, based on theConsolidated Financial Stability Board’s (FSB) proposed “total loss-absorbing capacity” (TLAC) requirements, a higher GSIB surcharge would limit the amount of Common Equity Tier 1 Capital otherwise available to satisfy, in part, the TLAC requirements and thus potentially result in the need for Citi to issue higher levels of qualifying debt and preferred equity (for additional information, see “Regulatory Risks” and “Managing Global Risk—Market Risk—Funding and Liquidity Risk” below)Statements).
In addition to the Federal Reserve Board’s GSIB proposal, various other proposals which could impact Citi’s regulatory capital framework are also being considered by regulatory bodies both in the U.S. and internationally, which further contribute to the uncertainties faced by financial institutions, including Citi. For example, the SEC has indicated that it is considering adopting rules that would impose a leverage ratio requirement for U.S. broker-dealers, which could result in the reduction of certain types of short-term funding, among other potential negative impacts. In addition, the Basel Committee continues to review and revise various aspects of its rules, including its model-based capital framework and standardized approaches to market, credit and operational risk.
As a result of these ongoing uncertainties, Citi’s capital planning and management remains challenging. The Federal Reserve Board’s GSIB surcharge and other U.S. and international proposals could require Citi to further increase its capital and limit or otherwise restrict how Citi utilizes its capital, which could negatively impact its businesses, product offerings and results of operations. It also remains uncertain
as to what the overall impact of these regulatory capital changes will be on Citi’s competitive position, among both domestic and international peers.

Citi’s Inability to Enhance its 2015 Resolution Plan Submission Could Subject Citi to More Stringent Capital, Leverage or Liquidity Requirements, or Restrictions on Its Growth, Activities or Operations,Macroeconomic and Could Eventually Require Citi to Divest Assets or Operations in Ways That Could Negatively Impact Its Operations or Strategy.
Title I of The Dodd-Frank Wall Street ReformGeopolitical Challenges and Consumer Protection Act of 2010 (Dodd-Frank Act) requires Citi to prepare and submit annually a plan for the orderly resolution of Citigroup (the bank holding company) and its significant legal entities under the U.S. Bankruptcy Code or other applicable insolvency law in the event of future material financial distress or failure. Citi is also required to prepare and submit an annual resolution plan for its primary insured depository institution subsidiary, Citibank, N.A., and to demonstrate how Citibank, N.A. is adequately protected from the risks presented by non-bank affiliates. These plans, which require substantial effort, time and cost across all of Citi’s businesses and geographies, are subject to review by the Federal Reserve Board and the FDIC.
In August 2014, the Federal Reserve Board and the FDIC announced the completion of reviews of the 2013 resolution plans submitted by Citi and 10 other financial institutions. The agencies identified shortcomings with the firms’ 2013 resolution plans, including Citi’s. These shortcomings generally included (i) assumptions that the agencies regarded as unrealistic or inadequately supported, such as assumptions about the likely behavior of customers, counterparties, investors, central clearing facilities, and regulators; and (ii) the failure to make, or identify, the kinds of changes in firm structure and practices that would be necessary to enhance the prospects for orderly resolution. At the same time, the Federal Reserve Board and FDIC indicated that if the identified shortcomings are not addressed in the firms’ 2015 plan submissions, the agencies expect to use their authority under Title I of the Dodd-Frank Act.
Under Title I, if the Federal Reserve Board and the FDIC jointly determine that Citi’s 2015 resolution plan is not “credible” (which, although not defined, is generally believed to mean the regulators do not believe the plan is feasible or would otherwise allow the regulators to resolve Citi in a way that protects systemically important functions without severe systemic disruption), Citi could be subjected to more stringent capital, leverage or liquidity requirements or restrictions, or restrictions on its growth, activities or operations, and eventually be required to divest certain assets or operations in ways that could negatively impact its operations and strategy.In August 2014, the FDIC determined that the 2013 resolution plans submitted by the 11 “first wave” filers, including Citi, were “not credible.”
Other jurisdictions, such as the U.K., have also requested or are expected to request resolution plans from financial institutions, including Citi, and the requirements and timing relating to these plans are or are expected to be different from the U.S. requirements and from each other. Responding to


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these additional requests will require additional effort, time and cost, and regulatory review and requirements in these jurisdictions could be in addition to, or conflict with, changes required by Citi’s regulators in the U.S.

There Continues to Be Significant Uncertainty Regarding the Implementation of Orderly Liquidation Authority and the Impact It Could Have on Citi’s Funding and Liquidity, Results of Operations and Competitiveness.
Title II of the Dodd-Frank Act grants the FDIC the authority, under certain circumstances, to resolve systemically important financial institutions, including Citi. The FDIC has released a notice describing its preferred “single point of entry strategy” for such resolution, pursuant to which, generally, a bank holding company would be placed in receivership, the unsecured long-term debt of the holding company would bear losses and the operating subsidiaries would be recapitalized.
Consistent with this strategy, in November 2014, the FSB issued a consultative document designed to ensure that GSIBs have sufficient loss-absorbing and recapitalization capacity in resolution to implement an orderly resolution. Specifically, the proposal would (i) establish a new firm-specific minimum requirement for TLAC; (ii) stipulate which liabilities of the GSIB would be eligible TLAC; and (iii) the location of the TLAC within the firm’s overall funding structure, including the “pre-positioning” of specified amounts of TLAC to identified material subsidiaries within the firm’s structure, including international entities (for additional information on the TLAC proposal, see “Managing Global Risk—Market Risk—Funding and Liquidity Risk” below). It is expected that the Federal Reserve Board will issue a proposal to establish similar TLAC requirements for U.S. GSIBs during 2015.
There are significant uncertainties and interpretive issues arising from the FSB proposal, including (i) the minimum TLAC requirement for Citi; (ii) the amount of Citi’s TLAC that must be pre-positioned to material subsidiaries within Citi’s structure, and the identification of those entities; and (iii) which of Citi’s existing long-term liabilities constitute eligible TLAC. Moreover, based on the FSB’s proposal, the minimum TLAC requirement must be met excluding regulatory capital instruments used to satisfy Citi’s regulatory capital buffers, resulting in a higher overall TLAC requirement consisting of the required TLAC minimum plus required capital buffers. As a result, as discussed in the regulatory capital risk factor above, a higher GSIB surcharge would potentially result in the need for Citi to issue higher levels of qualifying debt and preferred equity. The FSB’s proposal also provides guidance for regulatory authorities to determine additional TLAC requirements, specific to individual financial institutions. Accordingly, similar to the Federal Reserve Board’s U.S. GSIB proposal, the Federal Reserve Board could propose TLAC requirements for Citi that are higher or more stringent than its international peers or even its U.S. peers.
To the extent Citi does not meet any final minimum TLAC requirement, it would need to re-position its funding profile, including potentially issuing additional TLAC-eligible instruments and/or replacing existing non-TLAC eligible
funding with TLAC-eligible funding. This could increase Citi’s costs of funds, alter its current funding and liquidity planning and management and/or negatively impact its revenues and results of operations. In addition, the requirement to pre-position TLAC-eligible instruments with material subsidiaries could result in significant funding inefficiencies, increase Citi’s overall liquidity requirements by reducing the fungibility of its funding sources and require certain of Citi’s subsidiaries to replace lower cost funding with other higher cost funding. Furthermore, Citi could be at a competitive disadvantage versus financial institutions that are not subject to such minimum requirements, such as non-regulated financial intermediaries, smaller financial institutions and entities in jurisdictions with less onerous or no such requirements.

The Impact to Citi’s Derivatives Businesses, Results of Operations and Competitive Position Resulting from the Ongoing Implementation of Derivatives Regulation in the U.S. andUncertainties Globally Continues to Be Difficult to Predict.
The ongoing implementation of derivatives regulations in the U.S. as well as in non-U.S. jurisdictions has impacted, and will likely continue to substantially impact, the derivatives markets. However, given the additional rulemaking expected to occur as well as the ongoing interpretive issues across jurisdictions, it is not yet possible to determine what the ultimate impact to Citi’s global derivatives businesses, results of operations and competitive position will be.
For example, under the CFTC’s rules relating to the registration of swap execution facilities (SEF), certain non-U.S. trading platforms that do not want to register with the CFTC as a SEF are prohibiting firms with U.S. contacts, such as Citi, from trading on their non-U.S. platforms. In addition, pursuant to the CFTC’s mandatory clearing requirements for the overseas branches of Citibank, N.A., certain of Citi’s non-U.S. clients have ceased to clear their swaps with Citi given the mandatory requirement. More broadly, under the CFTC’s cross-border guidance, overseas clients who transact their derivatives business with overseas branches of U.S. banks, including Citi, could be subject to additional U.S. registration and derivatives requirements, and these clients continue to look for alternatives to dealing with overseas branches of U.S. banks as a result. All of these and similar changes have resulted in some bifurcated activity in the swaps marketplace, between U.S.-person and non-U.S.-person markets, which could disproportionately impact Citi given its global footprint.
In addition, in September 2014, U.S. regulators re-proposed rules relating to margin requirements for uncleared swaps. As re-proposed, the rules would require Citibank, N.A. to both collect and post margin to counterparties, as well as collect and post margin to its affiliates, in connection with any uncleared swap, with the initial margin required to be held by unaffiliated third-party custodians. As a result, any new margin requirements could significantly increase the cost to Citibank, N.A. and its counterparties of conducting uncleared swaps. In addition, the requirements would also apply to the non-U.S. branches of Citibank, N.A. and certain non-U.S. affiliates, which could result in further competitive disadvantages for Citi if it is required to collect margin on


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uncleared swaps in non-U.S. jurisdictions prior to competitors in those jurisdictions being required to do so, if required to do so at all.
Further, the EU continues to finalize various aspects of its European Market Infrastructure Regulation (EMIR), and the EU and CFTC have yet to render any “equivalency” determinations (i.e., regulatory acknowledgment of the equivalency of derivatives regimes), which has compounded the bifurcation of the swaps market, as noted above. Regulators in Asia also continue to finalize their derivatives reforms which, to date, have taken a different approach as compared to the EU or the U.S. Because most of these non-U.S. reforms are not yet finalized, it is uncertain to what extent the non-U.S. reforms will impose different, additional or even inconsistent requirements on Citi’s derivatives activities.
While the implementation and effectiveness of individual derivatives reforms may not in every case be significant, the cumulative impact of these reforms continues to be uncertain and could be material to Citi’s results of operations and the competitive position of its derivatives businesses.
In addition, numerous aspects of the new derivatives regime require extensive compliance systems and processes to be maintained, including electronic recordkeeping, real-time public transaction reporting and external business conduct requirements (e.g., required swap counterparty disclosures). This compliance risk increases to the extent the final non-U.S. reforms are different from or inconsistent with the final U.S. reforms. Citi’s failure to effectively maintain such systems, across jurisdictions, could subject it to increased compliance costs and regulatory and reputational risks, particularly given the heightened regulatory environment in which Citi operates globally.

The Continued Implementation of the Volcker Rule and Similar Reform Efforts Subject Citi to Regulatory and Compliance Risks and Costs.
Although the rules implementing the restrictions under the Volcker Rule were finalized in December 2013, and the conformance period was generally extended to July 2015, the final rules require Citi to develop an extensive compliance regime for the “permitted” activities under the Volcker Rule, including documentation of historical trading activities with clients, individual testing and training, regulatory reporting, recordkeeping and similar requirements as well as an annual CEO certification with respect to the processes Citi has in place to ensure compliance with the final rules. Moreover, despite the passage of time since the adoption of the final rules, there continues to be uncertainty regarding the interpretation of certain provisions of the final rules, including with respect to the covered funds provisions and the permitted activities under the rules. As a result, Citi is required to make certain assumptions as to the degree to which its activities are permitted to continue. If Citi’s implementation of the required compliance regime is not consistent with regulatory expectations or requirements, or if Citi’s assumptions in implementation of the final rules are not accurate, Citi could be subject to increased regulatory and compliance risks and costs as well as potential reputational harm.
Proposals for structural reform of banking entities, including restrictions on proprietary trading, also continue to be introduced in various non-U.S. jurisdictions, thus leading to overlapping or potentially conflicting regimes. For example, in the EU, the Bank Structural Reform draft directive (formerly known as the “Liikanen” or “Barnier” Proposal) would prohibit proprietary trading by in-scope credit institutions and banking groups, such as certain of Citi’s EU branches, and potentially result in the mandatory separation of certain trading activities into a trading entity legally, economically and operationally separate from the legal entity holding the banking activities of a firm.
It is likely that, given Citi’s worldwide operations, some form of these or other proposals for the regulation of proprietary trading will eventually be applicable to a portion of Citi’s operations. While the Volcker Rule and these non-U.S. proposals are intended to address similar concerns—separating the perceived risks of proprietary trading and certain other investment banking activities in order not to affect more traditional banking and retail activities—they would do so under different structures, which could result in inconsistent regulatory regimes and additional compliance risks and costs for Citi in light of its global activities.

Recently Adopted and Future Regulations Applicable to Securitizations Could Impose Additional Costs and May Discourage Citi from Performing Certain Roles in Securitizations.
Citi endeavors to play a variety of roles in asset securitization transactions, including acting as underwriter, issuer, sponsor, depositor, trustee and counterparty. During the latter part of 2014, numerous regulatory changes relating to securitizations were finalized, including risk retention requirements for securitizers of certain assets and extensive changes to the SEC’s Regulation AB, including changes to the registration, disclosure and reporting requirements for asset-backed securities and other structured finance products.
Because certain of these rules were recently adopted, the multi-agency implementation has just begun and extensive interpretive issues remain. As a result, the cumulative impact of these changes, as well as additional regulations yet to be finalized, both on Citi’s participation in these transactions as well as on the securitization markets generally, is uncertain. It is likely that many aspects of the new rules will increase the costs of securitization transactions. It is also possible that these changes may hinder the recovery of previously active securitization markets or decrease the attractiveness of Citi’s executing or participating in certain securitization transactions, including securitization transactions which Citi previously executed or in which it participated, such as private-label mortgage securitizations. This could in turn reduce the income Citi earns from these transactions or hinder Citi’s ability to use such transactions to hedge risks, reduce exposures or reduce assets with adverse risk-weighting within its businesses.



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CREDIT AND MARKET RISKS

Macroeconomic Challenges in the U.S. and Globally, Including in the Emerging Markets, Could Have a Negative Impact on Citi’s Businesses and Results of Operations.
Citi has experienced, and could experience in the future, negative impacts to its businesses and results of operations as a result of macroeconomic and geopolitical challenges, uncertainties and volatility. As a result of a 2016 U.K. referendum, the U.K. triggered Article 50 in March 2017, beginning the two-year period in which the U.K. will negotiate its exit from the EU. Since then, numerous uncertainties have arisen, including, among others, (i) potential changes to Citi’s legal entity and booking model strategy and/or structure in both the U.K. and the EU based on the outcome of negotiations relating to the regulation of financial services; (ii) the potential impact of the exit to the U.K. and European economies and other financial markets; and (iii) the potential
impact to Citi’s exposures to counterparties as a result of any economic slowdown in the U.K. or Europe.
In addition, governmental fiscal and monetary actions, or expected actions, such as elevatedchanges in the federal funds rate and any balance sheet normalization program implemented by the Federal Reserve Board or other central banks, could impact interest rates, economic growth rates, the volatilities of global financial markets, foreign exchange rates and capital flows among countries. Although Citi estimates its overall net interest revenue would generally increase due to higher interest rates, higher rates could adversely affect Citi’s funding costs, levels of deposits in its consumer and institutional businesses and certain business or product revenues. Also, the U.S. Presidential administration has indicated it may pursue protectionist trade and other policies, which could result in additional macroeconomic and/or geopolitical challenges, uncertainties and volatilities. Further, the economic and fiscal situations of certain European countries have remained fragile, and concerns and uncertainties remain in Europe over the potential exit of additional countries from the EU.
These and other global macroeconomic and geopolitical challenges, uncertainties and volatilities have negatively impacted, and could continue to negatively impact, Citi’s businesses, results of operations and financial condition, including its credit costs, and/or decreased revenues in its Markets and securities services businesses, as a result of macroeconomic challenges, uncertainties and volatility. While the U.S. economy continues to improve, it remains susceptible to global events and volatility. Moreover, U.S. fiscal and monetary actions, or expected actions, can also impact not only the U.S. but global markets and economies as well as Citi’sother businesses, and results of operations. For example, the Federal Reserve Board may begin to increase short-term interest rates during 2015. Speculation about the timing of such a change has previously resultedAOCI (which would in significant volatility in the U.S. and global markets. While Citi expects certain positive impacts as a result, such as an increase in net interest revenue (for additional information, see “Managing Global Risk—Market Risk—Price Risk” below), the ultimate impact to Citi’s businesses and results of operations will depend on the timing, amount and market and consumer or other reactions to any such increases.
In addition, concerns remain regarding various U.S. government fiscal challenges and events that could occur as a result, such as a potential U.S. government shutdown or default. In recent years, these issues, including potential or actual ratings downgrades of U.S. debt obligations, have adversely affected U.S. and global financial markets, economic conditions and Citi’s businesses, results of operations and financial condition, and they could do so again in the future.
Outside of the U.S., the global economic recovery remains uneven and uncertain. The economic and fiscal situations of several European countries remain fragile, and geopolitical tensions throughout the region, including in Russia, have added to the uncertainties. Fiscal and monetary actions, or expected actions, throughout the region have further impacted the global financial markets as well as Citi’s businesses and results of operations. While concerns relating to sovereign defaults or a partial or complete break-up of the European Monetary Union (EMU), including potential accompanying redenomination risks and uncertainties, seemed to have abated during 2014, such concerns have resurfaced with the election of a new government in Greece in January 2015 (for Citi’s third-party assets and liabilities in Greece as of December 31, 2014, see “Managing Global Risk—Country and Cross-Border Risk” below).
Slower growth in certain emerging markets, such as China, has also occurred, whether due to global macroeconomic conditions or geopolitical tensions, governmental or regulatory policies or economic conditions within the particular region or country (for additional information on risks specific to the emerging markets, see the risk factor below). Given Citi’s strategy and focus on the emerging markets, actual or perceived uncertainty regarding future economic growth in the emerging markets has impacted
and could continue toturn negatively impact Citi’s businessesbook and results of operations, and Citi could be disproportionately impacted as compared to its competitors. Further, if a particular country’s economic situation were to deteriorate below a certain level, U.S. regulators can and have imposed mandatory loan loss and other reserve requirements on Citi, which could negatively impact its cost of credit and earnings, perhaps significantly (see, e.g., “Managing Global Risk—Country and Cross-Border Risk—Argentina” below)tangible book value).

Citi’s Extensive Global NetworkPresence in the Emerging Markets Subjects It to Various International and Emerging Markets Risks as well as Increased Compliance and Regulatory Risks and Costs.
During 2014, international revenues accounted for approximately 58%, and2017, emerging markets revenues accounted for approximately 40%,36% of Citi’s total revenues (for additional information on how Citi(Citi generally defines emerging markets as countries in Latin America, Asia (other than Japan, Australia and New Zealand), Central and Eastern Europe, the Middle East and Africa).
Citi’s presence in the emerging markets as well as its exposures in certain of these markets, see “Managing Global Risk—Country and Cross-Border Risk” below).
Citi’s extensive global network subjects it to a number of risks, associated with international and emerging markets. These risks can includeincluding sovereign volatility, political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyper-inflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets. For example, Citi operates in several countries that have, or have had in the past, strict foreign exchange controls, such as Argentina, and Venezuela, that limit its ability to convert local currency into U.S. dollars and/or transfer funds outside the country. During 2014,In prior years, Citi has also discovered fraud in certain frauds involving its Mexico subsidiary, Banamex. There have also been instances of politicalemerging markets in which it operates. Political turmoil and other instability have occurred in certain regions and countries, in which Citi operates, such as in Russia, Ukraine andincluding Asia, the Middle East and Latin America, which have required management time and attention in prior years (e.g., monitoring the impact of sanctions on Russian entities, business sectors, individuals or otherwise onthe Venezuelan and other countries’ economies as well as Citi’s businesses and results of operations).
Citi’s extensive global operationsemerging markets presence also increaseincreases its compliance and regulatory risks and costs. For example, Citi’s operations in emerging markets, including facilitating cross-bordercross-

border transactions on behalf of its clients, subject it to higher compliance risks under U.S. regulations primarily focused on various aspects of global corporate activities, such as anti-money-launderinganti-money laundering regulations and the Foreign Corrupt Practices Act. These risks can be more acute in less developedless-developed markets and thus require substantial investment in compliance infrastructure or could result in a reduction in certain of Citi’s business activities. Any failure by Citi to comply with applicable U.S. regulations, as well as the regulations in the countries and markets in which it operates as a result of its global footprint, could result in fines, penalties, injunctions or other similar restrictions, any of which could negatively impact Citi’s earningsresults of operations and reputation.

Citi’s Inability in Its Resolution Plan Submissions to Address Any Deficiencies Identified or Future Guidance Provided by the Federal Reserve Board and FDIC Could Subject Citi to More Stringent Capital, Leverage or Liquidity Requirements, or Restrictions on Its Growth, Activities or Operations, and Could Eventually Require Citi to Divest Assets or Operations.
Title I of the Dodd-Frank Act requires Citi to prepare and submit a plan to the Federal Reserve Board and the FDIC for the orderly resolution of Citigroup (the bank holding company) and its reputation.significant legal entities, under the U.S. Bankruptcy Code in the event of future material financial distress or failure. Citi submitted its most recent resolution plan in July 2017. On December 19, 2017, the Federal Reserve and the FDIC informed Citi that (i) the agencies jointly decided that Citi’s 2017 resolution plan submission satisfactorily addressed the shortcomings identified in the 2015 resolution plan submission, and (ii) the agencies did not identify any deficiencies in the 2017 resolution plan submission. Citi’s next resolution plan submission is due July 1, 2019. For additional information on Citi’s 2017 resolution plan submission, see “Managing Global Risk—Liquidity Risk” below.
Under Title I, if the Federal Reserve Board and the FDIC jointly determine that Citi’s resolution plan is not “credible” (which, although not defined, is generally believed to mean the regulators do not believe the plan is feasible or would otherwise allow the regulators to resolve Citi in a way that protects systemically important functions without severe systemic disruption), or would not facilitate an orderly resolution of Citi under the U.S. Bankruptcy Code, and Citi fails to resubmit a resolution plan that remedies any identified deficiencies, Citi could be subjected to more stringent capital, leverage or liquidity requirements, or restrictions on its growth, activities or operations. If within two years from the imposition of any requirements or restrictions Citi has still not remediated any identified deficiencies, then Citi could eventually be required to divest certain assets or operations. Any such restrictions or actions would negatively impact Citi’s reputation, market and investor perception, operations and strategy.



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Citi’s ResultsPerformance and the Performance of OperationsIts Individual Businesses Could Be Negatively Impacted as Its Revolving Home Equity Linesif Citi Is Not Able to Hire and Retain Highly Qualified Employees for Any Reason.
Citi’s performance and the performance of Credit Continue to “Reset.”
As of December 31, 2014, Citi’s home equity loan portfolio of approximately $28.1 billion included approximately $16.7 billion of home equity lines of credit that were still within their revolving period and had not commenced amortization, or “reset” (Revolving HELOCs). Of these Revolving HELOCs, approximately 78% will commence amortization during the period of 2015–2017 (for additional information, see “Managing Global Risk—Credit Risk—North America Consumer Mortgage Lending” below).
Before commencing amortization, Revolving HELOC borrowers are required to pay only interest on their loans. Upon amortization, these borrowers are required to pay both interest, usually at a variable rate, and principal that typically amortizes over 20 years, rather than the typical 30-year amortization. As a result, Citi’s customers with Revolving HELOCs that reset could experience “payment shock” due to the higher required paymentsits individual businesses largely depends on the loans. Increasestalents and efforts of its highly skilled employees. Specifically, Citi’s continued ability to compete in interest rates could further increase these payments, given the variable nature of the interest rates on these loans post-reset.
Based on the limited number of Citi’s Revolving HELOCs that have reset as of December 31, 2014, Citi has experienced a higher 30+ days past due delinquency rateits businesses, to manage its businesses effectively and to continue to execute its overall global strategy depends on its amortizing home equity loans as comparedability to attract new employees and to retain and motivate its total outstanding home equity loan portfolio (amortizingexisting employees. If Citi is unable to continue to attract and non-amortizing). Moreover, a portionretain the most highly qualified employees for any reason, Citi’s performance, including its competitive position, the successful execution of the resets that have occurred to date occurred during a periodits overall strategy and its results of declining interest rates, which Citi believes likely reduced the overall payment shock to borrowers. While Citi continues to monitor this reset risk closely and review and take additional actions to offset potential reset risk, increasing interest rates, stricter lending criteria and high borrower loan-to-value positionsoperations could limit be negatively impacted.
Citi’s ability to reduceattract and retain employees depends on numerous factors, some of which are outside of its control. For example, the banking industry generally is subject to more stringent regulation of executive and employee compensation than other industries, including deferral and clawback requirements for incentive compensation. Citi often competes in the market for talent with entities that are not subject to such significant regulatory restrictions on the structure of incentive compensation. Other factors that could impact Citi’s ability to attract and retain employees include its culture, compensation, and the management and leadership of the company as well as its individual businesses, presence in the particular market or mitigate this reset risk going forward. Accordingly,region at issue and the professional opportunities it offers.

U.S. and Non-U.S. Financial Services Companies and Others Pose Increasingly Competitive Challenges to Citi.
Citi operates in an increasingly competitive environment, which includes both financial and non-financial services firms. These companies compete on the basis of, among other factors, quality and type of products and services offered, price, technology and reputation. Citi competes with financial services companies in the U.S. and globally, which continually develop and introduce new products and services. In addition, in recent years, non-financial services firms, such as financial technology firms, have begun to offer services traditionally provided by financial institutions, such as Citi. These firms attempt to use technology and mobile platforms to enhance the ability of companies and individuals to borrow money, save and invest. To the extent it is not able to effectively compete with these loans continue to reset,and other firms, Citi could experience higher delinquency rates and increased loan loss reserves and net credit losses in future periods,be placed at a competitive disadvantage, which could be significantresult in loss of customers and would negatively impactmarket share, and its businesses, results of operations.operations and financial condition could suffer. For additional information on Citi’s competitors, see the co-brand and private label cards risk factor above and “Supervision, Regulation and Other—Competition” below.


CREDIT RISKS

Concentrations of Risk Can Increase the Potential for Citi to Incur Significant Losses.
Concentrations of risk, particularly credit and market risk, can increase Citi’s risk of significant losses. As of December 31, 2014,year-end 2017, Citi’s most significant concentration of credit risk was with the U.S. government and its agencies, which primarily results from trading assets and investments issued by the U.S. government and its agencies (for additional information, including concentrations of credit risk to other public sector entities, see Note 2423 to the Consolidated Financial Statements). Citi also routinely executes a high volume of securities, trading, derivative and foreign exchange transactions with counterparties in the financial services industry, including banks, other financial institutions, insurance companies, investment banks, governments, central banks and government and central banks. To the extentother financial institutions.
As regulatory or market developments continue to lead to increased centralization of trading activity through particular clearing houses, central agents, exchanges or exchanges, thisother financial market utilities, Citi could also experience an increase Citi’sin concentration of risk in this industry. Concentrationsto these industries. These concentrations of
risk canas well as the risk of failure of a large counterparty, central counterparty clearing house or financial market utility could limit and have limited, the effectiveness of Citi’s hedging strategies and have causedcause Citi to incur significant losses, and they may do so again in the future.losses.

LIQUIDITY RISKS

Citi’s Liquidity Planning, Management and Funding Could Be Negatively Impacted by the Heightened Regulatory Focus on and Continued Changes to Liquidity Standards and Requirements.
In September 2014, the U.S. banking agencies adopted final rules with respect to the U.S. Basel III Liquidity Coverage Ratio (LCR) (for additional information on the final LCR requirements, see “Managing Global Risk—Market Risk—Funding and Liquidity Risk” below). Implementation of the final LCR requirements requires Citi to maintain extensive compliance procedures and systems, including systems to calculate Citi’s LCR daily once the rules are fully implemented. Moreover, Citi’s liquidity planning, stress testing and management remains subject to heightened regulatory scrutiny and review, including pursuant to the Federal Reserve Board’s Comprehensive Liquidity Analysis and Review (CLAR) as well as regulators’ enhanced prudential standards authority. If Citi’s interpretation or implementation of the LCR requirements, or its overall liquidity planning and management, is not consistent with regulatory expectations or requirements, Citi’s funding and liquidity could be negatively impacted and it could incur increased compliance risks and costs.
In addition, in October 2014, the Basel Committee adopted final rules relating to the Net Stable Funding Ratio (NSFR), and the U.S. banking agencies are expected to propose U.S. NSFR rules during 2015 (for additional information on the Basel Committee’s final NSFR rules, see “Managing Global Risk—Market Risk—Funding and Liquidity Risk” below). Several aspects of the Basel Committee’s final NSFR rules will likely require further analysis and clarification, including with respect to the calculation of derivative assets and liabilities and netting of these assets. The final rules also leave discretion to national supervisors (i.e., the U.S. banking agencies) in several areas. Accordingly, like other areas of regulatory reform, it remains uncertain whether the U.S. NSFR rules might be more restrictive than the Basel Committee’s final NSFR. It also remains uncertain whether other entities or subsidiaries within Citi’s structure will be required to comply with the NSFR requirements, as well as the parameters of any such requirements.
Until these parameters are known, it is not possible to determine the potential impact to Citi’s, or its subsidiaries’, liquidity planning, management or funding. Moreover, to the extent other jurisdictions propose or adopt quantitative liquidity requirements that differ from any of the Basel Committee’s or the U.S. liquidity requirements, Citi could be at a competitive disadvantage because of its global footprint or could be required to meet different minimum liquidity standards in some or all of the jurisdictions in which it operates.


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For a discussion of the potential negative impacts to Citi’s liquidity planning, management and funding resulting from the U.S. GSIB capital surcharge proposal and the FSB’s TLAC proposal, see “Regulatory Risks” above.

The Maintenance of Adequate Liquidity and Funding Depends on Numerous Factors, Including Those Outside of Citi’s Control, Such as Market Disruptions and Increases in Citi’s Credit Spreads.
As a global financial institution, adequate liquidity and sources of funding are essential to Citi’s businesses. Citi’s liquidity and sources of funding can be significantly and negatively impacted by factors it cannot control, such as general disruptions in the financial markets, governmental fiscal and monetary policies, regulatory changes or negative investor perceptions of Citi’s creditworthiness.
In addition, Citi’s cost and abilitycosts to obtain deposits,and access secured funding and long-term unsecured funding are directly related to its credit spreads. Changes in credit spreads constantly occur and are market driven, including both external market factors and factors specific to Citi, and can be highly volatile. Citi’s credit spreads may also be influenced by movements in the costs to purchasers of credit default swaps referenced to Citi’s long-term debt, which are also impacted by these external and Citi-specific factors.
Moreover, Citi’s ability to obtain funding may be impaired if other market participants are seeking to access the markets at the same time, or if market appetite is reduced, as is likely to occur in a liquidity or other market crisis. A sudden drop in market liquidity could also cause a temporary or lengthier dislocation of underwriting and capital markets activity. In addition, clearing organizations, regulators, clients and financial institutions with which Citi interacts may exercise the right to require additional collateral based on these market perceptions or market conditions, which could further impair Citi’s access to and cost of funding.
As a holding company, Citi relies on interest, dividends, distributions and other payments from its subsidiaries to fund
dividends as well as to satisfy its debt and other obligations. Several of Citi’s U.S. and non-U.S. subsidiaries are or may be subject to capital adequacy or other regulatory or contractual restrictions on their ability to provide such payments, including any local regulatory stress test requirements or the proposed TLAC requirements (see “Regulatory Risks” above).requirements. Limitations on the payments that Citi receives from its subsidiaries could also impact its liquidity.
    
The Credit Rating Agencies Continuously Review the Credit Ratings of Citi and Certain of Its Subsidiaries, and Ratings Downgrades Could Have a Negative Impact on Citi’s Funding and Liquidity Due to Reduced Funding Capacity and Increased Funding Costs, Including Derivatives Triggers That Could Require Cash Obligations or Collateral Requirements.
The credit rating agencies, such as Fitch, Moody’s and S&P, continuously evaluate Citi and certain of its subsidiaries, and their ratings of Citi and its more significant subsidiaries’ long-term/senior debt and short-term/commercial paper, as applicable, are based on a number of factors, including standalone financial strength, as well as factors not entirely within the control of Citi and its subsidiaries, such as the
agencies’ proprietary rating agency methodologies and assumptions the rating agencies’ “government support uplift” assumptions, and conditions affecting the financial services industry and markets generally.
Citi and its subsidiaries may not be able to maintain their current respective ratings. Ratings downgrades could negatively impact Citi’s ability to access the capital markets and other sources of funds as well as the costs of those funds, and its ability to maintain certain deposits. A ratings downgrade could also have a negative impact on Citi’s funding and liquidity due to reduced funding capacity, includingas well as the impact of derivative triggers, which could take the form ofrequire Citi to meet cash obligations and collateral requirements. In addition, a ratings downgrade could also have a negative impact on other funding sources, such as secured financing and other margined transactions for which there aremay be no explicit triggers, as well as on contractual provisions and other credit requirements of Citi’s counterparties and clients, which may contain minimum ratings thresholds in order for Citi to hold third-party funds.
Moreover, credit ratings downgrades can have impacts whichthat may not be currently known to Citi or which are not possible to quantify. For example, some entities may have ratings limitations as to their permissible counterparties, of which Citi may or may not be aware. In addition, certain of Citi’s corporate customers and trading counterparties, among other clients, could re-evaluate their business relationships with Citi and limit the trading of certain contracts or market instruments with Citi in response to ratings downgrades. Changes in customer and counterparty behavior could impact not only Citi’s funding and liquidity but also the results of operations of certain Citi businesses. For additional information on the potential impact of a reduction in Citi’s or Citibank, N.A.’sCitibank’s credit ratings, see “Managing Global Risk—Market Risk—Funding and Liquidity—Credit Ratings”Liquidity Risk” below.

LEGAL RISKS

Citi Is Subject to Extensive Legal and Regulatory Proceedings, Investigations and Inquiries That Could Result in Significant Penalties and Other Impacts on Citi, Its Businesses and Results of Operations.
At any given time, Citi is defending a significant number of legal and regulatory proceedings and is subject to numerous governmental and regulatory examinations, investigations and other inquiries. The frequency with which such proceedings, investigations and inquiries are initiated, and the severity of the remedies sought (and in several cases obtained), have increased substantially over the last few years, and the global judicial, regulatory and political environment generally remains hostile to large financial institutions such as Citi.
Continued heightened scrutiny of the financial services industry by regulators and other enforcement authorities has led to questioning of industry practices and additional expectations regarding Citi’s management and oversight of third parties doing business with Citi (e.g., vendors). In addition, U.S. and non-U.S. regulators are increasingly focused on “conduct risk,” a term that is used to describe the risks associated with misconduct by employees and agents that could harm consumers, investors, or the markets, such as failures to safeguard consumers’ and investors’ personal


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information and improperly creating, selling and marketing products and services, among other forms of misconduct.The increased scrutiny and expectations of financial institutions, including Citi, and the questioning of the overall “culture” of Citi and the financial services industry generally as well as the effectiveness of Citi’s control functions, has and could continue to lead to more regulatory or other enforcement proceedings. While Citi takes numerous steps to prevent and detect misconduct by employees and agents, misconduct may not always be deterred or prevented.
In addition, the complexity of the federal and state regulatory and enforcement regimes in the U.S., coupled with the global scope of Citi’s operations and the continued aggressiveness of the regulatory environment worldwide, also means that a single event may give rise to a large number of overlapping investigations and regulatory proceedings, either by multiple federal and state agencies in the U.S. or by multiple regulators and other governmental entities in different jurisdictions.
For example, Citi is subject to extensive legal and regulatory inquiries, actions and investigations, including by the Antitrust Division and the Criminal Division of the U.S. Department of Justice, relating to Citi’s contribution to, or trading in products linked to, rates or benchmarks. These rates and benchmarks may relate to foreign exchange rates (such as the WM/Reuters fix), interest rates (such as the London Inter-Bank Offered Rate (LIBOR) or ISDAFIX), or other prices. Like other banks with operations in the U.S., Citi is also subject to continuing oversight by bank regulators, and inquiries and investigations by other governmental and regulatory authorities, with respect to its anti-money laundering program.
The severity of the remedies sought in these and the other legal and regulatory proceedings to which Citi is subject has increased substantially in recent years. U.S. and certain international governmental entities have emphasized a willingness to bring criminal actions against, or seek criminal convictions from, financial institutions, and criminal prosecutors in the U.S. have increasingly sought and obtained criminal guilty pleas or deferred prosecution agreements against corporate entities and other criminal sanctions from those institutions. Such actions can have significant collateral consequences for a subject financial institution, including loss of customers and business, and the inability to offer certain products or services and/or operate certain businesses. In addition, in recent years Citi has entered into consent orders and paid substantial fines and penalties, or provided monetary and other relief, in connection with the resolution of its extensive legal and regulatory matters. Citi may be required to accept or be subject to similar types of criminal or other remedies, fines, penalties and other requirements in the future, any of which could materially and negatively affect Citi’s businesses, business practices, financial condition or results of operations, require material changes in Citi’s operations, or cause Citi reputational harm. Resolution of these matters also results in significant time, expense and diversion of management’s attention.
Further, many large claims asserted against Citi are highly complex and slow to develop, and may involve novel
or untested legal theories. The outcome of such proceedings is difficult to predict or estimate until late in the proceedings, which may last several years. Although Citi establishes accruals for its legal and regulatory matters according to accounting requirements, the amount of loss ultimately incurred in relation to those matters may be substantially higher than the amounts accrued. In addition, certain settlements are subject to court approval and may not be approved.
For additional information relating to Citi’s legal and regulatory proceedings, see Note 28 to the Consolidated Financial Statements.

BUSINESS AND OPERATIONAL RISKS

Citi’s Ability to Return Capital to Shareholders Substantially Depends on the CCAR Process and the ResultsA Disruption of Regulatory Stress Tests.
In addition to Board of Directors’ approval, any decision by Citi to return capital to shareholders, whether through an increase in its common stock dividend or through a share repurchase program, substantially depends on regulatory approval, including through the annual Comprehensive Capital Analysis and Review (CCAR) process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act.
In March 2014, the Federal Reserve Board announced that it objected to the capital plan submitted by Citi as part of the 2014 CCAR process, meaning Citi was not able to increase its return of capital to shareholders as it had requested. Citi must address the Federal Reserve Board’s concerns, expectations and requirements regarding Citi’s capital planning process in order to return additional capital to shareholders under the 2015 CCAR process. Restrictions on Citi’s ability to return capital to shareholders as a result of the 2014 CCAR process negatively impacted market and investor perceptions of Citi, and continued restrictions could do so in the future.
Citi’s ability to accurately predict or explain to stakeholders the outcome of the CCAR process, and thus address any such market or investor perceptions, is complicated by the Federal Reserve Board’s evolving criteria employed in its overall aggregate assessment of Citi. The Federal Reserve Board’s assessment of Citi is conducted not only by using the Board’s proprietary stress test models, but also a number of qualitative factors, including a detailed assessment of Citi’s “capital adequacy process,” as defined by the Federal Reserve Board. These qualitative factors were cited by the Federal Reserve Board in its objection to Citi’s 2014 capital plan, and the Board has stated that it expects leading capital adequacy practices will continue to evolve and will likely be determined by the Board each year as a result of its cross-firm review of capital plan submissions.
Similarly, the Federal Reserve Board has indicated that, as part of its stated goal to continually evolve its annual stress testing requirements, several parameters of the annual stress testing process may be altered from time to time, including the severity of the stress test scenario, Federal Reserve Board modeling of Citi’s balance sheet and the addition of


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components deemed important by the Federal Reserve Board (e.g., a counterparty failure). In addition, as part of the Federal Reserve Board’s U.S. GSIB proposal, the Federal Reserve Board indicated that it may consider, at some point in the future, that some or all of Citi’s GSIB surcharge be integrated into its post-stress test minimum capital requirements. These parameter and other alterations could further increase the level of capital Citi must meet as part of the stress tests, thus potentially impacting levels of capital returns to shareholders.
Further, because it is not clear how the Federal Reserve Board’s proprietary stress test models and qualitative assessment may differ from the modeling techniques and capital planning practices employed by Citi, it is likely that Citi’s stress test results (using its own models, estimation methodologies and processes) may not be consistent with those disclosed by the Federal Reserve Board, thus potentially leading to additional confusion and impacts to Citi’s perception in the market.

Citi’s Ability to Achieve Its 2015 Efficiency and Return on Assets Targets Will Depend in Part on the Successful Achievement of Its Execution Priorities.
In March 2013, Citi established 2015 financial targets for Citicorp’s operating efficiency ratio and Citigroup’s return on assets. Citi’s ability to achieve these targets will depend in part on the successful achievement of its execution priorities, including efficient resource allocation, which includes disciplined expense management; a continued focus on the wind-down of Citi Holdings and maintaining Citi Holdings at or above “break even”; and utilization of its DTAs (see below). Citi’s ability to achieve its targets will also depend on factors which it cannot control, such as ongoing regulatory changes, continued higher regulatory and compliance costs and macroeconomic conditions, among others. While Citi continues to take actions to achieve its execution priorities, there is no guarantee that Citi will be successful.
Citi continues to pursue its disciplined expense-management strategy, including re-engineering, restructuring operations and improving efficiency. However, there is no guarantee that Citi will be able to reduce its level of expenses as a result of announced repositioning actions, efficiency initiatives or otherwise, and investments Citi has made in its businesses, or may make in the future, may not be as productive or effective as Citi expects or at all. Citi’s expenses also depend, in part, on factors not entirely within its control. For example, during 2014, Citi incurred significant legal and related costs in order to resolve various of its extensive legal and regulatory proceedings and inquiries. In order to achieve its 2015 financial targets, Citi will need to significantly reduce its legal and related costs, as well as repositioning expenses, from 2014 levels.
In addition, while Citi has made significant progress in winding-down Citi Holdings over the last several years, maintaining Citi Holdings at or above “break even” in 2015 will be important to achieving its return on assets target. As discussed under “Global Consumer Banking” and “Institutional Clients Group” above, beginning in the first quarter of 2015, Citi will be reporting certain of its non-core
consumer and institutional businesses as part of Citi Holdings. While Citi expects to maintain Citi Holdings at or above “break even” in 2015 even with the inclusion of these businesses, it may not be able to do so due to factors it cannot control, as described above. In addition, as described under “Citi Holdings” above, the remaining assets in Citi Holdings as of December 31, 2014 consisted of North America consumer mortgages as well as larger remaining businesses, including Citi’s legacy CitiFinancial business, and, beginning in the first quarter of 2015, the non-core consumer and institutional businesses referenced above. While Citi’s strategy continues to be to reduce the assets in Citi Holdings as quickly as practicable in an economically rational manner, and it expects to substantially complete the exit of the consumer businesses moved to Citi Holdings in the first quarter by the end of 2015, sales of the remaining larger businesses in Citi Holdings will also depend on factors outside of Citi’s control, such as market appetite and buyer funding, and the remaining mortgage assets will largely continue to be subject to ongoing run-off and opportunistic sales. As a result, Citi Holdings’ remaining assets could have a negative impact on Citi’s overall results of operations or financial condition.

Citi’s Ability to Utilize Its DTAs, and Thus Reduce the Negative Impact of the DTAs on Citi’s Regulatory Capital, Will Be Driven by Its Ability to Generate U.S. Taxable Income.
At December 31, 2014, Citi’s net DTAs were $49.5 billion, of which approximately $34.3 billion was excluded from Citi’s Common Equity Tier 1 Capital, on a fully implemented basis, under the final U.S. Basel III rules (for additional information, see “Capital Resources—Components of Capital under Basel III (Advanced Approaches with Full Implementation)” above). In addition, of the net DTAs as of year-end 2014, approximately $17.6 billion related to foreign tax credit carry-forwards (FTCs). The carry-forward utilization period for FTCs is 10 years and represents the most time-sensitive component of Citi’s DTAs. Of the FTCs at year-end 2014, approximately $1.9 billion expire in 2017, $5.2 billion expire in 2018 and the remaining $10.5 billion expire over the period of 2019–2023. Citi must utilize any FTCs generated in the then-current year prior to utilizing any carry-forward FTCs.
The accounting treatment for realization of DTAs, including FTCs, is complex and requires significant judgment and estimates regarding future taxable earnings in the jurisdictions in which the DTAs arise and available tax planning strategies. Citi’s ability to utilize its DTAs, including the FTC components, and thus use the capital supporting the DTAs for more productive purposes, will be dependent upon Citi’s ability to generate U.S. taxable income in the relevant tax carry-forward periods. Failure to realize any portion of the DTAs would also have a corresponding negative impact on Citi’s net income.
In addition, with regard to FTCs, utilization will be influenced by actions to optimize U.S. taxable earnings for the purpose of consuming the FTC carry-forward component of the DTAs prior to expiration.  These FTC actions, however, may serve to increase the DTAs for other less time sensitive components.  Moreover, tax return limitations on FTCs and


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general business credits that cause Citi to incur current tax expense, notwithstanding its tax carry-forward position, could impact the rate of overall DTA utilization.
DTA utilization will also continue to be driven by movements in Citi’s Accumulated other comprehensive income, which can be impacted by changes in interest rates and foreign exchange rates.
For additional information on Citi’s DTAs, including the FTCs, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below and Note 9 to the Consolidated Financial Statements.

The Value of Citi’s DTAs Could Be Significantly Reduced If
Corporate Tax Rates in the U.S. or Certain State or Foreign Jurisdictions Decline or as a Result of Other Changes in the
U.S. Corporate Tax System.
Congress and the Obama Administration have discussed decreasing the U.S. corporate tax rate. Similar discussions have taken place in certain local, state and foreign jurisdictions, including in New York City and Japan. While Citi may benefit in some respects from any decrease in corporate tax rates, a reduction in the U.S., state or foreign corporate tax rates could result in a decrease, perhaps significant, in the value of Citi’s DTAs, which would result in a reduction to Citi’s net income during the period in which the change is enacted. There have also been recent discussions of more sweeping changes to the U.S. tax system. It is uncertain whether or when any such tax reform proposals will be enacted into law, and whether or how they will affect Citi’s DTAs.

Citi’s Interpretation or Application of the Extensive Tax Laws to Which It Is Subject Could Differ from Those of the Relevant Governmental Authorities, Which Could Result in the Payment of Additional Taxes and Penalties.
Citi is subject to the various tax laws of the U.S. and its states and municipalities, as well as the numerous foreign jurisdictions in which it operates. These tax laws are inherently complex and Citi must make judgments and interpretations about the application of these laws to its entities, operations and businesses. Citi’s interpretations and application of the tax laws, including with respect to withholding tax obligations and stamp and other transactional taxes, could differ from that of the relevant governmental taxing authority, which could result in the potential for the payment of additional taxes, penalties or interest, which could
be material.

Citi’s Operational Systems and Networks Have Been, and Will Continue to Be, Subject to an Increasing Risk of Continually Evolving Cybersecurity or Other Technological Risks Which Could Result in the Disclosure of Confidential Client or Customer Information, Damage toNegatively Impact Citi’s Reputation, Additional Costs to Citi, Regulatory PenaltiesCustomers, Clients, Businesses or Results of Operations and Financial Losses.Condition.
A significant portion of Citi’s operations relies heavily on the secure processing, storage and transmission of confidential and other information as well as the monitoring of a large number of complex transactions on a minute-by-minute basis.
For example, through its Global Consumer Banking, and credit card and securities services businesses in Institutional Clients Group, Citi obtains and stores an extensive amount of personal and client-specific information for its retail, corporate and governmental customers and clients and must accurately record and reflect their extensive account transactions.
With the evolving proliferation of new technologies and the increasing use of the Internet, and mobile devices and cloud technologies to conduct financial transactions, large global financial institutions such as Citi have been, and will continue to be, subject to an increasing risk of operational disruption or cyber or information security incidents from these activities.activities (for additional information on cybersecurity risk, see the discussion below). These incidents are unpredictable and can arise from numerous sources, not all of which are in Citi’s control, including among others human error, fraud or malice on the part of employees, accidental technological failure, electrical or telecommunication outages, failures of computer servers or other similar damage to Citi’s property or assets. These issues can also arise as a result of failures by third parties with which Citi does business, such as failures by Internet, mobile technology and cloud service providers or other vendors to adequately safeguard their systems and prevent system disruptions or cyber attacks.
Such events could cause interruptions or malfunctions in the operations of Citi (such as the temporary loss of availability of Citi’s online banking system or mobile banking platform), as well as the operations of its clients, customers or other third parties. Given Citi’s global footprint and the high volume of transactions processed by Citi, certain errors or actions may be repeated or compounded before they are discovered and rectified, which would further increase these costs and consequences. Any such events could also result in financial losses as well as misappropriation, corruption or loss of confidential and other information or assets, which could negatively impact Citi’s reputation, customers, clients, businesses or results of operations and financial condition, perhaps significantly.

Citi’s and Third Parties’ Computer Systems and Networks Have Been, and Will Continue to Be, Subject to an Increasing Risk of Continually Evolving, Sophisticated Cybersecurity Risks That Could Result in the Theft, Loss, Misuse or Disclosure of Confidential Client or Customer Information, Damage to Citi’s Reputation, Additional Costs to Citi, Regulatory Penalties, Legal Exposure and Financial Losses.
Citi’s computer systems, software and networks are subject to ongoing cyber incidents such as unauthorized access;access, loss or destruction of data (including confidential client information); ,
account takeovers;takeovers, unavailability of service;service, computer viruses or other malicious code;code, cyber attacks;attacks and other similar events. These threats maycan arise from human error, fraud or malice on the part of employees or third parties, or may result from accidental technological failure. Additional challenges are posed by external parties, including criminal organizations, extremist parties and certain foreign state actors that engage in cyber activities.
Third parties with which Citi does business, as well as retailers and other third parties with which Citi’s customers do business, may also be sources of cybersecurity risks, particularly where activities of customers are beyond Citi’s security and control systems. For example, Citi outsources certain functions, such as processing customer credit card transactions, uploading content on customer-facing websites, and developing software for new products and services. These relationships allow for the storage and processing of customer information by third-party hosting of or access to Citi websites, which could result in compromise or the potential to introduce vulnerable or malicious code, resulting in security breaches impacting Citi customers. Furthermore, because financial institutions are becoming increasingly interconnected with central agents, exchanges and clearing houses, including as a meansresult of the derivatives reforms over the last few years, Citi has increased exposure to promote political ends. cyber attacks through third parties.
As further evidence of the increasing and potentially significant impact of cyber incidents, during 2014, certain U.S. financial institutionsin 2017, a credit bureau reported a cyber incidents affecting their computer systemsincident that resulted in the dataimpacted sensitive information of millions of customers being compromised.an estimated 143 million consumers. In addition, in recent years, several U.S. retailers and financial institutions and other multinational companies reported cyber incidents that compromised customer data or resulted in theft of funds or theft or destruction of corporate information or other assets. Moreover, the U.S. government as well as several multinational companies reported cyber incidents in prior years that affected their computer systems resulting in the data of millions of customers and employees being compromised. These incidents have resulted in increased legislative and regulatory scrutiny of firms’ cybersecurity protection services and calls for additional laws and regulations to further enhance protection of consumers’ personal data.
While Citi has not been materially impacted by these incidents did not impact,reported or did not have a material impact, on Citi,other cyber incidents, Citi has been subject to other intentional cyber incidents from external sources over the last several years, including (i) denial of service attacks, which attempted to interrupt service to clients and customers;customers, (ii) data breaches, which aimed to obtainobtained unauthorized access to customer account data;data and (iii) malicious software attacks on client systems, which attempted to allow unauthorized entrance to Citi’s systems under the guise of a client and the extraction of client data. While Citi’s monitoring and protection services were able to detect and respond to the incidents targeting its systems before they became significant, they still resulted in limited losses in some instances as well as increases in expenditures to monitor against the threat of similar future cyber incidents. There can be no assurance that such cyber incidents will not occur again, and they could occur more frequently and on a more significant scale.
AlthoughFurther, although Citi devotes significant resources to implement, maintain, monitor and regularly upgrade its systems and networks with measures such as intrusion

detection and prevention and firewalls to safeguard critical business applications, there is no guarantee that these measures or any other measures can provide absolute security. In addition, becauseBecause the methods used to cause cyber attacks change frequently or, in some cases, are not recognized until launched, Citi may be unable to implement effective preventive measures or proactively address these methods.methods until they are discovered. In addition, while Citi engages in certain actions to reduce the exposure resulting from outsourcing, such as performing onsite security control assessments and limiting third-party access to the least privileged level necessary to perform job functions, these actions cannot prevent all external cyber attacks, information breaches or similar losses.
If Citi were to be subject to a cyber incident, it couldCyber incidents can result in the disclosure of personal, confidential or proprietary customer or client information, damage to Citi’s reputation with its clients and the market,


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customer dissatisfaction, additional costs (including credit costs) to Citi (such as repairing systems, replacing customer payment cards or adding new personnel or protection technologies), regulatory penalties, loss of revenues, exposure to litigation and other financial losses, including loss of funds, to both Citi and its clients and customers. Such events could also cause interruptions or malfunctions in the operations of Citi (such as the lack of availability of Citi’s online banking system or mobile banking platform), as well as the operations of its clients, customers or other third parties. Given Citi’s global footprint and the high volume of transactions processed by Citi, certain errors or actions may be repeated or compounded before they are discovered and rectified, which would further increase these costs and consequences.
Third parties with which Citi does business may also be sources of cybersecurity or other technological risks. Citi outsources certain functions, such as processing customer credit card transactions, uploading content(for additional information on customer-facing websites, and developing software for new products and services. These relationships allow for the storage and processing of customer information by third-party hosting of or access to Citi websites, which could result in service disruptions or website defacements, and the potential to introduce vulnerable code, resulting in security breaches impacting Citi customers. While Citi engages in certain actions to reduce the exposure resultingimpact from outsourcing, such as performing onsite security control assessments, limiting third-party access to the least privileged level necessary to perform job functions and restricting third-party processing to systems stored within Citi’s data centers, ongoing threats may result in unauthorized access, loss or destruction of data or other cyber incidents, with increased costs and consequences to Citi such as those discussed above. Furthermore, because financial institutions are becoming increasingly interconnected with central agents, exchanges and clearing houses, including as a result ofsee the derivatives reforms over the last few years, Citi has increased exposure to operational failure or cyber attacks through third parties.systems risk factor above).
While Citi maintains insurance coverage that may, subject to policy terms and conditions including significant self-insured deductibles, cover certain aspects of cyber risks, such insurance coverage may be insufficient to cover all losses.

Citi Maintains Co-Branding and Private Label Relationships with Various Retailers and Merchants Within Its U.S. Credit Card Businesses in NA GCB, and the Failure to Maintain These Relationships Could Have a Significant Negative Impact on the Results of Operations or Financial Condition of Those Businesses.
Through its U.S. Citi-branded cards and Citi retail services credit card businesses within North America Global Consumer Banking (NA GCB), Citi maintains numerous co-branding and private label relationships with third-party retailers and merchants in the ordinary course of business pursuant to which Citi issues credit cards to customers of the retailers or merchants. Citi’s co-branding and private label agreements provide for shared economics between the parties and generally have a fixed term. Competition among card issuers such as Citi for these relationships is significant and these
agreements may not be extended or renewed by the parties. These agreements could also be terminated due to, among other factors, a breach by Citi of its responsibilities under the applicable agreement, a breach by the retailer or merchant under the agreement, or external factors, including bankruptcies, liquidations, restructurings or consolidations and other similar events that may occur. While various mitigating factors could be available in the event of the loss of one or more of these relationships, such as replacing the retailer or merchant or by Citi offering new card products, the results of operations or financial condition of Citi-branded cards or Citi retail services, as applicable, or NA GCB could be negatively impacted, and the impact could be significant.

Citi May Incur Significant Losses If Its Risk Management Models, Processes or Strategies Are Ineffective.
Citi employs a broad and diversified set of risk management and mitigation processes and strategies, including the use of various risk models, in analyzing and monitoring the various risks Citi assumes in conducting its activities, such as credit, market and operational risks (for additional information regarding these areas of risk as well as risk management at Citi, see “Managing Global Risk” below). For example, Citi uses models as part of its various stress testing initiatives across the firm.Management of these risks is made even more challenging within a global financial institution such as Citi, particularly given the complex, diverse and rapidly changing financial markets and conditions in which Citi operates.
These models, processes and strategies are inherently limited because they involve techniques, including the use of historical data in some circumstances, and judgments that cannot anticipate every economic and financial outcome in the markets in which Citi operates nor can they anticipate the specifics and timing of such outcomes. Citi could incur significant losses if its risk management models, processes or strategies are ineffective in properly anticipating or managing these risks.

Citi’s Performance and the Performance of Its Individual Businesses Could Be Negatively Impacted If Citi Is Not Able to Hire and Retain Qualified Employees for Any Reason.
Citi’s performance and the performance of its individual businesses is largely dependent on the talents and efforts of highly skilled employees. Specifically, Citi’s continued ability to compete in its businesses, to manage its businesses effectively and to continue to execute its overall global strategy depends on its ability to attract new employees and to retain and motivate its existing employees. Citi’s ability to attract and retain employees depends on numerous factors, including its culture, compensation, the management and leadership of the company as well as its individual businesses, Citi’s presence in the particular market or region at issue and the professional opportunities it offers.
The banking industry has and may continue to experience more stringent regulation of employee compensation, including limitations relating to incentive-based compensation, clawback requirements and special taxation. Moreover, given its continued focus on the emerging markets,


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Citi is often competing for qualified employees in these markets with entities that have a significantly greater presence in the region or are not subject to significant regulatory restrictions on the structure of incentive compensation. If Citi is unable to continue to attract and retain qualified employees for any reason, Citi’s performance, including its competitive position, the successful execution of its overall strategy and its results of operations could be negatively impacted.

Incorrect Assumptions or Estimates in Citi’s Financial Statements Could Cause Significant Unexpected Losses in the Future, and Changes to Financial Accounting and Reporting Standards or Interpretations Could Have a Material Impact on How Citi Records and Reports Its Financial Condition and Results of Operations.
U.S. GAAP requires Citi is required to use certain assumptions and estimates in preparing its financial statements, under U.S. GAAP, including determining credit loss reserves, reserves related to litigation and regulatory exposures, valuation of DTAs, the estimate of the allowance for credit losses and the fair values of certain assets and liabilities, among other items. If Citi’s assumptions or estimates underlying its financial statements are incorrect or differ from actual future events, Citi could experience unexpected losses, some of which could be significant.
Moreover, theThe Financial Accounting Standards Board (FASB) is currently reviewing, or has proposed or issued changes to several financial accounting and reporting standards that will govern key aspects of Citi’s financial statements or interpretations thereof when those standards become effective, including those areas where Citi is required to make assumptions or estimates. For example, the FASB has proposed aFASB’s new accounting model intended tostandard on credit losses, which will become effective for Citi on January 1, 2020, will require earlier recognition of credit losses on financial instruments.assets. The proposednew accounting model would requirerequires that lifetime “expected credit losses” on financial assets not recorded at fair value through net income, such as loans and held-to-maturity securities, be recorded at inception of the financial asset, replacing the
multiple existing impairment models under U.S. GAAP whichthat generally require that a loss be “incurred” before it is recognized. Forrecognized (for additional information on this and other proposed changes,accounting standards, see Note 1 to the Consolidated Financial Statements.“Significant Accounting Policies and Significant Estimates” below).
Changes to financial accounting or reporting standards or interpretations, whether promulgated or required by the FASB or other regulators, could present operational challenges and could require Citi to change certain of the assumptions or estimates it previously used in preparing its financial statements, which could negatively impact how it records and reports its financial condition and results of operations generally and/or with respect to particular businesses. In addition, the FASB is seeking to converge U.S. GAAP with International Financial Reporting Standards (IFRS) to the extent IFRS provides an improvement to accounting standards. Any transition to IFRS could further have a material impact on how Citi records and reports its financial results. For additional information on the key areas for which assumptions and estimates are used in preparing Citi’s financial statements, see “Significant Accounting Policies and Significant Estimates” below and Note 28Notes 1 and 27 to the Consolidated Financial Statements.

Citi May Incur Significant Losses and Its Regulatory Capital and Capital Ratios Could be Negatively Impacted if Its Risk Management Process, Strategies or Models Are Deficient or Ineffective.
Citi utilizes a broad and diversified set of risk management and mitigation processes and strategies, including the use of various risk models in analyzing and monitoring the various risks Citi assumes in conducting its activities. For example, Citi uses models as part of its various stress testing initiatives across Citi. Citi also relies on data to aggregate, assess and manage various risk exposures. Management of these risks is made even more challenging within a global financial institution such as Citi, particularly given the complex, diverse and rapidly changing financial markets and conditions in which Citi operates.
These processes, strategies and models are inherently limited because they involve techniques, including the use of historical data in many circumstances, and judgments that cannot anticipate every economic and financial outcome in the markets in which Citi operates, nor can they anticipate the specifics and timing of such outcomes. Citi could incur significant losses and its regulatory capital and capital ratios could be negatively impacted, if Citi’s risk management processes, including its ability to manage and aggregate data in a timely and accurate manner, strategies or models are deficient or ineffective. Such deficiencies or ineffectiveness could also result in inaccurate financial, regulatory or risk reporting.
Moreover, Citi’s Basel III regulatory capital models, including its credit, market and operational risk models, currently remain subject to ongoing regulatory review and approval, which may result in refinements, modifications or enhancements (required or otherwise) to these models. Modifications or requirements resulting from these ongoing reviews, as well as any future changes or guidance provided by the U.S. banking agencies regarding the regulatory capital framework applicable to Citi, have resulted in, and could continue to result in, significant changes to Citi’s risk-weighted assets. These changes can negatively impact Citi’s

capital ratios and its ability to achieve its regulatory capital requirements as it projects or as required.

COMPLIANCE, CONDUCT AND LEGAL RISKS

Ongoing Implementation and Interpretation of Regulatory Changes and Requirements in the U.S. and Globally Have Increased Citi’s Compliance Risks and Costs.
As referenced above, over the past several years, Citi has been required to implement a significant number of regulatory changes across all of its businesses and functions, and these changes continue. In some cases, Citi’s implementation of a regulatory requirement is occurring simultaneously with changing or conflicting regulatory guidance, legal challenges or legislative action to modify or repeal existing rules or enact new rules. Moreover, in many cases, these are entirely new regulatory requirements or regimes, resulting in much uncertainty regarding regulatory expectations as to what is definitely required in order to be in compliance. Accompanying this compliance uncertainty is heightened regulatory scrutiny and expectations in the U.S. and globally for the financial services industry with respect to governance and risk management practices, including its compliance and regulatory risks (for a discussion of heightened regulatory expectations on “conduct risk” at, and the overall “culture” of, financial institutions such as Citi, see the legal and regulatory proceedings risk factor below). All of these factors have resulted in increased compliance risks and costs for Citi.
Examples of regulatory changes that have resulted in increased compliance risks and costs include (i) the Federal Reserve Board’s “total loss absorbing capacity” (TLAC) requirements, including consequences of a breach of the external long-term debt (LTD) requirement and the clean holding company requirements, given there are no cure periods for the requirements, and the new “anti-evasion” provision that authorizes the Federal Reserve Board to exclude from a bank holding company’s outstanding external LTD any debt having certain features that would, in the Board’s view, “significantly impair” the debt’s ability to absorb losses; (ii) the Volcker Rule, which requires Citi to maintain an extensive global compliance regime, including significant documentation to support the prohibition against proprietary trading; and (iii) a proliferation of laws relating to the limitation of cross-border data movement, including data localization and protection and privacy laws, which can conflict with or increase compliance complexity with respect to anti-money laundering laws.
Extensive compliance requirements can result in increased reputational and legal risks, as failure to comply with regulations and requirements, or failure to comply as expected, can result in enforcement and/or regulatory proceedings (for additional discussion, see the legal and regulatory proceedings risk factor below). In addition, increased and ongoing compliance requirements and uncertainties have resulted in higher costs for Citi. For example, Citi employed roughly 30,000 risk, regulatory and compliance staff as of year-end 2017, out of a total employee population of 209,000, compared to approximately 14,000 as of year-end 2008 with a total employee population of 323,000.
 
These higher regulatory and compliance costs can impede Citi’s ongoing, business-as-usual cost reduction efforts, and can also require management to reallocate resources, including potentially away from ongoing business investment initiatives, as discussed above.

Citi Is Subject to Extensive Legal and Regulatory Proceedings, Investigations and Inquiries That Could Result in Significant Penalties and Other Negative Impacts on Citi, Its Businesses and Results of Operations.
At any given time, Citi is defending a significant number of legal and regulatory proceedings and is subject to numerous governmental and regulatory examinations, investigations and other inquiries. Over the last several years, the frequency with which such proceedings, investigations and inquiries are initiated have increased substantially, and the global judicial, regulatory and political environment has generally been unfavorable for large financial institutions. The complexity of the federal and state regulatory and enforcement regimes in the U.S., coupled with the global scope of Citi’s operations, also means that a single event or issue may give rise to a large number of overlapping investigations and regulatory proceedings, either by multiple federal and state agencies in the U.S. or by multiple regulators and other governmental entities in different jurisdictions.
Moreover, U.S. and non-U.S. regulators have been increasingly focused on “conduct risk,” a term used to describe the risks associated with behavior by employees and agents, including third-party vendors utilized by Citi, that could harm clients, customers, investors or the markets, such as improperly creating, selling, marketing or managing products and services or improper incentive compensation programs with respect thereto, failures to safeguard a party’s personal information, or failures to identify and manage conflicts of interest. In addition to increasing Citi’s compliance and reputational risks, this focus on conduct risk could lead to more regulatory or other enforcement proceedings and civil litigation, including for practices which historically were acceptable but are now receiving greater scrutiny. Further, while Citi takes numerous steps to prevent and detect conduct by employees and agents that could potentially harm clients, customers, investors or the markets, such behavior may not always be deterred or prevented. Banking regulators have also focused on the overall culture of financial services firms, including Citi. In addition to regulatory restrictions or structural changes that could result from perceived deficiencies in Citi’s culture, such focus could also lead to additional regulatory proceedings.
Further, the severity of the remedies sought in legal and regulatory proceedings to which Citi is subject has increased substantially in recent years. U.S. and certain international governmental entities have increasingly brought criminal actions against, or have sought criminal convictions from, financial institutions, and criminal prosecutors in the U.S. have increasingly sought and obtained criminal guilty pleas or deferred prosecution agreements against corporate entities and other criminal sanctions from those institutions. For example, in 2015, an affiliate of Citi pleaded guilty to an antitrust violation and paid a substantial fine to resolve a U.S.

Department of Justice investigation into Citi’s foreign exchange business practices. These types of actions by U.S. and international governmental entities may, in the future, have significant collateral consequences for a financial institution, including loss of customers and business, and the inability to offer certain products or services and/or operate certain businesses. Citi may be required to accept or be subject to similar types of criminal remedies, consent orders, sanctions, substantial fines and penalties, remediation and other financial costs or other requirements in the future, including for matters or practices not yet known to Citi, any of which could materially and negatively affect Citi’s businesses, business practices, financial condition or results of operations, require material changes in Citi’s operations or cause Citi reputational harm.
Further, many large claims—both private civil and regulatory—asserted against Citi are highly complex, slow to develop and may involve novel or untested legal theories. The outcome of such proceedings is difficult to predict or estimate until late in the proceedings. Although Citi establishes accruals for its legal and regulatory matters according to accounting requirements, Citi’s estimates of, and changes to, these accruals involve significant judgment and may be subject to significant uncertainty, and the amount of loss ultimately incurred in relation to those matters may be substantially higher than the amounts accrued. In addition, certain settlements are subject to court approval and may not be approved.
For additional information relating to Citi’s legal and regulatory proceedings and matters, including Citi’s policies on establishing legal accruals, see Note 27 to the Consolidated Financial Statements.





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Managing Global Risk Table of Contents

MANAGING GLOBAL RISK 
6566

   Overview
 
6566

    Citi’s Risk Management Organization
65

    Citi’s Compliance Organization69
CREDIT RISK(1)
 
7170

   Overview
70
   Consumer Credit Risk Management 
71

   Corporate Credit Risk Measurement and Stress Testing 
7179

   Additional Consumer and Corporate Credit Details
82
       Loans Outstanding 
7282

       Details of Credit Loss Experience 
7383

       Allowance for Loan Losses 75
85
       Non-Accrual Loans and Assets and Renegotiated Loans 
7686

 North America Consumer Mortgage Lending
       Forgone Interest Revenue on Loans		89
LIQUIDITY RISK 
8090

     Consumer Loan DetailsOverview 
8590

     Corporate Credit DetailsHigh-Quality Liquid Assets (HQLA) 
88
91
     Loans
91
     Deposits92
     Long-Term Debt92
     Secured Funding Transactions and Short-Term Borrowings95
     Liquidity Monitoring and Measurement97
     Credit Ratings98
MARKET RISK(1)
 
91100

  Market Risk Management
91

  Funding and Liquidity Risk
91

  Overview 
91100

   High Quality Liquid AssetsMarket Risk of Non-Trading Portfolios 
91100

        Deposits92
     Long-Term Debt93
     Secured Funding Transactions and Short-Term Borrowings95
     Liquidity Management, Stress Testing and Measurement96
     Credit Ratings97
  PriceNet Interest Revenue at Risk 
100

        PriceInterest Rate Risk Measurement and Stress Testingof Investment Portfolios—Impact on AOCI 
100

        Changes in Foreign Exchange Rates—Impacts on AOCI and Capital		102
        Price Risk—Non-Trading Portfolios (including Interest Rate Exposure)Revenue/Expense and Net Interest Margin 
100103

        Price Risk—Additional Interest Rate Details105
   Market Risk of Trading Portfolios (including VAR) 
108109

        Factor Sensitivities		110
        Value at Risk (VAR)110
        Stress Testing114
OPERATIONAL RISK 
113115

     Operational Risk Management
113

     Operational Risk Measurement and Stress Testing
113

COUNTRY AND CROSS-BORDERCOMPLIANCE RISK 
114115

CONDUCT RISK		116
LEGAL RISK116
REPUTATIONAL RISK
116
STRATEGIC RISK117
   Country Risk 
115118

   Cross-Border Risk
117


(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.



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MANAGING GLOBAL RISK

Overview
Citigroup believes thatFor Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in—in, and the risks those activities generate—generate, must be consistent with Citi’s underlying commitmentmission and value proposition, the key principles that guide it, and Citi's risk appetite.
Risk management must be built on a foundation of ethical culture. Under Citi’s mission and value proposition, which was developed by Citi’s senior leadership and distributed throughout the Company, Citi strives to serve its clients as a trusted partner by responsibly providing financial services that enable growth and economic progress while earning and maintaining the public’s trust by constantly adhering to the highest ethical standards. As such, Citi asks all employees to ensure that their decisions pass three tests: they are in our clients’ interests, create economic value and are always systemically responsible. Additionally, Citi evaluates employees’ performance against behavioral expectations set out in Citi’s leadership standards, which were designed in part to effectuate Citi’s mission and value proposition. Other culture-related efforts in connection with conduct risk, ethics and leadership, escalation, and treating customers fairly help Citi to execute its mission and value proposition.
Citi’s Company-wide risk governance framework consists of the policies, procedures, and processes through which Citi identifies, measures, manages, monitors, reports and controls risks across the Company. It also emphasizes Citi’s risk culture and lays out standards, procedures and programs that are designed and undertaken to enhance the Company’s risk culture, embed this culture deeply within the organization, and give employees tools to make sound and ethical risk decisions and to escalate issues appropriately. The risk governance framework has been developed in alignment with the expectations of the Office of the Comptroller of the Currency (OCC) Heightened Standards. It is also aligned with the relevant components of the Basel Committee on Banking Supervision’s corporate governance principles for banks and relevant components of “responsible finance”the Federal Reserve’s Enhanced Prudential Standards for Bank Holding Companies and in line with Citi's risk appetite. For Citi,Foreign Banking Organizations.
Four key principles—common purpose, responsible finance, means conduct that is transparent, prudentingenuity and dependable, and that delivers better outcomes forleadership—guide Citi as it performs its mission. Citi’s clients and society. Citi's risk appetite, framework includes principle-based qualitative boundarieswhich is approved by the Citigroup Board of Directors, specifies the aggregate levels and types of risk the Board and management are willing to guide behaviorassume to achieve Citi’s strategic objectives and quantitative boundaries within which the firm will operate, includingbusiness plan, consistent with applicable capital, strengthliquidity and earnings power.other regulatory requirements.
Citi selectively takes risks in support of its underlying customer-centric business strategy, while striving to ensure it operates within the principles of responsible finance. Reaching the goal of becoming an indisputably strongits mission and stable institution goes beyond financial performance; ethics is an area where Citi has zero tolerance for breaches. Citi evaluatesvalue proposition and rewards employees with specific consideration to their risk behaviors, including transparency, communication and escalation of concerns.appetite.
Citi’s risks are generally categorized into credit risk, market risk, operational risk and country and cross-border risk. Compliance risk can be found in all of these risk types.
Citi’s risk programs are based on three lines of defense: (i) business management, (ii) independent control functions and (iii) Internal Audit.summarized as follows:

Business Management. Each of Citi’s businesses, including in-business risk personnel, own and manage the risks, including compliance risks, inherent in or arising from the business, and are responsible for having controls in place to mitigate key risks, performing manager assessments of internal controls, and promoting a culture of compliance and control.
Independent Control Functions. Citi’s independent control functions, including Compliance, Finance, Legal and Risk, set standards according to which Citi and its businesses are expected to manage and oversee risks, including compliance with applicable laws, regulatory requirements, policies and standards of ethical conduct. In addition, among other things, the independent control functions provide advice and training to Citi’s businesses and establish tools, methodologies, processes and oversight of controls used by the businesses to foster a culture of compliance and control and to satisfy those standards.
Internal Audit. Citi’s Internal Audit function independently reviews activities of the first two lines of defense discussed above based on a risk-based audit plan and methodology approved by the Citigroup Board of Directors.

Citi’s Risk Management Organization
Citi’s Risk function is an independent control function within Franchise Risk and Strategy. Citi’s Chief Risk Officer, with oversight from the Risk Management Committee of the Citigroup Board of Directors, as well as the full Board of Directors, is responsible for:

establishing core standards for the management, measurement and reporting of risk arising from business risk taking activities and the macroeconomic and market environments;
identifying, assessing, communicating and monitoring risks on a company-wide basis;
engaging with senior management on a frequent basis on material matters with respect to risk-taking activities in the businesses and related risk management processes; and
ensuring that the Risk function has adequate independence, authority, expertise, staffing, technology and resources.

As set forth in the chart below, Citi’s independent risk management organization is structured to facilitate the management of risk across three dimensions: businesses, regions and critical products.
Each of Citi’s major businesses has a Business Chief Risk Officer who is the focal point for risk decisions, such as setting risk limits or approving transactions in the business. The majority of staff in Citi’s risk management organization report to these Business Chief Risk Officers. There are also Chief Risk Officers for Citibank, N.A. and the Citi Holdings segment.
Regional Chief Risk Officers, for each of Asia, EMEA and Mexico and Latin America, are accountable for the risks in or affecting their geographic areas, including the legal entities in their region, and are the primary risk contacts for the regional business heads and local regulators.
Citi also has Product Chief Risk Officers for those risk areas of critical importance to Citi, currently fundamental credit, market and real estate risk, treasury, model validation and systemic risks. Product Chief Risk Officers are accountable for the risks within their specialties across businesses and regions. Product Chief Risk Officers also serve as a resource to Citi’s Chief Risk Officer, as well as to the Business and Regional Chief Risk Officers, to better enable the Business and Regional Chief Risk Officers to focus on day-to-day management of risks and responsiveness to the business. The Head of the Risk Governance Group ensures the ongoing development, enhancement and implementation of a proactive, prudent, and effective risk management framework and organization.
Each of the Business, Regional, Legal Entity and Product Chief Risk Officers reports to Citi’s Chief Risk Officer, who has a direct reporting line to the Risk Management Committee of the Citigroup Board of Directors and a dual reporting line to both Citi’s Chief Executive Officer and the Head of Franchise Risk and Strategy.


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Policies and Processes
Citi has established robust processes to oversee the creation, ownership and ongoing management of Citi’s risk policy. Specifically, Citi’s Chief Risk Officer and the risk management executive committee (as described below), in some cases through established committees:

establish core policies to articulate rules and behaviors for activities where capital is at risk; and
establish policy standards, procedures, guidelines, risk limits and limit adherence processes covering new and current risk exposures across Citi that are aligned with Citi’s risk appetite.

Citi’s risk management processes include (i) key risk committees, (ii) risk aggregation and stress testing and (iii) risk capital.

Key Risk Committees. Citi has established risk committees across the Company that broadly cover either overall governance, or new or complex product governance:

Risk Management Executive Committee: Citi’s Chief Risk Officer chairs this committee. Members include all direct reports of Citi’s Chief Risk Officer, as well as certain reports of the Head of Franchise Risk and Strategy. The committee reviews key risk issues across businesses, products and regions.
Citibank, N.A. Risk Committee: Citibank, N.A.’s Chief Risk Officer chairs this committee. Members include the Citibank, N.A Chief Executive Officer, Chief Financial Officer, Treasurer, Chief Compliance Officer, Chief Lending Officer and General Counsel. The committee reviews the risk appetite framework, thresholds and usage against the established thresholds for Citibank, N.A. The committee also reviews reports designed to monitor market, credit, operational and other risk types within the bank.
Business and Regional Consumer Risk Committees: These committees exist in all regions, with broad engagement from the businesses, risk and other control functions. These committees include the Global Consumer BankingRisk Committee, whichis chaired by the GCB Chief Executive Officer with the GCB Chief Risk Officer as the vice chair. The committee monitors key performance trends, significant regulatory and control events and management actions.
ICG Risk Management Committee: This committee reviews ICG’s risk profile, discusses pertinent risk issues in trading, global transaction services, structuring and lending businesses and reviews strategic risk decisions for consistency with Citi’s risk appetite. Members include Citi’s Chief Risk Officer and Head of Franchise Risk and Strategy, as well as the Global Head of Markets and the ICG Chief Executive Officer and Chief Risk Officer.
 
Business Risk, Compliance and Control CommitteesCredit risk:These committees, which exist at both sector and function levels, serve as is the risk of loss resulting from the decline in credit quality or failure of a forum for senior managementborrower, counterparty, third party or issuer to review key internal control, legal, compliance, regulatory and other risk and control issues.honor its financial or contractual obligations.
Business Practices CommitteeLiquidity risk: This Citi-wide governance committee reviews practices involving potentially significant reputational is the risk that the Company will not be able to efficiently meet both expected and unexpected current and future cash flow and collateral needs without adversely affecting either daily operations or franchise issues. Each business also has its own business practices committee. These committees review whether Citi’s business practices have been designedfinancial condition of the Company. The risk may be exacerbated by the inability of the Company to access funding sources or monetize assets and implemented in a way that meets the highest standardscomposition of professionalism, integrityliability funding and ethical behavior.liquid assets.
Risk Policy Coordination GroupMarket risk: This group ensures a consistent approach to is the risk policy architectureof loss arising from changes in the value of Citi’s assets and risk management requirements across Citi. Members include independent risk representativesliabilities resulting from each business, region and Citibank, N.A.changes in market variables, such as interest rates, exchange rates or credit spreads. Losses can be exacerbated by the presence of basis or correlation risks.

Citi has establishedOperational risk is the following committeesrisk of loss resulting from inadequate or failed internal processes, systems, human factors, or from external events. It includes risk of failing to ensure that product risks are identified, evaluatedcomply with applicable laws and determined to be appropriate for Citi and its customers, includingregulations, but excludes strategic risk (see below). It also includes the existence of necessary approvals, controls and accountabilities:

New Product Approval Committee: This committee is designed to ensure that significant risks, including reputation and franchise risks,risk associated with business practices or market conduct in a new ICG product or service or complex transaction, are identifiedwhich Citi is involved as well as compliance, conduct and evaluated, determinedlegal risks. Operational risk is inherent in Citi’s global business activities, as well as related support, and can result in losses arising from events related to be appropriate, properly recorded for risk aggregation purposes, effectively controlled,fraud, theft and have accountabilities in place. Functions that participate in this committee’s reviews include Legal, Bank Regulatory, Risk, Compliance, Accounting Policy, Product Control,unauthorized activity; employment practices and the Basel Interpretive Committee. Citibank, N.A. management participates in reviews of proposals contemplating the use of bank chain entities.workplace environment; clients, products and business practices; physical assets and infrastructure; and execution, delivery and process management.
Consumer Product Approval Committee (CPAC): This committee, which includes senior, multidisciplinary members, approves new products, services, channels or geographies for GCB. Each region has a regional CPAC, and a global CPAC addresses initiatives with high anti-money-laundering (AML) risk or cross-border elements. Members include senior Risk, Legal, Compliance, Bank Regulatory, Operations and Technology and Operational Risk executives, supported by other specialists, including fair lending. A member of Citibank, N.A. senior management also participates in the CPAC process.
Investment Products Risk Committee: This committee oversees two product approval committees that facilitate analysis and discussion of new retail investment products and services created and/or distributed by Citi.
-
Manufacturing Product Approval Committee: This committee has responsibility for reviewing new or modified products or transactions created by Citi that are distributed to individual investors as well as third-party retail distributors.


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-
Distribution Product Approval Committee: This committee approves new investment products and services, including those created by third parties as part of Citi’s “open architecture” distribution model, before they are offered to individual investors via Citi distribution businesses (e.g., private bank, consumer, etc.). This committee also sets requirements for the periodic review of existing products and services.
Commercial Bank Product Approval Committee: This committee is designed to ensure that significant risks in a new or complex product, service, business line manufactured or provided by the Consumer and Commercial Bank (CCB) or by third parties for distribution to CCB clients, or certain modifications to existing products, services or business lines, undergo an appropriate and consistent level of review for CCB and its customers and are properly recorded and controlled.

Citi also has other committees that play critical risk management roles, such as Citi’s Asset and Liability Committee (ALCO) and the Operational Risk Council. For example, Citi’s ALCO sets the strategy of the liquidity portfolio and monitors its performance, including approving significant changes to portfolio asset allocations.

Risk Aggregation and Stress Testing
While Citi’s major risk areas are discussed individually on the following pages, these risks are also reviewed and managed in conjunction with one another and across Citi’s various businesses via its risk aggregation and stress testing processes. Moreover, Citi has established a formal policy governing its global systemic stress testing.
As noted above, independent risk management monitors and controls major risk exposures and concentrations across the organization. This requires the aggregation of risks, within and across businesses, as well as subjecting those risks to various stress scenarios in order to assess the potential economic impact they may have on Citi.
Stress tests are in place across Citi’s entire portfolio (i.e., trading, available-for-sale and accrual portfolios). These company-wide stress reports measure the potential impact to Citi and its component businesses of changes in various types of key risk factors (e.g., interest rates, credit spreads, etc.). The reports also measure the potential impact of a number of historical and hypothetical forward-looking systemic stress scenarios, as developed internally by independent risk management. These company-wide stress tests are produced on a monthly basis, and results are reviewed by Citi’s senior management and Board of Directors.
Supplementing the stress testing described above, independent risk management, with assistance from its businesses and Finance function, provides periodic updates to Citi’s senior management and Board of Directors on significant potential areas of concern across Citi that can arise from risk concentrations, financial market participants and other systemic issues. These areas of focus are intended to be forward-looking assessments of the potential economic impacts to Citi that may arise from these exposures.
The stress-testing and focus-position exercises described above supplement the standard limit-setting and risk-capital exercises described below, as these processes incorporate events in the marketplace and within Citi that impact the firm’s outlook on the form, magnitude, correlation and timing of identified risks that may arise. In addition to enhancing awareness and understanding of potential exposures, the results of these processes then serve as the starting point for developing risk management and mitigation strategies.
In addition to Citi’s ongoing, internal stress testing described above, Citi is also required to perform stress testing on a periodic basis for a number of regulatory exercises, including the Federal Reserve Board’s Comprehensive Capital Analysis and Review (CCAR) and the OCC’s Dodd-Frank Act Stress Testing (DFAST). These regulatory exercises typically prescribe certain defined scenarios under which stress testing should be conducted, and they also provide defined forms for the output of the results. For additional information, see “Risk Factors-Business and Operational Risks” above.

Risk Capital
Citi calculates and allocates risk capital across the Company in order to consistently measure risk taking across business activities and to assess risk-reward relationships. Risk capital is defined as the amount of capital required to absorb potential unexpected economic losses resulting from extremely severe events over a one-year time period.

“Economic losses” include losses that are reflected on Citi’s Consolidated Statements of Income and fair value adjustments to the Consolidated Financial Statements, as well as any further declines in value not captured on the Consolidated Statements of Income.
“Unexpected losses” are the difference between potential extremely severe losses and Citi’s expected (average) loss over a one-year time period.
“Extremely severe” is defined as potential loss at a 99.97% confidence level, based on the distribution of observed events and scenario analysis.

The drivers of economic losses are risks which, for Citi, are broadly categorized as credit risk, market risk and operational risk. Citi’s risk capital framework is reviewed and enhanced on a regular basis in light of market developments and evolving practices.





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Citi’s Compliance Organization
Compliance is an independent control function within Franchise Risk and Strategy that is designed to protect Citi not only by managing adherence to applicable laws, regulations and other standards of conduct, but also by promoting business behavior and activity that is consistent with global standards for responsible finance.
While principal responsibility for compliance rests with business managers and their teams, all employees of Citi are responsible for protecting the franchise by (i) engaging in responsible finance; (ii) understanding and adhering to the compliance requirements that apply to their day-to-day activities, including Citi’s Code of Conduct and other Citi policies, standards and procedures; and (iii) seeking advice from the Compliance function with questions regarding compliance requirements and promptly reporting violations of laws, rules, regulations, Citi policies or relevant ethical standards. Citi’s compliance risk management starts with Citi’s Board of Directors and senior management, who set the tone from the top by promoting a strong culture of ethics, compliance and control.
Citi’s compliance program is based on the three lines of defense, as described above.

Compliance Risk Appetite Framework
Guided by the principle of responsible finance, Citi seeks to eliminate, minimize, or mitigate compliance risk. Compliance risk is the risk arising from violations of, or non-conformance with, local, national or cross-border laws, rules or regulations, Citi’s own internal policies or other relevant standards of conduct or risk of harming customers, clients or the integrity of the market.
Conduct risk is the risk that Citi’s employees or agents may (intentionally or through negligence) harm customers, clients or the integrity of the markets, and procedures,thereby the integrity of Citi.
Legal risk includes the risk from uncertainty due to legal or relevant ethical standards.regulatory actions, proceedings or investigations, or uncertainty in the applicability or interpretation of contracts, laws or regulations.
Reputational risk is the risk to current or anticipated earnings, capital, or franchise or enterprise value arising from negative public opinion.
Strategic risk is the risk to current or anticipated earnings, capital, or franchise or enterprise value arising from poor, but authorized business decisions, an inability to adapt to changes in the operating environment or other external factors that may impair the ability to carry out a business strategy. Strategic risk also includes:

Country risk which is the risk that an event in a country (precipitated by developments within or external to a country) will impair the value of Citi’s franchise or will adversely affect the ability of obligors within that country to honor their

obligations. Country risk events may include sovereign defaults, banking crises, currency crises, currency convertibility and/or transferability restrictions, or political events.

Citi manages its compliance risk appetiterisks through a three-pillar approach:each of its three lines of defense: (i) business management, (ii) independent control functions and (iii) internal audit. The three lines of defense collaborate with each other in structured forums and processes to bring various perspectives together and to lead the organization toward outcomes that are in clients’ interests, create economic value and are systemically responsible.

First Line of Defense: Business Management
SettingEach of Citi’s businesses owns its risks and is responsible for assessing and managing its risks. Each business is also responsible for establishing and operating controls to mitigate key risks, assessing internal controls and promoting a culture of compliance and control. In doing so, a business is required to maintain appropriate staffing and implement appropriate procedures to fulfill its risk appetite:governance responsibilities.
The CEOs of each region and business report to the Citigroup CEO. The Head of Operations and Technology and the Head of Productivity, who are considered part of the first line of defense, also report to the Citigroup CEO.
Businesses at Citi establishes its complianceorganize and chair committees and councils that cover risk appetiteconsiderations with participation from independent control functions, including committees or councils that are designed to consider matters related to capital, assets and liabilities, business practices, business risks and controls, mergers and acquisitions, the Community Reinvestment Act and fair lending and incentives.

Second Line of Defense: Independent Control Functions
Citi’s independent control functions, including Risk, Independent Compliance Risk Management, Human Resources, Legal, Finance and Finance & Risk Infrastructure, set standards by setting limits on the types of business in which Citi will engage,and its businesses manage and oversee risks, including compliance with applicable laws, regulatory requirements, policies and other relevant standards of conduct. Additionally, among other responsibilities, the productsindependent control functions provide advice and services Citi will offer,training to Citi’s businesses and establish tools, methodologies, processes and oversight for controls used by the typesbusinesses to foster a culture of customers which Citi will service,compliance and control.

Risk
The Risk organization is designed to act as an independent partner of the counterpartiesbusiness to manage market, credit and operational risk in a manner consistent with which Citi will deal,Citi’s risk appetite. Risk establishes policies and guidelines for risk assessments and risk management and contributes to controls and tools to manage, measure and mitigate risks taken by the Company.
The Chief Risk Officer reports to the Citigroup CEO and the locations where Citi will do business. These limits are guided by adherenceRisk Management Committee of the Citigroup Board of Directors. The Chief Risk Officer has regular and unrestricted access to the highest ethical standards.
Adhering to risk appetite: Citi manages adherence to its compliance risk appetite throughRisk Management Committee of the execution of its compliance program, which includes customer onboarding processes, product development processes, transaction monitoring processes, conduct risk program, ethics program,Board and new products, services, and complex transactions approval processes.
Evaluating the effectiveness of risk appetite controls: The business and compliance evaluate the effectiveness of controls governing compliance risk appetite through the Manager’s Control Assessment (MCA) processes; compliance testing; compliance monitoring processes; compliance risk assessments; compliance metrics related to key operating risks, key risk indicators and control effectiveness indicators; and the Internal Audit function.

 
The elements supporting these three pillars are discussed in greater detail below.
Citi’s Compliance Function
Compliance aimsalso to execute Citi’s compliance risk appetite framework-and thus eliminate, minimize, or manage compliance risk-through Citi’s compliance program. To achieve this mission, the Compliance function seeks to:Citigroup Board of Directors to address risks and issues identified through Risk’s activities.

Independent Compliance Risk Management
Understand the regulatory environment, requirements and expectationsThe Independent Compliance Risk Management (ICRM) organization is designed to which Citi’s activities are subject. Compliance coordinates with Legal and other independent control functions, as appropriate, to identify, communicate and document key regulatory requirements.
Assess the compliance risks of business activities and the state of mitigating controls, including the risks and controls in legal entities in which activity is conducted. To facilitate the identification and assessment of compliance risk, Compliance works withprotect Citi by overseeing senior management, the businesses, and other independent control functions to review significant compliance and regulatory issues and the results of testing, monitoring, and internal and external exams and audits.
In conjunction with Citi’s Board of Directors and senior management, define Citi’s appetite for prudent compliance and regulatory risk consistent with its culture for compliance, control and responsible finance.
As noted above, Citi has developed ain managing compliance risk, appetite framework designed to eliminate, minimize or mitigate compliance risk.
Develop controlsas well as promoting business conduct and execute programs reasonably designed to limit conduct toactivity that is consistent with Citi’s compliancemission and regulatory risk appetite and promptly detect and mitigate behavior that violates those limits. Compliance has business-specific compliance functions (e.g., Global Consumer Banking and Institutional Clients Group), regional programs, and thematic groups and programs (e.g., the AML Program and the Conduct, Governance, and Emerging Risk Management group) that aimvalue proposition. Citi’s objective is to mitigate Citi’s exposure to conduct that is inconsistent with itsembed an enterprise-wide compliance risk appetite.
Detect, report on, escalate and remediate key compliance and franchise risks and control issues; test controls for design and operating effectiveness, promptly address issues, and track remediation efforts.
Compliance designs and implements policies, standards, procedures, guidelines, surveillance reports and other solutions for use by the business and compliance to promptly detect, address and remediate issues, test controls for design and operating effectiveness, and track remediation efforts.


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Engage with the Board, business management operating committees and Citi’s regulators to foster effective global governance. Compliance provides regular reports on emerging risks and other issues and their implications for Citi, as well as compliance program performance, to the Citigroup and Citibank, N.A. Boards of Directors, including the Audit and Ethics and Culture Committees, as well as other committees of the Boards.
Compliance also engages with business management on an ongoing basis through various mechanisms, including governance committees, and it supports and advises the businesses and other global functions in managing regulatory relationships.
Advise and train Citi personnel across businesses, functions, regions and legal entities in how to comply with laws, regulations and other standards of conduct. Compliance helps promote a strong culture of compliance and control by increasing awareness and capability across Citi on key compliance issues through training and communication programs. A fundamental element of Citi’s culture is the requirement that Citi conducts itself in accordance with the highest standards of ethical behavior. Compliance plays a key role in developing company-wide initiatives designed to further embed ethics in Citi’s culture. These initiatives include training for more than 40,000 senior employees that fosters ethical decision-making and underscores the importance of escalating issues. The initiatives also include a video series featuring senior leaders discussing difficult ethical decisions, regular communications on ethicsframework and culture that identifies, measures, monitors, mitigates and the development of enhanced tools to support ethical decision-making. Compliance partners with the businesses and other functions to develop and implement these and other ethics and culture initiatives.
Enhance the Compliance Program.
Compliance fulfills its obligation to enhance the compliance program in part by using its annualcontrols compliance risk assessment results to shape annual and multi-year program enhancements.across the three lines of defense. For further information on Citi’s compliance risk framework, see “Compliance Risk” below.

Organization Structure and Staff Independence
Citi’s Chief Compliance Officer manages the Compliance function. The Chief Compliance Officer or a designee is responsible for reporting significant compliance matters to Citi’s senior management, the Boards of Directors, their designated committees, and other relevant forums.
Citi’s Chief Compliance Officer reports to the Citigroup CEO and has regular and unrestricted access to the committees of the Citigroup Board of Directors, including the Audit Committee and the Ethics and Culture Committee.

Human Resources
The Human Resources organization provides personnel support and governance in connection with, among other things: recognizing and rewarding employees who demonstrate Citi’s values and excel in their roles and responsibilities; setting ethical- and performance-related expectations and developing and promoting employees who meet those expectations; and searching for, assessing and hiring staff who exemplify Citi’s leadership standards, which outline Citi’s expectations of its employees’ behavior.
The Head of FranchiseHuman Resources reports to the Citigroup CEO and interacts regularly with the Personnel and Compensation Committee of the Citigroup Board of Directors.

Legal
The Legal organization is involved in a number of activities designed to promote the appropriate management of Citi’s exposure to legal risk, which includes the risk of loss, whether financial or reputational, due to legal or regulatory actions, proceedings or investigations, or uncertainty in the applicability or interpretation of contracts, laws or regulations.  Activities designed to promote appropriate management of legal risk include, among others: promoting and supporting Citigroup’s governance processes; advising business management, other independent control functions, the Citigroup Board of Directors and committees of the Board regarding analysis of laws and regulations, regulatory matters, disclosure matters, and potential risks and exposures on key litigation and transactional matters, among other things; advising other independent control functions in their efforts to ensure compliance with applicable laws and regulations as well as internal standards of conduct; serving on key management committees; reporting and escalating key legal issues to senior management or other independent control functions; participating in internal investigations and overseeing regulatory investigations; and advising businesses on a day-to-day basis on legal, regulatory and contractual matters.

The General Counsel reports to the Citigroup CEO and is responsible to the full Citigroup Board. In addition to having regular and unrestricted access to the full Citigroup Board of Directors, the General Counsel or his/her delegates regularly attend meetings of the Risk Management Committee, Audit Committee, Personnel and Strategy,Compensation Committee, Ethics and Culture Committee, Operations and Technology Committee, and Nomination, Governance and Public Affairs Committee, as well as other ad hoc committees of the Citigroup Board of Directors.

Finance
The Finance organization is primarily composed of the following disciplines: treasury, controllers, tax and financial planning and analysis. These disciplines partner with the businesses, providing key data and consultation to facilitate sound decisions in support of the businesses’ objectives. Through these activities, Finance serves as an independent control function advising business management, escalating identified risks and establishing policies or processes to manage risk.
Through the treasury discipline, Finance has overall responsibility for managing Citi’s balance sheet and accordingly partners with the businesses to manage Citi’s liquidity and interest rate risk (price risk for non-trading portfolios). Treasury works with the businesses to establish balance sheet targets and limits, as well as sets policies on funding costs charged for business assets based on their liquidity and duration.
Principally through the controllers discipline, Finance is responsible for establishing a strong control environment over Citi’s financial reporting processes consistent with the 2013 Committee of Sponsoring Organizations of the Treadway Commission, or COSO, Internal Control-Integrated Framework.
Finance is led by Citi’s Chief Financial Officer (CFO), who reports directly to Citi’s Chief Executive Officer. All compliance officers report directlythe Citigroup CEO. The CFO chairs or co-chairs several management committees that serve as key governance and oversight forums for business activities. In addition, the CFO has regular and unrestricted access to Citi’s Chief Compliance Officer through onethe full Citigroup Board of Directors as well as to the Audit Committee of the above mentioned direct reports. This structure provides the required independenceBoard of Compliance from the revenue-producing lines of business.

Directors.

 
Finance & Risk Infrastructure
Finance & Risk Infrastructure (FRI) is a Citi global function that was formed in April 2016 from groups within the Finance and Risk global functions. FRI was established to globally implement common data and data standards, common processes and integrated technology platforms as well as integrate infrastructure activities across both Finance and Risk. FRI works to drive straight through data processing and produce more effective and efficient processes and governance aimed at supporting both the Finance and Risk organizations.
The head of the FRI global function reports jointly to Citi’s CFO and Chief Risk Officer.

Third Line of Defense: Internal Audit
Citi’s Internal Audit function independently reviews activities of the first two lines of defense based on a risk-based audit plan and methodology approved by the Audit Committee of the Citigroup Board of Directors. Internal Audit also provides independent assurance to the Citigroup Board of Directors, the Audit Committee of the Board, senior management and regulators regarding the effectiveness of Citi’s governance and controls designed to mitigate Citi’s exposure to risks and to enhance Citi’s culture of compliance and control.
The Chief Auditor reports functionally to the Chairman of the Citigroup Audit Committee and administratively to the CEO of Citigroup. Internal Audit’s responsibilities are carried out independently under the oversight of the Audit Committee. Internal Audit’s employees accordingly report to the Chief Auditor and do not have reporting lines to front-line units or senior management. Internal Audit’s staff members are not permitted to provide internal-audit services for a business line or function in which they had business line or function responsibilities within the previous 12 months.



Three Lines of Defense

Citigroup Board of Directors and Committees of the Board
Citigroup’s Board of Directors oversees Citi’s risk-taking activities and holds management accountable for adhering to the risk governance framework. To do so, directors review reports prepared by the businesses, Risk, Independent Compliance Risk Management, Internal Audit and others, and exercise sound independent judgment to question, probe and challenge recommendations and decisions made by management.
The standing committees of the Citigroup Board of Directors are the Executive Committee, Risk Management Committee, Audit Committee, Personnel and Compensation Committee, Ethics and Culture Committee, Operations and Technology Committee and Nomination, Governance and Public Affairs Committee. In addition to the standing committees, the Board creates ad hoc committees from time to time in response to regulatory, legal or other requirements.











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CREDIT RISK

Overview
Credit risk is the potential for financialrisk of loss resulting from the decline in credit quality or the failure of a borrower, counterparty, third party or counterpartyissuer to honor its financial or contractual obligations. Credit risk arises in many of Citigroup’s business activities, including:

wholesaleconsumer, commercial and retailcorporate lending;
capital markets derivative transactions;
structured finance; and
repurchasesecurities financing transactions (repurchase and reverse repurchase transactions.agreements, securities loaned and borrowed).

Credit risk also arises from settlement and clearing activities, when Citi transfers an asset in advance of receiving its counter-value or advances funds to settle a transaction on behalf of a client. Concentration risk, within credit risk, is the risk associated with having credit exposure concentrated within a specific client, industry, region or other category.

Credit Risk Management
Credit risk is one of the most significant risks Citi faces as an institution. As a result, Citi has a well establishedwell-established framework in place for managing credit risk across all businesses. This includes a defined risk appetite, credit limits and credit policies, both at the business level as well as at the company-wide level. Citi’s credit risk management also includes processes and policies with respect to problem recognition, including “watch lists,” portfolio review,reviews, stress tests, updated risk ratings and classification triggers.
With respect to Citi’s settlement and clearing activities, intra-day client usage of lines is closely monitored against limits, as well as against “normal” usage patterns. To the extent a problem develops, Citi typically moves the client to a secured (collateralized) operating model. Generally, Citi’s intra-day settlement and clearing lines are uncommitted and cancellablecancelable at any time.
To manage concentration of risk within credit risk, Citi has in place a concentration managementcorrelation framework consisting of industry limits, obligor limitsan idiosyncratic framework consisting of single name concentrations for each business and single-name triggers. In addition, as noted under “Managing Global Risk—Risk Aggregationacross Citigroup and Stress Testing” above, independent risk management reviews concentrationa specialized framework consisting of risk across Citi’s regions and businesses to assist in managing this type of risk.

Credit Risk Measurement and Stress Testingproduct limits.
Credit exposures are generally reported in notional terms for accrual loans, reflecting the value at which the loans as well as loan and other off-balance sheet commitments are carried on the Consolidated Balance Sheet. Credit exposure arising from capital markets activities is generally expressed as the current mark-to-market, net of margin, reflecting the net value owed to Citi by a given counterparty.
The credit risk associated with these credit exposures is a function of the idiosyncratic creditworthiness of the obligor, as well as the terms and conditions of the specific obligation. Citi assesses the credit risk associated with its credit exposures on a regular basis through its loan loss reserve process (see “Significant Accounting Policies and Significant Estimates”Estimates—Allowance for Credit Losses” below and Notes 1 and 1615 to the Consolidated Financial Statements), as well as through regular stress testing at the company, business, geography and product levels. These stress-testing processes typically estimate
potential incremental credit costs that would occur as a result of either downgrades in the credit quality or defaults of the obligors or counterparties.
There is an independent Chief Risk Officer for each of Citi’s consumer, commercial and corporate lending businesses within ICG and GCB (Business CROs). Each of these Business CROs reports directly to Citi’s Chief Risk Officer. The Business CROs are the focal point for most day-to-day risk decisions, such as setting risk limits and approving transactions within the businesses. In addition there are Regional and Legal Entity Chief Risk Officers. There is an independent Chief Risk Officer for Asia, EMEA and Latin America, including Mexico (Regional CROs). Each of these Regional CROs reports directly to Citi’s Chief Risk Officer. The Regional CROs are accountable for overseeing the management of all risks in their geographic areas and across businesses, and are the primary risk contacts for the Regional Chief Executive Officers and local regulators. Legal Entity Chief Risk Officers are responsible for identifying and managing risks in Citibank as well as other specific legal entities, with Citibank’s Chief Risk Officer reporting directly to Citi’s Chief Risk Officer.
For additional information on Citi’s credit risk management, see Note 14 to the Consolidated Financial Statements.



Consumer Credit
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Citi provides traditional retail banking, including commercial banking, and credit card products in 19 countries and jurisdictions through North America GCB, Latin America GCB and Asia GCB. The retail banking products include consumer mortgages, home equity, personal and commercial loans and lines of credit and similar related products with a focus on lending to prime customers. Citi uses its risk appetite framework to define its lending parameters. In addition, Citi uses proprietary scoring models for new customer approvals. As stated in “Global Consumer Banking” above, GCB’s overall strategy is to leverage Citi’s global footprint and be the 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. GCB’s commercial banking business focuses on small to mid-sized businesses.

Consumer Credit Portfolio
The following table shows Citi’s quarterly end-of-period consumer loans:(1)
In billions of dollars4Q’161Q’172Q’173Q’174Q’17
Retail banking:     
Mortgages$79.4
$81.2
$81.4
$81.4
$81.7
Commercial banking32.0
33.9
34.8
35.5
36.3
Personal and other24.9
26.3
27.2
27.3
27.9
Total retail banking$136.3
$141.4
$143.4
$144.2
$145.9
Cards:     
Citi-branded cards$108.3
$105.7
$109.9
$110.7
$115.7
Citi retail services47.3
44.2
45.2
45.9
49.2
Total cards$155.6
$149.9
$155.1
$156.6
$164.9
Total GCB
$291.9
$291.3
$298.5
$300.8
$310.8
GCB regional distribution:
     
North America64%62%62%62%63%
Latin America8
9
9
9
8
Asia(2)
28
29
29
29
29
Total GCB
100%100%100%100%100%
Corporate/Other$33.2
$29.3
$26.8
$24.8
$22.9
Total consumer loans$325.1
$320.6
$325.3
$325.6
$333.7

(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.

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



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

Global Consumer Banking

North America

North America GCB provides mortgages, home equity loans, personal loans and commercial banking products through Citi’s retail banking network and card products through Citi-branded cards and Citi retail services businesses. The retail bank is concentrated in six major metropolitan cities in the United States (for additional information on the U.S. retail bank, see “North America GCB” above).
As of December 31, 2017, approximately 71% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB, including the credit performance year-over-year as of the fourth quarter of 2017 (for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below).
Quarter-over-quarter, 90+ days past due delinquency rates increased, primarily due to seasonality in the cards portfolios and the hurricane-related impact to the mortgage portfolio. The net credit loss rate decreased quarter-over-quarter, primarily reflecting the absence of an episodic charge-off in the commercial portfolio that occurred in the third quarter of 2017. The net credit loss rate increased year-over-year primarily due to seasoning in both cards portfolios.

Latin America

Latin America GCB operates in Mexico through Citibanamex, one of Mexico’s largest banks, and provides credit cards, consumer mortgages, personal loans and commercial banking products. Latin America GCB serves a more mass market segment in Mexico and focuses on developing multi-product relationships with customers.
As set forth in the chart above, 90+ days past due
delinquency rates improved year-over-year and quarter-over-quarter, largely driven by the commercial portfolio.  The improvement year-over-year was partially offset by a higher delinquency rate in cards due to the seasoning of the portfolio. The net credit loss rate increased in Latin America GCB year-over-year and quarter-over-quarter as of the fourth quarter of 2017, primarily due to an episodic charge-off in the commercial portfolio as well as seasoning in the cards portfolio.

Asia(1)
(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, personal loans and commercial banking products. As shown in the chart above, 90+ days past due delinquency and net credit loss rates were largely stable in Asia GCB year-over-year and quarter-over-quarter as of the fourth quarter of 2017. This stability reflects the strong credit profiles in Asia GCB’s target customer segments. In addition, regulatory changes in many markets in Asia over the past few years have resulted in stable or improved portfolio credit quality, despite weaker macroeconomic conditions in several countries.
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 14 to the Consolidated Financial Statements.


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

Total Cards



North America Citi-Branded Cards


North America GCB’s Citi-branded cards portfolio issues proprietary and co-branded cards. As shown in the chart above, the 90+ days past due delinquency rate in Citi-branded cards was stable year-over-year and seasonally higher quarter-over-quarter. The net credit loss rate increased year-over-year primarily due to seasoning, and decreased quarter-over-quarter primarily due to seasonality as well as higher asset sales.


North America Citi Retail Services
Citi retail services partners directly with more than 20 retailers and dealers to offer private-label and co-branded consumer and commercial 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.
Citi retail services’ delinquency and net credit loss rates increased year-over-year, primarily due to seasoning as well as softness in the collections rates experienced once an account reaches mid-stage delinquency. The quarter-over-quarter increase in both loss and delinquency rates is also due to the seasonal movements observed in Citi retail services.

Latin America Citi-Branded Cards


Latin America GCB issues proprietary and co-branded cards. As set forth in the chart above, the net credit loss and delinquency rates increased year-over-year due to seasoning. The decrease quarter-over-quarter of the net credit loss and delinquency rates was primarily driven by higher payment rates reflecting the payment of year-end bonuses.








Asia Citi-Branded Cards(1)

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

Asia GCB issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency and net credit loss rates have remained broadly stable, driven by the mature and well-diversified nature of the cards portfolio. 
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 14 to the Consolidated Financial Statements.

North America Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s North America Citi-branded cards and Citi retail services portfolios. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.

Citi-Branded
 December 31,
FICO distribution20172016
  > 76042%42%
   680 - 76041
43
  < 68017
15
Total100%100%

Citi Retail Services
 December 31,
FICO distribution20172016
   > 76024%24%
   680 - 76043
43
  < 68033
33
Total100%100%

Both the Citi-branded cards’ and Citi retail services’ cards FICO distributions remained stable as of year-end 2017.
For additional information on FICO scores, see Note 14 to the Consolidated Financial Statements.



North America Consumer Mortgage Portfolio
Citi’s North America consumer mortgage portfolio consists of both residential first mortgages and home equity loans. The following table shows the outstanding quarterly end-of-period loans for Citi’s North America residential first mortgage and home equity loan portfolios:
In billions of dollars4Q’161Q’172Q’173Q’174Q’17
GCB:     
Residential firsts$40.2
$40.3
$40.2
$40.1
$40.1
Home equity4.0
4.0
4.1
4.1
4.2
Total GCB
$44.2
$44.3
$44.3
$44.2
$44.3
Corporate/Other:     
Residential firsts$13.4
$12.3
$11.0
$10.1
$9.3
Home equity15.0
13.4
12.4
11.5
10.6
Total Corporate/Other
$28.4
$25.7
$23.4
$21.6
$19.9
Total Citigroup— North America
$72.6
$70.0
$67.7
$65.8
$64.2

For additional information on delinquency and net credit loss trends in Citi’s consumer mortgage portfolio, see “Additional Consumer Credit Details” below.

Home Equity Loans—Revolving HELOCs
As set forth in the table above, Citi had $14.8 billion of home equity loans as of December 31, 2017, of which $3.4 billion are fixed-rate home equity loans and $11.4 billion are extended under home equity lines of credit (Revolving HELOCs). Fixed-rate home equity loans are fully amortizing. Revolving HELOCs allow for amounts to be drawn for a period of time with the payment of interest only and then, at the end of the draw period, the outstanding amount is converted to an amortizing loan, or “reset” (the interest-only payment feature during the revolving period is standard for this product across the industry). Upon reset, these borrowers will be required to pay both interest, usually at a variable rate, and principal that amortizes typically over 20 years, rather than the standard 30-year amortization.
Of the Revolving HELOCs at December 31, 2017, $6.8 billion had reset (compared to $6.2 billion at December 31, 2016) and $4.6 billion were still within their revolving period and had not reset (compared to $7.8 billion at December 31, 2016). The following chart indicates the FICO and combined loan-to-value (CLTV) characteristics of Citi’s Revolving HELOCs portfolio and the year in which they reset:
North America Home Equity Lines of Credit Amortization – Citigroup
Total ENR by Reset Year
In billions of dollars as of December 31, 2017
Note: Totals may not sum due to rounding.

Approximately 59% of Citi’s total Revolving HELOCs portfolio had reset as of December 31, 2017 (compared to 44% as of December 31, 2016). Of the remaining Revolving HELOCs portfolio, approximately 29% will reset during 2018.
Citi’s customers with Revolving HELOCs that reset could experience “payment shock” due to the higher required payments on the loans. Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during 2018 could increase on average by approximately $308, or 118%. Increases in interest rates could further increase these payments given the variable nature of the interest rates on these loans post-reset. Of the Revolving HELOCs that will reset during 2018, approximately $10 million, or 1%, of the loans have a CLTV greater than 100% as of December 31, 2017. Borrowers’ high loan-to-value positions, as well as the cost and availability of refinancing options, could limit borrowers’ ability to refinance their Revolving HELOCs as these loans reset.
Approximately 5.9% of the Revolving HELOCs that have reset as of December 31, 2017 were 30+ days past due, compared to 3.9% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 6.7% and 3.9%, respectively, as of December 31, 2016. As newly amortizing loans continue to season, the delinquency rate of Citi’s total home equity loan portfolio could increase. In addition, resets to date have generally occurred during a period of historically low interest rates, which Citi believes has likely reduced the overall “payment shock” to the borrower.
Citi monitors this reset risk closely and will continue to consider any potential impact in determining its allowance for loan loss reserves. In addition, management continues to review and take additional actions to offset potential reset risk, such as a borrower outreach program to provide reset risk education and proactively working with high-risk borrowers through a specialized single point of contact unit.


Additional Consumer Credit Details

Consumer Loan Delinquency Amounts and Ratios
 
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
 December 31,December 31,December 31,
In millions of dollars, except EOP loan amounts in billions2017201720162015201720162015
Global Consumer Banking(3)(4)
       
Total$310.8
$2,478
$2,293
$2,119
$2,762
$2,540
$2,418
Ratio 0.80%0.79%0.77%0.89%0.87%0.88%
Retail banking       
Total$145.9
$515
$474
$523
$822
$726
$739
Ratio 0.35%0.35%0.38%0.57%0.54%0.53%
North America56.0
199
181
165
306
214
221
Ratio 0.36%0.33%0.32%0.55%0.39%0.43%
Latin America19.9
130
136
185
195
185
184
Ratio 0.65%0.76%0.94%0.98%1.03%0.93%
Asia(5)
70.0
186
157
173
321
327
334
Ratio 0.27%0.25%0.25%0.46%0.52%0.49%
Cards       
Total$164.9
$1,963
$1,819
$1,596
$1,940
$1,814
$1,679
Ratio 1.19%1.17%1.17%1.18%1.17%1.23%
North America—Citi-branded90.5
768
748
538
698
688
523
Ratio 0.85%0.87%0.80%0.77%0.80%0.78%
North America—Citi retail services49.2
845
761
705
830
777
773
Ratio 1.72%1.61%1.53%1.69%1.64%1.68%
Latin America5.4
151
130
173
153
125
157
Ratio 2.80%2.71%3.20%2.83%2.60%2.91%
Asia(5)
19.8
199
180
180
259
224
226
Ratio 1.01%1.03%1.02%1.31%1.28%1.28%
Corporate/Other—Consumer(6)(7)
       
Total$22.9
$557
$834
$927
$542
$735
$1,036
Ratio 2.57%2.62%1.99%2.50%2.31%2.23%
International1.6
43
94
157
40
49
179
Ratio 2.69%3.92%1.91%2.50%2.04%2.18%
North America21.3
514
740
770
502
686
857
Ratio 2.56%2.52%2.01%2.50%2.33%2.24%
Total Citigroup$333.7
$3,035
$3,127
$3,046
$3,304
$3,275
$3,454
Ratio 0.91%0.97%0.94%1.00%1.01%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 and 30–89 days past due and related ratios for GCB North America retail banking exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $298 million ($0.7 billion), $327 million ($0.7 billion) and $491 million ($1.1 billion) at December 31, 2017, 2016 and 2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $88 million, $70 million and $87 million at December 31, 2017, 2016 and 2015, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)
The 90+ days and 30–89 days past due and related ratios for Corporate/Other—Consumer North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due (and EOP loans) were $0.6 billion ($1.1 billion), $0.9 billion ($1.4 billion) and $1.5 billion ($2.2 billion) at December 31, 2017, 2016 and 2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.1 billion, $0.2 billion and $0.2 billion at December 31, 2017, 2016 and 2015, respectively.
(7)
The December 31, 2017, 2016 and 2015, loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $4 million, $7 million and $11 million, respectively, of loans that are carried at fair value.


Consumer Loan Net Credit Losses and Ratios
 
Average
loans(1)
Net credit losses(2)(3)(4)
In millions of dollars, except average loan amounts in billions2017201720162015
Global Consumer Banking    
Total$296.8
$6,562
$5,610
$5,752
Ratio 2.21%2.01%2.12%
Retail banking    
Total$142.7
$1,023
$1,007
$1,058
Ratio 0.72%0.72%0.75%
North America55.7
$194
$205
$150
Ratio 0.35%0.38%0.30%
Latin America20.0
$584
$541
$589
Ratio 2.92%2.85%2.89%
Asia(5)
67.0
$245
$261
$319
Ratio 0.37%0.39%0.45%
Cards    
Total$154.1
$5,539
$4,603
$4,694
Ratio 3.60%3.30%3.59%
North America—Citi-branded84.6
$2,447
$1,909
$1,892
Ratio 2.89%2.61%2.96%
North America—Retail services45.6
$2,155
$1,805
$1,709
Ratio 4.73%4.12%3.94%
Latin America5.3
$533
$499
$691
Ratio 10.06%9.78%11.71%
Asia(5)
18.6
$404
$390
$402
Ratio 2.17%2.24%2.28%
Corporate/Other—Consumer(3)(4)
    
Total$27.2
$156
$438
$1,306
Ratio 0.57%1.06%1.96%
International1.9
$82
$269
$443
Ratio 4.32%5.17%4.43%
North America25.3
$74
$169
$863
Ratio 0.29%0.47%1.52%
Other(6)
—
$(21)$—
$—
Total Citigroup$324.0
$6,697
$6,048
$7,058
Ratio 2.07%1.88%2.08%
(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)
As a result of Citigroup's entry into agreements in October 2016 to sell its Argentina and Brazil consumer banking businesses, these businesses were classified as HFS at the end of the fourth quarter 2016. Loans HFS are excluded from this table as they are recorded in Other assets. In addition, as a result of HFS accounting treatment, approximately $128 million and $42 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during 2017 and 2016, respectively. Accordingly, these NCLs are not included in this table. The sales of the Argentina and Brazil consumer banking businesses were completed in the first and fourth quarters of 2017, respectively.
(4)
As a result of the entry into an agreement to sell OneMain Financial (OneMain), OneMain was classified as HFS beginning March 31, 2015. Loans HFS are excluded from this table as they are recorded in Other assets. In addition, as a result of HFS accounting treatment, approximately $350 million of NCLs were recorded as a reduction in revenue (Other revenue) during 2015. Accordingly, these NCLs are not included in this table. The OneMain sale was completed on November 15, 2015.
(5)
Asia includes average loans and NCLs in certain EMEA countries for all periods presented.
(6)2017 NCLs represent a recovery related to legacy assets.



Loan Maturities and Fixed/Variable Pricing
U.S. Consumer Mortgages
In millions of dollars at year-end 2017
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than 5
years
Total
U.S. consumer mortgage loan portfolio    
Residential first mortgages$96
$543
$50,248
$50,887
Home equity loans15
856
13,709
14,580
Total$111
$1,399
$63,957
$65,467
Fixed/variable pricing of U.S. consumer mortgage loans with maturities due after one year    
Loans at fixed interest rates $1,187
$39,084
 
Loans at floating or adjustable interest rates 212
24,873
 
Total $1,399
$63,957
 


Corporate Credit
Consistent with its overall strategy, Citi’s corporate clients are typically large, multinational corporations that value Citi’s global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory.

Corporate Credit Portfolio
The following table sets forth Citi’s corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:
 At December 31, 2017At September 30, 2017At December 31, 2016
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year		Greater
than 1 year
but within
5 years		Greater
than
5 years		Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings
(on-balance sheet)(1)
$127
$96
$22
$245
$124
$96
$23
$243
$109
$94
$22
$225
Unfunded lending commitments
(off-balance sheet)(2)
111
222
20
353
104
219
20
343
103
218
23
344
Total exposure$238
$318
$42
$598
$228
$315
$43
$586
$212
$312
$45
$569

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

Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage by region based on Citi’s internal management geography:
 December 31,
2017		September 30,
2017		December 31,
2016
North America54%55%55%
EMEA27
26
26
Asia12
12
12
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 primarily through the use of 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 climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an
obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
 Total exposure
 December 31,
2017		September 30,
2017		December 31,
2016
AAA/AA/A49%49%48%
BBB34
34
34
BB/B16
16
16
CCC or below1
1
2
Total100%100%100%

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

Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
 Total exposure
 December 31,
2017		September 30,
2017		December 31,
2016
Transportation and
  industrial
22%22%22%
Consumer retail and health16
16
16
Technology, media and telecom12
11
12
Power, chemicals,
metals and mining
10
10
11
Energy and commodities8
8
9
Banks/broker-dealers/finance companies

8
8
6
Real estate8
7
7
Insurance and special purpose entities

5
5
5
Public sector5
5
5
Hedge funds4
4
5
Other industries2
4
2
Total100%100%100%

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

Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenue on the Consolidated Statement of Income.
As of December 31, 2017, September 30, 2017 and December 31, 2016, $16.3 billion, $22.2 billion and $29.5 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked-to-market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure
 December 31,
2017		September 30,
2017		December 31,
2016
AAA/AA/A23%16%16%
BBB43
48
49
BB/B31
33
31
CCC or below3
3
4
Total100%100%100%

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

Industry of Hedged Exposure
 December 31,
2017		September 30,
2017		December 31,
2016
Transportation and industrial27%27%29%
Energy and commodities15
17
20
Power, chemicals, metals and mining14
12
12
Technology, media and telecom12
14
13
Public sector12
8
5
Consumer retail and health10
12
10
Banks/broker-dealers6
5
4
Insurance and special purpose entities2
2
3
Other industries2
3
4
Total100%100%100%























Loan Maturities and Fixed/Variable Pricing of Corporate
Loans
In millions of dollars at December 31, 2017
Due
within
1 year
Over 1
year
but
within
5 years
Over 5
years
Total
Corporate loans    
In U.S. offices    
Commercial and industrial loans$20,679
$18,474
$12,166
$51,319
Financial institutions15,767
14,085
9,276
39,128
Mortgage and real estate18,005
16,085
10,593
44,683
Installment, revolving credit and other13,369
11,945
7,867
33,181
Lease financing593
529
348
1,470
In offices outside the U.S.106,000
49,295
9,065
164,360
Total corporate loans$174,413
$110,413
$49,315
$334,141
Fixed/variable
pricing of corporate
loans with
maturities due after
one year(1)
    
Loans at fixed
interest rates
 $21,048
$15,276
 
Loans at floating or
adjustable interest
rates
 89,365
34,039
 
Total $110,413
$49,315
 

(1)Based on contractual terms. Repricing characteristics may effectively
be modified from time to time using derivative contracts. See Note 22
to the Consolidated Financial Statements.


Additional Consumer and Corporate Credit Details

Loans Outstanding
December 31,December 31,
In millions of dollars2014201320122011201020172016201520142013
Consumer loans
  
In U.S. offices
  
Mortgage and real estate(1)
$96,533
$108,453
$125,946
$139,177
$151,469
$65,467
$72,957
$80,281
$96,533
$108,453
Installment, revolving credit, and other14,450
13,398
14,070
15,616
28,291
Installment, revolving credit and other3,398
3,395
3,480
14,450
13,398
Cards139,006
132,654
112,800
112,982
115,651
Commercial and industrial7,840
7,159
6,407
5,895
6,592
Total$215,711
$216,165
$202,968
$229,860
$244,094
In offices outside the U.S. 
Mortgage and real estate(1)
$44,081
$42,803
$47,062
$54,462
$55,511
Installment, revolving credit and other26,556
24,887
29,480
31,128
33,182
Cards112,982
115,651
111,403
117,908
122,384
26,257
23,783
27,342
32,032
36,740
Commercial and industrial5,895
6,592
5,344
4,766
5,021
20,238
16,568
17,410
18,294
20,623
Lease financing—
—
—
1
2
76
81
362
546
710

$229,860
$244,094
$256,763
$277,468
$307,167
In offices outside the U.S. 
Mortgage and real estate(1)
$54,462
$55,511
$54,709
$52,052
$52,175
Installment, revolving credit, and other31,128
33,182
33,958
32,673
36,132
Cards32,032
36,740
40,653
38,926
40,948
Commercial and industrial22,561
24,107
22,225
21,915
18,028
Lease financing609
769
781
711
665

$140,792
$150,309
$152,326
$146,277
$147,948
Total Consumer loans$370,652
$394,403
$409,089
$423,745
$455,115
Unearned income(682)(572)(418)(405)69
Total

$117,208
$108,122
$121,656
$136,462
$146,766
Total consumer loans$332,919
$324,287
$324,624
$366,322
$390,860
Unearned income(2)
737
776
830
(679)(567)
Consumer loans, net of unearned income$369,970
$393,831
$408,671
$423,340
$455,184
$333,656
$325,063
$325,454
$365,643
$390,293
Corporate loans
  
In U.S. offices
  
Commercial and industrial$35,055
$32,704
$26,985
$20,830
$13,669
$51,319
$49,586
$46,011
$39,542
$36,993
Loans to financial institutions36,272
25,102
18,159
15,113
8,995
Financial institutions39,128
35,517
36,425
36,324
25,130
Mortgage and real estate(1)
32,537
29,425
24,705
21,516
19,770
44,683
38,691
32,623
27,959
25,075
Installment, revolving credit, and other29,207
34,434
32,446
33,182
34,046
Installment, revolving credit and other33,181
34,501
33,423
29,246
34,467
Lease financing1,758
1,647
1,410
1,270
1,413
1,470
1,518
1,780
1,758
1,647

$134,829
$123,312
$103,705
$91,911
$77,893
Total

$169,781
$159,813
$150,262
$134,829
$123,312
In offices outside the U.S.
  
Commercial and industrial$79,239
$82,663
$82,939
$79,764
$72,166
$93,750
$81,882
$82,689
$83,506
$86,147
Loans to financial institutions33,269
38,372
37,739
29,794
22,620
Financial institutions35,273
26,886
28,704
33,269
38,372
Mortgage and real estate(1)
6,031
6,274
6,485
6,885
5,899
7,309
5,363
5,106
6,031
6,274
Installment, revolving credit, and other19,259
18,714
14,958
14,114
11,829
Installment, revolving credit and other22,638
19,965
20,853
19,259
18,714
Lease financing356
527
605
568
531
190
251
303
419
586
Governments and official institutions2,236
2,341
1,159
1,576
3,644
5,200
5,850
4,911
2,236
2,341

$140,390
$148,891
$143,885
$132,701
$116,689
Total Corporate loans$275,219
$272,203
$247,590
$224,612
$194,582
Unearned income(554)(562)(797)(710)(972)
Total

$164,360
$140,197
$142,566
$144,720
$152,434
Total corporate loans$334,141
$300,010
$292,828
$279,549
$275,746
Unearned income(3)
(763)(704)(665)(557)(567)
Corporate loans, net of unearned income$274,665
$271,641
$246,793
$223,902
$193,610
$333,378
$299,306
$292,163
$278,992
$275,179
Total loans—net of unearned income$644,635
$665,472
$655,464
$647,242
$648,794
$667,034
$624,369
$617,617
$644,635
$665,472
Allowance for loan losses—on drawn exposures(15,994)(19,648)(25,455)(30,115)(40,655)(12,355)(12,060)(12,626)(15,994)(19,648)
Total loans—net of unearned income and allowance for credit losses$628,641
$645,824
$630,009
$617,127
$608,139
$654,679
$612,309
$604,991
$628,641
$645,824
Allowance for loan losses as a percentage of total loans—net of unearned income(2)
2.50%2.97%3.92%4.69%6.31%
Allowance for Consumer loan losses as a percentage of total Consumer loans—net of unearned income(2)
3.68%4.34%5.57%6.45%7.81%
Allowance for Corporate loan losses as a percentage of total Corporate loans—net of unearned income(2)
0.89%0.97%1.14%1.31%2.75%
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
1.87%1.94%2.06%2.50%2.97%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
2.96%2.88%3.02%3.71%4.36%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.76%0.91%0.97%0.90%0.99%
(1)Loans secured primarily by real estate.
(2)Unearned income on consumer loans primarily represents unamortized origination fees, costs, premiums and discounts. Prior to December 31, 2015, these items were more than offset by prepaid interest on loans outstanding issued by OneMain Financial. The sale of OneMain Financial was completed on November 15, 2015.
(3)Unearned income on corporate loans primarily represents interest received in advance, but not yet earned on loans originated on a discount basis.
(4)All periods exclude loans that are carried at fair value.

72


Details of Credit Loss Experience
In millions of dollars2014201320122011201020172016201520142013
Allowance for loan losses at beginning of period$19,648
$25,455
$30,115
$40,655
$36,033
$12,060
$12,626
$15,994
$19,648
$25,455
Provision for loan losses  
Consumer$6,693
$7,603
$10,371
$12,075
$24,886
$7,363
$6,321
$6,228
$6,699
$7,591
Corporate135
1
87
(739)75
140
428
880
129
13
$6,828
$7,604
$10,458
$11,336
$24,961
Total

$7,503
$6,749
$7,108
$6,828
$7,604
Gross credit losses  
Consumer  
In U.S. offices (1)(2)
$6,780
$8,402
$12,226
$15,767
$24,183
In U.S. offices$5,736
$4,970
$5,500
$6,780
$8,402
In offices outside the U.S. 3,901
3,998
4,139
4,932
6,548
2,447
2,672
3,192
3,874
3,926
Corporate  
Commercial and industrial, and other  
In U.S. offices66
125
154
392
1,222
151
274
112
66
125
In offices outside the U.S. 283
144
305
649
571
331
256
182
310
216
Loans to financial institutions  
In U.S. offices2
2
33
215
275
3
5
—
2
2
In offices outside the U.S. 13
7
68
391
111
1
5
4
13
7
Mortgage and real estate  
In U.S offices8
62
59
182
953
2
34
8
8
62
In offices outside the U.S.55
29
21
171
286
2
6
43
55
29
$11,108
$12,769
$17,005
$22,699
$34,149
Total

$8,673
$8,222
$9,041
$11,108
$12,769
Credit recoveries (3)(1)
  
Consumer  
In U.S. offices$1,122
$1,073
$1,302
$1,467
$1,323
$903
$980
$975
$1,122
$1,073
In offices outside the U.S. 874
1,065
1,055
1,159
1,209
583
614
659
853
1,008
Corporate  
Commercial & industrial, and other 
In U.S offices64
62
243
175
591
Commercial and industrial, and other 
In U.S. offices20
23
22
64
62
In offices outside the U.S. 63
52
95
93
115
86
41
67
84
109
Loans to financial institutions  
In U.S. offices1
1
—
—
—
1
1
7
1
1
In offices outside the U.S. 11
20
43
89
132
1
1
2
11
20
Mortgage and real estate  
In U.S offices—
31
17
27
130
In offices outside the U.S. —
2
19
2
26
$2,135
$2,306
$2,774
$3,012
$3,526
Net credit losses 
In U.S. offices (1)(2)
$5,669
$7,424
$10,910
$14,887
$24,589
In U.S. offices2
1
7
—
31
In offices outside the U.S. 3,304
3,039
3,321
4,800
6,034
1
—
—
—
2
Total$8,973
$10,463
$14,231
$19,687
$30,623
$1,597
$1,661
$1,739
$2,135
$2,306
Other - net (4)(5)(6)(7)(8)(9)
$(1,509)$(2,948)$(887)$(2,189)$10,284
Net credit losses 
In U.S. offices$4,966
$4,278
$4,609
$5,669
$7,424
In offices outside the U.S. 2,110
2,283
2,693
3,304
3,039
Total$7,076
$6,561
$7,302
$8,973
$10,463
Other—net(2)(3)(4)(5)(6)(7)(8)
$(132)$(754)$(3,174)$(1,509)$(2,948)
Allowance for loan losses at end of period$15,994
$19,648
$25,455
$30,115
$40,655
$12,355
$12,060
$12,626
$15,994
$19,648
Allowance for loan losses as a % of total loans(10)
2.50%2.97%3.92%4.69%6.31%
Allowance for unfunded lending commitments(11)
$1,063
$1,229
$1,119
$1,136
$1,066
Allowance for loan losses as a percentage of total loans(9)
1.87%1.94%2.06%2.50%2.97%
Allowance for unfunded lending commitments(8)(10)
$1,258
$1,418
$1,402
$1,063
$1,229
Total allowance for loan losses and unfunded lending commitments$17,057
$20,877
$26,574
$31,251
$41,721
$13,613
$13,478
$14,028
$17,057
$20,877
Net Consumer credit losses (1)(2)
$8,685
$10,262
$14,008
$18,073
$28,199
As a percentage of average Consumer loans2.28%2.63%3.43%4.15%5.72%
Net Corporate credit losses$288
$201
$223
$1,614
$2,424
As a percentage of average Corporate loans0.10%0.08%0.09%0.79%1.27%
Net consumer credit losses$6,697
$6,048
$7,058
$8,679
$10,247
As a percentage of average consumer loans2.07%1.88%2.08%2.31%2.63%
Net corporate credit losses$379
$513
$244
$294
$216

73


Allowance for loan losses at end of period(12)
 
Citicorp$11,465
$13,174
$14,623
$16,699
$22,366
Citi Holdings4,529
6,474
10,832
13,416
18,289
Total Citigroup$15,994
$19,648
$25,455
$30,115
$40,655
Allowance by type 
As a percentage of average corporate loans0.12%0.17%0.08%0.10%0.08%
Allowance by type(11)
   
Consumer$13,605
$17,064
$22,679
$27,236
$35,406
$9,869
$9,358
$9,835
$13,547
$16,974
Corporate2,389
2,584
2,776
2,879
5,249
2,486
2,702
2,791
2,447
2,674
Total Citigroup$15,994
$19,648
$25,455
$30,115
$40,655
$12,355
$12,060
$12,626
$15,994
$19,648
(1)2012 includes approximately $635 million of incremental charge-offs related to the Office of the Comptroller of the Currency (OCC) guidance issued in the third quarter of 2012, which required mortgage loans to borrowers that have gone through Chapter 7 U.S. Bankruptcy Code to be written down to collateral value. There was a corresponding approximate $600 million release in the third quarter of 2012 allowance for loans losses related to these charge-offs. 2012 also includes a benefit to charge-offs of approximately $40 million related to finalizing the impact of the OCC guidance in the fourth quarter of 2012.
(2)2012 includes approximately $370 million of incremental charge-offs related to previously deferred principal balances on modified loans in the first quarter of 2012. These charge-offs were related to anticipated forgiveness of principal in connection with the national mortgage settlement. There was a corresponding approximate $350 million reserve release in the first quarter of 2012 related to these charge-offs.
(3)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(4)(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, foreign currencyFX translation, purchase accounting adjustments, etc.
(3)2017 includes reductions of approximately $261 million related to the sale or transfer to HFS of various loan portfolios, which includes approximately $106 million related to the transfer of various real estate loan portfolios to HFS. Additionally, 2017 includes an increase of approximately $115 million related to FX translation.
(4)2016 includes reductions of approximately $574 million related to the sale or transfer to HFS of various loan portfolios, which includes approximately $106 million related to the transfer of various real estate loan portfolios to HFS. Additionally, 2016 includes a reduction of approximately $199 million related to FX translation.
(5)2015 includes reductions of approximately $2.4 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $1.5 billion related to the transfer of various real estate loan portfolios to HFS. Additionally, 2015 includes a reduction of approximately $474 million related to FX translation.
(6)
2014 includes reductions of approximately $1.1 billion related to the sale or transfer to held-for-sale (HFS)HFS of various loan portfolios, which includes approximately $411 million related to the transfer of various real estate loan portfolios to HFS, approximately $204 million related to the transfer to HFS of a business in Greece, approximately $177 million related to the transfer to HFS of a business in Spain, approximately $29 million related to the transfer to HFS of a business in Honduras, and approximately $108 million related to the transfer to HFS of various EMEA loan portfolios. Additionally, 2014 includes a reduction of approximately $463 million related to foreign currencyFX translation.
(6)(7)
2013 includes reductions of approximately $2.4 billion related to the sale or transfer to held-for-saleHFS of various loan portfolios, which includes approximately $360 million related to the sale of Credicard and approximately $255 million related to a transfer to held-for-saleHFS of a loan portfolio in Greece, approximately $230 million related to a non-provision transfer of reserves associated with deferred interest to Otherother assets which includes deferred interest and approximately $220 million related to foreign currencyFX translation.
(7)2012 includes reductions of approximately $875 million related to the sale or transfer to held-for-sale of various U.S. loan portfolios.
(8)2011
2015 includes reductionsa reclassification of approximately $1.6 billion related$271 million of Allowance for loan losses to allowance for unfunded lending commitments, included in the sale or transfer to held-for-saleOther line item. This reclassification reflects the re-attribution of various U.S. loan portfolios, approximately $240$271 million related toin allowance for credit losses between the salefunded and unfunded portions of the Egg Banking PLCcorporate credit card business, approximately $72 million related toportfolios and does not reflect a change in the transferunderlying credit performance of the Citi Belgium business to held-for-sale and approximately $290 million related to FX translation.these portfolios.
(9)2010 primarily includes an addition of $13.4 billion related to the impact of consolidating entities in connection with Citi’s adoption of SFAS 166/167, reductions of approximately $2.7 billion related to the sale or transfer to held-for-sale of various U.S. loan portfolios and approximately $290 million related to the transfer of a U.K. first mortgage portfolio to held-for-sale.
(10)December 31, 2017, December 31, 2016, December 31, 2015, December 31, 2014 and December 31, 2013 December 31, 2012, December 31, 2011 and December 31, 2010 exclude $5.9$4.4 billion, $3.5 billion, $5.0 billion, $5.3 billion, $5.3$5.9 billion and $4.4$5.0 billion, respectively, of loans which are carried at fair value.
(11)(10)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded inas Other liabilities on the Consolidated Balance Sheet.
(12)(11)Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements below. 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.


74


Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios as of December 31, 2014 and December 31, 2013:ratios:
December 31, 2014December 31, 2017
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$4.9
$114.0
4.3%$6.1
$139.7
4.4%
North America mortgages(4)(3)
3.7
95.9
3.9
0.7
64.2
1.1
North America other
1.2
21.6
5.6
0.3
13.0
2.3
International cards1.9
31.5
6.0
1.3
25.7
5.1
International other(5)(4)
1.9
106.9
1.8
1.5
91.1
1.6
Total Consumer$13.6
$369.9
3.7%
Total Corporate2.4
274.7
0.9
Total consumer$9.9
$333.7
3.0%
Total corporate2.5
333.3
0.8
Total Citigroup$16.0
$644.6
2.5%$12.4
$667.0
1.9%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $4.9$6.1 billion of loan loss reserves represented approximately 1516 months of coincident net credit loss coverage.
(3)
Of the $3.7$0.7 billion, approximately $3.5$0.6 billion was allocated to North America mortgages in Citi Holdings. The $3.7 billion of loan loss reserves represented approximately 53 months of coincident net credit loss coverage (for both total North AmericaCorporate/Other mortgages and Citi Holdings North America mortgages).
(4)Of the $3.7$0.7 billion, in loan loss reserves, approximately $1.2$0.2 billion and $2.5$0.5 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $95.9$64.2 billion in loans, approximately $80.4$60.4 billion and $15.2$3.7 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 1615 to the Consolidated Financial Statements.
(5)(4)Includes mortgages and other retail loans.

December 31, 2013December 31, 2016
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$6.2
$116.8
5.3%$5.2
$133.3
3.9%
North America mortgages(4)(3)
5.1
107.5
4.8
1.1
72.6
1.5
North America other
1.2
21.9
5.4
0.5
13.6
3.7
International cards2.3
36.2
6.5
1.2
23.1
5.2
International other(5)(4)
2.2
111.4
2.0
1.4
82.5
1.7
Total Consumer$17.0
$393.8
4.3%
Total Corporate2.6
271.7
1.0
Total consumer$9.4
$325.1
2.9%
Total corporate2.7
299.3
0.9
Total Citigroup$19.6
$665.5
3.0%$12.1
$624.4
1.9%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $6.2$5.2 billion of loan loss reserves represented approximately 1815 months of coincident net credit loss coverage.
(3)
Of the $5.1$1.1 billion, approximately $4.9$1.0 billion was allocated to North America mortgages in Citi Holdings. The $5.1 billion of loan loss reserves represented approximately 26 months of coincident net credit loss coverage (for both total North AmericCorporate/Othera mortgages and Citi Holdings North America mortgages).
(4)Of the $5.1$1.1 billion, in loan loss reserves, approximately $2.4$0.4 billion and $2.7$0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $107.5$72.6 billion in loans, approximately $88.6$67.7 billion and $18.5$4.8 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 1615 to the Consolidated Financial Statements.
(5)(4)Includes mortgages and other retail loans.

75


Non-Accrual Loans and Assets and Renegotiated Loans
The following pages include information on Citi’s “Non-Accrual Loans and Assets” and “Renegotiated Loans.” There is a certain amount of overlap among these categories.non-accrual loans and assets and renegotiated loans. The following summary provides a general description of each category:

Non-Accrual Loans and Assets:
Corporate and consumer (commercial market)(including commercial banking) non-accrual status is based on the determination that payment of interest or principal is doubtful.
A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Payments received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 74%, 69% and 64% of Citi’s corporate non-accrual loans were performing at December 31, 2017, September 30, 2017 and December 31, 2016, respectively.
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind inon payments.
MortgageConsumer mortgage loans, in regulated bank entities discharged through Chapter 7 bankruptcy, other than Federal Housing Administration (FHA) insured loans, are classified as non-accrual. Non-bank mortgage loans discharged through Chapter 7 bankruptcy are classified as non-accrual at 90within 60 days or more past due.of notification that the borrower has filed for bankruptcy. In addition, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.
North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days of contractual delinquency.
Renegotiated Loans:
Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).
Includes both accrual and non-accrual TDRs.

Non-Accrual Loans and Assets
The table below summarizes Citigroup’s non-accrual loans as of the periods indicated. Non-accrual loans may still be current on interest payments. In situations where Citi reasonably expects that only a portion of the principal owed will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. For all other non-accrual loans, cash interest receipts are generally recorded as revenue.


76


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.
 December 31,
In millions of dollars20142013201220112010
Citicorp$3,062
$3,791
$4,096
$4,018
$4,909
Citi Holdings4,045
5,212
7,434
7,050
14,498
Total non-accrual loans$7,107
$9,003
$11,530
$11,068
$19,407
Corporate non-accrual loans(1)


   
North America$321
$736
$735
$1,246
$2,112
EMEA267
766
1,131
1,293
5,337
Latin America416
127
128
362
701
Asia179
279
339
335
470
Total Corporate non-accrual loans$1,183
$1,908
$2,333
$3,236
$8,620
Citicorp$1,126
$1,580
$1,909
$2,217
$3,091
Citi Holdings57
328
424
1,019
5,529
Total Corporate non-accrual loans$1,183
$1,908
$2,333
$3,236
$8,620
Consumer non-accrual loans(1)
     
North America$4,412
$5,238
$7,149
$5,888
$8,540
EMEA32
138
380
387
652
Latin America1,188
1,426
1,285
1,107
1,019
Asia292
293
383
450
576
Total Consumer non-accrual loans$5,924
$7,095
$9,197
$7,832
$10,787
Citicorp$1,936
$2,211
$2,187
$1,801
$1,818
Citi Holdings3,988
4,884
7,010
6,031
8,969
Total Consumer non-accrual loans          
$5,924
$7,095
$9,197
$7,832
$10,787
 December 31,
In millions of dollars20172016201520142013
Corporate non-accrual loans(1)(2)
     
North America$784
$984
$818
$321
$735
EMEA849
904
347
285
812
Latin America280
379
303
417
132
Asia29
154
128
179
279
Total corporate non-accrual loans$1,942
$2,421
$1,596
$1,202
$1,958
Consumer non-accrual loans(1)(3)
     
North America$1,650
$2,160
$2,515
$4,411
$5,239
Latin America756
711
874
1,188
1,420
Asia(4)
284
287
269
306
386
  Total consumer non-accrual loans$2,690
$3,158
$3,658
$5,905
$7,045
Total non-accrual loans          $4,632
$5,579
$5,254
$7,107
$9,003
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $167 million at December 31, 2017, $187 million at December 31, 2016, $250 million at December 31, 2015, $421 million at December 31, 2014 and $703 million at December 31, 2013, $537 million at2013.
(2)
The increase in corporate non-accrual loans from December 31, 2012, $511 million at2015 to December 31, 2011,2016 was primarily related to Citi’s North America and EMEA energy and $469 million at December 31, 2010.energy-related corporate credit exposure during 2016.

(3) 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans HFS (included within Other assets).

77(4) Asia includes balances in certain EMEA countries for all periods presented.

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

 Year endedYear ended
 December 31, 2017December 31, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,421
$3,158
$5,579
$1,596
$3,658
$5,254
Additions1,347
3,508
4,855
2,713
4,460
7,173
Sales and transfers to held-for-sale(134)(379)(513)(82)(738)(820)
Returned to performing(47)(634)(681)(150)(606)(756)
Paydowns/settlements(1,400)(1,163)(2,563)(1,198)(1,648)(2,846)
Charge-offs(144)(1,869)(2,013)(386)(1,855)(2,241)
Other(101)69
(32)(72)(113)(185)
Ending balance$1,942
$2,690
$4,632
$2,421
$3,158
$5,579


Non-Accrual Assets
The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral.collateral:
December 31,December 31,
In millions of dollars2014201320122011201020172016201520142013
OREO(1)
  
Citicorp$96
$79
$49
$86
$840
Citi Holdings164
338
391
480
863
Total OREO$260
$417
$440
$566
$1,703
North America$195
$305
$299
$441
$1,440
$89
$161
$166
$196
$304
EMEA8
59
99
73
161
2
—
1
7
59
Latin America47
47
40
51
47
35
18
38
47
47
Asia10
6
2
1
55
18
7
4
10
6
Total OREO$260
$417
$440
$566
$1,703
$144
$186
$209
$260
$416
Other repossessed assets$—
$—
$1
$1
$28
Non-accrual assets—Total Citigroup

 
Non-accrual assets 
Corporate non-accrual loans$1,183
$1,908
$2,333
$3,236
$8,620
$1,942
$2,421
$1,596
$1,202
$1,958
Consumer non-accrual loans5,924
7,095
9,197
7,832
10,787
Consumer non-accrual loans(2)
2,690
3,158
3,658
5,905
7,045
Non-accrual loans (NAL)$7,107
$9,003
$11,530
$11,068
$19,407
$4,632
$5,579
$5,254
$7,107
$9,003
OREO$260
$417
$440
$566
$1,703
$144
$186
$209
$260
$416
Other repossessed assets—
—
1
1
28
Non-accrual assets (NAA)$7,367
$9,420
$11,971
$11,635
$21,138
$4,776
$5,765
$5,463
$7,367
$9,419
NAL as a percentage of total loans1.10%1.35%1.76%1.71%2.99%0.69%0.89%0.85%1.10%1.35%
NAA as a percentage of total assets0.40
0.50
0.64
0.62
1.10
0.26
0.32
0.32
0.40
0.50
Allowance for loan losses as a percentage of NAL(2)
225
218
221
272
209
Allowance for loan losses as a percentage of NAL(3)
267
216
240
225
218

Non-accrual assets—Total Citicorp20142013201220112010
Non-accrual loans (NAL)$3,062
$3,791
$4,096
$4,018
$4,909
OREO96
79
49
86
840
Other repossessed assetsN/A
N/A
N/A
N/A
N/A
Non-accrual assets (NAA)$3,158
$3,870
$4,145
$4,104
$5,749
NAA as a percentage of total assets0.18%0.22%0.24%0.25%0.36%
Allowance for loan losses as a percentage of NAL(2)
374
348
357
416
456
Non-accrual assets—Total Citi Holdings

   
Non-accrual loans (NAL)$4,045
$5,212
$7,434
$7,050
$14,498
OREO164
338
391
480
863
Other repossessed assetsN/A
N/A
N/A
N/A
N/A
Non-accrual assets (NAA)$4,209
$5,550
$7,825
$7,530
$15,361
NAA as a percentage of total assets4.29%4.74%5.02%3.35%4.91%
Allowance for loan losses as a percentage of NAL(2)
112
124
146
190
126
(1)2014 reflectsReflects a decrease of $130 million related to the adoption of ASU 2014-14 in the fourth quarter of 2014, which requires certain government guaranteed mortgage loans to be recognized as separate other receivables upon foreclosure. Prior periods have not been restated. For additional information, see Note 1 of the Consolidated Financial Statements.
(2)
2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans HFS (included within Other assets).
(3)The allowance for loan losses includes the allowance for Citi’s credit card portfolios and purchased distressed loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios) and purchased distressed loans as these continue to accrue interest until charge-off.
N/A Not available at the Citicorp or Citi Holdings level.


78



Renegotiated LoansConsumer Loan Delinquency Amounts and Ratios
 
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
 December 31,December 31,December 31,
In millions of dollars, except EOP loan amounts in billions2017201720162015201720162015
Global Consumer Banking(3)(4)
       
Total$310.8
$2,478
$2,293
$2,119
$2,762
$2,540
$2,418
Ratio 0.80%0.79%0.77%0.89%0.87%0.88%
Retail banking       
Total$145.9
$515
$474
$523
$822
$726
$739
Ratio 0.35%0.35%0.38%0.57%0.54%0.53%
North America56.0
199
181
165
306
214
221
Ratio 0.36%0.33%0.32%0.55%0.39%0.43%
Latin America19.9
130
136
185
195
185
184
Ratio 0.65%0.76%0.94%0.98%1.03%0.93%
Asia(5)
70.0
186
157
173
321
327
334
Ratio 0.27%0.25%0.25%0.46%0.52%0.49%
Cards       
Total$164.9
$1,963
$1,819
$1,596
$1,940
$1,814
$1,679
Ratio 1.19%1.17%1.17%1.18%1.17%1.23%
North America—Citi-branded90.5
768
748
538
698
688
523
Ratio 0.85%0.87%0.80%0.77%0.80%0.78%
North America—Citi retail services49.2
845
761
705
830
777
773
Ratio 1.72%1.61%1.53%1.69%1.64%1.68%
Latin America5.4
151
130
173
153
125
157
Ratio 2.80%2.71%3.20%2.83%2.60%2.91%
Asia(5)
19.8
199
180
180
259
224
226
Ratio 1.01%1.03%1.02%1.31%1.28%1.28%
Corporate/Other—Consumer(6)(7)
       
Total$22.9
$557
$834
$927
$542
$735
$1,036
Ratio 2.57%2.62%1.99%2.50%2.31%2.23%
International1.6
43
94
157
40
49
179
Ratio 2.69%3.92%1.91%2.50%2.04%2.18%
North America21.3
514
740
770
502
686
857
Ratio 2.56%2.52%2.01%2.50%2.33%2.24%
Total Citigroup$333.7
$3,035
$3,127
$3,046
$3,304
$3,275
$3,454
Ratio 0.91%0.97%0.94%1.00%1.01%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 and 30–89 days past due and related ratios for GCB North America retail banking exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $298 million ($0.7 billion), $327 million ($0.7 billion) and $491 million ($1.1 billion) at December 31, 2017, 2016 and 2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $88 million, $70 million and $87 million at December 31, 2017, 2016 and 2015, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)
The 90+ days and 30–89 days past due and related ratios for Corporate/Other—Consumer North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due (and EOP loans) were $0.6 billion ($1.1 billion), $0.9 billion ($1.4 billion) and $1.5 billion ($2.2 billion) at December 31, 2017, 2016 and 2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.1 billion, $0.2 billion and $0.2 billion at December 31, 2017, 2016 and 2015, respectively.
(7)
The December 31, 2017, 2016 and 2015, loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $4 million, $7 million and $11 million, respectively, of loans that are carried at fair value.


Consumer Loan Net Credit Losses and Ratios
 
Average
loans(1)
Net credit losses(2)(3)(4)
In millions of dollars, except average loan amounts in billions2017201720162015
Global Consumer Banking    
Total$296.8
$6,562
$5,610
$5,752
Ratio 2.21%2.01%2.12%
Retail banking    
Total$142.7
$1,023
$1,007
$1,058
Ratio 0.72%0.72%0.75%
North America55.7
$194
$205
$150
Ratio 0.35%0.38%0.30%
Latin America20.0
$584
$541
$589
Ratio 2.92%2.85%2.89%
Asia(5)
67.0
$245
$261
$319
Ratio 0.37%0.39%0.45%
Cards    
Total$154.1
$5,539
$4,603
$4,694
Ratio 3.60%3.30%3.59%
North America—Citi-branded84.6
$2,447
$1,909
$1,892
Ratio 2.89%2.61%2.96%
North America—Retail services45.6
$2,155
$1,805
$1,709
Ratio 4.73%4.12%3.94%
Latin America5.3
$533
$499
$691
Ratio 10.06%9.78%11.71%
Asia(5)
18.6
$404
$390
$402
Ratio 2.17%2.24%2.28%
Corporate/Other—Consumer(3)(4)
    
Total$27.2
$156
$438
$1,306
Ratio 0.57%1.06%1.96%
International1.9
$82
$269
$443
Ratio 4.32%5.17%4.43%
North America25.3
$74
$169
$863
Ratio 0.29%0.47%1.52%
Other(6)
—
$(21)$—
$—
Total Citigroup$324.0
$6,697
$6,048
$7,058
Ratio 2.07%1.88%2.08%
(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)
As a result of Citigroup's entry into agreements in October 2016 to sell its Argentina and Brazil consumer banking businesses, these businesses were classified as HFS at the end of the fourth quarter 2016. Loans HFS are excluded from this table as they are recorded in Other assets. In addition, as a result of HFS accounting treatment, approximately $128 million and $42 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during 2017 and 2016, respectively. Accordingly, these NCLs are not included in this table. The sales of the Argentina and Brazil consumer banking businesses were completed in the first and fourth quarters of 2017, respectively.
(4)
As a result of the entry into an agreement to sell OneMain Financial (OneMain), OneMain was classified as HFS beginning March 31, 2015. Loans HFS are excluded from this table as they are recorded in Other assets. In addition, as a result of HFS accounting treatment, approximately $350 million of NCLs were recorded as a reduction in revenue (Other revenue) during 2015. Accordingly, these NCLs are not included in this table. The OneMain sale was completed on November 15, 2015.
(5)
Asia includes average loans and NCLs in certain EMEA countries for all periods presented.
(6)2017 NCLs represent a recovery related to legacy assets.



Loan Maturities and Fixed/Variable Pricing
U.S. Consumer Mortgages
In millions of dollars at year-end 2017
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than 5
years
Total
U.S. consumer mortgage loan portfolio    
Residential first mortgages$96
$543
$50,248
$50,887
Home equity loans15
856
13,709
14,580
Total$111
$1,399
$63,957
$65,467
Fixed/variable pricing of U.S. consumer mortgage loans with maturities due after one year    
Loans at fixed interest rates $1,187
$39,084
 
Loans at floating or adjustable interest rates 212
24,873
 
Total $1,399
$63,957
 


Corporate Credit
Consistent with its overall strategy, Citi’s corporate clients are typically large, multinational corporations that value Citi’s global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory.

Corporate Credit Portfolio
The following table presentssets forth Citi’s loans modified in TDRs.corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:
In millions of dollarsDec. 31, 2014Dec. 31, 2013
Corporate renegotiated loans(1)
  
In U.S. offices  
Commercial and industrial(2)
$12
$36
Mortgage and real estate(3)
106
143
Loans to financial institutions—
14
Other316
364
 $434
$557
In offices outside the U.S.  
Commercial and industrial(2)
$105
$161
Mortgage and real estate(3)
1
18
Other39
58
 $145
$237
Total Corporate renegotiated loans$579
$794
Consumer renegotiated loans(4)(5)(6)(7)
  
In U.S. offices  
Mortgage and real estate (8)
$15,514
$18,922
Cards1,751
2,510
Installment and other580
626
 $17,845
$22,058
In offices outside the U.S.  
Mortgage and real estate$695
$641
Cards656
830
Installment and other586
834
 $1,937
$2,305
Total Consumer renegotiated loans$19,782
$24,363
 At December 31, 2017At September 30, 2017At December 31, 2016
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year		Greater
than 1 year
but within
5 years		Greater
than
5 years		Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings
(on-balance sheet)(1)
$127
$96
$22
$245
$124
$96
$23
$243
$109
$94
$22
$225
Unfunded lending commitments
(off-balance sheet)(2)
111
222
20
353
104
219
20
343
103
218
23
344
Total exposure$238
$318
$42
$598
$228
$315
$43
$586
$212
$312
$45
$569

(1)Includes $135drawn loans, overdrafts, bankers’ acceptances and leases.
(2)Includes unused commitments to lend, letters of credit and financial guarantees.

Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage by region based on Citi’s internal management geography:
 December 31,
2017		September 30,
2017		December 31,
2016
North America54%55%55%
EMEA27
26
26
Asia12
12
12
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 primarily through the use of 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 climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an
obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
 Total exposure
 December 31,
2017		September 30,
2017		December 31,
2016
AAA/AA/A49%49%48%
BBB34
34
34
BB/B16
16
16
CCC or below1
1
2
Total100%100%100%

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

Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
 Total exposure
 December 31,
2017		September 30,
2017		December 31,
2016
Transportation and
  industrial
22%22%22%
Consumer retail and health16
16
16
Technology, media and telecom12
11
12
Power, chemicals,
metals and mining
10
10
11
Energy and commodities8
8
9
Banks/broker-dealers/finance companies

8
8
6
Real estate8
7
7
Insurance and special purpose entities

5
5
5
Public sector5
5
5
Hedge funds4
4
5
Other industries2
4
2
Total100%100%100%

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

Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenue on the Consolidated Statement of Income.
As of December 31, 2017, September 30, 2017 and December 31, 2016, $16.3 billion, $22.2 billion and $29.5 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked-to-market. In addition, the reported amounts of direct outstandings and unfunded lending commitments in the tables above do not reflect the impact of these hedging transactions. The credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure
 December 31,
2017		September 30,
2017		December 31,
2016
AAA/AA/A23%16%16%
BBB43
48
49
BB/B31
33
31
CCC or below3
3
4
Total100%100%100%

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

Industry of Hedged Exposure
 December 31,
2017		September 30,
2017		December 31,
2016
Transportation and industrial27%27%29%
Energy and commodities15
17
20
Power, chemicals, metals and mining14
12
12
Technology, media and telecom12
14
13
Public sector12
8
5
Consumer retail and health10
12
10
Banks/broker-dealers6
5
4
Insurance and special purpose entities2
2
3
Other industries2
3
4
Total100%100%100%























Loan Maturities and Fixed/Variable Pricing of Corporate
Loans
In millions of dollars at December 31, 2017
Due
within
1 year
Over 1
year
but
within
5 years
Over 5
years
Total
Corporate loans    
In U.S. offices    
Commercial and industrial loans$20,679
$18,474
$12,166
$51,319
Financial institutions15,767
14,085
9,276
39,128
Mortgage and real estate18,005
16,085
10,593
44,683
Installment, revolving credit and other13,369
11,945
7,867
33,181
Lease financing593
529
348
1,470
In offices outside the U.S.106,000
49,295
9,065
164,360
Total corporate loans$174,413
$110,413
$49,315
$334,141
Fixed/variable
pricing of corporate
loans with
maturities due after
one year(1)
    
Loans at fixed
interest rates
 $21,048
$15,276
 
Loans at floating or
adjustable interest
rates
 89,365
34,039
 
Total $110,413
$49,315
 

(1)Based on contractual terms. Repricing characteristics may effectively
be modified from time to time using derivative contracts. See Note 22
to the Consolidated Financial Statements.


Additional Consumer and Corporate Credit Details

Loans Outstanding
 December 31,
In millions of dollars20172016201520142013
Consumer loans     
In U.S. offices     
Mortgage and real estate(1)
$65,467
$72,957
$80,281
$96,533
$108,453
Installment, revolving credit and other3,398
3,395
3,480
14,450
13,398
Cards139,006
132,654
112,800
112,982
115,651
Commercial and industrial7,840
7,159
6,407
5,895
6,592
Total$215,711
$216,165
$202,968
$229,860
$244,094
In offices outside the U.S.     
Mortgage and real estate(1)
$44,081
$42,803
$47,062
$54,462
$55,511
Installment, revolving credit and other26,556
24,887
29,480
31,128
33,182
Cards26,257
23,783
27,342
32,032
36,740
Commercial and industrial20,238
16,568
17,410
18,294
20,623
Lease financing76
81
362
546
710
Total

$117,208
$108,122
$121,656
$136,462
$146,766
Total consumer loans$332,919
$324,287
$324,624
$366,322
$390,860
Unearned income(2)
737
776
830
(679)(567)
Consumer loans, net of unearned income$333,656
$325,063
$325,454
$365,643
$390,293
Corporate loans     
In U.S. offices     
Commercial and industrial$51,319
$49,586
$46,011
$39,542
$36,993
Financial institutions39,128
35,517
36,425
36,324
25,130
Mortgage and real estate(1)
44,683
38,691
32,623
27,959
25,075
Installment, revolving credit and other33,181
34,501
33,423
29,246
34,467
Lease financing1,470
1,518
1,780
1,758
1,647
Total

$169,781
$159,813
$150,262
$134,829
$123,312
In offices outside the U.S.     
Commercial and industrial$93,750
$81,882
$82,689
$83,506
$86,147
Financial institutions35,273
26,886
28,704
33,269
38,372
Mortgage and real estate(1)
7,309
5,363
5,106
6,031
6,274
Installment, revolving credit and other22,638
19,965
20,853
19,259
18,714
Lease financing190
251
303
419
586
Governments and official institutions5,200
5,850
4,911
2,236
2,341
Total

$164,360
$140,197
$142,566
$144,720
$152,434
Total corporate loans$334,141
$300,010
$292,828
$279,549
$275,746
Unearned income(3)
(763)(704)(665)(557)(567)
Corporate loans, net of unearned income$333,378
$299,306
$292,163
$278,992
$275,179
Total loans—net of unearned income$667,034
$624,369
$617,617
$644,635
$665,472
Allowance for loan losses—on drawn exposures(12,355)(12,060)(12,626)(15,994)(19,648)
Total loans—net of unearned income 
and allowance for credit losses		$654,679
$612,309
$604,991
$628,641
$645,824
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
1.87%1.94%2.06%2.50%2.97%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
2.96%2.88%3.02%3.71%4.36%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.76%0.91%0.97%0.90%0.99%
(1)Loans secured primarily by real estate.
(2)Unearned income on consumer loans primarily represents unamortized origination fees, costs, premiums and discounts. Prior to December 31, 2015, these items were more than offset by prepaid interest on loans outstanding issued by OneMain Financial. The sale of OneMain Financial was completed on November 15, 2015.
(3)Unearned income on corporate loans primarily represents interest received in advance, but not yet earned on loans originated on a discount basis.
(4)All periods exclude loans that are carried at fair value.


Details of Credit Loss Experience
In millions of dollars20172016201520142013
Allowance for loan losses at beginning of period$12,060
$12,626
$15,994
$19,648
$25,455
Provision for loan losses     
Consumer$7,363
$6,321
$6,228
$6,699
$7,591
Corporate140
428
880
129
13
Total

$7,503
$6,749
$7,108
$6,828
$7,604
Gross credit losses     
Consumer     
In U.S. offices$5,736
$4,970
$5,500
$6,780
$8,402
In offices outside the U.S. 2,447
2,672
3,192
3,874
3,926
Corporate     
Commercial and industrial, and other     
In U.S. offices151
274
112
66
125
In offices outside the U.S. 331
256
182
310
216
Loans to financial institutions     
In U.S. offices3
5
—
2
2
In offices outside the U.S. 1
5
4
13
7
Mortgage and real estate     
In U.S offices2
34
8
8
62
In offices outside the U.S.2
6
43
55
29
Total

$8,673
$8,222
$9,041
$11,108
$12,769
Credit recoveries(1)
     
Consumer     
In U.S. offices$903
$980
$975
$1,122
$1,073
In offices outside the U.S. 583
614
659
853
1,008
Corporate     
Commercial and industrial, and other     
In U.S. offices20
23
22
64
62
In offices outside the U.S. 86
41
67
84
109
Loans to financial institutions     
In U.S. offices1
1
7
1
1
In offices outside the U.S. 1
1
2
11
20
Mortgage and real estate     
In U.S. offices2
1
7
—
31
In offices outside the U.S. 1
—
—
—
2
Total

$1,597
$1,661
$1,739
$2,135
$2,306
Net credit losses     
In U.S. offices$4,966
$4,278
$4,609
$5,669
$7,424
In offices outside the U.S. 2,110
2,283
2,693
3,304
3,039
Total$7,076
$6,561
$7,302
$8,973
$10,463
Other—net(2)(3)(4)(5)(6)(7)(8)
$(132)$(754)$(3,174)$(1,509)$(2,948)
Allowance for loan losses at end of period$12,355
$12,060
$12,626
$15,994
$19,648
Allowance for loan losses as a percentage of total loans(9)
1.87%1.94%2.06%2.50%2.97%
Allowance for unfunded lending commitments(8)(10)
$1,258
$1,418
$1,402
$1,063
$1,229
Total allowance for loan losses and unfunded lending commitments$13,613
$13,478
$14,028
$17,057
$20,877
Net consumer credit losses$6,697
$6,048
$7,058
$8,679
$10,247
As a percentage of average consumer loans2.07%1.88%2.08%2.31%2.63%
Net corporate credit losses$379
$513
$244
$294
$216

As a percentage of average corporate loans0.12%0.17%0.08%0.10%0.08%
Allowance by type(11)
     
Consumer$9,869
$9,358
$9,835
$13,547
$16,974
Corporate2,486
2,702
2,791
2,447
2,674
Total Citigroup$12,355
$12,060
$12,626
$15,994
$19,648
(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)2017 includes reductions of approximately $261 million related to the sale or transfer to HFS of various loan portfolios, which includes approximately $106 million related to the transfer of various real estate loan portfolios to HFS. Additionally, 2017 includes an increase of approximately $115 million related to FX translation.
(4)2016 includes reductions of approximately $574 million related to the sale or transfer to HFS of various loan portfolios, which includes approximately $106 million related to the transfer of various real estate loan portfolios to HFS. Additionally, 2016 includes a reduction of approximately $199 million related to FX translation.
(5)2015 includes reductions of approximately $2.4 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $1.5 billion related to the transfer of various real estate loan portfolios to HFS. Additionally, 2015 includes a reduction of approximately $474 million related to FX translation.
(6)
2014 includes reductions of approximately $1.1 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $411 million related to the transfer of various real estate loan portfolios to HFS, approximately $204 million related to the transfer to HFS of a business in Greece, approximately $177 million related to the transfer to HFS of a business in Spain, approximately $29 million related to the transfer to HFS of a business in Honduras, and $312approximately $108 million related to the transfer to HFS of various EMEA loan portfolios. Additionally, 2014 includes a reduction of approximately $463 million related to FX translation.
(7)2013 includes reductions of approximately $2.4 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $360 million related to the sale of Credicard and approximately $255 million related to a transfer to HFS of a loan portfolio in Greece, approximately $230 million related to a non-provision transfer of reserves associated with deferred interest to other assets which includes deferred interest and approximately $220 million related to FX translation.
(8)
2015 includes a reclassification of $271 million of non-accrual loansAllowance for loan losses to allowance for unfunded lending commitments, included in the non-accrual assets table above atOther line item. This reclassification reflects the re-attribution of $271 million in allowance for credit losses between the funded and unfunded portions of the corporate credit portfolios and does not reflect a change in the underlying credit performance of these portfolios.
(9)December 31, 2017, December 31, 2016, December 31, 2015, December 31, 2014 and December 31, 2013 respectively. The remainingexclude $4.4 billion, $3.5 billion, $5.0 billion, $5.9 billion and $5.0 billion, respectively, of loans which are accruing interest.carried at fair value.
(10)
Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(11)Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 1 to the Consolidated Financial Statements below. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.

Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
 December 31, 2017
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$6.1
$139.7
4.4%
North America mortgages(3)
0.7
64.2
1.1
North America other
0.3
13.0
2.3
International cards1.3
25.7
5.1
International other(4)
1.5
91.1
1.6
Total consumer$9.9
$333.7
3.0%
Total corporate2.5
333.3
0.8
Total Citigroup$12.4
$667.0
1.9%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)In addition to modifications reflected as TDRs at December 31, 2014,Includes both Citi-branded cards and Citi also modified $15 million and $34 millionretail services. The $6.1 billion of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices inside and outside the U.S., respectively. These modifications were not considered TDRs because the modifications did not involve a concession (a required elementloan loss reserves represented approximately 16 months of a TDR for accounting purposes).coincident net credit loss coverage.
(3)In addition
Of the $0.7 billion, approximately $0.6 billion was allocated to modifications reflected as TDRs at December 31, 2014, Citi also modified $22 millionNorth America mortgages in Corporate/Other. Of the $0.7 billion, approximately $0.2 billion and $0.5 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $64.2 billion in loans, approximately $60.4 billion and $3.7 billion of commercial real estatethe loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators)are evaluated in offices insideaccordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the U.S. These modifications were not considered TDRs because the modifications did not involve a concession (a required element of a TDR for accounting purposes).Consolidated Financial Statements.
(4)Includes $3,132 millionmortgages and $3,637 millionother retail loans.

 December 31, 2016
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$5.2
$133.3
3.9%
North America mortgages(3)
1.1
72.6
1.5
North America other
0.5
13.6
3.7
International cards1.2
23.1
5.2
International other(4)
1.4
82.5
1.7
Total consumer$9.4
$325.1
2.9%
Total corporate2.7
299.3
0.9
Total Citigroup$12.1
$624.4
1.9%
(1)Allowance as a percentage of non-accrual loans included in the non-accrual assets table aboveexcludes loans that are carried at December 31, 2014 and 2013, respectively. The remaining loans are accruing interest.fair value.
(5)(2)Includes $124 millionboth Citi-branded cards and $29 millionCiti retail services. The $5.2 billion of commercial real estate loans at December 31, 2014 and 2013, respectively.loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
(6)(3)Includes $184 million
Of the $1.1 billion, approximately $1.0 billion was allocated to North America mortgages in Corporate/Other. Of the $1.1 billion, approximately $0.4 billion and $295 million$0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $72.6 billion in loans, approximately $67.7 billion and $4.8 billion of other commercialthe loans at December 31, 2014are evaluated in accordance with ASC 450-20 and 2013,ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the Consolidated Financial Statements.
(7)(4)Smaller-balance homogeneousIncludes mortgages and other retail loans.


Non-Accrual Loans and Assets and Renegotiated Loans
There is a certain amount of overlap among non-accrual loans and assets and renegotiated loans. The following summary provides a general description of each category:

Non-Accrual Loans and Assets:
Corporate and consumer (including commercial banking) non-accrual status is based on the determination that payment of interest or principal is doubtful.
A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Payments received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 74%, 69% and 64% of Citi’s corporate non-accrual loans were performing at December 31, 2017, September 30, 2017 and December 31, 2016, respectively.
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
Consumer mortgage loans, other than Federal Housing Administration (FHA) insured loans, are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy. In addition, home equity loans are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.
North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days of contractual delinquency.
Renegotiated Loans:
Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).
Includes both accrual and non-accrual TDRs.


Non-Accrual Loans
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.
 December 31,
In millions of dollars20172016201520142013
Corporate non-accrual loans(1)(2)
     
North America$784
$984
$818
$321
$735
EMEA849
904
347
285
812
Latin America280
379
303
417
132
Asia29
154
128
179
279
Total corporate non-accrual loans$1,942
$2,421
$1,596
$1,202
$1,958
Consumer non-accrual loans(1)(3)
     
North America$1,650
$2,160
$2,515
$4,411
$5,239
Latin America756
711
874
1,188
1,420
Asia(4)
284
287
269
306
386
  Total consumer non-accrual loans$2,690
$3,158
$3,658
$5,905
$7,045
Total non-accrual loans          $4,632
$5,579
$5,254
$7,107
$9,003
(1)Excludes purchased distressed loans, were derived from Citi’s risk management systems.as they are generally accreting interest. The carrying value of these loans was $167 million at December 31, 2017, $187 million at December 31, 2016, $250 million at December 31, 2015, $421 million at December 31, 2014 and $703 million at December 31, 2013.
(8)(2)Reduction
The increase in 2014 includes $2,901 millioncorporate non-accrual loans from December 31, 2015 to December 31, 2016 was primarily related to TDRs sold or transferred to held-for-sale.Citi’s North America and EMEA energy and energy-related corporate credit exposure during 2016.
(3) 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans HFS (included within Other assets).
(4) Asia includes balances in certain EMEA countries for all periods presented.

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

 Year endedYear ended
 December 31, 2017December 31, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,421
$3,158
$5,579
$1,596
$3,658
$5,254
Additions1,347
3,508
4,855
2,713
4,460
7,173
Sales and transfers to held-for-sale(134)(379)(513)(82)(738)(820)
Returned to performing(47)(634)(681)(150)(606)(756)
Paydowns/settlements(1,400)(1,163)(2,563)(1,198)(1,648)(2,846)
Charge-offs(144)(1,869)(2,013)(386)(1,855)(2,241)
Other(101)69
(32)(72)(113)(185)
Ending balance$1,942
$2,690
$4,632
$2,421
$3,158
$5,579



Non-Accrual Assets

Forgone Interest Revenue on Loans (1)The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
In millions of dollars
In U.S.
offices
In non-
U.S.
offices
2014
total
Interest revenue that would have been accrued at original contractual rates (2)
$1,708
$715
$2,423
Amount recognized as interest revenue (2)
996
261
1,257
Forgone interest revenue$712
$454
$1,166
 December 31,
In millions of dollars20172016201520142013
OREO(1)
     
North America$89
$161
$166
$196
$304
EMEA2
—
1
7
59
Latin America35
18
38
47
47
Asia18
7
4
10
6
Total OREO$144
$186
$209
$260
$416
Non-accrual assets     
Corporate non-accrual loans$1,942
$2,421
$1,596
$1,202
$1,958
Consumer non-accrual loans(2)
2,690
3,158
3,658
5,905
7,045
Non-accrual loans (NAL)$4,632
$5,579
$5,254
$7,107
$9,003
OREO$144
$186
$209
$260
$416
Non-accrual assets (NAA)$4,776
$5,765
$5,463
$7,367
$9,419
NAL as a percentage of total loans0.69%0.89%0.85%1.10%1.35%
NAA as a percentage of total assets0.26
0.32
0.32
0.40
0.50
Allowance for loan losses as a percentage of NAL(3)
267
216
240
225
218

(1)RelatesReflects a decrease of $130 million related to Corporate non-accrualthe adoption of ASU 2014-14 in the fourth quarter of 2014, which requires certain government guaranteed mortgage loans renegotiated loans and Consumer loans on which accrual of interest hasto be recognized as separate other receivables upon foreclosure. Prior periods have not been suspended.restated.
(2)Interest revenue in offices outside
2015 decline includes the U.S. may reflect prevailing local interest rates, including the effects of inflation and monetary correction in certain countries.




79


North America Consumer Mortgage Lending

Overview
Citi’s NorthAmerica consumer mortgage portfolio consists of both residential first mortgages and home equity loans. At December 31, 2014, Citi’s North America consumer mortgage portfolio was $95.9 billion (compared to $107.5 billion at December 31, 2013), of which the residential first mortgage portfolio was $67.8 billion (compared to $75.9 billion at December 31, 2013), and the home equity loan portfolio was $28.1 billion (compared to $31.6 billion at December 31, 2013). At December 31, 2014, $34.4 billion of first mortgages was recorded in Citi Holdings, with the remaining $33.4 billion recorded in Citicorp. At December 31, 2014, $24.8 billion of home equity loans was recorded in Citi Holdings, with the remaining $3.3 billion recorded in Citicorp.
Citi’s residential first mortgage portfolio included $5.2 billion of loans with FHA insurance or Department of Veterans Affairs (VA) guarantees at December 31, 2014, compared to $7.7 billion at December 31, 2013. The decline during the year was primarily attributed to approximately $2.3 billion of mortgage loans with FHA insurance sold and transferred to held-for-sale, including $0.9 billion during the fourth quarter of 2014. Citi’s FHA/VA portfolio consists of loans to low-to-moderate-income borrowers with lower FICO (Fair Isaac Corporation) scores and generally higher loan-to-value ratios (LTVs). Credit losses on FHA loans are borne by the sponsoring governmental agency, provided that the insurance terms have not been rescinded as a result of an origination defect. With respect to VA loans, the VA establishes a loan-level loss cap, beyond which Citi is liable for loss. While FHA and VA loans have high delinquency rates, given the insurance and guarantees, respectively, Citi has experienced negligible credit losses on these loans.


In addition, Citi’s residential first mortgage portfolio included $0.8 billion of loans with origination LTVs above 80% that have insurance through mortgage insurance companies at December 31, 2014, compared to $1.1 billion at December 31, 2013. At December 31, 2014, the residential first mortgage portfolio also had $0.6 billion of loans subject to long-term standby commitments (LTSCs) with U.S. government-sponsored entities (GSEs) for which Citi has limited exposure to credit losses, compared to $0.8 billion at December 31, 2013. At December 31, 2014, Citi’s home equity loan portfolio also included $0.2 billion of loans subject to LTSCs with GSEs, compared to $0.3 billion at December 31, 2013, for which Citi also has limited exposure to credit losses. These guarantees and commitments may be rescinded in the event of loan origination defects. Citi’s allowance for loan loss calculations takes into consideration the impact of the guarantees and commitments described above.
As of December 31, 2014, Citi’s NorthAmerica residential first mortgage portfolio contained approximately $3.8 billion of adjustable rate mortgages that are currently required to make a payment consisting of only accrued interest for the payment period, or an interest-only payment, compared to $5.0 billion at December 31, 2013. This decline resulted primarily from repayments, conversions to amortizing loans and loans sold/transferred to held-for-sale. Residential first mortgages with this payment feature are primarily to high-credit-quality borrowers who have on average significantly higher origination and refreshed FICO scores than other loans in the residential first mortgage portfolio, and have exhibited significantly lower 30+ delinquency rates as compared with residential first mortgages without this payment feature. As such, Citi does not believe the residential mortgage loans with this payment feature represent substantially higher risk in the portfolio.
Citi does not offer option-adjustable rate mortgages/negative-amortizing mortgage products to its customers. As a result, option-adjustable rate mortgages/negative-amortizing mortgages represent an insignificant portion of total balances, since they were acquired only incidentally as part of prior portfolio and business purchases.



80


North America Consumer Mortgage Quarterly Credit Trends—Net Credit Losses and Delinquencies—Residential First Mortgages
The following charts detail the quarterly credit trends for Citigroup’s residential first mortgage portfolio in North America.
North America Residential First Mortgage - EOP Loans
In billions of dollars
North America Residential First Mortgage - Net Credit Losses
In millions of dollars
Note: CMI refers to loans originated by CitiMortgage. CFNA refers to loans originated by CitiFinancial. Totals may not sum due to rounding.
(1)4Q’13 includes $6 million of charge-offs related to Citi’s fulfillmentthe transfer of its obligations under the nationalapproximately $8 billion of mortgage and independent foreclosure review settlements.
(2)4Q’13 excludes approximately $84 million of net credit losses consisting of (i) approximately $69 million of charge-offs related to a change in the charge-off policy for mortgages originated in CitiFinancial to more closely align to policies used in the CitiMortgage business, and (ii) approximately $15 million of charge-offs related to a change in the estimate of net credit losses related to collateral dependent loans to borrowers who have gone through Chapter 7 bankruptcy.Loans HFS (included within Other assets).
(3)2Q’14 excludes a recoveryThe allowance for loan losses includes the allowance for Citi’s credit card portfolios and purchased distressed loans, while the non-accrual loans exclude credit card balances (with the exception of approximately $58 million in CitiMortgage.
(4)Increase in 4Q’14 CitiFinancial residential first mortgage loss driven by portfolio seasoningcertain international portfolios) and loss mitigation activities.
(5)Year-over-year change in the S&P/Case-Shiller U.S. National Home Price Index.
(6)Year-over-year changepurchased distressed loans as of October 2014.these continue to accrue interest until charge-off.

North America Residential First Mortgage Delinquencies-Citi Holdings
In billions of dollars
Note: Days past due excludes (i) U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies because the potential loss predominantly resides with the U.S. agencies, and (ii) loans recorded at fair value. Totals may not sum due to rounding.

Credit performance (net credit losses and delinquencies) of the residential first mortgage portfolio continued to improve during 2014, although the home price index (HPI), which varies from market to market (as indicated in the table below), moderated throughout 2014 compared to the prior year. The decline in net credit losses during 2014 was driven by continued improvement in credit, HPI, the economic environment and continued management actions, primarily asset sales and loans transferred to held-for-sale and, to a lesser extent, loan modifications. CitiFinancial’s net credit losses improved more modestly in 2014 compared to CitiMortgage, including an increase in net credit losses in the fourth quarter of 2014 due to portfolio seasoning and loss mitigation activities.
Residential first mortgages originated by CitiFinancial have a higher net credit loss rate (4.6%, compared to 0.4% for CitiMortgage as of the fourth quarter of 2014), as CitiFinancial borrowers tend to have higher LTVs and lower FICOs than CitiMortgage borrowers. CitiFinancial’s residential first mortgages also have a significantly different geographic distribution, with different mortgage market conditions that tend to lag the overall improvements in HPI.
During 2014, continued management actions, primarily assets sales and loans transferred to held-for-sale and, to a lesser extent, loan modifications, were the primary drivers of the overall improvement in delinquencies in Citi Holdings’ residential first mortgage portfolio. Citi sold or transferred to held-for-sale approximately $1.2 billion of delinquent residential first mortgages in 2014 (compared to $2.1 billion in 2013), including $0.6 billion during the fourth quarter of 2014. Credit performance from quarter to quarter could continue to be impacted by the volume of delinquent loan sales (or lack of significant sales) and HPI, as well as increases in interest rates.




81


North America Residential First Mortgages—State Delinquency Trends
The following tables set forth, for total Citigroup, the six states and/or regions with the highest concentration of Citi’s residential first mortgages as of December 31, 2014 and December 31, 2013.

In billions of dollarsDecember 31, 2014December 31, 2013
State (1)
ENR (2)
ENR
Distribution
90+DPD
%
%
LTV >
100% (3)
Refreshed
FICO
ENR (2)
ENR
Distribution
90+DPD
%
%
LTV >
100% (3)
Refreshed
FICO
CA$18.9
31%0.6%2%745
$19.2
30%1.0%4%738
NY/NJ/CT(4)(5)
12.2
20
1.9
2
740
11.7
18
2.6
3
733
FL(4)
2.8
5
3.0
14
700
3.1
5
4.4
25
688
IN/OH/MI(4)
2.5
4
2.9
10
667
3.1
5
3.9
21
659
IL(4)
2.5
4
2.5
9
713
2.7
4
3.8
16
703
AZ/NV1.3
2
1.9
18
715
1.5
2
2.7
25
710
Other19.9
33
3.4
5
679
23.1
36
4.1
8
671
Total$60.1
100%2.1%4%715
$64.4
100%2.9%8%705

Note: Totals may not sum due to rounding.
(1)Certain of the states are included as part of a region based on Citi’s view of similar HPI within the region.
(2)Ending net receivables. Excludes loans in Canada and Puerto Rico, loans guaranteed by U.S. government agencies, loans recorded at fair value and loans subject to LTSCs. Excludes balances for which FICO or LTV data are unavailable.
(3)LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.
(4)New York, New Jersey, Connecticut, Indiana, Ohio, Florida and Illinois are judicial states.
(5)Increase in ENR year-over-year was due to originations in Citicorp.
The significant improvement in Citigroup’s residential first mortgages LTV percentages at year-end 2014 compared to the prior year end was driven by HPI improvements across substantially all metropolitan statistical areas, thereby increasing values used in the determination of LTV. Additionally, delinquent and re-performing asset sales of high LTV loans and, to a lesser extent, modification programs involving principal forgiveness during 2014 further reduced the amount of loans with greater than 100% LTV. While 90+ days past due delinquency rates have improved for the states and regions above, the continued longer foreclosure timelines (see discussion under “Foreclosures” below) could result in less improvement in these rates in the future, especially in judicial states (i.e., states that require foreclosures to be processed via court approval).
Foreclosures
A substantial majority of Citi’s foreclosure inventory consists of residential first mortgages. At December 31, 2014, Citi’s foreclosure inventory included approximately $0.6 billion, or 0.9%, of residential first mortgages, compared to $0.8 billion, or 1.2%, at December 31, 2013 (based on the dollar amount of ending net receivables of loans in foreclosure inventory, excluding loans that are guaranteed by U.S. government agencies and loans subject to LTSCs). This decline in 2014 was largely attributed to CitiMortgage loans sold or transferred to held-for-sale.
Citi’s foreclosure inventory continues to be impacted by the ongoing extensive state and regulatory requirements related to the foreclosure process, which continue to result in longer foreclosure timelines. Citi’s average timeframes to move a loan out of foreclosure are two to three times longer than historical norms, and continue to be even more pronounced in judicial states, where Citi has a higher concentration of residential first mortgages in foreclosure. As
of December 31, 2014, approximately 21% of Citi’s total foreclosure inventory was active foreclosure units in process for over two years, compared to 29% as of December 31, 2013, with the decline primarily attributed to CitiMortgage loans sold or transferred to held-for-sale.

North America Consumer Mortgage Quarterly Credit Trends—Net Credit Losses and Delinquencies—Home Equity Loans
Citi’s home equity loan portfolio consists of both fixed-rate home equity loans and loans extended under home equity lines of credit. Fixed-rate home equity loans are fully amortizing. Home equity lines of credit allow for amounts to be drawn for a period of time with the payment of interest only and then, at the end of the draw period, the then-outstanding amount is converted to an amortizing loan (the interest-only payment feature during the revolving period is standard for this product across the industry). After conversion, the home equity loans typically have a 20-year amortization period.



82


Revolving HELOCs
At December 31, 2014, Citi’s home equity loan portfolio of $28.1 billion included approximately $16.7 billion of home equity lines of credit (Revolving HELOCs) that are still within their revolving period and have not commenced amortization, or “reset,” compared to $18.9 billion at December 31, 2013. The following chart indicates the FICO and combined loan-to-value (CLTV) characteristics of Citi’s Revolving HELOCs portfolio and the year in which they reset:

North America Home Equity Lines of Credit Amortization – Citigroup
Total ENR by Reset Year
In billions of dollars as of December 31, 2014
Note: Totals may not sum due to rounding.

Approximately 10% of Citi’s total Revolving HELOCs portfolio had commenced amortization as of December 31, 2014. Of the remaining Revolving HELOCs portfolio, approximately 78% will commence amortization during 2015–2017. Before commencing amortization, Revolving HELOC borrowers are required to pay only interest on their loans. Upon amortization, these borrowers will be required to pay both interest, usually at a variable rate, and principal that amortizes typically over 20 years, rather than the typical 30-year amortization. As a result, Citi’s customers with Revolving HELOCs that reset could experience “payment shock” due to the higher required payments on the loans.
While it is not certain what, if any, impact this payment shock could have on Citi’s delinquency rates and net credit losses, Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during 2015–2017 could increase on average by approximately $360, or 170%. Increases in interest rates could further increase these payments given the variable nature of the interest rates on these loans post-reset. Of the Revolving HELOCs that will commence amortization during 2015–2017, approximately $1.6 billion, or 12%, of the loans have a CLTV greater than 100% as of December 31, 2014. Borrowers’ high loan-to-value positions, as well as the cost and availability of refinancing options, could limit borrowers’ ability to refinance their Revolving HELOCs as these loans begin to reset.
Based on the limited number of Revolving HELOCs that have begun amortization as of December 31, 2014, approximately 6.4% of the amortizing home equity loans were 30+ days past due, compared to 2.7% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 6.0% and 2.8%, respectively, as of December 31, 2013. However, these resets have generally
occurred during a period of historically low interest rates, which Citi believes has likely reduced the overall “payment shock” to the borrower.
Citi continues to monitor this reset risk closely and will continue to consider any potential impact in determining its allowance for loan loss reserves. In addition, management continues to review and take additional actions to offset potential reset risk, such as establishment of a borrower outreach program to provide reset risk education, establishment of a reset risk mitigation unit and proactively contacting high-risk borrowers. For further information on reset risk, see “Risk Factors—Credit and Market Risks” above.

Net Credit Losses and Delinquencies
The following charts detail the quarterly credit trends for Citi’s home equity loan portfolio in North America.
North America Home Equity - EOP Loans
In billions of dollars
North America Home Equity - Net Credit Losses
In millions of dollars
Note: Totals may not sum due to rounding.
(1)4Q’13 includes $15 million of charge-offs related to Citi’s fulfillment of its obligations under the national mortgage and independent foreclosure review settlements.
(2)4Q’13 excludes approximately $100 million of net credit losses consisting of (i) approximately $64 million for the acceleration of accounting losses associated with modified home equity loans determined to be collateral dependent, (ii) approximately $22 million of charge-offs related to a change in the charge-off policy for mortgages originated in CitiFinancial to more closely align to policies used in the CitiMortgage business, and (iii) approximately $14 million of charge-offs related to a change in the estimate of net credit losses related to collateral dependent loans to borrowers that have gone through Chapter 7 bankruptcy.



83



North America Home Equity Loan Delinquencies - Citi Holdings
In billions of dollars
Note: Totals may not sum due to rounding.

As evidenced by the tables above, home equity loan net credit losses and delinquencies improved during 2014, albeit at a slower pace than the prior year, primarily due to continued modifications and liquidations. Given the limited market in which to sell delinquent home equity loans, as well as the relatively smaller number of home equity loan modifications and modification programs (see Note 15 to the Consolidated Financial Statements), Citi’s ability to reduce delinquencies or net credit losses in its home equity loan portfolio in Citi Holdings, whether pursuant to deterioration of the underlying credit performance of these loans, the reset of the Revolving HELOCs (as discussed above) or otherwise, is more limited as compared to residential first mortgages.


North America Home Equity Loans—State Delinquency Trends
The following tables set forth, for total Citigroup, the six states and/or regions with the highest concentration of Citi’s home equity loans as of December 31, 2014 and December 31, 2013.
In billions of dollarsDecember 31, 2014December 31, 2013
State (1)
ENR (2)
ENR
Distribution
90+DPD
%
%
CLTV >
100% (3)
Refreshed
FICO
ENR (2)
ENR
Distribution
90+DPD
%
%
CLTV >
100% (3)
Refreshed
FICO
CA$7.4
28%1.5%10%729
$8.2
28%1.6%17%726
NY/NJ/CT(4)
6.7
25
2.4
11
721
7.2
24
2.3
12
718
FL(4)
1.8
7
2.2
36
707
2.1
7
2.9
44
704
IL(4)
1.1
4
1.4
35
716
1.2
4
1.6
42
713
IN/OH/MI(4)
0.8
3
1.7
31
688
1.0
3
1.6
47
686
AZ/NV0.6
2
2.2
46
716
0.7
2
2.1
53
713
Other8.1
30
1.7
19
703
9.5
32
1.7
26
699
Total$26.6
100%1.8%17%715
$29.9
100%1.9%23%712

Note: Totals may not sum due to rounding.
(1)Certain of the states are included as part of a region based on Citi’s view of similar HPI within the region.
(2)Ending net receivables. Excludes loans in Canada and Puerto Rico and loans subject to LTSCs. Excludes balances for which FICO or LTV data are unavailable.
(3)Represents combined loan-to-value (CLTV) for both residential first mortgages and home equity loans. CLTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.
(4)New York, New Jersey, Connecticut, Indiana, Ohio, Florida and Illinois are judicial states.    

Citigroup Residential Mortgages—Representations and Warranties Repurchase Reserve
In connection with Citi’s sales of residential mortgage loans to the GSEs and private investors, as well as through private-label residential mortgage securitizations, Citi typically makes representations and warranties that the loans sold meet certain requirements, such as the loan’s compliance with any applicable loan criteria established by the buyer and the validity of the lien securing the loan. The specific representations and warranties made by Citi in any particular transaction depend on, among other things, the nature of the transaction and the requirements of the investor (e.g., whole loan sale to the GSEs versus loans sold through securitization transactions), as well as the credit quality of the loan (e.g., prime, Alt-A or subprime).



These sales expose Citi to potential claims for alleged breaches of its representations and warranties. In the event of such a breach, Citi could be required either to repurchase the mortgage loans with the identified defects (generally at unpaid principal balance plus accrued interest) or to indemnify (“make whole”) the investors for their losses on these loans.
Citi has recorded a repurchase reserve for purposes of its potential representation and warranty repurchase liability resulting from its whole loan sales to the GSEs and, to a lesser extent, private investors, which are made through Citi’s consumer business in CitiMortgage. The repurchase reserve was approximately $224 million and $341 million as of December 31, 2014 and December 31, 2013, respectively.
For additional information, see Notes 27 and 28 to the Consolidated Financial Statements.


84


CONSUMER LOAN DETAILS

Consumer Loan Delinquency Amounts and Ratios
Total
loans(1)
90+ days past due(2)
30-89 days past due(2)
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
December 31,December 31,December 31,December 31,December 31,December 31,
In millions of dollars, except EOP loan amounts in billions20142014201320122014201320122017201720162015201720162015
Citicorp(3)(4)
    
Global Consumer Banking(3)(4)
    
Total$297.2
$2,664
$2,973
$3,081
$2,820
$3,220
$3,509
$310.8
$2,478
$2,293
$2,119
$2,762
$2,540
$2,418
Ratio 0.90%0.99%1.05%0.95%1.07%1.19% 0.80%0.79%0.77%0.89%0.87%0.88%
Retail banking         
Total$151.7
$840
$952
$879
$902
$1,049
$1,112
$145.9
$515
$474
$523
$822
$726
$739
Ratio 0.56%0.63%0.61%0.60%0.70%0.77% 0.35%0.35%0.38%0.57%0.54%0.53%
North America46.8
225
257
280
212
205
223
56.0
199
181
165
306
214
221
Ratio 0.49%0.60%0.68%0.46%0.48%0.54% 0.36%0.33%0.32%0.55%0.39%0.43%
EMEA5.4
19
34
48
42
51
77
Ratio 0.35%0.61%0.94%0.78%0.91%1.51%
Latin America27.7
410
470
323
315
395
353
19.9
130
136
185
195
185
184
Ratio 1.48%1.55%1.15%1.14%1.30%1.26% 0.65%0.76%0.94%0.98%1.03%0.93%
Asia71.8
186
191
228
333
398
459
Asia(5)
70.0
186
157
173
321
327
334
Ratio 0.26%0.27%0.33%0.46%0.56%0.66% 0.27%0.25%0.25%0.46%0.52%0.49%
Cards         
Total$145.5
$1,824
$2,021
$2,202
$1,918
$2,171
$2,397
$164.9
$1,963
$1,819
$1,596
$1,940
$1,814
$1,679
Ratio 1.25%1.34%1.47%1.32%1.44%1.60% 1.19%1.17%1.17%1.18%1.17%1.23%
North America—Citi-branded67.5
593
681
786
568
661
771
90.5
768
748
538
698
688
523
Ratio 0.88%0.97%1.08%0.84%0.94%1.06% 0.85%0.87%0.80%0.77%0.80%0.78%
North America—Citi retail services46.5
678
771
721
748
830
789
49.2
845
761
705
830
777
773
Ratio 1.46%1.67%1.87%1.61%1.79%2.04% 1.72%1.61%1.53%1.69%1.64%1.68%
EMEA2.2
30
32
48
34
42
63
Ratio 1.36%1.33%1.66%1.55%1.75%2.17%
Latin America10.9
345
349
413
329
364
432
5.4
151
130
173
153
125
157
Ratio 3.17%2.88%2.79%3.02%3.01%2.92% 2.80%2.71%3.20%2.83%2.60%2.91%
Asia18.4
178
188
234
239
274
342
Asia(5)
19.8
199
180
180
259
224
226
Ratio 0.97%0.98%1.15%1.30%1.43%1.68% 1.01%1.03%1.02%1.31%1.28%1.28%
Citi Holdings(5)(6)
     
Corporate/Other—Consumer(6)(7)
    
Total$72.6
$1,975
$2,756
$4,611
$1,699
$2,724
$4,228
$22.9
$557
$834
$927
$542
$735
$1,036
Ratio 2.88%3.28%4.42%2.48%3.24%4.05% 2.57%2.62%1.99%2.50%2.31%2.23%
International1.8
12
162
345
36
200
393
1.6
43
94
157
40
49
179
Ratio 0.67%2.75%4.54%2.00%3.39%5.17% 2.69%3.92%1.91%2.50%2.04%2.18%
North America70.8
1,963
2,594
4,266
1,663
2,524
3,835
21.3
514
740
770
502
686
857
Ratio 2.94%3.33%4.41%2.49%3.24%3.96% 2.56%2.52%2.01%2.50%2.33%2.24%
Other (7)
0.2
    
Total Citigroup$370.0
$4,639
$5,729
$7,692
$4,519
$5,944
$7,737
$333.7
$3,035
$3,127
$3,046
$3,304
$3,275
$3,454
Ratio 1.27%1.49%1.93%1.24%1.54%1.94% 0.91%0.97%0.94%1.00%1.01%1.07%
(1)TotalEnd-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 end-of-period (EOP)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 and 30–89 days past due and related ratios forCiticorp GCB North America North America retail banking exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $562$298 million ($1.10.7 billion), $690$327 million ($1.20.7 billion) and $742$491 million ($1.41.1 billion) at December 31, 2014, 20132017, 2016 and 2012,2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $88 million, $70 million and $87 million at December 31, 2017, 2016 and 2015, respectively.

85


respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $122 million, $141 million and$122 million at December 31, 2014, 2013 and 2012, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)
The 90+ days and 30–89 days past due and related ratios for Citi HoldingsCorporate/Other—Consumer North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due (and EOP loans) for each period were $2.2$0.6 billion ($4.01.1 billion), $3.3$0.9 billion ($6.41.4 billion) and $4.0$1.5 billion ($7.12.2 billion) at December 31, 2014, 20132017, 2016 and 2012,2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.5$0.1 billion, $1.1$0.2 billion and $1.2$0.2 billion at December 31, 2014, 20132017, 2016 and 2012,2015, respectively.
(6)(7)
The December 31, 2014, 20132017, 2016 and 20122015, loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $14$4 million, $0.9 billion$7 million and $1.2 billion,$11 million, respectively, of loans that are carried at fair value.
(7)
Represents loans classified as Consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics.


Consumer Loan Net Credit Losses and Ratios
Average
loans(1)
Net credit losses(2)
Average
loans(1)
Net credit losses(2)(3)(4)
In millions of dollars, except average loan amounts in billions20142014201320122017201720162015
Citicorp  
Global Consumer Banking  
Total$297.8
$7,051
$7,211
$8,107
$296.8
$6,562
$5,610
$5,752
Ratio 2.37%2.51%2.87% 2.21%2.01%2.12%
Retail banking  
Total$155.6
$1,429
$1,343
$1,258
$142.7
$1,023
$1,007
$1,058
Ratio 0.92%0.91%0.89% 0.72%0.72%0.75%
North America46.4
140
184
247
55.7
$194
$205
$150
Ratio 0.30%0.43%0.60% 0.35%0.38%0.30%
EMEA5.7
20
26
46
Ratio 0.35%0.48%0.98%
Latin America29.8
948
844
648
20.0
$584
$541
$589
Ratio 3.18%2.86%2.49% 2.92%2.85%2.89%
Asia73.7
321
289
317
Asia(5)
67.0
$245
$261
$319
Ratio 0.44%0.41%0.46% 0.37%0.39%0.45%
Cards  
Total$142.2
$5,622
$5,868
$6,849
$154.1
$5,539
$4,603
$4,694
Ratio 3.95%4.18%4.82% 3.60%3.30%3.59%
North America—Citi-branded66.4
2,197
2,555
3,187
84.6
$2,447
$1,909
$1,892
Ratio 3.31%3.72%4.43% 2.89%2.61%2.96%
North America—Retail services43.2
1,866
1,895
2,322
45.6
$2,155
$1,805
$1,709
Ratio 4.32%4.92%6.29% 4.73%4.12%3.94%
EMEA2.4
41
42
59
Ratio 1.71%1.62%2.11%
Latin America11.6
1,060
883
757
5.3
$533
$499
$691
Ratio 9.14%7.55%7.07% 10.06%9.78%11.71%
Asia18.6
458
493
524
Asia(5)
18.6
$404
$390
$402
Ratio 2.46%2.59%2.65% 2.17%2.24%2.28%
Citi Holdings 
Corporate/Other—Consumer(3)(4)
 
Total$82.9
$1,626
$3,045
$5,873
$27.2
$156
$438
$1,306
Ratio 1.96%3.02%4.72% 0.57%1.06%1.96%
International4.0
68
217
536
1.9
$82
$269
$443
Ratio 1.70%3.39%5.70% 4.32%5.17%4.43%
North America78.9
1,558
2,828
5,337
25.3
$74
$169
$863
Ratio 1.97%2.99%4.64% 0.29%0.47%1.52%
Other (3)
—
8
6
28
Other(6)
—
$(21)$—
$—
Total Citigroup$380.7
$8,685
$10,262
$14,008
$324.0
$6,697
$6,048
$7,058
Ratio 2.28%2.64%3.44% 2.07%1.88%2.08%
(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)
Represents NCLs on loansAs a result of Citigroup's entry into agreements in October 2016 to sell its Argentina and Brazil consumer banking businesses, these businesses were classified as Consumer loansHFS at the end of the fourth quarter 2016. Loans HFS are excluded from this table as they are recorded in on the Consolidated Balance Sheet thatOther assets. In addition, as a result of HFS accounting treatment, approximately $128 million and $42 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during 2017 and 2016, respectively. Accordingly, these NCLs are not included in this table. The sales of the Citi HoldingsArgentina and Brazil consumer credit metrics.banking businesses were completed in the first and fourth quarters of 2017, respectively.
(4)
As a result of the entry into an agreement to sell OneMain Financial (OneMain), OneMain was classified as HFS beginning March 31, 2015. Loans HFS are excluded from this table as they are recorded in Other assets. In addition, as a result of HFS accounting treatment, approximately $350 million of NCLs were recorded as a reduction in revenue (Other revenue) during 2015. Accordingly, these NCLs are not included in this table. The OneMain sale was completed on November 15, 2015.
(5)
Asia includes average loans and NCLs in certain EMEA countries for all periods presented.
(6)2017 NCLs represent a recovery related to legacy assets.



86


Loan Maturities and Fixed/Variable Pricing
U.S. Consumer Mortgages
In millions of dollars at year end 2014
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than 5
years
Total
U.S. Consumer mortgage loan portfolio    
Residential first mortgages$116
$1,260
$68,199
$69,575
Home equity loans5,262
12,708
8,988
26,958
Total$5,378
$13,968
$77,187
$96,533
Fixed/variable pricing of U.S. Consumer mortgage loans with maturities due after one year    
Loans at fixed interest rates $1,463
$56,023
 
Loans at floating or adjustable interest rates 12,505
21,164
 
Total $13,968
$77,187
 
In millions of dollars at year-end 2017
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than 5
years
Total
U.S. consumer mortgage loan portfolio    
Residential first mortgages$96
$543
$50,248
$50,887
Home equity loans15
856
13,709
14,580
Total$111
$1,399
$63,957
$65,467
Fixed/variable pricing of U.S. consumer mortgage loans with maturities due after one year    
Loans at fixed interest rates $1,187
$39,084
 
Loans at floating or adjustable interest rates 212
24,873
 
Total $1,399
$63,957
 







87


CORPORATE CREDIT DETAILSCorporate Credit
Consistent with its overall strategy, Citi’s corporate clients are typically large, multinational corporations that value Citi’s global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory. For additional information on corporate credit risk management, see “Country and Cross-Border Risk—Emerging Markets Exposures” below.


Corporate Credit Portfolio
The following table sets forth Citi’s corporate credit portfolio within ICG(excluding private bank in ICG)bank), before consideration of collateral or hedges, by remaining tenor at December 31, 2014 and December 31, 2013. The vast majority of Citi’s corporate credit portfolio resides in for the periods indicated:ICG; as of December 31, 2014, less than 1% of Citi’s corporate credit exposure resided in Citi Holdings.


At December 31, 2014At December 31, 2013At December 31, 2017At September 30, 2017At December 31, 2016
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
Exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
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)
$95
$85
$33
$213
$108
$80
$29
$217
$127
$96
$22
$245
$124
$96
$23
$243
$109
$94
$22
$225
Unfunded lending commitments (off-balance sheet)(2)
92
207
33
332
87
204
21
312
111
222
20
353
104
219
20
343
103
218
23
344
Total exposure$187
$292
$66
$545
$195
$284
$50
$529
$238
$318
$42
$598
$228
$315
$43
$586
$212
$312
$45
$569

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

Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage by region based on Citi’s internal management geography:
December 31,
2014		December 31,
2013		December 31,
2017		September 30,
2017		December 31,
2016
North America55%51%54%55%55%
EMEA25
27
27
26
26
Asia13
14
12
12
12
Latin America7
8
7
7
7
Total100%100%100%100%100%

The maintenance of accurate and consistent risk ratings across the corporate credit portfolio facilitates the comparison of credit exposure across all lines of business, geographic regions and products. Counterparty risk ratings reflect an estimated probability of default for a counterparty and are derived primarily through the use of 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 climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an



obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio by facility risk rating at December 31, 2014 and December 31, 2013, as a percentage of the total corporate credit portfolio:
Total ExposureTotal exposure
December 31,
2014		December 31,
2013		December 31,
2017		September 30,
2017		December 31,
2016
AAA/AA/A49%52%49%49%48%
BBB33
30
34
34
34
BB/B16
16
16
16
16
CCC or below1
2
1
1
2
Unrated1
—
Total100%100%100%100%100%

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


88


Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
Total ExposureTotal exposure
December 31,
2014		December 31,
2013		December 31,
2017		September 30,
2017		December 31,
2016
Transportation and industrial21%22%22%22%22%
Consumer retail and health17
15
16
16
16
Power, chemicals, commodities and metals and mining10
10
Energy (1)
10
10
Technology, media and telecom9
10
12
11
12
Banks/broker-dealers8
10
Power, chemicals,
metals and mining
10
10
11
Energy and commodities8
8
9
Banks/broker-dealers/finance companies

8
8
6
Real estate6
5
8
7
7
Insurance and special purpose entities

5
5
5
Public sector5
6
5
5
5
Insurance and special purpose entities5
5
Hedge funds5
4
4
4
5
Other industries4
3
2
4
2
Total100%100%100%100%100%

Note: Total exposure includes direct outstandings and unfunded lending commitments.
(1) In addition to this exposure, Citi also 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, 2014, Citi’s total exposure to these energy-related entities was approximately $7 billion, of which approximately $4 billion consisted of direct outstanding funded loans.

There has recently been a focus on the energy sector, given the decline in oil prices during the latter part of 2014. As of December 31, 2014, Citi’s total corporate credit exposure to the energy and energy-related sector (see footnote 1 to the table above) was approximately $60 billion, with approximately $22 billion, or 3%, of Citi’s total outstanding loans consisting of direct outstanding funded loans. In addition, as of December 31, 2014, approximately 70% of Citi’s total corporate credit energy and energy-related exposure (based on the methodology described above) was in the United States, United Kingdom and Canada. Also as of year-end 2014, approximately 85% of Citi’s total energy and energy-related exposures were rated investment grade.
Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Principal transactionsOther revenue on the Consolidated Statement of Income.
AtAs of December 31, 20142017, September 30, 2017 and December 31, 2013, $27.62016, $16.3 billion, $22.2 billion and $27.2$29.5 billion, respectively, of the corporate credit portfolio was economically hedged. 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. At December 31, 2014 and December 31, 2013, theThe credit protection was economically hedging underlying corporate credit portfolio exposures with the following risk rating distribution:

Rating of Hedged Exposure
December 31,
2014		December 31,
2013		December 31,
2017		September 30,
2017		December 31,
2016
AAA/AA/A24%26%23%16%16%
BBB42
36
43
48
49
BB/B28
29
31
33
31
CCC or below6
9
3
3
4
Total100%100%100%100%100%

At December 31, 2014 and December 31, 2013, theThe credit protection was economically hedging underlying corporate credit portfolio exposures with the following industry distribution:

Industry of Hedged Exposure
December 31,
2014		December 31,
2013		December 31,
2017		September 30,
2017		December 31,
2016
Transportation and industrial30%31%27%27%29%
Power, chemicals, commodities and metals and mining15
15
Energy and commodities15
17
20
Power, chemicals, metals and mining14
12
12
Technology, media and telecom15
14
12
14
13
Public sector12
8
5
Consumer retail and health11
9
10
12
10
Energy10
8
Banks/broker-dealers7
8
6
5
4
Public Sector6
6
Insurance and special purpose entities4
7
2
2
3
Other industries2
2
2
3
4
Total100%100%100%100%100%
























89


For additional information on Citi’s corporate credit portfolio, including allowance for loan losses, coverage ratios and corporate non-accrual loans, see “Credit Risk—Loans Outstanding, Details of Credit Loss Experience, Allowance for Loan Losses and Non-Accrual Loans and Assets” above.

Loan Maturities and Fixed/Variable Pricing of Corporate
Loans
In millions of dollars at December 31, 2014
Due
within
1 year
Over 1 year
but within
5 years
Over 5
years
Total
Corporate loan portfolio maturities 
In millions of dollars at December 31, 2017
Due
within
1 year
Over 1
year
but
within
5 years
Over 5
years
Total
Corporate loans   
In U.S. offices    
Commercial and industrial loans$17,348
$11,403
$6,304
$35,055
$20,679
$18,474
$12,166
$51,319
Financial institutions17,950
11,799
6,523
36,272
15,767
14,085
9,276
39,128
Mortgage and real estate16,102
10,584
5,851
32,537
18,005
16,085
10,593
44,683
Installment, revolving credit and other13,369
11,945
7,867
33,181
Lease financing870
572
316
1,758
593
529
348
1,470
Installment, revolving
credit, other
14,455
9,500
5,252
29,207
In offices outside the U.S.93,124
36,387
10,879
140,390
106,000
49,295
9,065
164,360
Total corporate loans$159,849
$80,245
$35,125
$275,219
$174,413
$110,413
$49,315
$334,141
Fixed/variable pricing of Corporate loans with maturities due after one year (1)
 
Fixed/variable
pricing of corporate
loans with
maturities due after
one year(1)
 
Loans at fixed interest rates $9,960
$11,453
  $21,048
$15,276
 
Loans at floating or adjustable interest rates 70,283
23,673
  89,365
34,039
 
Total $80,243
$35,126
  $110,413
$49,315
 

(1)Based on contractual terms. Repricing characteristics may effectively
be modified from time to time using derivative contracts. See Note 22
to the Consolidated Financial Statements.


Additional Consumer and Corporate Credit Details

Loans Outstanding
 December 31,
In millions of dollars20172016201520142013
Consumer loans     
In U.S. offices     
Mortgage and real estate(1)
$65,467
$72,957
$80,281
$96,533
$108,453
Installment, revolving credit and other3,398
3,395
3,480
14,450
13,398
Cards139,006
132,654
112,800
112,982
115,651
Commercial and industrial7,840
7,159
6,407
5,895
6,592
Total$215,711
$216,165
$202,968
$229,860
$244,094
In offices outside the U.S.     
Mortgage and real estate(1)
$44,081
$42,803
$47,062
$54,462
$55,511
Installment, revolving credit and other26,556
24,887
29,480
31,128
33,182
Cards26,257
23,783
27,342
32,032
36,740
Commercial and industrial20,238
16,568
17,410
18,294
20,623
Lease financing76
81
362
546
710
Total

$117,208
$108,122
$121,656
$136,462
$146,766
Total consumer loans$332,919
$324,287
$324,624
$366,322
$390,860
Unearned income(2)
737
776
830
(679)(567)
Consumer loans, net of unearned income$333,656
$325,063
$325,454
$365,643
$390,293
Corporate loans     
In U.S. offices     
Commercial and industrial$51,319
$49,586
$46,011
$39,542
$36,993
Financial institutions39,128
35,517
36,425
36,324
25,130
Mortgage and real estate(1)
44,683
38,691
32,623
27,959
25,075
Installment, revolving credit and other33,181
34,501
33,423
29,246
34,467
Lease financing1,470
1,518
1,780
1,758
1,647
Total

$169,781
$159,813
$150,262
$134,829
$123,312
In offices outside the U.S.     
Commercial and industrial$93,750
$81,882
$82,689
$83,506
$86,147
Financial institutions35,273
26,886
28,704
33,269
38,372
Mortgage and real estate(1)
7,309
5,363
5,106
6,031
6,274
Installment, revolving credit and other22,638
19,965
20,853
19,259
18,714
Lease financing190
251
303
419
586
Governments and official institutions5,200
5,850
4,911
2,236
2,341
Total

$164,360
$140,197
$142,566
$144,720
$152,434
Total corporate loans$334,141
$300,010
$292,828
$279,549
$275,746
Unearned income(3)
(763)(704)(665)(557)(567)
Corporate loans, net of unearned income$333,378
$299,306
$292,163
$278,992
$275,179
Total loans—net of unearned income$667,034
$624,369
$617,617
$644,635
$665,472
Allowance for loan losses—on drawn exposures(12,355)(12,060)(12,626)(15,994)(19,648)
Total loans—net of unearned income 
and allowance for credit losses		$654,679
$612,309
$604,991
$628,641
$645,824
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
1.87%1.94%2.06%2.50%2.97%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
2.96%2.88%3.02%3.71%4.36%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.76%0.91%0.97%0.90%0.99%
(1)Loans secured primarily by real estate.
(2)Unearned income on consumer loans primarily represents unamortized origination fees, costs, premiums and discounts. Prior to December 31, 2015, these items were more than offset by prepaid interest on loans outstanding issued by OneMain Financial. The sale of OneMain Financial was completed on November 15, 2015.
(3)Unearned income on corporate loans primarily represents interest received in advance, but not yet earned on loans originated on a discount basis.
(4)All periods exclude loans that are carried at fair value.


Details of Credit Loss Experience
In millions of dollars20172016201520142013
Allowance for loan losses at beginning of period$12,060
$12,626
$15,994
$19,648
$25,455
Provision for loan losses     
Consumer$7,363
$6,321
$6,228
$6,699
$7,591
Corporate140
428
880
129
13
Total

$7,503
$6,749
$7,108
$6,828
$7,604
Gross credit losses     
Consumer     
In U.S. offices$5,736
$4,970
$5,500
$6,780
$8,402
In offices outside the U.S. 2,447
2,672
3,192
3,874
3,926
Corporate     
Commercial and industrial, and other     
In U.S. offices151
274
112
66
125
In offices outside the U.S. 331
256
182
310
216
Loans to financial institutions     
In U.S. offices3
5
—
2
2
In offices outside the U.S. 1
5
4
13
7
Mortgage and real estate     
In U.S offices2
34
8
8
62
In offices outside the U.S.2
6
43
55
29
Total

$8,673
$8,222
$9,041
$11,108
$12,769
Credit recoveries(1)
     
Consumer     
In U.S. offices$903
$980
$975
$1,122
$1,073
In offices outside the U.S. 583
614
659
853
1,008
Corporate     
Commercial and industrial, and other     
In U.S. offices20
23
22
64
62
In offices outside the U.S. 86
41
67
84
109
Loans to financial institutions     
In U.S. offices1
1
7
1
1
In offices outside the U.S. 1
1
2
11
20
Mortgage and real estate     
In U.S. offices2
1
7
—
31
In offices outside the U.S. 1
—
—
—
2
Total

$1,597
$1,661
$1,739
$2,135
$2,306
Net credit losses     
In U.S. offices$4,966
$4,278
$4,609
$5,669
$7,424
In offices outside the U.S. 2,110
2,283
2,693
3,304
3,039
Total$7,076
$6,561
$7,302
$8,973
$10,463
Other—net(2)(3)(4)(5)(6)(7)(8)
$(132)$(754)$(3,174)$(1,509)$(2,948)
Allowance for loan losses at end of period$12,355
$12,060
$12,626
$15,994
$19,648
Allowance for loan losses as a percentage of total loans(9)
1.87%1.94%2.06%2.50%2.97%
Allowance for unfunded lending commitments(8)(10)
$1,258
$1,418
$1,402
$1,063
$1,229
Total allowance for loan losses and unfunded lending commitments$13,613
$13,478
$14,028
$17,057
$20,877
Net consumer credit losses$6,697
$6,048
$7,058
$8,679
$10,247
As a percentage of average consumer loans2.07%1.88%2.08%2.31%2.63%
Net corporate credit losses$379
$513
$244
$294
$216

As a percentage of average corporate loans0.12%0.17%0.08%0.10%0.08%
Allowance by type(11)
     
Consumer$9,869
$9,358
$9,835
$13,547
$16,974
Corporate2,486
2,702
2,791
2,447
2,674
Total Citigroup$12,355
$12,060
$12,626
$15,994
$19,648
(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from timeacquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)2017 includes reductions of approximately $261 million related to time using derivative contracts.the sale or transfer to HFS of various loan portfolios, which includes approximately $106 million related to the transfer of various real estate loan portfolios to HFS. Additionally, 2017 includes an increase of approximately $115 million related to FX translation.
(4)2016 includes reductions of approximately $574 million related to the sale or transfer to HFS of various loan portfolios, which includes approximately $106 million related to the transfer of various real estate loan portfolios to HFS. Additionally, 2016 includes a reduction of approximately $199 million related to FX translation.
(5)2015 includes reductions of approximately $2.4 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $1.5 billion related to the transfer of various real estate loan portfolios to HFS. Additionally, 2015 includes a reduction of approximately $474 million related to FX translation.
(6)
2014 includes reductions of approximately $1.1 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $411 million related to the transfer of various real estate loan portfolios to HFS, approximately $204 million related to the transfer to HFS of a business in Greece, approximately $177 million related to the transfer to HFS of a business in Spain, approximately $29 million related to the transfer to HFS of a business in Honduras, and approximately $108 million related to the transfer to HFS of various EMEA loan portfolios. Additionally, 2014 includes a reduction of approximately $463 million related to FX translation.
(7)2013 includes reductions of approximately $2.4 billion related to the sale or transfer to HFS of various loan portfolios, which includes approximately $360 million related to the sale of Credicard and approximately $255 million related to a transfer to HFS of a loan portfolio in Greece, approximately $230 million related to a non-provision transfer of reserves associated with deferred interest to other assets which includes deferred interest and approximately $220 million related to FX translation.
(8)
2015 includes a reclassification of $271 million of Allowance for loan losses to allowance for unfunded lending commitments, included in the Other line item. This reclassification reflects the re-attribution of $271 million in allowance for credit losses between the funded and unfunded portions of the corporate credit portfolios and does not reflect a change in the underlying credit performance of these portfolios.
(9)December 31, 2017, December 31, 2016, December 31, 2015, December 31, 2014 and December 31, 2013 exclude $4.4 billion, $3.5 billion, $5.0 billion, $5.9 billion and $5.0 billion, respectively, of loans which are carried at fair value.
(10)
Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(11)Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, as well as probable losses related to large individually evaluated impaired loans and troubled debt restructurings. See “Significant Accounting Policies and Significant Estimates” and Note 231 to the Consolidated Financial Statements below. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.

Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
 December 31, 2017
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$6.1
$139.7
4.4%
North America mortgages(3)
0.7
64.2
1.1
North America other
0.3
13.0
2.3
International cards1.3
25.7
5.1
International other(4)
1.5
91.1
1.6
Total consumer$9.9
$333.7
3.0%
Total corporate2.5
333.3
0.8
Total Citigroup$12.4
$667.0
1.9%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $6.1 billion of loan loss reserves represented approximately 16 months of coincident net credit loss coverage.
(3)
Of the $0.7 billion, approximately $0.6 billion was allocated to North America mortgages in Corporate/Other. Of the $0.7 billion, approximately $0.2 billion and $0.5 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $64.2 billion in loans, approximately $60.4 billion and $3.7 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.

 December 31, 2016
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$5.2
$133.3
3.9%
North America mortgages(3)
1.1
72.6
1.5
North America other
0.5
13.6
3.7
International cards1.2
23.1
5.2
International other(4)
1.4
82.5
1.7
Total consumer$9.4
$325.1
2.9%
Total corporate2.7
299.3
0.9
Total Citigroup$12.1
$624.4
1.9%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $5.2 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
(3)
Of the $1.1 billion, approximately $1.0 billion was allocated to North America mortgages in Corporate/Other. Of the $1.1 billion, approximately $0.4 billion and $0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $72.6 billion in loans, approximately $67.7 billion and $4.8 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 15 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.


Non-Accrual Loans and Assets and Renegotiated Loans
There is a certain amount of overlap among non-accrual loans and assets and renegotiated loans. The following summary provides a general description of each category:

Non-Accrual Loans and Assets:
Corporate and consumer (including commercial banking) non-accrual status is based on the determination that payment of interest or principal is doubtful.
A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Payments received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 74%, 69% and 64% of Citi’s corporate non-accrual loans were performing at December 31, 2017, September 30, 2017 and December 31, 2016, respectively.
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
Consumer mortgage loans, other than Federal Housing Administration (FHA) insured loans, are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy. In addition, home equity loans are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.
North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days of contractual delinquency.
Renegotiated Loans:
Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).
Includes both accrual and non-accrual TDRs.


Non-Accrual Loans
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.
 December 31,
In millions of dollars20172016201520142013
Corporate non-accrual loans(1)(2)
     
North America$784
$984
$818
$321
$735
EMEA849
904
347
285
812
Latin America280
379
303
417
132
Asia29
154
128
179
279
Total corporate non-accrual loans$1,942
$2,421
$1,596
$1,202
$1,958
Consumer non-accrual loans(1)(3)
     
North America$1,650
$2,160
$2,515
$4,411
$5,239
Latin America756
711
874
1,188
1,420
Asia(4)
284
287
269
306
386
  Total consumer non-accrual loans$2,690
$3,158
$3,658
$5,905
$7,045
Total non-accrual loans          $4,632
$5,579
$5,254
$7,107
$9,003
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $167 million at December 31, 2017, $187 million at December 31, 2016, $250 million at December 31, 2015, $421 million at December 31, 2014 and $703 million at December 31, 2013.
(2)
The increase in corporate non-accrual loans from December 31, 2015 to December 31, 2016 was primarily related to Citi’s North America and EMEA energy and energy-related corporate credit exposure during 2016.
(3) 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans HFS (included within Other assets).
(4) Asia includes balances in certain EMEA countries for all periods presented.

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

 Year endedYear ended
 December 31, 2017December 31, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,421
$3,158
$5,579
$1,596
$3,658
$5,254
Additions1,347
3,508
4,855
2,713
4,460
7,173
Sales and transfers to held-for-sale(134)(379)(513)(82)(738)(820)
Returned to performing(47)(634)(681)(150)(606)(756)
Paydowns/settlements(1,400)(1,163)(2,563)(1,198)(1,648)(2,846)
Charge-offs(144)(1,869)(2,013)(386)(1,855)(2,241)
Other(101)69
(32)(72)(113)(185)
Ending balance$1,942
$2,690
$4,632
$2,421
$3,158
$5,579


Non-Accrual Assets
The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
 December 31,
In millions of dollars20172016201520142013
OREO(1)
     
North America$89
$161
$166
$196
$304
EMEA2
—
1
7
59
Latin America35
18
38
47
47
Asia18
7
4
10
6
Total OREO$144
$186
$209
$260
$416
Non-accrual assets     
Corporate non-accrual loans$1,942
$2,421
$1,596
$1,202
$1,958
Consumer non-accrual loans(2)
2,690
3,158
3,658
5,905
7,045
Non-accrual loans (NAL)$4,632
$5,579
$5,254
$7,107
$9,003
OREO$144
$186
$209
$260
$416
Non-accrual assets (NAA)$4,776
$5,765
$5,463
$7,367
$9,419
NAL as a percentage of total loans0.69%0.89%0.85%1.10%1.35%
NAA as a percentage of total assets0.26
0.32
0.32
0.40
0.50
Allowance for loan losses as a percentage of NAL(3)
267
216
240
225
218

(1)Reflects a decrease of $130 million related to the adoption of ASU 2014-14 in the fourth quarter of 2014, which requires certain government guaranteed mortgage loans to be recognized as separate other receivables upon foreclosure. Prior periods have not been restated.
(2)
2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans HFS (included within Other assets).
(3)The allowance for loan losses includes the allowance for Citi’s credit card portfolios and purchased distressed loans, while the non-accrual loans exclude credit card balances (with the exception of certain international portfolios) and purchased distressed loans as these continue to accrue interest until charge-off.



Renegotiated Loans
The following table presents Citi’s loans modified in TDRs:
In millions of dollarsDec. 31, 2017Dec. 31, 2016
Corporate renegotiated loans(1)
  
In U.S. offices  
Commercial and industrial(2)
$225
$89
Mortgage and real estate90
84
Financial institutions33
9
Other45
228
 $393
$410
In offices outside the U.S.  
Commercial and industrial(2)
$392
$319
Mortgage and real estate11
3
Financial institutions15
—
Lease Financing7
—
 $425
$322
Total corporate renegotiated loans$818
$732
Consumer renegotiated loans(3)(4)(5)
  
In U.S. offices  
Mortgage and real estate(6)
$3,709
$4,695
Cards1,246
1,313
Installment and other169
117
 $5,124
$6,125
In offices outside the U.S.  
Mortgage and real estate$345
$447
Cards541
435
Installment and other427
443
 $1,313
$1,325
Total consumer renegotiated loans$6,437
$7,450
(1)Includes $715 million and $445 million of non-accrual loans included in the non-accrual loans table above at December 31, 2017 and December 31, 2016, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at December 31, 2017 and December 31, 2016, Citi also modified $51 million and $257 million, respectively, and $95 million and $217 million, respectively, of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices inside and outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession (a required element of a TDR for accounting purposes).
(3)Includes $1,376 million and $1,502 million of non-accrual loans included in the non-accrual loans table above at December 31, 2017 and 2016, respectively. The remaining loans are accruing interest.
(4)Includes $26 million and $58 million of commercial real estate loans at December 31, 2017 and 2016, respectively.
(5)Includes $165 million and $105 million of other commercial loans at December 31, 2017 and 2016, respectively.
(6)Reduction in 2017 includes $892 million related to TDRs sold or transferred to held-for-sale.







Forgone Interest Revenue on Loans(1)

In millions of dollarsIn U.S.
offices		In non-
U.S.
offices		2017
total
Interest revenue that would have been accrued at original contractual rates(2)
$637
$416
$1,053
Amount recognized as interest revenue(2)
299
133
432
Forgone interest revenue$338
$283
$621

(1)Relates to corporate non-accrual loans, renegotiated loans and consumer loans on which accrual of interest has been suspended.
(2)Interest revenue in offices outside the U.S. may reflect prevailing local interest rates, including the effects of inflation and monetary correction in certain countries.



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MARKETLIQUIDITY RISK
Market risk encompasses
Overview
Adequate and diverse sources of funding and liquidity risk and price risk, each of which arises in the normal course of business of a global financial intermediary such as Citi.

Market Risk Management
Each business is required to establish, with approval from Citi’s market risk management, a market risk limit framework for identified risk factors that clearly defines approved risk profiles and is within the parameters of Citi’s overall risk tolerance. These limits are monitored by independent market risk, Citi’s country and business Asset and Liability Committees and the Citigroup Asset and Liability Committee. In all cases, the businesses are ultimately responsible for the market risks taken and for remaining within their defined limits.

Funding and Liquidity Risk
Adequate liquidity and sources of funding are essential to Citi’s businesses.  Funding and liquidity risks arise from several factors, many of which Citi cannotare mostly or entirely outside Citi’s control, such as disruptions in the financial markets, changes in key funding sources, credit spreads, changes in Citi’s credit ratings and politicalgeopolitical and economic conditions in certain countries.macroeconomic conditions. For additional information, see “Risk Factors” above.
Overview
Citi’s funding and liquidity objectives are to maintain adequate liquidity toaimed at (i) fundfunding its existing asset base;base, (ii) growgrowing its core businesses, in Citicorp; (iii) maintainmaintaining sufficient liquidity, structured appropriately, so that itCiti can operate under a wide variety of adverse circumstances, including potential Company-specific and/or market conditions, including market disruptions for both short-liquidity events in varying durations and long-term periods;severity, and (iv) satisfysatisfying regulatory requirements.requirements, including, among other things, those related to resolution and resolution planning (for additional information, see “Resolution Plan” and “Total Loss-Absorbing Capacity (TLAC)” below). Citigroup’s primary liquidity objectives are established by entity, and in aggregate, across threetwo major categories:
 
Citibank (including Citibank Europe plc, Citibank Singapore Ltd. and Citibank (Hong Kong) Ltd.); and
the parent entity,non-bank and other, which includes the parent holding company (Citigroup), Citi’s primary intermediate holding company (Citicorp LLC), Citi’s broker-dealer subsidiaries (including Citigroup Global Markets Inc., Citigroup Global Markets Ltd. and Citi’s broker-dealerCitigroup Global Markets Japan Inc.) and other bank and non-bank subsidiaries that are consolidated into Citigroup (collectively referred to in this section as “parent”);
Citi’s significant Citibank entities, which consist of Citibank, N.A. units domiciled in the U.S., Western Europe, Hong Kong, Japan and Singapore (collectively referred to in this section as “significant Citibank entities”); and
other Citibank and Banamex entities.(including Citibanamex).

At an aggregate level, Citigroup’s goal is to maintain sufficient funding in amount and tenor to fully fund customer assets and to provide an appropriate amount of cash and high qualityhigh-quality liquid assets (as discussed further below), even in
times of stress. The liquidity risk management framework provides that in addition to the aggregate requirements, certain entities be self-sufficient or net providers of liquidity, including in conditions established under their designated stress tests.
Citi’s primary sources of funding include (i) deposits via Citi’s bank subsidiaries, which are Citi’s most stable and lowest cost source of long-term funding, (ii) long-term debt (primarily senior and subordinated debt) primarily issued at the parent and certain bank subsidiaries, and (iii) stockholders’ equity. These sources may be supplemented by short-term borrowings, primarily in the form of secured funding transactions.
As referenced above, CitigroupCiti works to ensure that the structural tenor of these funding sources is sufficiently long in relation to the tenor of its asset base. The goal of Citi’s asset/liability management is to ensure that there is excess liquidity and tenor in the liability structure so asrelative to providethe liquidity profile of the assets. This reduces the risk that liabilities will become due before asset maturities or monetizations through sale. This excess liquidity after funding the assets. The excess liquidity resulting from a longer-term tenor profile can effectively offset potential decreases in liquidity that may occur under stress. This excess funding is held primarily in the form of high-quality liquid assets (HQLA), as set forth in the table below.
Citi’s Treasurer has overall responsibility for management of Citi’s HQLA. Citi’s liquidity is managed via a centralized treasury model by Corporate Treasury, in conjunction with regional and in-country treasurers. Pursuant to this approach, Citi’s HQLA is managed with emphasis on asset-liability management and entity-level liquidity adequacy throughout Citi.
Citi’s Chief Risk Officer is responsible for the overall liquidity risk profile of Citi. The Chief Risk Officer and Citi’s CFO co-chair Citi’s Asset Liability Management Committee (ALCO), which includes Citi’s Treasurer and other senior executives. ALCO sets the strategy of the liquidity portfolio and monitors its performance. Significant changes to portfolio asset allocations need to be approved by ALCO.




High-Quality Liquid Assets (HQLA)
ParentSignificant Citibank EntitiesOther Citibank and Banamex EntitiesTotalCitibankNon-bank and OtherTotal
In billions of dollarsDec. 31, 2014Sept. 30, 2014Dec. 31, 2014Sept. 30, 2014Dec. 31, 2014Sept. 30, 2014Dec. 31, 2014Sept. 30, 2014Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016
Available cash$37.5
$27.3
$54.6
$77.8
$10.6
$8.5
$102.7
$113.6
$94.3
$92.7
$80.9
$30.9
$32.9
$18.4
$125.2
$125.6
$99.2
Unencumbered liquid securities35.0
31.8
203.1
197.5
71.8
73.6
$309.9
$302.9
Total$72.5
$59.1
$257.7
$275.3
$82.4
$82.1
$412.6
$416.4
U.S. sovereign113.2
108.4
113.6
27.9
26.6
22.5
141.1
135.0
136.1
U.S. agency/agency MBS80.8
68.1
62.8
0.5
0.6
0.1
81.3
68.7
63.0
Foreign government debt(1)
80.5
101.3
87.5
16.4
16.3
15.5
96.9
117.6
103.0
Other investment grade0.7
0.5
0.9
1.2
1.2
1.5
1.9
1.7
2.5
Total HQLA (AVG)$369.5
$371.0
$345.7
$76.9
$77.6
$58.0
$446.4
$448.6
$403.7

Note: Amounts as of December 31, 2014 and September 30, 2014The amounts set forth in the table above are estimated basedpresented on the final U.S. Liquidity Coverage Ratio (LCR) rules (see “Liquidity Management, Stress Testing and Measurement” below). All amounts are as of period end and may increase or decrease intra-period in the ordinary course of business.



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As set forth in the table above, Citi’s HQLA under the final U.S. LCR rules as of December 31, 2014 was $412.6 billion, compared to $416.4 billion as of September 30, 2014. The decrease in HQLA quarter-over-quarter was primarily driven by a reduction in deposits in the significant Citibank entities (see “Deposits” below), partially offset by long-term debt issuance, increased short-term borrowings and replacement of non-HQLA securities with HQLA-eligible securities, each in the parent entity.
Prior to September 30, 2014, Citi reported its HQLA based on the Basel Committee’s final LCR rules. On this basis, Citi’s total HQLA was $423.7 billion as of December 31, 2013. Year-over-year, the decrease in Citi’s HQLA was primarily due to the impact of the final U.S. LCR rules, which excluded municipal securities, covered bonds and residential mortgage-backed securities from the definition of HQLA, partially offset by an increase in credit card securitizations and Federal Home Loan Banks (FHLB) advances, each in Citibank, N.A.
The following table shows further detail of the composition of Citi's HQLA by type of asset as of December 31, 2014 and September 30, 2014.average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, thustherefore, exclude any securities that are encumbered as well as theand incorporate any haircuts that would be required for securedsecurities financing transactions.
In billions of dollarsDec. 31, 2014Sept. 30, 2014
Available cash$102.7
$113.6
U.S. Treasuries139.5
117.1
U.S. Agencies/Agency MBS57.1
60.7
Foreign government(1)
110.2
121.6
Other investment grade3.1
3.4
Total$412.6
$416.4
Note: Amounts set forth in the table above are estimated based on the final U.S. LCR rules.
(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 includedprimarily include government bonds from Brazil, Hong Kong, Singapore, Korea, India Japan, Korea, Mexico, Poland, Singapore and Taiwan.Mexico.

As set forth in the table above, Citi’s total HQLA increased year-over-year, primarily driven by an increase in cash related to resolution planning. Sequentially, Citi’s HQLA decreased modestly, primarily driven by loan growth, partially offset by growth in deposits.
Citi’s HQLA as set forth above does not include additional potential liquidity in the form of Citigroup’sCiti’s available borrowing capacity from the various FHLB,Federal Home Loan Banks (FHLB) of which Citi is a member, which was approximately $26$10 billion as of December 31, 20142017 (compared to $22$16 billion as of September 30, 20142017 and $30$21 billion as of December 31, 2013)2016) and is maintained by eligible collateral pledged collateral to all such banks. The HQLA shown above also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or internationalother central banks, which would be in addition to the resources noted above.
In general, Citigroup can freely fundCiti’s liquidity is fungible across legal entities within its bank vehicles. Citigroup’sgroup. Citi’s bank subsidiaries, including Citibank, N.A., can lend to the CitigroupCiti parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act. As of December 31, 2014,2017, the amountcapacity available
for lending to these entities under Section 23A was approximately $17$15 billion, (unchangedunchanged from both September 30, 20142017 and December 31, 2013),2016, subject to certain eligible non-cash collateral requirements.

Loans
As part of its funding and liquidity objectives, Citi seeks to fund its existing asset base appropriately as well as maintain sufficient liquidity to grow its GCB and ICG businesses, including its loan portfolio. Citi maintains a diversified portfolio of loans to its consumer and institutional clients. The table below sets forth the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
In billions of dollarsDec. 31, 2017Sept. 30, 2017Dec. 31, 2016
Global Consumer Banking   
North America$189.7
$186.7
$182.0
Latin America25.7
26.8
23.5
Asia(1)
87.9
86.2
81.9
Total$303.3
$299.7
$287.4
Institutional Clients Group   
Corporate lending124.8
123.3
118.9
Treasury and trade solutions (TTS)77.0
74.9
71.5
Private Bank85.9
82.6
75.2
Markets and securities services and other
40.4
40.1
38.6
Total$328.2
$320.9
$304.3
Total Corporate/Other
23.6
25.8
34.6
Total Citigroup loans (AVG)$655.1
$646.3
$626.3
Total Citigroup loans (EOP)$667.0
$653.2
$624.4

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


As set forth in the table above, end-of-period loans increased 7% year-over-year and 2% sequentially in the fourth quarter. On an average basis, loans increased 5% year-over-year and 1% sequentially.
Excluding the impact of FX translation, average loans increased 3% year-over-year, driven by 5% aggregate across GCB and ICG. Within GCB, loans grew 4%, with growth across all regions.
Average ICG loans increased 6% year-over-year, driven primarily by client-led growth in the private bank. Treasury and trade solutions and corporate lending increased 6% and 4%, respectively, both driven by growth in Asia and EMEA.
Average Corporate/Other loans decreased 32% year-over-year, driven by the continued wind-down of legacy assets.

Deposits
Deposits are theCiti’s primary and lowest costlowest-cost funding source for Citi’s bank subsidiaries.source. The table below sets forth the end-of-periodaverage deposits, by business and/or segment, and the total averageend-of-period deposits for each of the periods indicated.indicated:
In billions of dollarsDec. 31, 2014Sept. 30, 2014Dec. 31, 2013Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016
Global Consumer Banking  
North America$171.4
$171.7
$170.2
$182.7
$184.1
$186.0
EMEA12.8
13.0
13.1
Latin America45.5
45.9
47.4
27.8
28.8
25.2
Asia(1)
77.9
101.3
101.4
96.0
95.2
89.9
Total$307.6
$331.9
$332.1
$306.5
$308.1
$301.1
ICG 
Institutional Clients Group 
Treasury and trade solutions (TTS)$378.6
$381.1
$379.8
444.5
427.8
415.4
Banking ex-TTS85.9
91.0
97.4
126.9
122.4
122.4
Markets and securities services94.4
95.3
96.9
82.9
84.7
81.7
Total$558.9
$567.4
$574.1
$654.4
$634.9
$619.5
Corporate/Other22.8
29.0
26.1
Total Citicorp$889.3
$928.3
$932.3
Total Citi Holdings(2)
10.0
14.4
36.0
Total Corporate/Other
12.4
22.9
14.6
Total Citigroup deposits (AVG)$973.3
$965.9
$935.1
Total Citigroup deposits (EOP)$899.3
$942.7
$968.3
$959.8
$964.0
$929.4
Total Citigroup deposits (AVG)$938.7
$954.2
$956.4
(1)December 31, 2014 deposit balance reflects the reclassification to held-for-sale of approximately $21 billion of
Includes deposits as a result of Citigroup's entry into an agreement in December 2014 to sell its Japan retail banking business.
(2)Included within Citi Holding’s end-of-period deposit balance as of December 31, 2014 was approximately $9 billion of deposits related to Morgan Stanley Smith Barney (MSSB) customers that, as previously disclosed, will be transferred to Morgan Stanley by MSSB, with remaining balances transferred in the amount of approximately $5 billion per quarter through the end of the second quarter of 2015.certain EMEA countriesfor all periods presented.

End-of-period deposits decreased 7%increased 3% year-over-year and 5% quarter-over-quarter, eachremained unchanged sequentially in the fourth quarter. On an average basis, deposits increased 4% year-over-year and 1% sequentially.
Excluding the impact of FX translation, average deposits increased 3% year-over-year, driven primarily due toby 6% growth in TTS, as well as 4% aggregate growth in Asia GCB and Latin America GCB. North America GCB deposits declined 2% year-over-year, with half of the reclassification to held-for-sale of approximately $21 billion of depositsdecline coming from lower escrow balances as a result of Citigroup’s entry into an agreementlower mortgage activity. Growth in December 2014 to sell its Japan retail banking business, as well as the impact of FX translation.
Excluding these items, Citigroup deposits declined 2% year-over-year, as 1% growth in Citicorpchecking deposits was more than offset by the continued declinea reduction in Citi Holdings duemoney market balances, as clients transferred cash to the ongoing transfer of MSSB deposits to Morgan Stanley. Within Citicorp, GCB deposits increased 2% year-over-year, with growth in all four regions. North AmericaGCB deposits increased 1% year-over-year, with a continued focus on growing checking account balances, and international deposits grew 3% year-over-year. ICG deposits increased 1% year-over-year, with 3% growth in treasury and trade solutions balances, partially offset by reductions in markets-relatedinvestment accounts.


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businesses. Average deposits were relatively unchanged year-over-year and quarter-over-quarter, as growth in Citicorp was offset by the ongoing transfer of MSSB deposits to Morgan Stanley.
Citi monitors its deposit base across multiple dimensions, including what Citi refers to as “LCR value” or the liquidity value of the deposit base under the LCR rules. Under LCR rules, deposits are assigned liquidity values based on expected behavior under stress, the type of deposit and the type of client. Generally, the final U.S. LCR rules prioritize operating accounts of consumers (including retail and commercial banking deposits) and corporations, while assigning lower liquidity values to non-operating balances of financial institutions. Citi estimates that as of December 31, 2014, its total deposits had a liquidity value of approximately 73% under the LCR rules, up from 72% as of September 30, 2014 and 71% as of December 31, 2013, with the gradual increase primarily driven by reductions in lower LCR value deposits.

Long-Term Debt
Long-term debt (generally defined as debt with original maturities of one year or more) represents the most significant component of Citi’s funding for the parent entities and is a supplementary source of funding for the bank entities.
Long-term debt is an important funding source due in part to its multi-year contractual maturity structure. The weighted-average maturitiesmaturity of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank, N.A.)Citibank) with a remaining life greater than one year (excluding remaining trust preferred securities outstanding) was approximately 6.96.8 years as of December 31, 2014, largely2017, unchanged sequentially and a modest decline from 7.0 years from the prior quarter and year. Citi believes this term structure enables it to meet its business needs and maintain adequate liquidity.
Citi’s long-term debt outstanding at the parent includes benchmarksenior 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 supplements benchmark debt issuance as a source of funding for Citi’s parent entities. Citi’s long-term debt at the bank also includes benchmark senior debt, FHLB advances and securitizations.

Long-Term Debt Outstanding
The following table sets forth Citi’s total long-term debt outstanding for the periods indicated:
In billions of dollarsDec. 31, 2014Sept. 30, 2014Dec. 31, 2013Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016
Parent$158.0
$155.9
$164.7
Parent and other(1)
   
Benchmark debt:  
Senior debt96.7
96.3
98.5
$109.8
$109.8
$99.9
Subordinated debt25.5
24.2
28.1
26.9
27.0
26.8
Trust preferred1.7
1.7
3.9
1.7
1.7
1.7
Customer-Related debt:
Structured debt22.3
22.3
22.2
Non-structured debt5.9
6.4
7.8
Local Country and Other(1)(2)
5.9
5.0
4.2
Customer-related debt30.7
30.3
25.8
Local country and other(2)
1.8
1.8
2.5
Total parent and other$170.9
$170.6
$156.7
Bank$65.1
$67.9
$56.4
  
FHLB Borrowings19.8
23.3
14.0
FHLB borrowings$19.3
$19.8
$21.6
Securitizations(3)
38.1
38.2
33.6
30.3
28.6
23.5
Local Country and Other(2)
7.2
6.4
8.8
CBNA benchmark senior debt12.5
9.5
—
Local country and other(2)
3.7
4.2
4.4
Total bank$65.8
$62.1
$49.5
Total long-term debt$223.1
$223.8
$221.1
$236.7
$232.7
$206.2
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)Includes securitizations“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 $2.0December 31, 2017 “parent and other” included $18.7 billion for the third and fourth quarter of 2014 and $0.2 billion for the fourth quarter of 2013.long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit cards.card receivables.

Year-over-year, Citi’s total long-term debt outstanding increased slightly,both year-over-year and quarter-over-quarter. The increase year-over-year was primarily driven by an increase in senior debt at

the parent, as modest reductionswell as increases in both Citibank benchmark senior debt and securitizations at the parent company were more than offsetbank. In addition, the year-over-year increase in outstanding customer-related debt was driven by continued increases in the bank due to increased credit card securitizationsstronger customer demand and FHLB advances, given the lower-cost nature of these funding sources. Sequentially, Citi’s total long-term debt decreased slightly due tofewer maturities and continued liability management atredemptions. Sequentially, the parentincrease was driven primarily by an increase in Citibank benchmark debt and decreases in FHLB advancessecuritizations at the bank.
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.costs and assist it in meeting regulatory changes and requirements. During 2014,2017, Citi repurchased an aggregate of approximately $9.8$2.6 billion of its outstanding long-term debt, including approximately $1.5 billion in the fourth quarterearly redemptions of 2014. Included in this total for the year, Citi redeemed $2.1 billion of trust preferred securities during 2014 (for Citi’s remaining trust preferred securities outstanding as of December 31, 2014, see Note 18 to the Consolidated Financial Statements).
Going forward, changes in Citi’s long-term debt outstanding will continue to reflect the funding needs of its businesses as well as the market and economic environment and any regulatory changes or requirements. For additional information on regulatory changes and requirements impacting Citi’s overall funding and liquidity, see “Total Loss-Absorbing Capacity” and “Liquidity Management, Stress Testing and Measurement” below and “Risk Factors” above.FHLB advances.




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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:
201420132012201720162015
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent$38.3
$36.0
$46.0
$30.7
$75.3
$17.3
Parent and other      
Benchmark debt:          
Senior debt18.9
18.6
25.6
17.8
34.9
9.1
$14.1
$21.6
$14.9
$26.0
$23.9
$20.2
Subordinated debt5.0
2.8
1.0
4.6
1.8
—
1.6
1.3
3.2
4.0
4.0
7.5
Trust preferred2.1
—
6.4
—
5.9
—
—
—
—
—
—
—
Customer-related debt:

   
Structured debt7.5
9.5
8.5
7.3
8.2
8.0
Non-structured debt2.4
1.4
3.7
1.0
22.1
—
Local Country and Other2.4
3.7
0.8
—
2.4
0.2
Customer-related debt7.6
12.3
10.2
10.5
9.9
9.5
Local country and other1.1
0.1
2.1
2.2
0.4
1.9
Total parent and other$24.5
$35.3
$30.4
$42.7
$38.2
$39.1
Bank$20.6
$30.8
$17.8
$23.7
$42.3
$10.4
     
TLGP—
—
—
—
10.5
—
FHLB borrowings8.0
13.9
11.8
9.5
2.7
8.0
$7.8
$5.5
$10.5
$14.3
$4.0
$2.0
Securitizations8.9
13.6
2.4
11.5
25.2
0.5
5.3
12.2
10.7
3.3
7.9
0.8
Local Country and Other3.7
3.3
3.6
2.7
3.9
1.9
CBNA benchmark senior debt—
12.6
—
—
—
—
Local country and other3.4
2.3
3.9
3.4
2.8
2.7
Total bank$16.5
$32.6
$25.1
$21.0
$14.7
$5.5
Total$58.9
$66.8
$63.8
$54.4
$117.6
$27.7
$41.0
$68.0
$55.5
$63.7
$52.9
$44.6

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) during 2014,in 2017, as well as its aggregate expected annual long-term debt maturities as of December 31, 2014:2017:
Maturities
2014
 Maturities
In billions of dollars20152016201720182019ThereafterTotal201720182019202020212022ThereafterTotal
Parent$38.3
$16.6
$20.9
$26.1
$12.9
$20.0
$61.5
$158.0
Parent and other   
Benchmark debt:   
   
Senior debt18.9
10.0
14.4
19.7
9.5
14.9
28.2
96.7
$14.1
$18.4
$14.8
$8.9
$14.4
$8.1
$45.3
$109.8
Subordinated debt5.0
0.7
1.5
3.1
1.2
1.5
17.5
25.5
1.6
1.0
1.4
—
—
0.8
23.7
26.9
Trust preferred2.1
—
—
—
—
—
1.7
1.7
—
—
—
—
—
—
1.7
1.7
Customer-related debt:   
Structured debt7.5
4.0
4.0
2.7
1.7
1.8
8.1
22.3
Non-structured debt2.4
1.8
1.0
0.6
0.5
0.2
1.8
5.9
Local Country and Other2.4
0.1
—
—
—
1.6
4.2
5.9
Customer-related debt7.6
4.2
2.8
3.9
2.5
2.0
15.4
30.7
Local country and other1.1
0.6
0.1
0.2
0.1
0.1
0.7
1.8
Total parent and other$24.5
$24.2
$19.0
$12.9
$16.9
$10.9
$86.8
$170.9
Bank$20.6
$14.5
$21.2
$14.2
$9.1
$2.1
$4.0
65.1
   
FHLB borrowings8.0
3.8
9.2
6.3
0.5
—
—
19.8
$7.8
$16.8
$2.6
$—
$—
$—
$—
$19.3
Securitizations8.9
7.7
10.2
6.4
8.3
1.9
3.6
38.1
5.3
8.7
9.0
4.6
3.9
1.3
2.8
30.3
Local Country and Other3.7
3.0
1.8
1.5
0.3
0.2
0.4
7.2
CBNA benchmark senior debt—
2.2
4.7
5.2
—
—
0.3
12.5
Local country and other3.4
1.5
1.0
0.5
0.2
0.2
0.3
3.7
Total bank$16.5
$29.3
$17.2
$10.3
$4.1
$1.5
$3.5
$65.8
Total long-term debt$58.9
$31.1
$42.1
$40.3
$22.0
$22.1
$65.5
$223.1
$41.0
$53.5
$36.3
$23.2
$21.0
$12.4
$90.3
$236.7

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Resolution Plan
Under Title I of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act), Citigroup has developed a “single point of entry” resolution strategy and plan under the U.S. Bankruptcy Code. On July 1, 2017, Citi submitted its 2017 resolution plan to the Federal Reserve and FDIC. On December 19, 2017, the Federal Reserve and FDIC informed Citi that (i) the agencies jointly decided that Citi’s 2017 resolution plan submission satisfactorily addressed the shortcomings identified in the 2015 resolution plan submission, and (ii) the agencies together did not identify any shortcomings or deficiencies in the 2017 resolution plan submission. Citi’s next resolution plan submission is due July 1, 2019. For additional information on Citi’s resolution plan submissions, see “Risk Factors—Strategic Risks” above.
Under Citi’s resolution plan, only Citigroup, the parent holding company, would enter into bankruptcy, while Citigroup’s material legal entities (as defined in the public section of its 2017 resolution plan, which can be found on the Federal Reserve and FDIC websites) would remain operational and outside of any resolution or insolvency proceedings. Citigroup believes its resolution plan has been designed to minimize the risk of systemic impact to the U.S. and global financial systems, while maximizing the value of the bankruptcy estate for the benefit of Citigroup’s creditors, including its unsecured long-term debt holders. In addition, in line with the Federal Reserve’s final total loss-absorbing capacity (TLAC) rule, Citigroup believes it has developed the resolution plan so that Citigroup’s shareholders and unsecured creditors—including its unsecured long-term debt holders—bear any losses resulting from Citigroup’s bankruptcy.
In response to feedback received from the Federal Reserve and FDIC on Citigroup’s 2015 resolution plan, Citigroup took the following actions in connection with its 2017 resolution plan submission (which, as noted above, did not contain any shortcomings or deficiencies):

(i)Citicorp LLC (Citicorp), an existing wholly owned subsidiary of Citigroup, was established as an intermediate holding company (an IHC) for certain of Citigroup’s operating material legal entities;
(ii)Citigroup executed an inter-affiliate agreement with Citicorp, Citigroup’s operating material legal entities and certain other affiliated entities pursuant to which Citicorp is required to provide liquidity and capital support to Citigroup’s operating material legal entities in the event Citigroup were to enter bankruptcy proceedings (Citi Support Agreement);
(iii)pursuant to the Citi Support Agreement:

Citigroup made an initial contribution of assets, including certain high-quality liquid assets and inter-affiliate loans (Contributable Assets), to Citicorp, and Citicorp became the business as usual funding vehicle for Citigroup’s operating material legal entities;
Citigroup will be obligated to continue to transfer Contributable Assets to Citicorp over time, subject to certain amounts retained by Citigroup to, among
other things, meet Citigroup’s near-term cash needs;
in the event of a Citigroup bankruptcy, Citigroup will be required to contribute most of its remaining assets to Citicorp; and

(iv)the obligations of both Citigroup and Citicorp under the Citi Support Agreement, as well as the Contributable Assets, are secured pursuant to a security agreement.

The Citi Support Agreement provides two mechanisms, besides Citicorp’s issuing of dividends to Citigroup, pursuant to which Citicorp will be required to transfer cash to Citigroup during business as usual so that Citigroup can fund its debt service as well as other operating needs: (i) one or more funding notes issued by Citicorp to Citigroup and (ii) a committed line of credit under which Citicorp may make loans to Citigroup.

Total Loss-Absorbing Capacity (TLAC)
In November 2014,2016, the Financial StabilityFederal Reserve Board (FSB) issuedreleased a consultative document proposingfinal rule that imposes minimum external loss-absorbing capacity (TLAC) and long-term debt (LTD) requirements designed to ensure thaton U.S. global systemically important banksbank holding companies (GSIBs), including Citi, maintain sufficient loss-absorbing and recapitalization capacityCiti. The intended purpose of the final rule is to facilitate an orderly resolution. In this regard, the FSB’s proposal builds upon and is consistent with the FDIC’s preferred “single point of entry strategy” for orderly resolution of U.S. GSIBs under the U.S. Bankruptcy Code and Title II of the Dodd-Frank Act (for additional information, see “Risk Factors—Regulatory Risks” above).
Act. The FSB’s proposal would establish firm-specific minimumeffective date for all requirements for “total loss-absorbing capacity” (TLAC), set by reference to the Consolidated Balance Sheet of the “resolution group” (in Citi’s case, Citigroup, the parent bank holding company, and its subsidiaries that are not themselves resolution entities). The proposed minimum TLAC requirement, referred to as “external TLAC,” would be (i) 16%–20% of the resolution group’s risk-weighted assets (RWA) and (ii) at least double the amount of capital required to meet the relevant Tier 1 Leverage ratio. Qualifying regulatory capital instruments in the form of debt plus other eligible TLAC that is not regulatory capital would need to constitute 33% of external TLAC. Regulatory capital instruments used by the GSIB to satisfy its applicable regulatory capital buffers (i.e., the Capital Conservation Buffer, GSIB surcharge and, if imposed, the Countercyclical Capital Buffer) could not be counted toward the external TLAC requirement.
As proposed, TLAC-eligible instruments generally would include Common Equity Tier 1 Capital, preferred stock and unsecured senior and subordinated debt issued by the parent holding company with at least one year remaining until maturity. Although there is uncertainty regarding the eligibility of certain debt instruments, TLAC-eligible instruments would generally exclude debt instruments that are secured, issued by operating subsidiaries, or include derivatives or derivative-linked features (e.g., certain structured notes). Moreover, a GSIB’s eligible TLAC may be reduced by holdings of TLAC-eligible instruments issued by other GSIBs.
The FSB’s TLAC proposal would also establish “internal TLAC” requirements, which would require that each foreign “material subsidiary” (as proposed to be defined under the proposal) of a GSIB thatfinal rule is not otherwise a resolution entity maintain a minimum of 75%–90% of the external TLAC requirement that would apply if the subsidiary was a resolution entity. While many aspects of this requirement are uncertain, the internal TLAC proposal would effectually require “pre-positioning” of TLAC to the required subsidiaries.
Pursuant to the FSB’s proposal, the conformance period regarding the minimum TLAC requirements would not occur before January 1, 2019. The U.S. banking agenciesWhile Citi believes that it meets the final minimum TLAC and LTD requirements as of December, 31, 2017, there are expected to propose rules to establish similar TLAC requirements for U.S. GSIBs during 2015. There are significant uncertainties and interpretive issues arising fromregarding certain key aspects of the FSB proposal.final rule. For additional information, see “Risk Factors—RegulatoryCompliance, Conduct and Legal Risks” above. For additional discussion of the method 1 and method 2 GSIB capital surcharge methodology, see “Capital Resources—Current Regulatory Capital Standards” above.
Under the Federal Reserve Board’s final rule, U.S. GSIBs will be required to maintain minimum levels of TLAC and eligible LTD, each set by reference to the GSIB’s consolidated risk-weighted assets (RWA) and total leverage exposure and as described further below.

Minimum TLAC Requirements
The minimum TLAC requirement is the greater of (i) 18% of the GSIB’s RWA plus the then-applicable RWA-based TLAC buffer (see below) and (ii) 7.5% of the GSIB’s total leverage exposure plus a leveraged-based TLAC buffer of 2% (i.e., 9.5%). The RWA-based TLAC buffer equals the 2.5% capital conservation buffer, plus any applicable countercyclical capital buffer (currently 0%), plus the GSIB’s capital surcharge as determined under method 1 of the GSIB surcharge rule (2.0% for Citi as of January 1, 2018). Accordingly, Citi estimates its total current minimum TLAC requirement is 22.5% of RWA under the final rule. Pursuant to the final rule, TLAC may generally only consist of the GSIB’s (i) Common Equity Tier 1 Capital and Additional Tier 1 Capital issued directly by the bank holding company (excluding qualifying trust preferred securities) plus (ii) eligible LTD (as discussed below). Breach of either the RWA-

or leveraged-based TLAC buffer would result in restrictions on distributions and discretionary bonus payments.

Minimum Eligible LTD Requirements
The minimum LTD requirement is the greater of (i) 6% of the GSIB’s RWA plus its capital surcharge as determined under method 2 of the GSIB surcharge rule (3.0% for Citi as of January 1, 2018), for a total current requirement of 9% of RWA for Citi, and (ii) 4.5% of the GSIB’s total leverage exposure.
Generally, under the final rule, eligible LTD is defined as the unpaid principal balance of unsecured, “plain vanilla” debt securities (i.e., would not include certain of Citi’s customer-related debt) issued directly by the bank holding company, governed by U.S. law, with a remaining maturity greater than one year and which provides for acceleration only upon the occurrence of insolvency or non-payment of principal or interest for 30 days or more. Further, pursuant to what has been referred to as the “haircut” provision, otherwise eligible LTD with a remaining maturity between one and two years is subject to a 50% haircut for purposes of meeting the minimum LTD requirement (although such LTD would continue to count at full value for purposes of the minimum TLAC requirement; eligible LTD with a remaining maturity of less than one year would not count toward either the minimum TLAC or eligible LTD requirement). The final rule provides that debt issued prior to December 31, 2016 with acceleration provisions other than those summarized above or governed by non-U.S. law is permanently grandfathered and may count as eligible LTD, assuming it otherwise meets the requirements of eligible LTD.

Clean Holding Company Requirements
The final rule prohibits or limits certain financial arrangements at the bank holding company level, or what are referred to as “clean holding company” requirements. Pursuant to these requirements, Citi, as the bank holding company, is prohibited from having certain types of third-party liabilities, including short-term debt, certain derivatives and other qualified financial contracts, liabilities guaranteed by a subsidiary (i.e., upstream guarantees) and guarantees of subsidiary liabilities or similar arrangements, if the liability or guarantee includes a default right linked to the insolvency of the bank holding company (i.e., downstream guarantees with cross default provisions). In addition, the final rule limits third-party, non-contingent liabilities of the bank holding company (other than those related to TLAC or eligible LTD) to 5% of the U.S. GSIB’s outstanding TLAC. Examples of the types of liabilities subject to this 5% limit include structured notes and various operating liabilities, such as rent and obligations to employees, as well as litigation and similar liabilities.

 
Secured Funding Transactions and Short-Term Borrowings

Secured Funding
Secured funding is primarily conducted through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of trading inventory. Citi also conducts a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government 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 trading inventory.
Secured funding declined to $173 billion as of December 31, 2014, compared to $176 billion as of September 30, 2014 and $204 billion as of December 31, 2013, due to the impact of FX translation and Citi’s continued optimization of secured funding. Average balances for secured funding were approximately $187 billion for the quarter ended December 31, 2014, compared to $182 billion for the quarter ended September 30, 2014 and $211 billion for the quarter ended December 31, 2013. 
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 sovereign debt.  Other secured funding is secured by less liquid securities, including equity securities, corporate bonds and asset-backed securities.  The tenor of Citi’s matched book liabilities is 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 trading inventory.  To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral, and stipulating financing tenor. The weighted average maturity of Citi’s secured funding of less liquid trading inventory was greater than 110 days as of December 31, 2014.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.

Short-Term Borrowings
As referenced above, Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowings generally include (i) secured funding transactions (securities loaned or sold under agreements to repurchase, or repos) and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants (see Note 1817 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).
Outside of secured funding transactions, Citi’s short-term borrowings increased both year-over-year (a 45% increase) and sequentially (a 17% increase), driven by an increase in FHLB borrowing, as Citi continued to optimize liquidity across its legal vehicles.

Secured Funding
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government debt securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and securities inventory.
Secured funding of $156 billion as of December 31, 2017 increased 10% from the prior-year period and declined 3% sequentially. Excluding the impact of FX translation, secured funding increased 5% from the prior-year period and decreased 3% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $163 billion for the quarter ended December 31, 2017.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less-liquid securities, including equity securities, corporate bonds and asset-backed securities. The tenor of Citi’s matched book liabilities is generally equal to or longer than the tenor of the corresponding matched book assets.
The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral, and stipulating financing tenor. The weighted average maturity of Citi’s secured funding of less-liquid securities inventory was greater than 110 days as of December 31, 2017.
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.


95
Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.


Overall Short-Term Borrowings
The following table contains the year-end, average and maximum month-end amounts for the following respective short-term borrowings categories at the end of each of the three prior fiscal years.years:
Federal funds purchased
and securities sold under
agreements to
repurchase


Short-term borrowings (1)
Federal funds purchased and securities sold under
agreements to repurchase
Short-term borrowings(1)
Commercial paper (2)
Other short-term borrowings (3)
Commercial paper(2)
Other short-term borrowings(3)
In billions of dollars201420132012201420132012201420132012201720162015201720162015201720162015
Amounts outstanding at year end$173.4
$203.5
$211.2
$16.2
$17.9
$11.5
$42.1
$41.0
$40.5
$156.3
$141.8
$146.5
$9.9
$10.0
$10.0
$34.5
$20.7
$11.1
Average outstanding during the year (4)(5)
190.0
229.4
223.8
16.8
16.3
17.9
45.3
39.6
36.3
157.7
158.1
174.5
10.0
10.0
10.7
23.2
14.8
22.2
Maximum month-end outstanding200.1
239.9
237.1
17.9
18.8
21.9
47.1
44.7
40.6
163.0
171.7
186.2
10.1
10.2
15.3
34.5
20.9
41.9
Weighted-average interest rate      
During the year (4)(5)(6)
1.00%1.02%1.26%0.21%0.28%0.47%1.20%1.39%1.77%1.69%1.21%0.92%1.27%0.80%0.36%2.81%2.32%1.40%
At year end (7)
0.49
0.59
0.81
0.23
0.26
0.38
0.53
0.87
1.06
1.02
0.63
0.59
1.28
0.79
0.22
1.62
1.39
1.50

(1)Original maturities of less than one year.
(2) Substantially all commercial paper outstanding was issued by significant Citibank entities for the periods presented. The increase in commercial paper outstanding during 2013 was due to the consolidation of $7 billion of borrowings related to trade loans in the second quarter of 2013.
(2)Substantially all commercial paper outstanding was issued by certain Citibank entities for the periods presented.
(3)Other short-term borrowings include borrowings from the FHLB and other market participants.
(4)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(5)Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45);ASC 210-20-45; average rates exclude the impact of FIN 41 (ASC 210-20-45).ASC 210-20-45.
(6)Average rates reflect prevailing local interest rates, including inflationary effects and monetary correction in certain countries.
(7)Based on contractual rates at respective year ends; non-interest-bearing accounts are excluded from the weighted average interest rate calculated at year end.

Liquidity Management, Stress Testing and Measurement

Liquidity Management
Citi’s HQLA is managed by the Citi Treasurer. Liquidity is managed via a centralized treasury model by Corporate TreasuryMonitoring and by in-country treasurers. Pursuant to this structure, Citi’s HQLA is managed with a goal of ensuring the asset/liability match and that liquidity positions are appropriate in every entity and throughout Citi (for additional information on Citi’s liquidity objectives, see “Overview” above).Measurement
Citi’s Chief Risk Officer is responsible for the overall risk profile of Citi’s HQLA. The Chief Risk Officer and Citi’s Chief Financial Officer co-chair Citi’s Asset Liability Management Committee (ALCO), which includes Citi’s Treasurer and senior executives. ALCO sets the strategy of the liquidity portfolio and monitors its performance. Significant changes to portfolio asset allocations need to be approved by ALCO.


Stress Testing
Liquidity stress testing is performed for each of Citi’s major entities, operating subsidiaries and/or countries. Stress testing and scenario analyses are intended to quantify the potential impact of aan adverse liquidity event on the balance sheet and liquidity position, and to identify viable funding alternatives that can be utilized. These scenarios include assumptions about significant changes in key funding sources, market triggers (such as credit ratings), potential uses of funding and politicalgeopolitical and economic conditions in certain countries.macroeconomic conditions. These conditions include standardexpected and stressed market conditions as well as Company-specific events.
A wide range of liquidityLiquidity stress tests is important for monitoring purposes. These potential liquidity events are
useful conducted to ascertain potential mismatches between liquidity sources and uses over a variety of time horizons (overnight, one week, two weeks, one month, three months, one year, two years) and over a variety ofdifferent stressed conditions. Liquidity limits are set accordingly. To monitor the liquidity of a unit,an entity, these stress tests and potential mismatches are calculated with varying frequencies, with several tests performed daily.
Given the range of potential stresses, Citi maintains a series of contingency funding plans on a consolidated basis and for individual entities. These plans specify a wide range of readily available actions for a variety of adverse market conditions or idiosyncratic disruptions.stresses.



96


Short-Term Liquidity Measurement;Measurement: Liquidity Coverage Ratio (LCR)
In addition to internal measuresliquidity stress metrics that Citi has developed for a 30-day stress scenario, Citi also monitors its liquidity by reference to the LCR, as calculated pursuant to the final U.S. LCR rules.
Generally, the LCR is designed to ensure that banks maintain an adequate level of HQLA to meet liquidity needs under an acute 30-day stress scenario. Under the final U.S. rules, theThe LCR is calculated by dividing HQLA by estimated net outflows over a stressed 30-day period, with the net outflows determined by applying assumedprescribed outflow factors prescribed in the rules, to various categories of liabilities, such as deposits, unsecured and secured wholesale borrowings, unused lending commitments and derivatives-related exposures, partially offset by inflows from assets maturing within 30 days. In addition, the final U.S. rules require that banks estimate net outflows based on the highest individual day’s mismatchBanks are required to calculate an add-on to address potential maturity mismatches between contractual cash outflows and certain non-defined maturity inflows and outflows, known aswithin the “peak day” outflow requirement. Citi’s30-day period in determining the total amount of net outflows. The minimum LCR requirement is subject100%, effective January 2017.
Pursuant to a minimum requirement of 100%.the Federal Reserve Board’s final rule regarding LCR disclosures, effective April 1, 2017, Citi began to disclose LCR in the prescribed format.
The table below sets forth the components of Citi’s estimated LCR calculation and HQLA in excess of estimated net outflows as of December 31, 2014 and September 30, 2014.for the periods indicated:
In billions of dollarsDec. 31, 2017Sept. 30, 2017Dec. 31, 2016
HQLA$446.4
$448.6
$403.7
Net outflows364.3
365.1
332.5
LCR123%123%121%
HQLA in excess of net outflows$82.1
$83.5
$71.3
in billions of dollarsDec. 31, 2014Sept. 30, 2014
High quality liquid assets$412.6
$416.4
Estimated net outflows$368.6
$374.5
Liquidity coverage ratio112%111%
HQLA in excess of estimated net outflows$44.0
$42.0

Note: Amounts set forth in the table above are estimated basedpresented on the final U.S. LCR rules.an average basis.

As set forth in the table above, Citi’s estimated LCR underincreased year-over-year, as the final U.S. LCR rules was 112% as of December 31, 2014 and 111% as of September 30, 2014.increase in the HQLA (as discussed above) more than offset an increase in modeled net outflows. The increase quarter-over-quarterin modeled net outflows was primarily driven by deposit flows and improvementschanges in the quality ofassumptions, including changes in methodology to better align Citi’s deposit base.
Prior to September 30, 2014, Citi reported its LCR based on the Basel Committee’s final LCR rules. On this basis, Citi’s estimated LCR was 117% as of December 31, 2013. Year-over-year, the decrease in Citi’s estimated LCR was primarily due to the impact of the final U.S. LCR rules. Specifically, as discussed under “High Quality Liquid Assets” above, the final U.S. LCR rules excluded certain assets from the calculation of HQLA. In addition, estimated net outflows are higher under the final U.S. LCR rules, primarily due to the “peak day” outflow requirement discussed above as well as higher deposit outflow assumptions resulting from the more stringent deposit classifications (e.g., the nature of the deposit balance or counterparty designation) under the final U.S.with those embedded in its resolution planning. Sequentially, Citi’s LCR rules.remained unchanged.

Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
For 12-month liquidity stress periods, Citi uses several measures, including its internal long-term liquidity measure, based onIn 2016, the Federal Reserve Board, the FDIC and the OCC issued a 12-month scenario assuming market, credit and economic conditions are moderatelyproposed rule to highly stressed with potential further deterioration. It is broadly defined as the ratio of unencumbered liquidity resources to net stressed cumulative outflows over a 12-month period.
In addition, in October 2014, the Basel Committee issued final standards for the implementation ofimplement the Basel III NSFR requirement.
The U.S.-proposed NSFR is largely consistent with full compliance required by January 1, 2018. Similar to Citi’s internal long-term liquidity measure,the Basel Committee’s final NSFR rules. In general, the NSFR is intended to measureassesses the stabilityavailability of a banking organization’sbank’s stable funding overagainst a one-year time horizon. The NSFR is calculated by dividing the level of itsrequired level. A bank’s available stable funding by its required stable funding. The ratio is required to be greater than 100%. Under the Basel III standards, available stable funding includeswould include portions of equity, deposits and long-term debt, while its required stable funding includeswould be based on the portionliquidity characteristics of long-termits assets, which are deemed illiquid.derivatives and commitments. Prescribed factors would be required to be applied to the various categories of asset and liabilities classes. The ratio of available stable funding to required stable funding would be required to be greater than 100%. While Citi anticipatesbelieves that it is compliant with the proposed U.S. regulatorsNSFR rules as of December 31, 2017, it will proposeneed to evaluate a U.S.final version of the rules, which are expected to be released during 2018. Citi expects that the NSFR during 2015.final rules implementation period will be communicated along with the final version of the rules.

Credit RatingsStress Testing
Citigroup’sLiquidity stress testing is performed for each of Citi’s major entities, operating subsidiaries and/or countries. Stress testing and scenario analyses are intended to quantify the potential impact of an adverse liquidity event on the balance sheet and liquidity position, and to identify viable funding alternatives that can be utilized. These scenarios include assumptions about significant changes in key funding sources, market triggers (such as credit ratings), potential uses of funding and geopolitical and macroeconomic conditions. These conditions include expected and stressed market conditions as well as Company-specific events.
Liquidity stress tests are conducted to ascertain potential mismatches between liquidity sources and uses over a variety of time horizons and over different stressed conditions. Liquidity limits are set accordingly. To monitor the liquidity of an entity, these stress tests and potential mismatches are calculated with varying frequencies, with several tests performed daily.
Given the range of potential stresses, Citi maintains contingency funding plans on a consolidated basis and for individual entities. These plans specify a wide range of readily available actions for a variety of adverse market conditions or idiosyncratic stresses.

Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)
In addition to internal liquidity stress metrics that Citi has developed for a 30-day stress scenario, Citi also monitors its funding capacity, abilityliquidity by reference to access capital marketsthe LCR, as calculated pursuant to the U.S. LCR rules.
Generally, the LCR is designed to ensure that banks maintain an adequate level of HQLA to meet liquidity needs under an acute 30-day stress scenario. The LCR is calculated by dividing HQLA by estimated net outflows over a stressed 30-day period, with the net outflows determined by applying prescribed outflow factors to various categories of liabilities, such as deposits, unsecured and other sourcessecured wholesale borrowings, unused lending commitments and derivatives-related exposures, partially offset by inflows from assets maturing within 30 days. Banks are required to calculate an add-on to address potential maturity mismatches between contractual cash outflows and inflows within the 30-day period in determining the total amount of funds,net outflows. The minimum LCR requirement is 100%, effective January 2017.
Pursuant to the cost of these funds, and its abilityFederal Reserve Board’s final rule regarding LCR disclosures, effective April 1, 2017, Citi began to maintain certain deposits are partially dependent on its credit ratings. disclose LCR in the prescribed format.
The table below sets forth the ratings for Citigroupcomponents of Citi’s LCR calculation and Citibank, N.A. asHQLA in excess of December 31, 2014. While not included in the table below, Citigroup Global Markets Inc. (CGMI) is rated A/A-1 by Standard & Poor’s and A/F1 by Fitch as of December 31, 2014.















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Debt Ratings as of December 31, 2014
Citigroup Inc.Citibank, N.A.
Senior
debt
Commercial
paper
Outlook
Long-
term
Short-
term
Outlook
Fitch Ratings (Fitch)AF1StableAF1Stable
Moody’s Investors Service (Moody’s)Baa2P-2StableA2P-1Stable
Standard & Poor’s (S&P)A-A-2NegativeAA-1Stable

Recent Credit Rating Developments
On December 17, 2014, Fitch issued a bank “criteria exposure draft.” The document consolidates all bank rating criteria into one report and refines certain aspects of the criteria, including clarification as to when the agency might rate an operating company's long-term rating above its unsupported rating due to the protection offered to senior creditors by loss absorbing junior instruments. Since March 2014, Fitch has been contemplating the introduction of a ratings differential between U.S. bank holding companies and operating companies due to the evolving regulatory landscape. Currently, Fitch equalizes holding company and operating company ratings, reflecting what it views as the close correlation between default probabilities.
On November 24, 2014, S&P issued a proposal to add a component to its bank rating methodology to address how a bank’s long-term rating may be higher than the bank's unsupported rating due to “additional loss absorbing capacity” (ALAC). The ALAC proposal considers that loss absorption by instruments subject to bail-in could partly or fully replace a government bail-out and could reduce the likelihood of default on an operating company’s senior unsecured debt obligations. S&P continues to evaluate government support into the ratings of systemically important U.S. bank holding companies.
On September 9, 2014, Moody’s also released for comment a new bank rating methodology. The new methodology proposed a streamlined baseline credit assessment (with removal of the bank financial strength rating) and introduced a “loss given failure” assessment into the ratings. The comment period has closed and resolution is expected in early 2015.
Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank, N.A.’s funding and liquidity due to reduced funding capacity, including derivatives triggers, which could take the form of cash obligations and collateral requirements.
The following information is providednet outflows for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank, N.A. of a hypothetical, simultaneous
ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, and 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 trading counterparties could re-periods indicated:
 
evaluate their business relationships with Citi and limit the trading of 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, N.A. is unpredictable and may differ materially from the potential funding and liquidity impacts described below.
In billions of dollarsDec. 31, 2017Sept. 30, 2017Dec. 31, 2016
HQLA$446.4
$448.6
$403.7
Net outflows364.3
365.1
332.5
LCR123%123%121%
HQLA in excess of net outflows$82.1
$83.5
$71.3
For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors—Liquidity Risks” above.

Citigroup Inc. and Citibank, N.A.—Potential Derivative Triggers
As of December 31, 2014, 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 $0.8 billion, unchanged from September 30, 2014. 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 December 31, 2014, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank, N.A. across all three major rating agencies could impact Citibank, N.A.’s funding and liquidity by approximately $1.3 billion, compared to $1.7 billion as of September 30, 2014, due to derivative triggers.
In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, N.A., across all three major rating agencies, could result in aggregate cash obligations and collateral requirements of approximately $2.1 billion, compared to $2.5 billion as of September 30, 2014 (see also Note 23 to the Consolidated Financial Statements). AsNote: Amounts set forth under “High Quality Liquid Assets” above, the liquidity resources of Citi’s parent entities were approximately $73 billion, and the liquidity resources of Citi’s significant Citibank entities and other Citibank and Banamex entities were approximately $340 billion, for a total of approximately $413 billion as of December 31, 2014. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank, N.A.’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 Citi’s significant bank


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subsidiaries. Mitigating actions available to Citibank, N.A. include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading books, 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, N.A.—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank, N.A.’s senior debt/long-term rating by S&P and Fitch could also have an adverse impact on the commercial paper/short-term rating of Citibank, N.A. As of December 31, 2014, Citibank, N.A. had liquidity commitments of approximately $16.1 billion to consolidated asset-backed commercial paper conduits, compared to $17.6 billion as of September 30, 2014 (as referenced in Note 22 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of Citi’s significant Citibank entities and other Citibank and Banamex entities, Citibank, N.A. 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, N.A. 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, N.A. 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.


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Price Risk
Price risk losses arise from fluctuations in the market value of non-trading and trading positions resulting from changes in interest rates, credit spreads, foreign exchange rates, equity and commodity prices, and in their implied volatilities.

Price Risk Measurement and Stress Testing
Price risks are measured in accordance with established standards to ensure consistency across businesses and the ability to aggregate risk. The measurements used for non-trading and trading portfolios, as well as associated stress testing processes, are described below.

Price Risk—Non-Trading Portfolios

Net Interest Revenue and Interest Rate Risk
Net interest revenue, for interest rate exposure purposes, is the difference between the yield earned on the non-trading portfolio assets (including customer loans) and the rate paid on the liabilities (including customer deposits or company borrowings). Net interest revenue is affected by changes in the level of interest rates, as well as the amounts of assets and liabilities, and the timing of repricing of assets and liabilities to reflect market rates.
Interest Rate Risk Measurement—IRE
Citi’s principal measure of risk to net interest revenue is interest rate exposure (IRE). IRE measures the change in expected net interest revenue in each currency resulting solely from unanticipated changes in forward interest rates.
Citi’s estimated IRE incorporates various assumptions including prepayment rates on loans, customer behavior, and the impact of pricing decisions. For example, in rising interest rate scenarios, portions of the deposit portfolio may be assumed to experience rate increases that are less than the change in market interest rates.  In declining interest rate scenarios, it is assumed that mortgage portfolios experience higher prepayment rates. IRE assumes that businesses and/or Citi Treasury make no additional changes in balances or positioning in response to the unanticipated rate changes.

Mitigation and Hedging of Interest Rate Risk
In order to manage changes in interest rates effectively, Citi may modify pricing on new customer loans and deposits, purchase fixed rate securities, issue debt that is either fixed or floating or enter into derivative transactions that have the opposite risk exposures. Citi regularly assesses the viability of these and other strategies to reduce its interest rate risks and
implements such strategies when it believes those actions are prudent.
Citi manages interest rate risk as a consolidated company- wide position. Citi’s client-facing businesses create interest rate sensitive positions, including loans and deposits, as part of their ongoing activities. Citi Treasury aggregates these risk positions and manages them centrally. Operating within established limits, Citi Treasury makes positioning decisions and uses tools, such as Citi’s investment securities portfolio, company-issued debt, and interest rate derivatives, to target the desired risk profile. Changes in Citi’s interest rate risk position reflect the accumulated changes in all non-trading assets and liabilities, with potentially large and offsetting impacts, as well as Citi Treasury’s positioning decisions.

Stress Testing
Citigroup employs additional measurements, including stress testing the impact of non-linear interest rate movements on the value of the balance sheet; the analysis of portfolio duration and volatility, particularly as they relate to mortgage loans and mortgage-backed securities; and the potential impact of the change in the spread between different market indices.

Interest Rate Risk Measurement—OCI at Risk
Citi also measures the potential impacts of changes in interest rates on the value of its Other Comprehensive Income (OCI), which can in turn impact Citi’s Common Equity Tier 1 Capital ratio. Citi’s goal is to benefit from an increase in the market level of interest rates, while limiting the impact of changes in OCI on its regulatory capital position.
OCI at risk is managed as part of the company-wide interest rate risk position. OCI at risk considers potential changes in OCI (and the corresponding impact on the Common Equity Tier 1 Capital ratio) relative to Citi’s capital generation capacity.













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The following table sets forth the estimated impact to Citi’s net interest revenue, OCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point increase in interest rates.
In millions of dollars (unless otherwise noted)Dec. 31, 2014Sept. 30, 2014Dec. 31, 2013
Estimated annualized impact to net interest revenue   
U.S. dollar(1)
$1,123
$1,159
$1,229
All other currencies629
713
609
Total$1,752
$1,872
$1,838
As a % of average interest-earning assets0.11%0.11%0.11%
Estimated initial impact to OCI (after-tax)(2)
$(3,961)$(3,621)$(3,070)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(44)(41)(37)
(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 $(148) million for a 100 basis point instantaneous increase in interest rates as of December 31, 2014.
(2)Includes the effect of changes in interest rates on OCI related to investment securities, cash flow hedges and pension liability adjustments.
(3)The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s deferred tax asset position and is based on only the estimated initial OCI impact above.
The decrease in the estimated impact to net interest revenue from the prior year primarily reflected Citi Treasury actions (as described under “Mitigation and Hedging of Interest Rate Risk” above), which more than offset changes in balance sheet composition, including the continued seasoning of Citi’s deposit balances and increases in Citi’s capital base. The change in the estimated impact to OCI and the Common Equity Tier 1 Capital ratio from the prior year primarily reflected changes in the composition of Citi Treasury’s investment and interest rate derivatives portfolio.
In the event of an unanticipated parallel instantaneous 100 basis point increase in interest rates, Citi expects the negative impact to OCI would be offset in shareholders’ equity through the combination of expected incremental net interest revenue and the expected recovery of the impact on OCI through accretion of Citi’s investment portfolio over a period of time.
As of December 31, 2014, Citi expects that the negative $4.0 billion impact to OCI in such a scenario could potentially be offset over approximately 22 months.
As noted above, Citi routinely evaluates multiple interest rate scenarios, including interest rate increases and decreases and steepening and flattening of the yield curve, to anticipate how net interest revenue and OCI might be impacted in different interest rate environments. The following table sets forth the estimated impact to Citi’s net interest revenue, OCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under four different changes in interest rates for the U.S. dollar and Citi’s other currencies. While Citi also monitors the impact of a parallel decrease in interest rates, a 100 basis point decrease in short-term interest rates is not meaningful, as it would imply negative interest rates in many of Citi’s markets.

In millions of dollars (unless otherwise noted)Scenario 1Scenario 2Scenario 3Scenario 4
Overnight rate change (bps)100
100
—
—
10-year rate change (bps)100
—
100
(100)
Estimated annualized impact to net interest revenue 
    
U.S. dollar$1,123
$1,082
$95
$(161)
All other currencies629
586
36
(36)
Total$1,752
$1,668
$131
$(197)
Estimated initial impact to OCI (after-tax)(1)
$(3,961)$(2,543)$(1,597)$1,372
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)
(44)(28)(18)15
Note: Each scenario in the table above assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year are interpolated.
(1)Includes the effect of changes in interest rates on OCI related to investment securities, cash flow hedges and pension liability adjustments.
(2)The estimated initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s deferred tax asset position and is based on only the estimated OCI impact above.
As shown in the table above, the magnitude of the impact to Citi’s net interest revenue and OCI 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.



101


Changes in Foreign Exchange Rates—Impactspresented on OCI and Capital
As of December 31, 2014, Citi estimates that a simultaneous
5% appreciation of the U.S. dollar against all of Citi’s other
currencies could reduce Citi’s tangible common equity (TCE)
by approximately $1.5 billion, or 0.8% of TCE, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the British pound sterling, the euro, the Chinese yuan and the Korean won.
Despite this decrease in TCE, Citi believes its business model and management of foreign currency translation exposure work to minimize the effect of changes in foreign exchange rates on its Common Equity Tier 1 Capital ratio. 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.
The effect of Citi’s business model and management strategies on changes in foreign exchange rates are shown in the table below. For additional information in the changes in AOCI, see Note 20 to the Consolidated Financial Statements.

an average basis.


























 For the quarter ended
In millions of dollars (unless otherwise noted)Dec. 31, 2014Sept. 30, 2014Dec. 31, 2013
Change in FX spot rate(1)
4.9 %(4.4)%(0.4)%
Change in TCE due to foreign currency translation, net of hedges$(1,932)$(1,182)$(241)
As a % of Tangible Common Equity(1.1)%(0.7)%(0.1)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due to changes in foreign currency translation, net of hedges (bps)(1)3
(2)

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




102


Interest Revenue/Expense and Yields
In millions of dollars, except as otherwise noted2014 2013 2012 Change 
 2014 vs. 2013		 Change 
 2013 vs. 2012		 
Interest revenue(1)
$62,180
 $63,491
 $67,840
 (2)% (6)% 
Interest expense13,690
 16,177
 20,612
 (15) (22) 
Net interest revenue(1)(2)(3)
$48,490
 $47,314
 $47,228
 2 % — % 
Interest revenue—average rate3.72% 3.83% 4.06% (11)bps(23)bps
Interest expense—average rate1.02
 1.19
 1.47
 (17)bps(28)bps
Net interest margin2.90% 2.85% 2.82% 5
bps3
bps
Interest-rate benchmarks          
Two-year U.S. Treasury note—average rate0.46% 0.31% 0.28% 15
bps3
bps
10-year U.S. Treasury note—average rate2.54
 2.35
 1.80
 19
bps55
bps
10-year vs. two-year spread208
bps204
bps152
bps 
   

(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $498 million, $521 million and $542 million for 2014, 2013 and 2012, respectively.
(2)
Excludes expenses associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value with changes recorded in Principal transactions.
(3)
Interest revenue, expense, rates and volumes exclude Credicard (Discontinued operations) for all periods presented. See Note 2 to the Consolidated Financial Statements.

Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest earning assets. Citi’s NIM improved to 290 basis points in 2014, up from 285 basis points in 2013, primarily reflecting lower cost of funds, including continued declines in the cost of deposits and long-term debt (see “Funding and Liquidity” above), partially offset by continued lower loan yields.
Going into 2015, while Citi currently expects its NIM to remain relatively stable to full-year 2014 levels, the continued run-off and sales of assets from Citi Holdings could impact NIM quarter-to-quarter.





103


Average Balances and Interest Rates—Assets(1)(2)(3)(4)
Taxable Equivalent Basis
 Average volumeInterest revenue% Average rate
In millions of dollars, except rates201420132012201420132012201420132012
Assets         
Deposits with banks(5)
$161,359
$144,904
$157,911
$959
$1,026
$1,261
0.59%0.71%0.80%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
      




In U.S. offices$153,688
$158,237
$156,837
$1,034
$1,133
$1,471
0.67%0.72%0.94%
In offices outside the U.S.(5)
101,177
109,233
120,400
1,332
1,433
1,947
1.32
1.31
1.62
Total$254,865
$267,470
$277,237
$2,366
$2,566
$3,418
0.93%0.96%1.23%
Trading account assets(7)(8)
      




In U.S. offices$114,910
$126,123
$124,633
$3,472
$3,728
$3,899
3.02%2.96%3.13%
In offices outside the U.S.(5)
119,801
127,291
126,203
2,538
2,683
3,077
2.12
2.11
2.44
Total$234,711
$253,414
$250,836
$6,010
$6,411
$6,976
2.56%2.53%2.78%
Investments      




In U.S. offices      




Taxable$193,816
$174,084
$169,307
$3,286
$2,713
$2,880
1.70%1.56%1.70%
Exempt from U.S. income tax15,480
18,075
16,405
626
811
816
4.04
4.49
4.97
In offices outside the U.S.(5)
113,163
114,122
114,549
3,627
3,761
4,156
3.21
3.30
3.63
Total$322,459
$306,281
$300,261
$7,539
$7,285
$7,852
2.34%2.38%2.62%
Loans (net of unearned income)(9)
      




In U.S. offices$361,769
$354,707
$359,794
$26,076
$25,941
$27,077
7.21%7.31%7.53%
In offices outside the U.S.(5)
296,656
292,852
286,025
18,723
19,660
20,676
6.31
6.71
7.23
Total$658,425
$647,559
$645,819
$44,799
$45,601
$47,753
6.80%7.04%7.39%
Other interest-earning assets(10)
$40,375
$38,233
$40,766
$507
$602
$580
1.26%1.57%1.42%
Total interest-earning assets$1,672,194
$1,657,861
$1,672,830
$62,180
$63,491
$67,840
3.72%3.83%4.06%
Non-interest-earning assets(7)
$224,721
$222,526
$234,437
      
Total assets from discontinued operations—
2,909
3,432
      
Total assets$1,896,915
$1,883,296
$1,910,699
      
(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $498 million, $521 million and $542 million for 2014, 2013, and 2012, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of FIN 41 (ASC 210-20-45).
(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to FIN 39 (ASC 815-10-45), in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes cash-basis loans.
(10)Includes brokerage receivables.

104


Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)(4)
Taxable Equivalent Basis
 Average volumeInterest expense% Average rate
In millions of dollars, except rates201420132012201420132012201420132012
Liabilities         
Deposits         
In U.S. offices(5)
$289,669
$262,544
$233,100
$1,432
$1,754
$2,137
0.49%0.67%0.92%
In offices outside the U.S.(6)
465,144
481,134
487,437
4,260
4,482
5,553
0.92
0.93
1.14
Total$754,813
$743,678
$720,537
$5,692
$6,236
$7,690
0.75%0.84%1.07%
Federal funds purchased and securities loaned or sold under agreements to repurchase(7)
      





In U.S. offices$102,246
$126,742
$121,843
$656
$677
$852
0.64%0.53%0.70%
In offices outside the U.S.(6)
87,777
102,623
101,928
1,239
1,662
1,965
1.41
1.62
1.93
Total$190,023
$229,365
$223,771
$1,895
$2,339
$2,817
1.00%1.02%1.26%
Trading account liabilities(8)(9)
      





In U.S. offices$30,451
$24,834
$29,486
$75
$93
$116
0.25%0.37%0.39%
In offices outside the U.S.(6)
45,205
47,908
44,639
93
76
74
0.21
0.16
0.17
Total$75,656
$72,742
$74,125
$168
$169
$190
0.22%0.23%0.26%
Short-term borrowings(10)
      





In U.S. offices$79,028
$77,439
$78,747
$161
$176
$203
0.20%0.23%0.26%
In offices outside the U.S.(6)
39,220
35,551
31,897
419
421
524
1.07
1.18
1.64
Total$118,248
$112,990
$110,644
$580
$597
$727
0.49%0.53%0.66%
Long-term debt(11)
      





In U.S. offices$194,295
$194,140
$255,093
$5,093
$6,602
$8,896
2.62%3.40%3.49%
In offices outside the U.S.(6)
7,761
10,194
14,603
262
234
292
3.38
2.30
2.00
Total$202,056
$204,334
$269,696
$5,355
$6,836
$9,188
2.65%3.35%3.41%
Total interest-bearing liabilities$1,340,796
$1,363,109
$1,398,773
$13,690
$16,177
$20,612
1.02%1.19%1.47%
Demand deposits in U.S. offices$26,216
$21,948
$13,170
      
Other non-interest-bearing liabilities(8)
317,351
299,052
311,529
      
Total liabilities from discontinued operations—
362
729
      
Total liabilities$1,684,363
$1,684,471
$1,724,201
      
Citigroup stockholders’ equity(12)
$210,863
$196,884
$184,592
      
Noncontrolling interest1,689
1,941
1,906
      
Total equity(12)
$212,552
$198,825
$186,498
      
Total liabilities and stockholders’ equity$1,896,915
$1,883,296
$1,910,699
      
Net interest revenue as a percentage of average interest-earning assets(13)
         
In U.S. offices$953,394
$926,291
$941,367
$27,497
$25,591
$24,586
2.88%2.76%2.61%
In offices outside the U.S.(6)
718,800
731,570
731,463
20,993
21,723
22,642
2.92
2.97
3.10
Total$1,672,194
$1,657,861
$1,672,830
$48,490
$47,314
$47,228
2.90%2.85%2.82%
(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $498 million, $521 million and $542 million for 2014, 2013 and 2012, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts, and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance fees and charges.
(6)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(7)
Average volumes of securities sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of FIN 41 (ASC 210-20-45).
(8)
The fair value carrying amounts of derivative contracts are reported net, pursuant to FIN 39 (ASC 815-10-45), in Non-interest-earning assets and Other non-interest-bearing liabilities.

105


(9)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(10)Includes brokerage payables.
(11)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for in changes in fair value recorded in Principal transactions.
(12)Includes stockholders’ equity from discontinued operations.
(13)Includes allocations for capital and funding costs based on the location of the asset.

Analysis of Changes in Interest Revenue(1)(2)(3)
 2014 vs. 20132013 vs. 2012
 
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits with banks(4)
$109
$(176)$(67)$(99)$(136)$(235)
Federal funds sold and securities borrowed or
  purchased under agreements to resell
      
In U.S. offices$(32)$(67)$(99)$13
$(351)$(338)
In offices outside the U.S.(4)
(106)5
(101)(169)(345)(514)
Total$(138)$(62)$(200)$(156)$(696)$(852)
Trading account assets(5)
      
In U.S. offices$(337)$81
$(256)$46
$(217)$(171)
In offices outside the U.S.(4)
(159)14
(145)26
(420)(394)
Total$(496)$95
$(401)$72
$(637)$(565)
Investments(1)
      
In U.S. offices$319
$69
$388
$125
$(297)$(172)
In offices outside the U.S.(4)
(31)(103)(134)(15)(380)(395)
Total$288
$(34)$254
$110
$(677)$(567)
Loans (net of unearned income)(6)
      
In U.S. offices$512
$(377)$135
$(379)$(757)$(1,136)
In offices outside the U.S.(4)
253
(1,190)(937)485
(1,501)(1,016)
Total$765
$(1,567)$(802)$106
$(2,258)$(2,152)
Other interest-earning assets(7)
$32
$(127)$(95)$(37)$59
$22
Total interest revenue$560
$(1,871)$(1,311)$(4)$(4,345)$(4,349)
(1)The taxable equivalent adjustment is based on the U.S. federal statutory tax rate of 35% and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)Includes cash-basis loans.
(7)Includes brokerage receivables.

106


Analysis of Changes in Interest Expense and Interest Revenue(1)(2)(3)
 2014 vs. 20132013 vs. 2012
 
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$168
$(490)$(322)$247
$(630)$(383)
In offices outside the U.S.(4)
(147)(75)(222)(71)(1,000)(1,071)
Total$21
$(565)$(544)$176
$(1,630)$(1,454)
Federal funds purchased and securities loaned or sold under agreements to repurchase  
   
In U.S. offices$(144)$123
$(21)$33
$(208)$(175)
In offices outside the U.S.(4)
(224)(199)(423)13
(316)(303)
Total$(368)$(76)$(444)$46
$(524)$(478)
Trading account liabilities(5)
  
   
In U.S. offices$18
$(36)$(18)$(18)$(5)$(23)
In offices outside the U.S.(4)
(4)21
17
5
(3)2
Total$14
$(15)$(1)$(13)$(8)$(21)
Short-term borrowings(6)
  
   
In U.S. offices$4
$(19)$(15)$(3)$(24)$(27)
In offices outside the U.S.(4)
41
(43)(2)55
(158)(103)
Total$45
$(62)$(17)$52
$(182)$(130)
Long-term debt  
   
In U.S. offices$5
$(1,514)$(1,509)$(2,078)$(216)$(2,294)
In offices outside the U.S.(4)
(65)93
28
(97)39
(58)
Total$(60)$(1,421)$(1,481)$(2,175)$(177)$(2,352)
Total interest expense$(348)$(2,139)$(2,487)$(1,914)$(2,521)$(4,435)
Net interest revenue$908
$268
$1,176
$1,910
$(1,824)$86
(1)The taxable equivalent adjustment is based on the U.S. federal statutory tax rate of 35% and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)Includes brokerage payables.

107

Price Risk—Trading Portfolios
Price risk in Citi’s trading portfolios is monitored using a series of measures, including but not limited to:

Value at risk (VAR)
Stress testing
Factor sensitivity

Each trading portfolio across Citi’s business segments has its own market risk limit framework encompassing these measures and other controls, including trading mandates,
permitted product lists and a new product approval process for complex products. All trading positions are marked-to-market, with the results reflected in earnings.
The following histogram of total daily trading-related revenue (loss) captures trading volatility and shows the number of days in which revenues for Citi’s trading businesses fell within particular ranges. As shown in the histogram, positive trading-related revenue was achieved for 94% of the trading days in 2014.


Histogram of Daily Trading Related Revenue (1)(2)—12 Months ended December 31, 2014
In millions of dollars

(1)Daily trading-related revenue includes trading, net interest and other revenue associated with Citi’s trading businesses. It excludes DVA, FVA and CVA adjustments incurred due to changes in the credit quality of counterparties as well as any associated hedges to that CVA. In addition, it excludes fees and other revenue associated with capital markets origination activities.
(2)
Reflects the effects of asymmetrical accounting for economic hedges of certain available-for-sale (AFS) debt securities.  Specifically, the change in the fair value of hedging derivatives is included in Trading related revenue, while the offsetting change in the fair value of hedged AFS debt securities is included in Accumulated other comprehensive income (loss) and not reflected above.
(3)
Principally related to the impact of significant market movements and volatility on the trading revenue for ICG on October 15, 2014.




108

Value at Risk
Value at risk (VAR) estimates, at a 99% confidence level, the potential decline in the value of a position or a portfolio under normal market conditions assuming a one-day holding period. VAR statistics, which are based on historical data, can be materially different across firms due to differences in portfolio composition, differences in VAR methodologies, and differences in model parameters. As a result, Citi believes VAR statistics can be used more effectively as indicators of trends in risk taking within a firm, rather than as a basis for inferring differences in risk-taking across firms.
Citi uses a single, independently approved Monte Carlo simulation VAR model (see “VAR Model Review and Validation” below), which has been designed to capture material risk sensitivities (such as first- and second-order sensitivities of positions to changes in market prices) of various asset classes/risk types (such as interest rate, credit spread, foreign exchange, equity and commodity risks). Citi’s VAR includes positions which are measured at fair value; it does not include investment securities classified as available-for-sale or held-to-maturity. For information on
these securities, see Note 14 to the Consolidated Financial Statements.
Citi believes its VAR model is conservatively calibrated to incorporate fat-tail scaling and the greater of short-term (approximately the most recent month) and long-term (three years) market volatility. The Monte Carlo simulation involves approximately 300,000 market factors, making use of approximately 180,000 time series, with sensitivities updated daily, volatility parameters updated daily to weekly and correlation parameters updated monthly. The conservative features of the VAR calibration contribute an approximate 21% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets.
As set forth in the table below,above, Citi’s average Trading VARLCR increased year-over-year, as the increase in the HQLA (as discussed above) more than offset an increase in modeled net outflows. The increase in modeled net outflows was relatively unchanged from 2013primarily driven by changes in assumptions, including changes in methodology to 2014.better align Citi’s average Trading and Credit Portfolio VAR increased from 2013 to 2014 due to increased hedging activity associatedoutflow assumptions with non-trading positions and increased credit spread volatility of benchmark indices resulting from idiosyncratic events.

In millions of dollarsDecember 31, 20142014 AverageDecember 31, 20132013 Average
Interest rate$68
N/AN/AN/A
Credit spread87
N/AN/AN/A
Covariance adjustment(1)
(36)N/AN/AN/A
Fully diversified interest rate and credit spread$119
$114
$115
$114
Foreign exchange27
31
34
35
Equity17
24
26
27
Commodity23
16
13
12
Covariance adjustment(1)
(56)(73)(63)(75)
Total Trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$130
$112
$125
$113
Specific risk-only component(3)
$10
$12
$15
$14
Total Trading VAR—general market risk factors only (excluding credit portfolios)(2)
$120
$100
$110
$99
Incremental Impact of the Credit Portfolio(4)
$18
$21
$19
$8
Total Trading and Credit Portfolios VAR$148
$133
$144
$121
those embedded in its resolution planning. Sequentially, Citi’s LCR remained unchanged.

(1)Covariance adjustment (also known as diversification benefit) equals the difference between the total VAR and the sum of the VARs tied to each individual risk type. The benefit reflects the fact that the risks within each and across risk types are not perfectly correlated and, consequently, the total VAR on a given day will be lower than the sum of the VARs relating to each individual risk type. The determination of the primary drivers of changes to the covariance adjustment is made by an examination of the impact of both model parameter and position changes.    
(2) Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
In 2016, the Federal Reserve Board, the FDIC and the OCC issued a proposed rule to implement the Basel III NSFR requirement.
The total Trading VAR includes mark-to-market and certain fair value option trading positions from ICG and Citi Holdings,U.S.-proposed NSFR is largely consistent with the exceptionBasel Committee’s final NSFR rules. In general, the NSFR assesses the availability of hedgesa bank’s stable funding against a required level. A bank’s available stable funding would include portions of equity, deposits and long-term debt, while its required stable funding would be based on the liquidity characteristics of its assets, derivatives and commitments. Prescribed factors would be required to be applied to the loan portfolio, fair value option loans,various categories of asset and all CVA exposures. Available-for-sale and accrual exposuresliabilities classes. The ratio of available stable funding to required stable funding would be required to be greater than 100%. While Citi believes that it is compliant with the proposed U.S. NSFR rules as of December 31, 2017, it will need to evaluate a final version of the rules, which 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 within ICG.
N/ANot applicable


109expected to be released during 2018. Citi expects that the NSFR final rules implementation period will be communicated along with the final version of the rules.

The table below provides the range of market factor VARs associated with Citi’s Total Trading VAR, inclusive of specific risk, that was experienced during 2014 and 2013:
 20142013
In millions of dollarsLowHighLowHigh
Interest rateN/AN/AN/AN/A
Credit spreadN/AN/AN/AN/A
Fully diversified interest rate and credit spread$84
$158
$92
$142
Foreign exchange20
59
21
66
Equity14
48
18
60
Commodity11
27
8
24
Covariance adjustment(1)
N/A
N/A
N/A
N/A
Total Trading84
163
85
151
Total Trading and Credit Portfolio96
188
93
175
(1)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.
N/ANot applicable

The following table provides the VAR for ICG during 2014, excluding the CVA relating to derivative counterparties, hedges of CVA, fair value option loans and hedges to the loan portfolio.
In millions of dollarsDec. 31, 2014
Total—all market risk factors, including general and specific risk$122
Average—during year$109
High—during year159
Low—during year82

VAR Model Review and Validation
Generally, Citi’s VAR review and model validation process entails reviewing the model framework, major assumptions, and implementation of the mathematical algorithm. In addition, as part of the model validation process, product specific back-testing on portfolios is periodically completed and reviewed with Citi’s U.S. banking regulators. Furthermore, Regulatory VAR (as described below) back-testing is performed against buy-and-hold profit and loss on a monthly basis for approximately 167 portfolios across the organization (trading desk level, ICG business segment and Citigroup) and the results are shared with the U.S. banking regulators.
Significant VAR model and assumption changes must be independently validated within Citi’s risk management organization. This validation process includes a review by Citi’s model validation group and further approval from its model validation review committee, which is composed of senior quantitative risk management officers. In the event of significant model changes, parallel model runs are undertaken prior to implementation. In addition, significant model and assumption changes are subject to the periodic reviews and approval by Citi’s U.S. banking regulators.
In the second quarter of 2014, Citi implemented two VAR model enhancements that were reviewed by Citi’s U.S. banking regulators as well as Citi’s model validation group. Specifically, Citi enhanced the correlation among mortgage
products as well as introduced industry sectors (financial and non-financial) into the credit spread component of the VAR model.
Citi uses the same independently validated VAR model for both Regulatory VAR and Risk Management VAR (i.e., Total Trading and Total Trading and Credit Portfolios VARs) and, as such, the model review and oversight process for both purposes is as described above.
Regulatory VAR, which is calculated in accordance with Basel III, differs from Risk Management VAR due to the fact that certain positions included in Risk Management VAR are not eligible for market risk treatment in Regulatory VAR. The composition of Risk Management VAR is discussed under “Value at Risk” above. The applicability of the VAR model for positions eligible for market risk treatment under U.S. regulatory capital rules is periodically reviewed and approved by Citi’s U.S. banking regulators.
In accordance with Basel III, Regulatory VAR includes all trading book covered positions and all foreign exchange and commodity exposures. Pursuant to Basel III, Regulatory VAR excludes positions that fail to meet the intent and ability to trade requirements and are therefore classified as non-trading book and categories of exposures that are specifically excluded as covered positions. Regulatory VAR excludes CVA on derivative instruments and DVA on Citi’s own fair value option liabilities. With the April 2014 implementation of the U.S. final Basel III rules, CVA hedges are excluded from Regulatory VAR and included in credit risk-weighted assets as computed under the Advanced Approaches for determining risk-weighted assets.

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 (e.g., 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


110

profit and loss attributable to price movements in covered positions from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, fees and commissions, intra-day trading profit and loss, and changes in reserves.
Based on a 99% confidence level, Citi would expect two to three days in any one year where buy-and-hold losses exceeded the Regulatory VAR. Given the conservative calibration of Citi’s VAR model (as a result of taking the greater of short- and long-term volatilities and fat-tail scaling of volatilities), Citi would expect fewer exceptions under
normal and stable market conditions. Periods of unstable market conditions could increase the number of back-testing exceptions.
The following graph shows the daily buy-and-hold profit and loss associated with Citi’s covered positions compared to Citi’s one-day Regulatory VAR during 2014.
As the graph indicates, for the 12-month period ending December 31, 2014, there was one back testing exception where trading losses exceeded the VAR estimate at the Citigroup level. This occurred on October 15, 2014, a day on which significant market movements and volatility impacted various fixed income as well as equities trading businesses. The difference between the 56% of days with buy-and-hold gains for Regulatory VAR back-testing and the 94% of days with buy-and-hold gains shown in the histogram of daily trading related revenue above reflects, among other things, that a significant portion of Citi’s trading-related revenue is not generated from daily price movements on these positions and exposures, as well as differences in the portfolio composition of Regulatory VAR and Risk Management VAR.


Regulatory Trading VAR and Associated Buy-and-Hold Profit and Loss (1)—12 Months ended December 31, 2014
In millions of dollars
(1)Buy-and-hold profit and loss, as defined by the banking regulators under Basel III, represents the daily mark-to-market revenue movement attributable to the trading position from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue, net interest, intra-day trading profit and loss on new and terminated trades, as well as changes in reserves. Therefore it is not comparable to the trading-related revenue presented in the previous histogram of Daily Trading-Related Revenue.

Stress Testing
Liquidity stress testing is performed for each of Citi’s major entities, operating subsidiaries and/or countries. Stress testing and scenario analyses are intended to quantify the potential impact of an adverse liquidity event on the balance sheet and liquidity position, and to identify viable funding alternatives that can be utilized. These scenarios include assumptions about significant changes in key funding sources, market triggers (such as credit ratings), potential uses of funding and geopolitical and macroeconomic conditions. These conditions include expected and stressed market conditions as well as Company-specific events.
Liquidity stress tests are conducted to ascertain potential mismatches between liquidity sources and uses over a variety of time horizons and over different stressed conditions. Liquidity limits are set accordingly. To monitor the liquidity of an entity, these stress tests and potential mismatches are calculated with varying frequencies, with several tests performed daily.
Given the range of potential stresses, Citi maintains contingency funding plans on a consolidated basis and for individual entities. These plans specify a wide range of readily available actions for a variety of adverse market conditions or idiosyncratic stresses.

Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)
In addition to internal liquidity stress metrics that Citi has developed for a 30-day stress scenario, Citi also monitors its liquidity by reference to the LCR, as calculated pursuant to the U.S. LCR rules.
Generally, the LCR is designed to ensure that banks maintain an adequate level of HQLA to meet liquidity needs under an acute 30-day stress scenario. The LCR is calculated by dividing HQLA by estimated net outflows over a stressed 30-day period, with the net outflows determined by applying prescribed outflow factors to various categories of liabilities, such as deposits, unsecured and secured wholesale borrowings, unused lending commitments and derivatives-related exposures, partially offset by inflows from assets maturing within 30 days. Banks are required to calculate an add-on to address potential maturity mismatches between contractual cash outflows and inflows within the 30-day period in determining the total amount of net outflows. The minimum LCR requirement is 100%, effective January 2017.
Pursuant to the Federal Reserve Board’s final rule regarding LCR disclosures, effective April 1, 2017, Citi began to disclose LCR in the prescribed format.
The table below sets forth the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
In billions of dollarsDec. 31, 2017Sept. 30, 2017Dec. 31, 2016
HQLA$446.4
$448.6
$403.7
Net outflows364.3
365.1
332.5
LCR123%123%121%
HQLA in excess of net outflows$82.1
$83.5
$71.3

Note: Amounts set forth in the table above are presented on an average basis.

As set forth in the table above, Citi’s LCR increased year-over-year, as the increase in the HQLA (as discussed above) more than offset an increase in modeled net outflows. The increase in modeled net outflows was primarily driven by changes in assumptions, including changes in methodology to better align Citi’s outflow assumptions with those embedded in its resolution planning. Sequentially, Citi’s LCR remained unchanged.

Long-Term Liquidity Measurement: Net Stable Funding Ratio (NSFR)
In 2016, the Federal Reserve Board, the FDIC and the OCC issued a proposed rule to implement the Basel III NSFR requirement.
The U.S.-proposed NSFR is largely consistent with the Basel Committee’s final NSFR rules. In general, the NSFR assesses the availability of a bank’s stable funding against a required level. A bank’s available stable funding would include portions of equity, deposits and long-term debt, while its required stable funding would be based on the liquidity characteristics of its assets, derivatives and commitments. Prescribed factors would be required to be applied to the various categories of asset and liabilities classes. The ratio of available stable funding to required stable funding would be required to be greater than 100%. While Citi believes that it is compliant with the proposed U.S. NSFR rules as of December 31, 2017, it will need to evaluate a final version of the rules, which are expected to be released during 2018. Citi expects that the NSFR final rules implementation period will be communicated along with the final version of the rules.

Credit Ratings
Citigroup’s funding and liquidity, funding capacity, ability to access capital markets and other sources of funds, the cost of these funds and its ability to maintain certain deposits are partially dependent on its credit ratings.
The table below sets forth the ratings for Citigroup and Citibank as of December 31, 2017. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Inc. (CGMI) were “A2/P-1” at Moody’s, “A+/A-1” at Standard & Poor’s and “A+/F1” at Fitch as of December 31, 2017. The long-term and short-term ratings of CGMHI were “BBB+/A-2” at Standard & Poor’s and “A/F1” at Fitch as of December 31, 2017.
.
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)Baa1P-2PositiveA1P-1Positive
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable

Recent Credit Rating Developments
As of November 14, 2017, Moody's Investors Service has placed Citi on "Positive" outlook, citing Citi’s durable business model with a narrower geographic footprint and refined customer base targets, and the ability to demonstrate a strengthened risk asset profile as well as improved earnings stability.

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 derivatives 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” above.


 Citigroup Inc. and Citibank—Potential Derivative Triggers
As of December 31, 2017, 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 $0.8 billion, compared to $1.0 billion as of September 30, 2017. Other funding sources, such as securities financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of December 31, 2017, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity by approximately $0.4 billion, compared to $0.5 billion as of September 30, 2017, due to derivative triggers.
In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in increased aggregate cash obligations and collateral requirements of approximately $1.2 billion, compared to $1.5 billion as of September 30, 2017 (see also Note 22 to the Consolidated Financial Statements). As set forth under “High-Quality Liquid Assets” above, the liquidity resources of Citibank were approximately $369billion and the liquidity resources of Citi’s non-bank and other entities were approximately $77 billion, for a total of approximately $446 billion as of December 31, 2017. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating

actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.

Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank’s senior debt/long-term rating by S&P could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of December 31, 2017, Citibank had liquidity commitments of approximately $9.9 billion to consolidated asset-backed commercial paper conduits, compared to $10.0 billion as of September 30, 2017 (as referenced in Note 21 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank and Citibanamex entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.


MARKET RISK

Overview
Market risk is the potential for losses arising from changes in the value of Citi’s assets and liabilities resulting from changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and credit spreads, as well as their implied volatilities.
Each business is required to establish, with approval from Citi’s market risk management, a market risk limit framework for identified risk factors that clearly defines approved risk profiles and is within the parameters of Citi’s overall risk appetite. These limits are monitored by the Risk organization, Citi’s country and business Asset and Liability Committees and the Citigroup Asset and Liability Committee. In all cases, the businesses are ultimately responsible for the market risks taken and for remaining within their defined limits.
Market risk emanates from both Citi’s trading and non-trading portfolios. Trading portfolios comprise all assets and liabilities marked-to-market, with results reflected in earnings. Non-trading portfolios include all other assets and liabilities.

Market Risk of Non-Trading Portfolios
Market risk from non-trading portfolios stems from the potential impact of changes in interest rates and foreign exchange rates on Citi’s net interest revenues, the changes in Accumulatedother comprehensive income (loss) (AOCI) from its investment portfolios and capital invested in foreign currencies.

Net Interest Revenue at Risk
Net interest revenue, for interest rate exposure purposes, is the difference between the yield earned on the non-trading portfolio assets (including customer loans) and the rate paid on the liabilities (including customer deposits or company borrowings). Net interest revenue is affected by changes in the level of interest rates, as well as the amounts and mix of assets and liabilities, and the timing of contractual and assumed repricing of assets and liabilities to reflect market rates.
Citi’s principal measure of risk to net interest revenue is interest rate exposure (IRE). IRE measures the change in expected net interest revenue in each currency resulting solely from unanticipated changes in forward interest rates.
Citi’s estimated IRE incorporates various assumptions including prepayment rates on loans, customer behavior and the impact of pricing decisions. For example, in rising interest rate scenarios, portions of the deposit portfolio may be assumed to experience rate increases that are less than the change in market interest rates.  In declining interest rate scenarios, it is assumed that mortgage portfolios experience higher prepayment rates. IRE assumes that businesses and/or Citi Treasury make no additional changes in balances or positioning in response to the unanticipated rate changes.
In order to manage changes in interest rates effectively, Citi may modify pricing on new customer loans and deposits, purchase fixed-rate securities, issue debt that is either fixed or floating or enter into derivative transactions that have the opposite risk exposures. Citi regularly assesses the viability of these and other strategies to reduce its interest rate risks and
implements such strategies when it believes those actions are prudent.
Citi manages interest rate risk as a consolidated company-wide position. Citi’s client-facing businesses create interest-rate sensitive positions, including loans and deposits, as part of their ongoing activities. Citi Treasury aggregates these risk positions and manages them centrally. Operating within established limits, Citi Treasury makes positioning decisions and uses tools, such as Citi’s investment securities portfolio, company-issued debt and interest rate derivatives, to target the desired risk profile. Changes in Citi’s interest rate risk position reflect the accumulated changes in all non-trading assets and liabilities, with potentially large and offsetting impacts, as well as in Citi Treasury’s positioning decisions.
Citigroup employs additional measurements, including stress testing the impact of non-linear interest rate movements on the value of the balance sheet; the analysis of portfolio duration and volatility, particularly as they relate to mortgage loans and mortgage-backed securities; and the potential impact of the change in the spread between different market indices.

Interest Rate Risk of Investment Portfolios—Impact on AOCI
Citi also measures the potential impacts of changes in interest rates on the value of its AOCI, which can in turn impact Citi’s common equity and tangible common equity.  This will impact Citi’s Common Equity Tier 1 and other regulatory capital ratios. Citi’s goal is to benefit from an increase in the market level of interest rates, while limiting the impact of changes in AOCI on its regulatory capital position.
AOCI at risk is managed as part of the company-wide interest rate risk position. AOCI at risk considers potential changes in AOCI (and the corresponding impact on the Common Equity Tier 1 Capital ratio) relative to Citi’s capital generation capacity.


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 bps increase in interest rates:
In millions of dollars (unless otherwise noted)Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016
Estimated annualized impact to net interest revenue   
U.S. dollar(1)
$1,471
$1,449
$1,586
All other currencies598
610
550
Total$2,069
$2,059
$2,136
As a percentage of average interest-earning assets0.12%0.12%0.13%
Estimated initial impact to AOCI (after-tax)(2)(3)
$(4,853)$(4,206)$(4,617)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(35)(48)(53)
(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 $(182) million for a 100 bps instantaneous increase in interest rates as of December 31, 2017.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(3)Results as of December 31, 2017 reflect the impact of Tax Reform, including the lower expected effective tax rate and the impact to Citi’s DTA position. Prior periods have not been restated. The estimated initial impact on Common Equity Tier I Capital ratio (bps) is calculated on a pre-tax basis prior to December 31, 2017.

The 2017 decrease in the estimated impact to net interest revenue primarily reflected changes in Citi’s balance sheet composition, including increases in loan balances and increased sensitivity in deposits, net of Citi Treasury positioning. The 2017 changes in the estimated impact to AOCI and the Common Equity Tier 1 Capital ratio primarily reflected the impact of Tax Reform, including the lower expected effective tax rate and the impact to Citi’s DTA position, net of changes in the composition of Citi Treasury’s investment and derivatives portfolio.
In the event of an unanticipated parallel instantaneous 100 bps increase in interest rates, Citi expects that the negative impact to AOCI would be offset in shareholders’ equity through the combination of expected incremental net interest
revenue and the expected recovery of the impact on AOCI through accretion of Citi’s investment portfolio over a period of time. As of December 31, 2017, Citi expects that the negative $4.9 billion impact to AOCI in such a scenario could potentially be offset over approximately 21 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 four different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies. While Citi also monitors the impact of a parallel decrease in interest rates, a 100 bps decrease in short-term rates is not meaningful, as it would imply negative interest rates in many of Citi’s markets.
In millions of dollars (unless otherwise noted)Scenario 1Scenario 2Scenario 3Scenario 4
Overnight rate change (bps)100
100
—
—
10-year rate change (bps)100
—
100
(100)
Estimated annualized impact to net interest revenue 
    
U.S. dollar$1,471
$1,377
$86
$(102)
All other currencies598
558
35
(35)
Total$2,069
$1,935
$121
$(137)
Estimated initial impact to AOCI (after-tax)(1)
$(4,853)$(3,046)$(2,010)$1,484
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)
(35)(22)(15)11
Note: Each scenario in the table above assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.
(1)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(2)Results as of December 31, 2017 reflect the impact of Tax Reform, including the lower expected effective tax rate and the impact to Citi’s DTA position.
As shown in the table above, the magnitude of the impact to Citi’s net interest revenue and AOCI is greater under scenario 2 as compared to scenario 3. This is because the combination of changes to Citi’s investment portfolio, partially offset by changes related to Citi’s pension liabilities, results in a net position that is more sensitive to rates at shorter and intermediate term maturities.


Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of December 31, 2017, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.6 billion, or 1.0%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro and the British pound sterling.
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 19 to the Consolidated Financial Statements.
 For the quarter ended
In millions of dollars (unless otherwise noted)Dec. 31, 2017Sept. 30, 2017Dec. 31, 2016
Change in FX spot rate(1)
(1.2)%1.1%(5.2)%
Change in TCE due to FX translation, net of hedges$(498)$222
$(1,668)
As a percentage of TCE(0.3)%0.1%(0.9)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
  to changes in FX translation, net of hedges (bps)
(5)(3)—

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



Interest Revenue/Expense and Net Interest Margin
In millions of dollars, except as otherwise noted2017 2016 2015 Change 
 2017 vs. 2016		 Change 
 2016 vs. 2015		 
Interest revenue(1)
$61,700
 $58,077
 $59,040
 6 % (2)% 
Interest expense (2)
16,517
 12,511
 11,921
 32
 5
 
Net interest revenue$45,183
 $45,566
 $47,119
 (1)% (3)% 
Interest revenue—average rate3.69% 3.64% 3.68% 5
bps(4)bps
Interest expense—average rate1.28
 1.03
 0.95
 25
bps8
bps
Net interest margin (3)
2.70
 2.86
 2.93
 (16)bps(7)bps
Interest rate benchmarks          
Two-year U.S. Treasury note—average rate1.40% 0.83% 0.69% 57
bps14
bps
10-year U.S. Treasury note—average rate2.33
 1.83
 2.14
 50
bps(31)bps
10-year vs. two-year spread93
bps100
bps145
bps 
   

Note: All interest expense amounts include FDIC deposit insurance assessments.
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $496 million, $462 million and $489 million for 2017, 2016 and 2015, 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 Statements of Income and is therefore not reflected in Interest expense in the
table above.
(3) Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest-earning assets.

Citi’s net interest revenue in the fourth quarter of 2017 remained largely unchanged versus the prior-year period at $11.2 billion ($11.4 billion on a taxable equivalent basis). Excluding the impact of FX translation, Citi’s net interest revenue was down slightly versus the prior-year period (down $50 million), as higher core accrual net interest revenue ($10.4 billion, up approximately 5% or $0.5 billion) was offset by lower trading-related net interest revenue ($0.5 billion, down approximately 46% or $0.4 billion) and lower net interest revenue associated with legacy assets in Corporate/Other ($0.3 billion, down approximately 34% or $0.1 billion). The increase in core accrual net interest revenue was driven mainly by the benefit of the December 2016, March 2017 and June 2017 interest rate increases and volume growth.
Citi’s net interest revenue for the full-year remained largely unchanged versus the prior-year at $44.7 billion ($45.2 billion on a taxable equivalent basis). Excluding the impact of FX translation, Citi’s net interest revenue declined by approximately $0.5 billion, as higher core accrual net interest revenue (approximately $40.5 billion, up 5%, or $2.0 billion) was offset by lower trading-related net interest revenue (approximately $2.9 billion, down 37%, or $1.7 billion), largely driven by higher wholesale funding costs, and lower net interest revenue associated with legacy assets in Corporate/Other (approximately $1.2 billion, down 40%, or $0.8 billion). The increase in core accrual net interest revenue was primarily due to the benefit of the interest rate increases and volume growth.

Citi’s NIM was 2.63% on a taxable equivalent basis in the fourth quarter of 2017, a decrease of 9 bps from the third quarter of 2017, driven primarily by lower trading-related NIM. On a full-year basis, Citi’s NIM was 2.70% on a taxable equivalent basis, compared to 2.86% in 2016, a decrease of 16 bps. Citi’s full-year core accrual NIM was 3.45%, a decline of 5 bps from the prior year, as higher core accrual net interest revenue was more than offset by balance sheet growth. (Citi’s core accrual net interest revenue and core accrual NIM are non-GAAP financial measures. Citi believes these measures provide a more meaningful depiction for investors of the underlying fundamentals of its business results.)

Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)(4)
 Average volumeInterest revenue% Average rate
In millions of dollars, except rates201720162015201720162015201720162015
Assets         
Deposits with banks(5)
$169,385
$131,925
$133,853
$1,635
$971
$727
0.97%0.74%0.54%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
         
In U.S. offices$141,308
$147,734
$150,340
$1,922
$1,483
$1,215
1.36%1.00%0.81%
In offices outside the U.S.(5)
106,605
85,142
84,013
1,326
1,060
1,301
1.24
1.24
1.55
Total$247,913
$232,876
$234,353
$3,248
$2,543
$2,516
1.31%1.09%1.07%
Trading account assets(7)(8)
         
In U.S. offices$99,755
$103,610
$113,475
$3,531
$3,791
$3,945
3.54%3.66%3.48%
In offices outside the U.S.(5)
104,196
94,603
96,333
2,117
2,095
2,140
2.03
2.21
2.22
Total$203,951
$198,213
$209,808
$5,648
$5,886
$6,085
2.77%2.97%2.90%
Investments         
In U.S. offices         
Taxable$226,227
$225,764
$214,683
$4,450
$3,980
$3,812
1.97%1.76%1.78%
Exempt from U.S. income tax18,152
19,079
20,034
775
693
443
4.27
3.63
2.21
In offices outside the U.S.(5)
106,040
106,159
102,374
3,309
3,157
3,071
3.12
2.97
3.00
Total$350,419
$351,002
$337,091
$8,534
$7,830
$7,326
2.44%2.23%2.17%
Loans (net of unearned income)(9)
         
In U.S. offices$371,711
$360,957
$354,434
$25,943
$24,240
$25,082
6.98%6.72%7.08%
In offices outside the U.S.(5)
267,774
262,715
273,064
15,529
15,578
15,465
5.80
5.93
5.66
Total$639,485
$623,672
$627,498
$41,472
$39,818
$40,547
6.49%6.38%6.46%
Other interest-earning assets(10)
$60,628
$56,398
$63,209
$1,163
$1,029
$1,839
1.92%1.82%2.91%
Total interest-earning assets$1,671,781
$1,594,086
$1,605,812
$61,700
$58,077
$59,040
3.69%3.64%3.68%
Non-interest-earning assets(7)
$203,657
$214,642
$218,025
      
Total assets$1,875,438
$1,808,728
$1,823,837
      
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $496 million, $462 million and $489 million for 2017, 2016 and 2015, 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)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes cash-basis loans.
(10)Includes brokerage receivables.

Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)(4)
 Average volumeInterest expense% Average rate
In millions of dollars, except rates201720162015201720162015201720162015
Liabilities         
Deposits         
In U.S. offices(5)
$313,094
$288,817
$273,135
$2,530
$1,630
$1,291
0.81%0.56%0.47%
In offices outside the U.S.(6)
436,949
429,608
425,086
4,056
3,670
3,761
0.93
0.85
0.88
Total$750,043
$718,425
$698,221
$6,586
$5,300
$5,052
0.88%0.74%0.72%
Federal funds purchased and securities loaned or sold under agreements to repurchase(7)
         
In U.S. offices$96,258
$100,472
$108,320
$1,574
$1,024
$614
1.64%1.02%0.57%
In offices outside the U.S.(6)
61,434
57,588
66,197
1,087
888
998
1.77
1.54
1.51
Total$157,692
$158,060
$174,517
$2,661
$1,912
$1,612
1.69%1.21%0.92%
Trading account liabilities(8)(9)
         
In U.S. offices$33,399
$29,481
$24,711
$380
$242
$107
1.14%0.82%0.43%
In offices outside the U.S.(6)
57,149
44,669
45,252
258
168
110
0.45
0.38
0.24
Total$90,548
$74,150
$69,963
$638
$410
$217
0.70%0.55%0.31%
Short-term borrowings(10)
         
In U.S. offices$74,825
$61,015
$64,973
$684
$202
$224
0.91%0.33%0.34%
In offices outside the U.S.(6)
22,837
19,184
50,803
375
275
299
1.64
1.43
0.59
Total$97,662
$80,199
$115,776
$1,059
$477
$523
1.08%0.59%0.45%
Long-term debt(11)
         
In U.S. offices$192,079
$175,342
$182,347
$5,382
$4,179
$4,308
2.80%2.38%2.36%
In offices outside the U.S.(6)
4,615
6,426
7,642
191
233
209
4.14
3.63
2.73
Total$196,694
$181,768
$189,989
$5,573
$4,412
$4,517
2.83%2.43%2.38%
Total interest-bearing liabilities$1,292,639
$1,212,602
$1,248,466
$16,517
$12,511
$11,921
1.28%1.03%0.95%
Demand deposits in U.S. offices$37,824
$38,120
$26,144
      
Other non-interest-bearing liabilities(8)
316,379
328,822
330,037
      
Total liabilities$1,646,842
$1,579,544
$1,604,647
      
Citigroup stockholders’ equity(12)
$227,599
$228,065
$217,875
      
Noncontrolling interest997
1,119
1,315
      
Total equity(12)
$228,596
$229,184
$219,190
      
Total liabilities and stockholders’ equity$1,875,438
$1,808,728
$1,823,837
      
Net interest revenue as a percentage of average interest-earning assets(13)
         
In U.S. offices$967,752
$944,893
$931,258
$27,551
$27,929
$28,492
2.85%2.96%3.06%
In offices outside the U.S.(6)
704,029
649,193
674,554
17,632
17,637
18,627
2.50
2.72
2.76
Total$1,671,781
$1,594,086
$1,605,812
$45,183
$45,566
$47,119
2.70%2.86%2.93%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $496 million, $462 million and $489 million for 2017, 2016 and 2015, 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)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(6)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(7)
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.
(8)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.

(9)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(10)Includes brokerage payables.
(11)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for in changes in fair value recorded in Principal transactions.
(12)Includes stockholders’ equity from discontinued operations.
(13)Includes allocations for capital and funding costs based on the location of the asset.

Analysis of Changes in Interest Revenue(1)(2)(3)
 2017 vs. 20162016 vs. 2015
 
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits with banks(4)
$317
$347
$664
$(11)$255
$244
Federal funds sold and securities borrowed or
  purchased under agreements to resell
      
In U.S. offices$(67)$506
$439
$(21)$289
$268
In offices outside the U.S.(4)
267
(1)266
17
(258)(241)
Total$200
$505
$705
$(4)$31
$27
Trading account assets(5)
      
In U.S. offices$(139)$(121)$(260)$(354)$200
$(154)
In offices outside the U.S.(4)
203
(181)22
(38)(7)(45)
Total$64
$(302)$(238)$(392)$193
$(199)
Investments(1)
      
In U.S. offices$(9)$561
$552
$188
$230
$418
In offices outside the U.S.(4)
(4)156
152
113
(27)86
Total$(13)$717
$704
$301
$203
$504
Loans (net of unearned income)(6)
      
In U.S. offices$734
$969
$1,703
$455
$(1,297)$(842)
In offices outside the U.S.(4)
297
(346)(49)(598)711
113
Total$1,031
$623
$1,654
$(143)$(586)$(729)
Other interest-earning assets(7)
$80
$54
$134
$(182)$(628)$(810)
Total interest revenue$1,679
$1,944
$3,623
$(431)$(532)$(963)
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)Includes cash-basis loans.
(7)Includes brokerage receivables.

Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
 2017 vs. 20162016 vs. 2015
 
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$147
$753
$900
$77
$262
$339
In offices outside the U.S.(4)
64
322
386
40
(131)(91)
Total$211
$1,075
$1,286
$117
$131
$248
Federal funds purchased and securities loaned or
  sold under agreements to repurchase
      
In U.S. offices$(45)$595
$550
$(47)$457
$410
In offices outside the U.S.(4)
62
137
199
(132)22
(110)
Total$17
$732
$749
$(179)$479
$300
Trading account liabilities(5)
      
In U.S. offices$35
$103
$138
$24
$111
$135
In offices outside the U.S.(4)
52
38
90
(1)59
58
Total$87
$141
$228
$23
$170
$193
Short-term borrowings(6)
      
In U.S. offices$55
$427
$482
$(13)$(9)$(22)
In offices outside the U.S.(4)
57
43
100
(267)243
(24)
Total$112
$470
$582
$(280)$234
$(46)
Long-term debt      
In U.S. offices$424
$779
$1,203
$(167)$38
$(129)
In offices outside the U.S.(4)
(72)30
(42)(37)61
24
Total$352
$809
$1,161
$(204)$99
$(105)
Total interest expense$779
$3,227
$4,006
$(523)$1,113
$590
Net interest revenue$900
$(1,283)$(383)$92
$(1,645)$(1,553)
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)Includes brokerage payables.


Market Risk of Trading Portfolios
Trading portfolios include positions resulting from market making activities, hedges of certain available-for-sale (AFS) debt securities, the CVA relating to derivative counterparties and all associated hedges, fair value option loans, hedges to the loan portfolio and the leverage finance pipeline within capital markets origination within ICG.
The market risk of Citi’s trading portfolios is monitored using a combination of quantitative and qualitative measures, including, but not limited to:

factor sensitivities;
value at risk (VAR); and
stress testing.

Each trading portfolio across Citi’s businesses has its own market risk limit framework encompassing these measures and other controls, including trading mandates, permitted product
lists and a new product approval process for complex products.
The following chart of total daily trading-related revenue (loss) captures trading volatility and shows the number of days in which revenues for Citi’s trading businesses fell within particular ranges. Trading-related revenue includes trading, net interest and other revenue associated with Citi’s trading businesses. It excludes DVA, FVA and CVA adjustments incurred due to changes in the credit quality of counterparties, as well as any associated hedges to that CVA. In addition, it excludes fees and other revenue associated with capital markets origination activities. Trading-related revenues are driven by both customer flows and the changes in valuation of the trading inventory. As shown in the chart, positive trading-related revenue was achieved for 99.6% of the trading days in 2017.


Daily Trading-Related Revenue (Loss) (1)— Twelve Months ended December 31, 2017
In millions of dollars

(1)
Reflects the effects of asymmetrical accounting for economic hedges of certain AFS debt securities.  Specifically, the change in the fair value of hedging derivatives is included inTrading-related revenue, while the offsetting change in the fair value of hedged AFS debt securities is included in AOCI and not reflected above.




Factor Sensitivities
Factor sensitivities are expressed as the change in the value of a position for a defined change in a market risk factor, such as a change in the value of a U.S. Treasury bill for a one-basis-point change in interest rates. Citi’s market risk management, within the Risk organization, works to ensure that factor sensitivities are calculated, monitored and, in most cases, limited for all material risks taken in the trading portfolios.

Value at Risk (VAR)
VAR estimates, at a 99% confidence level, the potential decline in the value of a position or a portfolio under normal market conditions assuming a one-day holding period. VAR statistics, which are based on historical data, can be materially different across firms due to differences in portfolio composition, differences in VAR methodologies and differences in model parameters. As a result, Citi believes VAR statistics can be used more effectively as indicators of trends in risk-taking within a firm, rather than as a basis for inferring differences in risk-taking across firms.
Citi uses a single, independently approved Monte Carlo simulation VAR model (see “VAR Model Review and Validation” below), which has been designed to capture material risk sensitivities (such as first- and second-order sensitivities of positions to changes in market prices) of various asset classes/risk types (such as interest rate, credit spread, foreign exchange, equity and commodity risks). Citi’s VAR includes positions which are measured at fair value; it does not include investment securities classified as AFS or
HTM. For information on these securities, see Note 13 to the Consolidated Financial Statements.
Citi believes its VAR model is conservatively calibrated to incorporate fat-tail scaling and the greater of short-term (approximately the most recent month) and long-term (three years) market volatility. The Monte Carlo simulation involves approximately 350,000 market factors, making use of approximately 200,000 time series, with sensitivities updated daily, volatility parameters updated daily to weekly and correlation parameters updated monthly. The conservative features of the VAR calibration contribute an approximate 20% add-on to what would be a VAR estimated under the assumption of stable and perfectly, normally distributed markets.
As set forth in the table below, Citi’s average trading VAR increased from December 31, 2016 to December 31, 2017, mainly due to changes in interest rate exposures from mark-to-market hedging activity against non-trading positions in the Markets and securitiesservices businesses within ICG. The increase was partially offset by lower credit spread exposures and volatilities. Average trading and credit portfolio VAR was largely unchanged from December 31, 2016 to December 31, 2017, mainly due to a reduction of the hedging related to lending activities offsetting the increase in average trading VAR.




Year-end and Average Trading VAR and Trading and Credit Portfolio VAR
In millions of dollarsDecember 31, 20172017 AverageDecember 31, 20162016 Average
Interest rate$69
$58
$37
$35
Credit spread54
48
63
62
Covariance adjustment(1)
(25)(20)(17)(28)
Fully diversified interest rate and credit spread(2)
$98
$86
$83
$69
Foreign exchange25
25
32
24
Equity17
15
13
14
Commodity17
22
27
21
Covariance adjustment(1)
(63)(64)(70)(58)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$94
$84
$85
$70
Specific risk-only component(3)
$—
$1
$3
$7
Total trading VAR—general market risk factors only (excluding credit portfolios)$94
$83
$82
$63
Incremental impact of the credit portfolio(4)
$11
$10
$20
$22
Total trading and credit portfolio VAR$105
$94
$105
$92

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


The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
 20172016
In millions of dollarsLowHighLowHigh
Interest rate$29
$97
$25
$64
Credit spread38
63
55
73
Fully diversified interest rate and credit spread$59
$109
$59
$97
Foreign exchange16
49
14
46
Equity6
27
6
26
Commodity13
31
10
33
Total trading$58
$116
$53
$106
Total trading and credit portfolio67
123
72
131
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 dollarsDec. 31, 2017
Total—all market risk factors, including general and specific risk$93
Average—during year$83
High—during year115
Low—during year57

VAR Model Review and Validation
Generally, Citi’s VAR review and model validation process entails reviewing the model framework, major assumptions and implementation of the mathematical algorithm. In addition, as part of the model validation process, product specific back-testing on portfolios is periodically completed and reviewed with Citi’s U.S. banking regulators. Furthermore, Regulatory VAR back-testing (as described below) is performed against buy-and-hold profit and loss on a monthly basis for multiple sub-portfolios across the organization (trading desk level, ICG business segment and Citigroup) and the results are shared with U.S. banking regulators.
Significant VAR model and assumption changes must be independently validated within Citi’s risk management organization. This validation process includes a review by Citi’s model validation group and further approval from its model validation review committee, which is composed of senior quantitative risk management officers. In the event of significant model changes, parallel model runs are undertaken prior to implementation. In addition, significant model and assumption changes are subject to the periodic reviews and approval by Citi’s U.S. banking regulators.
Citi uses the same independently validated VAR model for both Regulatory VAR and Risk Management VAR (i.e., total trading and total trading and credit portfolios VARs) and, as such, the model review and oversight process for both purposes is as described above.
Regulatory VAR, which is calculated in accordance with Basel III, differs from Risk Management VAR due to the fact that certain positions included in Risk Management VAR are
not eligible for market risk treatment in Regulatory VAR. The composition of Risk Management VAR is discussed under “Value at Risk” above. The applicability of the VAR model for positions eligible for market risk treatment under U.S. regulatory capital rules is periodically reviewed and approved by Citi’s U.S. banking regulators.
In accordance with Basel III, Regulatory VAR includes all trading book-covered positions and all foreign exchange and commodity exposures. Pursuant to Basel III, Regulatory VAR excludes positions that fail to meet the intent and ability to trade requirements and are therefore classified as non-trading book and categories of exposures that are specifically excluded as covered positions. Regulatory VAR excludes CVA on derivative instruments and DVA on Citi’s own fair value option liabilities. CVA hedges are excluded from Regulatory VAR and included in credit risk-weighted assets as computed under the Advanced Approaches for determining risk-weighted assets.

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

The following graph shows the daily buy-and-hold profit and loss associated with Citi’s covered positions compared to Citi’s one-day Regulatory VAR during 2017. During 2017, there were no back-testing exceptions observed for Citi’s Regulatory VAR.

The difference between the 45.4% of days with buy-and-hold gains for Regulatory VAR back-testing and the 99.6% of days with trading, net interest and other revenue associated with Citi’s trading businesses, shown in the histogram of daily trading-related revenue below, reflects, among other things, that a significant portion of Citi’s trading-related revenue is not generated from daily price movements on these positions and exposures, as well as differences in the portfolio composition of Regulatory VAR and Risk Management VAR.

Regulatory Trading VAR and Associated Buy-and-Hold Profit and Loss (1)—12 Months ended December 31, 2017
In millions of dollars
(1)Buy-and-hold profit and loss, as defined by the banking regulators under Basel III, represents the daily mark-to-market revenue movement attributable to the trading position from the close of the previous business day. Buy-and-hold profit and loss excludes realized trading revenue and net interest intra-day trading profit and loss on new and terminated trades, as well as changes in reserves. Therefore, it is not comparable to the trading-related revenue presented in the chart of daily trading-related revenue above.




Stress Testing
Citi performs market risk stress testing on a regular basis to estimate the impact of extreme market movements. It is performed on individual positions and trading portfolios, as well as in aggregate, inclusive of multiple trading portfolios. Citi’s independent market risk management, organization, after consultations with the businesses, develops both systemic and specific stress scenarios, reviews the output of periodic stress testing exercises, and uses the information to assess the ongoing appropriateness of exposure levels and limits. Citi uses two complementary approaches to market risk stress testing across all major risk factors (i.e., equity, foreign exchange, commodity, interest rate and credit spreads): top-down systemic stresses and bottom-up business specificbusiness-specific stresses. Systemic stresses are designed to quantify the potential impact of extreme market movements on a firm-widean institution-wide basis, and are constructed using both historical periods of market stress and projections of adverse economic scenarios. Business specificBusiness-specific stresses are designed to probe
the risks of particular portfolios and market segments, especially those risks that are not fully captured in VAR and systemic stresses.
The systemic stress scenarios and business specificbusiness-specific stress scenarios at Citi are used in several reports reviewed by senior management and also to calculate internal risk capital for trading market risk. In general, changes in market factorsvalues are defined over a one-year horizon. However, for the purpose of calculating internal risk capital, changes in a very limited number ofFor the most liquid positions and market factors, changes in market values are defined over a shorter three-monthtwo-month horizon. The limited set of positions and market factors subject to the shorter three-monthwhose market value changes are defined over a two-month time horizon are those that in management’s judgment have historically remained very liquid during financial crises, even as the trading liquidity of most other positions and market factors materially decreased.declined.



111

Factor Sensitivities
Factor sensitivities are expressed as the change in the value of a position for a defined change in a market risk factor, such as a change in the value of a Treasury bill for a one-basis-point change in interest rates. Citi’s independent market risk management ensures that factor sensitivities are calculated, monitored, and in most cases, limited, for all material risks taken in a trading portfolio.


112

OPERATIONAL RISK

Operational risk is the risk of loss resulting from inadequate or failed internal processes, systems or human factors, or from external events. It includes risk of failing to comply with applicable laws and regulations, but excludes strategic risk. Operational risk includes the reputation and franchise risk associated with business practices or market conduct in which Citi is involved. involved, as well as compliance, conduct and legal risks.
Operational risk is inherent in Citigroup’sCiti’s global business activities, as well as the internal processes thatrelated support those business activities,functions, and can result in losses arising from events related toassociated with the following, among others:

fraud, theft and unauthorized activities;activity;
employment practices and workplace environment;
clients, products and business practices;
physical assets and infrastructure; and
execution, delivery and process management.

Operational Risk Management
Citi’sCiti manages operational risk is managed throughconsistent with the overall framework described in “Managing Global Risk—Overview” above.
The Company’s goal is to keep operational risk at appropriate levels relative to the characteristics of Citigroup’sCiti’s businesses, the markets in which it operates, its capital and liquidity and the competitive, economic and regulatory environment.
To anticipate, mitigate and control operational risk, Citigroup maintains a system ofCiti has established policies and has established a consistentglobal framework for assessing, monitoring assessing and communicating operational risks and the overall operating effectiveness of the internal control environment across Citigroup. As part of this framework, Citi has defined its operational risk appetite and has established a Manager’s Control Assessmentmanager’s control assessment (MCA) process (as described under “Citi’s Compliance Organization” above)(a process through which managers at Citi identify, monitor, measure, report on and manage risks and the related controls) to help managers self-assess keysignificant operational risks and key controls and identify and address weaknesses in the design and/or operating effectiveness of internal controls that mitigate significant operational risks.
As noted above, eachEach major business segment must implement an operational risk process consistent with the requirements of this framework. The process for operational risk management includes the following steps:

identify and assess key operational risks;
design controls to mitigate identified risks;
establish key risk and control indicators;
implement a process for early problem recognition and timely escalation;
produce a comprehensive operational risk report;reporting; and
ensure that sufficient resources are available to actively improve the operational risk environment and mitigate emerging risks.

As new products and business activities are developed, processes are designed, modified or sourced through alternative means and operational risks are considered.
An Operational Risk Council providesManagement Committee has been established to provide oversight for operational risk across Citigroup.
Citigroup and to provide a forum to assess Citi’s operational risk profile and ensure actions are taken so that Citi’s operational risk exposure is actively managed consistent with Citi’s risk appetite. The council’s membersCommittee seeks to ensure that these actions address the root causes that persistently lead to operational risk losses and create lasting solutions to minimize these losses. Members include Citi’s Chief Risk Officer and Citi’s Head of Operational Risk and senior members of Citi’s Franchise Risk and Strategy group and Citi’s Chief Risk Officer’s organization coveringtheir organizations. These members cover multiple dimensions of risk management and include business and regional Chief Risk Officers and senior operational risk managers.
In addition, Risk management, including Operational Risk Management, works proactively with representatives
the businesses and other independent control functions to embed a strong operational risk management culture and framework across Citi. Operational Risk Management engages with the businesses to ensure effective implementation of the BusinessOperational Risk Management framework by focusing on (i) identification, analysis and Regional Chief Risk Officers’ organizations. The council’s focus is on identificationassessment of operational risks, (ii) effective challenge of key control issues and operational risks and (iii) anticipation and mitigation of operational risk and related incidents. The council works with the business segments and the control functions (e.g., Compliance, Finance, Risk and Legal) with the objective of ensuring a transparent, consistent and comprehensive framework for managing operational risk globally.events.
In addition, Operational Risk Management, within Citi’s Franchise Risk and Strategy group, proactively assists the businesses, operations and technology and the other independent control groups in enhancing the effectiveness of controls and managing operational risks across products, business lines and regions.

Operational Risk Measurement and Stress Testing
As noted above, informationInformation about the businesses’ operational risk, historical operational risk losses and the control environment is reported by each major business segment and functional area. The information is summarized and reported to senior management, as well as to the Audit Committee of Citi’s Board of Directors.
Operational risk is measured and assessed through risk capital (see “Managing Global Risk—Risk Capital” above).capital. Projected operational risk losses under stress scenarios are also required as part of the Federal Reserve Board’s CCAR process.


COMPLIANCE RISK
Compliance risk is the risk arising from violations of, or non-conformance with, local, national, or cross-border laws, rules, or regulations, Citi's internal policies, or other relevant standards of conduct or the risk of harming customers, clients or the integrity of the market.
As the champion of responsible finance, Independent Compliance Risk Management’s primary objectives are to:


Maintain a framework that facilitates enterprise-wide compliance with local, national or cross-border laws, rules or regulations, Citi’s internal policies and procedures and relevant standards of conduct;

Support Citi’s operations by assisting in the management of compliance risk across products, business lines, functions and geographies, supported by globally consistent systems and processes; and



Drive and embed a risk culture of compliance, control and ethical conduct throughout Citi.




113


COUNTRY AND CROSS-BORDER RISKIndependent Compliance Risk Management (ICRM) Program
To anticipate, mitigate and control compliance risk, Citi has established a global independent compliance risk management framework for assessing, monitoring and communicating compliance risks. To achieve this mission, ICRM seeks to:

OVERVIEWCommunicate a strong culture of compliance, control and ethical conduct.
Generally, countryIdentify compliance risk and AML compliance risk for which each business or function has responsibility, including through compliance risk assessments, and set standards with respect to these requirements.
Identify regulatory changes and oversee the assessment of impact, as well as capture and monitor adherence to existing regulatory requirements, providing the businesses with guidance and support as needed in accordance with the regulatory change management standard.
Provide credible challenge to the first-line units in their assessment and management of compliance risk.
Perform compliance assurance activities to oversee adherence to applicable requirements.
Issue policies, procedures and other documentation that set standards for employees in conducting Citi’s business and provide oversight in the application of those standards to specific circumstances.
Manage regulatory examinations and other supervisory activity impacting Citi’s businesses and global control functions in accordance with the regulatory exam management governance and process standards.
Provide training to support the effective execution of roles and responsibilities related to the identification, control, reporting and escalation of matters related to compliance risks.
Report to senior management and the Citigroup Board of Directors or their designated committees on the effectiveness of the processes and standards implemented to manage compliance risk.
Escalate through the appropriate channels, which may include governance forums, the results of monitoring, testing, reporting or other oversight activities that may represent a violation of law, regulation, policy or other significant compliance risk and take reasonable action to see that the matter is appropriately identified, tracked and resolved, including through the issuance of corrective action plans against the first line of defense.
Advise, as needed or when required by policy, on the degree to which existing and new business processes, methodologies, performance, products, services, transactions or customer segments satisfy Citi standards and are consistent with the prudent management of compliance risk.

CONDUCT RISK
Citi places conduct risk within compliance risk and defines conduct risk as the risk that Citi’s employees or agents may—intentionally or through negligence—harm customers, clients, or the integrity of the markets, and thereby the integrity of the Company. Citi manages its exposure to conduct risk through a global conduct risk program that is implemented across its businesses and functions. The conduct risk program requires all three lines of defense to understand and perform certain key roles and responsibilities. The first line of defense owns and manages the risks inherent in or arising from the business, including conduct risk, and is responsible for managing, minimizing and mitigating those risks. The second line of defense takes a risk-based approach to assess, advise on, monitor and test current and emerging significant conduct risks across products, businesses, functions, countries and regions and works to enhance the effectiveness of controls. The third line of defense provides independent risk-based assurance over the conduct risk program based upon a risk-based audit plan and audit methodology as approved by the Citigroup Board of Directors.
Each business and function identifies its significant conduct risks through a diagnostic process that includes broadly understanding their potential significant conduct risks in the context of their overall activities, identifying and flagging their significant conduct risks and related controls and incorporating the results of this diagnostic process into their annual risk assessment process. Citi also manages its conduct risk through other initiatives, including various culture-related efforts.

LEGAL RISK
Citi views legal risk as qualitative in nature because it does not lend itself to an eventappetite expressed through a numerical limit and it cannot be reliably estimated or measured based on forecasts. As such, Citi seeks to manage this risk in accordance with its qualitative risk appetite principle, which generally states that activities in which Citi engages and the risks those activities generate must be consistent with Citi’s underlying commitment to the principle of responsible finance and managed with a country (precipitatedgoal to eliminate, minimize or mitigate this risk, as practicable. To accomplish this goal, legal risk is managed in accordance with the overall framework described in greater detail in “Managing Global Risk—Overview” above.

REPUTATIONAL RISK
Citi’s reputation is a vital asset in building trust with its stakeholders and Citi is diligent in communicating its corporate values, including the importance of protecting Citi’s reputation, to its employees, customers and investors.  The responsibility for maintaining Citi’s reputation is shared by developments internal all employees, who are guided by Citi’s code of conduct.  Employees are expected to exercise sound judgment and common sense in every action they take and issues that present potential franchise, reputational and/or externalsystemic risks are to a country) could directly or indirectly impair the valuebe appropriately escalated.  The business practices committees for each of Citi’s businesses and regions are part of the governance infrastructure Citi has in place to properly

review business activities, sales practices, product design, perceived conflicts of interest and other potential franchise or adversely affectreputational risks that arise in these businesses and regions.  These committees may also raise potential franchise, reputational or systemic risks for due consideration by the abilitybusiness practices committee at the corporate level.   All of obligors within that countrythese committees, which are composed of Citi’s most senior executives, provide the guidance necessary for Citi’s business practices to honor their obligations to meet the highest standards of professionalism, integrity and ethical behavior consistent with Citi’s mission and value proposition.

STRATEGIC RISK
Citi any of which could negatively impactsenior management, led by Citi’s results of operations or financial condition. Country risk events could include sovereign volatility or defaults, banking failures or defaults and/or redenomination events (which could be accompanied by a revaluation (either devaluation or appreciation)CEO, is responsible for the development and execution of the affected currency). While there is some overlap, cross-borderstrategy of the Company. Significant strategic actions are reviewed and approved by, or notified to, the Citigroup and Citibank Board of Directors, as appropriate.  The Citigroup Board of Directors holds an annual strategic meeting and annual regional strategic meetings, and receives business presentations at its regular meetings, in order to monitor management’s execution of Citi’s strategy. At the business level, business heads are accountable for the interpretation and execution of the Company-wide strategy, as it applies to their area, including decisions on new business and product entries.
The management of strategic risk rests upon the foundational elements that include an annual financial operating plan encompassing all businesses, products and geographies and defined financial and operating targets, derived from the operating plan, which can be monitored throughout the year in order to assess strategic and operating performance.   Strategic risk is generallymonitored through various mechanisms, including regular updates to senior management and the risk that actions taken by a non-U.S. government may preventBoard of Directors on performance against the conversion of local currency into non-local currency (i.e., exchange controls) and/oroperating plan, quarterly business reviews between the transfer of funds outsideCiti CEO and business and regional CEOs in which the country, among other risks, thereby impacting the ability of Citigroup and its customers to transact business across borders.
Certain of the events described above could result in mandatory loan loss and other reserve requirements imposed by U.S. regulators due to a particular country’s economic situation. While Citi continues to work to mitigate its exposures to potential country and cross-border risk events, the impact of any such event is highly uncertain and will ultimately be based on the specific facts and circumstances. As a result, there can be no assurance that the various steps Citi has taken to mitigate its exposuresperformance and risks and/or protect its businesses, results of operationseach major business and financial condition against these events will be sufficient. In addition, there could be negative impactsregion are discussed, ongoing reporting to Citi’s businesses, results of operations or financial condition that are currently unknown to Citisenior management and thus cannot be mitigated as part of its ongoing contingency planning.
For additional information on country and cross-border risk at Citi, including its riskexecutive management processes, see “Managing Global Risk” above. See also “Risk Factors” above.scorecards.



114


COUNTRY RISKCountry Risk

Emerging Markets
Top 25 Country Exposures
Citi generally defines emerging markets as countries in Latin America, Asia (other than Japan, Australia and New Zealand), central and eastern Europe, the Middle East and Africa.
The following table presents Citicorp’s principal emerging markets assetsCiti’s top 25 exposures by
country (excluding the U.S.) as of December 31, 2014.2017. The total exposure as of December 31, 2017 to the top 25 countries disclosed below, in combination with the U.S., would represent, approximately 94% of Citi’s exposure to all countries. For


purposes of the table, below, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will generally be categorized as a loan in China. In addition, Citi has developed regional booking centers in certain countries, most significantly in the United Kingdom (U.K.) and Ireland, in order to more efficiently serve its corporate customers. As an example, with respect to the U.K., only 24% of corporate
loans presented in the table below are to U.K. domiciled
entities (25% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 80% of the total U.K. funded loans and 88% of
the total U.K. unfunded commitments were investment grade
as of December 31, 2017. Trading account assets and investment securities are generally categorized below based on the domicile of the issuer of the security orof the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
For a discussion of uncertainties arising as a result of the terms and other uncertainties resulting from the U.K.’s potential exit from the EU, see “Risk Factors—Strategic Risks” above.

As of December 31, 2014As of Sept. 30, 2014As of Dec. 31, 2013
GCB NCL Rate
In billions of dollars
Trading Account Assets(1)
Investment Securities(2)
ICG Loans(3)(4)
GCB Loans(3)
Aggregate(5)
Aggregate(5)
4Q’143Q’144Q’13
ICG
loans(1)
GCB loans
Other funded(3)
Unfunded(4)
Net MTM on derivatives/repos(5)
Total hedges (on loans and CVA)
Investment securities(6)
Trading account assets(7)
Total
as of
4Q17
Total
as of
3Q17
Total
as of
4Q16
Total as a % of Citi as of 4Q17(8)
United Kingdom$36.1
$—
$4.6
$60.3
$8.4
$(2.2)$7.0
$(1.0)$113.2
$110.2
$107.5
7.2%
Mexico(6)
$2.8
$20.3
$9.0
$28.0
$60.0
$67.6
$74.2
5.7 %4.9 %4.2%9.4
25.3
0.4
7.3
0.5
(0.7)13.1
3.1
58.4
62.8
52.4
3.7
Hong Kong16.3
11.6
0.7
6.4
0.7
(0.3)5.7
1.1
42.2
40.8
35.9
2.7
Singapore15.2
12.4
0.3
5.1
1.2
(0.2)7.1
0.3
41.4
43.8
36.4
2.6
Korea(0.9)9.9
3.2
23.5
35.7
39.0
39.9
0.8
0.9
1.2
2.2
19.9
0.2
3.3
2.2
(1.2)7.7
1.0
35.3
34.2
34.0
2.3
Singapore0.4
5.9
8.0
14.4
28.8
31.4
29.1
0.2
0.2
0.3
Hong Kong1.3
4.2
10.2
10.7
26.3
27.1
25.7
0.5
0.6
0.4
Brazil3.8
3.4
15.1
3.9
26.2
27.4
25.6
6.8
5.5
5.7
Ireland12.6
—
2.3
15.8
0.4
—
—
0.8
31.9
28.8
24.8
2.0
India2.2
7.7
9.7
6.1
25.6
25.2
25.7
0.9
0.8
1.0
6.4
7.0
0.6
5.3
1.1
(0.7)9.3
1.3
30.3
28.7
30.9
1.9
Australia4.4
10.9
—
5.6
0.8
(0.5)3.8
0.2
25.2
27.0
22.4
1.6
Brazil(2)
11.7
—
—
2.7
5.0
(1.8)3.2
3.9
24.7
28.0
28.5
1.6
China2.5
3.5
11.2
4.9
22.0
22.3
20.8
0.9
0.3
0.6
8.0
4.6
0.4
1.8
1.8
(0.7)3.8
(0.3)19.4
20.8
17.2
1.2
Germany0.1
—
—
3.9
4.3
(1.9)8.9
3.8
19.1
18.6
16.0
1.2
Japan3.1
0.1
0.2
2.7
2.8
(1.0)5.3
4.5
17.7
18.8
18.3
1.1
Taiwan1.4
0.9
4.4
7.2
13.9
14.1
14.4
0.2
0.1
0.2
4.5
9.1
0.1
1.1
0.3
—
1.3
0.9
17.3
18.5
16.6
1.1
Canada1.8
0.6
0.5
7.0
1.8
(0.4)4.4
0.6
16.3
16.0
17.0
1.0
Poland1.1
4.5
1.5
2.9
10.0
11.2
11.2
(1.7)0.2
0.2
3.6
2.0
—
3.1
—
(0.1)5.0
0.4
14.0
13.6
11.8
0.9
Malaysia0.8
0.6
1.6
5.5
8.5
9.4
8.9
0.7
0.6
0.6
1.4
4.9
0.3
2.1
0.1
(0.1)0.9
0.4
10.0
9.1
9.3
0.6
Russia(7)
0.3
0.5
4.6
1.2
6.5
8.8
10.3
2.8
2.8
1.8
Thailand0.9
2.2
—
1.8
0.1
—
1.8
0.6
7.4
7.0
5.8
0.5
United Arab Emirates2.9
1.5
0.1
2.5
0.3
(0.1)—
(0.2)7.0
6.7
6.0
0.4
Russia1.8
1.0
—
1.0
1.9
(0.1)0.8
0.2
6.6
5.0
5.3
0.4
Indonesia0.2
0.8
4.1
1.3
6.5
7.1
6.4
3.3
2.2
2.0
1.9
1.1
—
1.5
—
(0.1)1.5
0.4
6.3
6.2
5.2
0.4
Turkey(8)
0.4
1.8
2.8
0.8
5.7
5.4
4.9
(0.1)(0.1)0.1
Colombia—
0.4
2.5
2.0
4.9
5.2
5.4
3.4
3.5
4.9
Thailand0.3
1.2
1.1
2.1
4.6
4.9
4.8
2.8
2.6
2.0
UAE(0.1)—
3.0
1.5
4.4
4.3
4.1
1.9
2.6
2.4
Luxembourg—
—
—
—
0.5
(0.3)4.6
0.6
5.4
6.1
5.4
0.3
Colombia(2)
1.7
1.6
—
1.1
0.3
—
0.4
—
5.1
4.9
5.6
0.3
Jersey3.2
—
—
1.6
—
—
—
—
4.8
4.5
3.7
0.3
South Africa0.6
0.7
2.0
—
3.3
3.0
2.0
—
—
—
1.6
—
—
1.2
0.4
(0.1)1.4
(0.2)4.3
4.3
3.9
0.3
Philippines0.4
0.4
1.3
1.0
3.1
3.2
3.1
3.8
4.2
3.3
Argentina(7)
0.1
0.3
1.5
1.1
3.0
2.7
2.8
1.0
1.0
1.1
Peru(0.1)0.2
1.7
0.5
2.2
2.2
2.1
3.6
3.5
3.3
Argentina(2)
1.9
—
—
0.1
1.3
(0.4)0.4
0.9
4.2
4.3
2.2
0.3
 Total
36.2%

Note: Aggregate may not cross-foot due to rounding.
(1)Trading account assets are shown on a
ICG loans reflect funded corporate loans and private bank loans, net basis. Citi’s trading account assets will varyof unearned income. As of December 31, 2017, private bank loans in the table above totaled $23.5 billion, concentrated in Singapore ($7.0 billion), Hong Kong ($6.8 billion) and the U.K. ($5.1 billion).                    

(2)
GCB loans include funded loans in Argentina, Brazil and Colombia related to businesses that were transferred to Corporate/Other as it maintains inventory consistent with customer needs.of January 1, 2016. The sales of the Argentina and Brazil consumer banking businesses were completed in the first and fourth quarters of 2017, respectively.
(2)(3)
Other funded includes other direct exposure such as accounts receivable, loans held-for-sale, other loans in Corporate/Other and investments accounted for under the equity method.                                        
(4)Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.            
(5)Net mark-to-market on derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.                                        
(6)Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.
(3)(7)
Reflects funded loans,Trading account assets are shown on a net of unearned income. In addition tobasis and include issuer risk on cash products and derivative exposure where the funded loans disclosedunderlying reference entity/issuer is located in the table above, through its ICG businesses, Citi had unfunded commitments to corporate customers in the emerging markets of approximately $34 billion as of December 31, 2014 (approximately unchanged from September 30, 2014 and down from approximately $37 billion as of December 31, 2013); no single country accounted for more than $4 billion of this amount.
(4)
As of December 31, 2014, non-accrual loans represented 0.6% of total ICG loans in the emerging markets. For the countries in the table above, non-accrual loan ratios as of December 31, 2014 ranged from 0.0% to 0.4%, other than in Hong Kong and Brazil. In Hong Kong, the non-accrual loan ratio was 1.6% as of December 31, 2014 (compared to 1.5% and 2.5% as of September 30, 2014 and December 31, 2013, respectively), primarily reflecting the impact of one counterparty. In Brazil, the non-accrual loan ratio was 1.0% as of December 31, 2014 (compared to 1.6% and 0.3% as of September 30, 2014 and December 31, 2013, respectively), primarily reflecting the impact of one counterparty.
that country.
(5) Aggregate of Trading account assets, Investment securities, ICG loansand GCB loans.
(6) 4Q’14 NCL rate included a charge-off of approximately $70 million related to homebuilder exposure that was fully offset with previously established reserves.
(7)For additional information on certain risks relating to Russia and Argentina, see “Cross-Border Risk” below.
(8)Investment securities in Turkey include Citi’s remaining $1.6 billion investment in Akbank T.A.S. For additional information, see Note 14 to the Consolidated Financial Statements.

115


Emerging Markets Trading Account Assets and Investment Securities
In the ordinary course of business, Citi holds securities in its trading accounts and investment accounts, including those above. Trading account assets are marked-to-market daily, with asset levels varying as Citi maintains inventory consistent with customer needs. Investment securities are recorded at either fair value or historical cost, based on the underlying accounting treatment, and are predominantly held as part of the local entity asset and liability management program, or to comply with local regulatory requirements. In the markets in the table above, 96% of Citi’s investment securities were related to sovereign issuers as of December 31, 2014.Argentina

Emerging Markets Consumer Lending
GCB’s strategy within the emerging markets is consistent with GCB’s overall strategy, which is to leverage its global footprint to serve its target clients. The retail bank seeks to be the preeminent bank for the emerging affluent and 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. Commercial banking generally serves small- and middle-market enterprises operating in GCB’s geographic markets, focused on clients that value Citi’s global capabilities. Overall, Citi believes that its customers are more resilient than the overall market under a wide range of economic conditions. Citi’s consumer business has a well-established risk appetite framework across geographies and products that reflects the business strategy and activities and establishes boundaries around the key risks that arise from the strategy and activities.
As of December 31, 2014, GCB had2017, Citi’s net investment in its Argentine operations was approximately $123 billion$954 million, compared to $725 million at December 31, 2016.
Citi uses the Argentine peso as the functional currency in Argentina and translates its financial statements into U.S. dollars using the official exchange rate as published by the Central Bank of consumer loans outstanding to borrowersArgentina. The impact of devaluations of the Argentine peso on Citi’s net investment in Argentina, net of hedges, is reported as a translation loss in stockholders’ equity.
Although Citi currently uses the Argentine peso as the functional currency, an increase in inflation resulting in a cumulative three-year inflation rate of 100% or more would result in a change in the emerging markets, or approximately 41%functional currency to the U.S. dollar. Citi has historically based its evaluation of GCB’s total loans, comparedthe cumulative three-year inflation rate on the CPI (Consumer Price Index) inflation statistics published by INDEC, the Argentine government’s statistics agency. However, for the period from November 2015 to $128 billion (43%) and $127 billion (42%) as of September 30, 2014 and December 31, 2013, respectively. OfApril 2016, INDEC did not publish CPI statistics, which has led to uncertainty about the approximate $123 billion ascumulative three-year inflation rate. As of December 31, 2014,2017, Citi evaluated the five largest emerging markets—Mexico, Korea, Singapore, Hong Kongavailable CPI statistics as well as inflation statistics published by the Argentine Central Bank and Taiwan—comprised approximately 28%concluded that Argentina’s cumulative three-year inflation rate had not reached 100%. However, uncertainty continues as to the cumulative three-year inflation rate, and additional information received in future periods could result in a change of GCB’s total loans.functional currency to the U.S. dollar in 2018.
WithinWhile a change in the emerging markets, 29%functional currency to the U.S. dollar would not result in any immediate gains or losses to Citi, it would result in future changes in the translation of Citi’s GCB loans were mortgages, 26% were commercial markets loans, 24% were personal loansArgentine peso-denominated assets and 22% were credit cards loans, each asliabilities into U.S. dollars being recorded in earnings instead of December 31, 2014.
Overall consumer credit quality remained generally stable in the fourth quarter of 2014, as net credit losses in the emerging markets were 2.2% of average loans, compared to 2.1% and 1.9% in the third quarter of 2014 and fourth quarter of 2013, respectively, consistent with Citi’s target market strategy and risk appetite framework.stockholders’ equity.


 
Emerging Markets Corporate Lending
Consistent with ICG’s overall strategy, Citi’s corporate clients in the emerging markets are typically large, multinational corporations that value Citi’s global network. Citi aims to establish relationships with these clients that encompass multiple products, consistent with client needs, including cash management and trade services, foreign exchange, lending, capital markets and M&A advisory. Citi believes that its target corporate segment is more resilient under a wide range of economic conditions, and that its relationship-based approach to client service enables it to effectively manage the risks inherent in such relationships. Citi has a well-established risk appetite framework around its corporate lending activities, including risk-based limits and approval authorities and portfolio concentration boundaries.
As of December 31, 2014, ICG had approximately $118 billion of loans outstanding to borrowers in the emerging markets, representing approximately 43% of ICG total loans outstanding, compared to $125 billion (45%) and $126 billion (47%) as of September 30, 2014 and December 31, 2013, respectively. No single emerging market country accounted for more than 6% of Citi’s ICG loans as of the end of the fourth quarter of 2014.
As of December 31, 2014, approximately 70% of Citi’s emerging markets corporate credit portfolio (excluding private bank in ICG), including loans and unfunded lending commitments, was rated investment grade, which Citi considers to be ratings of BBB or better according to its internal risk measurement system and methodology (for additional information on Citi’s internal risk measurement system for corporate credit, see “Corporate Credit Details” above). The vast majority of the remainder was rated BB or B according to Citi’s internal risk measurement system and methodology.
Overall ICG net credit losses in the emerging markets were 0.4% of average loans in the fourth quarter of 2014, compared to 0.0% in each of the third quarter of 2014 and fourth quarter of 2013, primarily driven by a charge-off related to a single exposure. The ratio of non-accrual ICG loans to total loans in the emerging markets remained stable at 0.6% as of December 31, 2014.


116


CROSS-BORDER RISK
FFIEC—Cross Border OutstandingsCross-Border Claims on Third Parties and Local Country Assets
Citi’s cross-border disclosures are based on the country exposure bank regulatory reporting guidelines of the Federal Financial Institutions Examination Council (FFIEC), as revised in December 2013.. The following summarizes some of the FFIEC key reporting guidelines:

Amounts are based on the domicile of the ultimate obligor, counterparty, collateral, issuer or guarantor, as applicable.
Amounts do not consider the benefit of collateral received for securitiessecured financing transactions (i.e., repurchase agreements, reverse repurchase agreements and securities loaned and borrowed) and are reported based on notional amounts.
Netting of derivativesderivative receivables and payables, reported at fair value, is permitted, but only under a legally binding netting agreement with the same specific counterparty, and does not include the benefit of margin received or hedges.
The netting of long and short positions for AFS securities and trading portfolios is not permitted.
Credit default swaps (CDS) are included based on the gross notional amount sold and purchased and do not include any offsetting CDS on the same underlying entity.
Loans are reported without the benefit of hedges.

Given the requirements noted above, Citi’s FFIEC cross-border exposures and total outstandings tend to fluctuate, in some cases, significantly, from period to period. As an example, because total outstandings under FFIEC guidelines do not include the benefit of margin or hedges, market volatility in interest rates, foreign exchange rates and credit spreads may cause significant fluctuations in the level of total outstandings, all else being equal.




117


The tables below set forth each country whose total outstandings exceeded 0.75% of total Citigroup assets as of December 31, 2014 and December 31, 2013:assets:
December 31, 2014December 31, 2017
Cross-Border Claims on Third Parties and Local Country AssetsCross-border claims on third parties and local country assets
In billions of U.S. dollarsBanksPublic
NBFIs(1)
Other (Corporate
and Households)
Trading
Assets(2)
Short Term Claims(2)
Total Outstanding(3)
Commitments
 and
Guarantees(4)
Credit Derivatives Purchased(5)
Credit Derivatives
Sold(5)
Banks (a)Public (a)
NBFIs(1) (a)
Other (corporate
and households) (a)
Trading
assets(2) (included in (a))
Short-term claims(2) (included in (a))
Total outstanding(3) (sum of (a))
Commitments
 and
guarantees(4)
Credit derivatives purchased(5)
Credit derivatives
sold(5)
United Kingdom$23.9
$18.0
$47.0
$27.7
$12.8
$62.4
$116.6
$19.0
$104.0
$105.5
$17.3
$23.2
$36.4
$19.4
$13.5
$62.4
$96.3
$32.3
$74.9
$77.1
Cayman Islands—
—
63.6
8.6
4.3
45.3
72.2
5.2
—
—
Germany6.9
38.3
9.3
11.8
10.2
45.4
66.2
12.1
54.6
54.1
Japan25.4
25.8
6.4
8.5
13.3
49.6
66.1
6.1
22.9
22.3
Mexico7.9
29.7
6.5
37.3
8.9
41.4
81.4
4.6
6.8
6.4
4.8
18.3
7.9
34.4
4.7
42.8
65.4
19.6
6.4
6.2
Japan12.8
32.0
9.6
4.6
7.0
42.3
59.0
4.3
22.6
21.7
Cayman Islands0.1
—
47.5
3.3
2.0
35.8
50.9
2.1
—
—
France23.2
3.5
16.2
6.1
7.0
29.7
49.0
12.5
87.0
88.0
14.3
5.1
21.1
6.1
8.7
37.2
46.6
23.6
59.8
60.6
Korea1.1
18.5
1.0
27.5
2.2
39.3
48.1
14.6
11.4
9.3
Germany12.4
17.3
3.1
6.1
6.6
16.1
38.9
10.7
80.0
81.0
China8.9
10.5
2.2
13.7
5.2
24.5
35.3
1.6
11.5
12.0
South Korea2.5
15.8
1.9
24.4
1.4
38.3
44.6
16.7
14.4
12.4
Singapore1.9
22.5
4.3
15.0
0.4
33.6
43.7
10.9
1.8
1.8
India5.8
11.4
2.7
15.1
5.9
23.2
35.0
4.2
1.8
1.5
6.0
12.7
4.4
16.0
5.6
25.8
39.1
9.5
2.5
2.1
Australia8.0
5.3
3.6
17.0
6.6
12.5
33.9
10.7
12.1
11.7
4.6
8.2
4.7
15.0
7.3
19.3
32.5
13.2
13.2
13.3
Singapore2.5
7.9
6.4
17.0
0.6
20.2
33.8
1.8
1.4
1.3
China5.2
9.5
3.7
12.9
3.6
24.4
31.3
3.9
14.2
14.5
Hong Kong0.8
9.8
3.0
16.1
5.0
23.9
29.7
14.5
2.5
2.3
Brazil5.1
11.5
1.1
14.7
4.6
20.5
32.4
5.7
11.9
10.2
3.7
11.4
0.9
10.5
5.5
17.3
26.6
2.2
10.6
9.6
Netherlands8.7
7.6
8.4
7.2
2.3
11.3
31.9
7.0
30.4
30.6
5.8
9.5
4.9
6.1
4.1
15.9
26.3
9.8
27.3
27.8
Hong Kong1.1
8.0
2.6
15.2
3.4
15.9
26.9
2.4
2.6
1.9
Taiwan1.0
6.1
2.2
13.3
2.7
16.9
22.5
14.1
0.1
0.1
Canada6.6
4.5
6.0
7.3
4.7
11.1
24.4
7.6
6.7
7.1
4.3
4.7
7.8
4.9
2.9
11.1
21.7
13.3
5.4
6.2
Switzerland5.0
13.7
0.7
4.0
0.4
16.2
23.4
4.6
25.9
26.4
1.2
13.7
1.3
4.2
1.7
17.2
20.4
5.1
19.3
19.4
Taiwan1.9
6.9
1.1
9.8
1.7
13.3
19.7
13.3
0.1
—
Italy2.0
12.1
0.8
0.9
4.6
5.9
15.8
3.5
71.3
68.3
3.3
11.3
0.6
1.3
7.5
9.3
16.5
2.7
59.6
58.4
Ireland4.6
0.4
8.0
1.8
1.3
8.9
14.8
2.9
4.3
4.2
December 31, 2013December 31, 2016
Cross-Border Claims on Third Parties and Local Country Assets
Cross-border claims on third parties and local country assets

In billions of U.S. dollarsBanksPublic
NBFIs(1)
Other (Corporate
and Households)
Trading
Assets(2)
Short Term Claims(2)
Total Outstanding(3)
Commitments
 and
Guarantees(4)
Credit Derivatives Purchased(5)
Credit Derivatives
Sold(5)
Banks (a)Public (a)
NBFIs(1) (a)
Other
(corporate
and households) (a)
Trading
assets(2) (included in (a))
Short-term claims(2) (included in (a))
Total outstanding(3) (sum of (a))
Commitments
 and
guarantees(4)
Credit derivatives purchased(5)
Credit derivatives
sold(5)
United Kingdom$29.4
$12.3
$37.8
$31.6
$14.5
$62.9
$111.1
$17.7
$119.2
$119.4
$15.0
$18.1
$35.3
$20.0
$8.7
$47.7
$88.4
$23.2
$81.8
$82.9
Mexico6.8
37.1
5.9
40.8
8.2
42.5
90.6
5.4
6.2
6.3
6.4
18.3
7.7
30.7
4.5
29.9
63.1
17.0
7.3
6.7
Cayman Islands0.1
—
55.6
3.8
1.3
35.5
59.5
2.9
0.4
0.1
Japan14.9
29.0
12.8
6.4
11.4
45.0
63.1
3.5
23.8
22.7
21.2
27.3
7.4
3.0
7.2
42.1
58.9
7.2
25.3
24.9
Cayman Islands0.2
—
46.5
6.6
2.9
41.8
53.3
1.3
0.1
—
Germany7.9
26.7
8.8
6.7
4.2
28.3
50.1
12.9
65.4
63.5
France19.7
2.8
13.9
5.9
5.3
28.8
42.3
12.3
100.6
98.8
15.8
4.3
24.5
2.8
2.9
36.1
47.4
11.9
64.9
64.4
Korea1.5
16.3
0.5
28.9
2.8
35.8
47.2
19.1
11.7
9.5
2.2
15.4
0.8
21.6
1.4
32.1
40.0
16.4
11.0
9.4
Germany11.7
18.5
1.9
4.8
6.5
20.3
36.9
9.4
98.6
97.6
Singapore2.6
17.4
2.4
14.3
1.1
28.2
36.7
11.9
1.5
1.4
India5.7
11.5
2.1
13.3
2.8
23.2
32.6
7.9
2.1
1.6
Brazil3.5
11.9
0.8
15.0
5.1
19.8
31.2
5.1
11.9
10.1
Australia6.2
7.4
4.5
12.3
6.0
14.3
30.4
11.8
17.5
17.2
China9.3
8.7
1.9
12.7
3.1
23.0
32.6
1.6
7.3
7.6
4.2
12.2
2.4
11.2
3.8
25.7
30.0
3.9
12.6
13.2
India6.7
10.9
1.3
15.0
4.8
23.1
33.9
3.8
2.2
2.0
Australia7.2
4.0
5.1
18.1
7.5
13.6
34.4
11.9
15.5
14.6
Singapore2.3
9.4
1.4
16.1
0.8
14.0
29.2
2.1
1.4
1.3
Brazil3.8
11.0
0.3
17.1
5.1
23.6
32.2
7.3
7.7
7.3
Netherlands7.6
8.6
3.3
6.5
2.8
14.2
26.0
8.0
35.8
35.1
8.8
9.9
6.2
4.4
2.1
14.2
29.3
7.7
29.5
29.3
Hong Kong1.7
7.5
2.6
15.2
3.7
16.4
27.0
2.1
2.6
2.4
0.9
10.3
2.7
13.4
4.9
24.4
27.3
12.9
2.3
1.9
Switzerland1.9
13.1
1.2
4.8
0.7
17.2
21.0
5.5
20.8
20.7
Canada4.5
4.1
3.6
8.2
4.9
10.8
20.4
7.3
6.6
6.3
4.2
4.5
5.8
6.2
2.2
8.9
20.7
13.9
6.6
6.8
Switzerland4.2
9.6
0.8
4.6
0.6
14.5
19.2
5.7
32.2
31.9
Taiwan1.6
7.0
0.3
9.9
1.6
11.7
18.8
14.0
0.2
0.1
0.9
5.8
1.7
11.4
1.9
15.4
19.8
12.6
0.1
0.1
Italy2.8
15.0
0.4
1.3
6.3
7.0
19.5
3.2
78.9
72.4
2.4
8.5
1.3
1.0
3.8
5.9
13.2
2.7
66.0
63.6
Ireland5.0
0.7
4.0
1.5
1.5
8.1
11.2
2.6
4.1
4.1

(1)Non-bank financial institutions.
(2)Included in total outstanding.

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(3)Total outstanding includes cross-border claims on third parties, as well as local country assets. Cross-border claims on third parties includesinclude cross-border loans, securities, deposits with banks and other monetary assets, as well as net revaluation gains on foreign exchange and derivative products.
(4)Commitments (not included in total outstanding) include legally binding cross-border letters of credit and other commitments and contingencies as defined by the FFIEC guidelines. The FFIEC definition of commitments includes commitments to local residents to be funded with local currency liabilities originated within the country.
(5)CDS are not included in total outstanding.

Argentina
Since 2011, the Argentine government has been tightening its foreign exchange controls. As a result, Citi’s access to U.S. dollars and other foreign currencies, which apply to capital repatriation efforts, certain operating expenses and discretionary investments offshore, is limited.
As of December 31, 2014, Citi’s net investment in its Argentine operations was approximately $780 million, compared to $720 million at each of September 30, 2014 and December 31, 2013. During 2014, Citi Argentina paid dividends to Citi of approximately $60 million.
Citi uses the Argentine peso as the functional currency in Argentina and translates its financial statements into U.S. dollars using the official exchange rate as published by the Central Bank of Argentina. According to the official exchange rate, the Argentine peso devalued to 8.55 pesos to one U.S. dollar at December 31, 2014 compared to 8.43 pesos to one U.S. dollar at September 30, 2014 and 6.52 to one U.S. dollar at December 31, 2013. It is expected that the devaluation of the Argentine peso will continue for the foreseeable future.
The impact of devaluations of the Argentine peso on Citi’s net investment in Argentina is reported as a translation loss in stockholders’ equity offset, to the extent hedged, by:

gains or losses recorded in stockholders’ equity on net investment hedges that have been designated as, and qualify for, hedge accounting under ASC 815 Derivatives and Hedging; and
gains or losses recorded in earnings for its U.S. dollar-denominated monetary assets or currency futures held in Argentina that do not qualify as net investment hedges under ASC 815.

At December 31, 2014, Citi had cumulative translation losses related to its investment in Argentina, net of qualifying net investment hedges, of approximately $1.51 billion (pretax), which were recorded in stockholders’ equity. This compared to $1.46 billion (pretax) as of September 30, 2014 and $1.30 billion (pretax) as of December 31, 2013. The cumulative translation losses would not be reclassified into earnings unless realized upon sale or liquidation of substantially all of Citi’s Argentine operations.     
As noted above, Citi hedges currency risk in its net investment in Argentina to the extent possible and prudent. Suitable hedging alternatives have become less available and more expensive and may not be available in the future to offset future currency devaluation. As of December 31, 2014, Citi’s total hedges against its net investment in Argentina were approximately $810 million (compared to $920 million as of September 30, 2014 and $940 million as of December 31, 2013). Of this amount, approximately $420 million consisted of foreign currency forwards that were
recorded as net investment hedges under ASC 815 (compared to approximately $430 million as of September 30, 2014 and $160 million as of December 31, 2013). The remaining hedges of approximately $390 million as of December 31, 2014 (compared to $490 million as of September 30, 2014 and $780 million as of December 31, 2013) were net U.S. dollar-denominated assets and foreign currency futures in Citi Argentina that do not qualify for hedge accounting under ASC 815. The increase in ASC 815 designated foreign currency forwards, which are held outside Argentina and generally more expensive for Citi, and the decline in the non-ASC 815 qualifying hedges held in Citi Argentina, were due to increased foreign currency limitations imposed by the Argentine government during 2014 that have limited Citi’s ability to hold U.S. dollar hedges in Argentina.
Although Citi currently uses the Argentine peso as the functional currency for its operations in Argentina, an increase in inflation resulting in a cumulative three-year inflation rate of 100% or more would result in a change in the functional currency to the U.S. dollar. Citi bases its evaluation of the cumulative three-year inflation rate on the official inflation statistics published by INDEC, the Argentine government’s statistics agency. The cumulative three-year inflation rate as of December 31, 2014, based on statistics published by INDEC, was approximately 52% (compared to 50% as of September 30, 2014). The official inflation statistics are believed to be underestimated, however, and unofficial inflation statistics suggest the cumulative three-year inflation rate was approximately 123% as of December 31, 2014 (compared to approximately 119% as of September 30, 2014). While a change in the functional currency to the U.S. dollar would not result in any immediate gains or losses to Citi, it would result in future devaluations of the Argentine peso being recorded in earnings for Citi’s Argentine peso-denominated assets and liabilities.
As of December 31, 2014, Citi had total third-party assets of approximately $4.1 billion in Citi Argentina (compared to approximately $3.8 billion at September 30, 2014 and $3.9 billion at December 31, 2013), primarily composed of corporate and consumer loans and cash on deposit with and short-term paper issued by the Central Bank of Argentina. A significant portion of these assets was funded with local deposits. Included in the total assets were U.S. dollar-denominated assets of approximately $550 million, compared to approximately $520 million at September 30, 2014 and $920 million at December 31, 2013. (For additional information on Citi’s exposures related to Argentina, see “Emerging Market Exposures” above, which sets forth Citi’s trading account assets, investment securities, ICG loans and GCB loans in Argentina, based on the methodology described in such section. As described in


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such section, these assets totaled approximately $3.0 billion as of December 31, 2014. Approximately $190 million of such exposure is held by non-Argentine Citi subsidiaries and thus is not included in the $4.1 billion amount set forth above, which pertains only to Citi Argentina, as disclosed.)
As widely reported, Argentina is currently engaged in litigation in the U.S. with certain “holdout” bond investors who did not accept restructured bonds in the restructuring of Argentine debt after Argentina defaulted on its sovereign obligations in 2001. Based on U.S. court rulings to date, Argentina has been ordered to negotiate a settlement with “holdout” bond investors and, absent a negotiated settlement, not pay interest on certain of its restructured bonds unless it simultaneously pays all amounts owed to the “holdout” investors that are the subject of the litigation. During the third quarter of 2014, Argentina’s June 30, 2014 interest payment on certain of the restructured bonds was not paid by the trustee as such payment would have violated U.S. court orders and, as a result, Argentina has been deemed to be in technical default.
The ongoing economic and political situation in Argentina could negatively impact Citi’s results of operations, including revenues in its foreign exchange business and/or potentially increase its funding costs. It could also lead to further governmental intervention or regulatory restrictions on foreign investments in Argentina, including further devaluation of the Argentine peso, further limits to foreign currency holdings or hedging activities, or the potential redenomination of certain U.S. dollar assets and liabilities into Argentine pesos, which could be accompanied by a devaluation of the Argentine peso. In addition, in January 2015, U.S. regulators informed Citi of its decision to downgrade Argentina’s transfer risk rating, which will result in mandatory transfer risk reserve requirements to be recognized in the first quarter of 2015.
Further, as widely reported, Citi acts as a custodian in Argentina for certain of the restructured bonds that are part of the “holdout” bond litigation; specifically, U.S. dollar denominated restructured bonds governed by Argentina law and payable in Argentina. During the third quarter of 2014, the U.S. court overseeing the Argentina litigation ruled that Citi Argentina’s payment of interest on these bonds, as custodian, was covered by the court’s order and thus could not be made without violating the order prohibiting the payments. While the court has granted a stay and permitted Citi Argentina to make the required 2014 interest payments, future interest payments on these bonds could place Citi Argentina in violation of the court’s order, absent relief from the court. Conversely, Citi Argentina’s failure to pay future interest on these bonds could result in significant negative consequences to Citi’s franchise in Argentina, including sanctions, confiscation of assets, criminal charges, or even loss of licenses in Argentina, as well as expose Citi and Citi Argentina to litigation. The next interest payment on the bonds for which Citi Argentina serves as custodian is due March 31, 2015.

Venezuela
Since 2003, the Venezuelan government has implemented and operated restrictive foreign exchange controls. These exchange controls have limited Citi’s ability to obtain U.S. dollars in Venezuela; Citi has not been able to acquire U.S. dollars from the Venezuelan government since 2008.
As of December 31, 2014, the Venezuelan government operates three separate official foreign exchange rates:

the preferential foreign exchange rate offered by the National Center for Foreign Trade (CENCOEX), fixed at 6.3 bolivars to one U.S. dollar;
the SICAD I rate, which was 12 bolivars to one U.S. dollar; and
beginning in the second quarter of 2014, the SICAD II rate, which was 50 bolivars to one U.S. dollar.

On February 10, 2015, the Venezuelan government published changes to its foreign exchange controls, which continue to maintain a three-tiered system. The new exchange controls maintain the CENCOEX rate at 6.3 bolivars per U.S. dollar; however, the new exchange controls merge SICAD II into SICAD I, which will be referred to as “SICAD.” The SICAD auctions will begin at 12 bolivars per U.S. dollar and are expected to devalue progressively in the future. In addition, the new exchange controls establish the Marginal Foreign Exchange System (SIMADI), which is intended to be a free floating exchange. The SIMADI exchange limits the volume of foreign currency that companies can purchase each month, and banks and brokers, which include Citi, are prohibited from accessing this market for their own needs.
Citi uses the U.S. dollar as the functional currency for its operations in Venezuela. As of December 31, 2014, Citi uses the SICAD I rate to remeasure its net bolivar-denominated monetary assets as the SICAD I rate is the only rate at which Citi is legally eligible to acquire U.S. dollars from CENCOEX, despite the limited availability of U.S. dollars and although the SICAD I rate may not necessarily be reflective of economic reality. Re-measurement of Citi’s bolivar-denominated assets and liabilities due to changes in the exchange rate is recorded in earnings. Further devaluation in the SICAD I exchange rate, a change by Citi to a less favorable rate or other changes to the foreign exchange mechanisms would result in foreign exchange losses in the period in which such devaluation or changes occur.
At December 31, 2014, Citi’s net investment in its Venezuelan operations was approximately $180 million (unchanged from September 30, 2014 and compared to $240 million at December 31, 2013), which included net monetary assets denominated in Venezuelan bolivars of approximately $140 million (compared to approximately $130 million at September 30, 2014 and $220 million at December 31, 2013). Total third-party assets of Citi Venezuela were approximately $900 million at December 31, 2014 (unchanged from September 30, 2014 and a decrease from $1.2 billion as of December 31, 2013), primarily composed of cash on deposit with the Central Bank of Venezuela,


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corporate and consumer loans, and government bonds. A significant portion of these assets was funded with local deposits.

Russia
Russia's engagement in recent events in Ukraine has continued to be a cause of concern to investors in Russian assets and parties doing business in Russia or with Russian entities, including as a result of the potential risk of wider repercussions on the Russian economy and trade and investment as well as the imposition of additional sanctions, such as asset freezes, involving Russia or against Russian entities, business sectors, individuals or otherwise. The Russian ruble has depreciated 43% against the U.S. dollar from September 30, 2014 to December 31, 2014, and over the same period, the MICEX Index of leading Russian stocks decreased 1% in ruble terms.
Citi operates in Russia through a subsidiary of Citibank, N.A., which uses the Russian ruble as its functional currency. Citi's net investment in Russia was approximately $1.1 billion at December 31, 2014, compared to $1.6 billion at September 30, 2014. Substantially all of Citi’s net investment was hedged (subject to related tax adjustments) as of December 31, 2014, using forward foreign exchange contracts. Total third-party assets of the Russian Citibank subsidiary were approximately $6.1 billion as of December 31, 2014, compared to $7.4 billion at September 30, 2014. These assets were primarily composed of corporate and consumer loans, local government debt securities, and cash on deposit with the Central Bank of Russia. A significant majority of these third-party assets were funded with local deposit liabilities.
For additional information on Citi’s exposures related to Russia, see “Emerging Market Exposures” above, which sets forth Citi’s trading account assets, investment securities, ICG loans and GCB loans in Russia, based on the methodology described in such section. As disclosed in such section, these assets totaled approximately $6.5 billion as of December 31, 2014. Approximately $2.7 billion of such exposure is held on non-Russian Citi subsidiaries and thus is not included in the $6.1 billion amount set forth above, which pertains only to the Russian Citibank subsidiary, as disclosed.

Greece
As of December 31, 2014, Citi had total third-party assets and liabilities of approximately $36 million and $915 million, respectively, in Citi’s Greek branch. Included in the total third-party assets and liabilities as of such date were non-euro denominated assets and liabilities of $0.3 million and $174 million, respectively.
Greece elected a new government in January 2015. As a result of the impact of austerity measures on Greece, the newly elected government has committed to renegotiating the country’s debt with the European Union and the International Monetary Fund. If these negotiations are unsuccessful, it could lead to Greece’s defaulting on its debt obligations and possibly even to a withdrawal of Greece from the European Monetary Union (EMU).
If Greece were to leave the EMU, certain of its obligations could be redenominated from the euro to a new country currency (e.g., drachma). While alternative scenarios could develop, redenomination could be accompanied by an immediate devaluation of the new currency as compared to the euro and the U.S. dollar.
Citi is exposed to potential redenomination and devaluation risks arising from (i) euro-denominated assets and/or liabilities located or held within Greece that are governed by local country law (local exposures), as well as (ii) other euro-denominated assets and liabilities, such as loans and securitized products, between entities outside of Greece and a client within Greece that are governed by local country law (offshore exposures).
If Greece were to withdraw from the EMU, and assuming a symmetrical redenomination and devaluation occurred, Citi believes its risk of loss would be limited as its liabilities subject to redenomination exceeded assets held both locally and offshore as of December 31, 2014. However, the actual assets and liabilities that could be subject to redenomination and devaluation risk, as well as whether any redenomination is asymmetrical, are subject to substantial legal and other uncertainty. In addition, other events outside of Citi’s control—such as the extent of any deposit flight and devaluation, imposition by U.S. regulators of mandatory loan reserve requirements or any functional currency change and the accounting impact thereof—could further negatively impact Citi in such an event.





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SIGNIFICANT ACCOUNTING POLICIES AND SIGNIFICANT ESTIMATES
This section contains a summary of Citi’s most significant accounting policies and accounting standards that have been issued, but are not yet effective. Note 1 to the Consolidated Financial Statements contains a summary of Citigroup’s significant accounting policies, including a discussion of recently issuedadopted accounting pronouncements. 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—Business and Operational Risks” above). 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. Additional information about these policies can be found in Note 1 to the Consolidated Financial Statements.

Valuations of Financial Instruments
Citigroup holds debt and equity securities, derivatives, retained interests in securitizations, investments in private equity and other financial instruments. Substantially all of
these assets and liabilities are reflected at fair value on Citi’s
Consolidated Balance Sheet.
Citi purchases securities under agreements to
resell (reverse repos) and sells securities under agreements
to repurchase (repos), 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 the 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.
The credit crisis caused some markets to become illiquid, thus reducing the availability of certain observable data used by Citi’s valuation techniques. This illiquidity, in at least certain markets, continued through 2014. When or if liquidity returns to these markets, the valuations will revert to using the
related observable inputs in verifying internally calculated values.
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 Accumulated other comprehensive income (loss) (AOCI).AOCI.
Moreover, for certain 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 1, 6, 2524 and 2625 to the Consolidated Financial Statements.

Allowance for Credit Losses
Management provides reserves for an estimate of probable losses inherent in the funded loan portfolio and in unfunded loan commitments and standby letters of credit on the Consolidated Balance Sheet in the Allowance for loan losses and in Other liabilities, respectively.
Estimates of these probable losses are based upon (i) Citigroup’s internal system of credit-risk ratings whichthat are analogous to the risk ratings of the major credit rating agencies;agencies and (ii) historical default and loss data, including rating agency information regarding default rates from 1983 to 2013,2016 and internal data dating to the early 1970s on severity of losses in the event of default. 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 the degree to which there are large obligor concentrations in the global portfolio;portfolio and (ii) adjustments made for specifically known items, such as current environmental factors and credit trends.
In addition, representatives from both the risk management and finance staffs who cover business areas with delinquency-managed portfolios containing smaller balance homogeneous loans present their recommended reserve balances based upon leading credit indicators, including loan delinquencies and changes in portfolio size, as well as economic trends, including housing prices, unemployment and 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, the size and diversity of individual large


122


credits and the ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account during this review. Changes in these estimates could have a direct impact on Citi’s credit costs and the allowance in any period.

For a further description of the loan loss reserve and related accounts, see Notes 1 and 1615 to the Consolidated Financial Statements.

Goodwill
Citi tests goodwill for impairment annually on July 1 (the annual test) and between annual tests (the interim test) 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. NoDuring 2017, annual and interim tests were performed, which resulted in no goodwill impairment was recorded during 2014, 2013 and 2012.as described in Note 16 to the Consolidated Financial Statements.
As of December 31, 2014, Citigroup consists of2017, Citigroup’s activities are conducted through the following business segments: Global Consumer Banking, and Institutional Clients Group business segments and Corporate/Other and Citi Holdings.. Goodwill impairment testing is performed at the level below the business segment (referred to as a reporting unit). Goodwill is recorded in a business combination under the acquisition method of accounting when the acquisition price is higher than the fair value of net assets, including identifiable intangible assets. At the time a business is acquired, goodwill is allocated to Citi’s eightapplicable reporting units at the date the goodwill is initially recorded.based on relative fair value. Once goodwill has been allocated to the reporting units, it generally no longer retains its identification with a particular acquisition, but instead becomes identified with the reporting unit as a whole. As a result, all of the fair value of each reporting unit is available to support the allocated goodwill. If any significant business reorganization occurs, Citi may reallocate the goodwill.
TheConsistent with prior years, Citi utilizes allocated equity as a proxy for the carrying value usedof its reporting units for purposes of goodwill impairment testing. The allocated equity in the impairment test for each
reporting unit is derived by allocating Citigroup’s total
stockholders’ equity to each component (defined below) of the
Company based on regulatory capital and tangible common
equity assessed for each component. The assigned carrying
value of the eight reporting units and Corporate/Other
(together the “components”) is equal to Citigroup’s total
stockholders’ equity. Regulatory capital is derived using each
component’s Basel III risk-weighted assets. Specifically
identified Basel III capital deductions are then added to the
components’ regulatory capital to assign Citigroup’s total
Tangible Common Equity. In allocating Citigroup’s total
stockholders’ equity to each component, the reported goodwill
and intangibles associated with each reporting unit are
specifically included in the carrying amount of the respective
reporting units and the remaining stockholders’ equity is then
allocated to each componentdetermined based on the relative tangible
common equity associatedcapital the business would require if it were operating as a standalone entity, incorporating sufficient capital to be in compliance with each component.regulatory capital requirements, including capital for specifically identified goodwill and intangible assets. The capital allocated to the businesses is incorporated into the annual budget process, which is approved by Citi’s Board of Directors.
Goodwill impairment testing involves management judgment, requiring an assessment of whether the carrying value of the reporting unit can be supported by the fair value of the individual reporting unit using widely accepted valuation techniques, such as the market approach (earnings
multiples and/or transaction multiples) and/or the income
approach (discounted cash flow (DCF) method). In applying
these methodologies, Citi utilizes a number of factors,
including actual operating results, future business plans,
economic projections and market data. Citi prepares a formal
three-year plan for its businesses on an annual basis. These
projections incorporate certain external economic projections
developed at the point in time the plan is developed. For the
purpose of performing any impairment test, the most recent
three-year forecast available is updated by CitiSimilar to reflect
current economic conditions as of the testing date. Citi used
the updated long-range financial forecasts as a basis for its
annual goodwill impairment test. Management may engage an
independent valuation specialist to assist in Citi’s valuation
process.
2016, Citigroup engaged an independent valuation specialist in
2013 and 2014 2017 to assist in Citi’s valuation for most of the
reporting units employing both the market approach and DCF
method. Citi believes that the DCF method, using
management projections for the selectedmethod. For reporting units and an
appropriate risk-adjusted discount rate, is most reflective of a
market participant’s view of fair values given current market
conditions. For the reporting units wherein which both methods were
utilized in 2013 and 2014,2017, the resulting fair values were
were relatively consistent and appropriate weighting was given to
outputs from both methods.
The DCF method usedutilized at the time of each impairment test
used discount rates that Citi believes adequately reflected the
risk and uncertainty in the financial markets generally and
specifically in the internally generated cash flow projections.
The DCF method employs a capital asset pricing model in
estimating the discount rate. Citi continues to value the
remaining reporting units where it believes the risk of
impairment to be low, using primarily the market approach.
Since none of the Company’s reporting units are publicly
traded, individual reporting unit fair valuefair-value determinations
cannot be directly correlated to Citigroup’s common stock
price. The sum of the fair values of the reporting units at July
1, 2014 exceeded the overall market capitalization of Citi as of
July 1, 2014.2017. However, Citi believes that it is not
meaningful to reconcile the sum of the fair values of the
Company’s reporting units to its market capitalization due to
several factors. The market capitalization of Citigroup reflects
the execution risk in a transaction involving Citigroup due to
its size. However, the individual reporting units’ fair values are
not subject to the same level of execution risk ornor a business
model that is perceived to be as complex. In addition, the market capitalization of Citigroup does not include consideration of the individual reporting unit’s control premium.
See Note 1716 to the Consolidated Financial Statements for additional information on goodwill, including the changes in the goodwill balance year-over-year and the reporting unit goodwill balances as of December 31, 2014.
During the fourth quarter of 2014, Citi announced its intention to exit its consumer businesses in 11 markets in Latin America, Asia and EMEA, as well as its consumer finance business in Korea. Citi also announced its intention to exit several non-core transactions businesses within ICG. These businesses were transferred to Citi Holdings effective January 1, 2015. Goodwill balances associated with the transfers were allocated to each of the component businesses based on their relative fair values to the legacy reporting units.
As required by ASC 350, a goodwill impairment test is being performed as of January 1, 2015 under the legacy and new reporting structures, which may result in an impairment


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for one or more of the new reporting units. Such impairment, if any, is not expected to be significant.2017.

Income Taxes

Overview
Citi is subject to the income tax laws of the U.S., its states and local municipalities and the foreignnon-U.S. jurisdictions in which Citi operates. These tax laws are complex and are subject to differing interpretations by the taxpayer and the relevant governmental taxing authorities. Disputes over interpretations of the tax laws may be subject to review and adjudication by the court systems of the various tax jurisdictions or may be settled with the taxing authority upon audit.
In establishing a provision for income tax expense, Citi must make judgments and interpretations about the application of these inherently complex tax laws. Citi must also make estimates about when in the future certain items will affect taxable income in the various tax jurisdictions, both domestic and foreign. Deferred taxes are recorded for the future consequences of events that have been recognized in the financial statements or tax returns, based upon enacted tax laws and rates. Deferred tax assets (DTAs) are recognized subject to management’s judgment that realization is more-likely-than-not.
On December 22, 2017, the President signed the Tax Cuts and Jobs Act (Tax Reform), reflecting many of the anticipated changes to U.S. corporate taxation, including a lower statutory tax rate of 21%, a quasi-territorial regime and a deemed repatriation of all accumulated earnings and profits of foreign subsidiaries. The new law was generally effective January 1, 2018.

Citi recorded a charge to continuing operations of $22.6 billion in the fourth quarter of 2017, composed of a $12.4 billion remeasurement due to the reduction to the U.S. corporate tax rate and a change to a quasi- territorial tax system, a $7.9 billion valuation allowance against Citi’s FTC carry-forwards and its U.S. residual DTAs related to its non-U.S. branches, and a $2.3 billion reduction in Citi’s FTC carry-forwards related to the deemed repatriation of undistributed earnings of non-U.S. subsidiaries. Quasi-territorial refers to the continued U.S. taxation of non-U.S. branches, with a separate FTC basket for branches, and the application of Global Intangible Low Taxed Income (GILTI) provisions to intangible income (e.g., services income) of non-U.S. subsidiaries. The valuation allowance against FTCs results from the impact of the lower tax rate and the new separate FTC basket for non-U.S. branches, as well as diminished ability under Tax Reform to generate income from sources outside the U.S. to support FTC utilization. Some of the components of the charge are provisional amounts as defined in SAB 118 and therefore will be revised in 2018. For additional information, see Note 1 to the Consolidated Financial Statements.
Citi has an overall domestic loss (ODL) of approximately $52 billion. An ODL allows a company to recharacterize domestic income as income from sources outside the U.S., which enables a taxpayer to use FTC carry-forwards and FTCs generated in future years, assuming the generation of sufficient U.S. taxed income. The change in Tax Reform to allow a taxpayer to elect to recharacterize up to 100% of its domestic source income as non-U.S. source income (up from 50%) is not expected to materially impact the valuation allowance.
Beginning in 2018, Citi will be taxed on income generated by its U.S. operations at a federal tax rate of 21%. The effect on its state tax rate is dependent upon how and when the individual states choose to or automatically adopt the various new provisions of the U.S. Internal Revenue Code.
Citi’s non-U.S. branches and subsidiaries will be subject to tax at their local tax rates. While non-U.S. branches continue to be subject to U.S. taxation, Citi expects no material residual U.S. tax on such earnings since its overall non-U.S. branch tax rate is in excess of 21%. With respect to non-U.S. subsidiaries, dividends from these subsidiaries will be excluded from U.S. taxation. While Citi expects that the majority of its non-U.S. subsidiary earnings may be classified as GILTI, it similarly expects no material residual U.S. tax on such earnings based on its non-U.S. subsidiaries’ local tax rates, which exceed, on average, the GILTI tax rate. Although Citi is still in the process of analyzing the provisions of Tax Reform associated with GILTI, it does not expect a material change in impact. Finally, Citi does not expect the BEAT (Base Erosion Anti-Abuse Tax) to affect its tax provision.
Citi expects that its effective tax rate will be roughly 25% in 2018 with the possibility of lower effective tax rates in subsequent years.

DTAs
At December 31, 2014,2017, Citi had recorded net DTAs of $49.5 billion, a decrease of $3.3 billion (including approximately $400 million in$22.5 billion. In the fourth quarter of 2014)2017, Citi’s DTAs decreased by $23.0 billion, driven primarily by the remeasurement related to Tax Reform and by earnings, partially offset by an increase in AOCI. On a full-year basis, Citi’s DTAs decreased $24.2 billion from $52.8$46.7 billion at December 31, 2013.2016. The decrease in total DTAs year-over-year was primarily due to Tax Reform and earnings, partially offset by an increase in AOCI.
Citi expects that the absolute amount of its $5.7 billion valuation allowance against FTC carry-forwards may grow in future years as it generates additional FTCs relating to its non-U.S. branches due to their higher overall local tax rate reduced by the statutory expiration of FTC carry-forwards. With respect to the portion of the valuation allowance established on its FTC carry-forwards that are available for use in the general basket, changes in the amount of earnings in Citicorp. Foreign tax credits (FTCs) composedfrom sources outside the U.S. could alter the amount of valuation allowance that is eventually needed against such FTCs.
FTCs comprised approximately $17.6$7.6 billion of Citi’s DTAs as of December 31, 2014,2017, compared to approximately $19.6$14.2 billion as of December 31, 2013.2016. The decrease in FTCs year-over-year was primarily due to the generationuse of U.S. taxable incomeFTCs against the deemed repatriation under Tax Reform, the valuation allowance established as a result of the reduced future corporate tax rate and the change to a quasi-territorial tax system. This represented $2.0$6.6 billion of the $3.3$24.2 billion decrease in Citi’s overall DTAs noted above. The FTCsFTC carry-forward periods represent the most time-sensitive component of Citi’s DTAs. Accordingly, in 2015, Citi will continue to prioritize reducing the FTC carry-forward component of the DTAs. Secondarily, Citi’s actions will focus on reducing other DTA components and, thereby, reduce the total DTAs.
While Citi’s net total DTAs decreased year-over-year, the time remaining for utilization has shortened, given the passage of time, particularly with respect to the FTCs component of the DTAs. Although realization is not assured, Citi believes that the realization of the recognized net DTAs of $49.5 billion at December 31, 2014 is more-likely-than-not based upon expectations as to future taxable income in the jurisdictions in which the DTAs arise and available tax planning strategies (as defined in ASC 740, Income Taxes) that would be implemented, if necessary, to prevent a carry-forward from expiring. In general, Citi would need to generate approximately $81 billion of U.S. taxable income during the FTCs carry-forward periods to prevent Citi’s DTAs from expiring. Citi’s net DTAs will decline primarily as additional domestic GAAP taxable income is generated.
Citi has concluded that two components of positive evidence support the full realization of its DTAs. First, Citi forecasts sufficient U.S. taxable income in the carry-forward periods, exclusive of ASC 740 tax planning strategies. Citi’s forecasted taxable income, which will continue to be subject to overall market and global economic conditions, incorporates geographic business forecasts and taxable income adjustments to those forecasts (e.g., U.S. tax exempt income, loan loss reserves deductible for U.S. tax reporting in subsequent years), and actions intended to optimize its U.S. taxable earnings.
Second, Citi has sufficient tax planning strategies available to it under ASC 740 that would be implemented, if necessary, to prevent a carry-forward from expiring. These strategies include repatriating low-taxed foreign source earnings for which an assertion that the earnings have been indefinitely reinvested has not been made; accelerating U.S. taxable income into, or deferring U.S. tax deductions out of, the latter years of the carry-forward period (e.g., selling appreciated assets, electing straight-line depreciation); accelerating deductible temporary differences outside the U.S.; and selling certain assets that produce tax-exempt income, while purchasing assets that produce fully taxable income. In addition, the sale or restructuring of certain businesses can produce significant U.S. taxable income within the relevant carry-forward periods.
Based upon the foregoing discussion, Citi believes the U.S. federal and New York state and city net operating loss carry-forward period of 20 years provides enough time to fully utilize the net DTAs pertaining to the existing net operating loss carry-forwards and any net operating loss that would be created by the reversalcarry-forwards. This is due to Citi’s forecast of the future net deductions that have not yet been taken on a tax return.
With respect to the FTCs component of the DTAs, the carry-forward period is 10 years. Citi believes that it will generate sufficient U.S. taxable income withinand the 10-yearcontinued taxation of Citi’s non-U.S. income by New York state and city. Although realization is not assured, Citi believes that the realization of the recognized net DTAs of $22.5 billion at December 31, 2017 is more-likely-than-not, based upon management’s expectations as to future taxable income in the jurisdictions in which the DTAs arise as well as available tax planning strategies (as defined in ASC Topic 740, Income Taxes) that would be implemented, if necessary, to prevent a carry-forward periodfrom expiring. Citi has concluded that it has the necessary positive evidence to be able to fully utilizesupport the FTCs, in addition to any FTCs produced in such period, which must be used prior to any carry-forward utilization.realization of its net DTAs after taking its valuation allowances into consideration.
For additional information on Citi`sCiti’s income taxes, including its income tax provision, tax assets and liabilities, and a tabular summary of Citi`sCiti’s net DTAs balance as of December 31, 20142017 (including the FTCs and applicable expiration dates of the FTCs), see Note 9 to the Consolidated Financial Statements. For additional discussion of the potential impact to Citi’s DTAs that could arise from Tax Reform, see “Risk Factors—Strategic Risks” above.

Litigation Accruals
See the discussion in Note 2827 to the Consolidated Financial Statements for information regarding Citi’s policies on establishing accruals for litigation and regulatory contingencies.

FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Financial Instruments—Credit Losses
In June 2016, the FASB issued ASU No. 2016-13, Financial Instruments—Credit Losses(Topic 326). The ASU introduces a new credit loss methodology, Current Expected Credit Losses (CECL), which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity securities and other receivables at the time the financial asset is originated or acquired. The expected credit losses are adjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. For available-for-sale securities where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.
The CECL methodology represents a significant change from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will depend upon the state of the economy and the nature of Citi’s portfolios at the date of adoption. Based on a preliminary analysis performed in 2017 and the environment and portfolios at that time, the overall impact was estimated to be an approximate 10% to 20% increase in credit reserves as of that time. Moreover, there are still some implementation questions that will need to be resolved that could affect the estimated impact. The ASU will be effective for Citi as of January 1, 2020.

Revenue Recognition
In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers, which requires an entity to recognize the amount of revenue to which it expects to be entitled for the transfer of promised goods or services to customers. The Company adopted the guidance as of January 1, 2018 using full retrospective application for all periods presented. There is no material change in timing and amount of revenue recognized associated with the adoption.
The new standard clarified the guidance related to reporting revenue gross as a principal versus net as an agent. The Company has identified transactions, including underwriting activity where Citi is deemed the principal, rather than the agent, which require a gross up of annual revenues and expenses of approximately $1.0 billion. This
change in presentation will not have an impact on Income from continuing operations;however, this standard would have increased Citi’s efficiency ratio by approximately 57 bps for the year ended December 31, 2017. The impact for 2018 is expected to be consistent with 2017.

Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842),which is intended to increase transparency and comparability of accounting for lease transactions. The ASU will require lessees to recognize leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. The guidance is effective beginning January 1, 2019 with an option to early adopt. The Company does not plan to early adopt the ASU. The Company estimates that upon adoption, its Consolidated Balance Sheet will have an approximate $5 billion increase in assets and liabilities. Additionally, the Company estimates an approximate $200 million increase in retained earnings due to the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions.

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which requires an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU was effective January 1, 2018. The impact of this standard upon adoption is an increase of DTAs by approximately $0.2 billion, a decrease of retained earnings by approximately $0.2 billion and a decrease of prepaid tax assets by approximately $0.4 billion. 

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


Clarifying the Definition of a Business
In January 2017, the FASB issued ASU No. 2017-01, Business Combinations (Topic 805): Clarifying the Definition of a Business. The definition of a business directly and indirectly affects many areas of accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrows the definition of a business by introducing a quantitative screen as the first step, such that if substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets, the set of transferred assets and activities is not a business. If the set is not scoped out from the quantitative screen, the entity then evaluates whether the set meets the requirement that a business include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.
The ASU was effective for public entities, including Citi, as of January 1, 2018 with prospective application. The impact of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of goodwill, but also less goodwill allocated to disposals.

Changes in Accounting for Pension and FuturePostretirement (Benefit) Expense
In March 2017, the FASB issued ASU No. 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation was effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be included in Compensation and benefits on the income statement.  The other components of net benefit expense will be required to be presented outside of Compensation and benefits and will be presented in Other operating expense.  Since both of these income statement line items are part of Operating expenses, total Operating expenses will not change, nor will there be any change in Net income. This change in presentation is not expected to have a material effect on Compensation and benefits and Other operating expenses and will be applied prospectively. The components of the net benefit expense are currently disclosed in Note 7 to the Consolidated Financial Statements.
 The new standard also changes the components of net benefit expense that are eligible for capitalization when employee costs are capitalized in connection with various activities, such as internally developed software, construction-in-progress, and loan origination costs. Prospectively from January 1, 2018, only the service cost component of net benefit expense may be capitalized.  Existing capitalized balances are not affected. This change in amounts eligible for capitalization is not expected to have a material effect on the Company’s Consolidated Financial Statements and related disclosures.
Hedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which will better align an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results.  The mandatory effective date for calendar year-end public companies is January 1, 2019, but the amendments may be early adopted in any interim or annual period after issuance. The targeted improvements in the ASU will allow Citi increased flexibility to structure hedges of fixed- and floating-rate instruments and will allow a one-time transfer of certain pre-payable debt securities from HTM to AFS.  Application of Accounting Standardsthe ASU is expected to better reflect the economics of Citi’s risk management activities and will also reduce the volatility associated with foreign currency hedging. The ASU requires the change in the fair value of the hedging instrument to be presented in the same income statement line as the hedged item and also requires expanded disclosures. Citi adopted this standard on January 1, 2018 and transferred approximately $4 billion of HTM securities into AFS classification as permitted as a one-time transfer under the standard. The impact to opening retained earnings was immaterial.

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



124


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 December 31, 20142017 and, based on that evaluation, the CEO and CFO have concluded that at that date, Citigroup’s disclosure controls and procedures were effective.




125


MANAGEMENT’S ANNUAL REPORT ON INTERNAL CONTROL OVER FINANCIAL REPORTING

Citi’s management is responsible for establishing and maintaining adequate internal control over financial reporting. Citi’s internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of its financial reporting and the preparation of financial statements for external reporting purposes in accordance with U.S. generally accepted accounting principles. Citi’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of Citi’s assets;assets, (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles and that Citi’s receipts and expenditures are made only in accordance with authorizations of Citi’s management and directors;directors and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of Citi’s assets that could have a material effect on its financial statements.
 

Because of its inherent limitations, internal control over financial reporting may not prevent or detect all misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions or that the degree of compliance with the policies or procedures may deteriorate. In addition, given Citi’s large size, complex operations and global footprint, lapses or deficiencies in internal controls may occur from time to time.
CitiCiti’s management assessed the effectiveness of Citigroup’s internal control over financial reporting as of December 31, 20142017 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework (2013). Based on this assessment, management believes that, as of December 31, 2014,2017, Citi’s internal control over financial reporting was effective. In addition, there were no changes in Citi’s internal control over financial reporting during the fiscal quarter ended December 31, 20142017 that materially affected, or are reasonably likely to materially affect, Citi’s internal control over financial reporting.
The effectiveness of Citi’s internal control over financial reporting as of December 31, 20142017 has been audited by KPMG LLP, Citi’s independent registered public accounting firm, as stated in their report below, which expressed an unqualified opinion on the effectiveness of Citi’s internal control over financial reporting as of December 31, 2014.2017.



126


FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-K, 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 U.S. Private Securities Litigation Reform Act of 1995.and Exchange Commission (SEC). In addition, Citigroup also may make forward-looking statements in its other documents filed with or furnished towith 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, illustrate, 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’business’s discussion and analysis of its results of operations and (ii) the factors listed and described under “Risk Factors” above.
Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date the forward-looking statements were made.


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128


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—
INTERNAL CONTROL OVER FINANCIAL REPORTING

The Board of Directors and Stockholders
Citigroup Inc.:

Opinion on Internal Control Over Financial Reporting
We have audited Citigroup Inc. and subsidiaries’ (the “Company” or “Citigroup”) internal control over financial reporting as of December 31, 2014,2017, based on criteria established inInternal Control-IntegratedControl - Integrated Framework (2013)issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). Commission. In our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the consolidated balance sheet of the Company as of December 31, 2017 and 2016, the related consolidated statements of income, comprehensive income, stockholders’ equity, and cash flows for each of the years in the three-year period ended December 31, 2017, and the related notes (collectively, the “consolidated financial statements”), and our report dated February 23, 2018 expressed an unqualified opinion on those consolidated financial statements.

Basis for Opinion
The Company’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying management’s annual report on internal control over financial reporting. Our responsibility is to express an opinion on the Company’s internal control over financial reporting based on our audit. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States).PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audit also included performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.




Definition and Limitations of Internal Control Over Financial Reporting
A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s
internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.





Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
In our opinion, Citigroup maintained, in all material respects, effective internal control over financial reporting as of December 31, 2014, based on criteria established in Internal Control-Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), the consolidated balance sheets of Citigroup as of December 31, 2014 and 2013, and the related consolidated statements of income, comprehensive income, changes in stockholders’ equity and cash flows for each of the years in the three-year period ended December 31, 2014, and our report dated February 25, 2015 expressed an unqualified opinion on those consolidated financial statements.


/s/ KPMG LLP
New York, New York
February 25, 201523, 2018



129


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—
CONSOLIDATED FINANCIAL STATEMENTS

The Board of Directors and Stockholders
Citigroup Inc.:

Opinion on the Consolidated Financial Statements
We have audited the accompanying consolidated balance sheetssheet of Citigroup Inc. and subsidiaries (the “Company” or “Citigroup”) as of December 31, 20142017 and 2013,2016, and the related consolidated statements of income, comprehensive income, changes in stockholders’ equity and cash flows for each of the years in the three-year period ended December 31, 2014. 2017, and the related notes (collectively, the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Company as of December 31, 2017 and 2016, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2017, in conformity with U.S. generally accepted accounting principles.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the Company’s internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control-Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission, and our report dated February 23, 2018 expressed an unqualified opinion on the effectiveness of the Company’s internal control over financial reporting.








Basis for Opinion
These consolidated financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on these consolidated financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States).PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement. An audit includesmisstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence supporting the amounts and disclosures in the consolidated financial statements. An auditOur audits also includes assessingincluded evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statement presentation.statements. We believe that our audits provide a reasonable basis for our opinion.





In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of Citigroup as of December 31, 2014 and 2013, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2014, in conformity with U.S. generally accepted accounting principles.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States), Citigroup’s internal control over financial reporting as of December 31, 2014, based on criteria established in Internal Control-Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO), and our report dated February 25, 2015 expressed an unqualified opinion on the effectiveness of the Company’s internal control over financial reporting.


/s/ KPMG LLP

We have served as the Company’s auditor since 1969.

New York, New York
February 25, 201523, 2018




130


FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS 
Consolidated Statement of Income—
For the Years Ended December 31, 2014, 20132017, 2016 and 20122015
132
Consolidated Statement of Comprehensive Income—
For the Years Ended December 31, 2014, 20132017, 2016 and 20122015
134133
Consolidated Balance Sheet—December 31, 20142017 and 20132016
135134
Consolidated Statement of Changes in Stockholders’ Equity—For the Years Ended December 31, 2014, 20132017, 2016 and 20122015
137136
Consolidated Statement of Cash Flows—
For the Years Ended December 31, 2014, 20132017, 2016 and 20122015
139138

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS 
Note 1—Summary of Significant Accounting Policies
141140
Note 2—Discontinued Operations and Significant Disposals
155151
Note 3—Business Segments
158153
Note 4—Interest Revenue and Expense
159154
Note 5—Commissions and Fees
160155
Note 6—Principal Transactions
161156
Note 7—Incentive Plans
162157
Note 8—Retirement Benefits
166161
Note 9—Income Taxes
181174
Note 10—Earnings per Share
186178
Note 11—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
187179
Note 12—Brokerage Receivables and Brokerage Payables
189183
Note 13—Trading Account Assets and LiabilitiesInvestments
189184
Note 14—InvestmentsLoans
190196
Note 15—LoansAllowance for Credit Losses
200208
 


  
Note 16—Allowance for Credit Losses
207
Note 17—Goodwill and Intangible Assets
210211
Note 17—Debt
214
Note 18—DebtRegulatory Capital
213216
Note 19—Regulatory Capital and Citigroup, Inc. Parent
Company Information
215
Note 20—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
218217
Note 20—Preferred Stock
220
Note 21—Preferred Stock
222
Note 22—Securitizations and Variable Interest Entities
223221
Note 22—Derivatives Activities
233
Note 23—Derivatives Activities
241
Note 24—Concentrations of Credit Risk
255248
Note 24—Fair Value Measurement
249
Note 25—Fair Value Measurement
256
Note 26—Fair Value Elections
278271
Note 27—26—Pledged Assets, Collateral, Guarantees and
                   Commitments
283275
Note 27—Contingencies
282
Note 28—ContingenciesCondensed Consolidating Financial Statements
289290
Note 29—Selected Quarterly Financial Data (Unaudited)
299300


131


CONSOLIDATED FINANCIAL STATEMENTS

CONSOLIDATED STATEMENT OF INCOME    Citigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars, except per share amounts201420132012
Revenues (1)
 
 
 
Interest revenue$61,683
$62,970
$67,298
Interest expense13,690
16,177
20,612
Net interest revenue$47,993
$46,793
$46,686
Commissions and fees$13,032
$12,941
$12,584
Principal transactions6,698
7,302
4,980
Administration and other fiduciary fees4,013
4,089
4,012
Realized gains on sales of investments, net570
748
3,251
Other-than-temporary impairment losses on investments 
 
 
Gross impairment losses(432)(633)(5,037)
Less: Impairments recognized in AOCI8
98
66
Net impairment losses recognized in earnings$(424)$(535)$(4,971)
Insurance premiums$2,110
$2,280
$2,395
Other revenue2,890
2,801
253
Total non-interest revenues$28,889
$29,626
$22,504
Total revenues, net of interest expense$76,882
$76,419
$69,190
Provisions for credit losses and for benefits and claims 
 
 
Provision for loan losses$6,828
$7,604
$10,458
Policyholder benefits and claims801
830
887
Provision (release) for unfunded lending commitments(162)80
(16)
Total provisions for credit losses and for benefits and claims$7,467
$8,514
$11,329
Operating expenses (1)
 
 
 
Compensation and benefits$23,959
$23,967
$25,119
Premises and equipment3,178
3,165
3,266
Technology/communication6,436
6,136
5,829
Advertising and marketing1,844
1,888
2,164
Other operating19,634
13,252
13,658
Total operating expenses$55,051
$48,408
$50,036
Income from continuing operations before income taxes$14,364
$19,497
$7,825
Provision for income taxes6,864
5,867
7
Income from continuing operations$7,500
$13,630
$7,818
Discontinued operations 
 
 
Income (loss) from discontinued operations$10
$(242)$(109)
Gain on sale—
268
(1)
Provision (benefit) for income taxes12
(244)(52)
Income (loss) from discontinued operations, net of taxes$(2)$270
$(58)
Net income before attribution of noncontrolling interests$7,498
$13,900
$7,760
Noncontrolling interests185
227
219
Citigroup’s net income$7,313
$13,673
$7,541
Basic earnings per share(2)
 
 
 
Income from continuing operations$2.21
$4.27
$2.53
Income (loss) from discontinued operations, net of taxes—
0.09
(0.02)
Net income$2.21
$4.35
$2.51
Weighted average common shares outstanding3,031.6
3,035.8
2,930.6
Diluted earnings per share(2)
 
 
 

132


Income from continuing operations$2.20
$4.26
$2.46
Income (loss) from discontinued operations, net of taxes—
0.09
(0.02)
Net income$2.20
$4.35
$2.44
Adjusted weighted average common shares outstanding3,037.0
3,041.6
3,015.5

CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars, except per share amounts201720162015
Revenues(1)
 
 
 
Interest revenue$61,204
$57,615
$58,551
Interest expense16,517
12,511
11,921
Net interest revenue$44,687
$45,104
$46,630
Commissions and fees$12,939
$11,938
$14,485
Principal transactions9,168
7,585
6,008
Administration and other fiduciary fees3,079
2,783
2,856
Realized gains on sales of investments, net778
948
682
Other-than-temporary impairment losses on investments 
 
 
Gross impairment losses(63)(620)(265)
Less: Impairments recognized in AOCI—
—
—
Net impairment losses recognized in earnings$(63)$(620)$(265)
Other revenue$861
$2,137
$5,958
Total non-interest revenues$26,762
$24,771
$29,724
Total revenues, net of interest expense$71,449
$69,875
$76,354
Provisions for credit losses and for benefits and claims 
 
 
Provision for loan losses$7,503
$6,749
$7,108
Policyholder benefits and claims109
204
731
Provision (release) for unfunded lending commitments(161)29
74
Total provisions for credit losses and for benefits and claims$7,451
$6,982
$7,913
Operating expenses(1)
 
 
 
Compensation and benefits$21,181
$20,970
$21,769
Premises and equipment2,453
2,542
2,878
Technology/communication6,891
6,685
6,581
Advertising and marketing1,608
1,632
1,547
Other operating9,104
9,587
10,840
Total operating expenses$41,237
$41,416
$43,615
Income from continuing operations before income taxes$22,761
$21,477
$24,826
Provision for income taxes (benefits)29,388
6,444
7,440
Income (loss) from continuing operations$(6,627)$15,033
$17,386
Discontinued operations 
 
 
Loss from discontinued operations$(104)$(80)$(83)
Provision (benefit) for income taxes7
(22)(29)
Loss from discontinued operations, net of taxes$(111)$(58)$(54)
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
Noncontrolling interests60
63
90
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Basic earnings per share(2)
 
 
 
Income (loss) from continuing operations
$(2.94)$4.74
$5.43
Loss from discontinued operations, net of taxes(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.41
Weighted average common shares outstanding2,698.5
2,888.1
3,004.0


CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries
Diluted earnings per share(2)
 
 
 
Income (loss) from continuing operations
$(2.94)$4.74
$5.42
Income (loss) from discontinued operations, net of taxes(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.40
Adjusted weighted average common shares outstanding2,698.5
2,888.3
3,007.7

(1)Certain prior-period revenue and expense lines and totals were reclassified to conform to the current period’s presentation. See Note 3 to the Consolidated Financial Statements.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.


133


CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME
Citigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars201420132012
Net income before attribution of noncontrolling interests$7,498
$13,900
$7,760
Citigroup’s other comprehensive income (loss)

 
 
Net change in unrealized gains and losses on investment securities, net of taxes$1,697
$(2,237)$632
Net change in cash flow hedges, net of taxes336
1,048
527
Benefit plans liability adjustment, net of taxes (1)
(1,170)1,281
(988)
Net change in foreign currency translation adjustment, net of taxes and hedges(4,946)(2,329)721
Citigroup’s total other comprehensive income (loss)$(4,083)$(2,237)$892
Other comprehensive income (loss) attributable to noncontrolling interests  
 
Net change in unrealized gains and losses on investment securities, net of taxes$6
$(27)$32
Net change in foreign currency translation adjustment, net of taxes(112)10
58
Total other comprehensive income (loss) attributable to noncontrolling interests$(106)$(17)$90
Total comprehensive income before attribution of noncontrolling interests$3,309
$11,646
$8,742
Total net income attributable to noncontrolling interests185
227
219
Citigroup’s comprehensive income$3,124
$11,419
$8,523
CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOMECitigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars201720162015
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Add: Citigroup’s other comprehensive income (loss)



 
Net change in unrealized gains and losses on investment securities, net of taxes$(863)$108
$(964)
Net change in debt valuation adjustment (DVA), net of taxes(1)
(569)(337)—
Net change in cash flow hedges, net of taxes(138)57
292
Benefit plans liability adjustment, net of taxes(2)
(1,019)(48)43
Net change in foreign currency translation adjustment, net of taxes and hedges(202)(2,802)(5,499)
Citigroup’s total other comprehensive income (loss)(3)
$(2,791)$(3,022)$(6,128)
Citigroup’s total comprehensive income (loss)

$(9,589)$11,890
$11,114
Add: Other comprehensive income (loss) attributable to noncontrolling interests$114
$(56)$(83)
Add: Net income attributable to noncontrolling interests60
63
90
Total comprehensive income (loss)$(9,415)$11,897
$11,121
(1)    Reflects adjustments based onSee Note 1 to the actuarial valuations of the Company’s significant pension and postretirement plans, including changes in the mortality assumptions at December 31, 2014, and amortization of amounts previously recognized in Accumulated other comprehensive income (loss). Consolidated Financial Statements.
(2)    See Note 8 to the Consolidated Financial Statements.
(3) Includes the impact of ASU 2018-02, adopted in the fourth quarter of 2017. See Note 1 to the Consolidated Financial Statements.


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


134


CONSOLIDATED BALANCE SHEET                         Citigroup Inc. and Subsidiaries
 December 31,
In millions of dollars20142013
Assets 
 
Cash and due from banks (including segregated cash and other deposits)$32,108
$29,885
Deposits with banks128,089
169,005
Federal funds sold and securities borrowed or purchased under agreements to resell (including $144,191 and $144,083 as of December 31, 2014 and December 31, 2013, respectively, at fair value)242,570
257,037
Brokerage receivables28,419
25,674
Trading account assets (including $106,217 and $106,695 pledged to creditors at December 31, 2014 and December 31, 2013, respectively)296,786
285,928
Investments:  
  Available for Sale (including $13,808 and $22,258 pledged to creditors as of December 31, 2014 and December 31, 2013, respectively)300,143
286,511
Held to Maturity (including $2,974 and $4,730 pledged to creditors as of December 31, 2014 and December 31, 2013, respectively)23,921
10,599
Non-Marketable Equity Securities (including $2,758 and $4,705 at fair value as of December 31, 2014 and December 31, 2013 respectively)9,379
11,870
Total investments$333,443
$308,980
Loans: 
 
Consumer (including $43 and $957 as of December 31, 2014 and December 31, 2013, respectively, at fair value)369,970
393,831
Corporate (including $5,858 and $4,072 as of December 31, 2014 and December 31, 2013, respectively, at fair value)274,665
271,641
Loans, net of unearned income$644,635
$665,472
Allowance for loan losses(15,994)(19,648)
Total loans, net$628,641
$645,824
Goodwill23,592
25,009
Intangible assets (other than MSRs)4,566
5,056
Mortgage servicing rights (MSRs)1,845
2,718
Other assets (including $7,762 and $7,123 as of December 31, 2014 and December 31, 2013, respectively, at fair value)122,471
125,266
Total assets$1,842,530
$1,880,382
CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
 December 31,
In millions of dollars20172016
Assets 
 
Cash and due from banks$23,775
$23,043
Deposits with banks156,741
137,451
Federal funds sold and securities borrowed or purchased under agreements to resell (including $132,949 and $133,204 as of December 31, 2017 and December 31, 2016, respectively, at fair value)232,478
236,813
Brokerage receivables38,384
28,887
Trading account assets (including $99,460 and $80,986 pledged to creditors at December 31, 2017 and December 31, 2016, respectively)251,556
243,925
Investments:  
  Available for sale (including $9,493 and $8,239 pledged to creditors as of December 31, 2017 and December 31, 2016, respectively)290,914
299,424
Held to maturity (including $435 and $843 pledged to creditors as of December 31, 2017 and December 31, 2016, respectively)53,320
45,667
Non-marketable equity securities (including $1,206 and $1,774 at fair value as of December 31, 2017 and December 31, 2016, respectively)8,056
8,213
Total investments$352,290
$353,304
Loans: 
 
Consumer (including $25 and $29 as of December 31, 2017 and December 31, 2016, respectively, at fair value)333,656
325,063
Corporate (including $4,349 and $3,457 as of December 31, 2017 and December 31, 2016, respectively, at fair value)333,378
299,306
Loans, net of unearned income$667,034
$624,369
Allowance for loan losses(12,355)(12,060)
Total loans, net$654,679
$612,309
Goodwill22,256
21,659
Intangible assets (other than MSRs)4,588
5,114
Mortgage servicing rights (MSRs)558
1,564
Other assets (including $19,793 and $15,729 as of December 31, 2017 and December 31, 2016, respectively, at fair value)105,160
128,008
Total assets$1,842,465
$1,792,077

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
December 31,December 31,
In millions of dollars2014201320172016
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$300
$362
$52
$142
Trading account assets671
977
1,129
602
Investments8,014
10,950
2,498
3,636
Loans, net of unearned income 
 
 
 
Consumer (including $0 and $910 as of December 31, 2014 and December 31, 2013, respectively, at fair value)66,383
63,493
Corporate (including $0 and $14 as of December 31, 2014 and December 31, 2013, respectively, at fair value)29,596
31,919
Consumer54,656
53,401
Corporate19,835
20,121
Loans, net of unearned income$95,979
$95,412
$74,491
$73,522
Allowance for loan losses(2,793)(3,502)(1,930)(1,769)
Total loans, net$93,186
$91,910
$72,561
$71,753
Other assets619
1,234
154
158
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$102,790
$105,433
$76,394
$76,291
Statement continues on the next page.

135


CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
December 31,December 31,
In millions of dollars, except shares and per share amounts2014201320172016
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$128,958
$128,399
$126,880
$136,698
Interest-bearing deposits in U.S. offices (including $994 and $988 as of December 31, 2014 and December 31, 2013, respectively, at fair value)284,978
284,164
Interest-bearing deposits in U.S. offices (including $303 and $434 as of December 31, 2017 and December 31, 2016, respectively, at fair value)318,613
300,972
Non-interest-bearing deposits in offices outside the U.S.70,925
69,406
87,440
77,616
Interest-bearing deposits in offices outside the U.S. (including $690 and $689 as of December 31, 2014 and December 31, 2013, respectively, at fair value)414,471
486,304
Interest-bearing deposits in offices outside the U.S. (including $1,162 and $778 as of December 31, 2017 and December 31, 2016, respectively, at fair value)426,889
414,120
Total deposits$899,332
$968,273
$959,822
$929,406
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $36,725 and $54,147 as of December 31, 2014 and December 31, 2013, respectively, at fair value)173,438
203,512
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $40,638 and $33,663 as of December 31, 2017 and December 31, 2016, respectively, at fair value)156,277
141,821
Brokerage payables52,180
53,707
61,342
57,152
Trading account liabilities139,036
108,762
124,047
139,045
Short-term borrowings (including $1,496 and $3,692 as of December 31, 2014 and December 31, 2013, respectively, at fair value)58,335
58,944
Long-term debt (including $26,180 and $26,877 as of December 31, 2014 and December 31, 2013, respectively, at fair value)223,080
221,116
Other liabilities (including $1,776 and $2,011 as of December 31, 2014 and December 31, 2013, respectively, at fair value)85,084
59,935
Short-term borrowings (including $4,627 and $2,700 as of December 31, 2017 and December 31, 2016, respectively, at fair value)44,452
30,701
Long-term debt (including $31,392 and $26,254 as of December 31, 2017 and December 31, 2016, respectively, at fair value)236,709
206,178
Other liabilities (including $15,084 and $10,796 as of December 31, 2017 and December 31, 2016, respectively, at fair value)58,144
61,631
Total liabilities$1,630,485
$1,674,249
$1,640,793
$1,565,934
Stockholders’ equity 
 
 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 418,720 as of December 31, 2014 and 269,520 as of December 31, 2013, at aggregate liquidation value
$10,468
$6,738
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,082,037,568 as of December 31, 2014 and 3,062,098,976 as of December 31, 2013
31
31
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of December 31, 2017 and December 31, 2016, at aggregate liquidation value
$19,253
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,523,273 and 3,099,482,042 as of December 31, 2017 and December 31, 2016, respectively
31
31
Additional paid-in capital107,979
107,193
108,008
108,042
Retained earnings118,201
111,168
138,425
146,477
Treasury stock, at cost: December 31, 2014—58,119,993 shares and December 31, 2013—32,856,062 shares
(2,929)(1,658)
Treasury stock, at cost: December 31, 2017—529,614,728 shares and December 31, 2016—327,090,192 shares
(30,309)(16,302)
Accumulated other comprehensive income (loss)(23,216)(19,133)(34,668)(32,381)
Total Citigroup stockholders’ equity$210,534
$204,339
$200,740
$225,120
Noncontrolling interest1,511
1,794
932
1,023
Total equity$212,045
$206,133
$201,672
$226,143
Total liabilities and equity$1,842,530
$1,880,382
$1,842,465
$1,792,077

The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
December 31,December 31,
In millions of dollars2014201320172016
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup 
 
 
 
Short-term borrowings$20,254
$21,793
$10,079
$10,697
Long-term debt (including $0 and $909 as of December 31, 2014 and December 31, 2013, respectively, at fair value)40,078
34,743
Long-term debt30,492
23,919
Other liabilities901
999
611
1,275
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup$61,233
$57,535
$41,182
$35,891
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

136


CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY
Citigroup Inc. and Subsidiaries
 Years ended December 31,
 AmountsShares
In millions of dollars, except shares in thousands201420132012201420132012
Preferred stock at aggregate liquidation value 
 
 
 
 
 
Balance, beginning of year$6,738
$2,562
$312
270
102
12
Issuance of new preferred stock3,730
4,270
2,250
149
171
90
Redemption of preferred stock—
(94)—
—
(3)—
Balance, end of period$10,468
$6,738
$2,562
419
270
102
Common stock and additional paid-in capital 
 
 
 
 
 
Balance, beginning of year$107,224
$106,421
$105,833
3,062,099
3,043,153
2,937,756
Employee benefit plans798
878
597
19,928
18,930
9,037
Preferred stock issuance expense(31)(78)—
—
—
—
Issuance of shares and T-DEC for TARP repayment—
—
—
—
—
96,338
Other19
3
(9)11
16
22
Balance, end of period$108,010
$107,224
$106,421
3,082,038
3,062,099
3,043,153
Retained earnings 
 
 
 
 
 
Adjusted balance, beginning of period$111,168
$97,809
$90,413
 
 
 
Citigroup’s net income7,313
13,673
7,541
 
 
 
Common dividends (1)
(122)(120)(120) 
 
 
Preferred dividends(511)(194)(26) 
 
 
Tax benefit353
—
—
 
 
 
Other—
—
1
   
Balance, end of period$118,201
$111,168
$97,809
 
 
 
Treasury stock, at cost 
 
 
 
 
 
Balance, beginning of year$(1,658)$(847)$(1,071)(32,856)(14,269)(13,878)
Employee benefit plans (2)
(39)26
229
(483)(1,629)(253)
Treasury stock acquired (3)
(1,232)(837)(5)(24,780)(16,958)(138)
Balance, end of period$(2,929)$(1,658)$(847)(58,119)(32,856)(14,269)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
 
 
Balance, beginning of year$(19,133)$(16,896)$(17,788) 
 
 
Citigroup’s total other comprehensive income (loss)
(4,083)(2,237)892
 
 
 
Balance, end of period$(23,216)$(19,133)$(16,896) 
 
 
Total Citigroup common stockholders’ equity$200,066
$197,601
$186,487
3,023,919
3,029,243
3,028,884
Total Citigroup stockholders’ equity$210,534
$204,339
$189,049
 
 
 
Noncontrolling interests 
 
 
 
 
 
Balance, beginning of year$1,794
$1,948
$1,767
 
 
 
Initial origination of a noncontrolling interest—
6
88
 
 
 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary—
(2)—
   
Transactions between Citigroup and the noncontrolling-interest shareholders(96)(118)41
 
 
 
Net income attributable to noncontrolling-interest shareholders185
227
219
 
 
 
Dividends paid to noncontrolling-interest shareholders(91)(63)(33) 
 
 
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
(106)(17)90
 
 
 
Other(175)(187)(224) 
 
 
Net change in noncontrolling interests$(283)$(154)$181
 
 
 
Balance, end of period$1,511
$1,794
$1,948
 
 
 
Total equity$212,045
$206,133
$190,997
   
CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITYCitigroup Inc. and Subsidiaries
 Years ended December 31,
 AmountsShares
In millions of dollars, except shares in thousands201720162015201720162015
Preferred stock at aggregate liquidation value 
 
 
 
 
 
Balance, beginning of year$19,253
$16,718
$10,468
770
669
419
Issuance of new preferred stock—
2,535
6,250
—
101
250
Balance, end of period$19,253
$19,253
$16,718
770
770
669
Common stock and additional paid-in capital 
 
 
 
 
 
Balance, beginning of year$108,073
$108,319
$108,010
3,099,482
3,099,482
3,082,038
Employee benefit plans(27)(251)357
41
—
17,438
Preferred stock issuance expense—
(37)(23)—
—
—
Other(7)42
(25)—
—
6
Balance, end of period$108,039
$108,073
$108,319
3,099,523
3,099,482
3,099,482
Retained earnings 
 
 
 
 
 
Balance, beginning of year$146,477
$133,841
$117,852
   
Adjustment to opening balance, net of taxes(1)
(660)15
—
   
Adjusted balance, beginning of period$145,817
$133,856
$117,852
 
 
 
Citigroup’s net income (loss)(6,798)14,912
17,242
 
 
 
Common dividends(2)
(2,595)(1,214)(484) 
 
 
Preferred dividends(1,213)(1,077)(769) 
 
 
Impact of Tax Reform related to AOCI reclassification(3)
3,304
—
—
 
 
 
Other(4)
(90)—
—
   
Balance, end of period$138,425
$146,477
$133,841
 
 
 
Treasury stock, at cost 
 
 
 
 
 
Balance, beginning of year$(16,302)$(7,677)$(2,929)(327,090)(146,203)(58,119)
Employee benefit plans(5)
531
826
704
11,651
14,256
13,318
Treasury stock acquired(6)
(14,538)(9,451)(5,452)(214,176)(195,143)(101,402)
Balance, end of period$(30,309)$(16,302)$(7,677)(529,615)(327,090)(146,203)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
 
 
Balance, beginning of year$(32,381)$(29,344)$(23,216) 
 
 
Adjustment to opening balance, net of taxes(1)
504
(15)—
   
Adjusted balance, beginning of period$(31,877)$(29,359)$(23,216)   
Citigroup’s total other comprehensive income (loss)(3)
(2,791)(3,022)(6,128) 
 
 
Balance, end of period$(34,668)$(32,381)$(29,344) 
 
 
Total Citigroup common stockholders’ equity$181,487
$205,867
$205,139
2,569,908
2,772,392
2,953,279
Total Citigroup stockholders’ equity$200,740
$225,120
$221,857
 
 
 
Noncontrolling interests 
 
 
 
 
 
Balance, beginning of year$1,023
$1,235
$1,511
 
 
 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary(28)(11)—
   
Transactions between Citigroup and the noncontrolling-interest shareholders(121)(130)(164) 
 
 
Net income attributable to noncontrolling-interest shareholders60
63
90
 
 
 
Dividends paid to noncontrolling-interest shareholders(44)(42)(78) 
 
 
Other comprehensive income (loss) attributable to
   noncontrolling-interest shareholders
114
(56)(83) 
 
 
Other(72)(36)(41) 
 
 
Net change in noncontrolling interests$(91)$(212)$(276) 
 
 
Balance, end of period$932
$1,023
$1,235
 
 
 
Total equity$201,672
$226,143
$223,092
   


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(1)Common dividends declared were $0.01 per share inSee Note 1 to the first, second, third and fourth quarters of 2014, 2013 and 2012.Consolidated Financial Statements.
(2)Common dividends declared were $0.16 per share in the first and second quarters and $0.32 per share in the third and fourth quarters of 2017; $0.05 per share in the first and second quarters and $0.16 per share in the third and fourth quarters of 2016; and $0.01 in the first quarter and $0.05 per share in the second, third and fourth quarters of 2015.
(3)
Includes the impact of ASU 2018-02, which transferred those amounts from AOCI to Retained earnings. See Notes 1 and 19 to the Consolidated Financial Statements.
(4) Includes the impact of ASU No. 2016-09. See Note 1 to the Consolidated Financial Statements.
(5)Includes treasury stock related to (i) certain activity on employee stock option program exercises, where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restrictedemployee-restricted or deferred stockdeferred-stock programs, where shares are withheld to satisfy tax requirements.
(3)(6)For 20142017, 2016 and 2013,2015, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.

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

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CONSOLIDATED STATEMENT OF CASH FLOWS
Citigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars201420132012
Cash flows from operating activities of continuing operations 
 
 
Net income before attribution of noncontrolling interests$7,498
$13,900
$7,760
Net income attributable to noncontrolling interests185
227
219
Citigroup’s net income$7,313
$13,673
$7,541
Loss from discontinued operations, net of taxes(2)(90)(57)
Gain (loss) on sale, net of taxes—
360
(1)
Income from continuing operations—excluding noncontrolling interests$7,315
$13,403
$7,599
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
Amortization of deferred policy acquisition costs and present value of future profits210
194
203
(Additions) reductions to deferred policy acquisition costs(64)(54)85
Depreciation and amortization3,589
3,303
2,507
Deferred tax provision (benefit)3,014
2,380
(4,091)
Provision for loan losses6,828
7,604
10,458
Realized gains from sales of investments(570)(748)(3,251)
Net impairment losses recognized in earnings426
535
4,971
Change in trading account assets(10,858)35,001
(29,195)
Change in trading account liabilities30,274
(6,787)(10,533)
Change in brokerage receivables net of brokerage payables(4,272)(6,490)945
Change in loans held-for-sale(1,144)4,321
(1,106)
Change in other assets709
13,332
(530)
Change in other liabilities4,544
(7,880)(1,457)
Other, net5,433
5,130
13,033
Total adjustments$38,119
$49,841
$(17,961)
Net cash provided by (used in) operating activities of continuing operations$45,434
$63,244
$(10,362)
Cash flows from investing activities of continuing operations 
 
 
Change in deposits with banks$40,916
$(66,871)$53,650
Change in federal funds sold and securities borrowed or purchased under agreements to resell14,467
4,274
14,538
Change in loans1,170
(30,198)(31,591)
Proceeds from sales and securitizations of loans4,752
9,123
7,287
Purchases of investments(258,992)(220,823)(256,907)
Proceeds from sales of investments135,824
131,100
143,853
Proceeds from maturities of investments94,117
84,831
102,020
Capital expenditures on premises and equipment and capitalized software(3,386)(3,490)(3,604)
Proceeds from sales of premises and equipment, subsidiaries and affiliates, and repossessed assets623
716
1,089
Net cash provided by (used in) investing activities of continuing operations$29,491
$(91,338)$30,335
Cash flows from financing activities of continuing operations 
 
 
Dividends paid$(633)$(314)$(143)
Issuance of preferred stock3,699
4,192
2,250
Redemption of preferred stock—
(94)—
Treasury stock acquired(1,232)(837)(5)
Stock tendered for payment of withholding taxes(508)(452)(194)
Change in federal funds purchased and securities loaned or sold under agreements to repurchase(30,074)(7,724)12,863
Issuance of long-term debt66,836
54,405
27,843
Payments and redemptions of long-term debt(58,923)(63,994)(117,575)
Change in deposits(48,336)37,713
64,624
CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries

139


Change in short-term borrowings(1,099)199
(2,164)
Net cash provided by (used in) financing activities of continuing operations$(70,270)$23,094
$(12,501)
Effect of exchange rate changes on cash and cash equivalents$(2,432)$(1,558)$274
Discontinued operations 
 
 
Net cash used in discontinued operations$—
$(10)$6
Change in cash and due from banks$2,223
$(6,568)$7,752
Cash and due from banks at beginning of period29,885
36,453
28,701
Cash and due from banks at end of period$32,108
$29,885
$36,453
Supplemental disclosure of cash flow information for continuing operations 
 
 
Cash paid during the year for income taxes$4,632
$4,495
$3,900
Cash paid during the year for interest12,868
14,383
19,739
Non-cash investing activities 
 
 
Change in loans due to consolidation/deconsolidation of VIEs$(374)$6,718
$—
Transfers to loans held-for-sale from loans12,700
17,300
8,700
Transfers to OREO and other repossessed assets321
325
500
Non-cash financing activities   
Decrease in deposits associated with reclassification to HFS$(20,605)$—
$—
Increase in short-term borrowings due to consolidation of VIEs500
6,718
—
Decrease in long-term debt due to deconsolidation of VIEs(864)—
—
 Years ended December 31,
In millions of dollars201720162015
Cash flows from operating activities of continuing operations 
 
 
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
Net income attributable to noncontrolling interests60
63
90
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Loss from discontinued operations, net of taxes(111)(58)(54)
Income (loss) from continuing operations—excluding noncontrolling interests$(6,687)$14,970
$17,296
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
Net gains on significant disposals(1)
(602)(404)(3,210)
Depreciation and amortization3,659
3,720
3,506
Deferred tax provision (2)
24,877
1,459
2,794
Provision for loan losses7,503
6,749
7,108
Realized gains from sales of investments(778)(948)(682)
Net impairment losses on investments, goodwill and intangible assets91
621
318
Change in trading account assets(7,726)(2,710)46,830
Change in trading account liabilities(14,998)21,533
(21,524)
Change in brokerage receivables, net of brokerage payables(5,307)2,226
2,278
Change in loans held-for-sale (HFS)247
6,603
(7,207)
Change in other assets(2,489)(6,859)(32)
Change in other liabilities(3,421)(28)(1,135)
Other, net(2,956)7,000
(6,603)
Total adjustments$(1,900)$38,962
$22,441
Net cash provided by (used in) operating activities of continuing operations$(8,587)$53,932
$39,737
Cash flows from investing activities of continuing operations 
 
 
   Change in deposits with banks$(19,290)$(25,311)$15,488
   Change in federal funds sold and securities borrowed or purchased under agreements to resell4,335
(17,138)22,895
   Change in loans(58,062)(39,761)1,353
   Proceeds from sales and securitizations of loans8,365
18,140
9,610
   Purchases of investments(185,740)(211,402)(242,362)
   Proceeds from sales of investments(3)
107,368
132,183
141,470
   Proceeds from maturities of investments84,369
65,525
82,047
   Proceeds from significant disposals(1)
3,411
265
5,932
   Payments due to transfers of net liabilities associated with significant disposals(1)(4)
—
—
(18,929)
   Capital expenditures on premises and equipment and capitalized software(3,361)(2,756)(3,198)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
377
667
577
Net cash provided by (used in) investing activities of continuing operations$(58,228)$(79,588)$14,883
Cash flows from financing activities of continuing operations 
 
 
   Dividends paid$(3,797)$(2,287)$(1,253)
   Issuance of preferred stock—
2,498
6,227
   Treasury stock acquired(14,541)(9,290)(5,452)
   Stock tendered for payment of withholding taxes(405)(316)(428)
   Change in federal funds purchased and securities loaned or sold under agreements to repurchase14,456
(4,675)(26,942)
   Issuance of long-term debt67,960
63,806
44,619
   Payments and redemptions of long-term debt(40,986)(55,460)(52,843)
   Change in deposits30,416
24,394
8,555
   Change in short-term borrowings13,751
9,622
(37,256)

Net cash provided by (used in) financing activities of continuing operations$66,854
$28,292
$(64,773)
Effect of exchange rate changes on cash and cash equivalents$693
$(493)$(1,055)
Change in cash and due from banks$732
$2,143
$(11,208)
Cash and due from banks at beginning of period23,043
20,900
32,108
Cash and due from banks at end of period$23,775
$23,043
$20,900
Supplemental disclosure of cash flow information for continuing operations 
 
 
Cash paid during the year for income taxes$2,083
$4,359
$4,978
Cash paid during the year for interest15,675
12,067
12,031
Non-cash investing activities 
 
 
Decrease in net loans associated with significant disposals reclassified to HFS$—
$—
$(9,063)
Decrease in investments associated with significant disposals reclassified to HFS—
—
(1,402)
Decrease in goodwill and intangible assets associated with significant disposals reclassified to HFS—
—
(223)
Decrease in deposits associated with banks with significant disposals reclassified to HFS—
—
(404)
Transfers to loans HFS from loans5,900
13,900
28,600
Transfers to OREO and other repossessed assets113
165
276
Non-cash financing activities   
Decrease in long-term debt associated with significant disposals reclassified to HFS$—
$—
$(4,673)

(1)See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
(2)Includes the full impact of the $22.6 billion non-cash charge related to the Tax Cuts and Jobs Act (Tax Reform). See Notes 1 and 9 to the Consolidated Financial Statements for further information.
(3) Proceeds for 2016 include approximately $3.3 billion from the sale of Citi’s investment in China Guangfa Bank.
(4)The payments associated with significant disposals result primarily from the sale of deposit liabilities.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.



140


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Throughout these Notes, “Citigroup,” “Citi” and the “Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications have been made to the prior periods’ financial statements and notesNotes to conform to the current period’s presentation.

Principles of Consolidation
The Consolidated Financial Statements include the accounts of Citigroup and its subsidiaries prepared in accordance with U.S. Generally Accepted Accounting Principlesgenerally accepted accounting principles (GAAP). The Company consolidates subsidiaries in which it holds, directly or indirectly, more than 50% of the voting rights or where it exercises control. Entities where the Company holds 20% to 50% of the voting rights and/or has the ability to exercise significant influence, other than investments of designated venture capital subsidiaries or investments accounted for at fair value under the fair value option, are accounted for under the equity method, and the pro rata share of their income (loss) is included in Other revenue. Income from investments in less than 20% ownedless-than-20%-owned companies is recognized when dividends are received. As discussed in more detail in Note 2221 to the Consolidated Financial Statements, Citigroup also consolidates entities deemed to be variable interest entities when Citigroup is determined to be the primary beneficiary. Gains and losses on the disposition of branches, subsidiaries, affiliates, buildings and other investments are included in Other revenue.

Citibank N.A.
Citibank, N.A. (Citibank) is a commercial bank and wholly owned subsidiary of Citigroup Inc.Citigroup. Citibank’s principal offerings include:include consumer finance, mortgage lending and retail banking (including commercial banking) products and services; investment banking, commercial banking, cash management and trade finance; and private banking products and services.

Variable Interest Entities
An entity is referred to as a variable interest entity (VIE) if it meets either of the criteria outlined in Accounting Standards Codification (ASC) Topic 810, Consolidation, which are:are (i) the entity has equity that is insufficient to permit the entity to finance its activities without additional subordinated financial support from other parties;parties, or (ii) the entity has equity investors that cannot make significant decisions about the entity’s operations or that do not absorb their proportionate share of the entity’s expected losses or expected returns.
The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the VIE’s economic performance and a right to receive benefits or the obligation to absorb losses of the entity that could be potentially significant to the VIE (that is, Citi is the primary beneficiary).
In addition to variable interests held in
consolidated VIEs, the Company has variable interests in other VIEs that are not consolidated because the Company is not the primary beneficiary. These include multi-seller finance companies, certain collateralized debt obligations (CDOs), many structured finance transactions and various investment funds. However, these VIEs and all other
All unconsolidated VIEs are monitored by the Company to assess whether any events have occurred to cause its primary beneficiary status to change. These events include:

purchases or sales of variable interests by Citigroup or an unrelated third party, which cause Citigroup’s overall variable interest ownership to change;
changes in contractual arrangements that reallocate expected losses and residual returns among the variable interest holders;
changes in the party that has power to direct the activities of a VIE that most significantly impact the entity’s economic performance; and
providing financial support to an entity that results in an implicit variable interest.

All other entities not deemed to be VIEs with which the Company has involvement are evaluated for consolidation under other subtopics of ASC 810. See Note 21 to the Consolidated Financial Statements for more detailed information.

Foreign Currency Translation
Assets and liabilities of Citi’s foreign operations are translated from their respective functional currencies into U.S. dollars using period-end spot foreign-exchangeforeign exchange rates. The effects of those translation adjustments are reported in Accumulated other comprehensive income (loss), a component of stockholders’ equity, along withnet of any related hedge and tax effects, until realized upon sale or substantial liquidation of the foreign operation. Revenues and expenses of Citi’s foreign operations are translated monthly from their respective functional currencies into U.S. dollars at amounts that approximate weighted average exchange rates.
For transactions whose termsthat are denominated in a currency other than the functional currency, including transactions denominated in the local currencies of foreign operations withthat use the U.S. dollar as their functional currency, the effects of changes in exchange rates are primarily included in Principal transactions, along with the related effects of any economic hedges. Instruments used to hedge foreign currency exposures include foreign currency forward, option and swap contracts and, in certain instances, designated issues of non-U.S. dollar debt. Foreign operations in countries with highly inflationary economies designate the U.S. dollar as their functional currency, with the effects of changes in exchange rates primarily included in Other revenue.



141


Investment Securities
Investments include fixed income and equity securities. Fixed income instruments include bonds, notes and redeemable preferred stocks, as well as certain loan-backed and structured securities that are subject to prepayment risk. Equity securities include common and nonredeemable preferred stock.
Investment securities are classified and accounted for as follows:

Fixed income securities classified as “held-to-maturity” are securities that the Company has both the ability and the intent to hold until maturity and are carried at amortized cost. Interest income on such securities is included in Interest revenue.
Fixed income securities and marketable equity securities classified as “available-for-sale” are carried at fair value with changes in fair value reported in Accumulated other comprehensive income (loss), a component of

Stockholders’stockholders’ equity,, net of applicable income taxes and hedges. Realized gains and losses on sales are included in income primarily on a specific identification cost basis. Interest and dividend income on such securities is included in Interest revenue.
Certain investments in non-marketable equity securities and certain investments that would otherwise have been accounted for using the equity method are carried at fair value, since the Company has elected to apply fair value accounting. Changes in fair value of such investments are recorded in earnings.
Certain non-marketable equity securities are carried at cost and are periodically assessed for other-than-temporary impairment, as described in Note 14 to the Consolidated Financial Statements.cost.

For investments in fixed income securities classified as held-to-maturity or available-for-sale, the accrual of interest income is suspended for investments that are in default or for which it is likely that future interest payments will not be made as scheduled.
Investment securities are subject to evaluation for other-than-temporary impairment as described in Note 1413 to the Consolidated Financial Statements.
The Company uses a number of valuation techniques for investments carried at fair value, which are described in Note 2524 to the Consolidated Financial Statements. Realized gains and losses on sales of investments are included in earnings.

Trading Account Assets and Liabilities
Trading account assets include debt and marketable equity securities, derivatives in a receivable position, residual interests in securitizations and physical commodities inventory. In addition, as described in Note 2625 to the Consolidated Financial Statements, certain assets that Citigroup has elected to carry at fair value under the fair value option, such as loans and purchased guarantees, are also included in Trading account assets.
Trading account liabilities include securities sold, not yet purchased (short positions) and derivatives in a net payable position, as well as certain liabilities that Citigroup has elected to carry at fair value (as described in Note 2625 to the Consolidated Financial Statements).
Other than physical commodities inventory, all trading account assets and liabilities are carried at fair value. Revenues generated from trading assets and trading liabilities are generally reported in Principal transactions and include realized gains and losses as well as unrealized gains and losses resulting from changes in the fair value of such instruments. Interest income on trading assets is recorded in Interest revenue reduced by interest expense on trading liabilities.
Physical commodities inventory is carried at the lower of cost or market with related losses reported in Principal transactions. Realized gains and losses on sales of commodities inventory are included in Principal transactions. Investments in unallocated precious metals accounts (gold, silver, platinum and palladium) are accounted for as hybrid instruments containing a debt host contract and an embedded non-financial derivative
instrument indexed to the price of the relevant precious metal. The embedded derivative instrument is separated from the debt host contract and accounted for at fair value. The debt host contract is accounted forcarried at fair value under the fair value option, as described in Note 2625 to the Consolidated Financial Statements.
Derivatives used for trading purposes include interest rate, currency, equity, credit and commodity swap agreements, options, caps and floors, warrants, and financial and commodity futures and forward contracts. Derivative asset and liability positions are presented net by counterparty on the Consolidated Balance Sheet when a valid master netting agreement exists and the other conditions set out in ASC Topic 210-20, Balance Sheet—Offsetting, are met. See Note 2322 to the Consolidated Financial Statements.
The Company uses a number of techniques to determine the fair value of trading assets and liabilities, which are described in Note 2524 to the Consolidated Financial Statements.



142


Securities Borrowed and Securities Loaned
Securities borrowing and lending transactions generally do not constitute a sale of the underlying securities for accounting purposes and are treated as collateralized financing transactions. Such transactions are recorded at the amount of proceeds advanced or received plus accrued interest. As described in Note 2625 to the Consolidated Financial Statements, the Company has elected to apply fair value accounting to a number of securities borrowing and lending transactions. Fees paid or received for all securities lending and borrowing transactions are recorded in Interest expense or Interest revenue at the contractually specified rate.
The Company monitors the fair value of securities borrowed or loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
As described in Note 2524 to the Consolidated Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of securities lending and borrowing transactions.

Repurchase and Resale Agreements
Securities sold under agreements to repurchase (repos) and securities purchased under agreements to resell (reverse repos) generally do not constitute a sale (or purchase) of the underlying securities for accounting purposes and are treated as collateralized financing transactions. As described in Note 2625 to the Consolidated Financial Statements, the Company has elected to apply fair value accounting to the majority of such transactions, with changes in fair value reported in earnings. Any transactions for which fair value accounting has not been elected are recorded at the amount of cash advanced or received plus accrued interest. Irrespective of whether the Company has elected fair value accounting, interest paid or received on all repo and reverse repo transactions is recorded in Interest expense or Interest revenue at the contractually specified rate.
Where the conditions of ASC 210-20-45-11, Balance Sheet-Offsetting:Sheet—Offsetting: Repurchase and Reverse Repurchase

Agreements, are met, repos and reverse repos are presented net on the Consolidated Balance Sheet.
The Company’s policy is to take possession of securities purchased under reverse repurchase agreements. The Company monitors the fair value of securities subject to repurchase or resale on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
As described in Note 2524 to the Consolidated Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of repo and reverse repo transactions.

Loans
Loans are reported at their outstanding principal balances net of any unearned income and unamortized deferred fees and costs except that credit card receivable balances also include accrued interest and fees. Loan origination fees and certain direct origination costs are generally deferred and
recognized as adjustments to income over the lives of the related loans.
As described in Note 2625 to the Consolidated Financial Statements, Citi has elected fair value accounting for certain loans. Such loans are carried at fair value with changes in fair value reported in earnings. Interest income on such loans is recorded in Interest revenue at the contractually specified rate.
Loans for which the fair value option has not been elected are classified upon origination or acquisition as either held-for-investment or held-for-sale. This classification is based on management’s initial intent and ability with regard to those loans.
Loans that are held-for-investment are classified as Loans, net of unearned income on the Consolidated Balance Sheet, and the related cash flows are included within the cash flows from investing activities category in the Consolidated Statement of Cash Flows on the line Change in loans. However, when the initial intent for holding a loan has changed from held-for-investment to held-for-sale,HFS, the loan is reclassified to held-for-sale, but the related cash flows continue to be reported in cash flows from investing activities in the Consolidated Statement of Cash Flows on the line Proceeds from sales and securitizations of loans.

Consumer loansLoans
Consumer loans represent loans and leases managed primarily by the Global Consumer Banking (GCB) businesses and Citi Holdings.Corporate/Other.

Consumer non-accrualNon-accrual and re-aging policiesRe-aging Policies
As a general rule, interest accrual ceases for installment and real estate (both open- and closed-end) loans when payments are 90 days contractually past due. For credit cards and other unsecured revolving loans, however, Citi generally accrues interest until payments are 180 days past due. As a result of OCC guidance, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Also as a result of OCC guidance, mortgage loans in regulated bank entities discharged through Chapter 7within 60 days of notification that the borrower has filed for bankruptcy, other than FHA-insured loans, are classified as non-accrual. Commercial market loans are placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the
collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due.
Loans that have been modified to grant a concession to a borrower in financial difficulty may not be accruing interest at the time of the modification. The policy for returning such modified loans to accrual status varies by product and/or region. In most cases, a minimum number of payments (ranging from one to six) is required, while in other cases the loan is never returned to accrual status. For regulated bank entities, such modified loans are returned to accrual status if a credit evaluation at the time of, or subsequent to, the modification indicates the borrower is able to meet the restructured terms, and the borrower is current and has demonstrated a reasonable period of


143


sustained payment performance (minimum six months of consecutive payments).
For U.S. consumer loans, generally one of the conditions to qualify for modification is that a minimum number of payments (typically ranging from one to three) must be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for the loan to be re-aged to current status is that at least three consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, Federal Housing Administration (FHA) and Department of Veterans Affairs (VA) loans may only be modified under those respective agencies’ guidelines, and payments are not always required in order to re-age a modified loan to current.

Consumer charge-off policiesCharge-Off Policies
Citi’s charge-off policies follow the general guidelines below:

Unsecured installment loans are charged off at 120 days contractually past due.
Unsecured revolving loans and credit card loans are charged off at 180 days contractually past due.
Loans secured with non-real estate collateral are written down to the estimated value of the collateral, less costs to sell, at 120 days contractually past due.
Real estate-secured loans are written down to the estimated value of the property, less costs to sell, at 180 days contractually past due.
Real estate-secured loans are charged off no later than 180 days contractually past due if a decision has been made not to foreclose on the loans.
Non-bank real estate-secured loans are charged off at the earlier of 180 days contractually past due, if there have been no payments within the last six months, or 360 days contractually past due, if a decision has been made not to foreclose on the loans. 
Non-bank loans secured by real estate are written down to the estimated value of the property, less costs to sell, at the earlier of the receipt of title, the initiation of foreclosure (a process that must commence when payments are 120 days contractually past due), when the loan is 180 days contractually past due if there have been no payments within the past six months or 360 days contractually past due. 
Non-bank unsecured personal loans are charged off at the earlier of 180 days contractually past due if there have been no payments within the last six months, or 360 days contractually past due.
Unsecured loans in bankruptcy are charged off within 60 days of notification of filing by the bankruptcy court
or in accordance with Citi’s charge-off policy, whichever occurs earlier.
Consistent with OCC guidance, real
Real estate-secured loans that were discharged through Chapter 7in bankruptcy, other than FHA-insured loans, are written down to the estimated value of the property, less costs to sell. Other real estate-secured loans in bankruptcy are written down to the estimated value of the property, less costs to sell, at the later ofwithin 60 days afterof notification that the borrower has filed for bankruptcy or 60 days contractually past due.
Non-bank loans secured by real estate that are discharged through Chapter 7 bankruptcy are written down to the estimated value of the property, less costs to sell, at 60 days contractually past due. 
Non-bank unsecured personal loans in bankruptcy are charged off when they are 30 days contractually past due.accordance with Citi’s charge-off policy, whichever is earlier.
Commercial market loans are written down to the extent that principal is judged to be uncollectable.

Corporate loansLoans
Corporate loans represent loans and leases managed by ICGInstitutional Clients Group (ICG) or, to a much lesser extent, Citi Holdings.. Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days past due and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan.
Impaired corporate loans and leases are written down to the extent that principal is deemed to be uncollectable. Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there are no other available and reliable sources of repayment, are written down to the lower of cost or collateral value. Cash-basis loans are returned to accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance in accordance with the contractual terms.

Loans Held-for-Sale
Corporate and consumer loans that have been identified for sale are classified as loans held-for-sale and included in Other assets. The practice of Citi’s U.S. prime mortgage business has been to sell substantially all of its conforming loans. As such, U.S. prime mortgage conforming loans are classified as held-for-sale and the fair value option is elected at origination, with changes in fair value recorded in Other revenue. With the exception of those loans for which the fair value option has been elected, held-for-sale loans are accounted for at the lower of cost or market value, with any


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write-downs or subsequent recoveries charged to Other revenue. The related cash flows are classified in the Consolidated Statement of Cash Flows in the cash flows from operating activities category on the line Change in loans held-for-sale.

Allowance for Loan Losses
Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, including probable losses related to large individually evaluated impaired loans and troubled debt restructurings. Attribution of the allowance is made for analytical purposes only, and the entire allowance is available to absorb probable loan losses inherent in the overall portfolio. Additions to the allowance are made through the Provision for loan losses. Loan losses are deducted from the allowance and subsequent recoveries are added. Assets received in exchange for loan claims in a restructuring are initially recorded at fair value, with any gain or loss reflected as a recovery or charge-off to the provision.

Consumer loansLoans
For consumer loans, each portfolio of non-modified smaller-balance homogeneous loans is independently evaluated for impairment by product type (e.g., residential mortgage, credit card, etc.) for impairment in accordance with ASC 450-20.450, Contingencies. The allowance for loan losses attributed to these loans is established via a process that estimates the probable losses inherent in the specific portfolio. This process includes migration analysis, in which historical delinquency and credit loss experience is applied to the current aging of the portfolio, together with analyses that reflect current and anticipated economic conditions, including changes in housing prices and unemployment trends. Citi’s allowance for loan losses under ASC 450 only considers contractual principal amounts due, except for credit card loans, where estimated loss amounts related to accrued interest receivable are also included.
Management also considers overall portfolio indicators, including historical credit losses, delinquent, non-performing and classified loans, trends in volumes and terms of loans, an evaluation of overall credit quality, the credit process, including lending policies and procedures, and economic, geographical, product and other environmental factors.
Separate valuation allowances are determined for impaired smaller-balance homogeneous loans whose terms have been modified in a troubled debt restructuring (TDR). Long-term modification programs, as well asand short-term (less than 12 months) modifications originated beginning January 1, 2011 that provide concessions (such as interest rate reductions) to borrowers in financial difficulty, are reported as TDRs. In addition, loan modifications that involve a trial period are reported as TDRs at the start of the trial period. The allowance for loan losses for TDRs is determined in accordance with ASC 310-10-35, Receivables—Subsequent Measurement, considering all available evidence, including, as appropriate, the present value of the expected future cash flows discounted at the loan’s original contractual effective rate, the secondary market value of the loan and the fair value of collateral less disposal costs. These expected cash flows incorporate
modification program default rate assumptions. The original contractual effective rate for credit card loans is the pre-modification rate, which may include interest rate increases under the original contractual agreement with the borrower.

Valuation allowances for commercial market loans, which are classifiably managed Consumerconsumer loans, are determined in the same manner as for Corporatecorporate loans and are described in more detail in the following section. Generally, an asset-specific component is calculated under ASC 310-10-35 on an individual basis for larger-balance, non-homogeneous loans that are considered impaired, and the allowance for the remainder of the classifiably managed Consumerconsumer loan portfolio is calculated under ASC 450 using a statistical methodology that may be supplemented by management adjustment.

Corporate loansLoans
In the corporate portfolios, the Allowance for loan losses includes an asset-specific component and a statistically based component. The asset-specific component is calculated under ASC 310-10-35 Receivables—Subsequent Measurement (formerly SFAS 114) on an individual basis for larger-balance, non-homogeneous loans whichthat are considered impaired. An asset-specific allowance is established when the discounted cash flows, collateral value (less disposal costs) or observable market price of the impaired loan are lower than its carrying value. This allowance considers the borrower’s overall financial condition, resources and payment record, the prospects for support from any financially responsible guarantors (discussed further below) and, if appropriate, the realizable value of any collateral. The asset-specific component of the allowance for smaller balancesmaller-balance impaired loans is calculated on a pool basis considering historical loss experience.
The allowance for the remainder of the loan portfolio is determined under ASC 450Contingencies (formerly SFAS 5) using a statistical methodology, supplemented by management judgment. The statistical analysis considers the portfolio’s size, remaining tenor and credit quality as measured by internal risk ratings assigned to individual credit facilities, which reflect probability of default and loss given default. The statistical analysis considers historical default rates and historical loss severity in the event of default, including historical average levels and historical variability. The result is an estimated range for inherent losses. The best estimate within the range is then determined by management’s quantitative and qualitative assessment of current conditions, including general economic conditions, specific industry and geographic trends and internal factors including portfolio concentrations, trends in internal credit quality indicators and current and past underwriting standards.
For both the asset-specific and the statistically based components of the Allowance for loan losses, management may incorporate guarantor support. The financial wherewithal of the guarantor is evaluated, as applicable, based on net worth, cash flow statements and personal or company financial statements, which are updated and reviewed at least annually. Citi seeks performance on


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guarantee arrangements in the normal course of business. Seeking performance entails obtaining satisfactory cooperation from the guarantor or borrower in the specific situation. This regular cooperation is indicative of pursuit and successful enforcement of the guarantee; the exposure is reduced without the expense and burden of pursuing a legal
remedy. A guarantor’s reputation and willingness to work with Citigroup is evaluated based on the historical experience with the guarantor and the knowledge of the marketplace. In the rare event that the guarantor is unwilling or unable to perform or facilitate borrower cooperation, Citi pursues a legal remedy; however, enforcing a guarantee via legal action against the guarantor is not the primary means of resolving a troubled loan situation and rarely occurs. If Citi does not pursue a legal remedy, it is because Citi does not believe that the guarantor has the financial wherewithal to perform regardless of legal action or because there are legal limitations on simultaneously pursuing guarantors and foreclosure. A guarantor’s reputation does not impact Citi’s decision or ability to seek performance under the guarantee.
In cases where a guarantee is a factor in the assessment of loan losses, it is included via adjustment to the loan’s internal risk rating, which in turn is the basis for the adjustment to the statistically based component of the Allowance for loan losses. To date, it is only in rare circumstances that an impaired commercial loan or commercial real estate loan is carried at a value in excess of the appraised value due to a guarantee.
When Citi’s monitoring of the loan indicates that the guarantor’s wherewithal to pay is uncertain or has deteriorated, there is either no change in the risk rating, because the guarantor’s credit support was never initially factored in, or the risk rating is adjusted to reflect that uncertainty or deterioration. Accordingly, a guarantor’s ultimate failure to perform or a lack of legal enforcement of the guarantee does not materially impact the allowance for loan losses, as there is typically no further significant adjustment of the loan’s risk rating at that time. Where Citi is not seeking performance under the guarantee contract, it provides for loan losses as if the loans were non-performing and not guaranteed.

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


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

Statistically calculated losses inherent in the classifiably managed portfolio for performing and de minimis non-performing exposures. The calculation is based on:on (i) Citi’s internal system of credit-risk ratings, which are analogous to the risk ratings of the major rating agencies;agencies, and (ii) historical default and loss data, including rating agency information regarding default rates from 1983 to 20132016 and internal data dating to the early 1970s on severity of losses in the event of default. Adjustments may be made to this data. Such adjustments include:include (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 the degree to which there are large obligor concentrations in the global portfolio;portfolio, and (ii) adjustments made for specific known items, such as current environmental factors and credit trends.
In addition, representatives from each of the risk management and finance staffs that cover business areas with delinquency-managed portfolios containing smaller-balance homogeneous loans present their recommended reserve balances based on leading credit indicators, including loan delinquencies and changes in portfolio size as well as economic trends, including current and future housing prices, unemployment, length of time in foreclosure, costs to sell and GDP. This methodology is applied separately for each 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, the size and diversity of individual large credits and the ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into


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account during this review. Changes in these estimates could have a direct impact on the credit costs in any period and could result in a change in the allowance.

Allowance for Unfunded Lending Commitments
A similar approach to the allowance for loan losses is used for calculating a reserve for the expected losses related to unfunded loanlending commitments and standby letters of credit. This reserve is classified on the balance sheet in Other liabilities. Changes to the allowance for unfunded lending commitments are recorded in the Provision for unfunded lending commitments.

Mortgage Servicing Rights
Mortgage servicing rights (MSRs) are recognized as intangible assets when purchased or when the Company sells or securitizes loans acquired through purchase or origination and retains the right to service the loans. Mortgage servicing rights are accounted for at fair value, with changes in value recorded in Other revenue in the Company’s Consolidated Statement of Income.
AdditionalFor additional information on the Company’s MSRs, can be found in Note 22see Notes 16 and 21 to the Consolidated Financial Statements.

Citigroup Residential Mortgages—Representations and Warranties
In connection with Citi’s sales of residential mortgage loans to the U.S. government-sponsored entities (GSEs) and private investors, as well as through private-label securitizations, Citi typically makes representations and warranties that the loans sold meet certain requirements, such as the loan’s compliance with any applicable loan criteria established by the buyer and the validity of the lien securing the loan. The specific representations and warranties made by Citi in any particular transaction depend on, among other things, the nature of the transaction and the requirements of the investor.
These sales expose Citi to potential claims for alleged breaches of its representations and warranties. In the event of a breach of its representations and warranties, Citi could be required either to repurchase the mortgage loans with the identified defects (generally at unpaid principal balance plus accrued interest) or to indemnify (make-whole) the investors for their losses on these loans.
Citi has recorded a repurchase reserve for its potential repurchase or make-whole liability regarding residential mortgage representation and warranty claims. Since the first quarter of 2013, Citi has considered private-label residential mortgage securitization representation and warranty claims as part of its litigation accrual analysis and not as part of its repurchase reserve. See Note 28 to the Consolidated Financial Statements for additional information on Citi’s potential private-label residential mortgage securitization exposure. Accordingly, Citi’s repurchase reserve has been recorded for purposes of its potential representation and warranty repurchase liability resulting from its whole loan sales to the GSEs and, to a lesser extent private investors, which are made through Citi’s Consumer business in CitiMortgage.
In the case of a repurchase, Citi will bear any subsequent credit loss on the mortgage loan and the loan is typically considered a credit-impaired loan and accounted for under AICPA Statement of Position (SOP) 03-3, “Accounting of Certain Loans and Debt Securities Acquired in a Transfer” (now incorporated into ASC 310-30, Receivables-Loans and Debt Securities Acquired with Deteriorated Credit Quality) (SOP 03-3).
In the case of a repurchase of a credit-impaired SOP 03-3 loan, the difference between the loan’s fair value and unpaid principal balance at the time of the repurchase is recorded as a utilization of the repurchase reserve. Make-whole payments to the investor are also treated as utilizations and charged directly against the reserve. The repurchase reserve is estimated when Citi sells loans (recorded as an adjustment to the gain on sale, which is included in Other revenue in the Consolidated Statement of Income) and is updated quarterly. Any change in estimate is recorded in Other revenue.

Goodwill
Goodwill represents the excess of acquisition cost over the fair value of net tangible and intangible assets acquired.acquired in a business combination. Goodwill is subject to annual impairment testing and 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.
Under ASC Topic 350, Intangibles—Goodwill and Other,the Company has an option to assess qualitative factors to determine if it is necessary to perform the goodwill impairment test. If, after assessing the totality of events or circumstances, the Company determines that it is not more-likely-than-not that the fair value of a reporting unit is less than its carrying amount, no further testing is necessary. If, however, the Company determines that it is more-likely-than notmore-likely-than-not that the fair value of a reporting unit is less than its carrying amount, then the Company must perform the first step of the two-step goodwill impairment test.
The Company has an unconditional option to bypass the qualitative assessment for any reporting unit in any reporting period and proceed directly to the first step of the goodwill impairment test. Furthermore, on any business dispositions, goodwill is allocated to the business disposed of based on the ratio of the fair value of the business disposed of to the fair value of the reporting unit.
The first step requires a comparison of the fair value of the individual reporting unit to its carrying value, including goodwill. If the fair value of the reporting unit is in excess of the carrying value, the related goodwill is considered not to be impaired and no further analysis is necessary. If the carrying value of the reporting unit exceeds the fair value, this is an indication of potential impairment and athe second step of testing is performed to measure the amount of impairment, if any, for that reporting unit.
If required, the second step involves calculating the implied fair value of goodwill for each of the affected reporting units. The implied fair value of goodwill is determined in the same manner as the amount of goodwill recognized in a business combination, which is the excess of


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the fair value of the reporting unit determined in step one over the fair value of the net assets and identifiable

intangibles as if the reporting unit were being acquired. If the amount of the goodwill allocated to the reporting unit exceeds the implied fair value of the goodwill in the pro forma purchase price allocation, an impairment charge is recorded for the excess. A recognized impairment charge cannot exceed the amount of goodwill allocated to a reporting unit and cannot subsequently be reversed even if the fair value of the reporting unit recovers.
Upon any business disposition, goodwill is allocated to, and derecognized with the disposed business based on the ratio of the fair value of the disposed business to the fair value of the reporting unit.
Additional information on Citi’s goodwill impairment testing can be found in Note 1716 to the Consolidated Financial Statements.

Intangible Assets
Intangible assets,including core deposit intangibles, present value of future profits, purchased credit card relationships, credit card contract related intangibles, other customer relationships and other intangible assets, but excluding MSRs, are amortized over their estimated useful lives. Intangible assets that are deemed to have indefinite useful lives, primarily certain asset management contracts and trade names, are not amortized and are subject to annual impairment tests. An impairment exists if the carrying value of the indefinite-lived intangible asset exceeds its fair value. For other intangible assets subject to amortization, an impairment is recognized if the carrying amount is not recoverable and exceeds the fair value of the intangible asset.
Similar to the goodwill impairment analysis, in performing the annual impairment analysis for indefinite-lived intangible assets, Citi may and has elected to bypass the optional qualitative assessment, choosing instead to perform a quantitative analysis.

Other Assets and Other Liabilities
Other assets include, among other items, loans held-for-sale, deferred tax assets, equity method investments, interest and fees receivable, premises and equipment (including purchased and developed software), repossessed assets and other receivables. Other liabilities include, among other items, accrued expenses and other payables, deferred tax liabilities and reserves for legal claims, taxes, unfunded lending commitments, repositioning reserves and other matters.

Other Real Estate Owned and Repossessed Assets
Real estate or other assets received through foreclosure or repossession are generally reported in Other assets, net of a valuation allowance for selling costs and subsequent declines in fair value.

Securitizations
The Company primarily securitizes credit card receivables and mortgages. Other types of securitized assets include corporate debt instruments (in cash and synthetic form).
There are two key accounting determinations that must be made relating to securitizations. Citi first makes a determination as to whether the securitization entity must be consolidated. Second, it determines whether the transfer of
financial assets to the entity is considered a sale under GAAP. If the securitization entity is a VIE, the Company consolidates the VIE if it is the primary beneficiary (as discussed in “Variable Interest Entities” above). For all other securitization entities determined not to be VIEs in which Citigroup participates, consolidation is based on which party
has voting control of the entity, giving consideration to removal and liquidation rights in certain partnership structures. Only securitization entities controlled by Citigroup are consolidated.
Interests in the securitized and sold assets may be retained in the form of subordinated or senior interest-only strips, subordinated tranches, spread accounts and servicing rights. In credit card securitizations, the Company retains a seller’s interest in the credit card receivables transferred to the trusts, which is not in securitized form. In the case of consolidated securitization entities, including the credit card trusts, these retained interests are not reported on Citi’s Consolidated Balance Sheet. The securitized loans remain on
the balance sheet. Substantially all of the Consumerconsumer loans sold or securitized through non-consolidated trusts by Citigroup are U.S. prime residential mortgage loans. Retained interests in non-consolidated mortgage securitization trusts are classified as Trading account assets, except for MSRs, which are included in Mortgage servicing rights on Citigroup’s Consolidated Balance Sheet.

Debt
Short-term borrowings and Long-term debt are accounted for at amortized cost, except where the Company has elected to report the debt instruments, including certain structured notes at fair value, or the debt is in a fair value hedging relationship.

Transfers of Financial Assets
For a transfer of financial assets to be considered a sale:sale (i) the assets must have beenbe legally isolated from the Company, even in bankruptcy or other receivership;receivership, (ii) the purchaser must have the right to pledge or sell the assets transferred or, if the purchaser is an entity whose sole purpose is to engage in securitization and asset-backed financing activities through the issuance of beneficial interests and that entity is constrained from pledging the assets it receives, each beneficial interest holder must have the right to sell or pledge their beneficial interests;interests and (iii) the Company may not have an option or obligation to reacquire the assets.
If these sale requirements are met, the assets are removed from the Company’s Consolidated Balance Sheet. If the conditions for sale are not met, the transfer is considered to be a secured borrowing, the assets remain on the Consolidated Balance Sheet and the sale proceeds are recognized as the Company’s liability. A legal opinion on a sale generally is obtained for complex transactions or where the Company has continuing involvement with assets transferred or with the securitization entity. For a transfer to be eligible for sale accounting, those opinions must state that the asset transfer would be considered a sale and that the assets transferred would not be consolidated with the


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Company’s other assets in the event of the Company’s insolvency.
For a transfer of a portion of a financial asset to be considered a sale, the portion transferred must meet the definition of a participating interest. A participating interest must represent a pro rata ownership in an entire financial asset; all cash flows must be divided proportionately, with

the same priority of payment; no participating interest in the transferred asset may be subordinated to the interest of another participating interest holder; and no party may have the right to pledge or exchange the entire financial asset unless all participating interest holders agree. Otherwise, the transfer is accounted for as a secured borrowing.
See Note 2221 to the Consolidated Financial Statements for further discussion.

Risk Management Activities—Derivatives Used for Hedging Purposes
The Company manages its exposures to market rate movements outside of its trading activities by modifying the asset and liability mix, either directly or through the use of derivative financial products, including interest-rate swaps, futures, forwards and purchased options, as well as foreign-exchange contracts. These end-user derivatives are carried at fair value in Other assets, Other liabilities, Trading account assets and Trading account liabilities.
To qualify as an accounting hedge under the hedge accounting rules (versus an economic hedge where hedge accounting is not sought), a derivative must be highly effective in offsetting the risk designated as being hedged. The hedge relationship must be formally documented at inception, detailing the particular risk management objective and strategy for the hedge. This includes the item and risk being hedged, the derivative being used and how effectiveness will be assessed and ineffectiveness measured. The effectiveness of these hedging relationships is evaluated both on a retrospective and prospective basis, typically using quantitative measures of correlation with hedge ineffectiveness measured and recorded in current earnings.
If a hedge relationship is not highly effective, it no longer qualifies as an accounting hedge and hedge accounting may not be applied. Any gains or losses attributable to the derivatives, as well as subsequent changes in fair value, are recognized in Other revenue or Principal transactions with no offset to the hedged item, similar to trading derivatives.
The foregoing criteria are applied on a decentralized basis, consistent with the level at which market risk is managed, but are subject to various limits and controls. The underlying asset, liability or forecasted transaction may be an individual item or a portfolio of similar items.
For fair value hedges, in which derivatives hedge the fair value of assets or liabilities, changes in the fair value of derivatives are reflected in Other revenue, together with changes in the fair value of the hedged item related to the hedged risk. These amounts are expected to, and generally do, offset each other. Any net amount, representing hedge ineffectiveness, is reflected in current earnings. Citigroup’s
fair value hedges are primarily hedges of fixed-rate long-term debt and available-for-sale securities.
For cash flow hedges, in which derivatives hedge the variability of cash flows related to floating- and fixed-rate assets, liabilities or forecasted transactions, the accounting treatment depends on the effectiveness of the hedge. To the extent these derivatives are effective in offsetting the variability of the hedged cash flows, the effective portion of the changes in the derivatives’ fair values will not be included in current earnings, but is reported in Accumulated other comprehensive income (loss). These changes in fair value will be included in earnings of future periods when the hedged cash flows impact earnings. To the extent these derivatives are not effective, changes in their fair values are immediately included in Other revenue. Citigroup’s cash flow hedges primarily include hedges of floating-rate debt and floating-rate assets, including loans and securities
purchased under agreement to resell, as well as rollovers of short-term fixed-rate liabilities and floating-rate liabilities and forecasted debt issuances.
For net investment hedges in which derivatives hedge the foreign currency exposure of a net investment in a foreign operation, the accounting treatment will similarly depend on the effectiveness of the hedge. The effective portion of the change in fair value of the derivative, including any forward premium or discount, is reflected in Accumulated other comprehensive income (loss) as part of the foreign currency translation adjustment.
For those accounting hedge relationships that are terminated or when hedge designations are removed, the hedge accounting treatment described in the paragraphs above is no longer applied. Instead, the end-user derivative is terminated or transferred to the trading account. For fair value hedges, any changes in the fair value of the hedged item remain as part of the basis of the asset or liability and are ultimately reflected as an element of the yield. For cash flow hedges, any changes in fair value of the end-user derivative remain in Accumulated other comprehensive income (loss) and are included in earnings of future periods when the hedged cash flows impact earnings. However, if it becomes probable that some or all of the hedged forecasted transactions will not occur, any amounts that remain in Accumulated other comprehensive income (loss) related to these transactions are immediately reflected in Other revenue.
End-user derivatives that are economic hedges, rather than qualifying for hedge accounting, are also carried at fair value, with changes in value included in Principal transactions or Other revenue. Citigroup often uses economic hedges when qualifying for hedge accounting would be too complex or operationally burdensome. Examples are hedges of the credit risk component of commercial loans and loan commitments. Citigroup periodically evaluates its hedging strategies in other areas and may designate either a qualifying hedge or an economic hedge, after considering the relative cost and benefits. Economic hedges are also employed when the hedged item itself is marked to market through current earnings, such as hedges of commitments to originate one-to-four-family


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mortgage loans to be held for sale and MSRs. See Note 2322 to the Consolidated Financial Statements for a further discussion of the Company’s hedging and derivative activities.

Employee Benefits ExpenseFUTURE APPLICATION OF ACCOUNTING STANDARDS
Employee benefits expense includes current service costs
Accounting for Financial Instruments—Credit Losses
In June 2016, the FASB issued ASU No. 2016-13, Financial Instruments—Credit Losses(Topic 326). The ASU introduces a new credit loss methodology, Current Expected Credit Losses (CECL), which requires earlier recognition of pensioncredit losses, while also providing additional transparency about credit risk.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity securities and other postretirement benefit plans (whichreceivables at the time the financial asset is originated or acquired. The expected credit losses are accruedadjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. For available-for-sale securities where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.
The CECL methodology represents a significant change from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will depend upon the state of the economy and the nature of Citi’s portfolios at the date of adoption. Based on a current basis), contributionspreliminary analysis performed in 2017 and unrestricted awards under other employee plans, the amortizationenvironment and portfolios at that time, the overall impact was estimated to be an approximate 10% to 20% increase in credit reserves as of restricted stock awards and coststhat time. Moreover, there are still some implementation questions that will need to be resolved that could affect the estimated impact. The ASU will be effective for Citi as of other employee benefits.January 1, 2020.

Revenue Recognition
ForIn May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers, which requires an entity to recognize the amount of revenue to which it expects to be entitled for the transfer of promised goods or services to customers. The Company adopted the guidance as of January 1, 2018 using full retrospective application for all periods presented. There is no material change in timing and amount of revenue recognized associated with the adoption.
The new standard clarified the guidance related to reporting revenue gross as a principal versus net as an agent. The Company has identified transactions, including underwriting activity where Citi is deemed the principal, rather than the agent, which require a gross up of annual revenues and expenses of approximately $1.0 billion. This
change in presentation will not have an impact on Income from continuing operations;however, this standard would have increased Citi’s efficiency ratio by approximately 57 bps for the year ended December 31, 2017. The impact for 2018 is expected to be consistent with 2017.

Lease Accounting
In February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842),which is intended to increase transparency and comparability of accounting for lease transactions. The ASU will require lessees to recognize leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. The guidance is effective beginning January 1, 2019 with an option to early adopt. The Company does not plan to early adopt the ASU. The Company estimates that upon adoption, its most significant pensionConsolidated Balance Sheet will have an approximate $5 billion increase in assets and postretirement benefit plans (Significant Plans)liabilities. Additionally, the Company estimates an approximate $200 million increase in retained earnings due to the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions.

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which requires an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU was effective January 1, 2018. The impact of this standard upon adoption is an increase of DTAs by approximately $0.2 billion, a decrease of retained earnings by approximately $0.2 billion and a decrease of prepaid tax assets by approximately $0.4 billion. 

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


Clarifying the Definition of a Business
In January 2017, the FASB issued ASU No. 2017-01, Business Combinations (Topic 805): Clarifying the Definition of a Business. The definition of a business directly and indirectly affects many areas of accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrows the definition of a business by introducing a quantitative screen as the first step, such that if substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets, the set of transferred assets and periodicactivities is not a business. If the set is not scoped out from the quantitative screen, the entity then evaluates whether the set meets the requirement that a business include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.
The ASU was effective for public entities, including Citi, as of January 1, 2018 with prospective application. The impact of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of goodwill, but also less goodwill allocated to disposals.

Changes in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU No. 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation was effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be included in Compensation and benefits on the income statement.  The other components of net benefit expense will be required to be presented outside of Compensation and benefits and will be presented in Other operating expense.  Since both of these income statement line items are part of Operating expenses, total Operating expenses will not change, nor will there be any change in Net income. This change in presentation is not expected to have a material effect on Compensation and benefits and Other operating expenses and will be applied prospectively. The components of the net benefit expense are currently disclosed in Note 7 to the Consolidated Financial Statements.
 The new standard also changes the components of net benefit expense that are eligible for capitalization when employee costs are capitalized in connection with various activities, such as internally developed software, construction-in-progress, and loan origination costs. Prospectively from January 1, 2018, only the service cost component of net benefit expense may be capitalized.  Existing capitalized balances are not affected. This change in amounts eligible for capitalization is not expected to have a material effect on the Company’s Consolidated Financial Statements and related disclosures.
Hedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which will better align an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results.  The mandatory effective date for calendar year-end public companies is January 1, 2019, but the amendments may be early adopted in any interim or annual period after issuance. The targeted improvements in the ASU will allow Citi increased flexibility to structure hedges of fixed- and floating-rate instruments and will allow a one-time transfer of certain pre-payable debt securities from HTM to AFS.  Application of the ASU is expected to better reflect the economics of Citi’s risk management activities and will also reduce the volatility associated with foreign currency hedging. The ASU requires the change in the fair value of the hedging instrument to be presented in the same income statement line as the hedged item and also requires expanded disclosures. Citi adopted this standard on January 1, 2018 and transferred approximately $4 billion of HTM securities into AFS classification as permitted as a one-time transfer under the standard. The impact to opening retained earnings was immaterial.

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


DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of December 31, 2017 and, based on that evaluation, the CEO and CFO have concluded that at that date, Citigroup’s disclosure controls and procedures were effective.


MANAGEMENT’S ANNUAL REPORT ON INTERNAL CONTROL OVER FINANCIAL REPORTING

Citi’s management is responsible for establishing and maintaining adequate internal control over financial reporting. Citi’s internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of its financial reporting and the preparation of financial statements for external reporting purposes in accordance with U.S. generally accepted accounting principles. Citi’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of Citi’s assets, (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles and that Citi’s receipts and expenditures are made only in accordance with authorizations of Citi’s management and directors and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of Citi’s assets that could have a material effect on its financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect all misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions or that the degree of compliance with the policies or procedures may deteriorate. In addition, given Citi’s large size, complex operations and global footprint, lapses or deficiencies in internal controls may occur from time to time.
Citi’s management assessed the effectiveness of Citigroup’s internal control over financial reporting as of December 31, 2017 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework (2013). Based on this assessment, management believes that, as of December 31, 2017, Citi’s internal control over financial reporting was effective. In addition, there were no changes in Citi’s internal control over financial reporting during the fiscal quarter ended December 31, 2017 that materially affected, or are reasonably likely to materially affect, Citi’s internal control over financial reporting.
The effectiveness of Citi’s internal control over financial reporting as of December 31, 2017 has been audited by KPMG LLP, Citi’s independent registered public accounting firm, as stated in their report below, which expressed an unqualified opinion on the effectiveness of Citi’s internal control over financial reporting as of December 31, 2017.


FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-K, 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 U.S. Securities and Exchange Commission (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, illustrate, 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 and (ii) the factors listed and described under “Risk Factors” above.
Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date the forward-looking statements were made.



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—
INTERNAL CONTROL OVER FINANCIAL REPORTING

The Board of Directors and Stockholders
Citigroup Inc.:

Opinion on Internal Control Over Financial Reporting
We have audited Citigroup Inc. and subsidiaries’ (the “Company”) internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission. In our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the consolidated balance sheet of the Company as of December 31, 2017 and 2016, the related consolidated statements of income, comprehensive income, stockholders’ equity, and cash flows for each of the years in the three-year period ended December 31, 2017, and the related notes (collectively, the “consolidated financial statements”), and our report dated February 23, 2018 expressed an unqualified opinion on those consolidated financial statements.

Basis for Opinion
The Company’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying management’s annual report on internal control over financial reporting. Our responsibility is to express an opinion on the Company’s internal control over financial reporting based on our audit. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan expense quarterly, insteadand perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. Our audit of annually. internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audit also included performing such other procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.




Definition and Limitations of Internal Control Over Financial Reporting
A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.



/s/ KPMG LLP
New York, New York
February 23, 2018


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—
CONSOLIDATED FINANCIAL STATEMENTS

The effectBoard of remeasuringDirectors and Stockholders
Citigroup Inc.:

Opinion on the Significant Plan obligationsConsolidated Financial Statements
We have audited the accompanying consolidated balance sheet of Citigroup Inc. and assetssubsidiaries (the “Company”) as of December 31, 2017 and 2016, and the related consolidated statements of income, comprehensive income, changes in stockholders’ equity and cash flows for each of the years in the three-year period ended December 31, 2017, and the related notes (collectively, the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Company as of December 31, 2017 and 2016, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2017, in conformity with U.S. generally accepted accounting principles.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the Company’s internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control-Integrated Framework (2013) issued by updatingthe Committee of Sponsoring Organizations of the Treadway Commission, and our report dated February 23, 2018 expressed an unqualified opinion on the effectiveness of the Company’s internal control over financial reporting.








Basis for Opinion
These consolidated financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on these consolidated financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan actuarial assumptionsand perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a quarterlytest basis, is reflectedevidence supporting the amounts and disclosures in Accumulated other comprehensive income (loss) the consolidated financial statements. Our audits also included evaluating the accounting principles used and periodic plan expense. All other plans (All Other Plans)significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. We believe that our audits provide a reasonable basis for our opinion.



/s/ KPMG LLP

We have served as the Company’s auditor since 1969.

New York, New York
February 23, 2018



FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income—
For the Years Ended December 31, 2017, 2016 and 2015
132
Consolidated Statement of Comprehensive Income—
For the Years Ended December 31, 2017, 2016 and 2015
133
Consolidated Balance Sheet—December 31, 2017 and 2016
134
Consolidated Statement of Changes in Stockholders’ Equity—For the Years Ended December 31, 2017, 2016 and 2015
136
Consolidated Statement of Cash Flows—
For the Years Ended December 31, 2017, 2016 and 2015
138

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Note 1—Summary of Significant Accounting Policies
140
Note 2—Discontinued Operations and Significant Disposals
151
Note 3—Business Segments
153
Note 4—Interest Revenue and Expense
154
Note 5—Commissions and Fees
155
Note 6—Principal Transactions
156
Note 7—Incentive Plans
157
Note 8—Retirement Benefits
161
Note 9—Income Taxes
174
Note 10—Earnings per Share
178
Note 11—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
179
Note 12—Brokerage Receivables and Brokerage Payables
183
Note 13—Investments
184
Note 14—Loans
196
Note 15—Allowance for Credit Losses
208


Note 16—Goodwill and Intangible Assets
211
Note 17—Debt
214
Note 18—Regulatory Capital
216
Note 19—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
217
Note 20—Preferred Stock
220
Note 21—Securitizations and Variable Interest Entities
221
Note 22—Derivatives Activities
233
Note 23—Concentrations of Credit Risk
248
Note 24—Fair Value Measurement
249
Note 25—Fair Value Elections
271
Note 26—Pledged Assets, Collateral, Guarantees and
                   Commitments
275
Note 27—Contingencies
282
Note 28—Condensed Consolidating Financial Statements
290
Note 29—Selected Quarterly Financial Data (Unaudited)
300


CONSOLIDATED FINANCIAL STATEMENTS

CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars, except per share amounts201720162015
Revenues(1)
 
 
 
Interest revenue$61,204
$57,615
$58,551
Interest expense16,517
12,511
11,921
Net interest revenue$44,687
$45,104
$46,630
Commissions and fees$12,939
$11,938
$14,485
Principal transactions9,168
7,585
6,008
Administration and other fiduciary fees3,079
2,783
2,856
Realized gains on sales of investments, net778
948
682
Other-than-temporary impairment losses on investments 
 
 
Gross impairment losses(63)(620)(265)
Less: Impairments recognized in AOCI—
—
—
Net impairment losses recognized in earnings$(63)$(620)$(265)
Other revenue$861
$2,137
$5,958
Total non-interest revenues$26,762
$24,771
$29,724
Total revenues, net of interest expense$71,449
$69,875
$76,354
Provisions for credit losses and for benefits and claims 
 
 
Provision for loan losses$7,503
$6,749
$7,108
Policyholder benefits and claims109
204
731
Provision (release) for unfunded lending commitments(161)29
74
Total provisions for credit losses and for benefits and claims$7,451
$6,982
$7,913
Operating expenses(1)
 
 
 
Compensation and benefits$21,181
$20,970
$21,769
Premises and equipment2,453
2,542
2,878
Technology/communication6,891
6,685
6,581
Advertising and marketing1,608
1,632
1,547
Other operating9,104
9,587
10,840
Total operating expenses$41,237
$41,416
$43,615
Income from continuing operations before income taxes$22,761
$21,477
$24,826
Provision for income taxes (benefits)29,388
6,444
7,440
Income (loss) from continuing operations$(6,627)$15,033
$17,386
Discontinued operations 
 
 
Loss from discontinued operations$(104)$(80)$(83)
Provision (benefit) for income taxes7
(22)(29)
Loss from discontinued operations, net of taxes$(111)$(58)$(54)
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
Noncontrolling interests60
63
90
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Basic earnings per share(2)
 
 
 
Income (loss) from continuing operations
$(2.94)$4.74
$5.43
Loss from discontinued operations, net of taxes(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.41
Weighted average common shares outstanding2,698.5
2,888.1
3,004.0


CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries
Diluted earnings per share(2)
 
 
 
Income (loss) from continuing operations
$(2.94)$4.74
$5.42
Income (loss) from discontinued operations, net of taxes(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.40
Adjusted weighted average common shares outstanding2,698.5
2,888.3
3,007.7

(1)Certain prior-period revenue and expense lines and totals were reclassified to conform to the current period’s presentation. See Note 3 to the Consolidated Financial Statements.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are remeasured annually.an integral part of these Consolidated Financial Statements.


CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOMECitigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars201720162015
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Add: Citigroup’s other comprehensive income (loss)



 
Net change in unrealized gains and losses on investment securities, net of taxes$(863)$108
$(964)
Net change in debt valuation adjustment (DVA), net of taxes(1)
(569)(337)—
Net change in cash flow hedges, net of taxes(138)57
292
Benefit plans liability adjustment, net of taxes(2)
(1,019)(48)43
Net change in foreign currency translation adjustment, net of taxes and hedges(202)(2,802)(5,499)
Citigroup’s total other comprehensive income (loss)(3)
$(2,791)$(3,022)$(6,128)
Citigroup’s total comprehensive income (loss)

$(9,589)$11,890
$11,114
Add: Other comprehensive income (loss) attributable to noncontrolling interests$114
$(56)$(83)
Add: Net income attributable to noncontrolling interests60
63
90
Total comprehensive income (loss)$(9,415)$11,897
$11,121
(1)    See Note 1 to the Consolidated Financial Statements.
(2)    See Note 8 to the Consolidated Financial Statements.

Stock-Based Compensation
The Company recognizes compensation expense related to stock and option awards over(3) Includes the requisite service period, generally based on the instruments’ grant-date fair value, reduced by expected forfeitures. Compensation cost related to awards granted to employees who meet certain age plus years-of-service requirements (retirement-eligible employees) is accruedimpact of ASU 2018-02, adopted in the year prior to the grant date, in the same manner as the accrual for cash incentive compensation. Certain stock awards with performance conditions or certain clawback provisions are subject to variable accounting, pursuant to which the associated compensation expense fluctuates with changes in Citigroup’s stock price.fourth quarter of 2017. See Note 71 to the Consolidated Financial Statements.


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


CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
 December 31,
In millions of dollars20172016
Assets 
 
Cash and due from banks$23,775
$23,043
Deposits with banks156,741
137,451
Federal funds sold and securities borrowed or purchased under agreements to resell (including $132,949 and $133,204 as of December 31, 2017 and December 31, 2016, respectively, at fair value)232,478
236,813
Brokerage receivables38,384
28,887
Trading account assets (including $99,460 and $80,986 pledged to creditors at December 31, 2017 and December 31, 2016, respectively)251,556
243,925
Investments:  
  Available for sale (including $9,493 and $8,239 pledged to creditors as of December 31, 2017 and December 31, 2016, respectively)290,914
299,424
Held to maturity (including $435 and $843 pledged to creditors as of December 31, 2017 and December 31, 2016, respectively)53,320
45,667
Non-marketable equity securities (including $1,206 and $1,774 at fair value as of December 31, 2017 and December 31, 2016, respectively)8,056
8,213
Total investments$352,290
$353,304
Loans: 
 
Consumer (including $25 and $29 as of December 31, 2017 and December 31, 2016, respectively, at fair value)333,656
325,063
Corporate (including $4,349 and $3,457 as of December 31, 2017 and December 31, 2016, respectively, at fair value)333,378
299,306
Loans, net of unearned income$667,034
$624,369
Allowance for loan losses(12,355)(12,060)
Total loans, net$654,679
$612,309
Goodwill22,256
21,659
Intangible assets (other than MSRs)4,588
5,114
Mortgage servicing rights (MSRs)558
1,564
Other assets (including $19,793 and $15,729 as of December 31, 2017 and December 31, 2016, respectively, at fair value)105,160
128,008
Total assets$1,842,465
$1,792,077

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
 December 31,
In millions of dollars20172016
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
Cash and due from banks$52
$142
Trading account assets1,129
602
Investments2,498
3,636
Loans, net of unearned income 
 
Consumer54,656
53,401
Corporate19,835
20,121
Loans, net of unearned income$74,491
$73,522
Allowance for loan losses(1,930)(1,769)
Total loans, net$72,561
$71,753
Other assets154
158
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$76,394
$76,291
Statement continues on the next page.

CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
 December 31,
In millions of dollars, except shares and per share amounts20172016
Liabilities 
 
Non-interest-bearing deposits in U.S. offices$126,880
$136,698
Interest-bearing deposits in U.S. offices (including $303 and $434 as of December 31, 2017 and December 31, 2016, respectively, at fair value)318,613
300,972
Non-interest-bearing deposits in offices outside the U.S.87,440
77,616
Interest-bearing deposits in offices outside the U.S. (including $1,162 and $778 as of December 31, 2017 and December 31, 2016, respectively, at fair value)426,889
414,120
Total deposits$959,822
$929,406
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $40,638 and $33,663 as of December 31, 2017 and December 31, 2016, respectively, at fair value)156,277
141,821
Brokerage payables61,342
57,152
Trading account liabilities124,047
139,045
Short-term borrowings (including $4,627 and $2,700 as of December 31, 2017 and December 31, 2016, respectively, at fair value)44,452
30,701
Long-term debt (including $31,392 and $26,254 as of December 31, 2017 and December 31, 2016, respectively, at fair value)236,709
206,178
Other liabilities (including $15,084 and $10,796 as of December 31, 2017 and December 31, 2016, respectively, at fair value)58,144
61,631
Total liabilities$1,640,793
$1,565,934
Stockholders’ equity 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of  December 31, 2017 and December 31, 2016, at aggregate liquidation value
$19,253
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,523,273 and 3,099,482,042 as of December 31, 2017 and December 31, 2016, respectively
31
31
Additional paid-in capital108,008
108,042
Retained earnings138,425
146,477
Treasury stock, at cost: December 31, 2017—529,614,728 shares and December 31, 2016—327,090,192 shares
(30,309)(16,302)
Accumulated other comprehensive income (loss)(34,668)(32,381)
Total Citigroup stockholders’ equity$200,740
$225,120
Noncontrolling interest932
1,023
Total equity$201,672
$226,143
Total liabilities and equity$1,842,465
$1,792,077

The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
 December 31,
In millions of dollars20172016
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup 
 
Short-term borrowings$10,079
$10,697
Long-term debt30,492
23,919
Other liabilities611
1,275
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup$41,182
$35,891
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITYCitigroup Inc. and Subsidiaries
 Years ended December 31,
 AmountsShares
In millions of dollars, except shares in thousands201720162015201720162015
Preferred stock at aggregate liquidation value 
 
 
 
 
 
Balance, beginning of year$19,253
$16,718
$10,468
770
669
419
Issuance of new preferred stock—
2,535
6,250
—
101
250
Balance, end of period$19,253
$19,253
$16,718
770
770
669
Common stock and additional paid-in capital 
 
 
 
 
 
Balance, beginning of year$108,073
$108,319
$108,010
3,099,482
3,099,482
3,082,038
Employee benefit plans(27)(251)357
41
—
17,438
Preferred stock issuance expense—
(37)(23)—
—
—
Other(7)42
(25)—
—
6
Balance, end of period$108,039
$108,073
$108,319
3,099,523
3,099,482
3,099,482
Retained earnings 
 
 
 
 
 
Balance, beginning of year$146,477
$133,841
$117,852
   
Adjustment to opening balance, net of taxes(1)
(660)15
—
   
Adjusted balance, beginning of period$145,817
$133,856
$117,852
 
 
 
Citigroup’s net income (loss)(6,798)14,912
17,242
 
 
 
Common dividends(2)
(2,595)(1,214)(484) 
 
 
Preferred dividends(1,213)(1,077)(769) 
 
 
Impact of Tax Reform related to AOCI reclassification(3)
3,304
—
—
 
 
 
Other(4)
(90)—
—
   
Balance, end of period$138,425
$146,477
$133,841
 
 
 
Treasury stock, at cost 
 
 
 
 
 
Balance, beginning of year$(16,302)$(7,677)$(2,929)(327,090)(146,203)(58,119)
Employee benefit plans(5)
531
826
704
11,651
14,256
13,318
Treasury stock acquired(6)
(14,538)(9,451)(5,452)(214,176)(195,143)(101,402)
Balance, end of period$(30,309)$(16,302)$(7,677)(529,615)(327,090)(146,203)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
 
 
Balance, beginning of year$(32,381)$(29,344)$(23,216) 
 
 
Adjustment to opening balance, net of taxes(1)
504
(15)—
   
Adjusted balance, beginning of period$(31,877)$(29,359)$(23,216)   
Citigroup’s total other comprehensive income (loss)(3)
(2,791)(3,022)(6,128) 
 
 
Balance, end of period$(34,668)$(32,381)$(29,344) 
 
 
Total Citigroup common stockholders’ equity$181,487
$205,867
$205,139
2,569,908
2,772,392
2,953,279
Total Citigroup stockholders’ equity$200,740
$225,120
$221,857
 
 
 
Noncontrolling interests 
 
 
 
 
 
Balance, beginning of year$1,023
$1,235
$1,511
 
 
 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary(28)(11)—
   
Transactions between Citigroup and the noncontrolling-interest shareholders(121)(130)(164) 
 
 
Net income attributable to noncontrolling-interest shareholders60
63
90
 
 
 
Dividends paid to noncontrolling-interest shareholders(44)(42)(78) 
 
 
Other comprehensive income (loss) attributable to
   noncontrolling-interest shareholders
114
(56)(83) 
 
 
Other(72)(36)(41) 
 
 
Net change in noncontrolling interests$(91)$(212)$(276) 
 
 
Balance, end of period$932
$1,023
$1,235
 
 
 
Total equity$201,672
$226,143
$223,092
   

(1)See Note 1 to the Consolidated Financial Statements.
(2)Common dividends declared were $0.16 per share in the first and second quarters and $0.32 per share in the third and fourth quarters of 2017; $0.05 per share in the first and second quarters and $0.16 per share in the third and fourth quarters of 2016; and $0.01 in the first quarter and $0.05 per share in the second, third and fourth quarters of 2015.
(3)
Includes the impact of ASU 2018-02, which transferred those amounts from AOCI to Retained earnings. See Notes 1 and 19 to the Consolidated Financial Statements.
(4) Includes the impact of ASU No. 2016-09. See Note 1 to the Consolidated Financial Statements.
(5)Includes treasury stock related to (i) certain activity on employee stock option program exercises, where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee-restricted or deferred-stock programs, where shares are withheld to satisfy tax requirements.
(6)For 2017, 2016 and 2015, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.

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

CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars201720162015
Cash flows from operating activities of continuing operations 
 
 
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
Net income attributable to noncontrolling interests60
63
90
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Loss from discontinued operations, net of taxes(111)(58)(54)
Income (loss) from continuing operations—excluding noncontrolling interests$(6,687)$14,970
$17,296
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
Net gains on significant disposals(1)
(602)(404)(3,210)
Depreciation and amortization3,659
3,720
3,506
Deferred tax provision (2)
24,877
1,459
2,794
Provision for loan losses7,503
6,749
7,108
Realized gains from sales of investments(778)(948)(682)
Net impairment losses on investments, goodwill and intangible assets91
621
318
Change in trading account assets(7,726)(2,710)46,830
Change in trading account liabilities(14,998)21,533
(21,524)
Change in brokerage receivables, net of brokerage payables(5,307)2,226
2,278
Change in loans held-for-sale (HFS)247
6,603
(7,207)
Change in other assets(2,489)(6,859)(32)
Change in other liabilities(3,421)(28)(1,135)
Other, net(2,956)7,000
(6,603)
Total adjustments$(1,900)$38,962
$22,441
Net cash provided by (used in) operating activities of continuing operations$(8,587)$53,932
$39,737
Cash flows from investing activities of continuing operations 
 
 
   Change in deposits with banks$(19,290)$(25,311)$15,488
   Change in federal funds sold and securities borrowed or purchased under agreements to resell4,335
(17,138)22,895
   Change in loans(58,062)(39,761)1,353
   Proceeds from sales and securitizations of loans8,365
18,140
9,610
   Purchases of investments(185,740)(211,402)(242,362)
   Proceeds from sales of investments(3)
107,368
132,183
141,470
   Proceeds from maturities of investments84,369
65,525
82,047
   Proceeds from significant disposals(1)
3,411
265
5,932
   Payments due to transfers of net liabilities associated with significant disposals(1)(4)
—
—
(18,929)
   Capital expenditures on premises and equipment and capitalized software(3,361)(2,756)(3,198)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
377
667
577
Net cash provided by (used in) investing activities of continuing operations$(58,228)$(79,588)$14,883
Cash flows from financing activities of continuing operations 
 
 
   Dividends paid$(3,797)$(2,287)$(1,253)
   Issuance of preferred stock—
2,498
6,227
   Treasury stock acquired(14,541)(9,290)(5,452)
   Stock tendered for payment of withholding taxes(405)(316)(428)
   Change in federal funds purchased and securities loaned or sold under agreements to repurchase14,456
(4,675)(26,942)
   Issuance of long-term debt67,960
63,806
44,619
   Payments and redemptions of long-term debt(40,986)(55,460)(52,843)
   Change in deposits30,416
24,394
8,555
   Change in short-term borrowings13,751
9,622
(37,256)

Net cash provided by (used in) financing activities of continuing operations$66,854
$28,292
$(64,773)
Effect of exchange rate changes on cash and cash equivalents$693
$(493)$(1,055)
Change in cash and due from banks$732
$2,143
$(11,208)
Cash and due from banks at beginning of period23,043
20,900
32,108
Cash and due from banks at end of period$23,775
$23,043
$20,900
Supplemental disclosure of cash flow information for continuing operations 
 
 
Cash paid during the year for income taxes$2,083
$4,359
$4,978
Cash paid during the year for interest15,675
12,067
12,031
Non-cash investing activities 
 
 
Decrease in net loans associated with significant disposals reclassified to HFS$—
$—
$(9,063)
Decrease in investments associated with significant disposals reclassified to HFS—
—
(1,402)
Decrease in goodwill and intangible assets associated with significant disposals reclassified to HFS—
—
(223)
Decrease in deposits associated with banks with significant disposals reclassified to HFS—
—
(404)
Transfers to loans HFS from loans5,900
13,900
28,600
Transfers to OREO and other repossessed assets113
165
276
Non-cash financing activities   
Decrease in long-term debt associated with significant disposals reclassified to HFS$—
$—
$(4,673)

(1)See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
(2)Includes the full impact of the $22.6 billion non-cash charge related to the Tax Cuts and Jobs Act (Tax Reform). See Notes 1 and 9 to the Consolidated Financial Statements for further information.
(3) Proceeds for 2016 include approximately $3.3 billion from the sale of Citi’s investment in China Guangfa Bank.
(4)The payments associated with significant disposals result primarily from the sale of deposit liabilities.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Throughout these Notes, “Citigroup,” “Citi” and the “Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications have been made to the prior periods’ financial statements and Notes to conform to the current period’s presentation.

Principles of Consolidation
The Consolidated Financial Statements include the accounts of Citigroup and its subsidiaries prepared in accordance with U.S. generally accepted accounting principles (GAAP). The Company consolidates subsidiaries in which it holds, directly or indirectly, more than 50% of the voting rights or where it exercises control. Entities where the Company holds 20% to 50% of the voting rights and/or has the ability to exercise significant influence, other than investments of designated venture capital subsidiaries or investments accounted for at fair value under the fair value option, are accounted for under the equity method, and the pro rata share of their income (loss) is included in Other revenue. Income Taxesfrom investments in less-than-20%-owned companies is recognized when dividends are received. As discussed in more detail in Note 21 to the Consolidated Financial Statements, Citigroup also consolidates entities deemed to be variable interest entities when Citigroup is determined to be the primary beneficiary. Gains and losses on the disposition of branches, subsidiaries, affiliates, buildings and other investments are included in Other revenue.

Citibank
Citibank, N.A. (Citibank) is a commercial bank and wholly owned subsidiary of Citigroup. Citibank’s principal offerings include consumer finance, mortgage lending and retail banking (including commercial banking) products and services; investment banking, cash management and trade finance; and private banking products and services.

Variable Interest Entities
An entity is a variable interest entity (VIE) if it meets either of the criteria outlined in Accounting Standards Codification (ASC) Topic 810, Consolidation, which are (i) the entity has equity that is insufficient to permit the entity to finance its activities without additional subordinated financial support from other parties, or (ii) the entity has equity investors that cannot make significant decisions about the entity’s operations or that do not absorb their proportionate share of the entity’s expected losses or expected returns.
The Company is subjectconsolidates a VIE when it has both the power to direct the activities that most significantly impact the VIE’s economic performance and a right to receive benefits or the obligation to absorb losses of the entity that could be potentially significant to the income tax laws ofVIE (that is, Citi is the U.S. and its states and municipalities, and the foreign jurisdictionsprimary beneficiary). In addition to variable interests held in which it operates. These tax laws are complex and subject to different interpretations by the taxpayer and the relevant governmental taxing authorities. In establishing a provision for income tax expense, the Company must make judgments and interpretations about the application of these inherently complex tax laws. The Company must also make estimates about when in the future certain items will affect taxable income in the various tax jurisdictions, both domestic and foreign.
Disputes over interpretations of the tax laws may be subject to review and adjudication by the court systems of the various tax jurisdictions or may be settled with the taxing authority upon examination or audit. The Company treats interest and penalties on income taxes as a component of Income tax expense.
Deferred taxes are recorded for the future consequences of events that have been recognized for financial statements or tax returns, based upon enacted tax laws and rates.
 
consolidated VIEs, the Company has variable interests in other VIEs that are not consolidated because the Company is not the primary beneficiary.
All unconsolidated VIEs are monitored by the Company to assess whether any events have occurred to cause its primary beneficiary status to change.
All entities not deemed to be VIEs with which the Company has involvement are evaluated for consolidation under other subtopics of ASC 810. See Note 21 to the Consolidated Financial Statements for more detailed information.

Foreign Currency Translation
DeferredAssets and liabilities of Citi’s foreign operations are translated from their respective functional currencies into U.S. dollars using period-end spot foreign exchange rates. The effects of those translation adjustments are reported in Accumulated other comprehensive income (loss), a component of stockholders’ equity, net of any related hedge and tax assetseffects, until realized upon sale or substantial liquidation of the foreign operation. Revenues and expenses of Citi’s foreign operations are recognizedtranslated monthly from their respective functional currencies into U.S. dollars at amounts that approximate weighted average exchange rates.
For transactions that are denominated in a currency other than the functional currency, including transactions denominated in the local currencies of foreign operations that use the U.S. dollar as their functional currency, the effects of changes in exchange rates are primarily included in Principal transactions, along with the related effects of any economic hedges. Instruments used to hedge foreign currency exposures include foreign currency forward, option and swap contracts and, in certain instances, designated issues of non-U.S. dollar debt. Foreign operations in countries with highly inflationary economies designate the U.S. dollar as their functional currency, with the effects of changes in exchange rates primarily included in Other revenue.

Investment Securities
Investments include fixed income and equity securities. Fixed income instruments include bonds, notes and redeemable preferred stocks, as well as certain loan-backed and structured securities that are subject to management’s judgmentprepayment risk. Equity securities include common and nonredeemable preferred stock.
Investment securities are classified and accounted for as follows:

Fixed income securities classified as “held-to-maturity” are securities that realizationthe Company has both the ability and the intent to hold until maturity and are carried at amortized cost. Interest income on such securities is more-likely-than-not. FASB Interpretation No. 48, “Accounting for Uncertaintyincluded in Income Taxes” (FIN 48) (now incorporated into ASC 740, Income Taxes)Interest revenue.
Fixed income securities and marketable equity securities classified as “available-for-sale” are carried at fair value with changes in fair value reported in Accumulated other comprehensive income (loss), setsa component of

stockholders’ equity, net of applicable income taxes and hedges. Realized gains and losses on sales are included in income primarily on a specific identification cost basis. Interest and dividend income on such securities is included in Interest revenue.
Certain investments in non-marketable equity securities and certain investments that would otherwise have been accounted for using the equity method are carried at fair value, since the Company has elected to apply fair value accounting. Changes in fair value of such investments are recorded in earnings.
Certain non-marketable equity securities are carried at cost.

For investments in fixed income securities classified as held-to-maturity or available-for-sale, the accrual of interest income is suspended for investments that are in default or for which it is likely that future interest payments will not be made as scheduled.
Investment securities are subject to evaluation for other-than-temporary impairment as described in Note 13 to the Consolidated Financial Statements.
The Company uses a number of valuation techniques for investments carried at fair value, which are described in Note 24 to the Consolidated Financial Statements. Realized gains and losses on sales of investments are included in earnings.

Trading Account Assets and Liabilities
Trading account assets include debt and marketable equity securities, derivatives in a receivable position, residual interests in securitizations and physical commodities inventory. In addition, as described in Note 25 to the Consolidated Financial Statements, certain assets that Citigroup has elected to carry at fair value under the fair value option, such as loans and purchased guarantees, are also included in Trading account assets.
Trading account liabilities include securities sold, not yet purchased (short positions) and derivatives in a net payable position, as well as certain liabilities that Citigroup has elected to carry at fair value (as described in Note 25 to the Consolidated Financial Statements).
Other than physical commodities inventory, all trading account assets and liabilities are carried at fair value. Revenues generated from trading assets and trading liabilities are generally reported in Principal transactions and include realized gains and losses as well as unrealized gains and losses resulting from changes in the fair value of such instruments. Interest income on trading assets is recorded in Interest revenue reduced by interest expense on trading liabilities.
Physical commodities inventory is carried at the lower of cost or market with related losses reported in Principal transactions. Realized gains and losses on sales of commodities inventory are included in Principal transactions. Investments in unallocated precious metals accounts (gold, silver, platinum and palladium) are accounted for as hybrid instruments containing a debt host contract and an embedded non-financial derivative
instrument indexed to the price of the relevant precious metal. The embedded derivative instrument is separated from the debt host contract and accounted for at fair value. The debt host contract is carried at fair value under the fair value option, as described in Note 25 to the Consolidated Financial Statements.
Derivatives used for trading purposes include interest rate, currency, equity, credit and commodity swap agreements, options, caps and floors, warrants, and financial and commodity futures and forward contracts. Derivative asset and liability positions are presented net by counterparty on the Consolidated Balance Sheet when a valid master netting agreement exists and the other conditions set out in ASC Topic 210-20, Balance Sheet—Offsetting, are met. See Note 22 to the Consolidated Financial Statements.
The Company uses a consistent frameworknumber of techniques to determine the appropriate levelfair value of tax reservestrading assets and liabilities, which are described in Note 24 to the Consolidated Financial Statements.

Securities Borrowed and Securities Loaned
Securities borrowing and lending transactions do not constitute a sale of the underlying securities for accounting purposes and are treated as collateralized financing transactions. Such transactions are recorded at the amount of proceeds advanced or received plus accrued interest. As described in Note 25 to the Consolidated Financial Statements, the Company has elected to apply fair value accounting to a number of securities borrowing and lending transactions. Fees paid or received for all securities lending and borrowing transactions are recorded in Interest expense or Interest revenue at the contractually specified rate.
The Company monitors the fair value of securities borrowed or loaned on a daily basis and obtains or posts additional collateral in order to maintain for uncertain tax positions. This interpretationcontractual margin protection.
As described in Note 24 to the Consolidated Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of securities lending and borrowing transactions.

Repurchase and Resale Agreements
Securities sold under agreements to repurchase (repos) and securities purchased under agreements to resell (reverse repos) do not constitute a sale (or purchase) of the underlying securities for accounting purposes and are treated as collateralized financing transactions. As described in Note 25 to the Consolidated Financial Statements, the Company has elected to apply fair value accounting to the majority of such transactions, with changes in fair value reported in earnings. Any transactions for which fair value accounting has not been elected are recorded at the amount of cash advanced or received plus accrued interest. Irrespective of whether the Company has elected fair value accounting, interest paid or received on all repo and reverse repo transactions is recorded in Interest expense or Interest revenue at the contractually specified rate.
Where the conditions of ASC 210-20-45-11, Balance Sheet—Offsetting: Repurchase and Reverse Repurchase

Agreements, are met, repos and reverse repos are presented net on the Consolidated Balance Sheet.
The Company’s policy is to take possession of securities purchased under reverse repurchase agreements. The Company monitors the fair value of securities subject to repurchase or resale on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
As described in Note 24 to the Consolidated Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of repo and reverse repo transactions.

Loans
Loans are reported at their outstanding principal balances net of any unearned income and unamortized deferred fees and costs except that credit card receivable balances also include accrued interest and fees. Loan origination fees and certain direct origination costs are generally deferred and recognized as adjustments to income over the lives of the related loans.
As described in Note 25 to the Consolidated Financial Statements, Citi has elected fair value accounting for certain loans. Such loans are carried at fair value with changes in fair value reported in earnings. Interest income on such loans is recorded in Interest revenue at the contractually specified rate.
Loans that are held-for-investment are classified as Loans, net of unearned income on the Consolidated Balance Sheet, and the related cash flows are included within the cash flows from investing activities category in the Consolidated Statement of Cash Flows on the line Change in loans. However, when the initial intent for holding a loan has changed from held-for-investment to HFS, the loan is reclassified to held-for-sale, but the related cash flows continue to be reported in cash flows from investing activities in the Consolidated Statement of Cash Flows on the line Proceeds from sales and securitizations of loans.

Consumer Loans
Consumer loans represent loans and leases managed primarily by the Global Consumer Banking (GCB) businesses and Corporate/Other.

Consumer Non-accrual and Re-aging Policies
As a general rule, interest accrual ceases for installment and real estate (both open- and closed-end) loans when payments are 90 days contractually past due. For credit cards and other unsecured revolving loans, however, Citi generally accrues interest until payments are 180 days past due. As a result of OCC guidance, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Also as a result of OCC guidance, mortgage loans in regulated bank entities within 60 days of notification that the borrower has filed for bankruptcy, other than FHA-insured loans, are classified as non-accrual. Commercial market loans are placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the
collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due.
Loans that have been modified to grant a concession to a borrower in financial difficulty may not be accruing interest at the time of the modification. The policy for returning such modified loans to accrual status varies by product and/or region. In most cases, a minimum number of payments (ranging from one to six) is required, while in other cases the loan is never returned to accrual status. For regulated bank entities, such modified loans are returned to accrual status if a credit evaluation at the time of, or subsequent to, the modification indicates the borrower is able to meet the restructured terms, and the borrower is current and has demonstrated a reasonable period of sustained payment performance (minimum six months of consecutive payments).
For U.S. consumer loans, generally one of the conditions to qualify for modification is that a minimum number of payments (typically ranging from one to three) must be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for the loan to be re-aged to current status is that at least three consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, Federal Housing Administration (FHA) and Department of Veterans Affairs (VA) loans may only be modified under those respective agencies’ guidelines, and payments are not always required in order to re-age a modified loan to current.

Consumer Charge-Off Policies
Citi’s charge-off policies follow the general guidelines below:

Unsecured installment loans are charged off at 120 days contractually past due.
Unsecured revolving loans and credit card loans are charged off at 180 days contractually past due.
Loans secured with non-real estate collateral are written down to the estimated value of the collateral, less costs to sell, at 120 days contractually past due.
Real estate-secured loans are written down to the estimated value of the property, less costs to sell, at 180 days contractually past due.
Real estate-secured loans arecharged off no later than 180 days contractually past due if a decision has been made not to foreclose on the loans.
Unsecured loans in bankruptcy are charged off within 60 days of notification of filing by the bankruptcy court or in accordance with Citi’s charge-off policy, whichever occurs earlier.

Real estate-secured loans in bankruptcy, other than FHA-insured loans, are written down to the estimated value of the property, less costs to sell, within 60 days of notification that the borrower has filed for bankruptcy or in accordance with Citi’s charge-off policy, whichever is earlier.
Commercial market loans are written down to the extent that principal is judged to be uncollectable.

Corporate Loans
Corporate loans represent loans and leases managed by Institutional Clients Group (ICG). Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days past due and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan.
Impaired corporate loans and leases are written down to the extent that principal is deemed to be uncollectable. Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there are no other available and reliable sources of repayment, are written down to the lower of cost or collateral value. Cash-basis loans are returned to accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance in accordance with the contractual terms.

Loans Held-for-Sale
Corporate and consumer loans that have been identified for sale are classified as loans held-for-sale and included in Other assets. The practice of Citi’s U.S. prime mortgage business has been to sell substantially all of its conforming loans. As such, U.S. prime mortgage conforming loans are classified as held-for-sale and the fair value option is elected at origination, with changes in fair value recorded in Other revenue. With the exception of those loans for which the fair value option has been elected, held-for-sale loans are accounted for at the lower of cost or market value, with any write-downs or subsequent recoveries charged to Other revenue. The related cash flows are classified in the Consolidated Statement of Cash Flows in the cash flows from operating activities category on the line Change in loans held-for-sale.

Allowance for Loan Losses
Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, including probable losses related to large individually evaluated impaired loans and troubled debt restructurings. Attribution of the allowance is made for analytical purposes only, and the entire allowance is available to absorb probable loan losses inherent in the overall portfolio. Additions to the allowance are made through the Provision for loan losses. Loan losses are deducted from the allowance and subsequent recoveries are added. Assets received in exchange for loan claims in a restructuring are initially recorded at fair value, with any gain or loss reflected as a recovery or charge-off to the provision.

Consumer Loans
For consumer loans, each portfolio of non-modified smaller-balance homogeneous loans is independently evaluated for impairment by product type (e.g., residential mortgage, credit card, etc.) in accordance with ASC 450, Contingencies. The allowance for loan losses attributed to these loans is established via a process that estimates the probable losses inherent in the specific portfolio. This process includes migration analysis, in which historical delinquency and credit loss experience is applied to the current aging of the portfolio, together with analyses that reflect current and anticipated economic conditions, including changes in housing prices and unemployment trends. Citi’s allowance for loan losses under ASC 450 only considers contractual principal amounts due, except for credit card loans, where estimated loss amounts related to accrued interest receivable are also included.
Management also considers overall portfolio indicators, including historical credit losses, delinquent, non-performing and classified loans, trends in volumes and terms of loans, an evaluation of overall credit quality, the credit process, including lending policies and procedures, and economic, geographical, product and other environmental factors.
Separate valuation allowances are determined for impaired smaller-balance homogeneous loans whose terms have been modified in a troubled debt restructuring (TDR). Long-term modification programs, and short-term (less than 12 months) modifications that provide concessions (such as interest rate reductions) to borrowers in financial difficulty, are reported as TDRs. In addition, loan modifications that involve a trial period are reported as TDRs at the start of the trial period. The allowance for loan losses for TDRs is determined in accordance with ASC 310-10-35, Receivables—Subsequent Measurement, considering all available evidence, including, as appropriate, the present value of the expected future cash flows discounted at the loan’s original contractual effective rate, the secondary market value of the loan and the fair value of collateral less disposal costs. These expected cash flows incorporate modification program default rate assumptions. The original contractual effective rate for credit card loans is the pre-modification rate, which may include interest rate increases under the original contractual agreement with the borrower.

Valuation allowances for commercial market loans, which are classifiably managed consumer loans, are determined in the same manner as for corporate loans and are described in more detail in the following section. Generally, an asset-specific component is calculated under ASC 310-10-35 on an individual basis for larger-balance, non-homogeneous loans that are considered impaired, and the allowance for the remainder of the classifiably managed consumer loan portfolio is calculated under ASC 450 using a statistical methodology that may be supplemented by management adjustment.

Corporate Loans
In the corporate portfolios, the Allowance for loan losses includes an asset-specific component and a statistically based component. The asset-specific component is calculated under ASC 310-10-35 for larger-balance, non-homogeneous loans that are considered impaired. An asset-specific allowance is established when the discounted cash flows, collateral value (less disposal costs) or observable market price of the impaired loan are lower than its carrying value. This allowance considers the borrower’s overall financial condition, resources and payment record, the prospects for support from any financially responsible guarantors (discussed further below) and, if appropriate, the realizable value of any collateral. The asset-specific component of the allowance for smaller-balance impaired loans is calculated on a pool basis considering historical loss experience.
The allowance for the remainder of the loan portfolio is determined under ASC 450 using a statistical methodology, supplemented by management judgment. The statistical analysis considers the portfolio’s size, remaining tenor and credit quality as measured by internal risk ratings assigned to individual credit facilities, which reflect probability of default and loss given default. The statistical analysis considers historical default rates and historical loss severity in the event of default, including historical average levels and historical variability. The result is an estimated range for inherent losses. The best estimate within the range is then determined by management’s quantitative and qualitative assessment of current conditions, including general economic conditions, specific industry and geographic trends and internal factors including portfolio concentrations, trends in internal credit quality indicators and current and past underwriting standards.
For both the asset-specific and the statistically based components of the Allowance for loan losses, management may incorporate guarantor support. The financial wherewithal of the guarantor is evaluated, as applicable, based on net worth, cash flow statements and personal or company financial statements, which are updated and reviewed at least annually. Citi seeks performance on guarantee arrangements in the normal course of business. Seeking performance entails obtaining satisfactory cooperation from the guarantor or borrower in the specific situation. This regular cooperation is indicative of pursuit and successful enforcement of the guarantee; the exposure is reduced without the expense and burden of pursuing a legal
remedy. A guarantor’s reputation and willingness to work with Citigroup is evaluated based on the historical experience with the guarantor and the knowledge of the marketplace. In the rare event that the guarantor is unwilling or unable to perform or facilitate borrower cooperation, Citi pursues a legal remedy; however, enforcing a guarantee via legal action against the guarantor is not the primary means of resolving a troubled loan situation and rarely occurs. If Citi does not pursue a legal remedy, it is because Citi does not believe that the guarantor has the financial wherewithal to perform regardless of legal action or because there are legal limitations on simultaneously pursuing guarantors and foreclosure. A guarantor’s reputation does not impact Citi’s decision or ability to seek performance under the guarantee.
In cases where a guarantee is a factor in the assessment of loan losses, it is included via adjustment to the loan’s internal risk rating, which in turn is the basis for the adjustment to the statistically based component of the Allowance for loan losses. To date, it is only in rare circumstances that an impaired commercial loan or commercial real estate loan is carried at a value in excess of the appraised value due to a guarantee.
When Citi’s monitoring of the loan indicates that the guarantor’s wherewithal to pay is uncertain or has deteriorated, there is either no change in the risk rating, because the guarantor’s credit support was never initially factored in, or the risk rating is adjusted to reflect that uncertainty or deterioration. Accordingly, a guarantor’s ultimate failure to perform or a lack of legal enforcement of the guarantee does not materially impact the allowance for loan losses, as there is typically no further significant adjustment of the loan’s risk rating at that time. Where Citi is not seeking performance under the guarantee contract, it provides for loan losses as if the loans were non-performing and not guaranteed.

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


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

Statistically calculated losses inherent in the classifiably managed portfolio for performing and de minimis non-performing exposures. The calculation is based on (i) Citi’s internal system of credit-risk ratings, which are analogous to the risk ratings of the major rating agencies, and (ii) historical default and loss data, including rating agency information regarding default rates from 1983 to 2016 and internal data dating to the early 1970s on severity of losses in the event of default. Adjustments may be made to this data. Such adjustments include (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 the degree to which there are large obligor concentrations in the global portfolio, and (ii) adjustments made for specific known items, such as current environmental factors and credit trends.
In addition, representatives from each of the risk management and finance staffs that cover business areas with delinquency-managed portfolios containing smaller-balance homogeneous loans present their recommended reserve balances based on leading credit indicators, including loan delinquencies and changes in portfolio size as well as economic trends, including current and future housing prices, unemployment, length of time in foreclosure, costs to sell and GDP. This methodology is applied separately for each 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, the size and diversity of individual large credits and the ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account during this review. Changes in these estimates could have a direct impact on the credit costs in any period and could result in a change in the allowance.

Allowance for Unfunded Lending Commitments
A similar approach to the allowance for loan losses is used for calculating a reserve for the expected losses related to unfunded lending commitments and standby letters of credit. This reserve is classified on the balance sheet in Other liabilities. Changes to the allowance for unfunded lending commitments are recorded in Provision for unfunded lending commitments.

Mortgage Servicing Rights
Mortgage servicing rights (MSRs) are recognized as intangible assets when purchased or when the Company sells or securitizes loans acquired through purchase or origination and retains the right to service the loans. Mortgage servicing rights are accounted for at fair value, with changes in value recorded in Other revenue in the Company’s Consolidated Statement of Income.
For additional information on the Company’s MSRs, see Notes 16 and 21 to the Consolidated Financial Statements.

Goodwill
Goodwill represents the excess of acquisition cost over the fair value of net tangible and intangible assets acquired in a business combination. Goodwill is subject to annual impairment testing and 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.
Under ASC Topic 350, Intangibles—Goodwill and Other,the Company has an option to assess qualitative factors to determine if it is necessary to perform the goodwill impairment test. If, after assessing the totality of events or circumstances, the Company determines that it is not more-likely-than-not that the fair value of a reporting unit is less than its carrying amount, no further testing is necessary. If, however, the Company determines that it is more-likely-than-not that the fair value of a reporting unit is less than its carrying amount, then the Company must perform the first step of the two-step approach whereingoodwill impairment test.
The Company has an unconditional option to bypass the qualitative assessment for any reporting unit in any reporting period and proceed directly to the first step of the goodwill impairment test.
The first step requires a tax benefitcomparison of the fair value of the individual reporting unit to its carrying value, including goodwill. If the fair value of the reporting unit is in excess of the carrying value, the related goodwill is considered not impaired and no further analysis is necessary. If the carrying value of the reporting unit exceeds the fair value, this is an indication of potential impairment and the second step of testing is performed to measure the amount of impairment, if any, for that reporting unit.
If required, the second step involves calculating the implied fair value of goodwill for each of the affected reporting units. The implied fair value of goodwill is determined in the same manner as the amount of goodwill recognized in a business combination, which is the excess of the fair value of the reporting unit determined in step one over the fair value of the net assets and identifiable

intangibles as if the reporting unit were being acquired. If the amount of the goodwill allocated to the reporting unit exceeds the implied fair value of the goodwill in the pro forma purchase price allocation, an impairment charge is recorded for the excess. A recognized impairment charge cannot exceed the amount of goodwill allocated to a reporting unit and cannot subsequently be reversed even if the fair value of the reporting unit recovers.
Upon any business disposition, goodwill is allocated to, and derecognized with the disposed business based on the ratio of the fair value of the disposed business to the fair value of the reporting unit.
Additional information on Citi’s goodwill impairment testing can be found in Note 16 to the Consolidated Financial Statements.

Intangible Assets
Intangible assets,including core deposit intangibles, present value of future profits, purchased credit card relationships, credit card contract related intangibles, other customer relationships and other intangible assets, but excluding MSRs, are amortized over their estimated useful lives. Intangible assets that are deemed to have indefinite useful lives, primarily trade names, are not amortized and are subject to annual impairment tests. An impairment exists if the carrying value of the indefinite-lived intangible asset exceeds its fair value. For other intangible assets subject to amortization, an impairment is recognized if the carrying amount is not recoverable and exceeds the fair value of the intangible asset.

Other Assets and Other Liabilities
Other assets include, among other items, loans held-for-sale, deferred tax assets, equity method investments, interest and fees receivable, premises and equipment (including purchased and developed software), repossessed assets and other receivables. Other liabilities include, among other items, accrued expenses and other payables, deferred tax liabilities and reserves for legal claims, taxes, unfunded lending commitments, repositioning reserves and other matters.

Other Real Estate Owned and Repossessed Assets
Real estate or other assets received through foreclosure or repossession are generally reported in Other assets, net of a positionvaluation allowance for selling costs and subsequent declines in fair value.

Securitizations
There are two key accounting determinations that must be made relating to securitizations. Citi first makes a determination as to whether the securitization entity must be consolidated. Second, it determines whether the transfer of financial assets to the entity is more-likely-than-notconsidered a sale under GAAP. If the securitization entity is a VIE, the Company consolidates the VIE if it is the primary beneficiary (as discussed in “Variable Interest Entities” above). For all other securitization entities determined not to be sustained. The amountVIEs in which Citigroup participates, consolidation is based on which party
has voting control of the benefitentity, giving consideration to removal and liquidation rights in certain partnership structures. Only securitization entities controlled by Citigroup are consolidated.
Interests in the securitized and sold assets may be retained in the form of subordinated or senior interest-only strips, subordinated tranches, spread accounts and servicing rights. In credit card securitizations, the Company retains a seller’s interest in the credit card receivables transferred to the trusts, which is then measurednot in securitized form. In the case of consolidated securitization entities, including the credit card trusts, these retained interests are not reported on Citi’s Consolidated Balance Sheet. The securitized loans remain on
the balance sheet. Substantially all of the consumer loans sold or securitized through non-consolidated trusts by Citigroup are U.S. prime residential mortgage loans. Retained interests in non-consolidated mortgage securitization trusts are classified as Trading account assets, except for MSRs, which are included in Mortgage servicing rights on Citigroup’s Consolidated Balance Sheet.

Debt
Short-term borrowings and Long-term debt are accounted for at amortized cost, except where the Company has elected to report the debt instruments, including certain structured notes at fair value, or the debt is in a fair value hedging relationship.

Transfers of Financial Assets
For a transfer of financial assets to be considered a sale (i) the highest tax benefitassets must be legally isolated from the Company, even in bankruptcy or other receivership, (ii) the purchaser must have the right to pledge or sell the assets transferred or, if the purchaser is an entity whose sole purpose is to engage in securitization and asset-backed financing activities through the issuance of beneficial interests and that entity is greater than 50% likelyconstrained from pledging the assets it receives, each beneficial interest holder must have the right to sell or pledge their beneficial interests and (iii) the Company may not have an option or obligation to reacquire the assets.
If these sale requirements are met, the assets are removed from the Company’s Consolidated Balance Sheet. If the conditions for sale are not met, the transfer is considered to be realized. ASC 740 also sets out disclosure requirementsa secured borrowing, the assets remain on the Consolidated Balance Sheet and the sale proceeds are recognized as the Company’s liability. A legal opinion on a sale generally is obtained for complex transactions or where the Company has continuing involvement with assets transferred or with the securitization entity. For a transfer to enhance transparencybe eligible for sale accounting, those opinions must state that the asset transfer would be considered a sale and that the assets transferred would not be consolidated with the Company’s other assets in the event of the Company’s insolvency.
For a transfer of a portion of a financial asset to be considered a sale, the portion transferred must meet the definition of a participating interest. A participating interest must represent a pro rata ownership in an entity’s tax reserves.entire financial asset; all cash flows must be divided proportionately, with

the same priority of payment; no participating interest in the transferred asset may be subordinated to the interest of another participating interest holder; and no party may have the right to pledge or exchange the entire financial asset unless all participating interest holders agree. Otherwise, the transfer is accounted for as a secured borrowing.
See Note 21 to the Consolidated Financial Statements for further discussion.

Risk Management Activities—Derivatives Used for Hedging Purposes
The Company manages its exposures to market movements outside of its trading activities by modifying the asset and liability mix, either directly or through the use of derivative financial products, including interest-rate swaps, futures, forwards and purchased options, as well as foreign-exchange contracts. These end-user derivatives are carried at fair value in Other assets, Other liabilities, Trading account assets and Trading account liabilities.
See Note 922 to the Consolidated Financial Statements for a further descriptiondiscussion of the Company’s tax provisionhedging and related income tax assets and liabilities.derivative activities.

Commissions, Underwriting and Principal Transactions
Commissions revenues are recognized in income when earned. Underwriting revenues are recognized in income typically at the closing of the transaction. Principal transactions revenues are recognized in income on a trade-date basis. See Note 5 to the Consolidated Financial Statements for a description of the Company’s revenue recognition policies for commissions and fees, and Note 6 to the Consolidated Financial Statements for details of principal transactions revenue.

Earnings per Share
Earnings per share (EPS) is computed after deducting preferred stock dividends. The Company has granted restricted and deferred share awards with dividend rights that are considered to be participating securities, which are akin to a second class of common stock. Accordingly, a portion of Citigroup’s earnings is allocated to those participating securities in the EPS calculation.
Basic earnings per share is computed by dividing income available to common stockholders after the allocation of dividends and undistributed earnings to the participating securities by the weighted average number of common shares outstanding for the period. Diluted earnings per share reflects the potential dilution that could occur if securities or other contracts to issue common stock were exercised. It is computed after giving consideration to the weighted average dilutive effect of the Company’s stock options and warrants and convertible securities and after the allocation of earnings to the participating securities.

Use of Estimates
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. Such estimates are used in connection with certain fair value measurements. See Note 25 to the Consolidated Financial Statements for further discussions on estimates used in the determination of fair value. Moreover, estimates are significant in determining the amounts of other-than-temporary impairments, impairments of goodwill and other intangible assets, provisions for probable losses that may arise from credit-related exposures and probable


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and estimable losses related to litigation and regulatory proceedings, and tax reserves. While management makes its best judgment, actual amounts or results could differ from those estimates. Current market conditions increase the risk and complexity of the judgments in these estimates.

Cash Flows
Cash equivalents are defined as those amounts included in Cash and due from banks. Cash flows from risk management activities are classified in the same category as the related assets and liabilities.

Related Party Transactions
The Company has related party transactions with certain of its subsidiaries and affiliates. These transactions, which are primarily short-term in nature, include cash accounts, collateralized financing transactions, margin accounts, derivative trading, charges for operational support and the borrowing and lending of funds, and are entered into in the ordinary course of business.

ACCOUNTING CHANGES

Accounting for Share-Based Payments with Performance Targets
In June 2014, the FASB issued Accounting Standards Update (ASU) No. 2014-12, Accounting for Share-Based Payments When the Terms of an Award Provide That a Performance Target Could Be Achieved after the Requisite Service Period (a consensus of the FASB Emerging Issues Task Force). The ASU prescribes the accounting to be applied to share-based awards that contain performance targets, the outcome of which will only be confirmed after the employee’s service period associated with the award has ended. Citi elected to adopt this ASU from the third quarter of 2014. The impact of adopting the ASU was not material.

Discontinued Operations and Significant Disposals
The FASB issued ASU No. 2014-08, Presentation of Financial Statements (Topic 810) and Property, Plant, and Equipment (Topic 360), Reporting Discontinued Operations and Disclosures of Disposals of Components of an Entity (ASU 2014-08) in April 2014. ASU 2014-08 changes the criteria for reporting discontinued operations while enhancing disclosures. Under the ASU, only disposals representing a strategic shift having a major effect on an entity’s operations and financial results, such as a disposal of a major geographic area, a major line of business or a major equity method investment, may be presented as discontinued operations. Additionally, the ASU requires expanded disclosures about discontinued operations that will provide more information about the assets, liabilities, income and expenses of discontinued operations.
The Company early-adopted the ASU in the second quarter of 2014 on a prospective basisfor all disposals (or classifications as held-for-sale) of components of an entity that occurred on or after April 1, 2014. As a result of the adoption of the ASU, fewer disposals will now qualify for
reporting as discontinued operations; however, disclosure of the pretax income attributable to a disposal of a significant part of an organization that does not qualify for discontinued operations reporting is required. The impact of adopting the ASU was not material.

Accounting for the Cumulative Translation Adjustment upon Derecognition of Certain Foreign Subsidiaries
In March 2013, the FASB issued ASU No. 2013-05, Foreign Currency Matters (Topic 830): Parent’s Accounting for the Cumulative Translation Adjustment upon Derecognition of Certain Subsidiaries or Groups of Assets within a Foreign Entity or of an Investment in a Foreign Entity (a consensus of the FASB Emerging Issues Task Force). This ASU clarifies the accounting for the cumulative translation adjustment (CTA) when a parent either sells a part or all of its investment in a foreign entity or no longer holds a controlling financial interest in a subsidiary or group of assets that is a nonprofit activity or a business within a foreign entity. The ASU requires the CTA to remain in equity until the foreign entity is disposed of or it is completely or substantially liquidated.
This ASU became effective for Citi on January 1, 2014 and was applied on a prospective basis. The accounting prescribed in this ASU is consistent with Citi’s prior practice and, as a result, adoption did not result in any impact to Citi.

OCC Chapter 7 Bankruptcy Guidance
In the third quarter of 2012, the Office of the Comptroller of the Currency (OCC) issued guidance relating to the accounting for mortgage loans discharged through bankruptcy proceedings pursuant to Chapter 7 of the U.S. Bankruptcy Code (Chapter 7 bankruptcy). Under this OCC guidance, the discharged loans are accounted for as troubled debt restructurings (TDRs). These TDRs, other than FHA-insured loans, are written down to their collateral value less
cost to sell. FHA-insured loans are reserved for, based on a discounted cash flow model. As a result of implementing this guidance, Citigroup recorded an incremental $635 million of charge-offs in the third quarter of 2012, the vast majority of which related to loans that were current. These charge-offs were substantially offset by a related loan loss reserve release of approximately $600 million, with a net reduction in pretax income of $35 million. In the fourth quarter of 2012, Citigroup recorded a benefit to charge-offs of approximately $40 million related to finalizing the impact of this OCC guidance. Furthermore, as a result of this OCC guidance, TDRs increased by $1.7 billion and non-accrual loans increased by $1.5 billion in the third quarter of 2012 ($1.3 billion of which was current).

Fair Value Measurement
In May 2011, the FASB issued ASU No. 2011-04, Fair Value Measurement (Topic 820): Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRS. The ASU created a common definition of fair value for GAAP and IFRS and aligned the measurement and disclosure requirements. It required significant additional disclosures both of a qualitative and


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quantitative nature, particularly for those instruments measured at fair value that are classified in Level 3 of the fair value hierarchy. Additionally, the ASU provided guidance on when it is appropriate to measure fair value on a portfolio basis and expanded the prohibition on valuation adjustments where the size of the Company’s position is a characteristic of the adjustment from Level 1 to all levels of the fair value hierarchy.
The ASU became effective for Citigroup on January 1, 2012. As a result of implementing the prohibition on valuation adjustments where the size of the Company’s position is a characteristic, the Company released reserves of approximately $125 million, increasing pretax income in the first quarter of 2012.
Deferred Asset Acquisition Costs
In October 2010, the FASB issued ASU No. 2010-26, Financial Services-Insurance (Topic 944): Accounting for Costs Associated with Acquiring or Renewing Insurance Contracts. The ASU amended the guidance for insurance entities that required deferral and subsequent amortization of certain costs incurred during the acquisition of new or renewed insurance contracts, commonly referred to as deferred acquisition costs (DAC). The new guidance limited DAC to those costs directly related to the successful acquisition of insurance contracts; all other acquisition-related costs must be expensed as incurred. Under prior guidance, DAC consisted of those costs that vary with, and primarily relate to, the acquisition of insurance contracts.
The ASU became effective for Citigroup on January 1, 2012 and was adopted using the retrospective method. As a result of implementing the ASU, in the first quarter of 2012, DAC was reduced by approximately $165 million and a $58 million deferred tax asset was recorded with an offset to opening retained earnings of $107 million (net of tax).

Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure
In August 2014, the FASB issued ASU No. 2014-14, Receivables-Troubled Debt Restructuring by Creditors (Subtopic 310-40): Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure, which requires that a mortgage loan be derecognized and a separate other receivable be recognized upon foreclosure if the following conditions are met: (i) the loan has a government guarantee that is not separable from the loan before foreclosure; (ii) at the time of foreclosure, the creditor has the intent to convey the real estate property to the guarantor and make a claim on the guarantee, and the creditor has the ability to recover under that claim; and (iii) at the time of foreclosure, any amount of the claim that is determined on the basis of the fair value of the real estate is fixed. Upon foreclosure, the separate other receivable is measured based on the amount of the loan balance (principal and interest) expected to be recovered from the guarantor.
Citi early adopted the ASU on a modified retrospective basis in the fourth quarter of 2014, which resulted in reclassifying approximately $130 million of foreclosed assets from Other Real Estate Owned to a separate other receivable that is included in Other assets. Given the
modified retrospective approach to adoption, prior periods have not been restated.



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FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Investments in Tax Financial Instruments—Credit PartnershipsLosses
In January 2014,June 2016, the FASB issued ASU 2014-01,No. 2016-13, Investments-Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Qualified Affordable Housing ProjectsFinancial Instruments—Credit Losses(Topic 326).. Any transition adjustment is reflected as an adjustment to retained earnings in the earliest period presented (retrospective application).
The ASU is applicable to Citi’s portfolio of low income housing tax credit (LIHTC) partnership interests. The new standard widens the scope of investments eligible to elect to applyintroduces a new alternative method,credit loss methodology, Current Expected Credit Losses (CECL), which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the proportional amortization method, underrecognition of credit losses for loans, held-to-maturity securities and other receivables at the time the financial asset is originated or acquired. The expected credit losses are adjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. For available-for-sale securities where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.
The CECL methodology represents a significant change from existing GAAP and may result in material changes to the costCompany’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the investment is amortized to tax expense in proportion toASU will depend upon the amount of tax credits and other tax benefits received. Citi qualifies to elect the proportional amortization method under the ASU for its entire LIHTC portfolio. These investments are currently accounted for under the equity method, which results in losses (due to amortizationstate of the investment) being recognizedeconomy and the nature of Citi’s portfolios at the date of adoption. Based on a preliminary analysis performed in Other revenue2017 and tax creditsthe environment and benefits being recognizedportfolios at that time, the overall impact was estimated to be an approximate 10% to 20% increase in credit reserves as of that time. Moreover, there are still some implementation questions that will need to be resolved that could affect the Income tax expense line. In contrast, the proportional amortization method combines the amortization of the investment and receipt of the tax credits/benefits into one line, Income tax expense.
Citi adopted ASU 2014-01 in the first quarter of 2015.
estimated impact. The adoption of this ASU will reduce Retained earnings by approximately $349 million, Other assets by approximately $178 million, and deferred tax assets by approximately $171 million, each in the first quarterbe effective for Citi as of 2015.January 1, 2020.

Revenue Recognition
In May 2014, the FASB issued ASU No. 2014-09, Revenue from Contracts with Customers, which requires an entity to recognize the amount of revenue to which it expects to be entitled for the transfer of promised goods or services to customers. The ASU will replace most existing revenue recognitionCompany adopted the guidance in GAAP when it becomes effective onas of January 1, 2017. Early2018 using full retrospective application for all periods presented. There is not permitted. no material change in timing and amount of revenue recognized associated with the adoption.
The new standard permitsclarified the use of either the retrospective or cumulative effect transition method. The Company is evaluating the effect that ASU 2014-09 will have on its consolidated financial statements andguidance related disclosures.to reporting revenue gross as a principal versus net as an agent. The Company has identified transactions, including underwriting activity where Citi is deemed the principal, rather than the agent, which require a gross up of annual revenues and expenses of approximately $1.0 billion. This
change in presentation will not yet selected a transition method nor has it determinedhave an impact on Income from continuing operations;however, this standard would have increased Citi’s efficiency ratio by approximately 57 bps for the effect of the standard on its financial statements.year ended December 31, 2017. The impact for 2018 is expected to be consistent with 2017.

Lease Accounting for Repurchase-to-Maturity Transactions
In June 2014,February 2016, the FASB issued ASU No. 2014-11,2016-02, TransfersLeases (Topic 842),which is intended to increase transparency and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.comparability of accounting for lease transactions. The ASU will require lessees to recognize leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. The guidance is effective beginning January 1, 2019 with an option to early adopt. The Company does not plan to early adopt the ASU. The Company estimates that upon adoption, its Consolidated Balance Sheet will have an approximate $5 billion increase in assets and liabilities. Additionally, the Company estimates an approximate $200 million increase in retained earnings due to the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions.

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which requires an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU was effective January 1, 2018. The impact of this standard upon adoption is an increase of DTAs by approximately $0.2 billion, a decrease of retained earnings by approximately $0.2 billion and a decrease of prepaid tax assets by approximately $0.4 billion. 

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


Clarifying the Definition of a Business
In January 2017, the FASB issued ASU No. 2017-01, Business Combinations (Topic 805): Clarifying the Definition of a Business. The definition of a business directly and indirectly affects many areas of accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrows the definition of a business by introducing a quantitative screen as the first step, such that if substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets, the set of transferred assets and activities is not a business. If the set is not scoped out from the quantitative screen, the entity then evaluates whether the set meets the requirement that a business include, at a minimum, an input and a substantive process that together significantly contribute to the ability to create outputs.
The ASU was effective for public entities, including Citi, as of January 1, 2018 with prospective application. The impact of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of goodwill, but also less goodwill allocated to disposals.

Changes in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU No. 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation was effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be included in Compensation and benefits on the income statement.  The other components of net benefit expense will be required to be presented outside of Compensation and benefits and will be presented in Other operating expense.  Since both of these income statement line items are part of Operating expenses, total Operating expenses will not change, nor will there be any change in Net income. This change in presentation is not expected to have a material effect on Compensation and benefits and Other operating expenses and will be applied prospectively. The components of the net benefit expense are currently disclosed in Note 7 to the Consolidated Financial Statements.
 The new standard also changes the components of net benefit expense that are eligible for capitalization when employee costs are capitalized in connection with various activities, such as internally developed software, construction-in-progress, and loan origination costs. Prospectively from January 1, 2018, only the service cost component of net benefit expense may be capitalized.  Existing capitalized balances are not affected. This change in amounts eligible for capitalization is not expected to have a material effect on the Company’s Consolidated Financial Statements and related disclosures.
Hedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which will better align an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results.  The mandatory effective date for calendar year-end public companies is January 1, 2019, but the amendments may be early adopted in any interim or annual period after issuance. The targeted improvements in the ASU will allow Citi increased flexibility to structure hedges of fixed- and floating-rate instruments and will allow a one-time transfer of certain pre-payable debt securities from HTM to AFS.  Application of the ASU is expected to better reflect the economics of Citi’s risk management activities and will also reduce the volatility associated with foreign currency hedging. The ASU requires the change in the fair value of the hedging instrument to be presented in the same income statement line as the hedged item and also requires expanded disclosures. Citi adopted this standard on January 1, 2018 and transferred approximately $4 billion of HTM securities into AFS classification as permitted as a one-time transfer under the standard. The impact to opening retained earnings was immaterial.

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


DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of December 31, 2017 and, based on that evaluation, the CEO and CFO have concluded that at that date, Citigroup’s disclosure controls and procedures were effective.


MANAGEMENT’S ANNUAL REPORT ON INTERNAL CONTROL OVER FINANCIAL REPORTING

Citi’s management is responsible for establishing and maintaining adequate internal control over financial reporting. Citi’s internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of its financial reporting and the preparation of financial statements for external reporting purposes in accordance with U.S. generally accepted accounting for repurchase-to-maturityprinciples. Citi’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and linked repurchase financingsdispositions of Citi’s assets, (ii) provide reasonable assurance that transactions are recorded as necessary to secured borrowedpermit preparation of financial statements in accordance with generally accepted accounting which is consistentprinciples and that Citi’s receipts and expenditures are made only in accordance with authorizations of Citi’s management and directors and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of Citi’s assets that could have a material effect on its financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect all misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions or that the degree of compliance with the policies or procedures may deteriorate. In addition, given Citi’s large size, complex operations and global footprint, lapses or deficiencies in internal controls may occur from time to time.
Citi’s management assessed the effectiveness of Citigroup’s internal control over financial reporting as of December 31, 2017 based on the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in Internal Control-Integrated Framework (2013). Based on this assessment, management believes that, as of December 31, 2017, Citi’s internal control over financial reporting was effective. In addition, there were no changes in Citi’s internal control over financial reporting during the fiscal quarter ended December 31, 2017 that materially affected, or are reasonably likely to materially affect, Citi’s internal control over financial reporting.
The effectiveness of Citi’s internal control over financial reporting as of December 31, 2017 has been audited by KPMG LLP, Citi’s independent registered public accounting firm, as stated in their report below, which expressed an unqualified opinion on the effectiveness of Citi’s internal control over financial reporting as of December 31, 2017.


FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-K, 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 U.S. Securities and Exchange Commission (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, illustrate, 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 and (ii) the factors listed and described under “Risk Factors” above.
Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date the forward-looking statements were made.



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—
INTERNAL CONTROL OVER FINANCIAL REPORTING

The Board of Directors and Stockholders
Citigroup Inc.:

Opinion on Internal Control Over Financial Reporting
We have audited Citigroup Inc. and subsidiaries’ (the “Company”) internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission. In our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the consolidated balance sheet of the Company as of December 31, 2017 and 2016, the related consolidated statements of income, comprehensive income, stockholders’ equity, and cash flows for each of the years in the three-year period ended December 31, 2017, and the related notes (collectively, the “consolidated financial statements”), and our report dated February 23, 2018 expressed an unqualified opinion on those consolidated financial statements.

Basis for Opinion
The Company’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying management’s annual report on internal control over financial reporting. Our responsibility is to express an opinion on the Company’s internal control over financial reporting based on our audit. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audit also included performing such other repurchase agreements. procedures as we considered necessary in the circumstances. We believe that our audit provides a reasonable basis for our opinion.




Definition and Limitations of Internal Control Over Financial Reporting
A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company; and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.



/s/ KPMG LLP
New York, New York
February 23, 2018


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—
CONSOLIDATED FINANCIAL STATEMENTS

The Board of Directors and Stockholders
Citigroup Inc.:

Opinion on the Consolidated Financial Statements
We have audited the accompanying consolidated balance sheet of Citigroup Inc. and subsidiaries (the “Company”) as of December 31, 2017 and 2016, and the related consolidated statements of income, comprehensive income, changes in stockholders’ equity and cash flows for each of the years in the three-year period ended December 31, 2017, and the related notes (collectively, the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Company as of December 31, 2017 and 2016, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2017, in conformity with U.S. generally accepted accounting principles.
We also have audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (“PCAOB”), the Company’s internal control over financial reporting as of December 31, 2017, based on criteria established in Internal Control-Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission, and our report dated February 23, 2018 expressed an unqualified opinion on the effectiveness of the Company’s internal control over financial reporting.








Basis for Opinion
These consolidated financial statements are the responsibility of the Company’s management. Our responsibility is to express an opinion on these consolidated financial statements based on our audits. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence supporting the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. We believe that our audits provide a reasonable basis for our opinion.



/s/ KPMG LLP

We have served as the Company’s auditor since 1969.

New York, New York
February 23, 2018



FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income—
For the Years Ended December 31, 2017, 2016 and 2015
132
Consolidated Statement of Comprehensive Income—
For the Years Ended December 31, 2017, 2016 and 2015
133
Consolidated Balance Sheet—December 31, 2017 and 2016
134
Consolidated Statement of Changes in Stockholders’ Equity—For the Years Ended December 31, 2017, 2016 and 2015
136
Consolidated Statement of Cash Flows—
For the Years Ended December 31, 2017, 2016 and 2015
138

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Note 1—Summary of Significant Accounting Policies
140
Note 2—Discontinued Operations and Significant Disposals
151
Note 3—Business Segments
153
Note 4—Interest Revenue and Expense
154
Note 5—Commissions and Fees
155
Note 6—Principal Transactions
156
Note 7—Incentive Plans
157
Note 8—Retirement Benefits
161
Note 9—Income Taxes
174
Note 10—Earnings per Share
178
Note 11—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
179
Note 12—Brokerage Receivables and Brokerage Payables
183
Note 13—Investments
184
Note 14—Loans
196
Note 15—Allowance for Credit Losses
208


Note 16—Goodwill and Intangible Assets
211
Note 17—Debt
214
Note 18—Regulatory Capital
216
Note 19—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
217
Note 20—Preferred Stock
220
Note 21—Securitizations and Variable Interest Entities
221
Note 22—Derivatives Activities
233
Note 23—Concentrations of Credit Risk
248
Note 24—Fair Value Measurement
249
Note 25—Fair Value Elections
271
Note 26—Pledged Assets, Collateral, Guarantees and
                   Commitments
275
Note 27—Contingencies
282
Note 28—Condensed Consolidating Financial Statements
290
Note 29—Selected Quarterly Financial Data (Unaudited)
300


CONSOLIDATED FINANCIAL STATEMENTS

CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars, except per share amounts201720162015
Revenues(1)
 
 
 
Interest revenue$61,204
$57,615
$58,551
Interest expense16,517
12,511
11,921
Net interest revenue$44,687
$45,104
$46,630
Commissions and fees$12,939
$11,938
$14,485
Principal transactions9,168
7,585
6,008
Administration and other fiduciary fees3,079
2,783
2,856
Realized gains on sales of investments, net778
948
682
Other-than-temporary impairment losses on investments 
 
 
Gross impairment losses(63)(620)(265)
Less: Impairments recognized in AOCI—
—
—
Net impairment losses recognized in earnings$(63)$(620)$(265)
Other revenue$861
$2,137
$5,958
Total non-interest revenues$26,762
$24,771
$29,724
Total revenues, net of interest expense$71,449
$69,875
$76,354
Provisions for credit losses and for benefits and claims 
 
 
Provision for loan losses$7,503
$6,749
$7,108
Policyholder benefits and claims109
204
731
Provision (release) for unfunded lending commitments(161)29
74
Total provisions for credit losses and for benefits and claims$7,451
$6,982
$7,913
Operating expenses(1)
 
 
 
Compensation and benefits$21,181
$20,970
$21,769
Premises and equipment2,453
2,542
2,878
Technology/communication6,891
6,685
6,581
Advertising and marketing1,608
1,632
1,547
Other operating9,104
9,587
10,840
Total operating expenses$41,237
$41,416
$43,615
Income from continuing operations before income taxes$22,761
$21,477
$24,826
Provision for income taxes (benefits)29,388
6,444
7,440
Income (loss) from continuing operations$(6,627)$15,033
$17,386
Discontinued operations 
 
 
Loss from discontinued operations$(104)$(80)$(83)
Provision (benefit) for income taxes7
(22)(29)
Loss from discontinued operations, net of taxes$(111)$(58)$(54)
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
Noncontrolling interests60
63
90
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Basic earnings per share(2)
 
 
 
Income (loss) from continuing operations
$(2.94)$4.74
$5.43
Loss from discontinued operations, net of taxes(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.41
Weighted average common shares outstanding2,698.5
2,888.1
3,004.0


CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries
Diluted earnings per share(2)
 
 
 
Income (loss) from continuing operations
$(2.94)$4.74
$5.42
Income (loss) from discontinued operations, net of taxes(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.40
Adjusted weighted average common shares outstanding2,698.5
2,888.3
3,007.7

(1)Certain prior-period revenue and expense lines and totals were reclassified to conform to the current period’s presentation. See Note 3 to the Consolidated Financial Statements.
(2)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.


CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOMECitigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars201720162015
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Add: Citigroup’s other comprehensive income (loss)



 
Net change in unrealized gains and losses on investment securities, net of taxes$(863)$108
$(964)
Net change in debt valuation adjustment (DVA), net of taxes(1)
(569)(337)—
Net change in cash flow hedges, net of taxes(138)57
292
Benefit plans liability adjustment, net of taxes(2)
(1,019)(48)43
Net change in foreign currency translation adjustment, net of taxes and hedges(202)(2,802)(5,499)
Citigroup’s total other comprehensive income (loss)(3)
$(2,791)$(3,022)$(6,128)
Citigroup’s total comprehensive income (loss)

$(9,589)$11,890
$11,114
Add: Other comprehensive income (loss) attributable to noncontrolling interests$114
$(56)$(83)
Add: Net income attributable to noncontrolling interests60
63
90
Total comprehensive income (loss)$(9,415)$11,897
$11,121
(1)    See Note 1 to the Consolidated Financial Statements.
(2)    See Note 8 to the Consolidated Financial Statements.
(3) Includes the impact of ASU 2018-02, adopted in the fourth quarter of 2017. See Note 1 to the Consolidated Financial Statements.


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


CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
 December 31,
In millions of dollars20172016
Assets 
 
Cash and due from banks$23,775
$23,043
Deposits with banks156,741
137,451
Federal funds sold and securities borrowed or purchased under agreements to resell (including $132,949 and $133,204 as of December 31, 2017 and December 31, 2016, respectively, at fair value)232,478
236,813
Brokerage receivables38,384
28,887
Trading account assets (including $99,460 and $80,986 pledged to creditors at December 31, 2017 and December 31, 2016, respectively)251,556
243,925
Investments:  
  Available for sale (including $9,493 and $8,239 pledged to creditors as of December 31, 2017 and December 31, 2016, respectively)290,914
299,424
Held to maturity (including $435 and $843 pledged to creditors as of December 31, 2017 and December 31, 2016, respectively)53,320
45,667
Non-marketable equity securities (including $1,206 and $1,774 at fair value as of December 31, 2017 and December 31, 2016, respectively)8,056
8,213
Total investments$352,290
$353,304
Loans: 
 
Consumer (including $25 and $29 as of December 31, 2017 and December 31, 2016, respectively, at fair value)333,656
325,063
Corporate (including $4,349 and $3,457 as of December 31, 2017 and December 31, 2016, respectively, at fair value)333,378
299,306
Loans, net of unearned income$667,034
$624,369
Allowance for loan losses(12,355)(12,060)
Total loans, net$654,679
$612,309
Goodwill22,256
21,659
Intangible assets (other than MSRs)4,588
5,114
Mortgage servicing rights (MSRs)558
1,564
Other assets (including $19,793 and $15,729 as of December 31, 2017 and December 31, 2016, respectively, at fair value)105,160
128,008
Total assets$1,842,465
$1,792,077

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
 December 31,
In millions of dollars20172016
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
Cash and due from banks$52
$142
Trading account assets1,129
602
Investments2,498
3,636
Loans, net of unearned income 
 
Consumer54,656
53,401
Corporate19,835
20,121
Loans, net of unearned income$74,491
$73,522
Allowance for loan losses(1,930)(1,769)
Total loans, net$72,561
$71,753
Other assets154
158
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$76,394
$76,291
Statement continues on the next page.

CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
 December 31,
In millions of dollars, except shares and per share amounts20172016
Liabilities 
 
Non-interest-bearing deposits in U.S. offices$126,880
$136,698
Interest-bearing deposits in U.S. offices (including $303 and $434 as of December 31, 2017 and December 31, 2016, respectively, at fair value)318,613
300,972
Non-interest-bearing deposits in offices outside the U.S.87,440
77,616
Interest-bearing deposits in offices outside the U.S. (including $1,162 and $778 as of December 31, 2017 and December 31, 2016, respectively, at fair value)426,889
414,120
Total deposits$959,822
$929,406
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $40,638 and $33,663 as of December 31, 2017 and December 31, 2016, respectively, at fair value)156,277
141,821
Brokerage payables61,342
57,152
Trading account liabilities124,047
139,045
Short-term borrowings (including $4,627 and $2,700 as of December 31, 2017 and December 31, 2016, respectively, at fair value)44,452
30,701
Long-term debt (including $31,392 and $26,254 as of December 31, 2017 and December 31, 2016, respectively, at fair value)236,709
206,178
Other liabilities (including $15,084 and $10,796 as of December 31, 2017 and December 31, 2016, respectively, at fair value)58,144
61,631
Total liabilities$1,640,793
$1,565,934
Stockholders’ equity 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of  December 31, 2017 and December 31, 2016, at aggregate liquidation value
$19,253
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,523,273 and 3,099,482,042 as of December 31, 2017 and December 31, 2016, respectively
31
31
Additional paid-in capital108,008
108,042
Retained earnings138,425
146,477
Treasury stock, at cost: December 31, 2017—529,614,728 shares and December 31, 2016—327,090,192 shares
(30,309)(16,302)
Accumulated other comprehensive income (loss)(34,668)(32,381)
Total Citigroup stockholders’ equity$200,740
$225,120
Noncontrolling interest932
1,023
Total equity$201,672
$226,143
Total liabilities and equity$1,842,465
$1,792,077

The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also requires disclosuresexclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
 December 31,
In millions of dollars20172016
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup 
 
Short-term borrowings$10,079
$10,697
Long-term debt30,492
23,919
Other liabilities611
1,275
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup$41,182
$35,891
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITYCitigroup Inc. and Subsidiaries
 Years ended December 31,
 AmountsShares
In millions of dollars, except shares in thousands201720162015201720162015
Preferred stock at aggregate liquidation value 
 
 
 
 
 
Balance, beginning of year$19,253
$16,718
$10,468
770
669
419
Issuance of new preferred stock—
2,535
6,250
—
101
250
Balance, end of period$19,253
$19,253
$16,718
770
770
669
Common stock and additional paid-in capital 
 
 
 
 
 
Balance, beginning of year$108,073
$108,319
$108,010
3,099,482
3,099,482
3,082,038
Employee benefit plans(27)(251)357
41
—
17,438
Preferred stock issuance expense—
(37)(23)—
—
—
Other(7)42
(25)—
—
6
Balance, end of period$108,039
$108,073
$108,319
3,099,523
3,099,482
3,099,482
Retained earnings 
 
 
 
 
 
Balance, beginning of year$146,477
$133,841
$117,852
   
Adjustment to opening balance, net of taxes(1)
(660)15
—
   
Adjusted balance, beginning of period$145,817
$133,856
$117,852
 
 
 
Citigroup’s net income (loss)(6,798)14,912
17,242
 
 
 
Common dividends(2)
(2,595)(1,214)(484) 
 
 
Preferred dividends(1,213)(1,077)(769) 
 
 
Impact of Tax Reform related to AOCI reclassification(3)
3,304
—
—
 
 
 
Other(4)
(90)—
—
   
Balance, end of period$138,425
$146,477
$133,841
 
 
 
Treasury stock, at cost 
 
 
 
 
 
Balance, beginning of year$(16,302)$(7,677)$(2,929)(327,090)(146,203)(58,119)
Employee benefit plans(5)
531
826
704
11,651
14,256
13,318
Treasury stock acquired(6)
(14,538)(9,451)(5,452)(214,176)(195,143)(101,402)
Balance, end of period$(30,309)$(16,302)$(7,677)(529,615)(327,090)(146,203)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
 
 
Balance, beginning of year$(32,381)$(29,344)$(23,216) 
 
 
Adjustment to opening balance, net of taxes(1)
504
(15)—
   
Adjusted balance, beginning of period$(31,877)$(29,359)$(23,216)   
Citigroup’s total other comprehensive income (loss)(3)
(2,791)(3,022)(6,128) 
 
 
Balance, end of period$(34,668)$(32,381)$(29,344) 
 
 
Total Citigroup common stockholders’ equity$181,487
$205,867
$205,139
2,569,908
2,772,392
2,953,279
Total Citigroup stockholders’ equity$200,740
$225,120
$221,857
 
 
 
Noncontrolling interests 
 
 
 
 
 
Balance, beginning of year$1,023
$1,235
$1,511
 
 
 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary(28)(11)—
   
Transactions between Citigroup and the noncontrolling-interest shareholders(121)(130)(164) 
 
 
Net income attributable to noncontrolling-interest shareholders60
63
90
 
 
 
Dividends paid to noncontrolling-interest shareholders(44)(42)(78) 
 
 
Other comprehensive income (loss) attributable to
   noncontrolling-interest shareholders
114
(56)(83) 
 
 
Other(72)(36)(41) 
 
 
Net change in noncontrolling interests$(91)$(212)$(276) 
 
 
Balance, end of period$932
$1,023
$1,235
 
 
 
Total equity$201,672
$226,143
$223,092
   

(1)See Note 1 to the Consolidated Financial Statements.
(2)Common dividends declared were $0.16 per share in the first and second quarters and $0.32 per share in the third and fourth quarters of 2017; $0.05 per share in the first and second quarters and $0.16 per share in the third and fourth quarters of 2016; and $0.01 in the first quarter and $0.05 per share in the second, third and fourth quarters of 2015.
(3)
Includes the impact of ASU 2018-02, which transferred those amounts from AOCI to Retained earnings. See Notes 1 and 19 to the Consolidated Financial Statements.
(4) Includes the impact of ASU No. 2016-09. See Note 1 to the Consolidated Financial Statements.
(5)Includes treasury stock related to (i) certain activity on employee stock option program exercises, where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee-restricted or deferred-stock programs, where shares are withheld to satisfy tax requirements.
(6)For 2017, 2016 and 2015, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.

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

CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars201720162015
Cash flows from operating activities of continuing operations 
 
 
Net income (loss) before attribution of noncontrolling interests$(6,738)$14,975
$17,332
Net income attributable to noncontrolling interests60
63
90
Citigroup’s net income (loss)$(6,798)$14,912
$17,242
Loss from discontinued operations, net of taxes(111)(58)(54)
Income (loss) from continuing operations—excluding noncontrolling interests$(6,687)$14,970
$17,296
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
Net gains on significant disposals(1)
(602)(404)(3,210)
Depreciation and amortization3,659
3,720
3,506
Deferred tax provision (2)
24,877
1,459
2,794
Provision for loan losses7,503
6,749
7,108
Realized gains from sales of investments(778)(948)(682)
Net impairment losses on investments, goodwill and intangible assets91
621
318
Change in trading account assets(7,726)(2,710)46,830
Change in trading account liabilities(14,998)21,533
(21,524)
Change in brokerage receivables, net of brokerage payables(5,307)2,226
2,278
Change in loans held-for-sale (HFS)247
6,603
(7,207)
Change in other assets(2,489)(6,859)(32)
Change in other liabilities(3,421)(28)(1,135)
Other, net(2,956)7,000
(6,603)
Total adjustments$(1,900)$38,962
$22,441
Net cash provided by (used in) operating activities of continuing operations$(8,587)$53,932
$39,737
Cash flows from investing activities of continuing operations 
 
 
   Change in deposits with banks$(19,290)$(25,311)$15,488
   Change in federal funds sold and securities borrowed or purchased under agreements to resell4,335
(17,138)22,895
   Change in loans(58,062)(39,761)1,353
   Proceeds from sales and securitizations of loans8,365
18,140
9,610
   Purchases of investments(185,740)(211,402)(242,362)
   Proceeds from sales of investments(3)
107,368
132,183
141,470
   Proceeds from maturities of investments84,369
65,525
82,047
   Proceeds from significant disposals(1)
3,411
265
5,932
   Payments due to transfers of net liabilities associated with significant disposals(1)(4)
—
—
(18,929)
   Capital expenditures on premises and equipment and capitalized software(3,361)(2,756)(3,198)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
377
667
577
Net cash provided by (used in) investing activities of continuing operations$(58,228)$(79,588)$14,883
Cash flows from financing activities of continuing operations 
 
 
   Dividends paid$(3,797)$(2,287)$(1,253)
   Issuance of preferred stock—
2,498
6,227
   Treasury stock acquired(14,541)(9,290)(5,452)
   Stock tendered for payment of withholding taxes(405)(316)(428)
   Change in federal funds purchased and securities loaned or sold under agreements to repurchase14,456
(4,675)(26,942)
   Issuance of long-term debt67,960
63,806
44,619
   Payments and redemptions of long-term debt(40,986)(55,460)(52,843)
   Change in deposits30,416
24,394
8,555
   Change in short-term borrowings13,751
9,622
(37,256)

Net cash provided by (used in) financing activities of continuing operations$66,854
$28,292
$(64,773)
Effect of exchange rate changes on cash and cash equivalents$693
$(493)$(1,055)
Change in cash and due from banks$732
$2,143
$(11,208)
Cash and due from banks at beginning of period23,043
20,900
32,108
Cash and due from banks at end of period$23,775
$23,043
$20,900
Supplemental disclosure of cash flow information for continuing operations 
 
 
Cash paid during the year for income taxes$2,083
$4,359
$4,978
Cash paid during the year for interest15,675
12,067
12,031
Non-cash investing activities 
 
 
Decrease in net loans associated with significant disposals reclassified to HFS$—
$—
$(9,063)
Decrease in investments associated with significant disposals reclassified to HFS—
—
(1,402)
Decrease in goodwill and intangible assets associated with significant disposals reclassified to HFS—
—
(223)
Decrease in deposits associated with banks with significant disposals reclassified to HFS—
—
(404)
Transfers to loans HFS from loans5,900
13,900
28,600
Transfers to OREO and other repossessed assets113
165
276
Non-cash financing activities   
Decrease in long-term debt associated with significant disposals reclassified to HFS$—
$—
$(4,673)

(1)See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
(2)Includes the full impact of the $22.6 billion non-cash charge related to the Tax Cuts and Jobs Act (Tax Reform). See Notes 1 and 9 to the Consolidated Financial Statements for further information.
(3) Proceeds for 2016 include approximately $3.3 billion from the sale of Citi’s investment in China Guangfa Bank.
(4)The payments associated with significant disposals result primarily from the sale of deposit liabilities.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.



NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Throughout these Notes, “Citigroup,” “Citi” and the “Company” refer to Citigroup Inc. and its consolidated subsidiaries.
Certain reclassifications have been made to the prior periods’ financial statements and Notes to conform to the current period’s presentation.

Principles of Consolidation
The Consolidated Financial Statements include the accounts of Citigroup and its subsidiaries prepared in accordance with U.S. generally accepted accounting principles (GAAP). The Company consolidates subsidiaries in which it holds, directly or indirectly, more than 50% of the voting rights or where it exercises control. Entities where the Company holds 20% to 50% of the voting rights and/or has the ability to exercise significant influence, other than investments of designated venture capital subsidiaries or investments accounted for at fair value under the fair value option, are accounted for under the equity method, and the pro rata share of their income (loss) is included in Other revenue. Income from investments in less-than-20%-owned companies is recognized when dividends are received. As discussed in more detail in Note 21 to the Consolidated Financial Statements, Citigroup also consolidates entities deemed to be variable interest entities when Citigroup is determined to be the primary beneficiary. Gains and losses on the disposition of branches, subsidiaries, affiliates, buildings and other investments are included in Other revenue.

Citibank
Citibank, N.A. (Citibank) is a commercial bank and wholly owned subsidiary of Citigroup. Citibank’s principal offerings include consumer finance, mortgage lending and retail banking (including commercial banking) products and services; investment banking, cash management and trade finance; and private banking products and services.

Variable Interest Entities
An entity is a variable interest entity (VIE) if it meets either of the criteria outlined in Accounting Standards Codification (ASC) Topic 810, Consolidation, which are (i) the entity has equity that is insufficient to permit the entity to finance its activities without additional subordinated financial support from other parties, or (ii) the entity has equity investors that cannot make significant decisions about transfersthe entity’s operations or that do not absorb their proportionate share of the entity’s expected losses or expected returns.
The Company consolidates a VIE when it has both the power to direct the activities that most significantly impact the VIE’s economic performance and a right to receive benefits or the obligation to absorb losses of the entity that could be potentially significant to the VIE (that is, Citi is the primary beneficiary). In addition to variable interests held in
consolidated VIEs, the Company has variable interests in other VIEs that are not consolidated because the Company is not the primary beneficiary.
All unconsolidated VIEs are monitored by the Company to assess whether any events have occurred to cause its primary beneficiary status to change.
All entities not deemed to be VIEs with which the Company has involvement are evaluated for consolidation under other subtopics of ASC 810. See Note 21 to the Consolidated Financial Statements for more detailed information.

Foreign Currency Translation
Assets and liabilities of Citi’s foreign operations are translated from their respective functional currencies into U.S. dollars using period-end spot foreign exchange rates. The effects of those translation adjustments are reported in Accumulated other comprehensive income (loss), a component of stockholders’ equity, net of any related hedge and tax effects, until realized upon sale or substantial liquidation of the foreign operation. Revenues and expenses of Citi’s foreign operations are translated monthly from their respective functional currencies into U.S. dollars at amounts that approximate weighted average exchange rates.
For transactions that are denominated in a currency other than the functional currency, including transactions denominated in the local currencies of foreign operations that use the U.S. dollar as their functional currency, the effects of changes in exchange rates are primarily included in Principal transactions, along with the related effects of any economic hedges. Instruments used to hedge foreign currency exposures include foreign currency forward, option and swap contracts and, in certain instances, designated issues of non-U.S. dollar debt. Foreign operations in countries with highly inflationary economies designate the U.S. dollar as their functional currency, with the effects of changes in exchange rates primarily included in Other revenue.

Investment Securities
Investments include fixed income and equity securities. Fixed income instruments include bonds, notes and redeemable preferred stocks, as well as certain loan-backed and structured securities that are subject to prepayment risk. Equity securities include common and nonredeemable preferred stock.
Investment securities are classified and accounted for as follows:

Fixed income securities classified as “held-to-maturity” are securities that the Company has both the ability and the intent to hold until maturity and are carried at amortized cost. Interest income on such securities is included in Interest revenue.
Fixed income securities and marketable equity securities classified as “available-for-sale” are carried at fair value with changes in fair value reported in Accumulated other comprehensive income (loss), a component of

stockholders’ equity, net of applicable income taxes and hedges. Realized gains and losses on sales are included in transactionsincome primarily on a specific identification cost basis. Interest and dividend income on such securities is included in Interest revenue.
Certain investments in non-marketable equity securities and certain investments that would otherwise have been accounted for using the equity method are carried at fair value, since the Company has elected to apply fair value accounting. Changes in fair value of such investments are recorded in earnings.
Certain non-marketable equity securities are carried at cost.

For investments in fixed income securities classified as held-to-maturity or available-for-sale, the accrual of interest income is suspended for investments that are economically similarin default or for which it is likely that future interest payments will not be made as scheduled.
Investment securities are subject to repurchase agreementsevaluation for other-than-temporary impairment as described in Note 13 to the Consolidated Financial Statements.
The Company uses a number of valuation techniques for investments carried at fair value, which are described in Note 24 to the Consolidated Financial Statements. Realized gains and aboutlosses on sales of investments are included in earnings.

Trading Account Assets and Liabilities
Trading account assets include debt and marketable equity securities, derivatives in a receivable position, residual interests in securitizations and physical commodities inventory. In addition, as described in Note 25 to the typesConsolidated Financial Statements, certain assets that Citigroup has elected to carry at fair value under the fair value option, such as loans and purchased guarantees, are also included in Trading account assets.
Trading account liabilities include securities sold, not yet purchased (short positions) and derivatives in a net payable position, as well as certain liabilities that Citigroup has elected to carry at fair value (as described in Note 25 to the Consolidated Financial Statements).
Other than physical commodities inventory, all trading account assets and liabilities are carried at fair value. Revenues generated from trading assets and trading liabilities are generally reported in Principal transactions and include realized gains and losses as well as unrealized gains and losses resulting from changes in the fair value of collateral pledgedsuch instruments. Interest income on trading assets is recorded inInterest revenue reduced by interest expense on trading liabilities.
Physical commodities inventory is carried at the lower of cost or market with related losses reported in Principal transactions. Realized gains and losses on sales of commodities inventory are included in Principal transactions. Investments in unallocated precious metals accounts (gold, silver, platinum and palladium) are accounted for as hybrid instruments containing a debt host contract and an embedded non-financial derivative
 
instrument indexed to the price of the relevant precious metal. The embedded derivative instrument is separated from the debt host contract and accounted for at fair value. The debt host contract is carried at fair value under the fair value option, as described in Note 25 to the Consolidated Financial Statements.
Derivatives used for trading purposes include interest rate, currency, equity, credit and commodity swap agreements, options, caps and floors, warrants, and financial and commodity futures and forward contracts. Derivative asset and liability positions are presented net by counterparty on the Consolidated Balance Sheet when a valid master netting agreement exists and the other conditions set out in ASC Topic 210-20, Balance Sheet—Offsetting, are met. See Note 22 to the Consolidated Financial Statements.
The Company uses a number of techniques to determine the fair value of trading assets and liabilities, which are described in Note 24 to the Consolidated Financial Statements.

Securities Borrowed and Securities Loaned
Securities borrowing and lending transactions do not constitute a sale of the underlying securities for accounting purposes and are treated as collateralized financing transactions. Such transactions are recorded at the amount of proceeds advanced or received plus accrued interest. As described in Note 25 to the Consolidated Financial Statements, the Company has elected to apply fair value accounting to a number of securities borrowing and lending transactions. Fees paid or received for all securities lending and borrowing transactions are recorded in Interest expense or Interest revenue at the contractually specified rate.
The Company monitors the fair value of securities borrowed or loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
As described in Note 24 to the Consolidated Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of securities lending and borrowing transactions.

Repurchase and Resale Agreements
Securities sold under agreements to repurchase (repos) and securities purchased under agreements to resell (reverse repos) do not constitute a sale (or purchase) of the underlying securities for accounting purposes and are treated as collateralized financing transactions. As described in Note 25 to the Consolidated Financial Statements, the Company has elected to apply fair value accounting to the majority of such transactions, with changes in fair value reported in earnings. Any transactions for which fair value accounting has not been elected are recorded at the amount of cash advanced or received plus accrued interest. Irrespective of whether the Company has elected fair value accounting, interest paid or received on all repo and reverse repo transactions is recorded in Interest expense or Interest revenue at the contractually specified rate.
Where the conditions of ASC 210-20-45-11, Balance Sheet—Offsetting: Repurchase and Reverse Repurchase

Agreements, are met, repos and reverse repos are presented net on the Consolidated Balance Sheet.
The Company’s policy is to take possession of securities purchased under reverse repurchase agreements. The Company monitors the fair value of securities subject to repurchase or resale on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
As described in Note 24 to the Consolidated Financial Statements, the Company uses a discounted cash flow technique to determine the fair value of repo and reverse repo transactions.

Loans
Loans are reported at their outstanding principal balances net of any unearned income and unamortized deferred fees and costs except that credit card receivable balances also include accrued interest and fees. Loan origination fees and certain direct origination costs are generally deferred and recognized as adjustments to income over the lives of the related loans.
As described in Note 25 to the Consolidated Financial Statements, Citi has elected fair value accounting for certain loans. Such loans are carried at fair value with changes in fair value reported in earnings. Interest income on such loans is recorded in Interest revenue at the contractually specified rate.
Loans that are held-for-investment are classified as Loans, net of unearned income on the Consolidated Balance Sheet, and the related cash flows are included within the cash flows from investing activities category in the Consolidated Statement of Cash Flows on the line Change in loans. However, when the initial intent for holding a loan has changed from held-for-investment to HFS, the loan is reclassified to held-for-sale, but the related cash flows continue to be reported in cash flows from investing activities in the Consolidated Statement of Cash Flows on the line Proceeds from sales and securitizations of loans.

Consumer Loans
Consumer loans represent loans and leases managed primarily by the Global Consumer Banking (GCB) businesses and Corporate/Other.

Consumer Non-accrual and Re-aging Policies
As a general rule, interest accrual ceases for installment and real estate (both open- and closed-end) loans when payments are 90 days contractually past due. For credit cards and other unsecured revolving loans, however, Citi generally accrues interest until payments are 180 days past due. As a result of OCC guidance, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Also as a result of OCC guidance, mortgage loans in regulated bank entities within 60 days of notification that the borrower has filed for bankruptcy, other than FHA-insured loans, are classified as non-accrual. Commercial market loans are placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the
collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due.
Loans that have been modified to grant a concession to a borrower in financial difficulty may not be accruing interest at the time of the modification. The policy for returning such modified loans to accrual status varies by product and/or region. In most cases, a minimum number of payments (ranging from one to six) is required, while in other cases the loan is never returned to accrual status. For regulated bank entities, such modified loans are returned to accrual status if a credit evaluation at the time of, or subsequent to, the modification indicates the borrower is able to meet the restructured terms, and the borrower is current and has demonstrated a reasonable period of sustained payment performance (minimum six months of consecutive payments).
For U.S. consumer loans, generally one of the conditions to qualify for modification is that a minimum number of payments (typically ranging from one to three) must be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for the loan to be re-aged to current status is that at least three consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, Federal Housing Administration (FHA) and Department of Veterans Affairs (VA) loans may only be modified under those respective agencies’ guidelines, and payments are not always required in order to re-age a modified loan to current.

Consumer Charge-Off Policies
Citi’s charge-off policies follow the general guidelines below:

Unsecured installment loans are charged off at 120 days contractually past due.
Unsecured revolving loans and credit card loans are charged off at 180 days contractually past due.
Loans secured with non-real estate collateral are written down to the estimated value of the collateral, less costs to sell, at 120 days contractually past due.
Real estate-secured loans are written down to the estimated value of the property, less costs to sell, at 180 days contractually past due.
Real estate-secured loans arecharged off no later than 180 days contractually past due if a decision has been made not to foreclose on the loans.
Unsecured loans in bankruptcy are charged off within 60 days of notification of filing by the bankruptcy court or in accordance with Citi’s charge-off policy, whichever occurs earlier.

Real estate-secured loans in bankruptcy, other than FHA-insured loans, are written down to the estimated value of the property, less costs to sell, within 60 days of notification that the borrower has filed for bankruptcy or in accordance with Citi’s charge-off policy, whichever is earlier.
Commercial market loans are written down to the extent that principal is judged to be uncollectable.

Corporate Loans
Corporate loans represent loans and leases managed by Institutional Clients Group (ICG). Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days past due and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan.
Impaired corporate loans and leases are written down to the extent that principal is deemed to be uncollectable. Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying collateral and there are no other available and reliable sources of repayment, are written down to the lower of cost or collateral value. Cash-basis loans are returned to accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance in accordance with the contractual terms.

Loans Held-for-Sale
Corporate and consumer loans that have been identified for sale are classified as loans held-for-sale and included in Other assets. The practice of Citi’s U.S. prime mortgage business has been to sell substantially all of its conforming loans. As such, U.S. prime mortgage conforming loans are classified as held-for-sale and the fair value option is elected at origination, with changes in fair value recorded in Other revenue. With the exception of those loans for which the fair value option has been elected, held-for-sale loans are accounted for at the lower of cost or market value, with any write-downs or subsequent recoveries charged to Other revenue. The related cash flows are classified in the Consolidated Statement of Cash Flows in the cash flows from operating activities category on the line Change in loans held-for-sale.

Allowance for Loan Losses
Allowance for loan losses represents management’s best estimate of probable losses inherent in the portfolio, including probable losses related to large individually evaluated impaired loans and troubled debt restructurings. Attribution of the allowance is made for analytical purposes only, and the entire allowance is available to absorb probable loan losses inherent in the overall portfolio. Additions to the allowance are made through the Provision for loan losses. Loan losses are deducted from the allowance and subsequent recoveries are added. Assets received in exchange for loan claims in a restructuring are initially recorded at fair value, with any gain or loss reflected as a recovery or charge-off to the provision.

Consumer Loans
For consumer loans, each portfolio of non-modified smaller-balance homogeneous loans is independently evaluated for impairment by product type (e.g., residential mortgage, credit card, etc.) in accordance with ASC 450, Contingencies. The allowance for loan losses attributed to these loans is established via a process that estimates the probable losses inherent in the specific portfolio. This process includes migration analysis, in which historical delinquency and credit loss experience is applied to the current aging of the portfolio, together with analyses that reflect current and anticipated economic conditions, including changes in housing prices and unemployment trends. Citi’s allowance for loan losses under ASC 450 only considers contractual principal amounts due, except for credit card loans, where estimated loss amounts related to accrued interest receivable are also included.
Management also considers overall portfolio indicators, including historical credit losses, delinquent, non-performing and classified loans, trends in volumes and terms of loans, an evaluation of overall credit quality, the credit process, including lending policies and procedures, and economic, geographical, product and other environmental factors.
Separate valuation allowances are determined for impaired smaller-balance homogeneous loans whose terms have been modified in a troubled debt restructuring (TDR). Long-term modification programs, and short-term (less than 12 months) modifications that provide concessions (such as interest rate reductions) to borrowers in financial difficulty, are reported as TDRs. In addition, loan modifications that involve a trial period are reported as TDRs at the start of the trial period. The allowance for loan losses for TDRs is determined in accordance with ASC 310-10-35, Receivables—Subsequent Measurement, considering all available evidence, including, as appropriate, the present value of the expected future cash flows discounted at the loan’s original contractual effective rate, the secondary market value of the loan and the fair value of collateral less disposal costs. These expected cash flows incorporate modification program default rate assumptions. The original contractual effective rate for credit card loans is the pre-modification rate, which may include interest rate increases under the original contractual agreement with the borrower.

Valuation allowances for commercial market loans, which are classifiably managed consumer loans, are determined in the same manner as for corporate loans and are described in more detail in the following section. Generally, an asset-specific component is calculated under ASC 310-10-35 on an individual basis for larger-balance, non-homogeneous loans that are considered impaired, and the allowance for the remainder of the classifiably managed consumer loan portfolio is calculated under ASC 450 using a statistical methodology that may be supplemented by management adjustment.

Corporate Loans
In the corporate portfolios, the Allowance for loan losses includes an asset-specific component and a statistically based component. The asset-specific component is calculated under ASC 310-10-35 for larger-balance, non-homogeneous loans that are considered impaired. An asset-specific allowance is established when the discounted cash flows, collateral value (less disposal costs) or observable market price of the impaired loan are lower than its carrying value. This allowance considers the borrower’s overall financial condition, resources and payment record, the prospects for support from any financially responsible guarantors (discussed further below) and, if appropriate, the realizable value of any collateral. The asset-specific component of the allowance for smaller-balance impaired loans is calculated on a pool basis considering historical loss experience.
The allowance for the remainder of the loan portfolio is determined under ASC 450 using a statistical methodology, supplemented by management judgment. The statistical analysis considers the portfolio’s size, remaining tenor and credit quality as measured by internal risk ratings assigned to individual credit facilities, which reflect probability of default and loss given default. The statistical analysis considers historical default rates and historical loss severity in the event of default, including historical average levels and historical variability. The result is an estimated range for inherent losses. The best estimate within the range is then determined by management’s quantitative and qualitative assessment of current conditions, including general economic conditions, specific industry and geographic trends and internal factors including portfolio concentrations, trends in internal credit quality indicators and current and past underwriting standards.
For both the asset-specific and the statistically based components of the Allowance for loan losses, management may incorporate guarantor support. The financial wherewithal of the guarantor is evaluated, as applicable, based on net worth, cash flow statements and personal or company financial statements, which are updated and reviewed at least annually. Citi seeks performance on guarantee arrangements in the normal course of business. Seeking performance entails obtaining satisfactory cooperation from the guarantor or borrower in the specific situation. This regular cooperation is indicative of pursuit and successful enforcement of the guarantee; the exposure is reduced without the expense and burden of pursuing a legal
remedy. A guarantor’s reputation and willingness to work with Citigroup is evaluated based on the historical experience with the guarantor and the knowledge of the marketplace. In the rare event that the guarantor is unwilling or unable to perform or facilitate borrower cooperation, Citi pursues a legal remedy; however, enforcing a guarantee via legal action against the guarantor is not the primary means of resolving a troubled loan situation and rarely occurs. If Citi does not pursue a legal remedy, it is because Citi does not believe that the guarantor has the financial wherewithal to perform regardless of legal action or because there are legal limitations on simultaneously pursuing guarantors and foreclosure. A guarantor’s reputation does not impact Citi’s decision or ability to seek performance under the guarantee.
In cases where a guarantee is a factor in the assessment of loan losses, it is included via adjustment to the loan’s internal risk rating, which in turn is the basis for the adjustment to the statistically based component of the Allowance for loan losses. To date, it is only in rare circumstances that an impaired commercial loan or commercial real estate loan is carried at a value in excess of the appraised value due to a guarantee.
When Citi’s monitoring of the loan indicates that the guarantor’s wherewithal to pay is uncertain or has deteriorated, there is either no change in the risk rating, because the guarantor’s credit support was never initially factored in, or the risk rating is adjusted to reflect that uncertainty or deterioration. Accordingly, a guarantor’s ultimate failure to perform or a lack of legal enforcement of the guarantee does not materially impact the allowance for loan losses, as there is typically no further significant adjustment of the loan’s risk rating at that time. Where Citi is not seeking performance under the guarantee contract, it provides for loan losses as if the loans were non-performing and not guaranteed.

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


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

Statistically calculated losses inherent in the classifiably managed portfolio for performing and de minimis non-performing exposures. The calculation is based on (i) Citi’s internal system of credit-risk ratings, which are analogous to the risk ratings of the major rating agencies, and (ii) historical default and loss data, including rating agency information regarding default rates from 1983 to 2016 and internal data dating to the early 1970s on severity of losses in the event of default. Adjustments may be made to this data. Such adjustments include (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 the degree to which there are large obligor concentrations in the global portfolio, and (ii) adjustments made for specific known items, such as current environmental factors and credit trends.
In addition, representatives from each of the risk management and finance staffs that cover business areas with delinquency-managed portfolios containing smaller-balance homogeneous loans present their recommended reserve balances based on leading credit indicators, including loan delinquencies and changes in portfolio size as well as economic trends, including current and future housing prices, unemployment, length of time in foreclosure, costs to sell and GDP. This methodology is applied separately for each 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, the size and diversity of individual large credits and the ability of borrowers with foreign currency obligations to obtain the foreign currency necessary for orderly debt servicing, among other things, are all taken into account during this review. Changes in these estimates could have a direct impact on the credit costs in any period and could result in a change in the allowance.

Allowance for Unfunded Lending Commitments
A similar approach to the allowance for loan losses is used for calculating a reserve for the expected losses related to unfunded lending commitments and standby letters of credit. This reserve is classified on the balance sheet in Other liabilities. Changes to the allowance for unfunded lending commitments are recorded in Provision for unfunded lending commitments.

Mortgage Servicing Rights
Mortgage servicing rights (MSRs) are recognized as intangible assets when purchased or when the Company sells or securitizes loans acquired through purchase or origination and retains the right to service the loans. Mortgage servicing rights are accounted for at fair value, with changes in value recorded in Other revenue in the Company’s Consolidated Statement of Income.
For additional information on the Company’s MSRs, see Notes 16 and 21 to the Consolidated Financial Statements.

Goodwill
Goodwill represents the excess of acquisition cost over the fair value of net tangible and intangible assets acquired in a business combination. Goodwill is subject to annual impairment testing and 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.
Under ASC Topic 350, Intangibles—Goodwill and Other,the Company has an option to assess qualitative factors to determine if it is necessary to perform the goodwill impairment test. If, after assessing the totality of events or circumstances, the Company determines that it is not more-likely-than-not that the fair value of a reporting unit is less than its carrying amount, no further testing is necessary. If, however, the Company determines that it is more-likely-than-not that the fair value of a reporting unit is less than its carrying amount, then the Company must perform the first step of the two-step goodwill impairment test.
The Company has an unconditional option to bypass the qualitative assessment for any reporting unit in any reporting period and proceed directly to the first step of the goodwill impairment test.
The first step requires a comparison of the fair value of the individual reporting unit to its carrying value, including goodwill. If the fair value of the reporting unit is in excess of the carrying value, the related goodwill is considered not impaired and no further analysis is necessary. If the carrying value of the reporting unit exceeds the fair value, this is an indication of potential impairment and the second step of testing is performed to measure the amount of impairment, if any, for that reporting unit.
If required, the second step involves calculating the implied fair value of goodwill for each of the affected reporting units. The implied fair value of goodwill is determined in the same manner as the amount of goodwill recognized in a business combination, which is the excess of the fair value of the reporting unit determined in step one over the fair value of the net assets and identifiable

intangibles as if the reporting unit were being acquired. If the amount of the goodwill allocated to the reporting unit exceeds the implied fair value of the goodwill in the pro forma purchase price allocation, an impairment charge is recorded for the excess. A recognized impairment charge cannot exceed the amount of goodwill allocated to a reporting unit and cannot subsequently be reversed even if the fair value of the reporting unit recovers.
Upon any business disposition, goodwill is allocated to, and derecognized with the disposed business based on the ratio of the fair value of the disposed business to the fair value of the reporting unit.
Additional information on Citi’s goodwill impairment testing can be found in Note 16 to the Consolidated Financial Statements.

Intangible Assets
Intangible assets,including core deposit intangibles, present value of future profits, purchased credit card relationships, credit card contract related intangibles, other customer relationships and other intangible assets, but excluding MSRs, are amortized over their estimated useful lives. Intangible assets that are deemed to have indefinite useful lives, primarily trade names, are not amortized and are subject to annual impairment tests. An impairment exists if the carrying value of the indefinite-lived intangible asset exceeds its fair value. For other intangible assets subject to amortization, an impairment is recognized if the carrying amount is not recoverable and exceeds the fair value of the intangible asset.

Other Assets and Other Liabilities
Other assets include, among other items, loans held-for-sale, deferred tax assets, equity method investments, interest and fees receivable, premises and equipment (including purchased and developed software), repossessed assets and other receivables. Other liabilities include, among other items, accrued expenses and other payables, deferred tax liabilities and reserves for legal claims, taxes, unfunded lending commitments, repositioning reserves and other matters.

Other Real Estate Owned and Repossessed Assets
Real estate or other assets received through foreclosure or repossession are generally reported in Other assets, net of a valuation allowance for selling costs and subsequent declines in fair value.

Securitizations
There are two key accounting determinations that must be made relating to securitizations. Citi first makes a determination as to whether the securitization entity must be consolidated. Second, it determines whether the transfer of financial assets to the entity is considered a sale under GAAP. If the securitization entity is a VIE, the Company consolidates the VIE if it is the primary beneficiary (as discussed in “Variable Interest Entities” above). For all other securitization entities determined not to be VIEs in which Citigroup participates, consolidation is based on which party
has voting control of the entity, giving consideration to removal and liquidation rights in certain partnership structures. Only securitization entities controlled by Citigroup are consolidated.
Interests in the securitized and sold assets may be retained in the form of subordinated or senior interest-only strips, subordinated tranches, spread accounts and servicing rights. In credit card securitizations, the Company retains a seller’s interest in the credit card receivables transferred to the trusts, which is not in securitized form. In the case of consolidated securitization entities, including the credit card trusts, these retained interests are not reported on Citi’s Consolidated Balance Sheet. The securitized loans remain on
the balance sheet. Substantially all of the consumer loans sold or securitized through non-consolidated trusts by Citigroup are U.S. prime residential mortgage loans. Retained interests in non-consolidated mortgage securitization trusts are classified as Trading account assets, except for MSRs, which are included in Mortgage servicing rights on Citigroup’s Consolidated Balance Sheet.

Debt
Short-term borrowings and Long-term debt are accounted for at amortized cost, except where the Company has elected to report the debt instruments, including certain structured notes at fair value, or the debt is in a fair value hedging relationship.

Transfers of Financial Assets
For a transfer of financial assets to be considered a sale (i) the assets must be legally isolated from the Company, even in bankruptcy or other receivership, (ii) the purchaser must have the right to pledge or sell the assets transferred or, if the purchaser is an entity whose sole purpose is to engage in securitization and asset-backed financing activities through the issuance of beneficial interests and that entity is constrained from pledging the assets it receives, each beneficial interest holder must have the right to sell or pledge their beneficial interests and (iii) the Company may not have an option or obligation to reacquire the assets.
If these sale requirements are met, the assets are removed from the Company’s Consolidated Balance Sheet. If the conditions for sale are not met, the transfer is considered to be a secured borrowing, the assets remain on the Consolidated Balance Sheet and the sale proceeds are recognized as the Company’s liability. A legal opinion on a sale generally is obtained for complex transactions or where the Company has continuing involvement with assets transferred or with the securitization entity. For a transfer to be eligible for sale accounting, those opinions must state that the asset transfer would be considered a sale and that the assets transferred would not be consolidated with the Company’s other assets in the event of the Company’s insolvency.
For a transfer of a portion of a financial asset to be considered a sale, the portion transferred must meet the definition of a participating interest. A participating interest must represent a pro rata ownership in an entire financial asset; all cash flows must be divided proportionately, with

the same priority of payment; no participating interest in the transferred asset may be subordinated to the interest of another participating interest holder; and no party may have the right to pledge or exchange the entire financial asset unless all participating interest holders agree. Otherwise, the transfer is accounted for as a secured borrowings. borrowing.
See Note 21 to the Consolidated Financial Statements for further discussion.

Risk Management Activities—Derivatives Used for Hedging Purposes
The ASU’sCompany manages its exposures to market movements outside of its trading activities by modifying the asset and liability mix, either directly or through the use of derivative financial products, including interest-rate swaps, futures, forwards and purchased options, as well as foreign-exchange contracts. These end-user derivatives are carried at fair value in Other assets, Other liabilities, Trading account assets and Trading account liabilities.
See Note 22 to the Consolidated Financial Statements for a further discussion of the Company’s hedging and derivative activities.

Employee Benefits Expense
Employee benefits expense includes current service costs of pension and other postretirement benefit plans (which are accrued on a current basis), contributions and unrestricted awards under other employee plans, the amortization of restricted stock awards and costs of other employee benefits.
For its most significant pension and postretirement benefit plans (Significant Plans), Citigroup measures and discloses plan obligations, plan assets and periodic plan expense quarterly, instead of annually. The effect of remeasuring the Significant Plan obligations and assets by updating plan actuarial assumptions on a quarterly basis is reflected in Accumulated other comprehensive income (loss) and periodic plan expense. All other plans (All Other Plans) are remeasured annually. See Note 8 to the Consolidated Financial Statements.

Stock-Based Compensation
The Company recognizes compensation expense related to stock and option awards over the requisite service period, generally based on the instruments’ grant-date fair value, reduced by actual forfeitures as they occur. Compensation cost related to awards granted to employees who meet certain age plus years-of-service requirements (retirement-eligible employees) is accrued in the year prior to the grant date, in the same manner as the accrual for cash incentive compensation. Certain stock awards with performance conditions or certain clawback provisions becameare subject to variable accounting, pursuant to which the associated compensation expense fluctuates with changes in Citigroup’s common stock price. See Note 7 to the Consolidated Financial Statements.

Income Taxes
The Company is subject to the income tax laws of the U.S. and its states and municipalities, as well as the non-U.S. jurisdictions in which it operates. These tax laws are complex and may be subject to different interpretations by the taxpayer and the relevant governmental taxing authorities. In establishing a provision for income tax expense, the Company must make judgments and interpretations about these tax laws. The Company must also make estimates about when in the future certain items will affect taxable income in the various tax jurisdictions, both domestic and foreign.
Disputes over interpretations of the tax laws may be subject to review and adjudication by the court systems of the various tax jurisdictions, or may be settled with the taxing authority upon examination or audit. The Company treats interest and penalties on income taxes as a component of Income tax expense.
Deferred taxes are recorded for the future consequences of events that have been recognized in financial statements or tax returns, based upon enacted tax laws and rates. Deferred tax assets are recognized subject to management’s judgment about whether realization is more-likely-than-not. ASC 740, Income Taxes, sets out a consistent framework to determine the appropriate level of tax reserves to maintain for uncertain tax positions. This interpretation uses a two-step approach wherein a tax benefit is recognized if a position is more-likely-than-not to be sustained. The amount of the benefit is then measured to be the highest tax benefit that is more than 50% likely to be realized. ASC 740 also sets out disclosure requirements to enhance transparency of an entity’s tax reserves.
On December 22, 2017, the SEC issued Staff Accounting Bulletin (SAB) 118, which sets forth the accounting for the changes in tax law caused by the enactment of the Tax Cuts and Jobs Act (Tax Reform). The Bulletin provides guidance as to how ASC 740 should be applied for the quarterly reporting period that includes the December 22, 2017 enactment date of Tax Reform. SAB 118 covers three different fact patterns that can be applied to each aspect of Tax Reform. The first is where the accounting is complete as of December 31, 2017; in this case, a company must report the effects of Tax Reform in its financial statements that include the enactment date. The second situation is where a company cannot complete its accounting as of December 31, 2017, but can provide a reasonable estimate based upon the information available to it and its ability to prepare and analyze this information (including related computations). In the situation described, the company must include the reasonable estimate it so determined in its financial statements as a provisional amount that will then be trued up within the one-year measurement period after the date of enactment of Tax Reform. The third situation, in which no reasonable estimate can be made for an item, requires a company to apply ASC 740 using the pre-Tax Reform tax law until the first reporting period in which it can make a reasonable estimate for the item.

To the extent that a company records a provisional amount in its financial statements, it must update its reporting during the one-year measurement period whenever the facts and circumstances existing at the enactment date are further analyzed. Any company providing provisional amounts must qualitatively disclose the income tax effects for which the accounting is incomplete, the reason it is incomplete and the additional information that is needed to complete the accounting. In addition, when the company revises or finalizes its provisional accounting for any item, it must disclose the nature and amount of any measurement period adjustments recognized in the reporting period, the impact of such adjustments on its effective tax rate and a confirmation when the accounting for such items is complete.
Citi recorded a charge to continuing operations of $22.6 billion in the fourth quarter of 2017, composed of a $12.4 billion remeasurement due to the reduction to the U.S. corporate tax rate and a change to a quasi-territorial tax system, a $7.9 billion valuation allowance against Citi’s FTC carry-forwards and its U.S. residual DTAs related to its non-U.S. branches, and a $2.3 billion reduction in Citi’s FTC carry-forwards related to the deemed repatriation of undistributed earnings of non-U.S. subsidiaries.
Of the aforementioned amounts, the following are considered to be provisional for which certain aspects of Citi’s accounting is incomplete, as described below. First, of the $12.4 billion, $6.2 billion is provisional as Citi continues to analyze the aspects of the quasi-territorial tax regime, particularly as it affects the deferred taxes, including indefinite reinvestment assertions, for non-U.S. operations, as well as the interaction with U.S. tax rate reduction. Also included as provisional is Citi’s state income tax charge for Tax Reform due to the uncertainty of how states will interpret the new federal provisions. The remaining $6.2 billion primarily relates to the reduction in the U.S. corporate tax rate and for which the accounting is complete. Second, Citi’s reported valuation allowance of $7.9 billion is a provisional amount, because there is uncertainty under Tax Reform as to the calculation of the deemed repatriation tax on non-U.S. subsidiary earnings, which itself is a provisional amount, and thus the amount of FTC carry-forwards that will be utilized to offset the resulting tax. In addition, such valuation allowance is also affected by uncertainty as to the methodology to be employed to allocate Citi’s FTC carry-forwards and related overall domestic loss among the redefined FTC baskets under Tax Reform, as well as related calculations affecting the usage of its FTCs in future periods. Transitional guidance is expected from the first quarterU.S. Treasury on these issues. Citi also continues to analyze the effects on the amount of 2015,residual U.S. tax related to its non-U.S. branches.
In all other material respects, Citi has completed its accounting for Tax Reform, and there are no amounts for which a reasonable estimate was not possible.
Additionally, Citi has not yet made a policy election with respect to its treatment of GILTI. Companies can either account for taxes on GILTI as incurred, or recognize deferred taxes when basis differences exist that are expected to impact the exceptionamount of the collateral disclosuresGILTI inclusion upon reversal.
Citi is still in the process of analyzing the provisions of Tax Reform associated with GILTI and the expected future impact.
See Note 9 to the Consolidated Financial Statements for a further description of the Company’s tax provision and related income tax assets and liabilities.

Commissions, Underwriting and Principal Transactions
Commissions revenues are recognized in income when earned. Underwriting revenues are recognized in income typically at the closing of the transaction. Principal transactions revenues are recognized in income on a trade-date basis. See Note 5 to the Consolidated Financial Statements for a description of the Company’s revenue recognition policies for commissions and fees, and Note 6 to the Consolidated Financial Statements for details of principal transactions revenue.

Earnings per Share
Earnings per share (EPS) is computed after deducting preferred stock dividends. The Company has granted restricted and deferred share awards with dividend rights that are considered to be participating securities, which will be effectiveare akin to a second class of common stock. Accordingly, a portion of Citigroup’s earnings is allocated to those participating securities in the EPS calculation.
Basic earnings per share is computed by dividing income available to common stockholders after the allocation of dividends and undistributed earnings to the participating securities by the weighted average number of common shares outstanding for the period. Diluted earnings per share reflects the potential dilution that could occur if securities or other contracts to issue common stock were exercised. It is computed after giving consideration to the weighted average dilutive effect of the Company’s stock options and warrants and convertible securities and after the allocation of earnings to the participating securities. Anti-dilutive options and warrants are disregarded in the EPS calculations.

Use of Estimates
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related Notes to the Consolidated Financial Statements. Such estimates are used in connection with certain fair value measurements. See Note 24 to the Consolidated Financial Statements for further discussions on estimates used in the determination of fair value. Moreover, estimates are significant in determining the amounts of other-than-temporary impairments, impairments of goodwill and other intangible assets, provisions for probable losses that may arise from credit-related exposures and probable and estimable losses related to litigation and regulatory proceedings, and income taxes. While management makes its best judgment, actual amounts or results could differ from those estimates.


Cash Flows
Cash equivalents are defined as those amounts included in Cash and due from banks. Cash flows from risk management activities are classified in the same category as the related assets and liabilities.

Related Party Transactions
The Company has related party transactions with certain of its subsidiaries and affiliates. These transactions, which are primarily short-term in nature, include cash accounts, collateralized financing transactions, margin accounts, derivative transactions, charges for operational support and the borrowing and lending of funds, and are entered into in the ordinary course of business.

ACCOUNTING CHANGES

Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income
On February 14, 2018, the Financial Accounting Standards Board (FASB) issued ASU No. 2018-02, Reclassification of Certain Tax Effects from Accumulated Other Comprehensive Income. The ASU allows a reclassification from Accumulated other comprehensive income (loss) (AOCI) to Retained earnings for the deferred taxes previously recorded in AOCI that exceed the current federal tax rate of 21% resulting from the second quarternewly enacted corporate tax rate in the Tax Cuts and Jobs Act (Tax Reform) and other stranded tax amounts related to the application of 2015. Tax Reform that Citi elects to reclassify. The ASU allows adjustments to reclassification amounts in subsequent periods as a result of changes to the amounts recorded under SAB 118. If adopted, the ASU is effective in years beginning after December 15, 2018, but permits early adoption in a period for which financial statements have not yet been issued. Citi has elected to early adopt the ASU, which affects only the period that the effects related to Tax Reform are recognized. In addition to the reclassification of deferred taxes recorded in AOCI that exceed the current federal tax rate, Citi has also reclassified amounts recorded in AOCI related to the effects of the shift to a territorial system related to the application of Tax Reform using the portfolio method.
The effect of adopting the ASU resulted in an increase of $3.3 billion to Retained earnings at December 31, 2017 due to the reclassification of AOCI to Retained earnings. This amount is requiredprovisional because more information needs to be reflectedobtained and analyzed related to Tax Reform as noted above and, thus, the amount to be reclassified
may change in 2018.

Premium Amortization on Purchased Callable Debt Securities
In March 2017, the FASB issued ASU No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities held at a premium.  The ASU requires entities to amortize premiums on debt securities by the first call date when the securities
have fixed and determinable call dates and prices. The scope of the ASU includes all accounting premiums, such as purchase premiums and cumulative fair value hedge adjustments.  The ASU does not change the accounting for discounts, which continue to be recognized over the contractual life of a security.
The ASU is effective as of January 1, 2019, but it may be early adopted in any interim or year-end period after issuance. Adoption of the ASU is on a modified retrospective basis through a cumulative effect adjustment to retained earnings as of the beginning of the periodyear of adoption. Citi early adopted the ASU in the second quarter of 2017, with an effective date of January 1, 2017.  Adoption of the ASU didprimarily affected Citi’s available-for-sale (AFS) and held-to-maturity (HTM) portfolios of callable state and municipal securities. The ASU adoption resulted in a net reduction to total stockholders’ equity of $156 million (after tax), effective as of January 1, 2017.  This amount is composed of a reduction of approximately $660 million to retained earnings for the incremental amortization of purchase premiums and cumulative hedge adjustments generated under fair value hedges of these callable debt securities, offset by an increase to AOCI of $504 million related to the cumulative fair value hedge adjustments reclassified to retained earnings for AFS securities.
Financial statements for periods prior to 2017 were not subject to restatement under the provisions of this ASU.  The amortization recorded in each of quarter of 2017 and cumulatively as of each quarter end under the provisions of the ASU was not materially different than the amount that would have a material effect onbeen recorded if the Company’s financial statements.ASU had not been early adopted.

Measuring the Financial Assets and Liabilities of a Consolidated Collateralized Financial EntityAccounting for Stock-Based Compensation
In August 2014,March 2016, the FASB issued ASU No. 2014-13,2016-09, ConsolidationCompensation—Stock Compensation (Topic 810)718): MeasuringImprovements to Employee Share-Based Payment Accounting in order to simplify certain complex aspects of the accounting for income taxes and forfeitures related to employee stock-based compensation. The guidance became effective for Citi beginning on January 1, 2017. Under the new standard, excess tax benefits and deficiencies related to employee stock-based compensation are recognized directly within Income tax expense or benefit in Citi’s Consolidated Statement of Income, rather than within Additional paid-in capital. The impact of this change was not material in the first quarter of 2017 or each subsequent quarterly periods of 2017 as the majority of employees’ deferred stock-based compensation awards are granted within the first quarter of each year, and therefore vest within the first quarter of each year, commensurate with vesting in equal annual installments. For additional information on these receivables and payables, see Note 7 to the Consolidated Financial Statements.
Additionally, as permitted under the new guidance, Citi made an accounting policy election to account for forfeitures of awards as they occur, which represents a change from the previous requirement to estimate forfeitures when recognizing compensation expense. This change resulted in a

cumulative effect adjustment to retained earnings that was not material at January 1, 2017.

Recognition and Measurement of Financial Assets and the Financial Liabilities
In January 2016, the FASB issued ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of a Consolidated Collateralized Financing EntityFinancial Assets and Financial Liabilities, which provides two alternative methods for measuringaddresses certain aspects of recognition, measurement, presentation and disclosure of financial instruments.
This ASU requires entities to present separately in AOCI the portion of the total change in the fair value of a consolidated Collateralized Financing Entity’s (CFE) financial assets and financial liabilities. This election is made separately for each CFE subjectliability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the scope of the ASU. The first method requiresliability at fair value in accordance with the fair value option for financial instruments. It also requires equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the financial assets and liabilitiesinvestee) to be measured usingat fair value with changes in fair value recognized in net income, thus eliminating eligibility for the requirementscurrent available-for-sale category. However, Federal Reserve Bank and Federal Home Loan Bank stock, as well as certain exchange seats, will continue to be presented at cost. The ASU also introduces a measurement alternative for non-marketable equity securities.
Citi early adopted only the provisions of ASC Topic 820, Fair Value Measurements and Disclosures, with any differences betweenthis ASU related to presentation of the change in fair value of liabilities for which the fair value of the financial assets and financial liabilities being attributedoption was elected, related to the CFE and reflectedchanges in earningsCitigroup’s own credit spreads in the consolidated statement of income. The alternative method requires measuring both the financial assets and financial liabilities using the more observable of the fair value of the assets or liabilities. The alternative method would also take into consideration the carrying value of any beneficial interests of the CFE held by the parent, including those representing compensation for services, and the carrying value of any nonfinancial assets held temporarily. The ASU will beAOCI effective for Citi fromJanuary 1, 2016. Accordingly, since the first quarter of 2016, and is not expected tothese amounts have a material effect on the Company.

Accounting for Derivatives: Hybrid Financial Instruments
In November 2014, the FASB issued ASU No. 2014-16, Derivatives and Hedging (Topic 815): Determining Whether the Host Contract in a Hybrid Financial Instrument Issued in the Form of a Share Is More Akin to Debt or to Equity. The ASU will require an entity to evaluate the economic characteristics and risks of an entire hybrid financial instrument issued in the form of a share (including the embedded derivative feature) in order to determine whether the nature of the host contract is more akin to debt or equity. Additionally, the ASU clarifies that no single term or feature would necessarily determine the economic characteristics and risks of the host contract; therefore, an entity should use judgment based on an evaluation of all the relevant terms and features.
This ASU is effective for Citi from the first quarter of 2016 with early adoption permitted. Citi may choose to report the effects of initial adoptionbeen reflected as a cumulative-effect adjustment to retained earnings ascomponent of January 1, 2016 or apply the guidance retrospectively to all prior periods.AOCI, whereas these amounts were previously recognized in Citigroup’s revenues and net income. The


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impact of adopting this ASU isamendment resulted in a cumulative catch-up reclassification from retained earnings to AOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016. Financial statements for periods prior to 2016 were not expectedsubject to be material to Citi.

Accounting for Financial Instruments-Credit Losses
In December 2012,restatement under the FASB issued a proposed ASU, Financial Instruments-Credit Losses. This proposed ASU, or exposure draft, was issued for public comment in order to allow stakeholders the opportunity to review the proposalprovisions of this ASU. For additional information, see Notes 19, 24 and provide comments25 to the FASB andConsolidated Financial Statements. Citi adopted the other provisions of ASU 2016-01 on January 1, 2018. The ASU does not constitute accounting guidance until a final ASU is issued.
The exposure draft contains proposed guidance developed by the FASB with the goal of improving financial reporting about expected credit losses on loans, securities and other financial assets held by financial institutions and other organizations. The exposure draft proposes a new accounting model intended to require earlier recognition of credit losses, while also providing additional transparency about credit risk.
The FASB’s proposed model would utilize an “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity securities and other receivables at the time the financial asset is originated or acquired and adjusted each period for changes in expected credit losses. For available-for-sale securities where fair value is less than cost, impairment would be recognized in the allowance for credit losses and adjusted each period for changes in credit. This would replace the multiple existing impairment models in GAAP, which generally require that a loss be “incurred” before it is recognized.
The FASB’s proposed model representshave a significant departure from existing GAAP, and may result in material changes to the Company’s accounting for financial instruments. The impact of the FASB’s final ASU on the Company’s financial statements will be assessed when it is issued. The exposure draft does not contain a proposed effective date; this would be included in the final ASU, when issued.Consolidated Financial Statements and related disclosures.

Consolidation
In February 2015, the FASB issued ASU No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis, which is intended to improve certain areas of consolidation guidance for legal entities such as limited partnerships, limited liability companies, and securitization structures. The ASU will reduce the number of consolidation models. The ASU will be effective on January 1, 2016. Early adoption is permitted, including adoption in an interim period. The Company is evaluating the effect that ASU 2015-02 will have on its Consolidated Financial Statements.




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2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

Summary of Discontinued Operations
The following DiscontinuedCompany’s discontinued operations are recorded within the Corporate/Other segment.

Sale consisted of Brazil Credicard Business
On December 20, 2013, Citi sold its non-Citibank-branded cards and consumer finance business in Brazil (Credicard) for approximately $1.24 billion.  The sale resulted in a pretax gain of $206 million ($325 million after-tax). In the fourth quarter of 2014, resolution of certain contingenciesresidual activities related to the disposal are reported asIncome (loss) from discontinued operations.sales of the Brazil Credicard is reported as Discontinued operations for all periods presented. Summarized financial information for Discontinued operations for Credicard follows:



In millions of dollars201420132012
Total revenues, net of interest expense(1)
$69
$1,012
$1,045
Income (loss) from discontinued operations$63
$(48)$110
Gain on sale—
206
—
Provision (benefit) for income taxes11
(138)19
Income (loss) from discontinued operations, net of taxes$52
$296
$91

(1)Total revenues include gain or loss on sale, if applicable.

Cash Flows from Discontinued Operations
In millions of dollars201420132012
Cash flows from operating activities$—
$197
$(205)
Cash flows from investing activities—
(207)195
Cash flows from financing activities—
—
16
Net cash provided by discontinued operations$—
$(10)$6

Sale of Certain Citi Capital Advisors Business
During the third quarter of 2012, Citi executed definitive agreements to transition a carve-out of its liquid strategies business within Citi Capital Advisors (CCA). The sale occurred pursuant to two separate transactions in 2013, creating two separate management companies. The first transaction closed in February 2013, and Citigroup retained a 24.9% passive equity interest in the management company (which is held in Citi’s Institutional Clients Group segment). The second transaction closed in August 2013. CCA is reported as Discontinued operations for all periods presented.

Summarized financial information for Discontinued operations for the operations related to CCA follows:
In millions of dollars201420132012
Total revenues, net of interest expense(1)
$—
$74
$60
Income (loss) from discontinued operations$(7)$(158)$(123)
Gain on sale—
62
—
Provision (benefit) for income taxes(3)(30)(44)
Income (loss) from discontinued operations, net of taxes$(4)$(66)$(79)
(1)Total revenues include gain or loss on sale, if applicable.

Cash Flows from Discontinued Operations
In millions of dollars201420132012
Cash flows from operating activities$—
$(43)$(4)
Cash flows from investing activities—
—
4
Cash flows from financing activities—
43
—
Net cash provided by discontinued operations$—
$—
$—



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Sale of Egg Banking plc Credit Card Business in 2011 and the German Retail Banking business in 2008. All discontinued operations results are recorded within Corporate/Other.
In April 2011, Citi completed the sale of the Egg Banking plc (Egg) credit card business. SummarizedThe following summarizes financial information for Discontinued operations for the operations related to Egg follows: all discontinued operations:
In millions of dollars201420132012201720162015
Total revenues, net of interest expense(1)
$5
$—
$1
$—
$—
$—
Income (loss) from discontinued operations$(46)$(62)$(96)$(104)$(80)$(83)
Gain (loss) on sale—
—
(1)
Provision (benefit) for income taxes(16)(22)(34)7
(22)(29)
Income (loss) from discontinued operations, net of taxes$(30)$(40)$(63)
Loss from discontinued operations, net of taxes$(111)$(58)$(54)
(1)Total revenues include gain or loss on sale, if applicable.

Cash flows from Discontinuedfor discontinued operations related to Egg were not material for all periods presented.

Audit of Citi German Consumer Tax Group
Citi sold its German retail banking operations in 2007 and reported them as Discontinued operations. During the third quarter of 2013, German tax authorities concluded their audit of Citi’s German consumer tax group for the years 2005-2008. This resolution resulted in a pretax benefit of $27 million and a tax benefit of $57 million ($85 million total net income benefit) during the third quarter of 2013, all of which was included in Discontinued operations. During 2014, residual costs associated with German retail banking operations resulted in a tax expense of $20 million.

Combined Results for Discontinued Operations
The following is summarized financial information for Credicard, CCA, Egg and previous Discontinued operations for which Citi continues to have minimal residual costs associated with the sales:
In millions of dollars201420132012
Total revenues, net of interest expense(1)
$74
$1,086
$1,106
Income (loss) from discontinued operations$10
$(242)$(109)
Gain on sale—
268
(1)
Provision (benefit) for income taxes12
(244)(52)
Income (loss) from discontinued operations, net of taxes$(2)$270
$(58)

(1)Total revenues include gain or loss on sale, if applicable.

Cash Flows from Discontinued Operations
In millions of dollars201420132012
Cash flows used in operating activities$—
$154
$(209)
Cash flows from investing activities—
(207)199
Cash flows from financing activities—
43
16
Net cash provided by discontinued operations$—
$(10)$6

Significant Disposals
The following salestransactions during 2017, 2016 and 2015 described below were identified as significant disposals, including thedisposals. The major classes of assets and liabilities that were reclassified to held-for-sale within Other assets and Other liabilities onderecognized from the Consolidated Balance Sheet at closing, and the Incomeincome (loss) before taxes (benefits) related to each business.business until the disposal date, are presented below.

Agreement to Sell Japan Retail BankingSale of Mexico Asset Management Business
On December 25, 2014,November 27, 2017, Citi entered into an agreement to sell its Japan retail bankingMexico asset management business, that will be reported aswhich is part of Citi Holdings effective January 1, 2015.Latin America GCB. The transaction is expected to result in a pretax gain on sale at closing, which is anticipated to occur during the second half of 2018, subject to regulatory approvalsapproval and other customary closing conditions, is expected to occur by the fourth quarter of 2015 andconditions. The transaction will also result in an after-tax gain upon completion.derecognition of approximately $72 million of net book value, including $32 million of goodwill. Income before taxes forof the period in which the individually significant componentbusiness was classified as held-for-sale and for all prior periods are as follows:
In millions of dollars201420132012
Income before taxes$(5)$31
$(4)

The following assets and liabilities for the Japan retail banking business were identified and reclassified to held-for-sale within Other assets and Other liabilities on the Consolidated Balance Sheet at December 31, 2014:
In millions of dollarsDecember 31, 2014
Assets 
Cash and deposits with banks$151
Loans (net of allowance of $2 million)544
Goodwill51
Other assets, advances to/from subs19,854
Other assets66
Total assets$20,666
Liabilities 
Deposits$20,605
Other liabilities61
Total liabilities$20,666
In millions of dollars201720162015
Income before taxes$164
$155
$159


Sale of Spain Consumer OperationsFixed Income Analytics and Index Business
On September 22, 2014,August 31, 2017, Citi sold its consumer operations in Spain, which wascompleted the sale of a fixed income analytics business (Yield Book) and a fixed income index business that were part of Markets and Securities Services within Institutional Clients Group (ICG). As part of the sale, Citi Holdings,derecognized total assets of $112 million, including $1.7 billiongoodwill of consumer loans (net of allowance), $3.4 billion of assets under management, $2.2 billion of customer deposits, 45 branches, 48 ATMs and 938 employees, with$72 million, while the buyer assuming the related current pension commitments at closing.derecognized liabilities were $18 million. The transaction generated a pretax gain on sale of $243$580 million ($131355 million after-tax). recorded in Other Revenue in ICG during 2017.
Income before taxes for the period in whichdivested businesses, excluding the individually significant componentpretax gain on sale, was classified as held for sale and for all prior periods are as follows:
In millions of dollars201420132012
Income before taxes$373
$59
$6
In millions of dollars201720162015
Income before taxes$31
$55
$54



Exit of U.S. Mortgage Service Operations
156Citigroup executed agreements during the first quarter of 2017 to effectively exit its direct U.S. mortgage servicing operations by the end of 2018 to intensify focus on originations. The exit of the mortgage servicing operations included the sale of mortgage servicing rights and execution of a subservicing agreement for the remaining Citi-owned loans and certain other mortgage servicing rights. As part of this transaction, Citi has also transferred certain employees.
This transaction, which was part of Corporate/Other, resulted in a pretax loss of $331 million ($207 million after-tax) recorded in Other revenue during 2017. The loss on sale did not include certain other costs and charges related to the disposed operation recorded primarily in Operating expenses during 2017, resulting in a total pretax loss of $382 million. As part of the completed sale, during 2017, Citi derecognized a total of $1,162 million of servicing-related assets, including $1,046 million of mortgage servicing rights, related to approximately 750,000 Fannie Mae and Freddie Mac held loans with outstanding balances of approximately $93 billion. Excluding the loss on sale and the additional charges, income before taxes for the disposed operation was immaterial for 2017, 2016 and 2015.


Sale of GreeceCitiFinancial Canada Consumer OperationsFinance Business
On September 30, 2014,March 31, 2017, Citi sold its consumer operations in Greece,completed the sale of CitiFinancial Canada (CitiFinancial), which werewas part of Corporate/Other, and included 220 retail branches and approximately 1,400 employees. As part of the sale, Citi Holdings,derecognized total assets of approximately $1.9 billion, including $353 million of$1.7 billion consumer loans (net of allowance), and total liabilities of approximately $1.5 billion related to intercompany borrowings, which were settled at closing of the transaction. Separately, during 2017 and prior to closing of the transaction, CitiFinancial settled $0.4 billion of debt issued through loan securitizations. The sale of CitiFinancial generated a pretax gain on sale of $350 million recorded in Other revenue ($178 million after-tax) during 2017.
Income before taxes, excluding the pretax gain on sale, was as follows:
In millions of dollars201720162015
Income before taxes$41
$139
$118

Novation of the Primerica 80% Coinsurance Agreement
Effective January 1, 2016, Citi completed a novation (an
arrangement that extinguishes Citi’s rights and obligations
under a contract) of the Primerica 80% coinsurance
agreement, which was recorded in Corporate/Other, to a third-party re-insurer. The novation resulted in revenues of $404 million recorded in Other revenue ($263 million after-tax) during 2016. Furthermore, the novation resulted in derecognition of $1.5 billion of available-for-sale securities and cash, $0.95 billion of deferred acquisition costs and $2.7 billion of insurance liabilities.
Income before taxes, excluding the revenue upon
novation, was as follows:
In millions of dollars201720162015
Income before taxes$—
$—
$135

Sale of OneMain Financial Business
On November 15, 2015, Citi sold OneMain Financial (OneMain), which was part of Corporate/Other, including 1,100 retail branches, 5,500 employees and approximately 1.3 million customer accounts. OneMain had approximately $10.2 billion of assets, including $7.8 billion of loans (net of allowance), and $1.4 billion of available-for-sale securities. OneMain also had $8.4 billion of liabilities, including $6.2 billion of long-term debt and $1.1 billion of assets under management, $1.2 billion of customer deposits, 20 branches, 85 ATMs and 719 employees, with the buyer assuming certain limited pension obligations related to Diners’ Club’s employees at closing.short-term borrowings. The transaction generated a pretax gain on sale of $209 million$2.6 billion, recorded in Other revenue ($91 million1.6 billion after-tax). in 2015. However, when combined with the loss on redemption of certain long-term debt supporting certain Corporate/Other assets during the fourth quarter of 2015, the resulting net after-tax gain was $0.8 billion.
Income before taxes, forexcluding the periodpretax gain on sale and loss on redemption of debt, was as follows:
In millions of dollars201720162015
Income before taxes$—
$—
$663
Sale of Japan Cards Business
On December 14, 2015, Citi sold its Japan cards business, which was part of Corporate/Other, including $1,350 million of consumer loans (net of allowance), approximately 720,000 customer accounts and 840 employees. The transaction generated a pretax gain on sale of $180 million, recorded in whichOther revenue ($155 million after-tax) in 2015.
Loss before taxes, excluding the individually significant componentpretax gain on sale, was classified as held-for-sale and for all prior periods are as follows:
In millions of dollars201420132012201720162015
Income before taxes$133$(113)$(258)
Loss before taxes$—
$—
$(5)


Sale of Japan Retail Banking Business
On November 1, 2015, Citi sold its Japan retail banking business, which was part of Corporate/Other, including $563 million of consumer loans (net of allowance), $20 billion of deposits, approximately 725,000 customer accounts, 1,600 employees and 32 branches. The transaction generated a pretax gain on sale of $446 million, recorded in Other revenue ($276 million after-tax) in 2015.
Loss before taxes, excluding the pretax gain on sale, was as follows:
In millions of dollars201720162015
Loss before taxes$—
$—
$(57)



157


3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the following business segments: Global Consumer Banking (GCB),and Institutional Clients Group (ICG), . In addition, Corporate/Other includes activities not assigned to a specific business segment as well as certain North America and international loan portfolios, other legacy assets and discontinued operations.
The business segments are determined based on products and services provided or type of customers served, of which those identified as non-core are recorded in Corporate/Other and Citi Holdingsare reflective of how management currently evaluates financial information to make business segments.decisions.
GCB includes a global, full-service consumer franchise delivering a wide array of banking, including commercial banking, credit card lending and investment services through a network of local branches, offices and electronic delivery systems and is composed of fourthree GCB businesses: North America, EMEA, Latin America and Asia(including consumer banking activities in certain EMEA countries).
ICG is composed of Banking and Markets and securities services and provides corporate, institutional, public sector and high-net-worth clients in approximately 10097 countries and jurisdictions with a broad range of banking and financial products and services.
Corporate/Other includes certain unallocated costs of global functions, other corporate expenses and net treasury
results, unallocated corporate expenses, offsets to certain line-item reclassifications and eliminations, the results of certain North America and international legacy loan portfolios, discontinued operations and unallocated taxes.
Citi Holdings is composed of businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses.
The accounting policies of these reportable segments are the same as those disclosed in Note 1 to the Consolidated Financial Statements.
The prior-period balances reflect reclassifications to conform the presentation in thosefor all periods to the current period’s presentation. Effective January 1, 2014, certain business activities within Financial data was reclassified to reflect:

the former Securities and Banking and Transaction Services were realigned and aggregated as Banking and Markets and securities services within ICG. This change was due to the realignmentreporting of the management structure withinremaining businesses and portfolios of assets of Citi Holdings as part of ICGCorporate/Other and did not have an impact on any total segment-level information. In addition, during(prior to the first quarter of 2014, reclassifications were made related to Citi’s re-allocation2017, Citi Holdings was a separately reported business segment);
the re-attribution of certain administrative, operations and technologytreasury-related costs among Citi’s businesses, the allocation of certain costs frombetween Corporate/Other to Citi’s businesses as well as certain immaterial reclassifications between revenues, GCB and expenses affecting ICG.;
the re-attribution of regional revenues within ICG;and
certain other immaterial reclassifications.

Citi’s consolidated results remain unchanged for all periods presented as a result of the changes and reclassifications discussed above.
The following table presents certain information regarding the Company’s continuing operations by segment:

Revenues,
net of interest expense (1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations (2)
Identifiable assets
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes(2)
Income (loss) from
continuing operations(2)(3)
Identifiable assets
In millions of dollars, except identifiable assets in billions2014201320122014201320122014201320122014201320172016201520172016201520172016201520172016
Global Consumer Banking$37,753
$38,165
$39,105
$3,473
$3,424
$3,468
$6,938
$6,763
$7,597
$396
$405
$32,697
$31,519
$32,251
$3,320
$2,655
$3,369
$3,893
$4,954
$6,214
$429
$412
Institutional Clients Group33,267
33,567
30,762
3,729
3,857
2,021
9,521
9,414
7,834
1,020
1,045
35,667
33,227
33,332
7,008
4,260
4,173
9,066
9,525
9,110
1,336
1,277
Corporate/Other47
121
128
(459)(282)(1,093)(5,593)(630)(1,048)329
313
3,085
5,129
10,771
19,060
(471)(102)(19,586)554
2,062
77
103
Total Citicorp$71,067
$71,853
$69,995
$6,743
$6,999
$4,396
$10,866
$15,547
$14,383
$1,745
$1,763
Citi Holdings5,815
4,566
(805)121
(1,132)(4,389)(3,366)(1,917)(6,565)98
117
Total$76,882
$76,419
$69,190
$6,864
$5,867
$7
$7,500
$13,630
$7,818
$1,843
$1,880
$71,449
$69,875
$76,354
$29,388
$6,444
$7,440
$(6,627)$15,033
$17,386
$1,842
$1,792
(1)
Includes Citicorp (excluding Corporate/Other) total revenues, net of interest expense (excluding Corporate/Other), in North America of $32.0$33.9 billion, $31.2$32.2 billion and $29.9$32.2 billion; in EMEA of $10.9$10.7 billion, $11.5$9.9 billion and $11.5$9.8 billion; in Latin America of $13.4$9.4 billion, $14.0$8.9 billion and $13.5$9.7 billion; and in Asia of $14.7$14.4 billion, $15.0$13.7 billion and $15.0$13.9 billion in 2014, 2013,2017, 2016 and 2012,2015, respectively.
(2)
Corporate/Other, GCB and ICG 2017 results include the impact of Tax Reform. See Notes 1 and 9 to the Consolidated Financial Statements.
(3)
Includes pretax provisions (credits) for credit losses and for benefits and claims in the GCB results of $6.1$7.6 billion,, $6.8 $6.4 billion and $6.2$5.5 billion; in the ICG results of $57($15) million, $78$486 million and $276$962 million; and in Citi HoldingsCorporate/Other results of $1.3 billion, $1.6 billion($175) million, $69 million and $4.9$1.5 billion in 2014, 2013,2017, 2016 and 2012,2015, respectively.

158


4.  INTEREST REVENUE AND EXPENSE
For the years ended December 31, 2014, 2013 and 2012Interest revenue and Interest expense consisted of the following:
In millions of dollars201420132012201720162015
Interest revenue  
Loan interest, including fees$44,776
$45,580
$47,712
$41,361
$39,752
$40,510
Deposits with banks959
1,026
1,261
1,635
971
727
Federal funds sold and securities borrowed or purchased under agreements to resell2,366
2,566
3,418
3,248
2,543
2,516
Investments, including dividends7,195
6,919
7,525
8,295
7,582
7,017
Trading account assets(1)
5,880
6,277
6,802
5,502
5,738
5,942
Other interest(2)507
602
580
1,163
1,029
1,839
Total interest revenue$61,683
$62,970
$67,298
$61,204
$57,615
$58,551
Interest expense  
Deposits(2)(3)
$5,692
$6,236
$7,690
$6,586
$5,300
$5,052
Federal funds purchased and securities loaned or sold under agreements to repurchase1,895
2,339
2,817
2,661
1,912
1,612
Trading account liabilities(1)
168
169
190
638
410
217
Short-term borrowings580
597
727
1,059
477
523
Long-term debt5,355
6,836
9,188
5,573
4,412
4,517
Total interest expense$13,690
$16,177
$20,612
$16,517
$12,511
$11,921
Net interest revenue$47,993
$46,793
$46,686
$44,687
$45,104
$46,630
Provision for loan losses6,828
7,604
10,458
7,503
6,749
7,108
Net interest revenue after provision for loan losses$41,165
$39,189
$36,228
$37,184
$38,355
$39,522
(1)
Interest expense on Trading account liabilities of ICG is reported as a reduction of interest revenue from Trading account assets.
(2)
During 2015, interest earned related to assets of significant disposals (primarily OneMain Financial) was reclassified to Other interest.
(3)Includes deposit insurance fees and charges of $1,038$1,249 million, $1,132$1,145 million and $1,262$1,118 million for 2014, 20132017, 2016 and 2012,2015, respectively.


159


5.  COMMISSIONS AND FEES
The primary components of Citi’s Commissions and fees revenue are investment banking fees, trading-related fees, credit card and bank card fees and fees related to treasurytrade and securities services in ICG.and credit card and bank card fees.
Investment banking fees are substantially composed of underwriting and advisory revenues and are recognized when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the closing of thea transaction. Underwriting revenue is recorded in Commissions and fees, net of both reimbursable and non-reimbursable expenses, consistent with the AICPA Audit and Accounting Guide for Brokers and Dealers in Securities (codified in ASC 940-605-05-1). Expenses associated with advisory transactions are recorded in Other operating expenses, net of client reimbursements. Out-of-pocket expenses are deferred and recognized at the time the related revenue is recognized. In general, expenses incurred related to investment banking transactions that fail to close (are not consummated) are recorded gross in Other operating expenses.

Trading-related fees primarily include commissions and fees from the following: executing transactions for clients on



exchanges and over-the-counter markets; salesales of mutual funds insurance and other annuity products; and assisting clients in clearing transactions, providing brokerage services and other such activities. Trading-related fees are recognized when earned in Commissions and fees. Gains or losses, if any, on these transactions are included in Principal transactions (see Note 6 to the Consolidated Financial Statements).
Credit card and bank card fees are primarily composed of interchange revenue and certain card fees, including annual fees, reduced by reward program costs and certain partner payments. Interchange revenue and fees are recognized when earned, including annualearned. Annual card fees that are deferred and amortized on a straight-line basis over a 12-month period. Reward costs are recognized when points are earned by the customers.
Insurance premiums consists of premium income from insurance policies which Citi has underwritten and sold to policyholders. Insurance distribution revenue consists of commissions earned from third party insurance companies for marketing and selling insurance policies on behalf of such entities.
The following table presents Commissions and fees revenue for the years ended December 31:revenue:

In millions of dollars201420132012201720162015
Investment banking$3,687
$3,315
$2,991
$3,613
$2,847
$3,423
Trading-related2,503
2,563
2,331
3,015
2,799
3,138
Trade and securities services1,632
1,564
1,735
Credit cards and bank cards2,227
2,472
2,775
1,510
1,324
1,786
Trade and securities services1,871
1,847
1,733
Other consumer(1)
885
911
908
Corporate finance(1)
713
686
493
Other consumer(2)
703
659
685
Insurance distribution revenue(3)
514
548
621
Insurance premiums (3)
122
288
1,224
Checking-related531
551
615
478
467
497
Corporate finance(2)
531
516
516
Loan servicing380
500
313
312
325
404
Other417
266
402
327
431
479
Total commissions and fees$13,032
$12,941
$12,584
$12,939
$11,938
$14,485
(1)Consists primarily of fees earned from structuring and underwriting loan syndications.
(2)Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card services.
(2)(3)Consists primarilyInsurance premiums were previously separately reported on the Consolidated Statement of fees earned from structuring and underwriting loan syndications.Income.

160


6. PRINCIPAL TRANSACTIONS
Citi’s Principal transactions revenue consists of realized and unrealized gains and losses from trading activities. Trading activities include revenues from fixed income, equities, credit and commodities products and foreign exchange transactions.transactions that are managed on a portfolio basis characterized by primary risk. Not included in the table below is the impact of net interest revenue related to trading activities, which is an integral part of trading activities’ profitability. SeeFor additional information regarding Principal transactions revenue, see Note 4 to the Consolidated Financial Statements for information about net
 
information about net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments on derivatives), FVA (funding valuation adjustments) on over-the-counter derivatives and, prior to 2016, DVA (debt valuation adjustments on issued liabilities for which the fair value option has been elected). These adjustments are discussed further in Note 24 to the Consolidated Financial Statements.
The following table presents principal Principaltransactions revenue for the years ended December 31: revenue:

In millions of dollars201420132012
Global Consumer Banking$787
$863
$808
Institutional Clients Group5,908
6,494
4,330
Corporate/Other(383)(80)(189)
Subtotal Citicorp$6,312
$7,277
$4,949
Citi Holdings386
25
31
Total Citigroup$6,698
$7,302
$4,980
Interest rate contracts(1)
$3,657
$4,055
$2,380
Foreign exchange contracts(2)
2,008
2,307
2,493
Equity contracts(3)
(260)319
158
Commodity and other contracts(4)
590
277
108
Credit products and derivatives(5)
703
344
(159)
Total$6,698
$7,302
$4,980
In millions of dollars201720162015
Global Consumer Banking(1)
$570
$629
$577
Institutional Clients Group7,740
7,335
5,824
Corporate/Other(1)
858
(379)(393)
Total Citigroup$9,168
$7,585
$6,008
Interest rate risks(2)
$5,124
$4,115
$3,798
Foreign exchange risks(3)
2,488
1,726
1,532
Equity risks(4)
491
189
331
Commodity and other risks(5)
294
806
750
Credit products and risks(6)
771
749
(403)
Total$9,168
$7,585
$6,008
(1) Primarily relates to foreign exchange risks.
(1)(2)Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2)(3)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as FXforeign currency translation (FX translation) gains and losses.
(3)(4)Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4)(5)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5)(6)Includes revenues from structured credit products.

161


7. INCENTIVE PLANS
 
Discretionary Annual Incentive Awards
Citigroup grants immediate cash bonus payments deferred cash awards, stock payments and restrictedvarious forms of immediate and deferred stock awards as part of its discretionary annual incentive award program involving a large segment of Citigroup’s employees worldwide. Most of the shares of common stock issued by Citigroup as part of its equity compensation programs are to settle the vesting of the stock components of these awards.
Discretionary annual incentive awards are generally awarded in the first quarter of the year based upon the previous year’s performance. Awards valued at less than U.S. $100,000 (or the local currency equivalent) are generally paid entirely in the form of an immediate cash bonus. Pursuant to Citigroup policy and/or regulatory requirements, certain employees and officers are subject to mandatory deferrals of incentive pay and generally receive 25% to 60% of their awards in a combination of restricted or deferred stock, anddeferred cash stock units, or deferred cash. Discretionary annual incentive awards to many employees in the EU are subject to deferral requirements regardless of the total award value, with 50% of the immediate incentive delivered in the form of a stock payment or stock unit award subject to a restriction on sale or transfer or hold back (generally, for sixtwelve months).
Deferred annual incentive awards are generallymay be delivered as two awards—in the form of one or more award types—a restricted or deferred stock award under Citi’s Capital Accumulation Program (CAP) and, or a deferred cash award.stock unit award and/or a deferred cash award under Citi’s Deferred Cash Award Plan. The applicable mix of CAP and deferred cash awards may vary based on the employee’s minimum deferral requirement and the country of employment. In some cases, the entire deferral will be in the form of either a CAP or deferred cash award.
Subject to certain exceptions (principally, for retirement-eligible employees), continuous employment within Citigroup is required to vest in CAP, deferred cash stock unit and deferred cash awards. Post-employmentPost employment vesting by retirement-eligible employees and participants who meet other conditions is generally conditioned upon their refraining from competition with Citigroup during the remaining vesting period, unless the employment relationship has been terminated by Citigroup under certain conditions.
Generally, the CAP and deferred cash awards vest in equal annual installments over three- or four-year periods. Vested CAP awards are delivered in shares of common stock. Deferred cash awards are payable in cash and, except as prohibited by applicable regulatory guidance, earn a fixed notional rate of interest that is paid only if and when the underlying principal award amount vests. Deferred cash stock unit awards are payable in cash at the vesting value of the underlying stock. Generally, in the EU, vested CAP shares are subject to a restriction on sale or transfer after vesting, and vested deferred cash awards and deferred cash stock units are subject to hold back (generally, for sixtwelve months in each case).
Unvested CAP, deferred cash stock units and deferred cash awards made in January 2011 or later are subject to one or more clawback provisions that apply in certain circumstances, including in the case of employee risk-limit violations or other misconduct, or where the awards were based on earnings that were misstated.gross misconduct. CAP awards made to certain employees in February 2013 and later, and deferred cash stock unit awards, made
to certain employees, in January 2012, are subject to a formulaic performance-based
vesting condition pursuant to which amounts otherwise scheduled to vest will be reduced based on the amount of any pretax loss in the participant’s business in the calendar year preceding the scheduled vesting date. For CAP awards made in February 2013 and later, aA minimum reduction of 20% applies for the first dollar of loss.loss for CAP and deferred cash stock unit awards.
In addition, deferred cash awards made to certain employees in February 2013 and later are subject to a discretionary performance-based vesting condition under which an amount otherwise scheduled to vest may be reduced in the event of a “material adverse outcome” for which a participant has “significant responsibility.” Deferred cashThese awards made to these employees in February 2014 and later are also subject to an additional clawback provision pursuant to which unvested awards may be canceled if the employee engaged in misconduct or exercised materially imprudent judgment, or failed to supervise or escalate the behavior of other employees who did.
Certain CAP and other stock-based awards, including those to participants in the EU that are subject to certain discretionary clawback provisions, are subject to variable accounting, pursuant to which the associated value of the award fluctuates with changes in Citigroup’s common stock price until the date that the award is settled, either in cash or shares. For these awards, the total amount that will be recognized as expense cannot be determined in full until the settlement date.

Compensation Allowances
In 2013 and 2014, certain employees of Citigroup’s U.K. regulated entities were granted fixed allowances, in addition to salary and annual incentive awards. Generally, these cash allowances are payable in equal installments during the service year and the following year or two years. The payments cease if the employee does not continue to meet applicable service or other requirements. The allowance payments are not subject to performance conditions or clawback. Discretionary incentives awarded for performance years 2013 and 2014 to employees receiving allowances were at reduced levels and subject to greater deferral requirements, of up to 100% in some cases.

Sign-on and Long-Term Retention Awards
Stock awards and deferred cash awards and grants of stock options may be made at various times during the year as sign-on awards to induce new hires to join Citi or to high-potential employees as long-term retention awards.
Vesting periods and other terms and conditions pertaining to these awards tend to vary by grant. Generally, recipients must remain employed through the vesting dates to vest in the awards, except in cases of death, disability or involuntary termination other than for “grossgross misconduct.” These awards do not usually provide for post-employment vesting by retirement-eligible participants. Any stock option grants are for Citigroup common stock with exercise prices that are no less than the fair market value at the time of grant.





162


Outstanding (Unvested) Stock Awards
A summary of the status of unvested stock awards granted as discretionary annual incentive or sign-on and long-term retention awards for the 12 months ended December 31, 2014, is presented below:
Unvested stock awardsShares
Weighted-
average grant
date fair
value per share
Unvested at January 1, 201461,136,782
$39.71
New awards17,729,497
49.65
Canceled awards(2,194,893)41.31
Vested awards (1)
(26,666,993)40.94
Unvested at December 31, 201450,004,393
$42.52
Unvested stock awardsShares
Weighted-
average grant
date fair
value per share
Unvested at December 31, 201642,672,176
$43.24
Granted(1)
13,914,752
59.12
Canceled(1,335,297)47.29
Vested(2)
(18,320,591)45.63
Unvested at December 31, 201736,931,040
$47.89

(1)The weighted-average fair value of the shares granted during 2016 and 2015 was $37.35 and $50.33, respectively.
(2)The weighted-average fair value of the shares vesting during 20142017 was approximately $52.02$57.45 per share.
Total unrecognized compensation cost related to unvested stock awards excluding the impact of forfeiture estimates, was $659$530 million at December 31, 2014.2017. The cost is expected to be recognized over a weighted-average period of 0.71.6 years. However, the value of the portion of these awards that is subject to variable accounting will fluctuate with changes in Citigroup’s common stock price.

Performance Share Units
Certain executive officers were awarded a target number of performance share units (PSUs) oneach February 19, 2013,from 2014 to 2017, for performance in 2012, andthe year prior to a broader group of executives on February 18, 2014, and February 18, 2015, for performance in 2013 and 2014, respectively.the award date. For grants prior to 2016, PSUs will be earned only to the extent that Citigroup attains specified performance goals relating to Citigroup’s return on assets and relative total shareholder return against peers over the three-year period beginning with the year of award. The actual dollar amounts ultimately earned could vary from zero, if performance goals are not met, to as much as 150% of target, if performance goals are meaningfully exceeded.
The PSUs granted in February 2016 are earned over a three-year performance period based on Citigroup’s relative total shareholder return as compared to peers. The actual dollar amounts ultimately earned could vary from zero, if performance goals are not met, to as much as 150% of target, if performance goals are meaningfully exceeded.
The PSUs granted in February 2017 are earned over a three-year performance period based half on return on tangible common equity performance in 2019, and the remaining half on cumulative earnings per share over 2017 to 2019.
For the PSUs awarded in 2016 and 2017, if the total shareholder return is negative over the three-year performance period, executives may earn no more than 100% of the target PSUs, regardless of the extent to which Citi outperforms peer firms.
For all award years, the value of each PSU is equal to the value of one share of Citi common stock. TheDividend equivalents will be accrued and paid on the number of earned PSUs after the end of the performance period.
PSUs are subject to variable accounting, pursuant to which the associated value of the award will fluctuate with changes in Citigroup’s stock price and the attainment of the specified performance goals for each award, until itthe award is settled solely in cash after the end of the performance period. The value of the award, subject to the performance goals, is estimated using a simulation model that incorporates multiple valuation assumptions, including the probability of achieving the specified performance goals of each award. The risk-free rate used in the model is based on the applicable U.S. Treasury yield curve. Other significant assumptions for the awards are as follows:
Valuation Assumptions201720162015
Expected volatility25.79%24.37%27.13%
Expected dividend yield1.30%0.40%0.08%











 
A summary of the performance share unit activity for 2017 is presented below:
Performance Share UnitsUnits
Weighted-
average grant
date fair
value per unit
Outstanding, beginning of period1,844,560
$38.22
Granted(1)
500,609
59.22
Canceled(277,546)48.34
Payments(280,897)48.34
Outstanding, end of period1,786,726
$40.94

(1)The weighted-average grant date fair value per unit awarded in 2016 and 2015 was $27.03 and $44.07, respectively.

PSUs granted in 2015 and 2017 were equitably adjusted after the enactment of Tax Reform, as required under the terms of those awards. The adjustments were intended to reproduce the expected value of the awards immediately prior to the passage of Tax Reform.

Stock Option Programs
StockAll outstanding stock options are fully vested with the related expense recognized as a charge to income in prior periods. Generally, the stock options outstanding have not been granted to Citi’s employees as part of the annual incentive award programs since 2009.
On February 14, 2011, Citigroup granteda six-year term, with some stock options exercisable for approximately 2.9 million shares of Citigroup common stock to certain of its executive officers. The options have six-year terms and vested in three equal annual installments. The exercise price of the options is $49.10, equal to the closing price of a share of Citigroup common stock on the grant date. Upon exercise of the options before the fifth anniversary of the grant date, the shares received on exercise (net of the amount required to pay taxes and the exercise price) are subject to a one-yearvarious transfer restriction.
The February 14, 2011, grant is the only priorrestrictions. Cash received from employee stock option grant that was not fully vested by January 1, 2014, and as a result, isexercises under this program for the only grant that resulted in an amount of compensation expense in 2014. All other stock option grants were fully vested atyear ended December 31, 2013, and as a result Citi will not incur any future compensation expense related to those grants.2017 was approximately $14 million.


163


Information with respect to stock option activity under Citigroup’s stock option programs for the years ended December 31, 2014, 2013 and 2012 is as follows:shown below: 
201420132012201720162015
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Options
Weighted-
average
exercise
price
Intrinsic
value
per share
Outstanding, beginning of period31,508,106
$50.72
$1.39
35,020,397
$51.20
$—
37,596,029
$69.60
$—
1,527,396
$131.78
$—
6,656,588
$67.92
$—
26,514,119
$48.00
$6.11
Forfeited(28,257)40.80
—
(50,914)212.35
—
(858,906)83.84
—
Canceled—
—
—
(25,334)40.80
—
(7,901)40.80
—
Expired(602,093)242.43
—
(86,964)528.40
—
(1,716,726)438.14
—
—
—
—
(2,613,909)48.80
—
(1,646,581)40.85
—
Exercised(4,363,637)40.82
11.37
(3,374,413)40.81
9.54
—
—
—
(388,583)43.35
15.67
(2,489,949)49.10
6.60
(18,203,048)41.39
13.03
Outstanding, end of period26,514,119
$48.00
$6.11
31,508,106
$50.72
$1.39
35,020,397
$51.20
$—
1,138,813
$161.96
$—
1,527,396
$131.78
$—
6,656,588
$67.92
$—
Exercisable, end of period26,514,119
 
 
30,662,588
 
 
32,973,444
 
 
1,138,813
  
1,527,396
 
 
6,656,588
 
 


The following table summarizes information about stock options outstanding under Citigroup’s stock option programs at December 31, 2014:2017:
 Options outstandingOptions exercisable Options outstandingOptions exercisable
Range of exercise prices
Number
outstanding
Weighted-average
contractual life
remaining
Weighted-average
exercise price
Number
exercisable
Weighted-average
exercise price
Number
outstanding
Weighted-average
contractual life
remaining
Weighted-average
exercise price
Number
exercisable
Weighted-average
exercise price
$29.70—$49.99 (1)
25,617,659
1.1 years$42.87
25,617,659
$42.87
$50.00—$99.9969,956
6.1 years56.76
69,956
56.76
$39.00—$99.99312,309
3.0 years$43.56
312,309
$43.56
$100.00—$199.99502,416
4.0 years147.13
502,416
147.13
502,416
1.0 year147.13
502,416
147.13
$200.00—$299.99124,088
3.1 years240.28
124,088
240.28
124,088
0.1 years240.28
124,088
240.28
$300.00—$399.99200,000
3.1 years335.50
200,000
335.50
200,000
0.1 years335.50
200,000
335.50
Total at December 31, 201426,514,119
1.2 years$48.02
26,514,119
$48.02
Total at December 31, 20171,138,813
1.3 years$161.96
1,138,813
$161.96
(1)A significant portion of the outstanding options are in the $40 to $45 range of exercise prices.

Profit Sharing Plan
The 2010 Key Employee Profit Sharing Plan (KEPSP) entitled participants to profit-sharing payments calculated with reference to the pretax income of Citicorp (as defined in the KEPSP) over a performance measurement period of January 1, 2010, through December 31, 2013. Generally, if a participant remained employed and all other conditions to vesting and payment were satisfied, the participant became entitled to payment. Payments were made in cash, except for U.K. participants who, pursuant to regulatory requirements, received 50% of their payment in Citigroup common stock that was subject to a six-month sale restriction.
Independent risk function employees were not eligible to participate in the KEPSP, as the independent risk function participates in the determination of whether payouts will be made under the KEPSP. Instead, they were eligible to receive deferred cash retention awards.

Other Variable Incentive Compensation
Citigroup has various incentive plans globally that are used to motivate and reward performance primarily in the areas of sales, operational excellence and customer satisfaction. Participation in these plans is generally limited to employees who are not eligible for discretionary annual incentive awards. Other forms of variable compensation include monthly commissions paid to Financial Advisors and Mortgage Loan Officers.




Summary
Except for awards subject to variable accounting, the total expense recognized for stock awards represents the grant date fair value of such awards, which is generally recognized as a charge to income ratably over the vesting period, other than for awards to retirement-eligible employees and immediately vested awards. Whenever awards are made or are expected to be made to retirement-eligible employees, the charge to income is accelerated based on when the applicable conditions to retirement eligibility were or will be met. If the employee is retirement eligible on the grant date, or the award is vested at grant date, the entire expense is recognized in the year prior to grant.
Recipients of Citigroup stock awards generally do not have any stockholder rights until shares are delivered upon vesting or exercise, or after the expiration of applicable required holding periods. Recipients of restricted or deferred stock awards and deferred cash stock unit awards, however, may, except as prohibited by applicable regulatory guidance,
be entitled to receive dividends or dividend-equivalent payments during the vesting period. Recipients of restricted stock awards generally are entitled to vote the shares in their award during the vesting period. Once a stock award vests, the shares are freely transferable, unless they are subject to a restriction on sale or transfer for a specified period. Pursuant to a stock ownership commitment, certain executives have committed to holding most of their vested shares indefinitely.


164


All equity awards granted since April 19, 2005 have been made pursuant to stockholder-approved stock incentive plans that are administered by the Personnel and Compensation Committee of the Citigroup Board of Directors, which is composed entirely of independent non-employee directors.
At December 31, 2014,2017, approximately 51.639.2 million shares of Citigroup common stock were authorized and available for grant under Citigroup’s 2014 Stock Incentive Plan, the only plan from which equity awards are currently granted.
The 2014 Stock Incentive Plan and predecessor plans permit the use of treasury stock or newly issued shares in connection with awards granted under the plans. Newly issued shares were distributed to settle the vesting of the majority of annual deferred stock awards from 2012 to 2015. Treasury shares were used to settle vestings in January 2012, 2013, 20142016 and 2015.2017, and the first quarter of 2018, except where local laws favor newly issued shares. The use of treasury stock or newly issued shares to settle stock awards does not affect the compensation expense recorded in the Consolidated Statement of Income for equity awards.


Incentive Compensation Cost
The following table shows components of compensation expense, relating to certain of the above incentive compensation programs, recorded during 2014, 2013 and 2012:

programs:
In millions of dollars201420132012201720162015
Charges for estimated awards to retirement-eligible employees$525
$468
$444
$659
$555
$541
Amortization of deferred cash awards, deferred cash stock units and performance stock units311
323
345
354
336
325
Immediately vested stock award expense (1)
51
54
60
70
73
61
Amortization of restricted and deferred stock awards (2)
668
862
864
474
509
461
Option expense1
10
99
Other variable incentive compensation803
1,076
670
694
710
773
Profit sharing plan1
78
246
Total$2,360
$2,871
$2,728
$2,251
$2,183
$2,161
(1)Represents expense for immediately vested stock awards that generally were stock payments in lieu of cash compensation. The expense is generally accrued as cash incentive compensation in the year prior to grant.
(2)All periods include amortization expense for all unvested awards to non-retirement-eligible employees. Amortization is recognized net of estimated forfeitures of awards.

Future Expenses Associated with Outstanding (Unvested) Awards
Citi expects to record compensation expense in future periods as a result of awards granted for performance in 20142017 and years prior.prior years. Because the awards contain service or other conditions that will be satisfied in the future, the expense of these already-granted awards is recognized over those future period(s).periods. The portion of these awards that is subject to variable accounting will cause the expense amount to fluctuate with changes in Citigroup’s common stock price. Citi's expected future expenses, excluding the impact of forfeitures, cancellations,cancelations, clawbacks and repositioning-related accelerations that have not yet occurred, are summarized in the table below. The portion of these awards that is subject to variable accounting will cause the
expense amount to fluctuate with changes in Citigroup’s common stock price.below:
In millions of dollars201520162017
2018 and beyond(1)
Total(2)
Awards granted in 2014 and prior:   
Deferred Stock Awards$357$204$92$6$659
Deferred Cash Awards232
123
51
3
409
Future expense related to awards already granted$589$327$143$9$1,068
Future expense related to awards granted in 2015(3)
$400
$290
$188
$164
$1,042
Total$989$617$331$173$2,110
In millions of dollars201820192020
2021 and beyond(1)
Total
Awards granted in 2017 and prior:   
Deferred stock awards$276
$146
$67
$11
$500
Deferred cash awards170
94
38
8
310
Future expense related to awards already granted$446
$240
$105
$19
$810
Future expense related to awards granted in 2018(2)
$238
$185
$148
$111
$682
Total$684
$425
$253
$130
$1,492

(1)Principally 2018.2021.
(2)
$1.8 billion of which is attributable to ICG.
(3)Refers to awards granted on or about February 16, 2015,15, 2018, as part of Citi's discretionary annual incentive awards for services performed in 2014, and 2015 compensation allowances.2017.


165


8. RETIREMENT BENEFITS

Pension and Postretirement Plans
The Company has several non-contributory defined benefit pension plans covering certain U.S. employees and has various defined benefit pension and termination indemnity plans covering employees outside the United States.U.S.
The U.S. qualified defined benefit plan was frozen effective January 1, 2008 for most employees. Accordingly, no additional compensation-based contributions werehave been credited to the cash balance portion of the plan for existing plan participants after 2007. However, certain employees covered under the prior final pay plan formula continue to accrue benefits. The Company also offers postretirement health care and life insurance benefits to certain eligible U.S. retired employees, as well as to certain eligible employees outside the United States.U.S.
The Company also sponsors a number of non-contributory, nonqualified pension plans. These plans, which are unfunded, provide supplemental defined pension benefits to certain U.S.
employees. With the exception of certain
employees covered under the prior final pay plan formula, the benefits under these plans were frozen in prior years.
InThe plan obligations, plan assets and periodic plan expense for the second quarter of 2013, the Company changed the method of accounting for itsCompany’s most significant pension and postretirement benefit plans (Significant Plans) such that plan obligations, plan assets and periodic plan expense are remeasuredmeasured and disclosed quarterly, instead of annually. The Significant Plans captured approximately 80%90% of the Company’s global pension and postretirement plan obligations as of December 31, 2014.2017. All other plans (All Other Plans) are remeasuredmeasured annually with a December 31 measurement date.

Net (Benefit) Expense
The following table summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s U.S. qualified and nonqualified pension plans and postretirement plans, and pension and postretirement plans, outside the United States, for Significant Plans and All Other Plans, for the years indicated.Plans:


 Pension plans Postretirement benefit plans
 U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
In millions of dollars201420132012 201420132012 201420132012 201420132012
Qualified plans 
 
 
  
 
 
  
 
 
  
 
 
Benefits earned during the year$6
$8
$12
 $178
$210
$199
 $—
$—
$—
 $15
$43
$29
Interest cost on benefit obligation541
538
565
 376
384
367
 33
33
44
 120
146
116
Expected return on plan assets(878)(863)(897) (384)(396)(399) (1)(2)(4) (121)(133)(108)
Amortization of unrecognized 
 
 
  
 
 
  
 
 
  
 
 
Prior service (benefit) cost(3)(4)(1) 1
4
4
 —
(1)(1) (12)—
—
Net actuarial loss105
104
96
 77
95
77
 —
—
4
 39
45
25
Curtailment loss (1)
—
21
—
 14
4
10
 —
—
—
 —
—
—
Settlement (gain) loss (1)
—
—
—
 53
13
35
 —
—
—
 —
(1)—
Special termination benefits (1)
—
—
—
 9
8
1
 —
—
—
 —
—
—
Net qualified plans (benefit) expense$(229)$(196)$(225)
$324
$322
$294
 $32
$30
$43
 $41
$100
$62
Nonqualified plans expense45
46
42
 —
—
—
 —
—
—
 —
—
—
Cumulative effect of change in accounting policy(2)
—
(23)—
 —
—
—
 —
—
—
 —
3
—
Total adjusted net (benefit) expense$(184)$(173)$(183) $324
$322
$294
 $32
$30
$43
 $41
$103
$62
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars201720162015201720162015201720162015201720162015
Benefits earned during the year$3
$4
$6
$153
$154
$168
$—
$—
$—
$9
$10
$12
Interest cost on benefit obligation533
548
581
295
282
317
26
25
33
101
94
108
Expected return on plan assets(865)(886)(893)(299)(287)(323)(6)(9)(3)(89)(86)(105)
Amortization of unrecognized 
 
 
 
 
 
 
 
 
 
 
 
Prior service (benefit) cost2
2
1
(3)(1)2
—
—
—
(10)(10)(11)
Net actuarial loss173
169
148
61
69
73
—
(1)—
35
30
43
Curtailment loss (gain)(1)
6
13
14
—
(2)—
—
—
—
—
—
(1)
Settlement loss (1)
—
—
—
12
6
44
—
—
—
—
—
—
Total net (benefit) expense$(148)$(150)$(143)$219
$221
$281
$20
$15
$30
$46
$38
$46
(1)Losses and gains due to curtailment settlement and special terminationsettlement benefits relate to repositioning and divestiture actions.
(2)Cumulative effect of adopting quarterly remeasurement for Significant Plans.



166
The estimated net actuarial loss and prior service (benefit) cost that will be amortized from Accumulated other comprehensive income (loss) into net expense in 2018 are approximately $241 million and $(2) million, respectively, for defined benefit pension plans.
For postretirement plans, the estimated 2018 net actuarial loss and prior service (benefit) cost amortizations are approximately $28 million and $(9) million, respectively.











Contributions
The Company’s funding practice for U.S. and non-U.S. pension and postretirement plans is generally to fund to minimum funding requirements in accordance with applicable local laws and regulations. The Company may increase its contributions above the minimum required contribution, if appropriate. In addition, management has the ability to change its funding practices. For the U.S. pension plans, there were no required minimum cash contributions for 20142017 or 2013.2016.
 

The following table summarizes the actual Company contributions for the years ended December 31, 20142017 and 2013,2016, as well as estimated expected Company contributions for 2015.2018. Expected contributions are subject to change, since contribution decisions are affected by various factors, such as market performance, tax considerations and regulatory requirements.



Pension plans (1)
 
Postretirement plans (1)
Pension plans(1)
Postretirement benefit plans(1)
U.S. plans (2)
 Non-U.S. plans U.S. plans Non-U.S. plans
U.S. plans(2)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars201520142013 201520142013 201520142013 201520142013201820172016201820172016201820172016201820172016
Cash contributions paid by the Company$—
$100
$—
 $86
$130
$308
 $—
$—
$—
 $77
$6
$251
Contributions made by the Company$—
$50
$500
$79
$90
$82
$—
$140
$—
$4
$4
$4
Benefits paid directly by the Company60
58
51
 47
100
49
 63
56
52
 6
6
5
60
55
56
49
45
44
6
36
6
6
5
5
Total Company contributions$60
$158
$51
 $133
$230
$357
 $63
$56
$52
 $83
$12
$256

(1)PaymentsAmounts reported for 20152018 are expected amounts.
(2)The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans.

The estimated net actuarial loss and prior service cost that will be amortized from Accumulated other comprehensive income (loss) into net expense in 2015 are approximately $245 million and $1 million, respectively, for defined benefit pension plans. For postretirement plans, the estimated 2015 net actuarial loss and prior service cost amortizations are approximately $45 million and $(12) million, respectively.

Funded Status and Accumulated Other Comprehensive Income
The following table summarizestables summarize the funded status and amounts recognized in the Consolidated Balance Sheet for the Company’s U.S. qualified and nonqualified pension plans and postretirement plans, and pension and postretirement plans outside the United States.plans:





Net Amount Recognized
 Pension plans Postretirement benefit plans
In millions of dollarsU.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
 20142013 20142013 20142013 20142013
Change in projected benefit obligation 
 
  
 
  
 
  
 
Qualified plans           
Projected benefit obligation at beginning of year$12,137
$13,268
 $7,194
$7,399
 $780
$1,072
 $1,411
$2,002
Cumulative effect of change in accounting policy(1)
—
(368) —
385
 —
—
 —
81
Benefits earned during the year6
8
 178
210
 —
—
 15
43
Interest cost on benefit obligation541
538
 376
384
 33
33
 120
146
Plan amendments—
—
 2
(28) —
—
 (14)(171)
Actuarial (gain) loss(2)
2,077
(671) 790
(733) 184
(253) 262
(617)
Benefits paid, net of participants’ contributions(701)(661) (352)(296) (91)(85) (93)(64)
Expected government subsidy—
—
 —
—
 11
13
 —
—
Divestitures—
—
 (18)—
 —
—
 (1)—
Settlements—
—
 (184)(57) —
—
 —
(2)
Curtailment (gain) loss—
23
 (58)(2) —
—
 (3)(3)
Special/contractual termination benefits—
—
 9
8
 —
—
 —
—
Foreign exchange impact and other—
—
 (685)(76) —
—
 (170)(4)
Qualified plans$14,060
$12,137
 $7,252
$7,194
 $917
$780
 $1,527
$1,411
Nonqualified plans (3)
779
692
 —
—
 —
—
 —
—
Projected benefit obligation at year end$14,839
$12,829
 $7,252
$7,194

$917
$780
 $1,527
$1,411
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
 20172016201720162017201620172016
Change in projected benefit obligation 
 
 
 
 
 
 
 
Projected benefit obligation at beginning of year$14,000
$13,943
$6,522
$6,534
$686
$817
$1,141
$1,291
Benefits earned during the year3
4
153
154
—
—
9
10
Interest cost on benefit obligation533
548
295
282
26
25
101
94
Plan amendments—
—
4
(28)—
—
—
—
Actuarial loss (gain)536
367
127
589
43
(105)19
3
Benefits paid, net of participants’ contributions and government subsidy(769)(780)(278)(324)(56)(51)(64)(59)
Divestitures—
—
(29)(22)—
—
(4)—
Settlement gain(1)
—
—
(192)(38)—
—
—
—
Curtailment (gain) loss(1)
6
13
(3)(15)—
—
—
(4)
Foreign exchange impact and other(2)
(269)(95)834
(610)—
—
59
(194)
Projected benefit obligation at year end$14,040
$14,000
$7,433
$6,522
$699
$686
$1,261
$1,141

(1)Represents the cumulative effect of adopting quarterly remeasurement for Significant Plans.Curtailment and settlement (gains) losses relate to repositioning and divestiture activities.
(2)2014 amounts forWith respect to the U.S. plans include impact of the adoption of updated mortality tables (see “Mortality Tables” below).Plan, de-risking activities during 2017 resulted in a reduction to plan obligations and assets.

167


(3)These plans are unfunded.
Pension plans Postretirement benefit plansPension plansPostretirement benefit plans
U.S. plans Non-U.S. plans U.S. plans Non-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20142013 20142013 20142013 2014201320172016201720162017201620172016
Change in plan assets 
 
  
 
  
 
  
 
 
 
 
 
 
 
 
 
Qualified plans       
Plan assets at fair value at beginning of year$12,731
$12,656
 $6,918
$7,154
 $32
$50
 $1,472
$1,497
$12,363
$12,137
$6,149
$6,104
$129
$166
$1,015
$1,133
Cumulative effect of change in accounting policy(1)
—
(53) —
126
 —
3
 —
21
Actual return on plan assets941
789
 1,108
(256) 2
(1) 166
(223)1,295
572
462
967
13
8
113
122
Company contributions100
—
 230
357
 56
52
 12
256
105
556
135
126
176
6
9
9
Plan participants’ contributions—
—
 5
6
 51
50
 —
—
Divestitures—
—
 (11)—
 —
—
 —
—
—
—
(31)(5)—
—
—
—
Settlements—
—
 (184)(61) —
—
 —
—
—
—
(192)(38)—
—
—
—
Benefits paid(701)(661) (357)(302) (131)(122) (93)(64)
Foreign exchange impact and other—
—
 (652)(106) —
—
 (173)(15)
Qualified plans$13,071
$12,731
 $7,057
$6,918
 $10
$32
 $1,384
$1,472
Nonqualified plans (2)
—
—
 —
—
 —
—
 —
—
Plan assets at fair value year end$13,071
$12,731
 $7,057
$6,918
 $10
$32
 $1,384
$1,472
Benefits paid, net of participants’ contributions and government subsidy(769)(779)(278)(324)(56)(51)(64)(59)
Foreign exchange impact and other(1)
(269)(123)883
(681)—
—
46
(190)
Plan assets at fair value at year end$12,725
$12,363
$7,128
$6,149
$262
$129
$1,119
$1,015
              
Funded status of the plans              
Qualified plans(3)
$(989)$593
 $(195)$(276) $(907)$(748) $(143)$61
Nonqualified plans (2)
(779)(692) —
—
 —
—
 —
—
Qualified plans(2)
$(565)$(908)$(305)$(373)$(437)$(557)$(142)$(126)
Nonqualified plans(3)
(750)(729)—
—
—
—
—
—
Funded status of the plans at year end$(1,768)$(99) $(195)$(276) $(907)$(748) $(143)$61
$(1,315)$(1,637)$(305)$(373)$(437)$(557)$(142)$(126)
              
Net amount recognized 
 
  
 
  
 
  
 
 
 
 
 
 
 
 
 
Qualified plans       
Qualified plans(3)
       
Benefit asset$—
$593
 $921
$709
 $—
$—
 $196
$407
$—
$—
$900
$711
$—
$—
$181
$166
Benefit liability(989)—
 (1,116)(985) (907)(748) (339)(346)(565)(908)(1,205)(1,084)(437)(557)(323)(292)
Qualified plans$(989)$593
 $(195)$(276) $(907)$(748) $(143)$61
$(565)$(908)$(305)$(373)$(437)$(557)$(142)$(126)
Nonqualified plans (2)
(779)(692) —
—
 —
—
 —
—
Nonqualified plans(750)(729)—
—
—
—
—
—
Net amount recognized on the balance sheet$(1,768)$(99) $(195)$(276) $(907)$(748) $(143)$61
$(1,315)$(1,637)$(305)$(373)$(437)$(557)$(142)$(126)
              
Amounts recognized in Accumulated other comprehensive income (loss)
 
 
  
 
  
 
  
 
  
 
 
 
 
 
 
Qualified plans       
Net transition asset (obligation)$—
$—
 $(1)$(1) $—
$—
 $—
$(1)
Prior service benefit (cost)3
7
 13
(2) —
1
 157
173
Net transition obligation$—
$—
$(1)$(1)$—
$—
$—
$—
Prior service benefit(15)(17)22
29
—
—
92
98
Net actuarial gain (loss)(5,819)(3,911) (1,690)(2,007) (56)129
 (658)(555)(6,823)(6,891)(1,318)(1,302)72
106
(382)(399)
Qualified plans$(5,816)$(3,904) $(1,678)$(2,010) $(56)$130
 $(501)$(383)
Nonqualified plans (2)
(325)(226) —
—
 —
—
 —
—
Net amount recognized in equity - pretax$(6,141)$(4,130) $(1,678)$(2,010) $(56)$130
 $(501)$(383)
Net amount recognized in equity (pretax)$(6,838)$(6,908)$(1,297)$(1,274)$72
$106
$(290)$(301)
              
Accumulated benefit obligation       
Qualified plans$14,050
$12,122
 $6,699
$6,652
 $917
$780
 $1,527
$1,411
Nonqualified plans (2)
771
668
 —
—
 —
—
 —
—
Accumulated benefit obligation at year end$14,821
$12,790
 $6,699
$6,652
 $917
$780
 $1,527
$1,411
$14,034
$13,994
$7,038
$6,090
$699
$686
$1,261
$1,141
(1)RepresentsWith respect to the cumulative effect of adopting quarterly remeasurement for Significant Plans.U.S. Plan, de-risking activities during 2017 resulted in a reduction to plan obligations and assets.
(2)These plans are unfunded.
(3)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act (ERISA) funding rules as of January 1, 20152018 and no minimum required funding is expected for 2015.2018.

168
(3)The nonqualified plans of the Company are unfunded.




The following table shows the change in Accumulated other comprehensive income (loss) related to Citi’sthe Company’s pension, postretirement and postretirement benefit plans (for Significant Plans and All Other Plans) for the years indicated.post employment plans:
In millions of dollars 2014 2013 2012201720162015
      
Beginning of period balance, net of tax (1) (2)
 $(3,989) $(5,270) $(4,282)
Cumulative effect of change in accounting policy(3)
 —
 (22) —
Actuarial assumptions changes and plan experience (4)
 (3,404) 2,380
 (2,400)
Beginning of year balance, net of tax(1)(2)
$(5,164)$(5,116)$(5,159)
Actuarial assumptions changes and plan experience(760)(854)898
Net asset gain (loss) due to difference between actual and expected returns 833
 (1,084) 963
625
400
(1,457)
Net amortizations 202
 271
 214
229
232
236
Prior service credit 13
 360
 —
Curtailment/ settlement loss (5)
 67
 —
 —
Prior service (cost) credit(4)28
(6)
Curtailment/settlement gain(3)
17
17
57
Foreign exchange impact and other 459
 74
 (155)(93)99
291
Impact of Tax Reform(4)
(1,020)—
—
Change in deferred taxes, net 660
 (698) 390
(13)30
24
Change, net of tax $(1,170) $1,281
 $(988)$(1,019)$(48)$43
End of period balance, net of tax (1) (2)
 $(5,159) $(3,989) $(5,270)
End of year balance, net of tax(1)(2)
$(6,183)$(5,164)$(5,116)
(1)
See Note 2019 to the Consolidated Financial Statements for further discussion of net Accumulated other comprehensive income (loss) balance.
(2)Includes net-of-tax amounts for certain profit sharing plans outside the U.S.
(3)Represents the cumulative effect of adopting quarterly remeasurement for Significant Plans.Curtailment and settlement gains broadly relate to repositioning and divestiture activities.
(4)Includes $111 million, $(58) million and $62 millionIn the fourth quarter of actuarial losses (gains) related2017, Citi adopted ASU 2018-02, which transferred these amounts from AOCI to Retained earnings. See Note 1 to the U.S. nonqualified pension plans for 2014, 2013 and 2012, respectively.
(5)Curtailment and settlement losses relate to repositioning actions.Consolidated Financial Statements.



At December 31, 20142017 and 2013, for both qualified and nonqualified pension plans and for both funded and unfunded plans,2016, the aggregate projected benefit obligation (PBO), the aggregate accumulated benefit obligation (ABO), and the aggregate fair value of plan assets are presented for all defined benefit pension plans with a projected benefit obligationPBO in excess of plan assets and for all defined benefit pension plans with an accumulated benefit obligationABO in excess of plan assets as follows:





PBO exceeds fair value of plan assets ABO exceeds fair value plan assetsPBO exceeds fair value of plan assetsABO exceeds fair value of plan assets
U.S. plans (1)
 
Non-U.S. plans(2)
 
U.S. plans (1)
 
Non-U.S. plans(2)
U.S. plans(1)
Non-U.S. plans
U.S. plans(1)
Non-U.S. plans
In millions of dollars20142013 20142013 20142013 2014201320172016201720162017201620172016
Projected benefit obligation$14,839
$692
 $2,756
$2,765
 $14,839
$692
 $2,570
$2,408
$14,040
$14,000
$2,721
$2,484
$14,040
$14,000
$2,596
$2,282
Accumulated benefit obligation14,821
668
 2,353
2,375
 14,821
668
 2,233
2,090
14,034
13,994
2,381
2,168
14,034
13,994
2,296
2,012
Fair value of plan assets13,071
—
 1,640
1,780
 13,071
—
 1,495
1,468
12,725
12,363
1,516
1,399
12,725
12,363
1,407
1,224
(1)At December 31, 2014,2017 and 2016, for both the U.S. qualified plan and nonqualified plans, the aggregate PBO and the aggregate ABO exceeded plan assets. At December 31, 2013, assets for the U.S. qualified plan exceeded both the PBO and ABO. The U.S. nonqualified plans are not funded and thus the PBO and ABO exceeded plan assets as of this date.
(2)At December 31, 2014, the aggregate PBO and the aggregate ABO exceeded the aggregate plan assets for non-U.S. plans. Assets for certain non-U.S. plans exceed both the PBO and ABO and, as such, only the aggregate PBO, ABO, and asset values for underfunded non-U.S. plans are presented in the table above.

At December 31, 2014, combined accumulated benefit obligations for the U.S. and non-U.S. pension plans, excluding U.S. nonqualified plans, were more than plan assets by $0.6 billion. At December 31, 2013, combined accumulated benefit obligations for the U.S. and non-U.S. pension plans, excluding U.S. nonqualified plans, were less than plan assets by $0.9 billion.






169


Plan Assumptions
The Company utilizes a number of assumptions to determine plan obligations and expense.expenses. Changes in one or a combination of these assumptions will have an impact on the Company’s pension and postretirement PBO, funded status and benefit(benefit) expense. Changes in the plans’ funded status resulting from changes in the PBO and fair value of plan assets will have a corresponding impact on Accumulated other comprehensive income (loss).
The actuarial assumptions at the respective years ended December 31 in the table below are used to measure the year-end PBO and the net periodic (benefit) expense for the subsequent year (period).  Since Citi’s Significant Plans are measured on a quarterly basis, the year-end rates for those plans are used to calculate the net periodic (benefit) expense for the subsequent year’s first quarter.  As a result of the quarterly measurement process, the net periodic (benefit) expense for the Significant Plans is calculated at each respective quarter end based on the preceding quarter-end rates (as shown below for the U.S. and non-U.S. pension and postretirement plans). The actuarial assumptions for All Other Plans are measured annually.
Certain assumptions used in determining pension and postretirement benefit obligations and net benefit expense for the Company’s plans are shown in the following table:
At year end2014201320172016
Discount rate  
U.S. plans (1)
  
Qualified pension4.00%4.75%3.60%4.10%
Nonqualified pension3.904.753.604.00
Postretirement3.804.353.503.90
Non-U.S. pension plans (2)
 
Non-U.S. pension plans 
Range1.00 to 32.501.60 to 29.250.00 to 10.200.25 to 72.50
Weighted average4.745.604.174.40
Non-U.S. postretirement plans (2)
  
Range2.25 to 12.003.50 to 11.901.75 to 10.101.75 to 11.05
Weighted average7.508.658.108.27
Future compensation increase rate(1)  
U.S. plans (3)
N/AN/A
Non-U.S. pension plans  
Range1.00 to 30.001.00 to 26.001.17 to 13.671.25 to 70.00
Weighted average3.273.403.083.21
Expected return on assets  
U.S. plans7.007.00
Qualified pension6.806.80
Postretirement(2)
6.80/3.006.80
Non-U.S. pension plans  
Range1.30 to 11.501.20 to 11.500.00 to 11.501.00 to 11.50
Weighted average5.085.684.524.55
Non-U.S. postretirement plans  
Range8.50 to 10.408.50 to 8.908.00 to 9.808.00 to 10.30
Weighted average8.518.508.018.02

(1)Effective April 1, 2013, Citigroup changed to a quarterly remeasurement approachNot material for its Significant Plans, including the U.S. qualified pension and postretirement plans.
For the U.S. qualified pension and postretirement plans, the 2014 rates shown above were utilized to calculate the December 31, 2014 benefit obligation and will be used to determine the 2015 first quarter expense. The 2013 rates shown above were utilized to calculate the December 31, 2013 benefit obligation and used for the 2014 first quarter expense.
For the U.S. nonqualified pension plans, the 2014 rates shown above were utilized to calculate the December 31, 2014 benefit obligation and will be used to determine the 2015 first quarter expense. The 2013 rates shown above were utilized to calculate the December 31, 2013 benefit obligations and were used to determine the expense for 2014.

(2)Effective April 1, 2013, Citigroup changed to a quarterly remeasurement approach for its Significant non-U.S. pension and postretirement plans. For the Significant non-U.S. pension and postretirement plans, the 2014 rates shown above were utilized to calculate the December 31, 2014 benefit obligation and will be used to determine the 2015 first quarter expense. The 2013 rates shown above were utilized to calculate the
December 31, 2013 benefit obligation and the 2014 first quarter expense. For all other non-U.S. pension and postretirement plans, the 2014 rates shown above were utilized to calculate the December 31, 2014 benefit obligations and will be used to determine the expense for 2015. The 2013 rates shown above were utilized to calculate the December 31, 2013 benefit obligations and the expense for 2014.
(3)Since the U.S. qualified pension plan has been frozen, a compensation increase rate applies only to certain small groups of grandfathered employees accruing benefits under a final pay plan formula. Only the future compensation increases for these grandfathered employees will affect future pension expense and obligations. Compensation increase rates for these small groups of participants range from 3.00% to 4.00%.

During the year20142013
Discount rate  
U.S. plans (1)
  
Qualified pension4.75%/4.55%/ 4.25%/ 4.25%3.90%/4.20%/ 4.75%/ 4.80%
Nonqualified pension4.753.90
Postretirement4.35/4.15/3.95/4.003.60/3.60/ 4.40/ 4.30
Non-U.S. pension plans  
Range1.60 to 29.251.50 to 28.00
Weighted average (2)
5.605.24
Non-U.S. postretirement plans  
Range3.50 to 11.903.50 to 10.00
Weighted average (2)
8.657.46
Future compensation increase rate  
U.S. plans (3)
N/AN/A
Non-U.S. pension plans  
Range1.00 to 26.001.20 to 26.00
Weighted average (2)
3.403.93
Expected return on assets  
U.S. plans7.007.00
Non-U.S. pension plans  
Range1.20 to 11.500.90 to 11.50
Weighted average (2)
5.685.76
Non-U.S. postretirement plans  
Range8.50 to 8.908.50 to 9.60
Weighted average (2)
8.508.50
(1)For the U.S. qualified pension and postretirement plans, the 2014 and 2013 rates shown above were utilized to calculate the expense in each of the respective four quarters in 2014 and 2013, respectively. For the U.S. nonqualified pension plans, the 2014 and 2013 rates shown above were utilized to calculate expense for 2014 and 2013, respectively.
(2)ForIn 2017, the Significant non-U.S. plans, the 2014 and 2013 weighted averages shown above reflect the rates utilized to calculate expense in the first quartersVEBA Trust was funded with an expected rate of 2014 and 2013, respectively. For all other non-U.S. plans, the weighted averages shown above reflect the rates utilized to calculate expense for 2014 and 2013, respectively.return of assets of 3.00%.

During the year201720162015
Discount rate   
U.S. plans   
Qualified pension4.10%/4.05%/ 3.80%/3.75%4.40%/3.95%/ 3.65%/3.55%4.00%/3.85%/ 4.45%/4.35%
Nonqualified pension4.00/3.95/ 3.75/3.654.35/3.90/ 3.55/3.453.90/3.70/ 4.30/4.25
Postretirement3.90/3.85/ 3.60/3.554.20/3.75/ 3.40/3.303.80/3.65/ 4.20/4.10
Non-U.S. pension plans(1)
  
Range0.25 to 72.500.25 to 42.001.00 to 32.50
Weighted average4.404.764.74
Non-U.S. postretirement plans(1)
  
Range1.75 to 11.052.00 to 13.202.25 to 12.00
Weighted average8.277.907.50
Future compensation increase rate (2)
 
Non-U.S. pension plans(1)
  
Range1.25 to 70.001.00 to 40.000.75 to 30.00
Weighted average3.213.243.27
Expected return on assets  
U.S. plans


Qualified pension6.807.007.00
Postretirement6.807.007.00
Non-U.S. pension plans(1)
  
Range1.00 to 11.501.60 to 11.501.30 to 11.50
Weighted average4.554.955.08
Non-U.S. postretirement plans(1)
  
Range8.00 to 10.308.00 to 10.708.50 to 10.40
Weighted average8.028.018.51

(1) Reflects rates utilized to determine the first quarter expense for Significant non-U.S. pension and postretirement plans.
(3)(2)Since theNot material for U.S. qualified pension plan has been frozen, a compensation increase rate applies only to certain small groups of grandfathered employees accruing benefits under a final pay plan formula. Only the future compensation increases for these grandfathered employees will affect future pension expense and obligations. Compensation increase rates for these small groups of participants range from 3.00% to 4.00%.plans.



170


Discount Rate
The discount rates for the U.S. pension and postretirement plans were selected by reference to a Citigroup-specific analysis using each plan’s specific cash flows and compared with high-quality corporate bond indices for reasonableness. Citigroup’s policy is to round to the nearest five hundredths of a percent. The discount rates for the non-U.S. pension and postretirement plans are selected by reference to high-quality corporate bond rates in countries that have developed corporate bond markets. However, where developed corporate bond markets do not exist, the discount rates are selected by reference to local government bond rates with a premium added to reflect the additional risk for corporate bonds in certain countries.
Effective December 31, 2017, the established rounding convention was to the nearest 5 bps for the top five non-U.S. countries, and 25 bps for all other countries.

Expected Rate of Return
The Company determines its assumptions for the expected rate of return on plan assets for its U.S. pension and postretirement plans using a “building block” approach, which focuses on ranges of anticipated rates of return for each asset class. A weighted average range of nominal rates is then determined based on target allocations to each asset class. Market performance over a number of earlier years is evaluated covering a wide range of economic conditions to determine whether there are sound reasons for projecting any past trends.
The Company considers the expected rate of return to be a long-term assessment of return expectations and does not anticipate changing this assumption unless there are significant changes in investment strategy or economic conditions. This contrasts with the selection of the discount rate and certain other assumptions, which are reconsidered annually (or quarterly for the Significant Plans) in accordance with GAAP.
The expected rate of return for the U.S. pension and postretirement plans was 6.80% at December 31, 2017 and 2016 and 7.00% at December 31, 2014, 2013 and 2012.2015. The expected return on assets reflects the expected annual appreciation of the plan assets and reduces the Company’s annual pension expense. The expected return on assets is deducted from the sum of service cost, interest cost and other components of pension expense to arrive at the net pension (benefit) expense. Net pension (benefit) expense for the U.S. pension plans for 2014, 20132017, 2016 and 20122015 reflects deductions of $878$865 million, $863$886 million and $897$893 million of expected returns, respectively.
The following table shows the expected rates of return used in determining the Company’s pension expense compared to the actual rate of return on plan assets during 2014, 20132017, 2016 and 20122015 for the U.S. pension and postretirement plans:
 201420132012
Expected rate of return (1)
7.00%7.00%7.50%
Actual rate of return (2)
7.80%6.00%11.00%
 201720162015
Expected rate of return(1)
6.80%/3.00%7.00%7.00%
Actual rate of return(2)
10.904.90(1.70)
(1)Effective December 31, 2012,In 2017, the VEBA Trust was funded for postretirement benefits with an expected rate of return was changed from 7.50% to 7.00%of assets of 3.00%.
(2)Actual rates of return are presented net of fees.

For the non-U.S. pension plans, pension expense for 20142017 was reduced by the expected return of $384$299 million, compared with the actual return of $1,108$462 million. Pension expense for 20132016 and 20122015 was reduced by expected returns of $396$287 million and $399$323 million, respectively. Actual returns were lower in 2013, but higher in 2014 and 2012 than the expected returns in those years.

Mortality Tables
At December 31, 2014,2017, the Company adoptedmaintained the Retirement Plan 2014 (RP-2014) mortality table and adopted the Mortality Projection 2014(MP-2014) mortality tables2017 (MP-2017) projection table for the U.S. plans.
 20142013
Mortality  
U.S. plans (1) (2)
  
PensionRP-2014/MP-2014IRS RP-2000(2014)
PostretirementRP-2014/MP-2014IRS RP-2000(2014)
 U.S. plans
2017(1)
2016(2)
Mortality
PensionRP-2014/MP-2017RP-2014/MP-2016
PostretirementRP-2014/MP-2017RP-2014/MP-2016

(1)The RP-2014 table is the white-collar RP-2014 table. The MP-2017 projection scale is projected from 2006, with convergence to .75% ultimate rate of annual improvement by 2033.
(2)The RP-2014 table is the white-collar RP-2014 table, with a 4% increase in rates to reflect the Citigroup-specific mortality experience.lower life expectancy of Citi plan participants. The MP-2014MP-2016 projection scale includes a phase-outis projected from 2011, with convergence to 0.75% ultimate rate of the assumed rates of improvements from 2015 to 2027.
(2)The IRS mortality table (static version) includes a 7-year projection (from the measurement date) after retirement and 15-year projection (from the measurement date) prior to retirement using Projection Scale AA.annual improvement by 2032.

Adjustments were made to the RP-2014 tables and to the long-term rate of mortality improvement to reflect Citigroup specific experience. As a result, the U.S. qualified and nonqualified pension and postretirement plans’ PBO at December 31, 2014 increased by $1,209 million and its funded status and AOCI decreased by $1,209 million ($737 million, net of tax). In addition, the 2015 qualified and nonqualified pension and postretirement benefit expense is expected to increase by approximately $73 million.





















Sensitivities of Certain Key Assumptions
The following tables summarize the effect on pension expense of a one-percentage-point change in the discount rate:
 One-percentage-point increaseOne-percentage-point increase
In millions of dollars 2014 2013 2012201720162015
U.S. plans $28
 $16
 $18
$29
$31
$26
Non-U.S. plans (39) (52) (48)(27)(33)(32)
       
 One-percentage-point decreaseOne-percentage-point decrease
In millions of dollars 2014 2013 2012201720162015
U.S. plans $(45) $(57) $(36)$(44)$(47)$(44)
Non-U.S. plans 56
 79
 64
41
37
44


171


Since the U.S. qualified pension plan was frozen, the majoritymost of the prospective service cost has been eliminated and the gain/loss amortization period was changed to the life expectancy for inactive participants. As a result, pension expense for the U.S. qualified pension plan is driven more by interest costs than service costs, and an increase in the discount rate would increase pension expense, while a decrease in the discount rate would decrease pension expense.
The following tables summarize the effect on pension expense of a one-percentage-point change in the expected rates of return:
 One-percentage-point increaseOne-percentage-point increase
In millions of dollars 2014 2013 2012201720162015
U.S. plans $(129) $(123) $(120)$(127)$(127)$(128)
Non-U.S. plans (67) (68) (64)(64)(61)(63)
 
 One-percentage-point decreaseOne-percentage-point decrease
In millions of dollars 2014 2013 2012201720162015
U.S. plans $129
 $123
 $120
$127
$127
$128
Non-U.S. plans 67
 68
 64
64
61
63
 
Health Care Cost-TrendCost Trend Rate
Assumed health care cost-trendcost trend rates were as follows:
2014201320172016
Health care cost increase rate for
U.S. plans
   
Following year7.50%8.00%6.50%6.50%
Ultimate rate to which cost increase is assumed to decline5.005.005.005.00
Year in which the ultimate rate is reached(1)
2020202020232023

(1)Weighted average for plans with different following year and ultimate rates.

2014201320172016
Health care cost increase rate for
Non-U.S. plans (weighted average)
  
Following year6.94%6.95%6.87%6.86%
Ultimate rate to which cost increase is assumed to decline6.936.946.876.85
Year in which the ultimate rate is reached20272029
Range of years in which the ultimate rate is reached2018–20192017–2029

 A one-percentage-point change in assumed health care cost-trendcost trend rates would have the following effects:
 
One-percentage-
point increase
 
One-
percentage-
point decrease
In millions of dollars20142013 20142013
Effect on benefits earned and interest cost for U.S. postretirement plans$2
$1
 $(1)$(1)
Effect on accumulated postretirement benefit obligation for U.S. postretirement plans40
24
 (34)(19)
      
 
One-percentage-
point increase
 
One-
percentage-
point decrease
In millions of dollars20142013 20142013
Effect on benefits earned and interest cost for non-U.S. postretirement plans$17
$37
 $(14)$(29)
Effect on accumulated postretirement benefit obligation for non-U.S. postretirement plans197
181
 (161)(137)
 
One-
percentage-
point increase
One-
percentage-
point decrease
In millions of dollars2017201620172016
U.S. plans    
Effect on benefits earned and interest cost for postretirement plans$1
$1
$(1)$(1)
Effect on accumulated postretirement benefit obligation for postretirement plans33
30
(29)(26)
     
 
One-percentage-
point increase
One-
percentage-
point decrease
In millions of dollars2017201620172016
Non-U.S. plans

    
Effect on benefits earned and interest cost for postretirement plans$13
$12
$(10)$(10)
Effect on accumulated postretirement benefit obligation for postretirement plans150
144
(125)(118)












Plan Assets
Citigroup’s pension and postretirement plans’ asset allocations for the U.S. plans at December 31, 2014 and 2013 and the target allocations for 2015 by asset category based on asset fair values, are as follows:
Target asset
allocation
 
U.S. pension assets
at December 31,
 
U.S. postretirement assets
at December 31,
Target asset
allocation
U.S. pension assets
at December 31,
U.S. postretirement assets
at December 31,
Asset category (1)
2015 20142013 2014201320182017201620172016
Equity securities (2)
0 - 30% 20%19% 20%19%0-30%20%18%20%18%
Debt securities(3)25 - 73 44
42
 44
42
25-7248
47
48
47
Real estate0 - 7 4
5
 4
5
0-105
5
5
5
Private equity0 - 10 8
11
 8
11
0-123
4
3
4
Other investments0 - 22 24
23
 24
23
0-3724
26
24
26
Total  100%100% 100%100% 100%100%100%100%
(1)Asset allocations for the U.S. plans are set by investment strategy, not by investment product. For example, private equities with an underlying investment in real estate are classified in the real estate asset category, not private equity.
(2)Equity securities in the U.S. pension and postretirement plans do not include any Citigroup common stock at the end of 20142017 and 2013.2016.

172
(3)In December 2017, Citi contributed $140 million to the VEBA Trust for postretirement benefits, which amount was invested solely in debt securities which are not reflected in the table above.


Third-party investment managers and advisorsadvisers provide their services to Citigroup’s U.S. pension and postretirement plans. Assets are rebalanced as Citi’sthe Company’s Pension Plan Investment Committee deems appropriate. Citigroup’s investment strategy, with respect to its assets, is to maintain a globally diversified investment portfolio across several asset classes that, when combined with Citigroup’s contributions to
the plans, will maintain the plans’ ability to meet all required benefit obligations.
Citigroup’s pension and postretirement plans’ weighted-average asset allocations for the non-U.S. plans and the actual ranges, at the end of 2014 and 2013, and the weighted-average target allocations for 2015 by asset category based on asset fair values, are as follows:
 Non-U.S. pension plans
 
Weighted-average
target asset allocation
 
Actual range
at December 31,
 
Weighted-average
at December 31,
Asset category (1)
2015 20142013 20142013
Equity securities17% 0 - 67%0 - 69% 17%20%
Debt securities78 0 - 1000 - 99 77
72
Real estate1 0 - 210 - 19 —
1
Other investments4 0 - 1000 - 100 6
7
Total100%    100%100%
Non-U.S. postretirement plansNon-U.S. pension plans
Weighted-average
target asset allocation
 
Actual range
at December 31,
 
Weighted-average
at December 31,
Target asset
allocation
Actual range
at December 31,
Weighted-average
at December 31,
Asset category (1)
2015 20142013 2014201320182017201620172016
Equity securities41% 0 - 42%0 - 41% 42%41%0-63%0-67%0–69%15%14%
Debt securities56 54 - 10051 - 100 54
51
0-1000-990–10079
79
Real estate0-180-180–181
1
Other investments3 0 - 40 - 8 4
8
0-1000-1000–1005
6
Total100%   100%100%


100%100%
(1)Similar to the U.S. plans, asset allocations for certain non-U.S. plans are set by investment strategy, not by investment product.

173
 Non-U.S. postretirement plans
 
Target asset
allocation
Actual range
at December 31,
Weighted-average
at December 31,
Asset category(1)
20182017201620172016
Equity securities0-37%0-38%0–38%38%38%
Debt securities58-10058-10057–10058
58
Other investments0-50-40–44
4
Total


100%100%
(1)Similar to the U.S. plans, asset allocations for certain non-U.S. plans are set by investment strategy, not by investment product.




Fair Value Disclosure

For information on fair value measurements, including descriptions of LevelLevels 1, 2 and 3 of the fair value hierarchy and the valuation methodology utilized by the Company, see NoteNotes 1 and Note 2524 to the Consolidated Financial Statements. ASU 2015-07 removed the requirement to categorize within the fair value hierarchy investments for which fair value is measured using the NAV per share practical expedient.
Certain investments may transfer between the fair value hierarchy classifications during the year due to changes in valuation methodology and pricing sources. There were no significant transfers of investments between Level 1 and Level 2 during the years ended December 31, 2014 and 2013.
Plan assets by detailed asset categories and the fair value hierarchy are as follows:
 
U.S. pension and postretirement benefit plans (1)
In millions of dollarsFair value measurement at December 31, 2014
Asset categoriesLevel 1Level 2Level 3Total
Equity securities 
 
 
 
U.S. equity$773
$—
$—
$773
Non-U.S. equity601
—
—
601
Mutual funds214
—
—
214
Commingled funds—
939
—
939
Debt securities 
 
 
 
U.S. Treasuries1,178
—
—
1,178
U.S. agency—
113
—
113
U.S. corporate bonds—
1,533
—
1,533
Non-U.S. government debt—
357
—
357
Non-U.S. corporate bonds—
405
—
405
State and municipal debt—
132
—
132
Hedge funds—
2,462
731
3,193
Asset-backed securities—
41
—
41
Mortgage-backed securities—
76
—
76
Annuity contracts—
—
59
59
Private equity—
—
1,631
1,631
Derivatives12
637
—
649
Other investments—
101
260
361
Total investments at fair value$2,778
$6,796
$2,681
$12,255
Cash and short-term investments$111
$1,287
$—
$1,398
Other investment receivables—
28
35
63
Total assets$2,889
$8,111
$2,716
$13,716
Other investment liabilities$(17)$(618)$—
$(635)
Total net assets$2,872
$7,493
$2,716
$13,081
 
U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2017
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities

$726
$—
$—
$726
Non-U.S. equities

926
—
—
926
Mutual funds

271
—
—
271
Commingled funds

—
1,184
—
1,184
Debt securities

1,381
3,080
—
4,461
Annuity contracts—
—
1
1
Derivatives11
323
—
334
Other investments—
—
22
22
Total investments$3,315
$4,587
$23
$7,925
Cash and short-term investments$257
$1,004
$—
$1,261
Other investment liabilities(60)(343)—
(403)
Net investments at fair value$3,512
$5,248
$23
$8,783
Other investment receivables redeemed at NAV   $16
Securities valued at NAV   4,189
Total net assets   $12,988
(1)The investments of the U.S. pension and postretirement benefit plans are commingled in one trust. At December 31, 2014,2017, the allocable interests of the U.S. pension and postretirement benefit plans were 99.9%99.0% and 0.1%1.0%, respectively. In 2017, the VEBA Trust was funded for postretirement benefits.

174


 
U.S. pension and postretirement benefit plans (1)
In millions of dollarsFair value measurement at December 31, 2013
Asset categoriesLevel 1Level 2Level 3Total
Equity securities 
 
 
 
U.S. equity$793
$—
$—
$793
Non-U.S. equity442
—
—
442
Mutual funds203
—
—
203
Commingled funds—
977
—
977
Debt securities 
 
 
 
U.S. Treasuries1,112
—
—
1,112
U.S. agency—
91
—
91
U.S. corporate bonds—
1,387
—
1,387
Non-U.S. government debt—
349
—
349
Non-U.S. corporate bonds—
398
—
398
State and municipal debt—
137
—
137
Hedge funds—
2,132
1,126
3,258
Asset-backed securities—
61
—
61
Mortgage-backed securities—
64
—
64
Annuity contracts—
—
91
91
Private equity—
—
2,106
2,106
Derivatives8
601
—
609
Other investments—
29
150
179
Total investments at fair value$2,558
$6,226
$3,473
$12,257
Cash and short-term investments$107
$957
$—
$1,064
Other investment receivables—
49
52
101
Total assets$2,665
$7,232
$3,525
$13,422
Other investment liabilities$(9)$(650)$—
$(659)
Total net assets$2,656
$6,582
$3,525
$12,763
 
U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2016
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities

$639
$—
$—
$639
Non-U.S. equities

773
—
—
773
Mutual funds

216
—
—
216
Commingled funds—
866
—
866
Debt securities1,297
2,845
—
4,142
Annuity contracts—
—
1
1
Derivatives8
543
—
551
Other investments—
—
4
4
Total investments$2,933
$4,254
$5
$7,192
Cash and short-term investments$116
$1,239
$—
$1,355
Other investment liabilities(106)(553)—
(659)
Net investments at fair value$2,943
$4,940
$5
$7,888
Other investment receivables redeemed at NAV   $100
Securities valued at NAV    4,504
Total net assets   $12,492
(1)The investments of the U.S. pension and postretirement benefit plans are commingled in one trust. At December 31, 2013,2016, the allocable interests of the U.S. pension and postretirement benefit plans were 99.7%99.0% and 0.3%1.0%, respectively.

175


Non-U.S. pension and postretirement benefit plansNon-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2014Fair value measurement at December 31, 2017
Asset categoriesLevel 1 Level 2 Level 3 TotalLevel 1Level 2Level 3Total
Equity securities 
  
  
  
U.S. equity$6
 $15
 $—
 $21
Non-U.S. equity86
 271
 45
 402
U.S. equities$4
$12
$—
$16
Non-U.S. equities103
122
1
226
Mutual funds207
 3,334
 —
 3,541
3,098
74
—
3,172
Commingled funds10
 25
 —
 35
24
—
—
24
Debt securities 
  
  
  3,999
1,555
7
5,561
U.S. corporate bonds—
 357
 —
 357
Non-U.S. government debt3,293
 246
 1
 3,540
Non-U.S. corporate bonds103
 811
 5
 919
Hedge funds—
 —
 10
 10
Mortgage-backed securities—
 1
 —
 1
Real estate—
3
1
4
Annuity contracts—
 1
 32
 33
—
1
9
10
Derivatives11
 —
 —
 11
1
3,102
—
3,103
Other investments7
 13
 163
 183
1
—
214
215
Total investments at fair value$3,723
 $5,074
 $256
 $9,053
Total investments$7,230
$4,869
$232
$12,331
Cash and short-term investments$112
 $2
 $—
 $114
$119
$3
$—
$122
Total assets$3,835
 $5,076
 $256
 $9,167
Other investment liabilities$(3) $(723) $—
 $(726)(2)(4,220)—
(4,222)
Net investments at fair value$7,347
$652
$232
$8,231
Securities valued at NAV  $16
Total net assets$3,832
 $4,353
 $256
 $8,441
 $8,247
 
Non-U.S. pension and postretirement benefit plansNon-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2013Fair value measurement at December 31, 2016
Asset categoriesLevel 1 Level 2 Level 3 TotalLevel 1Level 2Level 3Total
Equity securities 
  
  
  
U.S. equity$6
 $13
 $—
 $19
Non-U.S. equity117
 292
 49
 458
U.S. equities$4
$11
$—
$15
Non-U.S. equities87
174
1
262
Mutual funds257
 3,593
 —
 3,850
2,345
406
—
2,751
Commingled funds7
 22
 —
 29
22
—
—
22
Debt securities 
  
  
  3,406
1,206
7
4,619
U.S. corporate bonds—
 392
 —
 392
Non-U.S. government debt2,547
 232
 —
 2,779
Non-U.S. corporate bonds107
 780
 5
 892
Hedge funds—
 —
 11
 11
Mortgage-backed securities3
 1
 —
 4
Real estate—
3
1
4
Annuity contracts—
 1
 32
 33
—
1
8
9
Derivatives42
 —
 —
 42
—
43
—
43
Other investments7
 12
 202
 221
1
—
187
188
Total investments at fair value$3,093
 $5,338
 $299
 $8,730
Total investments$5,865
$1,844
$204
$7,913
Cash and short-term investments$92
 $4
 $—
 $96
$116
$2
$—
$118
Total assets$3,185
 $5,342
 $299
 $8,826
Other investment liabilities$—
 $(436) $—
 $(436)(1)(960)—
(961)
Net investments at fair value$5,980
$886
$204
$7,070
Securities valued at NAV  $92
Total net assets$3,185
 $4,906
 $299
 $8,390
 $7,162

176



Level 3 Roll ForwardRollforward
The reconciliations of the beginning and ending balances during the year for Level 3 assets are as follows:
In millions of dollarsU.S. pension and postretirement benefit plansU.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2013
 Realized gains (losses) Unrealized gains (losses) Purchases, sales, and issuances Transfers in and/or out of Level 3 Ending Level 3 fair value at Dec. 31, 2014
Beginning Level 3 fair value at
Dec. 31, 2016
Realized gains (losses)Unrealized gains (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2017
Hedge funds$1,126
 $63
 $(25) $(264) $(169) $731
Annuity contracts91
 —
 (1) (31) —
 59
$1
$—
$—
$—
$—
$1
Private equity2,106
 241
 (187) (529) —
 1,631
Other investments150
 (1) (5) 109
 7
 260
4




18
—
22
Total investments$3,473
 $303
 $(218) $(715) $(162) $2,681
$5
$—
$—
$18
$—
$23
Other investment receivables52
 —
 —
 (17) —
 35
Total assets$3,525
 $303
 $(218) $(732) $(162) $2,716

In millions of dollarsU.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2015
Realized gains (losses)Unrealized gains (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2016
Annuity contracts$25
$—
$(3)$(21)$—
$1
Other investments149
8
(10)(143)—
4
U.S. equities—
(2)2
—
—
—
Total investments$174
$6
$(11)$(164)$—
$5

 
In millions of dollarsU.S. pension and postretirement benefit plansNon-U.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2012
 Realized gains (losses) Unrealized gains (losses) Purchases, sales, and issuances Transfers in and/or out of Level 3 Ending Level 3 fair value at Dec. 31, 2013Beginning Level 3 fair value at Dec. 31, 2016Unrealized gains (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2017
Hedge funds$1,524
 $45
 $69
 $19
 $(531) $1,126
Non-U.S. equities$1
$—
$—
$—
$1
Debt securities7
—
—
—
7
Real estate1
—
—
—
1
Annuity contracts130
 —
 (9) (33) 3
 91
8
1
—
—
9
Private equity2,419
 264
 (10) (564) (3) 2,106
Other investments142
 —
 7
 8
 (7) 150
187
31
(4)—
214
Total investments$4,215
 $309
 $57
 $(570) $(538) $3,473
$204
$32
$(4)$—
$232
Other investment receivables24
 —
 —
 28
 —
 52
Total assets$4,239
 $309
 $57
 $(542) $(538) $3,525


 In millions of dollarsNon-U.S. pension and postretirement benefit plans
          
Asset categoriesBeginning Level 3 fair value at Dec. 31, 2013 Unrealized gains (losses) Purchases, sales, and issuances Transfers in and/or out of Level 3 Ending Level 3 fair value at Dec. 31, 2014
Equity securities 
  
  
  
  
Non-U.S. equity$49
 $(3) $—
 $(1) $45
Debt securities 
  
  
  
  
Non-U.S. government debt—
 —
 —
 1
 1
Non-U.S. corporate bonds5
 —
 1
 (1) 5
Hedge funds11
 (1) —
 —
 10
Annuity contracts32
 —
 —
 —
 32
Other investments202
 (1) (33) (5) 163
Total investments$299
 $(5) $(32) $(6) $256
Cash and short-term investments—
 —
 —
 —
 —
Total assets$299
 $(5) $(32) $(6) $256
 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2015
Unrealized gains (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2016
Non-U.S. equities$47
$(3)$(2)$(41)$1
Debt securities5
—
2
—
7
Real estate1
—
—
—
1
Annuity contracts8
—
—
—
8
Other investments196
—
(9)—
187
Total investments$257
$(3)$(9)$(41)$204

177




 In millions of dollarsNon-U.S. pension and postretirement benefit plans
          
Asset categoriesBeginning Level 3 fair value at Dec. 31, 2012 Unrealized gains (losses) Purchases, sales, and issuances Transfers in and/or out of Level 3 Ending Level 3 fair value at Dec. 31, 2013
Equity securities 
  
  
  
  
Non-U.S. equity$48
 $5
 $—
 $(4) $49
Debt securities 
  
  
  
  
Non-U.S. government bonds4
 —
 —
 (4) —
Non-U.S. corporate bonds4
 (1) 2
 —
 5
Hedge funds16
 1
 (6) —
 11
Annuity contracts6
 3
 (1) 24
 32
Other investments219
 —
 3
 (20) 202
Total investments$297
 $8
 $(2) $(4) $299
Cash and short-term investments3
 —
 —
 (3) —
Total assets$300
 $8
 $(2) $(7) $299

Investment Strategy
The Company’s global pension and postretirement funds’ investment strategies arestrategy is to invest in a prudent manner for the exclusive purpose of providing benefits to participants. The investment strategies are targeted to produce a total return that, when combined with the Company’s contributions to the funds, will maintain the funds’ ability to meet all required benefit obligations. Risk is controlled through diversification of asset types and investments in domestic and international equities, fixed-incomefixed income securities and cash and short-term investments. The target asset allocation in most locations outside the U.S. is primarily in equity and debt securities. These allocations may vary by geographic region and country depending on the nature of applicable obligations and various other regional considerations. The wide variation in the actual range of plan asset allocations for the funded non-U.S. plans is a result of differing local statutory requirements and economic conditions. For example, in certain countries local law requires that all pension plan assets must be invested in fixed-incomefixed income investments, government funds or local-country securities.
 
Significant Concentrations of Risk in Plan Assets
The assets of the Company’s pension plans are diversified to limit the impact of any individual investment. The U.S. qualified pension plan is diversified across multiple asset classes, with publicly traded fixed income, hedge funds, publicly traded equity and private equity representing the most significant asset allocations. Investments in these four asset classes are further diversified across funds, managers, strategies, vintages, sectors and geographies, depending on the specific characteristics of each asset class. The pension assets for the Company’s non U.S.non-U.S. Significant Plans are primarily invested in publicly traded fixed income and publicly traded equity securities.
 

Oversight and Risk Management Practices
The framework for the Company’s pensionspension oversight process includes monitoring of retirement plans by plan fiduciaries and/or management at the global, regional or country level, as appropriate. Independent risk managementRisk Management contributes to the risk oversight and monitoring for the Company’s U.S. qualified pension plan and non-U.S.Significantnon-U.S. Significant Pension Plans. Although the specific components of the oversight process are tailored to the requirements of each region, country and plan, the following elements are common to the Company’s monitoring and risk management process:
 
periodic asset/liability management studies and strategic asset allocation reviews;
periodic monitoring of funding levels and funding ratios;
periodic monitoring of compliance with asset allocation guidelines;
periodic monitoring of asset class and/or investment manager performance against benchmarks; and
periodic risk capital analysis and stress testing.


178


Estimated Future Benefit Payments 
The Company expects to pay the following estimated benefit payments in future years:
 Pension plans Postretirement benefit plans
In millions of dollarsU.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
2015$835
 $368
 $73
 $65
2016860
 339
 72
 70
2017868
 366
 71
 75
2018882
 383
 70
 81
2019900
 413
 68
 88
2020—20244,731
 2,452
 317
 574
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
2018$787
$432
$61
$65
2019814
398
60
70
2020846
425
59
75
2021864
434
58
81
2022876
457
56
87
2023–20274,480
2,532
248
532

Prescription Drugs
In December 2003, the Medicare Prescription Drug Improvement and Modernization Act of 2003 (Act of 2003) was enacted. The Act of 2003 established a prescription drug benefit under Medicare known as “Medicare Part D,” and a federal subsidy to sponsors of U.S. retiree health care benefit plans that provide a benefit that is at least actuarially equivalent to Medicare Part D. The benefits provided to certain participants are at least actuarially equivalent to Medicare Part D and, accordingly, the Company is entitled to a subsidy.
The subsidy reduced the accumulated postretirement benefit obligation (APBO) by approximately $4 million and $5 million as of December 31, 20142017 and $4 million as of December 31, 20132016, respectively, and the postretirement expense by approximately $0.1 million and $0.2 million for 2017 and $3 million for 2014 and 2013,2016, respectively. The reduction in the impact on expense was due to the Company’s adoption of the Employee Group Waiver Plan during 2013, as described below.
The following table shows the estimated future benefit payments without the effect of the subsidy and the amounts of the expected subsidy in future years:
 
Expected U.S.
postretirement benefit payments
In millions of
dolalrs
Before 
Medicare
Part D subsidy
Medicare
Part D subsidy
After Medicare
Part D subsidy
2015$73
$—
$73
201672
—
72
201771
—
71
201870
—
70
201968
—
68
2020—2024319
2
317
Certain provisions of the Patient Protection and Affordable Care Act of 2010 improved the Medicare Part D option known as the Employer Group Waiver Plan (EGWP) with respect to the Medicare Part D subsidy. The EGWP provides prescription

drug benefits that are more cost effective for Medicare-eligible participants and large employers. Effective April 1, 2013, the Company began sponsoring and implementing an EGWP for eligible retirees. The Company
subsidy received under the EGWP during 2014for 2017 and 20132016 was $11.0$15.0 million and $10.5$12.9 million, respectively.
The other provisions of the Act of 2010 are not expected to have a significant impact on Citigroup’s pension and postretirement plans.

PostemploymentPost Employment Plans
The Company sponsors U.S. postemploymentpost employment plans that provide income continuation and health and welfare benefits to certain eligible U.S. employees on long-term disability.
As of December 31, 20142017 and 2013,2016, the plans’ funded status recognized in the Company’s Consolidated Balance Sheet was $(256)$(46) million and $(252)$(157) million, respectively. The pre-tax amounts recognized in Accumulated other comprehensive income (loss) as of December 31, 20142017 and 20132016 were $24$3 million and $46$34 million, respectively. Effective January 1, 2014,The improvement in funded status as of December 31, 2017 was primarily due to the Company made changes to its postemployment plans that limitCompany’s funding of the period for which future disabled employees are eligible for continued company subsidized medical benefits.VEBA Trust during 2017.
The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. postemployment plans.post employment plans:
 Net expense
In millions of dollars2014 2013 2012
Service related expense 
  
  
Service cost$—
 $20
 $22
Interest cost5
 10
 13
Prior service cost (benefit)(31) (3) 7
Net actuarial loss14
 17
 13
Total service related expense$(12) $44
 $55
Non-service related expense (benefit)$37
 $(14) $24
Total net expense$25
 $30
 $79
 Net expense
In millions of dollars201720162015
Service related expense 
 
 
Interest cost on benefit obligation$2
$3
$4
Amortization of unrecognized   
   Prior service (benefit) cost(31)(31)(31)
   Net actuarial loss2
5
12
Total service related benefit$(27)$(23)$(15)
Non-service related expense$30
$21
$3
Total net expense (benefit)$3
$(2)$(12)


179


The following table summarizes certain assumptions used in determining the postemploymentpost employment benefit obligations and net benefit expensesexpense for the Company’s U.S. postemployment plans.post employment plans: 
2014201320172016
Discount rate3.45%4.05%3.20%3.40%
Expected return on assets(1)
3.00N/A
Health care cost increase rate    
Following year7.50%8.00%6.506.50
Ultimate rate to which cost increase is assumed to decline5.005.005.005.00
Year in which the ultimate rate is reached2020202020232023

1)In 2017, the VEBA Trust was funded with an expected rate of return of assets of 3.00%.
Early Retiree Reinsurance ProgramN/A Not applicable
The Company participates in the Early Retiree Reinsurance Program (ERRP), which provides federal government reimbursement to eligible employers to cover a portion of the health benefit costs associated with early retirees. Of the $8 million the Company received in reimbursements, approximately $3 million and $5 million were used to reduce the health benefit costs for certain eligible employees for the years ended December 31, 2013 and 2012, respectively.
Defined Contribution Plans
The Company sponsors defined contribution plans in the U.S. and in certain non-U.S. locations, all of which are administered in accordance with local laws. The most significant defined contribution plan is the Citi Retirement Savings Plan (formerly known as the Citigroup
401(k) PlanPlan) sponsored by the Company in the U.S.
Under the Citigroup 401(k)Citi Retirement Savings Plan, eligible U.S. employees received matching contributions of up to 6% of their eligible compensation for 20142017 and 2013,2016, subject to statutory limits. Additionally, for eligible employees whose eligible compensation is $100,000 or less, a fixed contribution of up to 2% of eligible compensation is provided. All Company contributions are invested according to participants’ individual elections. The pretax expense associated with this plan amounted to approximately $383 million, $394 million and $384 million in 2014, 2013 and 2012, respectively.


following table summarizes the Company contributions for the defined contribution plans:


 U.S. plans
In millions of dollars201720162015
Company contributions$383
$371
$380
    
 Non-U.S. plans
In millions of dollars201720162015
Company contributions$270
$268
$282



180


9. INCOME TAXES

Details of the Company’s income tax provision for the years ended December 31 are presented in the table below:

Income TaxesTax Provision
In millions of dollars201420132012201720162015
Current 
 
 
 
 
 
Federal$181
$(260)$(71)$332
$1,016
$861
Foreign3,281
3,788
3,869
Non-U.S.3,910
3,585
3,397
State388
(41)300
269
384
388
Total current income taxes$3,850
$3,487
$4,098
$4,511
$4,985
$4,646
Deferred 
 
 
 
 
 
Federal$2,184
$2,550
$(4,943)$24,902
$1,280
$3,019
Foreign361
(716)900
Non-U.S.(377)53
(4)
State469
546
(48)352
126
(221)
Total deferred income taxes$3,014
$2,380
$(4,091)$24,877
$1,459
$2,794
Provision (benefit) for income tax on continuing operations before non-controlling interests (1)
$6,864
$5,867
$7
Provision for income tax on continuing operations before non-controlling interests(1)
$29,388
$6,444
$7,440
Provision (benefit) for income taxes on discontinued operations12
(244)(52)7
(22)(29)
Provision (benefit) for income taxes on cumulative effect of accounting changes—
—
(58)
Income tax expense (benefit) reported in stockholders’ equity related to: 
 
 
 
 
 
Foreign currency translation65
(48)(709)
FX translation188
(402)(906)
Investment securities1,007
(1,300)369
(149)59
(498)
Employee stock plans(87)28
265
(4)13
(35)
Cash flow hedges207
625
311
(12)27
176
Benefit plans(660)698
(390)13
(30)(24)
FVO DVA(250)(201)—
Retained earnings(2)
(353)—
—
(295)—
—
Income taxes before non-controlling interests$7,055
$5,626
$(257)$28,886
$5,888
$6,124
(1)Includes the effect of securities transactions and other-than-temporary-impairment losses resulting in a provision (benefit) of $200$272 million and $(148)$(22) million in 2014, $2622017, $332 million and $(187)$(217) million in 20132016 and $1,138$239 million and $(1,740)$(93) million in 2012,2015, respectively.
(2)
Reflects the tax effect of the accounting change for ASU 2017-08, “Premium Amortization on Purchased Callable Debt Securities”.  See “Consolidated Statement of Changes in Stockholders’ Equity” above.Note 1 to the Consolidated Financial Statements. 

 
 
Tax Rate
The reconciliation of the federal statutory income tax rate to the Company’s effective income tax rate applicable to income from continuing operations (before non-controlling interests and the cumulative effect of accounting changes) for each of the years ended December 31 wasperiods indicated is as follows:
201420132012201720162015
Federal statutory rate35.0 %35.0 %35.0 %35.0 %35.0 %35.0 %
State income taxes, net of federal benefit3.5
1.7
3.0
1.1
1.8
1.7
Foreign income tax rate differential(0.9)(2.2)(4.6)
Non-U.S. income tax rate differential(1.6)(3.6)(4.6)
Audit settlements (1)
(2.4)(0.6)(11.8)—
(0.6)(1.7)
Effect of tax law changes(2)
1.2
(0.3)(0.1)99.7
—
0.4
Nondeductible legal and related expenses18.7
0.8
0.2
Basis difference in affiliates(2.5)—
(9.2)(2.1)(0.1)—
Tax advantaged investments(5.2)(4.2)(12.4)(2.2)(2.4)(1.8)
Other, net0.4
(0.1)—
(0.8)(0.1)1.0
Effective income tax rate47.8 %30.1 %0.1 %129.1 %30.0 %30.0 %
(1)For 2014,2016, primarily relates to the conclusion of the audit of various issues in the Company’s 2009-2011 U.S. federal tax audit and the conclusion of a New York State taxan IRS audit for 2006-2008.2012–2013. For 2013,2015, primarily relates to the settlement of U.S. federal issues for 2003-2005 at IRS appeals. For 2012, relates to the conclusion of the audit of various issues in the Company’s 2006-2008 U.S. federal tax audits and the conclusion of a New York City tax audit for 2006-2008.2009–2011.
(2)
For 2014,2017, includes the $22,594 million charge for Tax Reform. For 2015, includes the results of corporate tax reforms enacted in New York City and South Dakotaseveral states, which resulted in a DTA charge of approximately $210 million.$101 million.
 
As set forth in the table above, Citi’s effective tax rate for 20142017 was 47.8%, which included a tax benefit129.1% (29.8% before the effect of $347 million forTax Reform, about the resolution of certain tax items during the year. This was higher thansame as the effective tax rate for 2013 of 30.1% due primarily to the effect of the level of non-deductible legal and related expenses on the comparably lower level of pretax income in 2014. Also included in 2013 is a $127 million tax benefit related to the resolution of certain tax audit items during that year.2016).
In addition, as previously disclosed, during 2013, Citi decided that earnings in certain foreign subsidiaries would no longer be indefinitely reinvested outside the U.S. (as asserted under ASC 740, Income Taxes). This decision increased Citi’s 2014 and 2013 tax provisions on these foreign subsidiary earnings to the higher U.S. tax rate and thus increased Citi’s effective tax rate for 2014 and 2013 and reduced its after-tax earnings. For additional information on Citi’s foreign earnings, see “Foreign Earnings” below.



181


Deferred Income Taxes
Deferred income taxes at December 31 related to the following:
In millions of dollars2014201320172016
Deferred tax assets 
 
 
 
Credit loss deduction$7,010
$8,356
$3,423
$5,146
Deferred compensation and employee benefits4,676
4,067
1,585
3,798
Restructuring and settlement reserves1,599
1,806
Unremitted foreign earnings6,368
6,910
Repositioning and settlement reserves454
1,033
U.S. tax on non-U.S. earnings2,452
10,050
Investment and loan basis differences4,979
4,409
3,384
5,594
Cash flow hedges529
736
233
327
Tax credit and net operating loss carry-forwards23,395
26,097
21,575
20,793
Fixed assets and leases2,093
666
1,090
1,739
Other deferred tax assets2,334
2,734
1,988
2,714
Gross deferred tax assets$52,983
$55,781
$36,184
$51,194
Valuation allowance—
—
$9,387
$—
Deferred tax assets after valuation allowance$52,983
$55,781
$26,797
$51,194
Deferred tax liabilities 
 
 
 
Deferred policy acquisition costs and value of insurance in force$(415)$(455)
Intangibles(1,636)(1,076)$(1,247)$(1,711)
Debt issuances(866)(811)(294)(641)
Non-U.S. withholding taxes(668)(739)
Interest-related items(562)(765)
Other deferred tax liabilities(559)(640)(1,545)(670)
Gross deferred tax liabilities$(3,476)$(2,982)$(4,316)$(4,526)
Net deferred tax assets$49,507
$52,799
$22,481
$46,668
 
Unrecognized Tax Benefits
The following is a roll-forwardrollforward of the Company’s unrecognized tax benefits.benefits:
In millions of dollars201420132012201720162015
Total unrecognized tax benefits at January 1$1,574
$3,109
$3,923
$1,092
$1,235
$1,060
Net amount of increases for current year’s tax positions135
58
136
43
34
32
Gross amount of increases for prior years’ tax positions175
251
345
324
273
311
Gross amount of decreases for prior years’ tax positions(772)(716)(1,246)(246)(225)(61)
Amounts of decreases relating to settlements(28)(1,115)(44)(199)(174)(45)
Reductions due to lapse of statutes of limitation(30)(15)(3)(11)(21)(22)
Foreign exchange, acquisitions and dispositions6
2
(2)10
(30)(40)
Total unrecognized tax benefits at December 31$1,060
$1,574
$3,109
$1,013
$1,092
$1,235

The total amounts of unrecognized tax benefits at December 31, 2014, 20132017, 2016 and 20122015 that, if recognized, would affect Citi’s effective tax rate,expense, are $0.8 billion, $0.8 billion and $1.3$0.9 billion, respectively. The remaining uncertain tax positions have offsetting amounts in other jurisdictions or are temporary differences, except for $0.4 billion at December 31, 2013, which was recognized in Retained earnings in 2014.differences.
Interest and penalties (not included in “unrecognized tax benefits” above) are a component of the Provision for income taxes. 

201420132012201720162015
In millions of dollarsPretaxNet of taxPretaxNet of taxPretaxNet of taxPretaxNet of taxPretaxNet of taxPretaxNet of tax
Total interest and penalties in the Consolidated Balance Sheet at January 1$277
$173
$492
$315
$404
$261
Total interest and penalties on the Consolidated Balance Sheet at January 1$260
$164
$233
$146
$269
$169
Total interest and penalties in the Consolidated Statement of Income(1)(1)(108)(72)114
71
5
21
105
68
(29)(18)
Total interest and penalties in the Consolidated Balance Sheet at December 31 (1)
269
169
277
173
492
315
Total interest and penalties on the Consolidated Balance Sheet at December 31(1)
121
101
260
164
233
146
(1)Includes $2 million, $2 million, and $10$3 million for foreignnon-U.S. penalties in 2014, 20132017, 2016 and 2012, respectively.2015. Also includes $3 million for state penalties in 2014,2017, 2016 and $4 million for 2013 and 2012.2015.
As of December 31, 2014,2017, Citi is under audit by the Internal Revenue Service and other major taxing jurisdictions around the world. It is thus reasonably possible that significant changes in the gross balance of unrecognized tax benefits may occur within the next 12 months, although Citi does not expect such audits to result in amounts that would cause a significant change to its effective tax rate, other than as discussed below.
Citi expects to conclude its IRS audit for the 2012-2013 cycle within the next 12 months. The gross uncertain tax positions at December 31, 2014 for the items that may be resolved are as much as $120 million. Because of the number and nature of the issues remaining to be resolved, the potential tax benefit to continuing operations could be anywhere in a range between $0 to $120 million. In addition, Citi may conclude certain state and local tax audits within the next 12 months. The gross uncertain tax positions at December 31, 2014 are as much as $214 million. In addition, there is gross interest of as much as $146 million. The potential tax benefit
to continuing operations could be anywhere between $0 and $230 million, including interest.rate.


The following are the major tax jurisdictions in which the Company and its affiliates operate and the earliest tax year subject to examination:
JurisdictionTax year
United States20122014
Mexico20092011
New York State and City20062009
United Kingdom20132014
India2010
Brazil20102014
Singapore20072011
Hong Kong20082011
Ireland20102013


182


ForeignNon-U.S. Earnings
ForeignNon-U.S. pretax earnings approximated $10.1$13.7 billion in 2014, $13.1 billion in 20132017 (of which a $0.1 billion loss was recorded in Discontinued operations) and $14.7, $11.6 billion in 2012.2016 and $11.3 billion in 2015. As a U.S. corporation, Citigroup and its U.S. subsidiaries are currently subject to U.S. taxation on all foreignnon-U.S. pretax earnings earned by a foreign branch. Pretax earnings of a non-U.S. branch. Starting in 2018, there will be a separate foreign tax credit (FTC) basket for branches. Also starting in 2018, dividends from a non-U.S. subsidiary or affiliate are subject toeffectively exempt from U.S. taxation when effectively repatriated.taxation. The Company provides income taxes on the undistributed earningsbook over tax basis differences of non-U.S. subsidiaries except to the extent that such earningsdifferences are indefinitely reinvested outside the United States.U.S.
At December 31, 2014, $43.82017, $14.1 billion of accumulated undistributed earningsbasis differences of non-U.S. subsidiaries was indefinitely invested. At the existing U.S. federal income tax rate,rates, additional taxes (net of U.S. foreign tax credits)FTCs) of $11.6$3.5 billion would have to be provided if such earningsbasis differences were remitted currently. The current year’s effect onrealized. These amounts are significantly less than the income tax expense from continuing operations is included in the “Foreign income tax rate differential” line in the reconciliation of the federal statutory ratecorresponding amounts at December 31, 2016 due to the Company’s effective income tax rate indeemed repatriation of unremitted earnings of non-U.S. subsidiaries under the table above.provisions of Tax Reform.
Income taxes are not provided for the Company’s “savings bank base year bad debt reserves” that arose before 1988, because under current U.S. tax rules, such taxes will become payable only to the extent that such amounts are distributed in excess of limits prescribed by federal law. At December 31, 2014,2017, the amount of the base year reserves totaled approximately $358 million (subject to a tax of $125$75 million).

 
Deferred Tax Assets
As of December 31, 20142017, Citi had a valuation allowance of $9.4 billion, composed of valuation allowances of $5.7 billion on its FTC carry-forwards, $2.2 billion on its U.S. residual DTA related to its non-U.S. branches, $1.4 billion on local non-U.S. DTAs and 2013,$0.1 billion on state net operating loss carry-forwards. The valuation allowance against FTCs results from the impact of the lower tax rate and the new separate FTC basket for non-U.S. branches, as well as diminished ability under Tax Reform to generate income from sources outside the U.S. to support FTC utilization. The absolute amount of Citi’s post-Tax Reform-related valuation allowances may change in future years. First, the separate FTC basket for non-U.S. branches will result in additional DTAs (for FTCs) requiring a valuation allowance, given that the local tax rate for these branches exceeds on average the U.S. tax rate of 21%. Second, in Citi’s general basket for FTCs, changes in the forecasted amount of income in U.S. locations derived from sources outside the U.S. could alter the amount of valuation allowance that is needed against such FTCs. As of December 31, 2016, Citi had no valuation allowance on its DTAs. The following table summarizes Citi’s DTAs:
In billions of dollars  
Jurisdiction/component(1)DTAs balance December 31, 2014DTAs balance December 31, 2013DTAs balance December 31, 2017DTAs balance December 31, 2016
U.S. federal (1)(2)
 
 
 
 
Net operating losses (NOLs)(2)(3)
$2.3
$1.4
$2.3
$3.5
Foreign tax credits (FTCs)(3)
17.6
19.6
7.6
14.2
General business credits (GBCs)1.6
2.5
1.4
0.9
Future tax deductions and credits21.3
21.5
4.8
21.9
Total U.S. federal$42.8
$45.0
$16.1
$40.5
State and local 
 
 
 
New York NOLs$1.5
$1.4
$2.3
$2.2
Other state NOLs0.4
0.5
0.2
0.2
Future tax deductions2.0
2.4
1.3
1.7
Total state and local$3.9
$4.3
$3.8
$4.1
Foreign 
 
APB 23 subsidiary NOLs$0.2
$0.2
Non-APB 23 subsidiary NOLs0.5
1.2
Non-U.S. 
 
NOLs$0.6
$0.6
Future tax deductions2.1
2.1
2.0
1.5
Total foreign$2.8
$3.5
Total non-U.S.$2.6
$2.1
Total$49.5
$52.8
$22.5
$46.7
 
(1)All amounts are net of valuation allowances.
(2)Included in the net U.S. federal DTAs of $42.8$16.1 billion as of December 31, 20142017 were deferred tax liabilities of $2$2.4 billion that will reverse in the relevant carry-forward period and may be used to support the DTAs.
(2)(3)Includes $0.6 billion in both 2014 and 2013 of NOL carry-forwards related to non-consolidated tax return companies that are expected to be utilized separately from Citigroup’s consolidated tax return, and $1.7 billion and $0.8 billionConsists of non-consolidated tax return NOL carry-forwards for 2014 and 2013, respectively, that are eventually expected to be utilized in Citigroup’s consolidated tax return.
(3)Includes $1.0 billion and $0.7 billion for 2014 and 2013, respectively, of non-consolidated tax return FTC carry-forwards that are eventually expected to be utilized in Citigroup’s consolidated tax return.



183


The following table summarizes the amounts of tax carry-forwards and their expiration dates as of December 31, 2014 and 2013:dates: 
In billions of dollars  
Year of expirationDecember 31, 2014December 31, 2013December 31, 2017December 31, 2016
U.S. tax return foreign tax credit carry-forwards(1) 
 
 
 
2017$1.9
$4.7
20185.2
5.2
$0.4
$2.7
20191.2
1.2
1.3
1.3
20203.1
3.1
3.2
3.1
20211.8
1.4
2.0
1.9
20223.4
3.3
3.4
3.3
2023(1)
1.0
0.7
2023(2)
0.4
0.5
2025(2)
1.4
1.4
2027(2)
1.2
—
Total U.S. tax return foreign tax credit carry-forwards$17.6
$19.6
$13.3
$14.2
U.S. tax return general business credit carry-forwards 
 
 
 
2028$—
$0.4
2029—
0.4
20300.4
0.4
20310.3
0.4
20320.4
0.5
$0.2
$—
20330.3
0.4
0.3
0.3
20340.2
—
0.2
0.2
20350.2
0.2
20360.2
0.2
20370.3
—
Total U.S. tax return general business credit carry-forwards$1.6
$2.5
$1.4
$0.9
U.S. subsidiary separate federal NOL carry-forwards 
 
 
 
2027$0.2
$0.2
$0.2
$0.2
20280.1
0.1
0.1
0.1
20300.3
0.3
0.3
0.3
20311.7
1.7
20331.9
1.7
20342.3
—
Total U.S. subsidiary separate federal NOL carry-forwards (2)
$6.5
$4.0
New York State NOL carry-forwards 
 
2027$—
$0.1
2028—
6.5
2030—
2.0
2031—
0.1
2032—
0.9
0.1
—
2033—
—
1.6
1.7
203412.3
—
2.3
2.3
Total New York State NOL carry-forwards (2)
$12.3
$9.6
New York City NOL carry-forwards 
 
2027$—
$0.1
20283.8
3.9
2029—
1.5
20310.1
—
20320.5
0.6
Total New York City NOL carry-forwards (2)
$4.4
$6.1
APB 23 subsidiary NOL carry-forwards 
 
20353.3
3.2
20362.1
2.2
20371.0
—
Total U.S. subsidiary separate federal NOL carry-forwards(3)
$11.0
$10.0
New York State NOL carry-forwards(3)
 
 
2034$13.6
$13.0
New York City NOL carry-forwards(3)
 
 
2034$13.1
$12.2
Non-U.S. NOL carry-forwards(1)
 
 
Various$0.2
$0.2
$2.0
$2.1
Total APB 23 subsidiary NOL carry-forwards$0.2
$0.2

(1)Before valuation allowance.
(2)The $1.0$3.0 billion in FTC carry-forwards that expiresexpire in 2023, is2025 and 2027 are in a non-consolidated tax return entity but isare eventually expected to be utilized (net of valuation allowances) in Citigroup’s consolidated tax return.
(2)(3)Pretax.
While Citi’s net total DTAs decreased year-over-year, the

The time remaining for utilization of the FTC component has shortened, given the passage of time, particularly with respect to the FTC component of the DTAs. Realization of the DTAs will continue to be driven by Citi’s ability to generate U.S. taxable earnings in the carry-forward periods, including through actions that optimize Citi’s U.S. taxable earnings.
time. Although realization is not assured, Citi believes that the realization of the recognized net DTAs of $49.5$22.5 billion at December 31, 20142017 is more-likely-than-not based upon expectations as to future taxable income in the jurisdictions in which the DTAs arise
and available tax planning strategies (as defined in ASC 740, Income Taxes) that would be implemented, if necessary, to prevent a carry-forward from expiring. In general, Citi would need to generate approximately $81 billion of U.S. taxable income during the FTC carry-forward periods to prevent this most time-sensitive component of Citi’s DTAs from expiring. Citi’s net DTAs will decline primarily as additional domestic GAAP taxable income is generated.
Citi has concluded that two components of positive evidence support the full realizability of its DTAs. First, Citi forecasts sufficient U.S. taxable income in the carry-forward periods, exclusive of ASC 740 tax planning strategies. Citi’s forecasted taxable income, which will continue to be subject to overall market and global economic conditions, incorporates geographic business forecasts and taxable income adjustments to those forecasts (e.g., U.S. tax-exempt income, loan loss reserves deductible for U.S. tax reporting in subsequent years), and actions intended to optimize its U.S. taxable earnings.
Second, Citi has sufficient tax planning strategies available to it under ASC 740 that would be implemented, if necessary, to prevent a carry-forward from expiring. These strategies include: repatriating low-taxed foreign source earnings for which an assertion that the earnings have been indefinitely reinvested has not been made; accelerating U.S. taxable income into, or deferring U.S. tax deductions out of, the latter years of the carry-forward period (e.g., selling appreciated assets, electing straight-line depreciation); accelerating deductible temporary differences outside the U.S.; and selling certain assets that produce tax-exempt income, while purchasing assets that produce fully taxable income. In addition, the sale or restructuring of certain businesses can produce significant U.S. taxable income within the relevant carry-forward periods.
Based upon the foregoing discussion, Citi believesthe U.S. federal and New York state and city NOL carry-forward period of 20 years provides enough time to fully utilize the DTAs pertaining to the existing NOL carry-forwardscarry-forwards. This is due to Citi’s forecast of sufficient U.S. taxable income and any NOLthe fact that would be created byNew York state and city continue to tax Citi’s non-U.S. income.
With respect to the reversalFTCs component of the future net deductions that have not yet been taken on a tax return.
The U.S. FTCDTAs, the carry-forward period is 10 years and represents the most time-sensitive component of Citi’s DTAs.
years. Utilization of FTCs in any year is restricted to 35%21% of foreign source taxable income in that year. However, overall domestic


184


losses that Citi has incurred of approximately $59$52 billion as of December 31, 20142017 are allowed to be reclassified as foreign source income to the extent of 50%–100% of domestic source income
produced in subsequent years. Such resulting foreign source income would cover the FTCs being carried forward. As such, Citi believes the foreign source taxable income limitation will not be an impediment to the FTC carry-forward usage, as long as Citi can generate sufficient domestic taxable income within the 10-year carry-forward period.
carry-forwards after valuation allowance. As noted in the tables above, Citi’s FTC carry-forwards were $17.6$7.6 billion ($13.3 billion before valuation allowance) as of December 31, 2014,2017, compared to $19.6$14.2 billion as of December 31, 2013.2016. This decrease represented $2.0$6.6 billion of the $3.3$24.2 billion decrease in Citi’s overall DTAs during 2014.2017. Citi believes that it will generate sufficient U.S. taxable income within the 10-year carry-forward period referenced above to be able to fully utilize the FTC carry-forward,net FTCs after the valuation allowance, in addition to any FTCs produced in the tax return for such period, which must be used prior to any carry-forward utilization.



185


10.     EARNINGS PER SHARE
The following is a reconciliation oftable reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations for the years ended December 31:computations:
In millions, except per-share amounts201420132012
Income from continuing operations before attribution of noncontrolling interests$7,500
$13,630
$7,818
Less: Noncontrolling interests from continuing operations185
227
219
Net income from continuing operations (for EPS purposes)$7,315
$13,403
$7,599
Income (loss) from discontinued operations, net of taxes(2)270
(58)
Citigroup's net income$7,313
$13,673
$7,541
Less: Preferred dividends(1)
511
194
26
Net income available to common shareholders$6,802
$13,479
$7,515
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS111
263
166
Net income allocated to common shareholders for basic EPS$6,691
$13,216
$7,349
Add: Interest expense, net of tax, and dividends on convertible securities and adjustment of undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to diluted EPS—
1
11
Net income allocated to common shareholders for diluted EPS$6,691
$13,217
$7,360
Weighted-average common shares outstanding applicable to basic EPS3,031.6
3,035.8
2,930.6
Effect of dilutive securities 
  
T-DECs(2)
—
—
84.2
Options(3)
5.1
5.3
—
Other employee plans0.3
0.5
0.6
Convertible securities(4)
—
—
0.1
Adjusted weighted-average common shares outstanding applicable to diluted EPS3,037.0
3,041.6
3,015.5
Basic earnings per share(5)
 
    
Income from continuing operations$2.21
$4.27
$2.53
Discontinued operations—
0.09
(0.02)
Net income$2.21
$4.35
$2.51
Diluted earnings per share(5)
     
Income from continuing operations$2.20
$4.26
$2.46
Discontinued operations—
0.09
(0.02)
Net income$2.20
$4.35
$2.44
In millions, except per-share amounts201720162015
Income (loss) from continuing operations before attribution of noncontrolling interests$(6,627)$15,033
$17,386
Less: Noncontrolling interests from continuing operations60
63
90
Net income (loss) from continuing operations (for EPS purposes)$(6,687)$14,970
$17,296
Income (loss) from discontinued operations, net of taxes(111)(58)(54)
Citigroup's net income (loss)$(6,798)$14,912
$17,242
Less: Preferred dividends(1)
1,213
1,077
769
Net income (loss) available to common shareholders$(8,011)$13,835
$16,473
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS37
195
224
Net income (loss) allocated to common shareholders for basic EPS$(8,048)$13,640
$16,249
Add: Interest expense, net of tax, and dividends on convertible securities and adjustment of undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to diluted EPS—
—
—
Net income (loss) allocated to common shareholders for diluted EPS$(8,048)$13,640
$16,249
Weighted-average common shares outstanding applicable to basic EPS2,698.5
2,888.1
3,004.0
Effect of dilutive securities(2)
 
  
Options(3)
—
0.1
3.6
Other employee plans non-dividend eligible—
0.1
0.1
Adjusted weighted-average common shares outstanding applicable to diluted EPS(4)
2,698.5
2,888.3
3,007.7
Basic earnings per share(5)
 
    
Income (loss) from continuing operations$(2.94)$4.74
$5.43
Discontinued operations(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.41
Diluted earnings per share(5)
     
Income (loss) from continuing operations$(2.94)$4.74
$5.42
Discontinued operations(0.04)(0.02)(0.02)
Net income (loss)$(2.98)$4.72
$5.40
(1)See Note 2120 to the Consolidated Financial Statements for the potential future impact of preferred stock dividends.
(2)Pursuant to the terms of Citi’s previously outstanding Tangible Dividend Enhanced Common Stock Securities (T-DECs), on December 17, 2012, the Company delivered 96,337,772 shares of Citigroup common stock for the final settlement of the prepaid stock purchase contract. The impact of the T-DECs is fully reflected in the basic shares for 2013 and diluted shares for 2012.
(3)During 2014, 2013 and 2012, weighted-average options to purchase 2.8 million, 4.8 million and 35.8 million shares of common stock, respectively, were outstanding but not included in the computation of earnings per share because the weighted-average exercise prices of $153.91, $101.11 and $54.23 respectively, were anti-dilutive.
(4)Warrants issued to the U.S. Treasury as part of the Troubled Asset Relief Program (TARP) and the loss-sharing agreement (all of which were subsequently sold to the public in January 2011), with an exercise priceprices of $178.50 and $106.10$104.96 per share for approximately 21.0 million and 25.5 million shares of Citigroup common stock, respectively. Both warrants were not included in the computation of earnings per share in 2014, 20132017, 2016 and 20122015 because they were anti-dilutive.
(3)During 2017, 2016 and 2015, weighted-average options to purchase 0.8 million, 4.2 million and 0.9 million shares of common stock, respectively, were outstanding but not included in the computation of earnings per share because the weighted-average exercise prices of $204.80, $98.01 and $199.16 per share, respectively, were anti-dilutive.
(4)Due to rounding, common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to common shares outstanding applicable to diluted EPS.
(5)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.

186


11. FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS
Federal funds sold and securities borrowed or purchased under agreements to resell, at their respective carrying values, consisted of the following at December 31:following:
December 31December 31
In millions of dollars2014201320172016
Federal funds sold$—
$20
$—
$—
Securities purchased under agreements to resell123,979
136,649
130,984
131,473
Deposits paid for securities borrowed118,591
120,368
101,494
105,340
Total$242,570
$257,037
Total(1)
$232,478
$236,813

Federal funds purchased and securities loaned or sold under agreements to repurchase, at their respective carrying values, consisted of the following at December 31:following:
December 31December 31
In millions of dollars2014201320172016
Federal funds purchased$334
$910
$326
$178
Securities sold under agreements to repurchase147,204
175,691
142,646
125,685
Deposits received for securities loaned25,900
26,911
13,305
15,958
Total$173,438
$203,512
Total(1)
$156,277
$141,821
(1)
The above tables do not include securities-for-securities lending transactions of $14.0 billion and $9.3 billion at December 31, 2017 and December 31, 2016, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.

The resale and repurchase agreements represent collateralized financing transactions. The CompanyCiti executes these transactions primarily through its broker-dealer subsidiaries to facilitate customer matched-book activity and to efficiently fund a portion of the Company’sCiti’s trading inventory. Transactions executed by the Company’sCiti’s bank subsidiaries primarily facilitate customer financing activity.
To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral, and stipulating financing tenor. Citi manages the risks in its collateralized financing transactions by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress.
It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary,
require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the company posts additional collateral in order to maintain contractual margin protection.
Collateral typically consists of government and government-agency securities, corporate and municipal bonds, equities and mortgage-backed and other asset-backed securities.
The resale and repurchase agreements are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other type of default under the relevant master agreement. Events of default generally include (i) failure to deliver cash or securities as required under the transaction, (ii) failure to provide or return cash or securities as used for margining purposes, (iii) breach of representation, (iv) cross-default to another transaction entered into among the parties, or, in some cases, their affiliates, and (v) a repudiation of obligations under the agreement. The counterparty that receives the securities in these transactions is generally unrestricted in its use of the securities, with the
exception of transactions executed on a tri-party basis, where the collateral is maintained by a custodian and operational limitations may restrict its use of the securities.
A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in NoteNotes 24 and 25 to the Consolidated Financial Statements. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.
The securities borrowing and lending agreements also represent collateralized financing transactions similar to the resale and repurchase agreements. Collateral typically consists of government and government-agency securities and corporate debt and equity securities.
Similar to the resale and repurchase agreements, securities borrowing and lending agreements are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other default by the other party under the relevant master agreement. Events of default and rights to use securities under the securities borrowing and lending agreements are similar to the resale and repurchase agreements referenced above.
A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 2625 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and obtains or

posts additional collateral in order to maintain contractual margin protection.
The enforceability of offsetting rights incorporated in the master netting agreements for resale and repurchase agreements and securities borrowing and lending agreements is evidenced to the extent that a supportive legal opinion has been obtained from counsel of recognized standing that provides the requisite level of certainty regarding the enforceability of these agreements, and thatagreements. Also, the exercise of rights by the non-defaulting party to terminate and close-outcloseout transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default including bankruptcy, insolvency or similar proceeding.
A legal opinion may not have been sought or obtained for certain jurisdictions where local law is silent or sufficiently ambiguous to determine the enforceability of offsetting rights or where adverse case law or conflicting regulation may cast
doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law for a particular counterparty type may be nonexistent or unclear as overlapping regimes may exist. For example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans.


187


The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending
agreements and the related offsetting amount permitted under ASC 210-20-45, as of December 31, 2014 and December 31, 2013.210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC 210-20-45 but would be eligible for offsetting to the extent
that an event of default occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

As of December 31, 2014As of December 31, 2017
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities purchased under agreements to resell$180,318
$56,339
$123,979
$94,353
$29,626
$204,460
$73,476
$130,984
$103,022
$27,962
Deposits paid for securities borrowed118,591
—
118,591
15,139
103,452
101,494
—
101,494
22,271
79,223
Total$298,909
$56,339
$242,570
$109,492
$133,078
$305,954
$73,476
$232,478
$125,293
$107,185

In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities sold under agreements to repurchase$203,543
$56,339
$147,204
$72,928
$74,276
$216,122
$73,476
$142,646
$73,716
$68,930
Deposits received for securities loaned25,900
—
25,900
5,190
20,710
13,305
—
13,305
4,079
9,226
Total$229,443
$56,339
$173,104
$78,118
$94,986
$229,427
$73,476
$155,951
$77,795
$78,156

As of December 31, 2013As of December 31, 2016
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities purchased under agreements to resell$179,894
$43,245
$136,649
$105,226
$31,423
$176,284
$44,811
$131,473
$102,874
$28,599
Deposits paid for securities borrowed120,368
—
120,368
26,728
93,640
105,340
—
105,340
16,200
89,140
Total$300,262
$43,245
$257,017
$131,954
$125,063
$281,624
$44,811
$236,813
$119,074
$117,739

In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities sold under agreements to repurchase$218,936
$43,245
$175,691
$80,082
$95,609
$170,496
$44,811
$125,685
$63,517
$62,168
Deposits received for securities loaned26,911
—
26,911
3,833
23,078
15,958
—
15,958
3,529
12,429
Total$245,847
$43,245
$202,602
$83,915
$118,687
$186,454
$44,811
$141,643
$67,046
$74,597
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)The total of this column for each period excludes Federalfederal funds sold/purchased. See tabletables above.
(3)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45 but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(4)Remaining exposures continue to be secured by financial collateral, but the CompanyCiti may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

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

188
 As of December 31, 2017
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$82,073
$68,372
$33,846
$31,831
$216,122
Deposits received for securities loaned9,946
266
1,912
1,181
13,305
Total$92,019
$68,638
$35,758
$33,012
$229,427

 As of December 31, 2016
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$79,740
$50,399
$19,396
$20,961
$170,496
Deposits received for securities loaned10,813
2,169
2,044
932
15,958
Total$90,553
$52,568
$21,440
$21,893
$186,454

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

 As of December 31, 2017
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$58,774
$—
$58,774
State and municipal securities1,605
—
1,605
Foreign government securities89,576
105
89,681
Corporate bonds20,194
657
20,851
Equity securities20,724
11,907
32,631
Mortgage-backed securities17,791
—
17,791
Asset-backed securities5,479
—
5,479
Other1,979
636
2,615
Total$216,122
$13,305
$229,427


 As of December 31, 2016
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$66,263
$—
$66,263
State and municipal securities334
—
334
Foreign government securities52,988
1,390
54,378
Corporate bonds17,164
630
17,794
Equity securities12,206
13,913
26,119
Mortgage-backed securities11,421
—
11,421
Asset-backed securities5,428
—
5,428
Other4,692
25
4,717
Total$170,496
$15,958
$186,454



12. BROKERAGE RECEIVABLES AND BROKERAGE
PAYABLES

The CompanyCiti has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business. The CompanyCiti is exposed to risk of loss from the inability of brokers, dealers or customers to pay for purchases or to deliver the financial instruments sold, in which case the CompanyCiti would have to sell or purchase the financial instruments at prevailing market prices. Credit risk is reduced to the extent that an exchange or clearing organization acts as a counterparty to the transaction and replaces the broker, dealer or customer in question.
The CompanyCiti seeks to protect itself from the risks associated with customer activities by requiring customers to maintain margin collateral in compliance with regulatory and internal guidelines. Margin levels are monitored daily, and customers deposit additional collateral as required. Where customers cannot meet collateral requirements, the Company willCiti may liquidate sufficient underlying financial instruments to bring the customer into compliance with the required margin level.
Exposure to credit risk is impacted by market volatility, which may impair the ability of clients to satisfy their obligations to the Company.Citi. Credit limits are established and closely monitored for customers and for brokers and dealers engaged in forwards, futures and other transactions deemed to be credit sensitive.
Brokerage receivables and Brokerage payables consisted of the following at December 31:following:
In millions of dollars20142013
Receivables from customers$10,380
$5,811
Receivables from brokers, dealers, and clearing organizations18,039
19,863
Total brokerage receivables (1)
$28,419
$25,674
Payables to customers$33,984
$34,751
Payables to brokers, dealers, and clearing organizations18,196
18,956
Total brokerage payables (1)
$52,180
$53,707
 December 31,
In millions of dollars20172016
Receivables from customers$19,215
$10,374
Receivables from brokers, dealers and clearing organizations19,169
18,513
Total brokerage receivables(1)
$38,384
$28,887
Payables to customers$38,741
$37,237
Payables to brokers, dealers and clearing organizations22,601
19,915
Total brokerage payables(1)
$61,342
$57,152

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

13.   TRADING ACCOUNT ASSETS AND LIABILITIESINVESTMENTS
Trading account assets and Trading account liabilities are carried at fair value, other than physical commodities accounted for at the lower of cost or fair value, and consist of the
Overview
The following at December 31, 2014 and 2013:table presents Citi’s investments by category:
In millions of dollars20142013
Trading account assets  
Mortgage-backed securities(1)
  
U.S. government-sponsored agency guaranteed$27,053
$23,955
Prime1,271
1,422
Alt-A709
721
Subprime1,382
1,211
Non-U.S. residential1,476
723
Commercial4,343
2,574
Total mortgage-backed securities$36,234
$30,606
U.S. Treasury and federal agency securities  
U.S. Treasury$18,906
$13,537
Agency obligations1,568
1,300
Total U.S. Treasury and federal agency securities$20,474
$14,837
State and municipal securities$3,402
$3,207
Foreign government securities66,274
74,856
Corporate26,460
30,534
Derivatives(2)
67,957
52,821
Equity securities57,846
61,776
Asset-backed securities(1)
4,546
5,616
Other trading assets(3)
13,593
11,675
Total trading account assets$296,786
$285,928
Trading account liabilities  
Securities sold, not yet purchased$70,944
$61,508
Derivatives(2)
68,092
47,254
Total trading account liabilities$139,036
$108,762
 December 31,
In millions of dollars20172016
Securities available-for-sale (AFS)$290,914
$299,424
Debt securities held-to-maturity (HTM)(1)
53,320
45,667
Non-marketable equity securities carried at fair value(2)
1,206
1,774
Non-marketable equity securities carried at cost(3)
6,850
6,439
Total investments$352,290
$353,304
(1)Carried at adjusted amortized cost basis, net of any credit-related impairment.
(2)Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings.
(3)Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks, and various clearing houses of which Citigroup is a member.

The following table presents interest and dividend income on investments:
In millions of dollars201720162015
Taxable interest$7,538
$6,858
$6,433
Interest exempt from U.S. federal income tax535
549
196
Dividend income222
175
388
Total interest and dividend income$8,295
$7,582
$7,017

The following table presents realized gains and losses on the sale of investments, which excludes losses from other-than-temporary impairment (OTTI):
In millions of dollars201720162015
Gross realized investment gains$1,039
$1,460
$1,124
Gross realized investment losses(261)(512)(442)
Net realized gains on sale of investments$778
$948
$682

The Company has sold certain debt securities that were classified as HTM. These sales were in response to significant deterioration in the creditworthiness of the issuers or securities or because the Company has collected a substantial portion (at least 85%) of the principal outstanding at acquisition of the security. In addition, certain other securities were reclassified to AFS investments in response to

significant credit deterioration. Because the Company generally intends to sell these reclassified securities, Citi recorded OTTI on the securities. The following table sets forth, for the periods indicated, the carrying value of HTM securities sold and reclassified to AFS, as well as the related gain (loss) or the OTTI losses recorded on these securities.
In millions of dollars201720162015
Carrying value of HTM securities sold$81
$49
$392
Net realized gain (loss) on sale of HTM securities13
14
10
Carrying value of securities reclassified to AFS74
150
243
OTTI losses on securities reclassified to AFS—
(6)(15)

Securities Available-for-Sale
The amortized cost and fair value of AFS securities were as follows:
 20172016
In millions of dollars
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Debt securities AFS        
Mortgage-backed securities(1)
        
U.S. government-sponsored agency guaranteed$42,116
$125
$500
$41,741
$38,663
$248
$506
$38,405
Prime11
6
—
17
2
—
—
2
Alt-A26
90
—
116
43
7
—
50
Non-U.S. residential2,744
13
6
2,751
3,852
13
7
3,858
Commercial334
—
2
332
357
2
1
358
Total mortgage-backed securities$45,231
$234
$508
$44,957
$42,917
$270
$514
$42,673
U.S. Treasury and federal agency securities        
U.S. Treasury$108,344
$77
$971
$107,450
$113,606
$629
$452
$113,783
Agency obligations10,813
7
124
10,696
9,952
21
85
9,888
Total U.S. Treasury and federal agency securities$119,157
$84
$1,095
$118,146
$123,558
$650
$537
$123,671
State and municipal(2)
$8,870
$140
$245
$8,765
$10,797
$80
$757
$10,120
Foreign government100,615
508
590
100,533
98,112
590
554
98,148
Corporate14,144
51
86
14,109
17,195
105
176
17,124
Asset-backed securities(1)
3,906
14
2
3,918
6,810
6
22
6,794
Other debt securities297
—
—
297
503
—
—
503
Total debt securities AFS$292,220
$1,031
$2,526
$290,725
$299,892
$1,701
$2,560
$299,033
Marketable equity securities AFS$186
$4
$1
$189
$377
$20
$6
$391
Total securities AFS$292,406
$1,035
$2,527
$290,914
$300,269
$1,721
$2,566
$299,424
(1)The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 2221 to the Consolidated Financial Statements.
(2)Presented net, pursuant
In the second quarter of 2017, Citi early adopted ASU 2017-08. Upon adoption, a cumulative effect adjustment was recorded to enforceable master netting agreements.reduce retained earnings, effective January 1, 2017, for the incremental amortization of purchase premiums and cumulative fair value hedge adjustments on callable state and municipal debt securities. See Note 231 to the Consolidated Financial Statements for a discussion regarding the accounting and reporting for derivatives.
(3)Includes investments in unallocated precious metals, as discussed in Note 26 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value.


189


14.   INVESTMENTS

Overview
 December 31,
In millions of dollars20142013
Securities available-for-sale (AFS)$300,143
$286,511
Debt securities held-to-maturity (HTM)(1)
23,921
10,599
Non-marketable equity securities carried at fair value(2)
2,758
4,705
Non-marketable equity securities carried at cost(3)
6,621
7,165
Total investments$333,443
$308,980
(1)Carried at amortized cost basis, including any impairment for securities that have credit-related impairment.
(2)Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings.
(3)Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks, foreign central banks and various clearing houses of which Citigroup is a member.
The following table presents interest and dividends on investments for the years ended December 31, 2014, 2013 and 2012:
In millions of dollars201420132012
Taxable interest$6,311
$5,750
$6,509
Interest exempt from U.S. federal income tax439
732
683
Dividends445
437
333
Total interest and dividends$7,195
$6,919
$7,525
The following table presents realized gains and losses on the sale of investments for the years ended December 31, 2014, 2013 and 2012. The gross realized investment losses exclude losses from other-than-temporary impairment (OTTI):
In millions of dollars201420132012
Gross realized investment gains$1,020
$1,606
$3,663
Gross realized investment losses(450)(858)(412)
Net realized gains on sale of investments$570
$748
$3,251
The Company has sold certain debt securities that were classified as HTM. These sales were in response to significant deterioration in the creditworthiness of the issuers or securities. In addition, other securities were reclassified to AFS investments in response to significant credit deterioration or because a substantial portion of the securities’ principal outstanding at acquisition has been collected. Because the Company generally intends to sell the securities, Citi recorded OTTI on the securities. The following table sets forth, for the periods indicated, gain (loss) on HTM securities sold, securities reclassified to AFS and OTTI recorded on AFS securities reclassified.
In millions of dollars201420132012
Carrying value of HTM securities sold$8
$935
$2,110
Net realized gain (loss) on sale of HTM securities—
(128)(187)
Carrying value of securities reclassified to AFS889
989
244
OTTI losses on securities reclassified to AFS(25)(156)(59)

190


Securities Available-for-Sale
The amortized cost and fair value of AFS securities at December 31, 2014 and 2013 were as follows:
 20142013
In millions of dollars
Amortized
cost
Gross
unrealized
gains(1)
Gross
unrealized
losses(1)
Fair
value
Amortized
cost
Gross
unrealized
gains(1)
Gross
unrealized
losses(1)
Fair
value
Debt securities AFS        
Mortgage-backed securities(2)
        
U.S. government-sponsored agency guaranteed$35,647
$603
$159
$36,091
$42,494
$391
$888
$41,997
Prime12
—
—
12
33
2
3
32
Alt-A43
1
—
44
84
10
—
94
Subprime—
—
—
—
12
—
—
12
Non-U.S. residential8,247
67
7
8,307
9,976
95
4
10,067
Commercial551
6
3
554
455
6
8
453
Total mortgage-backed securities$44,500
$677
$169
$45,008
$53,054
$504
$903
$52,655
U.S. Treasury and federal agency securities        
U.S. Treasury$110,492
$353
$127
$110,718
$68,891
$476
$147
$69,220
Agency obligations12,925
60
13
12,972
18,320
123
67
18,376
Total U.S. Treasury and federal agency securities$123,417
$413
$140
$123,690
$87,211
$599
$214
$87,596
State and municipal(3)
$13,526
$150
$977
$12,699
$20,761
$184
$2,005
$18,940
Foreign government90,249
734
286
90,697
96,608
403
540
96,471
Corporate12,033
215
91
12,157
11,039
210
119
11,130
Asset-backed securities(2)
12,534
30
58
12,506
15,352
42
120
15,274
Other debt securities661
—
—
661
710
1
—
711
Total debt securities AFS$296,920
$2,219
$1,721
$297,418
$284,735
$1,943
$3,901
$282,777
Marketable equity securities AFS$2,461
$308
$44
$2,725
$3,832
$85
$183
$3,734
Total securities AFS$299,381
$2,527
$1,765
$300,143
$288,567
$2,028
$4,084
$286,511
(1)Gross unrealized gains and losses, as presented, do not include the impact of minority investments and the related allocations and pick-up of unrealized gains and losses of AFS securities. These amounts totaled unrealized gains of $27 million and $36 million as of December 31, 2014 and 2013, respectively.
(2)The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 22 to the Consolidated Financial Statements.
(3)
The gross unrealized losses on state and municipal debt securities are primarily attributable to the effects of fair value hedge accounting.  Specifically, Citi hedges the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged.  However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from Accumulated other comprehensive income (loss) (AOCI) to earnings, attributable solely to changes in the LIBOR swap rate, resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities. 

At December 31, 2014,2017, the amortized cost of approximately 7,6004,600 investments in equity and fixed income securities exceeded their fair value by $1,765$2,527 million. Of the $1,765$2,527 million, the gross unrealized losses on equity securities were $44$1 million. Of the remainder, $400$1,854 million represented unrealized losses on fixed income investments that have been in a gross-unrealized-loss position for less than
a year and, of these, 92%99% were rated investment grade; $1,321and $672 million represented unrealized losses on fixed income investments that have been in a gross-unrealized-loss position for a year or more and, of these, 95%94% were rated investment grade.
At December 31, 2014, Of the AFS mortgage-backed securities portfolio fair value balance of $45,008$672 million
mentioned above, $234 million represent state and municipal securities.
    
consisted of $36,091 million of government-sponsored agency securities, and $8,917 million of privately sponsored securities, substantially all of which were backed by non-U.S. residential mortgages.
As discussed in more detail below, the Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other-than-temporary. Any credit-related impairment related to debt securities is recorded in earnings as OTTI. Non-credit-related impairment is recognized in AOCI if the Company does not plan to sell and is not likely to be required to sell. For other debt securities with OTTI, the entire impairment is recognized in the Consolidated Statement of Income.


191


The following table below shows the fair value of AFS securities that have been in an unrealized loss position for less than 12 months or for 12 months or longer as of December 31, 2014 and 2013:position:
Less than 12 months12 months or longerTotalLess than 12 months12 months or longerTotal
In millions of dollars
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
Fair
value
Gross
unrealized
losses
December 31, 2014   
December 31, 2017     
Securities AFS        
Mortgage-backed securities        
U.S. government-sponsored agency guaranteed$4,198
$30
$5,547
$129
$9,745
$159
$30,994
$438
$2,206
$62
$33,200
$500
Prime5
—
2
—
7
—
—
—
—
—
—
—
Non-U.S. residential1,276
3
199
4
1,475
7
753
6
—
—
753
6
Commercial124
1
136
2
260
3
150
1
57
1
207
2
Total mortgage-backed securities$5,603
$34
$5,884
$135
$11,487
$169
$31,897
$445
$2,263
$63
$34,160
$508
U.S. Treasury and federal agency securities        
U.S. Treasury$36,581
$119
$1,013
$8
$37,594
$127
$79,050
$856
$7,404
$115
$86,454
$971
Agency obligations5,698
9
754
4
6,452
13
8,857
110
1,163
14
10,020
124
Total U.S. Treasury and federal agency securities$42,279
$128
$1,767
$12
$44,046
$140
$87,907
$966
$8,567
$129
$96,474
$1,095
State and municipal$386
$15
$5,802
$962
$6,188
$977
$1,009
$11
$1,155
$234
$2,164
$245
Foreign government18,495
147
5,984
139
24,479
286
53,206
356
9,051
234
62,257
590
Corporate3,511
63
1,350
28
4,861
91
6,737
74
859
12
7,596
86
Asset-backed securities3,701
13
3,816
45
7,517
58
449
1
25
1
474
2
Other debt securities—
—
—
—
—
—
Marketable equity securities AFS51
4
218
40
269
44
11
1
—
—
11
1
Total securities AFS$74,026
$404
$24,821
$1,361
$98,847
$1,765
$181,216
$1,854
$21,920
$673
$203,136
$2,527
December 31, 2013 
 
 
 
 
 
December 31, 2016 
 
 
 
 
 
Securities AFS 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed$19,377
$533
$5,643
$355
$25,020
$888
$23,534
$436
$2,236
$70
$25,770
$506
Prime85
3
3
—
88
3
1
—
—
—
1
—
Non-U.S. residential2,103
4
5
—
2,108
4
486
—
1,276
7
1,762
7
Commercial206
6
28
2
234
8
75
1
58
—
133
1
Total mortgage-backed securities$21,771
$546
$5,679
$357
$27,450
$903
$24,096
$437
$3,570
$77
$27,666
$514
U.S. Treasury and federal agency securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury$34,780
$133
$268
$14
$35,048
$147
$44,342
$445
$1,335
$7
$45,677
$452
Agency obligations6,692
66
101
1
6,793
67
6,552
83
250
2
6,802
85
Total U.S. Treasury and federal agency securities$41,472
$199
$369
$15
$41,841
$214
$50,894
$528
$1,585
$9
$52,479
$537
State and municipal$595
$29
$11,447
$1,976
$12,042
$2,005
$1,616
$55
$3,116
$702
$4,732
$757
Foreign government35,783
477
5,778
63
41,561
540
38,226
243
8,973
311
47,199
554
Corporate4,565
108
387
11
4,952
119
7,011
129
1,877
47
8,888
176
Asset-backed securities11,207
57
1,931
63
13,138
120
411
—
3,213
22
3,624
22
Other debt securities5
—
—
—
5
—
Marketable equity securities AFS1,271
92
806
91
2,077
183
19
2
24
4
43
6
Total securities AFS$116,664
$1,508
$26,397
$2,576
$143,061
$4,084
$122,278
$1,394
$22,358
$1,172
$144,636
$2,566

192


The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates as of December 31, 2014 and 2013:dates:
December 31,
2014201320172016
In millions of dollars
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Amortized
cost
Fair
value
Mortgage-backed securities(1)
      
Due within 1 year$44
$44
$87
$87
$45
$45
$132
$132
After 1 but within 5 years931
935
346
354
1,306
1,304
736
738
After 5 but within 10 years1,362
1,387
2,898
2,932
1,376
1,369
2,279
2,265
After 10 years(2)
42,163
42,642
49,723
49,282
42,504
42,239
39,770
39,538
Total$44,500
$45,008
$53,054
$52,655
$45,231
$44,957
$42,917
$42,673
U.S. Treasury and federal agency securities      
Due within 1 year$13,070
$13,084
$15,789
$15,853
$4,913
$4,907
$4,945
$4,945
After 1 but within 5 years104,982
105,131
66,232
66,457
111,236
110,238
101,369
101,323
After 5 but within 10 years2,286
2,325
2,129
2,185
3,008
3,001
17,153
17,314
After 10 years(2)
3,079
3,150
3,061
3,101
—
—
91
89
Total$123,417
$123,690
$87,211
$87,596
$119,157
$118,146
$123,558
$123,671
State and municipal      
Due within 1 year$590
$590
$576
$581
$1,792
$1,792
$2,093
$2,092
After 1 but within 5 years3,672
3,677
3,731
3,735
2,579
2,576
2,668
2,662
After 5 but within 10 years532
546
439
482
514
528
335
334
After 10 years(2)
8,732
7,886
16,015
14,142
3,985
3,869
5,701
5,032
Total$13,526
$12,699
$20,761
$18,940
$8,870
$8,765
$10,797
$10,120
Foreign government      
Due within 1 year$31,355
$31,382
$37,005
$36,959
$32,130
$32,100
$32,540
$32,547
After 1 but within 5 years41,913
42,467
51,344
51,304
53,034
53,165
51,008
50,881
After 5 but within 10 years16,008
15,779
7,314
7,216
12,949
12,680
12,388
12,440
After 10 years(2)
973
1,069
945
992
2,502
2,588
2,176
2,280
Total$90,249
$90,697
$96,608
$96,471
$100,615
$100,533
$98,112
$98,148
All other(3)
      
Due within 1 year$1,248
$1,251
$2,786
$2,733
$3,998
$3,991
$2,629
$2,628
After 1 but within 5 years10,442
10,535
10,934
11,020
9,047
9,027
12,339
12,334
After 5 but within 10 years7,282
7,318
5,632
5,641
3,415
3,431
6,566
6,528
After 10 years(2)
6,256
6,220
7,749
7,721
1,887
1,875
2,974
2,931
Total$25,228
$25,324
$27,101
$27,115
$18,347
$18,324
$24,508
$24,421
Total debt securities AFS$296,920
$297,418
$284,735
$282,777
$292,220
$290,725
$299,892
$299,033
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate, asset-backed and other debt securities.


193


Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM at December 31, 2014 and 2013 were as follows:
In millions of dollars
Amortized
cost basis(1)
Net unrealized gains
(losses)
recognized in
AOCI
Carrying
value(2)
Gross
unrealized
gains
Gross
unrealized
(losses)
Fair
value
Adjusted amortized
cost basis(1)
Net unrealized gains
(losses)
recognized in
AOCI
Carrying
value(2)
Gross
unrealized
gains
Gross
unrealized
(losses)
Fair
value
December 31, 2014    
December 31, 2017December 31, 2017    
Debt securities held-to-maturity          
Mortgage-backed securities(3)
          
U.S. government agency guaranteed$8,795
$95
$8,890
$106
$(6)$8,990
$23,854
$26
$23,880
$40
$(157)$23,763
Prime60
(12)48
6
(1)53
—
—
—
—
—
—
Alt-A1,125
(213)912
537
(287)1,162
206
(65)141
57
—
198
Subprime6
(1)5
15
—
20
Non-U.S. residential983
(137)846
92
—
938
1,887
(46)1,841
65
—
1,906
Commercial8
—
8
1
—
9
237
—
237
—
—
237
Total mortgage-backed securities$10,977
$(268)$10,709
$757
$(294)$11,172
$26,184
$(85)$26,099
$162
$(157)$26,104
State and municipal(4)
$8,443
$(494)$7,949
$227
$(57)$8,119
$8,925
$(28)$8,897
$378
$(73)$9,202
Foreign government4,725
—
4,725
77
—
4,802
740
—
740
—
(18)722
Corporate—
—
—
—
—
—
Asset-backed securities(3)
556
(18)538
50
(10)578
17,588
(4)17,584
162
(22)17,724
Total debt securities held-to-maturity (5)
$24,701
$(780)$23,921
$1,111
$(361)$24,671
December 31, 2013  
 
 
 
 
Total debt securities held-to-maturity$53,437
$(117)$53,320
$702
$(270)$53,752
December 31, 2016  
 
 
 
 
Debt securities held-to-maturity 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities(3)
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agency guaranteed$22,462
$33
$22,495
$47
$(186)$22,356
Prime$72
$(16)$56
$5
$(2)$59
31
(7)24
10
(1)33
Alt-A1,379
(287)1,092
449
(263)1,278
314
(27)287
69
(1)355
Subprime2
—
2
1
—
3
Non-U.S. residential1,372
(206)1,166
60
(20)1,206
1,871
(47)1,824
49
—
1,873
Commercial10
—
10
1
—
11
14
—
14
—
—
14
Total mortgage-backed securities$2,835
$(509)$2,326
$516
$(285)$2,557
$24,692
$(48)$24,644
$175
$(188)$24,631
State and municipal$1,394
$(62)$1,332
$50
$(70)$1,312
$9,025
$(442)$8,583
$129
$(238)$8,474
Foreign government5,628
—
5,628
70
(10)5,688
1,339
—
1,339
—
(26)1,313
Corporate818
(78)740
111
—
851
Asset-backed securities(3)
599
(26)573
22
(10)585
11,107
(6)11,101
41
(5)11,137
Total debt securities held-to-maturity$11,274
$(675)$10,599
$769
$(375)$10,993
Total debt securities held-to-maturity(5)
$46,163
$(496)$45,667
$345
$(457)$45,555
(1)
For securities transferred to HTM from Trading account assets, adjusted amortized cost basis is defined as the fair value of the securities at the date of transfer plus any accretion income and less any impairments recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, adjusted amortized cost basis is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any other-than-temporary impairment recognized in earnings.
(2)HTM securities are carried on the Consolidated Balance Sheet at adjusted amortized cost basis, plus or minus any unamortized unrealized gains and losses and fair value hedge adjustments recognized in AOCI prior to reclassifying the securities from AFS to HTM. Changes in the values of these securities are not reported in the financial statements, except for the amortization of any difference between the carrying value at the transfer date and par value of the securities, and the recognition of any non-credit fair value adjustments in AOCI in connection with the recognition of any credit impairment in earnings related to securities the Company continues to intend to hold until maturity.
(3)The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 2221 to the Consolidated Financial Statements.
(4)The net unrealized losses recognized in AOCI
In the second quarter of 2017, Citi early adopted ASU 2017-08.Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of purchase premiums and cumulative fair value hedge adjustments that would have been recorded under the ASU on callable state and municipal debt securities are primarily attributablesecurities. See Note 1 to the effects of fair value hedge accounting applied when these debt securities were classified as AFS. Specifically, Citi hedged the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from AOCI to earnings attributable solely to changes in the LIBOR swap rate resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities. Upon transfer of these debt securities to HTM, all hedges have been de-designated and hedge accounting has ceased.Consolidated Financial Statements.

194


(5)
During the secondfourth quarter of 2014,2016, securities with a total fair value of approximately $11.8$5.8 billion were transferred from AFS to HTM, and comprised $5.4composed of $5 billion of U.S. government agency mortgage-backed securities and $6.4 billion$830 million of obligations of U.S. states and municipalities.municipal securities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call, in part, in order to reduce the impact of price volatility on AOCIand certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield over the remaining contractual life of each security.yield. Any net unrealized holding losses within AOCIrelated to the respective securities at the date of transfer, inclusive of any cumulative fair value hedge adjustments, will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount.

The Company has the positive intent and ability to hold these securities to maturity or, where applicable, the exercise of any issuer call options, absent any unforeseen significant changes in circumstances, including deterioration in credit or changes in regulatory capital requirements.
The net unrealized losses classified in AOCI for HTM securities primarily relate to debt securities previously classified as AFS that have beenwere transferred to HTM, and include any cumulative fair


value hedge adjustments. The net unrealized loss amount also includes any non-credit-related changes in fair value of HTM securities that have suffered credit impairment recorded in earnings. The AOCI balance related to HTM securities is amortized over the remaining contractual life of the related securities as an adjustment of yield, in a manner consistent with the accretion of any difference between the carrying value at the transfer date and par value of the same debt securities.
The table below shows the fair value of debt securities in HTM that have been in an unrecognized loss position as of December 31, 2014 and 2013 for less than 12 months and for 12 months or longer:position:


















Less than 12 months12 months or longerTotalLess than 12 months12 months or longerTotal
In millions of dollarsFair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses		Fair
value		Gross
unrecognized
losses
December 31, 2014    
December 31, 2017     
Debt securities held-to-maturity        
Mortgage-backed securities$4
$—
$1,134
$294
$1,138
$294
$46
$—
$15,096
$157
$15,142
$157
State and municipal2,528
34
314
23
2,842
57
353
5
835
68
1,188
73
Foreign government—
—
—
—
—
—
723
18
—
—
723
18
Asset-backed securities9
1
174
9
183
10
71
3
134
19
205
22
Total debt securities held-to-maturity$2,541
$35
$1,622
$326
$4,163
$361
$1,193
$26
$16,065
$244
$17,258
$270
December 31, 2013   
December 31, 2016     
Debt securities held-to-maturity        
Mortgage-backed securities$—
$—
$358
$285
$358
$285
$17
$—
$17,176
$188
$17,193
$188
State and municipal235
20
302
50
537
70
2,200
58
1,210
180
3,410
238
Foreign government920
10
—
—
920
10
1,313
26
—
—
1,313
26
Asset-backed securities98
6
198
4
296
10
2
—
2,503
5
2,505
5
Total debt securities held-to-maturity$1,253
$36
$858
$339
$2,111
$375
$3,532
$84
$20,889
$373
$24,421
$457
Note: Excluded from the gross unrecognized losses presented in the above table are $(780)$(117) million and $(675)$(496) million of net unrealized losses recorded in AOCI as of December 31, 20142017 and 2013December 31, 2016, respectively, primarily related to the difference between the amortized cost and carrying value of HTM securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at December 31, 20142017 and 2013.

December 31, 2016.








195


The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates as of December 31, 2014 and 2013:dates:
December 31,
2014201320172016
In millions of dollarsCarrying valueFair valueCarrying valueFair valueCarrying valueFair valueCarrying valueFair value
Mortgage-backed securities      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
720
720
760
766
After 5 but within 10 years863
869
10
11
148
149
54
55
After 10 years(1)
9,846
10,303
2,316
2,546
25,231
25,235
23,830
23,810
Total$10,709
$11,172
$2,326
$2,557
$26,099
$26,104
$24,644
$24,631
State and municipal      
Due within 1 year$36
$38
$8
$9
$407
$425
$406
$406
After 1 but within 5 years24
24
17
17
259
270
112
110
After 5 but within 10 years144
148
69
72
512
524
363
367
After 10 years(1)
7,745
7,909
1,238
1,214
7,719
7,983
7,702
7,591
Total$7,949
$8,119
$1,332
$1,312
$8,897
$9,202
$8,583
$8,474
Foreign government      
Due within 1 year$—
$—
$—
$—
$381
$381
$824
$818
After 1 but within 5 years4,725
4,802
5,628
5,688
359
341
515
495
After 5 but within 10 years—
—
—
—
—
—
—
—
After 10 years(1)
—
—
—
—
—
—
—
—
Total$4,725
$4,802
$5,628
$5,688
$740
$722
$1,339
$1,313
All other(2)
      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years—
—
740
851
—
—
—
—
After 5 but within 10 years—
—
—
—
1,669
1,680
513
514
After 10 years(1)
538
578
573
585
15,915
16,044
10,588
10,623
Total$538
$578
$1,313
$1,436
$17,584
$17,724
$11,101
$11,137
Total debt securities held-to-maturity$23,921
$24,671
$10,599
$10,993
$53,320
$53,752
$45,667
$45,555
(1)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(2)Includes corporate and asset-backed securities.


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

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

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


196



The Company’s review for impairment generally entails:

identification and evaluation of impaired investments;
analysis of individual investments that have fair values less than the amortized cost, including consideration of the length of time the investment has been in an unrealized loss position and the expected recovery period;
consideration of evidential matter, including an evaluation of factors or triggers that could cause individual investments to qualify as having other-than-temporary impairment and those that would not support other-than-temporary impairment; and
documentation of the results of these analyses, as required under business policies.

Debt Securities
The entire difference between the adjusted amortized cost basis and fair value is recognized in earnings as OTTI for impaired debt securities that the Company has an intent to sell or for which the Company believes it will more-likely-than-not be required to sell prior to recovery of the adjusted amortized cost basis. However, for those securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairment is recorded in AOCI.
For debt securities, credit impairment exists where the present value of cash flows management does not expectexpects to receive contractual principal and interest cash flowsis not sufficient to recover the entire amortized cost basis of a security.

Equity Securities
For equity securities, management considers the various factors described above, including its intent and ability to hold the equity security for a period of time sufficient for recovery to cost or whether it is more-likely-than-not that the Company will be required to sell the security prior to recovery of its cost basis. Where management lacks that intent or ability, the security’s decline in fair value is deemed to be other-than-temporary and is recorded in earnings. AFS equity securities deemed to be other-than-temporarily impaired are written down to fair value, with the full difference between fair value and cost recognized in earnings.
Management also assesses equity method investments that have fair values that are less than their respective carrying values for OTTI. Fair value is measured as price multiplied by quantity if the investee has publicly listed securities. If the investee is not publicly listed, other methods are used (see Note 2524 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would likely be required to sell with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings as OTTI regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.
For impaired equity method investments that management does not plan to sell and is not likely to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether
and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators, regardless of the time and extent of impairment:

the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;

the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and
the length of time and extent to which fair value has been less than the carrying value.

The sections below describe the Company’s process for identifying credit-related impairments for security types that have the most significant unrealized losses as of December 31, 2014.2017.

Akbank
As of December 31, 2014, Citi’s remaining 9.9% stake in Akbank T.A.S., an equity investment in Turkey (Akbank), is recorded within marketable equity securities available-for-sale. The revaluation of the Turkish lira was hedged, so the change in the value of the currency related to Akbank investment did not have a significant impact on earnings during the year.

Mortgage-backed securitiesMortgage-Backed Securities
For U.S. mortgage-backed securities, (and in particular for Alt-A and other mortgage-backed securities that have significant unrealized losses as a percentage of amortized cost), credit impairment is assessed using a cash flow model that estimates the principal and interest cash flows on the underlying mortgages using the security-specific collateral and transaction structure. The model distributes the estimated cash flows to the various tranches of securities, considering the transaction structure and any subordination and credit enhancements that exist in that structure. The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then estimates the remaining cash flows using a number of assumptions, including default rates, prepayment rates, recovery rates (on foreclosed properties) and loss severity rates (on non-agency mortgage-backed securities).
Management develops specific assumptions using market data, internal estimates and estimates published by rating agencies and other third-party sources. Default rates are projected by considering current underlying mortgage loan performance, generally assuming the default of (i) 10% of current loans, (ii) 25% of 30-5930–59 day delinquent loans, (iii) 70% of 60-9060–90 day delinquent loans and (iv) 100% of 91+ day delinquent loans. These estimates are extrapolated along a default timing curve to estimate the total lifetime pool default
rate. Other assumptions contemplate the actual collateral attributes, including geographic concentrations, rating actions and current market prices.


197


Cash flow projections are developed using different stress test scenarios. Management evaluates the results of those stress tests (including the severity of any cash shortfall indicated and the likelihood of the stress scenarios actually occurring based on the underlying pool’s characteristics and performance) to assess whether management expects to recover the amortized cost basis of the security. If cash flow projections indicate that the Company does not expect to recover its amortized cost basis, the Company recognizes the estimated credit loss in earnings.

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


Recognition and Measurement of OTTI
The following table presents thetables present total OTTI recognized in earnings for the year ended December 31, 2014:earnings:
OTTI on Investments and Other AssetsYear ended December 31, 2014Year ended 
  December 31, 2017
In millions of dollars
AFS(1)
HTM
Other
Assets
Total
AFS(1)
HTM
Other
assets
Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:   
Total OTTI losses recognized during the period$21
$5
$—
$26
$2
$—
$—
$2
Less: portion of impairment loss recognized in AOCI (before taxes)8
—
—
8
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$13
$5
$—
$18
$2
$—
$—
$2
Impairment losses recognized in earnings for securities that the Company intends to sell or more-likely-than-not will be required to sell before recovery380
26
—
406
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise59
2
—
61
Total impairment losses recognized in earnings$393
$31
$—
$424
$61
$2
$—
$63
(1)Includes OTTI on non-marketable equity securities.


The following table presents the total OTTI recognized in earnings for the year ended December 31, 2013:

OTTI on Investments and Other AssetsYear ended December 31, 2013Year ended 
  December 31, 2016
In millions of dollars
AFS(1)
HTM
Other
Assets (2)
Total
AFS(1)(2)
HTM
Other
assets (3)
Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:  
Total OTTI losses recognized during the period$9
$154
$—
$163
$3
$1
$—
$4
Less: portion of impairment loss recognized in AOCI (before taxes)—
98
—
98
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$9
$56
$—
$65
$3
$1
$—
$4
Impairment losses recognized in earnings for securities that the Company intends to sell or more-likely-than-not will be required to sell before recovery (2)
269
—
201
470
Impairment losses recognized in earnings for securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise246
38
332
616
Total impairment losses recognized in earnings$278
$56
$201
$535
$249
$39
$332
$620

(1)Includes OTTI on non-marketable equity securities.
(2)
Includes a $160 million impairment related to AFS securities affected by changes in the Venezuela exchange rate during the year ended December 31, 2016.
(3)The impairment charge relatesis related to the carrying value of Citi’s then-remaining 35% interestan equity investment, which was sold in the Morgan Stanley Smith Barney joint venture (MSSB), offset by the2016.
OTTI on Investments and Other Assets
Year ended
December 31, 2015
In millions of dollars
AFS(1)
HTMOther
assets		Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:    
Total OTTI losses recognized during the period$33
$1
$—
$34
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$33
$1
$—
$34
Impairment losses recognized in earnings for securities that the Company intends to sell or more-likely-than-not will be required to sell before recovery182
43
6
231
Total impairment losses recognized in earnings$215
$44
$6
$265

(1)Includes OTTI on non-marketable equity pickup from MSSB during the respective periods that was recorded in Other revenue.securities.


198






The following is aare 12-month roll-forwardrollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held as of December 31, 2014 that the Company does not intend to sell nor likely will be required to sell:

Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsDec. 31, 2013 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired		Reductions due to
credit-impaired
securities sold,
transferred or
matured		Dec. 31, 2014 balanceDec. 31, 2016 balance
Credit
impairments
recognized in
earnings on
securities not
previously
impaired
Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Reductions due to
credit-impaired
securities sold,
transferred or
matured(1)

Dec. 31, 2017 balance
AFS debt securities      
Mortgage-backed securities(2)$295
$—
$—
$—
$295
$—
$—
$—
$38
$38
State and municipal4
—
—
—
4
Foreign government securities171
—
—
—
171
—
—
—
—
—
Corporate113
8
—
(3)118
5
—
—
(1)4
All other debt securities144
5
—
—
149
22
—
2
(22)2
Total OTTI credit losses recognized for AFS debt securities$723
$13
$—
$(3)$733
$31
$—
$2
$15
$48
HTM debt securities        
Mortgage-backed securities(1)
$678
$5
$—
$(13)$670
Corporate56
—
—
(56)—
All other debt securities133
—
—
—
133
Mortgage-backed securities(1)(3)
$101
$—
$—
$(47)$54
State and municipal3
—
—
—
3
Total OTTI credit losses recognized for HTM debt securities$867
$5
$—
$(69)$803
$104
$—
$—
$(47)$57
(1) Includes $38 million in cumulative OTTI reclassified from HTM to AFS due to the transfer of the related securities from HTM to AFS.
(2) Primarily consists of Prime securities.
(3) Primarily consists of Alt-A securities.


 Cumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsDec. 31, 2015 balance
Credit
impairments
recognized in
earnings on
securities not
previously
impaired
Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Reductions due to
credit-impaired
securities sold,
transferred or
matured
Dec. 31, 2016 balance
AFS debt securities     
Mortgage-backed securities$—
$1
$—
$(1)$—
State and municipal12
—
—
(8)4
Foreign government securities5
—
—
(5)—
Corporate9
1
1
(6)5
All other debt securities47
—
—
(25)22
Total OTTI credit losses recognized for AFS debt securities$73
$2
$1
$(45)$31
HTM debt securities     
Mortgage-backed securities(1)
$132
$—
$—
$(31)$101
State and municipal

4
1
—
(2)3
Total OTTI credit losses recognized for HTM debt securities$136
$1
$—
$(33)$104
(1)Primarily consists of Alt-A securities.


Investments in Alternative Investment Funds That Calculate Net Asset Value per Share
The Company holds investments in certain alternative investment funds that calculate net asset value (NAV) per share,or its equivalent, including hedge funds, private equity funds, funds of funds and real estate funds. The Company’s investments include co-investmentsfunds, as provided by third-party asset managers. Investments in funds that are managed by the Company and investments in funds that are managed by third parties. Investments insuch funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company’s ownership interest in the funds, where it is not probable thatfunds. Some of these investments are in “covered funds” for purposes of the Company will sell an investment at a price other than the NAV.


 
Volcker Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with, covered funds. On April 21, 2017, Citi’s request for extension of the permitted holding period under the Volcker Rule for certain of its investments in illiquid funds was approved. This allows the Company to hold such investments until the earlier of 5 years from the July 21, 2017 (expiration date of the general conformance period), or the date such investments mature or are otherwise conformed with the Volcker Rule.



Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption notice
period
Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollars2014
2013
2014
2013
 December 31, 2017December 31, 2016December 31, 2017December 31, 2016 
Hedge funds$8
$751
$—
$—
Generally quarterly10-95 days$1
$4
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
796
794
205
170
—372
348
62
82
—
Real estate funds (2)(3)
166
294
24
36
—31
56
20
20
—
Total(4)
$970
$1,839
$229
$206
—$404
$408
$82
$102
—
(1)Private equity funds include funds that invest in infrastructure, leveraged buyout transactions, emerging markets and venture capital.
(2)With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
(3)Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.
(4)Included in the total fair value of investments above are $0.8 billion and $1.6 billion of fund assets that are valued using NAVs provided by third-party asset managers as of December 31, 2014 and December 31, 2013, respectively.


199


15.14.   LOANS
Citigroup loans are reported in two categories—consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans.
Consumer Loans
Consumer loans represent loans and leases managed primarily by the Global Consumer BankingGCB businesses in Citicorp and in Citi Holdings.Corporate/Other. The following table provides informationCiti’s consumer loans by loan type for the periods indicated:type:
December 31,
In millions of dollars2014201320172016
Consumer loans 
In U.S. offices  
Mortgage and real estate(1)
$96,533
$108,453
$65,467
$72,957
Installment, revolving credit, and other14,450
13,398
Installment, revolving credit and other3,398
3,395
Cards112,982
115,651
139,006
132,654
Commercial and industrial5,895
6,592
7,840
7,159
$229,860
$244,094
$215,711
$216,165
In offices outside the U.S.   
Mortgage and real estate(1)
$54,462
$55,511
$44,081
$42,803
Installment, revolving credit, and other31,128
33,182
Installment, revolving credit and other26,556
24,887
Cards32,032
36,740
26,257
23,783
Commercial and industrial22,561
24,107
20,238
16,568
Lease financing609
769
76
81
$140,792
$150,309
$117,208
$108,122
Total Consumer loans$370,652
$394,403
Total consumer loans$332,919
$324,287
Net unearned income(682)(572)$737
$776
Consumer loans, net of unearned income$369,970
$393,831
$333,656
$325,063
(1)
Loans secured primarily by real estate.

Citigroup has established a risk management process to monitor, evaluate and manage the principal risks associated with its consumer loan portfolio. Credit quality indicators that are actively monitored include delinquency status, consumer credit scores (FICO), and loan to value (LTV) ratios, each as discussed in more detail below.
Included in the loan table above are lending products whose terms may give rise to greater credit issues. Credit cards with below-market introductory interest rates and interest-only loans are examples of such products. These products are closely managed using credit techniques that are intended to mitigate their higher inherent risk.
During the years ended December 31, 20142017 and 2013,2016, the Company sold and/or reclassified to held-for-sale, $7.9$4.9 billion and $11.5$9.7 billion, respectively, of consumer loans. The Company did not have significant purchases of consumer loans during the year ended December 31, 2014. During the year ended December 31, 2013, Citi also acquired approximately $7 billion of loans related to the acquisition of Best Buy’s U.S. credit card portfolio.

Delinquency Status
Delinquency status is monitored and considered a key indicator of credit quality of consumer loans. Principally, the U.S. residential first mortgage loans use the Mortgage BankingBankers Association (MBA) method of reporting delinquencies, which considers a loan delinquent if a monthly payment has not been received by the end of the day immediately preceding the loan’s next due date. All other loans use a method of reporting delinquencies whichthat considers a loan delinquent if a monthly payment has not been received by the close of business on the loan’s next due date.
As a general policy, residential first mortgages, home equity loans and installment loans are classified as non-accrual when loan payments are 90 days contractually past due. Credit cards and unsecured revolving loans generally accrue interest until payments are 180 days past due. Home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage is 90 days or more past due. Mortgage loans, in regulated bank entities discharged through Chapter 7 bankruptcy, other than Federal Housing Administration (FHA)-insured loans, are classified as non-accrual.non-accrual within 60 days of notification that the borrower has filed for bankruptcy. Commercial market loans are placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due.
The policy for re-aging modified U.S. consumer loans to current status varies by product. Generally, one of the conditions to qualify for these modifications is that a minimum number of payments (typically ranging from one to three) be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for thea loan to be re-aged to current status is that at least three consecutive minimum monthly payments, or the equivalent amount, must be received. In addition, under FFIEC guidelines, the number of times that such a loan can be re-aged is subject to limitations (generally once in 12 months and twice in five years). Furthermore, FHA and Department of Veterans Affairs (VA) loans are modified under those respective agencies’ guidelines and payments are not always required in order to re-age a modified loan to current.






The following tables provide details on Citigroup’s consumer loan delinquency and non-accrual loans as of December 31, 2014 and December 31, 2013:
Consumer Loan Delinquency and Non-Accrual Details at December 31, 20142017
In millions of dollars
Total
current(1)(2)
30-89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices        
Residential first mortgages(5)$61,730
$1,280
$1,371
$3,443
$67,824
$2,746
$2,759
$47,366
$505
$280
$1,225
$49,376
$665
$941
Home equity loans(5)(7)
27,262
335
520
—
28,117
1,271
—
14,268
207
352
—
14,827
750
—
Credit cards111,441
1,316
1,271
—
114,028
—
1,273
136,588
1,528
1,613
—
139,729
—
1,596
Installment and other12,361
229
284
—
12,874
254
3
3,395
45
16
—
3,456
22
1
Commercial market loans8,630
31
13
—
8,674
135
15
9,395
51
65
—
9,511
213
15
Total$221,424
$3,191
$3,459
$3,443
$231,517
$4,406
$4,050
$211,012
$2,336
$2,326
$1,225
$216,899
$1,650
$2,553
In offices outside North America      
Residential first mortgages(5)$44,782
$312
$223
$—
$45,317
$454
$—
$37,062
$209
$148
$—
$37,419
$400
$—
Home equity loans(5)
—
—
—
—
—
—
—
Credit cards30,327
602
553
—
31,482
413
322
24,934
427
366
—
25,727
323
259
Installment and other29,297
328
149
—
29,774
216
—
25,634
275
123
—
26,032
157
—
Commercial market loans31,280
86
255
—
31,621
405
—
27,449
57
72
—
27,578
160
—
Total$135,686
$1,328
$1,180
$—
$138,194
$1,488
$322
$115,079
$968
$709
$—
$116,756
$1,040
$259
Total GCB and Citi Holdings
$357,110
$4,519
$4,639
$3,443
$369,711
$5,894
$4,372
Other238
10
11
—
259
30
—
Total GCB and Corporate/Other—consumer
$326,091
$3,304
$3,035
$1,225
$333,655
$2,690
$2,812
Other(8)
1
—
—
—
1
—
—
Total Citigroup$357,348
$4,529
$4,650
$3,443
$369,970
$5,924
$4,372
$326,092
$3,304
$3,035
$1,225
$333,656
$2,690
$2,812
(1)Loans less than 30 days past due are presented as current.
(2)Includes $43$25 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.6$0.2 billion and 90 days or more past due of $2.8$1.0 billion.
(5)Fixed rateIncludes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(6)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(7)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in GCB or Corporate/Other consumer credit metrics.

Consumer Loan Delinquency and Non-Accrual Details at December 31, 20132016
In millions of dollars
Total
current(1)(2)
30-89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
Total
current(1)(2)
30–89 days
past due(3)
≥ 90 days
past due(3)
Past due
government
guaranteed(4)
Total
loans(2)
Total
non-accrual
90 days past due
and accruing
In North America offices      
Residential first mortgages(5)$66,612
$2,044
$1,975
$5,271
$75,902
$3,415
$3,997
$50,766
$522
$371
$1,474
$53,133
$848
$1,227
Home equity loans(5)(7)
30,603
434
605
—
31,642
1,452
—
18,767
249
438
—
19,454
914
—
Credit cards113,886
1,491
1,452
—
116,829
—
1,452
130,327
1,465
1,509
—
133,301
—
1,509
Installment and other12,609
225
243
—
13,077
247
7
4,486
106
38
—
4,630
70
2
Commercial market loans8,630
26
28
—
8,684
112
7
8,876
23
74
—
8,973
328
14
Total$232,340
$4,220
$4,303
$5,271
$246,134
$5,226
$5,463
$213,222
$2,365
$2,430
$1,474
$219,491
$2,160
$2,752
In offices outside North America      
Residential first mortgages(5)$46,067
$435
$332
$—
$46,834
$584
$—
$35,862
$206
$135
$—
$36,203
$360
$—
Home equity loans(5)
—
—
—
—
—
—
—
Credit cards34,733
780
641
—
36,154
402
413
22,363
368
324
—
23,055
258
239
Installment and other30,138
398
158
—
30,694
230
—
22,683
264
126
—
23,073
163
—
Commercial market loans33,242
111
295
—
33,648
610
—
23,054
72
112
—
23,238
217
—
Total$144,180
$1,724
$1,426
$—
$147,330
$1,826
$413
$103,962
$910
$697
$—
$105,569
$998
$239
Total GCB and Citi Holdings
$376,520
$5,944
$5,729
$5,271
$393,464
$7,052
$5,876
Other338
13
16
—
367
43
—
Total GCB and Corporate/Other—consumer
$317,184
$3,275
$3,127
$1,474
$325,060
$3,158
$2,991
Other(9)
3
—
—
—
3
—
—
Total Citigroup$376,858
$5,957
$5,745
$5,271
$393,831
$7,095
$5,876
$317,187
$3,275
$3,127
$1,474
$325,063
$3,158
$2,991
(1)Loans less than 30 days past due are presented as current.
(2)Includes $0.9 billion$29 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $1.2$0.2 billion and 90 days or more past due of $4.1$1.3 billion.
(5)Fixed rateIncludes approximately $0.1 billion of residential first mortgage loans in process of foreclosure.
(6)Includes approximately $0.1 billion of home equity loans in process of foreclosure.
(7)Fixed-rate home equity loans and loans extended under home equity lines of credit, which are typically in junior lien positions.
(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Corporate/Other consumer credit metrics.

Consumer Credit Scores (FICO)
In the U.S., independent credit agencies rate an individual’s risk for assuming debt based on the individual’s credit history and assign every consumer a “FICO” (Fair Isaac Corporation) credit score. These scores are continually updated by the agencies based upon an individual’s credit actions (e.g., taking out a loan or missed or late payments).
The following tables provide details on the FICO scores attributable tofor Citi’s U.S. consumer loan portfolio as of December 31, 2014 and 2013based on end-of-period receivables (commercial market loans are not included inexcluded from the table since they are business-basedbusiness based and FICO scores are not a primary driver in their credit evaluation). FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.

FICO score distribution in U.S. portfolio(1)(2)
December 31, 2014
In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$8,911
$5,463
$45,783
Home equity loans3,257
2,456
20,957
Credit cards7,647
10,296
92,877
Installment and other4,015
2,520
5,150
Total$23,830
$20,735
$164,767
(1)
Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSCs) with U.S. government-sponsored entities and loans recorded at fair value.
(2)
Excludes balances where FICO was not available. Such amounts are not material.
FICO score distribution in U.S. portfolio(1)(2)
December 31, 2017
In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$2,100
$1,932
$42,265
Home equity loans1,379
1,081
11,976
Credit cards9,079
11,651
115,577
Installment and other276
250
2,485
Total$12,834
$14,914
$172,303
FICO score distribution in U.S. portfolio(1)(2)
December 31, 2013

In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$11,860
$6,426
$46,207
Home equity loans4,093
2,779
23,152
Credit cards8,125
10,693
94,437
Installment and other3,900
2,399
5,186
Total$27,978
$22,297
$168,982


FICO score distribution in U.S. portfolio(1)(2)
December 31, 2016

In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$2,744
$2,422
$44,279
Home equity loans1,750
1,418
14,743
Credit cards8,310
11,320
110,522
Installment and other284
271
2,601
Total$13,088
$15,431
$172,145
(1)Excludes loans guaranteed by U.S. government entities, loans subject to LTSCslong-term standby commitments (LTSCs) with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where FICO was not available. Such amounts are not material.

Loan to Value (LTV) Ratios
LTV ratios (loan balance divided by appraised value) are calculated at origination and updated by applying market price data.
The following tables provide details on the LTV ratios attributable tofor Citi’s U.S. consumer mortgage portfolios as of December 31, 2014 and 2013.portfolios. LTV ratios are updated monthly using the most recent Core Logic Home Price Index data available for substantially all of the portfolio applied at the Metropolitan Statistical Area level, if available, or the state level if not. The remainder of the portfolio is updated in a similar manner using the Federal Housing Finance Agency indices.
LTV distribution in U.S. portfolio(1)(2)
December 31, 2014December 31, 2017
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$48,163
$9,480
$2,670
$43,626
$2,578
$247
Home equity loans14,638
7,267
4,641
11,403
2,147
800
Total$62,801
$16,747
$7,311
$55,029
$4,725
$1,047
(1)
Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2)
Excludes balances where LTV was not available. Such amounts are not material.
LTV distribution in U.S. portfolio(1)(2)
December 31, 2013December 31, 2016
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$45,809
$13,458
$5,269
$45,849
$3,467
$324
Home equity loans14,216
8,685
6,935
12,869
3,653
1,305
Total$60,025
$22,143
$12,204
$58,718
$7,120
$1,629
(1)Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where LTV was not available. Such amounts are not material.


Impaired Consumer Loans
Impaired loans are those loans where CitigroupA loan is considered impaired when Citi believes it is probable that all amounts due according to the original contractual terms of the loan will not be collected. Impaired consumer loans include non-accrual commercial market loans, as well as smaller-balance homogeneous loans whose terms have been modified due to the borrower’s financial difficulties and where CitigroupCiti has granted a concession to the borrower. These modifications may include interest rate reductions and/or principal forgiveness. Impaired consumer loans exclude smaller-balance homogeneous loans that have not been modified and are carried on a non-accrual basis. In addition, impaired consumer loans exclude substantially all loans modified pursuant to Citi’s short-term modification programs (i.e., for periods of 12 months or less) that were modified prior to January 1, 2011.
As a result of OCC guidance issued in the third quarter of 2012, mortgage loans to borrowers who have gone through Chapter 7 bankruptcy are classified as troubled debt restructurings (TDRs). These TDRs, other than FHA-insured loans, are written down to collateral value less cost to sell. FHA-insured loans are reserved based on a discounted cash flow model.
The following tables present information about total impaired consumer loans at and for the periods ended December 31, 2014 and 2013, respectively, and for the years ended December 31, 2014 and 2013 for interest income recognized on impaired consumer loans:


 At and for the year ended December 31, 2014
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Interest income
recognized(5)(6)
Mortgage and real estate     
Residential first mortgages$13,551
$14,387
$1,909
$15,389
$690
Home equity loans2,029
2,674
599
2,075
74
Credit cards2,407
2,447
849
2,732
196
Installment and other     
Individual installment and other948
963
450
975
124
Commercial market loans423
599
110
381
22
Total$19,358
$21,070
$3,917
$21,552
$1,106

 At and for the year ended December 31, 2017
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Interest income
recognized(5)
Mortgage and real estate     
Residential first mortgages$2,877
$3,121
$278
$3,155
$119
Home equity loans1,151
1,590
216
1,181
28
Credit cards1,787
1,819
614
1,803
150
Installment and other     
Individual installment and other431
460
175
415
25
Commercial market loans334
541
51
429
20
Total$6,580
$7,531
$1,334
$6,983
$342
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2)$1,896607 million of residential first mortgages, $554$370 million of home equity loans and $158$10 million of commercial market loans do not have a specific allowance.
(3) Included in the Allowance for loan losses.
(4) Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.
(5) Includes amounts recognized on both an accrual and cash basis.
(6) Cash interest receipts on smaller-balance homogeneous loans are generally recorded as revenue. The interest recognition policy for commercial market loans is identical to that for corporate loans, as described below.

At and for the year ended December 31, 2013At and for the year ended December 31, 2016
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Interest income
recognized(5)(6)(7)

Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying 
value(4)
Interest income
recognized(5)(6)
Mortgage and real estate   
Residential first mortgages$16,801
$17,788
$2,309
$17,616
$790
$3,786
$4,157
$540
$4,632
$170
Home equity loans2,141
2,806
427
2,116
81
1,298
1,824
189
1,326
35
Credit cards3,339
3,385
1,178
3,720
234
1,747
1,781
566
1,831
158
Installment and other    
Individual installment and other1,114
1,143
536
1,094
153
455
481
215
475
27
Commercial market loans398
605
183
404
22
513
744
98
538
12
Total$23,793
$25,727
$4,633
$24,950
$1,280
$7,799
$8,987
$1,608
$8,802
$402
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount and direct write-downs and includes accrued interest only on credit card loans.
(2)$2,169740 million of residential first mortgages, $568$406 million of home equity loans and $111$97 million of commercial market loans do not have a specific allowance.
(3)
Included in the Allowance for loan losses.
(4)Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.
(5) Includes amounts recognized on both an accrual and cash basis.
(6) Cash interest receipts on smaller-balance homogeneous loans are generally recorded as revenue. The interest recognition policyInterest income recognized for commercial market loans is identical to that for corporate loans, as described below.the year ended December 31, 2015 was $728 million.
(7)Interest income recognized for the year ended December 31, 2012 was $1,520 million.




Consumer Troubled Debt Restructurings
The following tables present consumer TDRs occurring during the years ended December 31, 2014 and 2013:
 At and for the year ended December 31, 2014
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages20,114
$2,478
$52
$36
$16
1%
Home equity loans7,444
279
3
—
14
2
Credit cards185,962
808
—
—
—
15
Installment and other revolving46,838
351
—
—
—
7
Commercial markets(6)
191
35
—
—
1
—
Total(7)
260,549
$3,951
$55
$36
$31
 
International      
Residential first mortgages3,150
$103
$—
$—
$1
1%
Home equity loans67
11
—
—
—
—
Credit cards139,128
447
—
—
9
13
Installment and other revolving61,563
292
—
—
7
9
Commercial markets(6)
346
200
—
—
—
—
Total(7)
204,254
$1,053
$—
$—
$17
 

At and for the year ended December 31, 2013At and for the year ended December 31, 2017
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(8)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
Number of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages32,116
$4,160
$68
$25
$158
1%4,063
$580
$6
$—
$2
1%
Home equity loans12,774
552
1
—
92
1
2,807
247
16
—
1
1
Credit cards172,211
826
—
—
—
14
230,042
880
—
—
—
17
Installment and other revolving53,332
381
—
—
—
7
1,088
8
—
—
—
5
Commercial markets(6)
202
39
—
—
—
—
Commercial banking(6)
112
117
—
—
—
—
Total(7)(8)
270,635
$5,958
$69
$25
$250
 
238,112
$1,832
$22
$—
$3
 
International      
Residential first mortgages3,598
$159
$—
$—
$2
1%4,477
$123
$—
$—
$—
—%
Home equity loans68
2
—
—
—
—
Credit cards165,350
557
—
—
10
13
115,941
399
—
—
7
11
Installment and other revolving59,030
342
—
—
7
7
44,880
254
—
—
11
9
Commercial markets(6)
413
104
2
—
—
—
Total(7)
228,459
$1,164
$2
$—
$19
 
Commercial banking(6)
370
50
—
—
—
—
Total(8)
165,668
$826
$—
$—
$18
 
 At and for the year ended December 31, 2016
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages5,023
$726
$6
$—
$3
1%
Home equity loans4,100
200
6
—
1
2
Credit cards196,004
762
—
—
—
17
Installment and other revolving5,649
47
—
—
—
14
Commercial banking(6)
132
91
—
—
—
—
Total(8)
210,908
$1,826
$12
$—
$4
 
International      
Residential first mortgages2,722
$80
$—
$—
$—
—%
Credit cards137,466
385
—
—
9
12
Installment and other revolving60,094
276
—
—
7
7
Commercial banking(6)
162
109
—
—
—
—
Total(8)
200,444
$850
$—
$—
$16
 

(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $322$53 million of residential first mortgages and $80$21 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2014.2017. These amounts include $179$36 million of residential first mortgages and $69$18 million of home equity loans that were newly classified as TDRs in the year ended December 31, 2014 as a result ofduring 2017, based on previously received OCC guidance, as described above.guidance.
(3)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6) Commercial marketsbanking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7) Post-modification balances in North America include $74 million of residential first mortgages and $22 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2016. These amounts include $48 million of residential first mortgages and $20 million of home equity loans that were newly classified as TDRs during 2016, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.
(8) Post-modification balances in North America include $502 million of residential first mortgages and $101 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2013. These amounts include $332 million of residential first mortgages and $85 million of home equity loans that were newly classified as TDRs in the year ended December 31, 2013 as a result of OCC guidance, as described above.


The following table presents consumer TDRs that defaulted, during the years ended December 31, 2014 and 2013, respectively, for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial marketsbanking loans, where default is defined as 90 days past due.
Years ended December 31,
In millions of dollars2014201320172016
North America  
Residential first mortgages$715
$1,532
$253
$229
Home equity loans72
183
46
25
Credit cards194
204
221
188
Installment and other revolving95
91
2
9
Commercial markets9
3
Commercial banking2
15
Total$1,085
$2,013
$524
$466
International  
Residential first mortgages$24
$54
$11
$11
Home equity loans—
—
Credit cards217
198
185
148
Installment and other revolving104
104
96
90
Commercial markets105
15
Commercial banking1
37
Total$450
$371
$293
$286


200


Corporate Loans
Corporate loans represent loans and leases managed by the Institutional Clients Group ICGin Citicorp or, to a much lesser extent, in Citi Holdings.. The following table presents information by corporate loan type as of December 31, 2014 and December 31, 2013:type:
In millions of dollarsDecember 31,
2014		December 31,
2013		December 31,
2017		December 31,
2016
Corporate 
In U.S. offices  
Commercial and industrial$35,055
$32,704
$51,319
$49,586
Financial institutions36,272
25,102
39,128
35,517
Mortgage and real estate(1)
32,537
29,425
44,683
38,691
Installment, revolving credit and other29,207
34,434
33,181
34,501
Lease financing1,758
1,647
1,470
1,518
$134,829
$123,312
$169,781
$159,813
In offices outside the U.S.  
Commercial and industrial$79,239
$82,663
$93,750
$81,882
Financial institutions33,269
38,372
35,273
26,886
Mortgage and real estate(1)
6,031
6,274
7,309
5,363
Installment, revolving credit and other19,259
18,714
22,638
19,965
Lease financing356
527
190
251
Governments and official institutions2,236
2,341
5,200
5,850
$140,390
$148,891
$164,360
$140,197
Total Corporate loans$275,219
$272,203
Total corporate loans$334,141
$300,010
Net unearned income(554)(562)$(763)$(704)
Corporate loans, net of unearned income$274,665
$271,641
$333,378
$299,306
(1)Loans secured primarily by real estate.
 
The Company sold and/or reclassified (to held-for-sale) $4.8to held-for-sale $1.0 billion and $5.8$4.2 billion of corporate loans during the years ended December 31, 20142017 and 2013,2016, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the years ended December 31, 20142017 or 2013.2016.

Delinquency Status
Citi generally does not manage corporate loans on a delinquency basis. Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days and charged against current earnings, and interest is thereafter included in earnings only to the extent actually received in cash. When there is doubt regarding the ultimate collectability of principal, all cash receipts are thereafter applied to reduce the recorded investment in the loan. While corporate loans are generally managed based on their internally assigned risk rating (see further discussion below), the following tables present delinquency information by corporate loan type as of December 31, 2014 and December 31, 2013.type.

Corporate Loan Delinquency and Non-Accrual Details at December 31, 20142017
In millions of dollars
30-89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans (4)
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans (4)
Commercial and industrial$50
$—
$50
$575
$109,764
$110,389
$249
$13
$262
$1,506
$139,554
$141,322
Financial institutions2
—
2
250
67,580
67,832
93
15
108
92
73,557
73,757
Mortgage and real estate86
—
86
252
38,135
38,473
147
59
206
195
51,563
51,964
Leases—
—
—
51
2,062
2,113
68
8
76
46
1,533
1,655
Other49
1
50
55
49,844
49,949
70
13
83
103
60,145
60,331
Loans at fair value









5,858










4,349
Purchased Distressed Loans









51
Total$187
$1
$188
$1,183
$267,385
$274,665
$627
$108
$735
$1,942
$326,352
$333,378
Corporate Loan Delinquency and Non-Accrual Details at December 31, 2016
In millions of dollars
30–89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans (4)
Commercial and industrial$143
$52
$195
$1,909
$127,012
$129,116
Financial institutions119
2
121
185
61,254
61,560
Mortgage and real estate148
137
285
139
43,607
44,031
Leases27
8
35
56
1,678
1,769
Other349
12
361
132
58,880
59,373
Loans at fair value









3,457
Total$786
$211
$997
$2,421
$292,431
$299,306
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Citi generally does not manage corporate loans on a delinquency basis. Non-accrual loans generally include those loans that are ≥ 90 days past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.
(3)Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.

201


Corporate Loan Delinquency and Non-Accrual Details at December 31, 2013
In millions of dollars
30-89 days
past due
and accruing(1)
≥ 90 days
past due and
accruing(1)
Total past due
and accruing
Total
non-accrual(2)
Total
current(3)
Total
loans (4)
Commercial and industrial$72
$5
$77
$769
$112,985
$113,831
Financial institutions—
—
—
365
61,704
62,069
Mortgage and real estate183
58
241
515
34,027
34,783
Leases9
1
10
189
1,975
2,174
Other47
2
49
70
54,476
54,595
Loans at fair value 
 
 
 
 
4,072
Purchased Distressed Loans









117
Total$311
$66
$377
$1,908
$265,167
$271,641
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Citi generally does not manage corporate loans on a delinquency basis. Non-accrual loans generally include those loans that are ≥ 90 days past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.
(3)Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.

Citigroup has a risk management process to monitor, evaluate and manage the principal risks associated with its corporate loan portfolio. As part of its risk management process, Citi assigns numeric risk ratings to its corporate loan facilities based on quantitative and qualitative assessments of the obligor and facility. These risk ratings are reviewed at least annually or more often if material events related to the obligor or facility warrant. Factors considered in assigning the risk ratings include financial condition of the obligor, qualitative assessment of management and strategy, amount and sources of repayment, amount and type of collateral and guarantee arrangements, amount and type of any contingencies associated with the obligor and the obligor’s industry and geography.
The obligor risk ratings are defined by ranges of default probabilities. The facility risk ratings are defined by ranges of loss norms, which are the product of the probability of default and the loss given default. The investment grade rating categories are similar to the category BBB-/Baa3 and above as defined by S&P and Moody’s. Loans classified according to the bank regulatory definitions as special mention, substandard and doubtful will have risk ratings within the non-investment grade categories.



 





Corporate Loans Credit Quality Indicators at December 31, 2014 and December 31, 2013
 
Recorded investment in loans(1)
In millions of dollarsDecember 31, 2014December 31,
2013
Investment grade(2)
  
Commercial and industrial$80,812
$79,360
Financial institutions56,154
49,699
Mortgage and real estate16,068
13,178
Leases1,669
1,600
Other46,284
51,370
Total investment grade$200,987
$195,207
Non-investment grade(2)
  
Accrual  
Commercial and industrial$29,003
$33,702
Financial institutions11,429
12,005
Mortgage and real estate3,587
4,205
Leases393
385
Other3,609
3,155
Non-accrual  
Commercial and industrial575
769
Financial institutions250
365
Mortgage and real estate252
515
Leases51
189
Other55
70
Total non-investment grade$49,204
$55,360
Private bank loans managed on a delinquency basis (2)
$18,616
$17,002
Loans at fair value5,858
4,072
Corporate loans, net of unearned income$274,665
$271,641
 
Recorded investment in loans(1)
In millions of dollarsDecember 31, 2017December 31,
2016
Investment grade(2)
  
Commercial and industrial$101,313
$87,201
Financial institutions60,404
50,597
Mortgage and real estate23,213
18,718
Leases1,090
1,303
Other56,306
52,828
Total investment grade$242,326
$210,647
Non-investment grade(2)
  
Accrual  
Commercial and industrial$38,503
$39,874
Financial institutions13,261
10,873
Mortgage and real estate2,881
1,821
Leases518
410
Other3,924
6,450
Non-accrual  
Commercial and industrial1,506
1,909
Financial institutions92
185
Mortgage and real estate195
139
Leases46
56
Other103
132
Total non-investment grade$61,029
$61,849
Private bank loans managed on a delinquency basis(2)
$25,674
$23,353
Loans at fair value4,349
3,457
Corporate loans, net of unearned income$333,378
$299,306


202


(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Held-for-investment loans are accounted for on an amortized cost basis.
Corporate loans and leases identified as impaired and placed on non-accrual status are written down to the extent that principal is judged to be uncollectible.
Impaired collateral-dependent loans and leases, where repayment is expected to be provided solely by the sale of the underlying
collateral and there are no other available and reliable sources of repayment, are written down to the lower of cost or collateral value, less cost to sell. Cash-basis loans are returned to an accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance, generally six months, in accordance with the contractual terms of the loan.

The following tables present non-accrual loan information by corporate loan type at December 31, 2014 and December 31, 2013 and interest income recognized on non-accrual corporate loans for the years ended December 31, 2014 and 2013, respectively:loans:
Non-Accrual Corporate Loans
At and for the year ended December 31, 2014At and for the year ended December 31, 2017
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income
recognized(3)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Non-accrual corporate loans      
Commercial and industrial$575
$863
$155
$658
$32
$1,506
$1,775
$368
$1,547
$23
Financial institutions250
262
7
278
4
92
102
41
212
1
Mortgage and real estate252
287
24
263
8
195
324
11
183
10
Lease financing51
53
29
85
—
46
46
4
59
—
Other55
68
21
60
3
103
212
2
108
1
Total non-accrual corporate loans$1,183
$1,533
$236
$1,344
$47
$1,942
$2,459
$426
$2,109
$35
At and for the year ended December 31, 2013At and for the year ended December 31, 2016
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income
recognized(3)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Non-accrual corporate loans    
Commercial and industrial$769
$1,074
$79
$967
$30
$1,909
$2,259
$362
$1,919
$25
Financial institutions365
382
3
378
9
185
192
16
183
3
Mortgage and real estate515
651
35
585
3
139
250
10
174
6
Lease financing189
190
131
189
—
56
56
4
44
—
Other70
216
20
64
1
132
197
—
87
6
Total non-accrual corporate loans$1,908
$2,513
$268
$2,183
$43
$2,421
$2,954
$392
$2,407
$40


203


December 31, 2014December 31, 2013December 31, 2017December 31, 2016
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with valuation allowances      
Commercial and industrial$224
$155
$401
$79
$1,017
$368
$1,343
$362
Financial institutions37
7
24
3
88
41
45
16
Mortgage and real estate70
24
253
35
51
11
41
10
Lease financing47
29
186
131
46
4
55
4
Other55
21
61
20
13
2
1
—
Total non-accrual corporate loans with specific allowance$433
$236
$925
$268
$1,215
$426
$1,485
$392
Non-accrual corporate loans without specific allowance      
Commercial and industrial$351
 
$368
 
$489
 
$566
 
Financial institutions213
 
341
 
4
 
140
 
Mortgage and real estate182
 
262
 
144
 
98
 
Lease financing4
 
3
 
—
 
1
 
Other—
 
9
 
90
 
131
 
Total non-accrual corporate loans without specific allowance$750
N/A
$983
N/A
$727
N/A
$936
N/A
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowance.
(3)Interest income recognized for the year ended December 31, 20122015 was $98$11 million.
N/A Not Applicableapplicable


Corporate Troubled Debt Restructurings

The following table presents corporate TDR activity at and for the year ended December 31, 2014.2017:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$48
$30
$17
$1
$509
$131
$7
$371
Financial institutions—
—
—
—
15
—
—
15
Mortgage and real estate8
5
1
2
36
—
—
36
Other—
—
—
—
Total$56
$35
$18
$3
$560
$131
$7
$422

The following table presents corporate TDR activity at and for the year ended December 31, 2016:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$338
$176
$34
$128
Financial institutions10
10
—
—
Mortgage and real estate15
6
—
9
Other142
—
142
—
Total$505
$192
$176
$137
(1)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for commercialcorporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loan.loans.  Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.


204


The following table presents corporate TDR activity at and for the year ended December 31, 2013.
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$130
$55
$58
$17
Financial institutions—
—
—
—
Mortgage and real estate34
19
14
1
Other5
—
—
5
Total$169
$74
$72
$23

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

The following table presents total corporate loans modified in a TDR at December 31, 2014 and 2013, as well as those TDRs that defaulted during the three months ended December 31, 2014 and 2013 and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial marketsbanking loans, where default is defined as 90 days past due.
In millions of dollars
TDR balances at
December 31, 2014
TDR loans in payment default during the year ended
December 31, 2014
TDR balances at
December 31, 2013
TDR loans in payment default during the year ended
December 31, 2013
Commercial and industrial$117
$—
$197
$27
Loans to financial institutions—
—
14
—
Mortgage and real estate107
—
161
17
Other355
—
422
—
Total$579
$—
$794
$44


205


Purchased Distressed Loans
Included in the corporate and consumer loans outstanding tables above are purchased distressed loans, which are loans that have evidenced significant credit deterioration subsequent to origination but prior to acquisition by Citigroup. In accordance with SOP 03-3 (codified as ASC 310-30), the difference between the total expected cash flows for these loans and the initial recorded investment is recognized in income over the life of the loans using a level yield. Accordingly, these loans have been excluded from the impaired loan table information presented above. In addition, per SOP 03-3, subsequent decreases in the expected cash flows for a purchased distressed loan require a build of an
allowance so the loan retains its level yield. However, increases in the expected cash flows are first recognized as a reduction of any previously established allowance and then recognized as income prospectively over the remaining life of the loan by increasing the loan’s level yield. Where the expected cash flows cannot be reliably estimated, the purchased distressed loan is accounted for under the cost recovery method. The carrying amount of the Company’s purchased distressed loan portfolio was $361 million and $590 million, net of an allowance of $60 million and $113 million, at December 31, 2014 and 2013, respectively.



The changes in the accretable yield, related allowance and carrying amount net of accretable yield for 2014 and 2013 are as follows:
In millions of dollars
Accretable
yield
Carrying
amount of loan
receivable
Allowance
Balance at December 31, 2012$22
$537
$98
Purchases (1)
$46
$405
$—
Disposals/payments received(5)(199)(8)
Accretion(10)10
—
Builds (reductions) to the allowance22
—
25
Increase to expected cash flows3
—
—
FX/other—
(50)(2)
Balance at December 31, 2013 (2)
$78
$703
$113
Purchases (1)
$1
$46
$—
Disposals/payments received(6)(307)(15)
Accretion(24)24
—
Builds (reductions) to the allowance(36)—
(27)
Increase to expected cash flows23
—
—
FX/other(9)(45)(11)
Balance at December 31, 2014 (2)
$27
$421
$60
In millions of dollarsTDR balances at December 31, 2017TDR loans in payment default during the year ended December 31, 2017
TDR balances at
December 31, 2016
TDR loans in payment default during the year ended December 31, 2016
Commercial and industrial$617
$72
$408
$7
Financial institutions48
—
9
—
Mortgage and real estate101
—
87
8
Lease financing7
—
—
—
Other45
—
228
—
Total(1)
$818
$72
$732
$15

(1)The balance reported inabove tables reflect activity for loans outstanding as of the column “Carrying amountend of loan receivable” consists of $46 million and $405 million in 2014 and 2013, respectively, of purchased loans accounted for under the level-yield method. No purchased loansreporting period that were accounted for under the cost-recovery method. These balances represent the fair value of these loans at their acquisition date. The related total expected cash flows for the level-yield loans at their acquisition dates were $46 million and $451 million in 2014 and 2013, respectively.
(2)The balance reported in the column “Carrying amount of loan receivable” consists of $413 million and $691 million of loans accounted for under the level-yield method and $8 million and $12 million accounted for under the cost-recovery method in 2014 and 2013, respectively.considered TDRs.



206


16.15. ALLOWANCE FOR CREDIT LOSSES
 
In millions of dollars201420132012201720162015
Allowance for loan losses at beginning of period$19,648
$25,455
$30,115
$12,060
$12,626
$15,994
Gross credit losses(11,108)(12,769)(17,005)(8,673)(8,222)(9,041)
Gross recoveries (3)(1)
2,135
2,306
2,774
1,597
1,661
1,739
Net credit losses (NCLs)$(8,973)$(10,463)$(14,231)$(7,076)$(6,561)$(7,302)
NCLs$8,973
$10,463
$14,231
$7,076
$6,561
$7,302
Net reserve releases(1,879)(1,961)(1,908)
Net reserve builds (releases)544
340
139
Net specific reserve releases(266)(898)(1,865)(117)(152)(333)
Total provision for credit losses$6,828
$7,604
$10,458
Other, net (4)
(1,509)(2,948)(887)
Total provision for loan losses$7,503
$6,749
$7,108
Other, net (see table below)(132)(754)(3,174)
Allowance for loan losses at end of period$15,994
$19,648
$25,455
$12,355
$12,060
$12,626
Allowance for credit losses on unfunded lending commitments at beginning of period (5)
$1,229
$1,119
$1,136
$1,418
$1,402
$1,063
Provision (release) for unfunded lending commitments(162)80
(16)(161)29
74
Other, net(2)(4)30
(1)1
(13)265
Allowance for credit losses on unfunded lending commitments at end of period (5)(3)
$1,063
$1,229
$1,119
$1,258
$1,418
$1,402
Total allowance for loans, leases, and unfunded lending commitments$17,057
$20,877
$26,574
Total allowance for loans, leases and unfunded lending commitments$13,613
$13,478
$14,028

(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)20122015 includes approximately $635a reclassification of $271 million of incremental charge-offs related to OCC guidance issued in the third quarter of 2012 (see Note 1 to the Consolidated Financial Statements). There was a corresponding approximately $600 million release in the third quarter of 2012 allowanceAllowance for loan losses related to these charge-offs. 2012 also includesAllowance for unfunded lending commitments, included in Other, net. This reclassification reflects the re-attribution of $271 million in Allowances for credit losses between the funded and unfunded portions of the corporate credit portfolios and does not reflect a benefit to charge-offs of approximately $40 million related to finalizing the impact of this OCC guidancechange in the fourth quarterunderlying credit performance of 2012.these portfolios.
(3)2012 includes approximately $370 million of incremental charge-offs related to previously deferred principal balances on modified loans in the first quarter of 2012. These charge-offs were related to anticipated forgiveness of principal in connection with the national mortgage settlement. There was a corresponding approximately $350 million reserve release in the first quarter of 2012 related to these charge-offs.
(4)
2014 includes reductions of approximately $1.1 billion related to the sale or transfer to held-for-sale (HFS) of various loan portfolios, which includes approximately $411 million related to the transfer of various real estate loan portfolios to HFS, approximately $204 million related to the transfer to HFS of a business in Greece, approximately $177 million related to the transfer to HFS of a business in Spain, approximately $29 million related to the transfer to HFS of a business in Honduras, and approximately $108 million related to the transfer to HFS of various EMEA loan portfolios. Additionally, 2014 includes a reduction of approximately $463 million related to foreign currency translation. 2013 includes reductions of approximately $2.4 billion related to the sale or transfer to held-for-sale of various loan portfolios, which includes approximately $360 million related to the sale of Credicard and approximately $255 million related to a transfer to held-for-sale of a loan portfolio in Greece, approximately $230 million related to a non-provision transfer of reserves associated with deferred interest to other assets which includes deferred interest and approximately $220 million related to foreign currency translation. 2012 includes reductions of approximately $875 million related to the sale or transfer to held-for-sale of various U.S. loan portfolios.
(5)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

207


Allowance for Credit Losses and Investment in Loans at December 31, 2014
In millions of dollarsCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,584
$17,064
$19,648
Charge-offs(427)(10,681)(11,108)
Recoveries139
1,996
2,135
Replenishment of net charge-offs288
8,685
8,973
Net reserve releases(133)(1,746)(1,879)
Net specific reserve releases(20)(246)(266)
Other(42)(1,467)(1,509)
Ending balance$2,389
$13,605
$15,994
Allowance for loan losses 
 
 
Determined in accordance with ASC 450$2,110
$9,673
$11,783
Determined in accordance with ASC 310-10-35235
3,917
4,152
Determined in accordance with ASC 310-3044
15
59
Total allowance for loan losses$2,389
$13,605
$15,994
Loans, net of unearned income





Loans collectively evaluated for impairment in accordance with ASC 450$267,271
$350,199
$617,470
Loans individually evaluated for impairment in accordance with ASC 310-10-351,485
19,358
20,843
Loans acquired with deteriorated credit quality in accordance with ASC 310-3051
370
421
Loans held at fair value5,858
43
5,901
Total loans, net of unearned income$274,665
$369,970
$644,635
Other, net details:   
In millions of dollars201720162015
Sales or transfers of various consumer loan portfolios to held-for-sale   
Transfer of real estate loan portfolios$(106)$(106)$(1,462)
Transfer of other loan portfolios(155)(468)(948)
Sales or transfers of various consumer loan portfolios to held-for-sale$(261)$(574)$(2,410)
FX translation, consumer115
(199)(474)
Other14
19
(290)
Other, net$(132)$(754)$(3,174)


Allowance for Credit Losses and Investment in Loans at December 31, 20132017

In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,776
$22,679
$25,455
$2,702
$9,358
$12,060
Charge-offs(369)(12,400)(12,769)(491)(8,182)(8,673)
Recoveries168
2,138
2,306
112
1,485
1,597
Replenishment of net charge-offs201
10,262
10,463
379
6,697
7,076
Net reserve releases(199)(1,762)(1,961)
Net specific reserve releases(1)(897)(898)
Net reserve builds (releases)(267)811
544
Net specific reserve builds (releases)28
(145)(117)
Other8
(2,956)(2,948)23
(155)(132)
Ending balance$2,584
$17,064
$19,648
$2,486
$9,869
$12,355
Allowance for loan losses 
 
 
 
 
 
Determined in accordance with ASC 450$2,232
$12,402
$14,634
Determined in accordance with ASC 310-10-35268
4,633
4,901
Determined in accordance with ASC 310-3084
29
113
Collectively evaluated in accordance with ASC 450$2,060
$8,531
$10,591
Individually evaluated in accordance with ASC 310-10-35426
1,334
1,760
Purchased credit-impaired in accordance with ASC 310-30—
4
4
Total allowance for loan losses$2,584
$17,064
$19,648
$2,486
$9,869
$12,355
Loans, net of unearned income





   
Loans collectively evaluated for impairment in accordance with ASC 450$265,230
$368,449
$633,679
Loans individually evaluated for impairment in accordance with ASC 310-10-352,222
23,793
26,015
Loans acquired with deteriorated credit quality in accordance with ASC 310-30117
632
749
Loans held at fair value4,072
957
5,029
Collectively evaluated for impairment in accordance with ASC 450$327,142
$326,884
$654,026
Individually evaluated for impairment in accordance with ASC 310-10-351,887
6,580
8,467
Purchased credit-impaired in accordance with ASC 310-30—
167
167
Held at fair value4,349
25
4,374
Total loans, net of unearned income$271,641
$393,831
$665,472
$333,378
$333,656
$667,034


208

Allowance for Credit Losses and Investment in Loans at December 31, 2016
In millions of dollarsCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,791
$9,835
$12,626
Charge-offs(580)(7,642)(8,222)
Recoveries67
1,594
1,661
Replenishment of net charge-offs513
6,048
6,561
Net reserve builds (releases)(85)425
340
Net specific reserve builds (releases)—
(152)(152)
Other(4)(750)(754)
Ending balance$2,702
$9,358
$12,060
Allowance for loan losses 
 
 
Collectively evaluated in accordance with ASC 450$2,310
$7,744
$10,054
Individually evaluated in accordance with ASC 310-10-35392
1,608
2,000
Purchased credit-impaired in accordance with ASC 310-30—
6
6
Total allowance for loan losses$2,702
$9,358
$12,060
Loans, net of unearned income   
Collectively evaluated for impairment in accordance with ASC 450$293,218
$317,048
$610,266
Individually evaluated for impairment in accordance with ASC 310-10-352,631
7,799
10,430
Purchased credit-impaired in accordance with ASC 310-30—
187
187
Held at fair value3,457
29
3,486
Total loans, net of unearned income$299,306
$325,063
$624,369




Allowance for Credit Losses at December 31, 20122015

In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,879
$27,236
$30,115
$2,447
$13,547
$15,994
Charge-offs(640)(16,365)(17,005)(349)(8,692)(9,041)
Recoveries417
2,357
2,774
105
1,634
1,739
Replenishment of net charge-offs223
14,008
14,231
244
7,058
7,302
Net reserve build (releases)2
(1,910)(1,908)
Net specific reserve releases(138)(1,727)(1,865)
Net reserve builds (releases)550
(411)139
Net specific reserve builds (releases)86
(419)(333)
Other33
(920)(887)(292)(2,882)(3,174)
Ending balance$2,776
$22,679
$25,455
$2,791
$9,835
$12,626


209


17.16.   GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill during 2014 and 2013 were as follows:
In millions of dollars 
Balance at December 31, 2012$25,673
Foreign exchange translation$(577)
Smaller acquisitions/divestitures, purchase accounting adjustments and other(25)
Sale of Brazil Credicard(62)
Balance at December 31, 2013$25,009
Foreign exchange translation and other$(1,214)
Smaller acquisitions/divestitures, purchase accounting adjustments and other(203)
Balance at December 31, 2014$23,592

In millions of dollars 
Balance at December 31, 2014$23,592
Foreign exchange translation and other$(1,000)
Divestitures(1)
(212)
Impairment of goodwill(2)
(31)
Balance at December 31, 2015$22,349
Foreign exchange translation and other

$(613)
Divestitures(3)
(77)
Balance at December 31, 2016$21,659
Foreign exchange translation and other$729
Divestitures(4)
(104)
Impairment of goodwill(5)
(28)
Balance at December 31, 2017$22,256

The changes in Goodwill by segment during 2014 and 2013 were as follows:
In millions of dollarsGlobal Consumer BankingInstitutional Clients GroupCiti HoldingsTotal
Balance at December 31, 2012$14,539
$10,981
$153
$25,673
Goodwill disposed of during 2013 (1)
$(82)$—
$—
$(82)
Other (2)
(472)(113)3
$(582)
Balance at December 31, 2013$13,985
$10,868
$156
$25,009
Goodwill disposed of during 2014 (3)
$(86)$(1)$(116)$(203)
Other (2)
(505)(711)2
$(1,214)
Balance at December 31, 2014$13,394
$10,156
$42
$23,592
In millions of dollarsGlobal Consumer BankingInstitutional Clients Group
Corporate/Other(6)
Total
Balance at December 31, 2015(7)
$12,704
$9,545
$100
$22,349
Foreign exchange translation and other$(174)$(447)$8
$(613)
Divestitures(3)
—
(13)(64)(77)
Balance at December 31, 2016$12,530
$9,085
$44
$21,659
Foreign exchange translation and other$286
$443
$—
$729
Divestitures(4)
(32)(72)—
(104)
Impairment of goodwill(5)
—
—
(28)(28)
Balance at December 31, 2017$12,784
$9,456
$16
$22,256

(1)Primarily related to the salesales of Credicard.the Latin America Retirement Services and Japan cards businesses completed in 2015, and agreements to sell certain businesses in Citi Holdings as of December 31, 2015. See Note 2 to the Consolidated Financial Statements.
(2)
Other changes in Goodwill impairment related to reporting units subsequently sold, including Citi Holdings—GoodwillConsumer Finance South Korea primarily reflect foreign exchange effects on non-dollar-denominated goodwillof $16 million and purchase accounting adjustments.Citi Holdings—Consumer Latin America of $15 million.
(3)Primarily related to the sale of the Spainprivate equity services business completed in 2016 and agreements to sell Argentina and Brazil consumer operations as of December 31, 2016.
(4)Primarily related to the sale of a fixed income analytics business and thea fixed income index business completed in 2017 and an agreement to sell the Japan retail banking business.a Mexico asset management business as of December 31, 2017. See Note 2 to the Consolidated Financial Statements.
(5)
Goodwill impairment related to the mortgage servicing business upon transfer from North America GCB to Corporate/Other effective January 1, 2017.
(6)
All Citi Holdings reporting units are presented in Corporate/Other. See Note 3 to the Consolidated Financial Statements.
(7)
December 31, 2015 has been restated to reflect intersegment goodwill allocations that resulted from the reorganizations in 2016 and on January 1, 2017 including transfers of GCB businessesto ICG and to Corporate/Other. See Note 3 to the Consolidated Financial Statements.


Goodwill impairment testing is performed at the level below theeach business segmentssegment (referred to as a reporting unit). The Company performed its annual goodwill impairment test as of July 1, 2014 resulting in no impairment for any2017. The fair values of the Company’s reporting units. Theunits exceeded their carrying values by approximately 32% to 168% and no reporting unit structure in 2014 was the same as the reporting unit structure in 2013,is at risk of impairment, except for the effect of the Citi Holdings—ICGConsumer Latin America reorganization during the first quarter of 2014 noted below and the sale involving the Citi Holdings—Cards reporting unit during the third quarter of 2014..
Effective January 1, 2014, the businesses within the legacy Interim impairment tests were performed for Citi Holdings—ICG reporting units, Securities and Banking and Transaction ServicesConsumer Latin America, were realigned and aggregatedwhich is reported as Banking and Markets and securities services (Markets). An interim goodwill impairment test was performed on the impacted reporting units aspart of January 1, 2014, resulting in no impairment. Subsequent to January 1, 2014, goodwill was allocated to disposals and tested for impairment under Banking and Markets. Furthermore, on September 22, 2014, Citi sold its consumer operations in Spain, which included the Citi Holdings—Cards reporting unit. As a result, 100%Corporate/Other, for all other quarters in 2017.
 
While there is no indication of impairment, each interim impairment test showed that the fair value of Citi HoldingsHoldings——CardsConsumer Latin America reporting unit, which has $16 million of goodwill, balance was allocated to the sale. No other interim goodwill impairment tests were performed during 2014, other than the test performed related to the ICG reorganization discussed above.     
No goodwill was deemed impaired in 2014, 2013 and 2012.


210


only marginally exceeded its carrying value. The following table shows reporting units with goodwill balances as of December 31, 2014 and the fair value as a percentage of allocated book value as of December 31, 2017 was 111%. Subsequently, on January 31, 2018, Citi executed a definitive agreement to sell the annual impairment test.reporting unit and allocated the entire goodwill to the sale, which is expected to result in a pre-tax gain upon closing.

Further, effective January 1, 2017, the mortgage servicing business in North America GCB was reorganized and is now reported as part of Corporate/Other. Goodwill was allocated to the transferred business based on its relative fair value to the legacy North America GCB reporting unit. An interim test was performed under both the legacy and current reporting unit structures, which resulted in full impairment of the $28 million of allocated goodwill upon transfer to Citi Holdings—REL, recorded in Operating expenses in 2017.

In millions of dollars  
Reporting Unit(1)
Fair Value as a % of allocated book valueGoodwill
North America Global Consumer Banking260%$6,756
EMEA Global Consumer Banking178
332
Asia Global Consumer Banking264
4,704
Latin America Global Consumer Banking214
1,602
Banking404
3,481
Markets and Securities Services200
6,675
Latin America Retirement Services193
42






Intangible Assets
The components of intangible assets were as follows:
 December 31, 2017December 31, 2016
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,375
$3,836
$1,539
$8,215
$6,549
$1,666
Credit card contract related intangibles5,045
2,456
2,589
5,149
2,177
2,972
Core deposit intangibles639
628
11
801
771
30
Other customer relationships459
272
187
474
272
202
Present value of future profits32
28
4
31
27
4
Indefinite-lived intangible assets244
—
244
210
—
210
Other100
86
14
504
474
30
Intangible assets (excluding MSRs)$11,894
$7,306
$4,588
$15,384
$10,270
$5,114
Mortgage servicing rights (MSRs)(1)
558
—
558
1,564
—
1,564
Total intangible assets$12,452
$7,306
$5,146
$16,948
$10,270
$6,678
(1)In January 2017, Citi signed agreements to effectively exit its U.S. mortgage servicing operations by the end of 2018 and intensify its focus on loan originations.  For additional information on these transactions, see Note 2 to the Consolidated Financial Statements.

Intangible assets amortization expense was $603 million, $595 million and $625 million for 2017, 2016 and 2015, respectively. Intangible assets amortization expense is estimated to be $503 million in 2018, $479 million in 2019, $332 million in 2020, $314 million in 2021 and $866 million in 2022.


The changes in intangible assets were as follows:
 Net carrying
amount at		    
Net carrying
amount at
In millions of dollarsDecember 31, 2016Acquisitions/ divestituresAmortizationImpairmentsFX translation and otherDecember 31,
2017
Purchased credit card relationships$1,666
$20
$(149)$—
$2
$1,539
Credit card contract-related intangibles(1)
2,972
9
(393)—
1
2,589
Core deposit intangibles30
—
(20)—
1
11
Other customer relationships202
—
(24)—
9
187
Present value of future profits4
—
—
—
—
4
Indefinite-lived intangible assets210
—
—
—
34
244
Other30
(14)(17)—
15
14
Intangible assets (excluding MSRs)$5,114
$15
$(603)$—
$62
$4,588
Mortgage servicing rights (MSRs)(2)
1,564
    558
Total intangible assets$6,678
    $5,146

(1)
Citi Holdings—Other is excluded fromPrimarily reflects contract-related intangibles associated with the tableAmerican Airlines, The Home Depot, Costco, Sears and AT&T credit card program agreements, which represent 97% of the aggregate net carrying amount as there is no goodwill allocated to it.


During the fourth quarter of 2014, Citi announced its intention to exit its consumer businesses in 11 markets in Latin America, Asia and EMEA, as well as its consumer finance business in Korea. Citi also announced its intention to exit several non-core transactions businesses within ICG. Effective January 1, 2015, these businesses were transferred to Citi Holdings and aggregated to five new reporting units: Citi Holdings—Consumer EMEA, Citi Holdings—Consumer Latin America, Citi Holdings—Consumer Japan, Citi Holdings—Consumer Finance South Korea, and Citi Holdings—ICG.  Goodwill balances associated with the transfers were allocated to each of the component businesses based on their relative fair values to the legacy reporting units.



Intangible Assets
The components of intangible assets as of December 31, 2014 and December 31, 2013 were as follows:
 December 31, 2014December 31, 2013
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$7,626
$6,294
$1,332
$7,552
$6,006
$1,546
Core deposit intangibles1,153
1,021
132
1,255
1,052
203
Other customer relationships579
331
248
675
389
286
Present value of future profits233
154
79
238
146
92
Indefinite-lived intangible assets290
—
290
323
—
323
Other(1)
5,217
2,732
2,485
5,073
2,467
2,606
Intangible assets (excluding MSRs)$15,098
$10,532
$4,566
$15,116
$10,060
$5,056
Mortgage servicing rights (MSRs) (2)
1,845
—
1,845
2,718
—
2,718
Total intangible assets$16,943
$10,532
$6,411
$17,834
$10,060
$7,774
(1)Includes contract-related intangible assets.of December 31, 2017.
(2)For additional information on Citi’s MSRs, including the roll-forwardrollforward from 20132016 to 2014,2017, see Note 2221 to the Consolidated Financial Statements.


Intangible assets amortization expense was $756 million, $808 million and $856 million for 2014, 2013 and 2012, respectively. Intangible assets amortization expense is estimated to be $659 million in 2015, $634 million in 2016, $938 million in 2017, $411 million in 2018 and $368 million in 2019.






211


The changes in intangible assets during the 12 months ended December 31, 2014 were as follows:
 Net carrying
amount at		    
Net carrying
amount at
In millions of dollarsDecember 31, 2013
Acquisitions/
divestitures
AmortizationImpairments
FX and
other (1)
December 31, 2014
Purchased credit card relationships$1,546
$110
$(324)$—
$—
$1,332
Core deposit intangibles203
(6)(59)—
(6)132
Other customer relationships286
14
(28)—
(24)248
Present value of future profits92
—
(12)—
(1)79
Indefinite-lived intangible assets323
(2)—
—
(31)290
Other2,606
157
(333)(2)57
2,485
Intangible assets (excluding MSRs)$5,056
$273
$(756)$(2)$(5)$4,566
Mortgage servicing rights (MSRs) (2)
2,718
    1,845
Total intangible assets$7,774
    $6,411
(1)Includes foreign exchange translation and purchase accounting adjustments.
(2)For additional information on Citi’s MSRs, including the roll-forward from 2013 to 2014, see Note 22 to the Consolidated Financial Statements.



212


18.17.   DEBT
Short-Term Borrowings
 20142013
In millions of dollarsBalanceWeighted average couponBalanceWeighted average coupon
Commercial paper



Significant Citibank entities(1)
$16,085
0.22%$17,677
0.25%
Parent(2)
70
0.95
201
1.11
Total Commercial paper$16,155
0.23%$17,878
0.26%
Other borrowings (3)
$42,180
0.53%$41,066
0.87%
Total$58,335
 $58,944

 December 31,

20172016
In millions of dollarsBalanceWeighted average couponBalanceWeighted average coupon
Commercial paper$9,940
1.28%$9,989
0.79%
Other borrowings(1)
34,512
1.62
20,712
1.39
Total$44,452
 $30,701


(1)Significant Citibank Entities consist of Citibank, N.A. units domiciled in the U.S., Western Europe, Hong Kong and Singapore.
(2)Parent includes the parent holding company (Citigroup Inc.) and Citi’s broker-dealer subsidiaries that are consolidated into Citigroup.
(3)Includes borrowings from the Federal Home Loan Banks and other market participants. At both December 31, 20142017 and December 31, 2013,2016, collateralized short-term advances from the Federal Home Loan Banks were $11.2 billion.$23.8 billion and $12.0 billion, respectively.

Borrowings under bank lines of credit may be at interest rates based on LIBOR, CD rates, the prime rate or bids submitted by the banks. Citigroup pays commitment fees for its lines of credit.
Some of Citigroup’s non-bank subsidiaries have credit facilities with Citigroup’s subsidiary depository institutions, including Citibank, N.A.Citibank. Borrowings under these facilities are secured in accordance with Section 23A of the Federal Reserve Act.
Citigroup Global Markets Holdings Inc. (CGMHI) has borrowing agreements consisting of facilities that CGMHI has been advised are available, but where no contractual lending obligation exists. These arrangements are reviewed on an ongoing basis to ensure flexibility in meeting CGMHI’s short-term requirements.
 

Long-Term Debt



Balances at
December 31,


Balances at
December 31,
In millions of dollars
Weighted
average
coupon
Maturities20142013
Weighted
average
coupon
Maturities20172016
Citigroup Inc.(1)






Senior debt3.85%2015-2098$122,323
$124,857
4.15%2018-2098$123,488
$118,881
Subordinated debt(2)
4.48
2015-204425,464
28,039
4.48
2018-204626,963
26,758
Trust preferred
securities
6.90
2036-20671,725
3,908
6.90
2036-20671,712
1,694
Bank(3)
      
Senior debt1.74
2015-203865,146
56,039
2.06
2018-204965,856
49,454
Subordinated debt(2)
—
——
418
Broker-dealer(4)
      
Senior debt4.06
2015-20398,399
7,831
3.44
2018-205718,666
9,387
Subordinated debt(2)
2.07
2016-203723
24
5.37
2021-203724
4
Total(5)
3.34% $223,080
$221,116
Total3.57% $236,709
$206,178
Senior debt  $195,868
$188,727
  $208,010
$177,722
Subordinated debt(2)
  25,487
28,481
  26,987
26,762
Trust preferred
securities
  1,725
3,908
  1,712
1,694
Total  $223,080
$221,116
  $236,709
$206,178

(1)ParentRepresents the parent holding company, Citigroup Inc.company.
(2)Includes notes that are subordinated within certain countries, regions or subsidiaries.
(3)Represents the Significant Citibank Entitiesentities as well as other Citibank and Banamexbank entities. At December 31, 20142017 and December 31, 2013,2016, collateralized long-term advances from the Federal Home Loan Banks were $19.8$19.3 billion and $14.0$21.6 billion, respectively.
(4)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.
(5)Includes senior notes with carrying values of $87 million issued to outstanding Safety First Trusts at December 31, 2013. As of December 31, 2014, no amounts were outstanding to these trusts.

The Company issues both fixedfixed- and variable ratevariable-rate debt in a range of currencies. It uses derivative contracts, primarily interest rate swaps, to effectively convert a portion of its fixed ratefixed-rate debt to variable rate debt and variable rate debt to fixed ratevariable-rate debt. The maturity structure of the derivatives generally corresponds to the maturity structure of the debt being hedged. In addition, the Company uses other derivative contracts to manage the foreign exchange impact of certain debt issuances. At December 31, 2014,2017, the Company’s overall weighted average interest rate for long-term debt was 3.34%3.57% on a contractual basis and 2.48%2.70% including the effects of derivative contracts.





213


Aggregate annual maturities of long-term debt obligations (based on final maturity dates) including trust preferred securities are as follows:
In millions of dollars2015
2016
2017
2018
2019
Thereafter
Total
2018
2019
2020
2021
2022
Thereafter
Total
Citigroup Inc.$20,050
$16,656
$9,565
$15,499
$9,627
$80,766
$152,163
Bank$14,459
$21,248
$14,190
$9,128
$2,146
$3,975
$65,146
29,270
17,245
10,302
4,077
1,471
3,491
65,856
Broker-dealer760
708
210
141
1,725
4,878
8,422
4,158
2,388
3,321
1,443
1,266
6,114
18,690
Citigroup Inc.15,851
20,172
25,849
12,748
18,246
56,646
149,512
Total$31,070
$42,128
$40,249
$22,017
$22,117
$65,499
$223,080
$53,478
$36,289
$23,188
$21,019
$12,364
$90,371
$236,709


The following table summarizes the Company’s outstanding trust preferred securities at December 31, 2014:2017:
    Junior subordinated debentures owned by trust    Junior subordinated debentures owned by trust
Trust
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
In millions of dollars, except share amounts
In millions of dollars, except share amounts








In millions of dollars, except share amounts








Citigroup Capital IIIDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemableDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemable
Citigroup Capital XIIISept. 201089,840,000
2,246
7.875
1,000
2,246
Oct. 30, 2040Oct. 30, 2015Sept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
1,000
2,246
Oct. 30, 2040Oct. 30, 2015
Citigroup Capital XVIIIJun. 200799,901
156
6.829
50
156
June 28, 2067June 28, 2017June 200799,901
135
3 mo LIBOR + 88.75 bps
50
135
June 28, 2067June 28, 2017
Total obligated  
$2,596
  $2,602
   
$2,575
  $2,581
 

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

214


19.18. REGULATORY CAPITAL AND CITIGROUP INC. PARENT COMPANY INFORMATION
 
Citigroup is subject to risk-based capital and leverage guidelinesstandards issued by the Federal Reserve Board.Board, which constitute the U.S. Basel III rules. Citi’s U.S. insuredU.S.-insured depository institution subsidiaries, including Citibank, N.A., are subject to similar guidelinesstandards issued by their respective primary federal bank regulatory agencies. These guidelinesstandards are used to evaluate capital adequacy and include the required minimums shown in the following table. The regulatory agencies are
required by law to take specific, prompt corrective actions with respect to institutions that do not meet minimum capital standards.
 The following table sets forth Citigroup’sfor Citigroup and Citibank N.A.’sthe regulatory capital tiers, total risk-weighted assets, quarterly adjusted average total assets, andTotal Leverage Exposure, risk-based capital ratios as of December 31, 2014and leverage ratios in accordance with current regulatory standards (reflecting Basel III Transition Arrangements):
 
In millions of 
dollars, except ratios
Stated
minimum
Well
capitalized
minimum
Citigroup(1)
Citibank,
N.A.(1)
Common Equity Tier 1 Capital 
 
$166,984
$129,135
Tier 1 Capital 
 
166,984
129,135
Total Capital(2)
 
 
185,280
140,119
Risk-weighted assets  1,275,012
946,333
Quarterly adjusted average total assets (3)
  1,849,297
1,367,444
Common Equity Tier 1 Capital ratio4.0%    N/A
13.10%13.65%
Tier 1 Capital ratio5.5
6.0%13.10
13.65
Total Capital ratio8.0
10.0
14.53
14.81
Tier 1 Leverage ratio4.0
          5.0 (4)

9.03
9.44
In millions of dollars, except ratios
Stated
minimum
CitigroupCitibank
Well-
capitalized
minimum
December 31, 2017
Well-
capitalized
minimum
December 31, 2017
Common Equity Tier 1 Capital 
 
$147,891
 
$124,733
Tier 1 Capital 
 
164,841
 
126,303
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
 
 
190,331
 
139,351
Total risk-weighted assets(2)
  1,138,167
 1,014,242
Quarterly adjusted average total assets(3)
  1,869,206
 1,401,615
Total Leverage Exposure(4)
  2,433,371
 1,901,069
Common Equity Tier 1 Capital ratio(5)
4.5%    N/A
12.99%6.5%12.30%
Tier 1 Capital ratio(5)
6.0
6.0%14.48
8.0
12.45
Total Capital ratio(5)
8.0
10.0
16.77
10.0
14.60
Tier 1 Leverage ratio4.0
N/A
8.82
5.0
9.01
Supplementary Leverage ratio(6)
N/A
N/A
6.77
N/A
6.64

(1)Reflected in the table above is Citigroup’s and Citibank’s Total Capital as derived under the Basel III Advanced Approaches framework. At December 31, 2017, Citigroup’s and Citibank’s Total Capital as derived under the Basel III Standardized Approach was $202 billion and $150 billion, respectively.
(2)Reflected in the table above are Citigroup’s and Citibank’s total risk-weighted assets as derived under the Basel III Standardized Approach. At December 31, 2017, Citigroup’s and Citibank’s total risk-weighted assets as derived under the Basel III Advanced Approaches were $1,135 billion and $955 billion, respectively.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.
(5)As of December 31, 2014,2017, Citigroup’s and Citibank, N.A.’sCitibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital andratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(2)(6)Total Capital includes TierCommencing on January 1, Capital2018, Citigroup and Tier 2 Capital.
(3)Tier 1Citibank will be required to maintain a stated minimum Supplementary Leverage ratio denominator.of 3%, and Citibank will be required to maintain a Supplementary Leverage ratio of 6% to be considered “well capitalized.”
(4)    Applicable only to depository institutions.
N/A  Not Applicableapplicable

As indicated in the table above, Citigroup and Citibank N.A. were well capitalized“well capitalized” under the current federal bank regulatory agency definitions as of December 31, 2014.2017.

 

Banking Subsidiaries—Constraints on Dividends
There are various legal limitations on the ability of Citigroup’s subsidiary depository institutions to extend credit, pay dividends, or otherwise supply funds to Citigroup and its non-bank subsidiaries. The approval of the Office of the Comptroller of the Currency is required if total dividends declared in any calendar year were to exceed amounts specified by the applicable agency’s regulations. State-chartered depository institutions are subject to dividend limitations imposed by applicable state law.
In determining the dividends, each subsidiary depository institution must also consider its effect on applicable risk-based capital and leverage ratio requirements, as well as policy statements of the federal bank regulatory agencies that indicate that banking organizations should generally pay dividends out of current operating earnings. Citigroup received $8.9$7.5 billion and $12.2$13.8 billion in dividends from Citibank N.A. during 20142017 and 2013,2016, respectively.
Non-Banking Subsidiaries
Citigroup also receives dividends from its non-bank subsidiaries. These non-bank subsidiaries are generally not subject to regulatory restrictions on dividends, although their ability to declare dividends can be restricted by capital considerations, as set forth in the table below.

In millions of dollars  
SubsidiaryJurisdictionNet
capital or equivalent		Excess over
minimum requirement
Citigroup Global Markets Inc.U.S. Securities and Exchange Commission Uniform Net Capital Rule (Rule 15c3-1)$5,521
$4,376
Citigroup Global Markets LimitedUnited Kingdom’s Prudential Regulatory Authority (PRA)$7,162
$2,482


215


Citigroup Inc. Parent Company Only Income Statement and Statement of Comprehensive Income
 Years ended December 31,
In millions of dollars201420132012
Revenues 
 
 
Interest revenue$3,121
$3,234
$3,384
Interest expense4,437
5,559
6,573
Net interest expense$(1,316)$(2,325)$(3,189)
Dividends from subsidiaries8,900
13,044
20,780
Non-interest revenue247
139
613
Total revenues, net of interest expense$7,831
$10,858
$18,204
Total operating expenses$1,980
$851
$1,497
Income before taxes and equity in undistributed income of subsidiaries$5,851
$10,007
$16,707
Benefit for income taxes(643)(1,637)(2,062)
Equity in undistributed income (loss) of subsidiaries819
2,029
(11,228)
Parent company’s net income$7,313
$13,673
$7,541
Comprehensive income  
 
Parent company’s net income$7,313
$13,673
$7,541
Other comprehensive income (loss)(4,083)(2,237)892
Parent company’s comprehensive income$3,230
$11,436
$8,433
Citigroup Inc. Parent Company Only Balance Sheet
 Years ended December 31,
In millions of dollars20142013
Assets 
 
Cash and due from banks$125
$233
Trading account assets604
184
Investments830
1,032
Advances to subsidiaries77,951
83,110
Investments in subsidiaries211,353
203,739
Other assets (1)
110,908
106,170
Total assets$401,771
$394,468
Liabilities  
Federal funds purchased and securities loaned or sold under agreements to repurchase$185
$185
Trading account liabilities762
165
Short-term borrowings1,075
382
Long-term debt149,512
156,804
Advances from subsidiaries other than banks27,430
24,181
Other liabilities12,273
8,412
Total liabilities$191,237
$190,129
Total equity210,534
204,339
Total liabilities and equity$401,771
$394,468

(1)Other assets included $42.7 billion of placements to Citibank, N.A. and its branches at December 31, 2014, of which $33.9 billion had a remaining term of less than 30 days. Other assets at December 31, 2013 included $43.3 billion of placements to Citibank, N.A. and its branches, of which $33.6 billion had a remaining term of less than 30 days.

216


Citigroup Inc. Parent Company Only Cash Flows Statement
 Years ended December 31,
In millions of dollars201420132012
Net cash provided by (used in ) operating activities of continuing operations$5,940
$(7,881)$1,598
Cash flows from investing activities of continuing operations  
 
Purchases of investments$—
$—
$(5,701)
Proceeds from sales of investments41
385
37,056
Proceeds from maturities of investments155
233
4,286
Changes in investments and advances—intercompany(7,986)7,226
(397)
Other investing activities5
4
994
Net cash provided by investing activities of continuing operations$(7,785)$7,848
$36,238
Cash flows from financing activities of continuing operations  
 
Dividends paid$(633)$(314)$(143)
Issuance of preferred stock3,699
4,192
2,250
Proceeds (repayments) from issuance of long-term debt—third-party, net(3,636)(13,426)(33,434)
Net change in short-term borrowings and other advances—intercompany3,297
11,402
(6,160)
Other financing activities(990)(1,741)(199)
Net cash provided by (used in) financing activities of continuing operations$1,737
$113
$(37,686)
Net increase (decrease) in cash and due from banks$(108)$80
$150
Cash and due from banks at beginning of period233
153
3
Cash and due from banks at end of period$125
$233
$153
Supplemental disclosure of cash flow information for continuing operations  
 
Cash paid (received) during the year for  
 
Income taxes$235
$(71)$78
Interest5,632
6,514
7,883
Note: With respect to the tables above, “Citigroup Inc. Parent Company Only” refers to the parent holding company Citigroup Inc., excluding consolidated subsidiaries. Citigroup Funding Inc. (CFI) was previously a first-tier subsidiary of Citigroup Inc., issuing commercial paper, medium-term notes and structured equity-linked and credit-linked notes. The debt of CFI was guaranteed by Citigroup Inc. On December 31, 2012, CFI was merged into Citigroup Inc., the parent holding company.



217


20.19.   CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) for the three years ended December 31, 2014 are as follows::
In millions of dollars
Net
unrealized
gains (losses)
on investment securities
Cash flow hedges (1)
Benefit plans (2)
Foreign
currency
translation
adjustment,
net of hedges (CTA)(3)(4)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2011$(35)$(2,820)$(4,282)$(10,651)$(17,788)
Change, net of taxes (5)(6)
632
527
(988)721
892
Balance, December 31, 2012$597
$(2,293)$(5,270)$(9,930)$(16,896)
Other comprehensive income before reclassifications$(1,962)$512
$1,098
$(2,534)$(2,886)
Increase (decrease) due to amounts reclassified from AOCI (7)
(275)536
183
205
649
Change, net of taxes (7)
$(2,237)$1,048
$1,281
$(2,329)$(2,237)
Balance, December 31, 2013$(1,640)$(1,245)$(3,989)$(12,259)$(19,133)
Other comprehensive income before reclassifications$1,790
$85
$(1,346)$(4,946)$(4,417)
Increase (decrease) due to amounts reclassified from AOCI(93)251
176
—
334
Change, net of taxes 
$1,697
$336
$(1,170)$(4,946)$(4,083)
Balance at December 31, 2014$57
$(909)$(5,159)$(17,205)$(23,216)
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2014$57
$—
$(909)$(5,159)$(17,205)$(23,216)
Other comprehensive income before reclassifications(695)—
83
(143)(5,465)(6,220)
Increase (decrease) due to amounts reclassified from AOCI(269)—
209
186
(34)92
Change, net of taxes$(964)$—
$292
$43
$(5,499)$(6,128)
Balance, December 31, 2015$(907)$—
$(617)$(5,116)$(22,704)$(29,344)
Adjustment to opening balance, net of taxes(1)
$—
$(15)$—
$—
$—
$(15)
Adjusted balance, beginning of period$(907)$(15)$(617)$(5,116)$(22,704)$(29,359)
Other comprehensive income before reclassifications$530
$(335)$(88)$(208)$(2,802)$(2,903)
Increase (decrease) due to amounts reclassified from AOCI 
(422)(2)145
160
—
(119)
Change, net of taxes 
$108
$(337)$57
$(48)$(2,802)$(3,022)
Balance, December 31, 2016$(799)$(352)$(560)$(5,164)$(25,506)$(32,381)
Adjustment to opening balance, net of taxes (5)
$504
$—
$—
$—
$—
$504
Adjusted balance, beginning of period$(295)$(352)$(560)$(5,164)$(25,506)$(31,877)
Impact of Tax Reform(6)
(223)(139)(113)(1,020)(1,809)(3,304)
Other comprehensive income before reclassifications(186)(426)(111)(158)1,607
726
Increase (decrease) due to amounts reclassified from AOCI(454)(4)86
159
—
(213)
Change, net of taxes 
$(863)$(569)$(138)$(1,019)$(202)$(2,791)
Balance at December 31, 2017$(1,158)$(921)$(698)$(6,183)$(25,708)$(34,668)
(1)Beginning in the first quarter of 2016, changes in DVA are reflected as a component of AOCI, pursuant to the adoption of only the provisions of ASU 2016-01 relating to the presentation of DVA on fair value option liabilities. See Note 1 to the Consolidated Financial Statements for further information regarding this change.
(2)Primarily driven by Citigroup’sCiti’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(2)(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’sCiti’s significant pension and postretirement plans, annual actuarial valuations of all other plans and amortization of amounts previously recognized in otherOther comprehensive income. Reflects the adoption of new mortality tables effective December 31, 2014 (see Note 8 to the Consolidated Financial Statements).
(3)(4)Primarily reflects the movements in (by order of impact) the Euro, Mexican peso, euro, Japanese yen,Polish zloty and Russian rubleKorean won against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2014.2017. Primarily reflects the movements in (by order of impact) the Japanese yen, Mexican peso, Australian dollar,Euro, British pound and Indian rupee against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2013.2016. Primarily reflects the movements in (by order of impact) the Mexican peso, Japanese yen, euro,Brazilian real, Korean won and Brazilian realEuro against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2012.
(4)During 2014, $137 million ($84 million net of tax) was reclassified to reflect the allocation of foreign currency translation between net unrealized gains (losses) on investment securities to CTA.2015.
(5)Includes
In the after-tax impactsecond quarter of realized gains from2017, Citi early adopted ASU No. 2017-08. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the salesincremental amortization of minority investments: $672 million fromcumulative fair value hedge adjustments on callable state and municipal debt securities. See Note 1 to the Company’s entire interest in Housing Development Finance Corporation Ltd. (HDFC); and $421 million from the Company’s entire interest in Shanghai Pudong Development Bank (SPDB).Consolidated Financial Statements.
(6)The after-tax impact due
In the fourth quarter of 2017, Citi adopted ASU 2018-02, which transferred these amounts from AOCI to impairment charges and the loss related to Akbank included within the foreign currency translation adjustment, during 2012 was $667 million (seeRetained earnings. See Note 141 to the Consolidated Financial Statements).
(7)On December 20, 2013, the sale of Credicard was completed (see Note 2 to the Consolidated Financial Statements). The total impact to the gross CTA (net CTA including hedges) was a pretax loss of $314 million ($205 million net of tax).Statements.


218





The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) for the three years ended December 31, 2014 are as follows:
In millions of dollarsPretaxTax effectAfter-taxPretaxTax Effect
Adoption of ASU 2018-02 (1)
After-tax
Balance, December 31, 2011$(25,807)$8,019
$(17,788)
Balance, December 31, 2014$(31,060)$7,844
$—
$(23,216)
Change in net unrealized gains (losses) on investment securities1,001
(369)632
(1,462)498
—
(964)
Cash flow hedges838
(311)527
468
(176)—
292
Benefit plans(1,378)390
(988)19
24
—
43
Foreign currency translation adjustment12
709
721
(6,405)906
—
(5,499)
Change$473
$419
$892
$(7,380)$1,252
$—
$(6,128)
Balance, December 31, 2012$(25,334)$8,438
$(16,896)
Balance, December 31, 2015$(38,440)$9,096
$—
$(29,344)
Adjustment to opening balance(2)
(26)11
—
(15)
Adjusted balance, beginning of period

$(38,466)$9,107
$—
$(29,359)
Change in net unrealized gains (losses) on investment securities(3,537)1,300
(2,237)167
(59)—
108
Debt valuation adjustment (DVA)(538)201
—
(337)
Cash flow hedges1,673
(625)1,048
84
(27)—
57
Benefit plans1,979
(698)1,281
(78)30
—
(48)
Foreign currency translation adjustment(2,377)48
(2,329)(3,204)402
—
(2,802)
Change$(2,262)$25
$(2,237)$(3,569)$547
$—
$(3,022)
Balance, December 31, 2013$(27,596)$8,463
$(19,133)
Balance, December 31, 2016$(42,035)$9,654
$—
$(32,381)
Adjustment to opening balance(3)
803
(299)—
504
Adjusted balance, beginning of period$(41,232)$9,355
$—
$(31,877)
Change in net unrealized gains (losses) on investment securities2,704
(1,007)1,697
(1,088)448
(223)(863)
Debt valuation adjustment (DVA)(680)250
(139)(569)
Cash flow hedges543
(207)336
(37)12
(113)(138)
Benefit plans(1,830)660
(1,170)14
(13)(1,020)(1,019)
Foreign currency translation adjustment(4,881)(65)(4,946)1,795
(188)(1,809)(202)
Change$(3,464)$(619)$(4,083)$4
$509
$(3,304)$(2,791)
Balance, December 31, 2014$(31,060)$7,844
$(23,216)
Balance, December 31, 2017$(41,228)$9,864
$(3,304)$(34,668)
(1)
In the fourth quarter of 2017, Citi adopted ASU 2018-02, which transferred these amounts from AOCI to Retained earnings. See Note 1 to the Consolidated Financial Statements.
(2) Represents the $(15) million adjustment related to the initial adoption of ASU 2016-01. See Note 1 to the Consolidated Financial Statements.
(3)
In the second quarter of 2017, Citi early adopted ASU 2017-08. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of cumulative fair value hedge adjustments on callable state and municipal debt securities. See Note 1 to the Consolidated Financial Statements.




219



During the year ended December 31, 2014, theThe Company recognized a pretax loss of $542 million ($334 million net of tax)gain (loss) related to amounts in AOCI reclassified out of Accumulated other comprehensive income (loss) intoin the Consolidated Statement of Income. See details in the table below:Income as follows:
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
 Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of IncomeYear ended December 31,
In millions of dollars Year ended December 31, 2014201720162015
Realized (gains) losses on sales of investments $(570)$(778)$(948)$(682)
OTTI gross impairment losses 424
63
288
265
Subtotal, pretax $(146)$(715)$(660)$(417)
Tax effect 53
261
238
148
Net realized (gains) losses on investment securities, after-tax(1)
 $(93)$(454)$(422)$(269)
Realized DVA (gains) losses on fair value option liabilities$(7)$(3)$—
Subtotal, pretax$(7)$(3)$—
Tax effect3
1
—
Net realized debt valuation adjustment, after-tax$(4)$(2)$—
Interest rate contracts $260
$126
$140
$186
Foreign exchange contracts 149
10
93
146
Subtotal, pretax $409
$136
$233
$332
Tax effect (158)(50)(88)(123)
Amortization of cash flow hedges, after-tax(2)
 $251
$86
$145
$209
Amortization of unrecognized   
Prior service cost (benefit) $(40)$(42)$(40)$(40)
Net actuarial loss 243
271
272
276
Curtailment/settlement impact (3)
 76
17
18
57
Subtotal, pretax $279
$246
$250
$293
Tax effect (103)(87)(90)(107)
Amortization of benefit plans, after-tax(3)
 $176
$159
$160
$186
Foreign currency translation adjustment $—
$—
$—
$(53)
Tax effect—
—
19
Foreign currency translation adjustment$—
$—
$(34)
Total amounts reclassified out of AOCI, pretax $542
$(340)$(180)$155
Total tax effect (208)127
61
(63)
Total amounts reclassified out of AOCI, after-tax $334
$(213)$(119)$92
(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses onin the Consolidated Statement of Income. See Note 1413 to the Consolidated Financial Statements for additional details.
(2)See Note 2322 to the Consolidated Financial Statements for additional details.
(3)See Notes 1 andNote 8 to the Consolidated Financial Statements for additional details.


220


During the year ended December 31, 2013, the Company recognized a pretax loss of $1,071 million ($649 million net of tax) related to amounts reclassified out of Accumulated other comprehensive income (loss) into the Consolidated Statement of Income. See details in the table below:
  Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
In millions of dollars Year ended December 31, 2013
Realized (gains) losses on sales of investments $(748)
OTTI gross impairment losses 334
Subtotal, pretax $(414)
Tax effect 139
Net realized (gains) losses on investment securities, after-tax(1)
 $(275)
Interest rate contracts $700
Foreign exchange contracts 176
Subtotal, pretax $876
Tax effect (340)
Amortization of cash flow hedges, after-tax(2)
 $536
Amortization of unrecognized  
Prior service cost (benefit) $—
Net actuarial loss 271
Curtailment/settlement impact(3)
 44
Cumulative effect of change in accounting policy(3)
 (20)
Subtotal, pretax $295
Tax effect (112)
Amortization of benefit plans, after-tax(3)
 $183
Foreign currency translation adjustment $205
Total amounts reclassified out of AOCI, pretax $1,071
Total tax effect (422)
Total amounts reclassified out of AOCI, after-tax $649
(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 14 to the Consolidated Financial Statements for additional details.
(2)See Note 23 to the Consolidated Financial Statements for additional details.
(3)See Notes 1 and 8 to the Consolidated Financial Statements for additional details.


221


21.20.   PREFERRED STOCK

The following table summarizes the Company’s preferred stock outstanding at December 31, 2014 and December 31, 2013:outstanding:
    
Carrying value
 in millions of dollars
   Redemption
price per depositary
share/preference share		 
Carrying value
 in millions of dollars
Issuance dateRedeemable by issuer beginningDividend
rate		Redemption
price per depositary
share/preference share		Number
of depositary
shares		December 31,
2014		December 31,
2013		Issuance dateRedeemable by issuer beginningDividend
rate		Number
of depositary
shares		December 31,
2017		December 31,
2016
Series AA(1)
January 25, 2008February 15, 20188.125%$25
3,870,330
$97
$97
January 25, 2008February 15, 20188.125%$25
3,870,330
$97
$97
Series E(2)
April 28, 2008April 30, 20188.400%1,000
121,254
121
121
April 28, 2008April 30, 20188.400
1,000
121,254
121
121
Series A(3)
October 29, 2012January 30, 20235.950%1,000
1,500,000
1,500
1,500
October 29, 2012January 30, 20235.950
1,000
1,500,000
1,500
1,500
Series B(4)
December 13, 2012February 15, 20235.900%1,000
750,000
750
750
December 13, 2012February 15, 20235.900
1,000
750,000
750
750
Series C(5)
March 26, 2013April 22, 20185.800%25
23,000,000
575
575
March 26, 2013April 22, 20185.800
25
23,000,000
575
575
Series D(6)
April 30, 2013May 15, 20235.350%1,000
1,250,000
1,250
1,250
April 30, 2013May 15, 20235.350
1,000
1,250,000
1,250
1,250
Series J(7)
September 19, 2013September 30, 20237.125%25
38,000,000
950
950
September 19, 2013September 30, 20237.125
25
38,000,000
950
950
Series K(8)
October 31, 2013November 15, 20236.875%25
59,800,000
1,495
1,495
October 31, 2013November 15, 20236.875
25
59,800,000
1,495
1,495
Series L(9)
February 12, 2014February 12, 20196.875%25
19,200,000
480
—
February 12, 2014February 12, 20196.875
25
19,200,000
480
480
Series M(10)
April 30, 2014May 15, 20246.300%1,000
1,750,000
1,750
—
April 30, 2014May 15, 20246.300
1,000
1,750,000
1,750
1,750
Series N(11)
October 29, 2014November 15, 20195.800%1,000
1,500,000
1,500
—
October 29, 2014November 15, 20195.800
1,000
1,500,000
1,500
1,500
Series O(12)
March 20, 2015March 27, 20205.875
1,000
1,500,000
1,500
1,500
Series P(13)
April 24, 2015May 15, 20255.950
1,000
2,000,000
2,000
2,000
Series Q(14)
August 12, 2015August 15, 20205.950
1,000
1,250,000
1,250
1,250
Series R(15)
November 13, 2015November 15, 20206.125
1,000
1,500,000
1,500
1,500
Series S(16)
February 2, 2016February 12, 20216.300
25
41,400,000
1,035
1,035
Series T(17)
April 25, 2016August 15, 20266.250
1,000
1,500,000
1,500
1,500
  
 
 
$10,468
$6,738
  
 
 
$19,253
$19,253
(1)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15, in each case when, as and if declared by the Citi Board of Directors.
(2)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annuallysemiannually on April 30 and October 30 at a fixed rate until April 30, 2018, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(3)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annuallysemiannually on January 30 and July 30 at a fixed rate until January 30, 2023, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(4)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annuallysemiannually on February 15 and August 15 at a fixed rate until February 15, 2023, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(5)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on January 22, April 22, July 22 and October 22 when, as and if declared by the Citi Board of Directors.
(6)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annuallysemiannually on May 15 and November 15 at a fixed rate until May 15, 2023, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(7)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on March 30, June 30, September 30 and December 30 at a fixed rate until September 30, 2023, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(8)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15 at a fixed rate until November 15, 2023, thereafter payable quarterly on the same dates at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(9)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 12, May 12, August 12 and November 12 at a fixed rate, in each case when, as and if declared by the Citi Board of Directors.
(10)
Issued as depositorydepositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annuallysemiannually on May 15 and November 15 at a fixed rate until May 15, 2024, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(11)
Issued as depositorydepositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annuallysemiannually on May 15 and November 15 at a fixed rate until, but excluding, November 15, 2019, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(12)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on March 27 and September 27 at a fixed rate until, but excluding, March 27, 2020, and thereafter payable quarterly on March 27, June 27, September 27 and December 27 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.

(13)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2025, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(14)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on February 15 and August 15 at a fixed rate until, but excluding, August 15, 2020, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(15)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on May 15 and November 15 at a fixed rate until, but excluding, November 15, 2020, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(16)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 12, May 12, August 12 and November 12 at a fixed rate, in each case when, as and if declared by the Citi Board of Directors.
(17)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semiannually on February 15 and August 15 at a fixed rate until August 15, 2026, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.



During 2014,2017, Citi distributed approximately $511$1,213 million in dividends on its outstanding preferred stock. Based on its preferred stock outstanding as of December 31, 2014,2017 and the planned redemption of Series AA on February 15, 2018, Citi estimates it will distribute preferred dividends of approximately $656$1,179 million during 2015, in each case2018, assuming such dividends are approveddeclared by the Citi Board of Directors.



222


22.21. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES
 
Uses of Special Purpose Entities
A special purpose entity (SPE) is an entity designed to fulfill a specific limited need of the company that organized it. The principal uses of SPEs by Citi are to obtain liquidity and favorable capital treatment by securitizing certain financial assets, to assist clients in securitizing their financial assets and to create investment products for clients. SPEs may be organized in various legal forms, including trusts, partnerships or corporations. In a securitization, through the SPE’s issuance of debt and equity instruments, certificates, commercial paper or other notes of indebtedness, the company transferring assets to anthe SPE converts all (or a portion) of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt and equity instruments, certificates, commercial paper or other notes of indebtedness.business. These issuances are recorded on the balance sheet of the SPE, which may or may not be consolidated onto the balance sheet of the company that organized the SPE.
Investors usually have recourse only to the assets in the SPE, but may also benefit from other credit enhancements, such as a collateral account, a line of credit or a liquidity facility, such as a liquidity put option or asset purchase agreement. Because of these enhancements, the SPE issuances typically obtain a more favorable credit rating than the transferor could obtain for its own debt issuances. This results in less expensive financing costs than unsecured debt. The SPE may also enter into derivative contracts in order to convert the yield or currency of the underlying assets to match the needs of the SPE investors or to limit or change the credit risk of the SPE. Citigroup may be the provider of certain credit enhancements as well as the counterparty to any related derivative contracts.
Most of Citigroup’s SPEs are variable interest entities (VIEs), as described below.
 
Variable Interest Entities
VIEs are entities that have either a total equity investment that is insufficient to permit the entity to finance its activities without additional subordinated financial support or whose equity investors lack the characteristics of a controlling financial interest (i.e., ability to make significant decisions through voting rights or similar rights and a right to receive the expected residual returns of the entity or an obligation to absorb the expected losses of the entity). Investors that finance the VIE through debt or equity interests or other counterparties providing other forms of support, such as guarantees, subordinatedcertain fee arrangements or certain types of derivative contracts, are variable interest holders in the entity.
 
The variable interest holder, if any, that has a controlling financial interest in a VIE is deemed to be the primary beneficiary and must consolidate the VIE. Citigroup would be deemed to have a controlling financial interest and be the primary beneficiary if it has both of the following characteristics:

power to direct the activities of the VIE that most significantly impact the entity’s economic performance; and
an obligation to absorb losses of the entity that could potentially be significant to the VIE, or a right to receive benefits from the entity that could potentially be significant to the VIE.

The Company must evaluate each VIE to understand the purpose and design of the entity, the role the Company had in the entity’s design and its involvement in the VIE’s ongoing activities. The Company then must evaluate which activities most significantly impact the economic performance of the VIE and who has the power to direct such activities.
For those VIEs where the Company determines that it has the power to direct the activities that most significantly impact the VIE’s economic performance, the Company must then evaluate its economic interests, if any, and determine whether it could absorb losses or receive benefits that could potentially be significant to the VIE. When evaluating whether the Company has an obligation to absorb losses that could potentially be significant, it considers the maximum exposure to such loss without consideration of probability. Such obligations could be in various forms, including, but not limited to, debt and equity investments, guarantees, liquidity agreements and certain derivative contracts.
In various other transactions, the Company may:may (i) act as a derivative counterparty (for example, interest rate swap, cross-currency swap or purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE);, (ii) act as underwriter or placement agent;agent, (iii) provide administrative, trustee or other services;services or (iv) make a market in debt securities or other instruments issued by VIEs. The Company generally considers such involvement, by itself, not to be variable interests and thus not an indicator of power or potentially significant benefits or losses.
See Note 1 to the Consolidated Financial Statements for a discussion of impending changes to targeted areas of consolidation guidance.


223


Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE each as of December 31, 2014 and 2013, is presented below:
 As of December 31, 2014 
    
Maximum exposure to loss in significant unconsolidated VIEs (1)
    
Funded exposures (2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets (3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Citicorp        
Credit card securitizations$60,211
$60,211
$—
$—
$—
$—
$—
$—
Mortgage securitizations (4)
        
U.S. agency-sponsored236,771
—
236,771
5,063
—
—
19
5,082
Non-agency-sponsored8,071
1,239
6,832
560
—
—
—
560
Citi-administered asset-backed commercial paper conduits (ABCP)29,181
29,181
—
—
—
—
—
—
Collateralized debt obligations (CDOs)3,382
—
3,382
45
—
—
—
45
Collateralized loan obligations (CLOs)13,099
—
13,099
1,692
—
—
—
1,692
Asset-based financing62,577
1,149
61,428
22,891
63
2,185
333
25,472
Municipal securities tender option bond trusts (TOBs)12,280
6,671
5,609
3
—
3,670
—
3,673
Municipal investments16,825
70
16,755
2,012
2,021
1,321
—
5,354
Client intermediation1,745
137
1,608
10
—
—
10
20
Investment funds (5)
31,474
1,096
30,378
16
382
124
—
522
Trust preferred securities2,633
—
2,633
—
6
—
—
6
Other5,685
296
5,389
183
1,451
23
73
1,730
Total$483,934
$100,050
$383,884
$32,475
$3,923
$7,323
$435
$44,156
Citi Holdings        
Credit card securitizations$292
$60
$232
$—
$—
$—
$—
$—
Mortgage securitizations        
U.S. agency-sponsored28,077
—
28,077
150
—
—
91
241
Non-agency-sponsored9,817
65
9,752
17
—
—
1
18
Collateralized debt obligations (CDOs)2,235
—
2,235
174
—
—
86
260
Collateralized loan obligations (CLOs)1,020
—
1,020
54
—
—
—
54
Asset-based financing1,323
2
1,321
37
3
86
—
126
Municipal investments6,881
—
6,881
2
176
904
—
1,082
Investment funds518
—
518
—
—
—
—
—
Other2,613
2,613
—
—
—
—
—
—
Total$52,776
$2,740
$50,036
$434
$179
$990
$178
$1,781
Total Citigroup$536,710
$102,790
$433,920
$32,909
$4,102
$8,313
$613
$45,937


(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s December 31, 2014 Consolidated Balance Sheet.
(3)A significant unconsolidated VIE is an entity where the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss or the notional amount of exposure.
(4)Citicorp mortgage securitizations also include agency and non-agency (private-label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.
(5) Substantially all of the unconsolidated investment funds’ assets are related to retirement funds in Mexico managed by Citi. See “Investment Funds” below for further discussion.








224



 As of December 31, 2017 
    
Maximum exposure to loss in significant unconsolidated VIEs(1)
    
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$50,795
$50,795
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
        
U.S. agency-sponsored(5)
116,610
—
116,610
2,647
—
—
74
2,721
Non-agency-sponsored22,251
2,035
20,216
330
—
—
1
331
Citi-administered asset-backed commercial paper conduits (ABCP)19,282
19,282
—
—
—
—
—
—
Collateralized loan obligations (CLOs)20,588
—
20,588
5,956
—
—
9
5,965
Asset-based financing60,472
633
59,839
19,478
583
5,878
—
25,939
Municipal securities tender option bond trusts (TOBs)6,925
2,166
4,759
138
—
3,035
—
3,173
Municipal investments19,119
7
19,112
2,709
3,640
2,344
—
8,693
Client intermediation958
824
134
32
—
—
9
41
Investment funds1,892
616
1,276
14
7
13
—
34
Other677
36
641
27
9
34
47
117
Total$319,569
$76,394
$243,175
$31,331
$4,239
$11,304
$140
$47,014
As of December 31, 2013 As of December 31, 2016 
 
Maximum exposure to loss in significant unconsolidated VIEs (1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures (2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets (3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Citicorp 
Credit card securitizations$52,229
$52,229
$—
$—
$—
$—
$—
$—
$50,171
$50,171
$—
$—
$—
$—
$—
$—
Mortgage securitizations (4)
    
U.S. agency-sponsored239,204
—
239,204
3,583
—
—
36
3,619
214,458
—
214,458
3,852
—
—
78
3,930
Non-agency-sponsored7,711
598
7,113
583
—
—
—
583
15,965
1,092
14,873
312
35
—
1
348
Citi-administered asset-backed commercial paper conduits (ABCP)31,759
31,759
—
—
—
—
—
—
19,693
19,693
—
—
—
—
—
—
Collateralized debt obligations (CDOs)4,204
—
4,204
34
—
—
—
34
Collateralized loan obligations (CLOs)16,883
—
16,883
1,938
—
—
—
1,938
18,886
—
18,886
5,128
—
—
62
5,190
Asset-based financing45,884
971
44,913
17,341
74
1,004
195
18,614
53,168
733
52,435
16,553
475
4,915
—
21,943
Municipal securities tender option bond trusts (TOBs)12,716
7,039
5,677
29
—
3,881
—
3,910
7,070
2,843
4,227
40
—
2,842
—
2,882
Municipal investments15,962
223
15,739
1,846
2,073
1,173
—
5,092
17,679
14
17,665
2,441
3,578
2,580
—
8,599
Client intermediation1,778
195
1,583
145
—
—
—
145
515
371
144
49
—
—
3
52
Investment funds (5)
32,324
3,094
29,230
191
264
81
—
536
Trust preferred securities4,822
—
4,822
—
51
—
—
51
Other2,439
225
2,214
143
649
20
78
890
Total$467,915
$96,333
$371,582
$25,833
$3,111
$6,159
$309
$35,412
Citi Holdings 
Credit card securitizations$1,867
$1,448
$419
$—
$—
$—
$—
$—
Mortgage securitizations 
U.S. agency-sponsored73,549
—
73,549
549
—
—
77
626
Non-agency-sponsored13,193
1,695
11,498
35
—
—
2
37
Student loan securitizations1,520
1,520
—
—
—
—
—
—
Collateralized debt obligations (CDOs)3,879
—
3,879
273
—
—
87
360
Collateralized loan obligations (CLOs)2,733
—
2,733
358
—
—
111
469
Asset-based financing3,508
3
3,505
629
3
258
—
890
Municipal investments7,304
—
7,304
3
204
939
—
1,146
Investment funds1,237
—
1,237
—
61
—
—
61
2,788
767
2,021
32
120
27
3
182
Other4,494
4,434
60
—
—
—
—
—
1,429
607
822
116
11
58
43
228
Total$113,284
$9,100
$104,184
$1,847
$268
$1,197
$277
$3,589
$401,822
$76,291
$325,531
$28,523
$4,219
$10,422
$190
$43,354
Total Citigroup$581,199
$105,433
$475,766
$27,680
$3,379
$7,356
$586
$39,001



(1)The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s December 31, 20132017 and 2016 Consolidated Balance Sheet.
(3)A significant unconsolidated VIE is an entity wherein which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss or the notional amount of exposure.loss.
(4)CiticorpCitigroup mortgage securitizations also include agency and non-agency (private-label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.
(5) Substantially all of the unconsolidated investment funds’ assets are related to retirement funds in Mexico managed by Citi. See “Investment Funds” below for further discussion.

225
(5)See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs.



The previous tables do not include:include the following:

certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC Topic 946);
certain limited partnerships that are investment funds that qualify for the deferral from the requirements of ASC 810 where the Company is the general partner and the limited partners have the right to replace the general partner or liquidate the funds;
certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
certain VIEs structured by third parties wherein which the Company holds securities in inventory, as these investments are made on arm’s-length terms;
certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, wherein which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 13 and 1424 to the Consolidated Financial Statements);
certain representations and warranties exposures in legacy Securities andBankingICG-sponsored mortgage-backed and asset-backed securitizations, wherein which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 wherein which the Company has no variable interest or continuing involvement as servicer was approximately $14$9 billion and $16$10 billion at December 31, 20142017 and 2013,2016, respectively; and
certain representations and warranties exposures in Citigroup residential mortgage securitizations, wherein which the original mortgage loan balances are no longer outstanding.outstanding; and
VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.

 

The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., securityloan or loan)security) and the Company’s standard accounting policies for the asset type and line of business.
The asset balances for unconsolidated VIEs wherein which the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, in fair value, unless fair value information is readily available to the Company. For VIEs that obtain asset exposures synthetically through derivative instruments (for example, synthetic CDOs), the tables generally include the full original notional amount of the derivative as an asset balance.
The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.



226


Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above as of December 31, 2014 and 2013:above:
December 31, 2014December 31, 2013
LiquidityLoanLiquidityLoanDecember 31, 2017December 31, 2016
In millions of dollarsfacilitiescommitmentsfacilitiescommitments
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Citicorp    
Asset-based financing$5
$2,180
$5
$999
$—
$5,878
$5
$4,910
Municipal securities tender option bond trusts (TOBs)3,670
—
3,881
—
3,035
—
2,842
—
Municipal investments—
1,321
—
1,173
—
2,344
—
2,580
Investment funds—
124
—
81
—
13
—
27
Other—
23
—
20
—
34
—
58
Total Citicorp$3,675
$3,648
$3,886
$2,273
Citi Holdings    
Asset-based financing$—
$86
$—
$258
Municipal investments—
904
—
939
Total Citi Holdings$—
$990
$—
$1,197
Total Citigroup funding commitments$3,675
$4,638
$3,886
$3,470
Total funding commitments$3,035
$8,269
$2,847
$7,575
Citicorp and Citi Holdings Consolidated VIEs
The Company engages in on-balance sheet securitizations, which are securitizations that do not qualify for sales treatment; thus, the assets remain on the Company’s balance sheet,Citi’s Consolidated Balance Sheet, and any proceeds received are recognized as secured liabilities. The consolidated VIEs included in the tables below represent hundreds of separate entities with which the Company is involved. In general, the third-party investors in the obligations of consolidated VIEs have legal recourse only to the assets of the respective VIEs and do not have such recourse to the Company, except where the CompanyCiti has provided a guarantee to the investors or is the counterparty to certain derivative
transactions involving the VIE. Thus, the
Company’sCitigroup’s maximum legal exposure to loss related to consolidated VIEs is significantly less than the carrying value of the consolidated VIE assets due to outstanding third-party financing. Intercompany assets and liabilities are excluded from the table.Citi’s Consolidated Balance Sheet. All VIE assets are restricted from being sold or pledged as collateral. The cash flows from these assets are the only source used to pay down the associated liabilities, which are non-recourse to the Company’sCiti’s general assets.
The following table presents See the carrying amountsConsolidated Balance Sheet for more information about these Consolidated VIE assets and classifications of consolidated assets that are collateral for consolidated VIE obligations as of December 31, 2014 and 2013:liabilities.

 December 31, 2014December 31, 2013
In billions of dollarsCiticorpCiti HoldingsCitigroupCiticorpCiti HoldingsCitigroup
Cash$0.1
$0.2
$0.3
$0.2
$0.2
$0.4
Trading account assets0.7
—
0.7
1.0
—
1.0
Investments8.0
—
8.0
10.9
—
10.9
Total loans, net90.6
2.5
93.1
83.2
8.7
91.9
Other0.6
—
0.6
1.1
0.2
1.3
Total assets$100.0
$2.7
$102.7
$96.4
$9.1
$105.5
Short-term borrowings$22.7
$—
$22.7
$24.3
$—
$24.3
Long-term debt38.1
2.0
40.1
32.8
2.0
34.8
Other liabilities0.8
0.1
0.9
0.9
0.1
1.0
Total liabilities$61.6
$2.1
$63.7
$58.0
$2.1
$60.1




227


Citicorp and Citi Holdings Significant Interests in Unconsolidated VIEs—Balance Sheet Classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs as of December 31, 2014 and 2013:VIEs:
December 31, 2014December 31, 2013
In billions of dollarsCiticorpCiti HoldingsCitigroupCiticorpCiti HoldingsCitigroupDecember 31, 2017December 31, 2016
Cash$—
$0.1
Trading account assets$7.4
$0.2
$7.6
$4.8
$0.6
$5.4
8.5
8.0
Investments2.4
0.2
2.6
3.7
0.4
4.1
4.4
4.4
Total loans, net24.9
0.1
25.0
18.2
0.6
18.8
Total loans, net of allowance22.2
18.8
Other1.8
0.2
2.0
2.2
0.5
2.7
0.5
1.5
Total assets$36.5
$0.7
$37.2
$28.9
$2.1
$31.0
$35.6
$32.8

Credit Card Securitizations
The Company securitizes credit card receivables through trusts established to purchase the receivables. Citigroup transfers receivables into the trusts on a non-recourse basis. Credit card securitizations are revolving securitizations; as customers pay their credit card balances, the cash proceeds are used to purchase new receivables and replenish the receivables in the trust.
Substantially all of the Company’sCitigroup’s credit card securitization activity is through two trusts—Citibank Credit Card Master Trust (Master Trust) and the Citibank Omni Master Trust (Omni Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities because, as servicer,
Citigroup has the power to direct
the activities that most significantly impact the economic performance of the trusts,trusts. Citigroup holds a seller’s interest and certain securities issued by the trusts, and also provides liquidity facilities to the trusts, which could result in exposure to potentially significant losses or benefits from the trusts. Accordingly, the transferred credit card receivables remain on Citi’s Consolidated Balance Sheet with no gain or loss recognized. The debt issued by the trusts to third parties is included inon Citi’s Consolidated Balance Sheet.
The CompanyCiti utilizes securitizations as one of the sources of funding for its business in North America. The following table reflects amounts related to the Company’s securitized credit card receivables as of December 31, 2014 and 2013:receivables:

CiticorpCiti Holdings
In billions of dollarsDecember 31,
2014		December 31, 2013December 31,
2014		December 31, 2013December 31, 2017December 31, 2016
Ownership interests in principal amount of trust credit card receivables Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$37.0
$32.3
$—
$—
$28.8
$22.7
Retained by Citigroup as trust-issued securities10.1
8.1
—
1.3
7.6
7.4
Retained by Citigroup via non-certificated interests14.2
12.1
—
—
14.4
20.6
Total ownership interests in principal amount of trust credit card receivables$61.3
$52.5
$—
$1.3
Total$50.8
$50.7
Credit Card Securitizations—Citicorp
The following table summarizes selected cash flow information related to Citicorp’sCitigroup’s credit card securitizations for the years ended December 31, 2014, 2013 and 2012:

securitizations:
In billions of dollars201420132012201720162015
Proceeds from new securitizations$12.5
$11.5
$0.5
$11.1
$3.3
$—
Pay down of maturing notes(7.8)(2.1)(20.4)(5.0)(10.3)(7.4)

Credit Card Securitizations—Citi Holdings
The following table summarizes selected cash flow information related to Citi Holdings’ credit card securitizations for the years ended December 31, 2014, 2013 and 2012:

In billions of dollars201420132012
Proceeds from new securitizations$0.1
$0.2
$1.7
Pay down of maturing notes—
(0.1)(0.1)



228


Managed Loans
After securitization of credit card receivables, the Company continues to maintain credit card customer account relationships and provides servicing for receivables transferred to the trusts. As a result, the Company considers the securitized credit card receivables to be part of the business it manages. As Citigroup consolidates the credit card trusts, all managed securitized card receivables are on-balance sheet.

Funding, Liquidity Facilities and Subordinated Interests
As noted above, Citigroup securitizes credit card receivables through two securitization trusts—Master Trust which is part of Citicorp, and Omni Trust, which is also substantially all part of Citicorp.Trust. The liabilities of the trusts are included inon the Consolidated Balance Sheet, excluding those retained by Citigroup.


The Master Trust issues fixed- and floating-rate term notes. Some of the term notes aremay be issued to multi-seller commercial paper conduits. The weighted average maturity of
the term notes issued by the Master Trust was 2.82.6 years as of December 31, 20142017 and 3.1 years as of December 31, 2013.2016.

Master Trust Liabilities (at par value)Par Value)
In billions of dollarsDec. 31, 2014Dec. 31, 2013Dec. 31, 2017Dec. 31, 2016
Term notes issued to third parties$35.7
$27.9
$27.8
$21.7
Term notes retained by Citigroup affiliates8.2
6.2
5.7
5.5
Total Master Trust liabilities$43.9
$34.1
$33.5
$27.2

The Omni Trust issues fixed- and floating-rate term notes, some of which are purchased by multi-seller commercial paper conduits. The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.9 years as of December 31, 20142017 and 0.7 years as of December 31, 2013.2016.

Omni Trust Liabilities (at par value)Par Value)
In billions of dollarsDec. 31, 2014Dec. 31, 2013
Term notes issued to third parties$1.3
$4.4
Term notes retained by Citigroup affiliates1.9
1.9
Total Omni Trust liabilities$3.2
$6.3
In billions of dollarsDec. 31, 2017Dec. 31, 2016
Term notes issued to third parties$1.0
$1.0
Term notes retained by Citigroup affiliates1.9
1.9
Total Omni Trust liabilities$2.9
$2.9


Mortgage Securitizations
The CompanyCitigroup provides a wide range of mortgage loan products to a diverse customer base. Once originated, the Company often securitizes these loans through the use of VIEs. These VIEs are funded through the issuance of trust certificates backed solely by the transferred assets. These certificates have the same life as the transferred assets. In addition to providing a source of liquidity and less expensive funding, securitizing these assets also reduces the Company’sCiti’s credit exposure to the borrowers. These mortgage loan securitizations are primarily non-recourse, thereby effectively transferring the risk of future credit losses to the purchasers of the securities issued by the trust. However, the Company’sCiti’s U.S. consumer mortgage business generally retains the servicing rights and in certain instances retains investment securities, interest-only strips and residual interests in future cash flows from the trusts and also provides servicing for a limited number of ICG securitizations.ICG and Citi Holdings do not retain servicing for their mortgage securitizations.
The Company securitizes mortgage loans generally through either a government-sponsored agency, such as Ginnie Mae, Fannie Mae or Freddie Mac (U.S. agency-sponsored mortgages), or private-label (non-agency-sponsored mortgages) securitization. The CompanyCiti is not the primary beneficiary of its U.S. agency-sponsored mortgage securitizations because
Citigroup does not have the power to direct the activities of the VIE that most significantly impact the entities’entity’s economic performance. Therefore, Citi does not consolidate these U.S. agency-sponsored mortgage securitizations. Substantially all of the consumer loans sold or securitized through non-consolidated trusts by Citigroup are U.S. prime residential mortgage loans. Retained interests in non-consolidated mortgage securitization trusts are classified as Trading account assets, except for MSRs, which are included in Mortgage servicing rights on Citigroup’s Consolidated Balance Sheet.
The CompanyCitigroup does not consolidate certain non-agency-sponsored mortgage securitizations because Citi is either not the servicer with the power to direct the significant activities of the entity or Citi is the servicer, but the servicing relationship is deemed to be a fiduciary relationship and,relationship; therefore, Citi is not deemed to be the primary beneficiary of the entity.
In certain instances, the Company has (i) the power to direct the activities and (ii) the obligation to either absorb losses or the right to receive benefits that could be potentially significant to its non-agency-sponsored mortgage securitizations and, therefore, is the primary beneficiary and, thus, consolidates the VIE.



229


Mortgage Securitizations—Citicorp
The following table summarizes selected cash flow information related to CiticorpCitigroup mortgage securitizations for the years ended December 31, 2014, 2013 and 2012:securitizations:
201420132012201720162015
In billions of dollars
U.S. agency- 
sponsored 
mortgages

Non-agency- 
sponsored 
mortgages

Agency- and
non-agency-
sponsored
mortgages
Agency- and
non-agency-
sponsored
mortgages
U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Proceeds from new securitizations(1)$27.4
$11.8
$72.5
$56.5
$33.9
$7.9
$41.3
$11.8
$35.0
$12.1
Contractual servicing fees received0.4
—
0.4
0.5
0.2
—
0.4
—
0.5
—
Cash flows received on retained interests and other net cash flows0.1
—
0.1
0.1
—
—
0.1
—
0.1
—

(1) The proceeds from new securitizations in 2016 and 2015 include $0.5 billion and $0.7 billion, respectively, related to personal loan securitizations.

Agency and non-agency securitization gains for the year ended December 31, 20142017 were $160$73 million and $53$77 million, respectively.

Agency and non-agency securitization gains for the yearsyear ended December 31, 2013 and 20122016 were $203$105 million and $30$107 million, respectively.respectively, and $149 million and $41 million, respectively, for the year ended December 31, 2015.


Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables for the years ended December 31, 2014 and 2013 were as follows:

 December 31, 2014
  
Non-agency-sponsored mortgages (1)
 
 
U.S. agency- 
sponsored mortgages

Senior 
interests

Subordinated 
interests

Discount rate0.0% to 14.7%
1.4% to 6.6%
2.6% to 9.1%
   Weighted average discount rate11.0%4.2%7.8%
Constant prepayment rate0.0% to 23.1%
0.0% to 7.0%
0.5% to 8.9%
   Weighted average constant prepayment rate6.2%5.4%3.2%
Anticipated net credit losses (2)
   NM
40.0% to 67.1%
8.9% to 58.5%
   Weighted average anticipated net credit losses   NM
56.3%43.1%
Weighted average life0.0 to 9.7 years
2.6 to 11.1 years
3.0 to 14.5 years
December 31, 2017
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages
Senior
interests
Subordinated
interests
Discount rate1.8% to 19.9%
—
—
   Weighted average discount rate8.6%—
—
Constant prepayment rate3.8% to 31.6%
—
—
   Weighted average constant prepayment rate9.4%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life2.5 to 20.7 years
—
—



 December 31, 2013
  
Non-agency-sponsored mortgages (1)
 
 
U.S. agency- 
sponsored mortgages

Senior 
interests

Subordinated 
interests

Discount rate   0.0% to 12.4%
   2.3% to 4.3%
   0.1% to 19.2%
   Weighted average discount rate10.1%3.4%7.8%
Constant prepayment rate0.0% to 21.4%
5.4% to 10.0%
   0.1% to 11.2%
   Weighted average constant prepayment rate5.5%7.2%7.5%
Anticipated net credit losses (2)
   NM
47.2% to 53.0%
   0.1% to 89.0%
   Weighted average anticipated net credit losses   NM
49.3%49.2%
Weighted average life   0.0 to 12.4 years
   2.9 to 9.7 years
   2.5 to 16.5 years
December 31, 2016
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.8% to 13.7%
—
—
   Weighted average discount rate9.9%—
—
Constant prepayment rate3.8% to 30.9%
—
—
   Weighted average constant prepayment rate11.1%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life0.5 to 17.5 years
—
—

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

230
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.


The interests retained by the CompanyCiti range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
At December 31, 2014 and 2013, theThe key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20% in each of the key
assumptions, are set forth in the tables
below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.

December 31, 2014December 31, 2017
 
Non-agency-sponsored mortgages (1)
  
Non-agency-sponsored mortgages(1)
U.S. agency- 
sponsored mortgages

Senior 
interests

Subordinated 
interests

U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate   0.0% to 21.2%
   1.1% to 17.7%
   1.3% to 19.6%
   1.8% to 84.2%
   5.8% to 100.0%
   2.8% to 35.1%
Weighted average discount rate8.0%4.9%8.2%7.1%5.8%9.0%
Constant prepayment rate6.0% to 41.4%
   2.0% to 100.0%
   0.5% to 16.2%
6.9% to 27.8%
   8.9% to 15.5%
   8.6% to 13.1%
Weighted average constant prepayment rate14.7%10.1%7.2%11.6%8.9%10.6%
Anticipated net credit losses (2)
   NM
   0.0% to 92.4%
   13.7% to 83.8%
   NM
   0.4% to 46.9%
   35.1% to 52.1%
Weighted average anticipated net credit losses   NM
54.6%52.5%   NM
46.9%44.9%
Weighted average life0.0 to 16.0 years
   0.3 to 14.4 years
   0.0 to 24.4 years
0.1 to 27.8 years
   4.8 to 5.3 years
   0.2 to 18.6 years
December 31, 2013December 31, 2016
 
Non-agency-sponsored mortgages (1)
  
Non-agency-sponsored mortgages(1)
U.S. agency- 
sponsored mortgages

Senior 
interests

Subordinated 
interests

U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate   0.1% to 20.9%
   0.5% to 17.4%
   2.1% to 19.6%
   0.7% to 28.2%
   0.0% to 8.1%
   5.1% to 26.4%
Weighted average discount rate6.9%5.5%11.2%9.0%2.1%13.1%
Constant prepayment rate   6.2% to 30.4%
   1.3% to 100.0%
   1.4% to 23.1%
6.8% to 22.8%
   4.2% to 14.7%
   0.5% to 37.5%
Weighted average constant prepayment rate11.1%6.4%7.4%10.2%11.0%10.8%
Anticipated net credit losses (2)
   NM
   0.1% to 80.0%
   25.5% to 81.9%
   NM
   0.5% to 85.6%
   8.0% to 63.7%
Weighted average anticipated net credit losses   NM
49.5%52.8%   NM
31.4%48.3%
Weighted average life   2.1 to 14.1 years
   0.0 to 11.9 years
   0.0 to 26.0 years
0.2 to 28.8 years
   5.0 to 8.5 years
   1.2 to 12.1 years

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


  
Non-agency-sponsored mortgages (1)
 
In millions of dollars at December 31, 2014
U.S. agency- 
sponsored mortgages

Senior 
interests

Subordinated 
interests

Carrying value of retained interests$2,224
$285
$554
Discount rates   
   Adverse change of 10%$(64)$(5)$(30)
   Adverse change of 20%(124)(9)(57)
Constant prepayment rate   
   Adverse change of 10%(86)(1)(9)
   Adverse change of 20%(165)(2)(18)
Anticipated net credit losses   
   Adverse change of 10%NM
(2)(9)
   Adverse change of 20%NM
(3)(16)




231


  
Non-agency-sponsored mortgages (1)
 
In millions of dollars at December 31, 2013
U.S. agency- 
sponsored mortgages

Senior 
interests

Subordinated 
interests

Carrying value of retained interests$2,519
$293
$429
Discount rates   
   Adverse change of 10%$(76)$(6)$(25)
   Adverse change of 20%(148)(11)(48)
Constant prepayment rate   
   Adverse change of 10%(96)(1)(7)
   Adverse change of 20%(187)(2)(14)
Anticipated net credit losses   
   Adverse change of 10%         NM
(2)(7)
   Adverse change of 20%         NM
(3)(14)

(1)NMDisclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

 December 31, 2017
  Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests(1)
$1,634
$214
$139
Discount rates   
   Adverse change of 10%$(44)$(2)$(3)
   Adverse change of 20%(85)(4)(5)
Constant prepayment rate   
   Adverse change of 10%(41)(1)(1)
   Adverse change of 20%(84)(1)(2)
Anticipated net credit losses   
   Adverse change of 10%NM
(3)—
   Adverse change of 20%NM
(7)—


Mortgage Securitizations—Citi Holdings
The following table summarizes selected cash flow information related to Citi Holdings mortgage securitizations for the years ended December 31, 2014, 2013 and 2012:
 201420132012
In billions of dollars
U.S. agency- 
sponsored 
mortgages

Non-agency- 
sponsored 
mortgages

U.S. agency-
sponsored
mortgages
U.S. agency-
sponsored
mortgages
Proceeds from new securitizations$0.4
$—
$0.2
$0.4
Contractual servicing fees received0.1
—
0.3
0.4

Gains recognized on the securitization of U.S. agency-sponsored mortgages during 2014 were $54 million. Agency securitization gains for the years ended December 31, 2013 and 2012 were $20 million and $45 million, respectively.
The Company did not securitize non-agency-sponsored mortgages for the years ended December 31, 2014, 2013 and 2012.
Similar to Citicorp mortgage securitizations discussed above, the range in the key assumptions is due to the different characteristics of the interests retained by the Company. The interests retained range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
At December 31, 2014 and 2013, the key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are set forth in the tables below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not in fact be independent, the net effect of simultaneous adverse changes in the key assumptions may be less than the sum of the individual effects shown below.


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 December 31, 2014
  
Non-agency-sponsored mortgages (1)
 
 
U.S. agency- 
sponsored mortgages

Senior 
interests

Subordinated 
interests (2)

Discount rate   1.9% to 19.2%
5.1% to 47.1%
—
   Weighted average discount rate13.7%36.3%—
Constant prepayment rate20.4% to 32.3%
6.7% to 20.0%
—
   Weighted average constant prepayment rate23.9%16.6%—
Anticipated net credit losses   NM
0.3% to 73.7%
—
   Weighted average anticipated net credit losses   NM
19.2%—
Weighted average life   3.3 to 4.6 years
3.9 to 6.4 years
—
 December 31, 2013
  
Non-agency-sponsored mortgages (1)
 
 
U.S. agency- 
sponsored mortgages

Senior 
interests

Subordinated 
interests (2)

Discount rate   0.0% to 49.3%
9.9%—
   Weighted average discount rate9.5%9.9%—
Constant prepayment rate   9.6% to 26.2%
12.3% to 27.3%
—
   Weighted average constant prepayment rate20.0%15.6%—
Anticipated net credit losses   NM
0.3%—
   Weighted average anticipated net credit losses   NM
0.3%—
Weighted average life   2.3 to 7.6 years
5.2 years
—
 December 31, 2016
  Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests(1)
$2,258
$26
$161
Discount rates   
   Adverse change of 10%$(71)$(7)$(8)
   Adverse change of 20%(138)(14)(16)
Constant prepayment rate   
   Adverse change of 10%(80)(2)(4)
   Adverse change of 20%(160)(3)(8)
Anticipated net credit losses   
   Adverse change of 10%NM
(7)(1)
   Adverse change of 20%NM
(14)(2)

(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)NMCiti Holdings held no subordinated interests in mortgage securitizations as of December 31, 2014 and 2013.Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.
  
Non-agency-sponsored mortgages (1)
 
In millions of dollars at December 31, 2014
U.S. agency- 
sponsored mortgages

Senior 
interests

Subordinated 
interests

Carrying value of retained interests$150
$25
$—
Discount rates   
   Adverse change of 10%$(5)$(2)$—
   Adverse change of 20%(10)(4)—
Constant prepayment rate   
   Adverse change of 10%(7)(2)—
   Adverse change of 20%(14)(3)—
Anticipated net credit losses   
   Adverse change of 10%NM
(4)—
   Adverse change of 20%NM
(7)—
  
Non-agency-sponsored mortgages (1)
 
In millions of dollars at December 31, 2013
U.S. agency- 
sponsored mortgages

Senior 
interests

Subordinated 
interests

Carrying value of retained interests$585
$50
$—
Discount rates   
   Adverse change of 10%$(16)$(3)$—
   Adverse change of 20%(32)(5)—
Constant prepayment rate  —
   Adverse change of 10%(33)(3)—
   Adverse change of 20%(65)(6)—
Anticipated net credit losses   
   Adverse change of 10%NM
(5)—
   Adverse change of 20%NM
(11)—

(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
NM Not meaningful. Anticipated net credit losses are not meaningful due to U.S. agency guarantees.

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Mortgage Servicing Rights
In connection with the securitization of mortgage loans, the Company’sCiti’s U.S. consumer mortgage business generally retains the servicing rights, which entitle the Company to a future stream of cash flows based on the outstanding principal balances of the loans and the contractual servicing fee. Failure to service the loans in accordance with contractual requirements may lead to a termination of the servicing rights and the loss of future servicing fees.
These transactions create an intangible asset referred to as mortgage servicing rights (MSRs), which are recorded at fair value on Citi’s Consolidated Balance Sheet. The fair value of Citi’s capitalized MSRs was $1.8 billion$558 million and $2.7$1.6 billion at December 31, 20142017 and 2013,2016, respectively. Of these amounts, approximately $1.7 billion and $2.1 billion, respectively, were specific to Citicorp, with the remainder to Citi Holdings. The MSRs correspond to principal loan balances of $224$66 billion and $286$168 billion as of December 31, 20142017 and 2013,2016, respectively. The following table summarizes the changes in capitalized MSRs for the years ended December 31, 2014 and 2013:MSRs:
In millions of dollars20172016
Balance, beginning of year$1,564
$1,781
Originations96
152
Changes in fair value of MSRs due to changes in inputs and assumptions65
(36)
Other changes(1)
(110)(313)
Sale of MSRs(2)
(1,057)(20)
Balance, as of December 31$558
$1,564
In millions of dollars20142013
Balance, beginning of year$2,718
$1,942
Originations217
634
Changes in fair value of MSRs due to changes in inputs and assumptions(344)640
Other changes (1)
(429)(496)
Sale of MSRs(317)(2)
Balance, as of December 31$1,845
$2,718

(1)Represents changes due to customer payments and passage of time.
(2)See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs. 2016 amount includes sales of credit-challenged MSRs for which Citi paid the new servicer.

The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, the CompanyCitigroup economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities all classified as Trading account assets.
The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees for the years ended December 31, 2014, 2013 and 2012 were as follows:
In millions of dollars201420132012201720162015
Servicing fees$638
$800
$990
$276
$484
$552
Late fees25
42
65
10
14
16
Ancillary fees56
100
122
13
17
31
Total MSR fees$719
$942
$1,177
$299
$515
$599

These fees are classified inIn the Consolidated Statement of Income these fees are primarily classified as Commissions and fees, and changes in MSR fair values are classified as Other revenue.revenue.
Citi signed agreements during the first quarter of 2017 to effectively exit its direct U.S. mortgage servicing operations by the end of 2018 to intensify focus on originations. The exit of the mortgage servicing operations included the sale of mortgage servicing rights and execution of a subservicing agreement for the remaining Citi-owned loans and certain other mortgage servicing rights. As part of this transaction, Citi is also transferring certain employees. See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs.

Re-securitizations
The CompanyCitigroup engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. DuringCiti did not transfer non-agency (private-label) securities to re-securitization entities during the years ended December 31, 20142017 and 2013, Citi transferred non-agency (private-label) securities with an original par value of approximately $1.2 billion and $955 million, respectively, to re-securitization entities.2016. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of December 31, 2014,2017, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $545$79 million (including $194 million(all related to re-securitization transactions executed in 2014)prior to 2016), which has been recorded in Trading account assets. Of this amount, approximately $133 million was related to senior beneficial interests and approximately $412 millionsubstantially all was related to subordinated beneficial interests. As of December 31, 2013,2016, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $425$126 million (including $131 million(all related to re-securitization transactions executed in 2013)prior to 2016). Of this amount, approximately $58 million was related to senior beneficial interests, and approximately $367 millionsubstantially all was related to subordinated beneficial interests. The original par value of private-label re-securitization transactions in which Citi holds a retained interest as of December 31, 20142017 and 20132016 was approximately $5.1 billion$887 million and $6.1$1.3 billion, respectively.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the years ended December 31, 20142017 and 2013,2016, Citi transferred
agency securities with a fair value of approximately $22.5$26.6 billion and $26.3$26.5 billion, respectively, to re-securitization entities.
As of December 31, 2014,2017, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.8$2.1 billion (including $1.5 billion$854 million related to re-securitization transactions executed in 2014)2017) compared to $1.5$2.3 billion as of December 31, 20132016 (including $1.2 billion$741 million related to re-securitization transactions executed in 2013)2016), which is recorded in Trading account assets. The original fair value of agency re-securitization transactions in which Citi holds a retained interest as of December 31, 20142017 and 20132016 was approximately $73.0$68.3 billion and $75.5$71.8 billion, respectively.
As of December 31, 20142017 and 2013,2016, the Company did not consolidate any private-label or agency re-securitization entities.



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Citi-Administered Asset-Backed Commercial Paper Conduits
The Company is active in the asset-backed commercial paper conduit business as administrator of several multi-seller commercial paper conduits and also as a service provider to single-seller and other commercial paper conduits sponsored by third parties.
Citi’s multi-seller commercial paper conduits are designed to provide the Company’s clients access to low-cost funding in the commercial paper markets. The conduits purchase assets from or provide financing facilities to clients and are funded by issuing commercial paper to third-party investors. The conduits generally do not purchase assets originated by the Company.Citi. The funding of the conduits is facilitated by the liquidity support and credit enhancements provided by the Company.
As administrator to Citi’s conduits, the Company is generally responsible for selecting and structuring assets purchased or financed by the conduits, making decisions regarding the funding of the conduits, including determining the tenor and other features of the commercial paper issued, monitoring the quality and performance of the conduits’ assets and facilitating the operations and cash flows of the conduits. In return, the Company earns structuring fees from customers for individual transactions and earns an administration fee from the conduit, which is equal to the income from the client program and liquidity fees of the conduit after payment of conduit expenses. This administration fee is fairly stable, since most risks and rewards of the underlying assets are passed back to the clients. Once the asset pricing is negotiated, most ongoing income, costs and fees are relatively stable as a percentage of the conduit’s size.
The conduits administered by the CompanyCiti do not generally invest in liquid securities that are formally rated by third parties. The assets are privately negotiated and structured transactions that are generally designed to be held by the conduit, rather than actively traded and sold. The yield earned by the conduit on each asset is generally tied to the rate on the commercial paper issued by the conduit, thus passing interest rate risk to the client. Each asset purchased by the conduit is structured with transaction-specific credit enhancement features provided by the third-party client seller, including over collateralization,over-collateralization, cash and excess spread collateral accounts, direct recourse or third-party guarantees. These credit enhancements are sized

with the objective of approximating a credit rating of A or above, based on the Company’sCiti’s internal risk ratings. At December 31, 20142017 and 2013,2016, the conduits had approximately $29.2$19.3 billion and $31.8$19.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $15.3$14.5 billion and $13.5$12.8 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At the respective periods ended December 31, 20142017 and 2013,2016, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 5751 and 6755 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. One conduit holds only loans that are fully guaranteed primarily by AAA-rated government agencies that support export and development financing
programs. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $2.3$1.7 billion and $1.8 billion as of December 31, 20142017 and 2013.2016, respectively. The net result across multi-seller conduits administered by the Company other than the government guaranteed loan conduit, is that, in the event defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then to the commercial paper investors.
The CompanyCitigroup also provides the conduits with two forms of liquidity agreements that are used to provide funding to the conduits in the event of a market disruption, among other events. Each asset of the conduits is supported by a transaction-specific liquidity facility in the form of an asset purchase agreement (APA). Under the APA, the Company has generally agreed to purchase non-defaulted eligible receivables from the conduit at par. The APA is not generally designed to provide credit support to the conduit, as it generally does not permit the purchase of defaulted or impaired assets. Any funding under the APA will likely subject the underlying conduit clients to increased interest costs. In addition, the Company provides the conduits with program-wide liquidity in the form of short-term lending commitments. Under these commitments, the Company has agreed to lend to the conduits in the event of a short-term disruption in the commercial paper market, subject to specified conditions. The Company receives fees for providing both types of liquidity agreements and considers these fees to be on fair market terms.
Finally, the CompanyCiti is one of several named dealers in the commercial paper issued by the conduits and earns a market-based fee for providing such services. Along with third-party dealers, the Company makes a market in the commercial paper and may from time to time fund commercial paper pending sale to a third party. On specific dates with less liquidity in the market, the Company may hold in inventory commercial paper issued by conduits administered by the Company, as well as conduits administered by third parties. Separately, in the normal course of business, the Company invests inCiti purchases commercial paper, including commercial paper issued by the Company'sCitigroup's conduits. At December 31, 20142017 and 2013,2016, the Company owned $10.6$9.3 billion and $13.9$9.7 billion, respectively, of the commercial paper issued by its administered conduits. The Company's investments purchases
were not driven by market illiquidity and, other than the amounts required to be held pursuant to credit risk retention rules, the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.
The asset-backed commercial paper conduits are consolidated by the Company.Citi. The Company has determined that, through its roles as administrator and liquidity provider, it hadhas the power to direct the activities that most significantly impactedimpact the entities’ economic performance. These powers includedinclude its ability to structure and approve the assets purchased by the conduits, its ongoing surveillance and credit mitigation activities, its ability to sell or repurchase assets out of the conduits and its liability management. In addition, as a


235


result of all the Company’s involvement described above, it was concluded that the Company hadCiti has an economic interest that could potentially be significant. However, the assets and
liabilities of the conduits are separate and apart from those of Citigroup. No assets of any conduit are available to satisfy the creditors of Citigroup or any of its other subsidiaries.
During the second quarter of 2013, Citi consolidated the government guaranteed loan conduit it administers that was previously not consolidated due to changes in the primary risks and design of the conduit that were identified as a reconsideration event. Citi, as the administrator and liquidity provider, previously determined it had an economic interest that could potentially be significant. Upon the reconsideration event, it was determined that Citi had the power to direct the activities that most significantly impacted the conduit’s economic performance. The impact of the consolidation resulted in an increase of assets and liabilities of approximately $7 billion each and a net pretax gain to the Consolidated Statement of Income of approximately $40 million.

Collateralized Debt and Loan Obligations
A securitized collateralized debtloan obligation (CDO)(CLO) is a VIE that purchases a poolportfolio of assets consisting primarily of asset-backed securities and synthetic exposures through derivatives on asset-backed securities and issuesnon-investment grade corporate loans. CLOs issue multiple tranches of equitydebt and notes to investors.
A cash CDO, or arbitrage CDO, is a CDO designed to take advantage of the difference between the yield on a portfolio of selected assets, typically residential mortgage-backed securities, and the cost of funding the CDO through the sale of notes to investors. “Cash flow” CDOs are entities in which the CDO passes on cash flows from a pool of assets, while “market value” CDOs payequity to investors to fund the market value ofasset purchases and pay upfront expenses associated with forming the pool of assets owned by the CDO at maturity. In these transactions, all of the equity and notes issued by the CDO are funded, as the cash is needed to purchase the debt securities.
A synthetic CDO is similar to a cash CDO, except that the CDO obtains exposure to all or a portion of the referenced assets synthetically through derivative instruments, such as credit default swaps. Because the CDO does not need to raise cash sufficient to purchase the entire referenced portfolio, a substantial portion of the senior tranches of risk is typically passed on to CDO investors in the form of unfunded liabilities or derivative instruments. The CDO writes credit protection on select referenced debt securities to the Company or third parties. Risk is then passed on to the CDO investors in the form of funded notes or purchased credit protection through derivative instruments. Any cash raised from investors is invested in a portfolio of collateral securities or investment contracts. The collateral is then used to support the obligations of the CDO on the credit default swaps written to counterparties.
A securitized collateralized loan obligation (CLO) is substantially similar to the CDO transactions described above, except that the assets owned by the VIE (either cash instruments or synthetic exposures through derivative instruments) are corporate loans and to a lesser extent corporate bonds, rather than asset-backed debt securities.
CLO. A third-party asset manager is typically retainedcontracted by the CDO/CLO to selectpurchase the pool ofunderlying assets from the open market and managemonitor the credit risk associated with those assets overassets. Over the term of a CLO, the VIE.
The Company earns fees for warehousingasset manager directs purchases and sales of assets prior to the creation ofin a “cash flow” or “market value” CDO/CLO, structuring CDOs/CLOs and placing debt securities with investors. In addition, the Company has retained interests in many of the CDOs/CLOs it has structured and makes a market in the issued notes.
The Company’s continuing involvement in synthetic
CDOs/CLOs generally includes purchasing credit protection through credit default swapsmanner consistent with the CDO/CLO, owning a portion of the capital structure of the CDO/CLO in the form of both unfunded derivative positions (primarily “super-senior” exposures discussed below)CLO’s asset management agreement and funded notes, entering into interest-rate swap and total-return swap transactions with the CDO/CLO, lending to the CDO/CLO, and making a market in the funded notes.
Where a CDO/CLO entity issues preferred shares (or subordinated notes that are the equivalent form), the preferred shares generally represent an insufficient amount of equity (less than 10%) and create the presumption that preferred shares are insufficient to finance the entity’s activities without subordinated financial support. In addition, although the preferred shareholders generally have full exposure to expected losses on the collateral and uncapped potential to receive expected residual returns, they generally do not have the ability to make decisions significantly affecting the entity’s financial results because of their limited role in making day-to-day decisions and their limited ability to remove the asset manager. Because one or both of the above conditions will generally be met, the Company has concluded, even where a CDO/CLO entity issued preferred shares, the entity should be classified as a VIE.
indenture. In general, the CLO asset manager through its ability to purchase and sell assets or—where the reinvestment period of a CDO/CLO has expired—the ability to sell assets, will have the power to direct the activities of the entity that most significantly impact the economic performance of the CDO/CLO. However, whereInvestors in a CDO/CLO, has experienced an eventthrough their ownership of default debt and/or an optional redemption period has gone into effect, theequity in it, can also direct certain activities of the CLO, including removing its asset manager may be curtailed and/or certain additional rights will generally be providedunder limited circumstances, optionally redeeming the notes, voting on amendments to the investors inCLO’s operating documents and other activities. A CLO has a CDO/CLO entity, includingfinite life, typically 12 years.
Citi serves as a structuring and placement agent with respect to the right to directCLOs. Typically, the liquidationdebt and equity of the CDO/CLO entity.
The Company has retained significant portionsCLOs are sold to third-party investors. On occasion, certain Citi entities may purchase some portion of a CLO’s liabilities for investment purposes. In addition, Citi may purchase, typically in the “super-senior” positionssecondary market, certain securities issued by certain CDOs. These positions are referredthe CLOs to as “super-senior” because they represent the most senior positions in the CDO and, at the time of structuring, were senior to tranches rated AAA by independent rating agencies.support its market making activities.
The Company does not generally have the power to direct the activities of the entity that most significantly impact the economic performance of the CDOs/CLOs, as this power is generally held by a third-party asset manager of the CDO/CLO. As such, those CDOs/CLOs are not consolidated. The Company may consolidate the CDO/CLO when: (i) the Company is the asset manager and no other single investor has the unilateral ability to remove the Company or unilaterally cause the liquidation of the CDO/CLO, or the Company is not


236


the asset manager but has a unilateral right to remove the third-party asset manager or unilaterally liquidate the CDO/CLO and receive the underlying assets, and (ii) the Company
has economic exposure to the entity that could be potentially significant to the entity.
The Company continues to monitor its involvement in unconsolidated CDOs/CLOs to assess future consolidation risk. For example, if the Company were to acquire additional interests in these entities and obtain the right, due to an event of default trigger being met, to unilaterally liquidate or direct the activities of a CDO/CLO, the Company may be required to consolidate the asset entity. For cash CDOs/CLOs, the net result of such consolidation would be to gross up the Company’s balance sheet by the current fair value of the securities held by third parties and assets held by the CDO/CLO, which amounts are not considered material. For synthetic CDOs/CLOs, the net result of such consolidation may reduce the Company’s balance sheet, because intercompany derivative receivables and payables would be eliminated in consolidation, and other assets held by the CDO/CLO and the securities held by third parties would be recognized at their current fair values.

Key Assumptions and Retained Interests—Citicorp
The following table summarizes selected cash flow information related to Citigroup CLOs:
At December 31, 2014 and 2013, the
In billions of dollars201720162015
Proceeds from new securitizations$3.5
$5.0
$5.9
Cash flows received on retained interests and other net cash flows0.1
—
—

The key assumptions used to value retained interests in CLOs, and the sensitivity of the fair value to adverse changes of 10% and 20% are set forth in the tables below:
December 31, 2014December 31, 2013
Discount rate1.4% to 1.6%1.5% to 1.6%
December 31, 2014 
In millions of dollarsCLO
Carrying value of retained interests$1,539
Value of underlying portfolio 
   Adverse change of 10%$(9)
   Adverse change of 20%(18)
December 31, 2013 
In millions of dollarsCLO
Carrying value of retained interests$1,333
Value of underlying portfolio 
   Adverse change of 10%$(7)
   Adverse change of 20%(14)

Key Assumptions and Retained Interests—Citi Holdings
At December 31, 2014 and 2013, the key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20%, are set forth in the tables below:

DecemberDec. 31, 2014

2017		CDOsCLOsDec. 31, 2016
Discount rate   44.7%1.1% to 49.2%1.6%   4.5%1.3% to 5.0%1.7%
December 31, 2013
CDOsCLOs
Discount rate   44.3% to 48.7%   4.5% to 5.0%
In millions of dollarsDec. 31, 2017Dec. 31, 2016
Carrying value of retained interests$3,607
$4,261
Discount rates  
   Adverse change of 10%$(24)$(30)
   Adverse change of 20%(47)(62)
 December 31, 2014
In millions of dollarsCDOsCLOs
Carrying value of retained interests$6
$10
Discount rates  
   Adverse change of 10%$(1)$—
   Adverse change of 20%(2)—
 December 31, 2013
In millions of dollarsCDOsCLOs
Carrying value of retained interests$19
$31
Discount rates  
   Adverse change of 10%$(1)$—
   Adverse change of 20%(2)—

Asset-Based Financing
The Company provides loans and other forms of financing to VIEs that hold assets. Those loans are subject to the same credit approvals as all other loans originated or purchased by the Company. Financings in the form of debt securities or derivatives are, in most circumstances, reported in Trading account assets and accounted for at fair value through earnings. The Company generally does not have the power to direct the activities that most significantly impact these VIEs’ economic performance, andperformance; thus, it does not consolidate them.

Asset-Based Financing—Citicorp
The primary types of Citicorp’sCiti’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement and the Company’sCiti’s maximum exposure to loss at December 31, 2014 and 2013 are shown below. For the CompanyCiti to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
 December 31, 2014
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$25,978
$9,426
Corporate loans460
473
Airplanes, ships and other assets34,990
15,573
Total$61,428
$25,472


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 December 31, 2013
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$14,042
$3,902
Corporate loans2,221
1,754
Airplanes, ships and other assets28,650
12,958
Total$44,913
$18,614

The following table summarizes selected cash flow information related to asset-based financings for the years ended December 31, 2014, 2013 and 2012:
 December 31, 2017
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$15,370
$5,445
Corporate loans4,725
3,587
Hedge funds and equities542
58
Airplanes, ships and other assets39,202
16,849
Total$59,839
$25,939
 December 31, 2016
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$8,784
$2,368
Corporate loans4,051
2,684
Hedge funds and equities370
54
Airplanes, ships and other assets39,230
16,837
Total$52,435
$21,943
In billions of dollars201420132012
Proceeds from new securitizations$0.5
$0.5
$—
Cash flows received on retained interest and other net cash flows$0.2
$0.7
$0.3

The key assumption used to value retained interests and the sensitivity of the fair value to adverse changes of 10% and 20% is set forth in the tables below for the following periods presented:
Dec. 31, 2014Dec. 31, 2013
Discount rateN/A3.0%
December 31, 2013 
In millions of dollarsAsset-based
financing
Carrying value of retained interests (1)
$1,316
Value of underlying portfolio 
   Adverse change of 10%$(11)
   Adverse change of 20%(23)

(1)Citicorp held no retained interests in asset-based financings as of December 31, 2014.

 
Asset-Based Financing—Citi Holdings
The primary types of Citi Holdings’ asset-based financing, total assets of the unconsolidated VIEs with significant involvement and the Company’s maximum exposure to loss at December 31, 2014 and 2013 are shown below. For the Company to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
 December 31, 2014
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$168
$50
Corporate loans—
—
Airplanes, ships and other assets1,153
76
Total$1,321
$126
 December 31, 2013
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$774
$298
Corporate loans112
96
Airplanes, ships and other assets2,619
496
Total$3,505
$890

The following table summarizes selected cash flow information related to asset-based financings for the years ended December 31, 2014, 2013 and 2012:
In billions of dollars201420132012
Cash flows received on retained interest and other net cash flows$0.1
$0.2
$1.7

At December 31, 2014 and 2013, the effects of adverse changes of 10% and 20% in the discount rate used to determine the fair value of retained interests are set forth in the tables below:
December 31, 2013 
In millions of dollarsAsset-based
financing
Carrying value of retained interests (1)
$95
Value of underlying portfolio 
   Adverse change of 10%$—
   Adverse change of 20%—

(1)Citi Holdings held no retained interests in asset-based financings as of December 31, 2014.



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Municipal Securities Tender Option Bond (TOB) Trusts
Municipal TOB trusts may hold fixed- andor floating-rate, taxable andor tax-exempt securities issued by state and local governments and municipalities. TheTOB trusts are typically structured as single-issuer trustsentities whose assets are purchased from either the Company or from other investors in the municipal securities market. The TOB trusts fundfinance the purchase of their municipal assets by issuing long-term, putabletwo classes of certificates: long-dated, floating rate certificates (Floaters)(“Floaters”) that are putable pursuant to a liquidity facility and residual interest certificates (Residuals)(“Residuals”). The trusts are referred to as TOB trusts because the Floater holders have the ability to tender their interests periodically back to the issuing trust, as described further below. The Floaters and Residuals evidence beneficial ownership interests in, and are collateralized by, the underlying assets of the trust. The Floaters are heldpurchased by third-party investors, typically tax-exempt money market funds. The Residuals are typically heldpurchased by the original owner of the municipal securities that are being financed.
The Floaters andFrom the Residuals have a tenor that is equal to or shorter than the tenor of the underlying municipal bonds. The Residuals entitle their holders to the residual cash flows from the issuing trust, the interest income generated by the underlying municipal securities net of interest paid on the Floaters and trust expenses. The Residuals are rated based on the long-term rating of the underlying municipal bond. The Floaters bear variable interest rates that are reset periodically to a new market rate based on a spread to a high grade, short-term, tax-exempt index. The Floaters have a long-term rating based on the long-term rating of the underlying municipal bond and a short-term rating based on that of the liquidity provider to the trust.
ThereCitigroup’s perspective, there are two kindstypes of TOB trusts: customer TOB trusts and non-customer TOB trusts.non-customer. Customer TOB trusts are those trusts through whichutilized by customers of the Company to finance their investments in municipal securities.securities investments. The Residuals issued by these trusts are heldpurchased by customers and the Floaters by third-party investors, typically tax-exempt money market funds.customer being financed. Non-customer TOB trusts are trusts through whichused by the Company financesto finance its own investments in municipal securities. In such trusts, the Company holdssecurities investments; the Residuals issued by non-customer TOB trusts are purchased by the Company.
With respect to both customer and third-party investors, typically tax-exempt money market funds, hold the Floaters.
The Company serves asnon-customer TOB trusts, Citi may provide remarketing agent to the trusts, placing the Floaters with third-party investors at inception, facilitating the periodic reset of the variable rate of interest on the Floaters, and remarketing any tendered Floaters.services. If Floaters are optionally tendered and the Company, (inin its role as remarketing agent)agent, is unable to find a new investor to purchase the optionally tendered Floaters within a specified period of time, it can declare a failed remarketing, in which case the trust is unwound. The CompanyCitigroup may, but is not obligated to, buypurchase the tendered Floaters into its own inventory. The level of the Company’s inventory of such Floaters fluctuates over time. Atfluctuates.
For certain customer TOB trusts, Citi may also serve as a voluntary advance provider. In this capacity, the Company may, but is not obligated to, make loan advances to customer TOB trusts to purchase optionally tendered Floaters that have not otherwise been successfully remarketed to new investors. Such loans are secured by pledged Floaters. As of December 31, 2014 and 2013, the Company held $3 million and $176 million, respectively, of Floaters related2017, Citi had no outstanding voluntary advances to both customer and non-customer TOB trusts.
For certain non-customer trusts, the Company also provides credit enhancement. At December 31, 20142017 and 20132016, approximately $198$62 million and $230$82 million, respectively, of the municipal bonds owned by non-customer TOB trusts havewere subject to a credit guarantee provided by the Company.
The CompanyCitigroup also provides liquidity services to many of the outstandingcustomer and non-customer trusts. If a trust is unwound early due to an event
other than a credit event on the underlying municipal bond,bonds, the underlying municipal bonds are sold inout of the market.trust and bond sale proceeds are used to redeem the outstanding trust certificates. If there isthis results in a shortfall inbetween the trust’s cash flows betweenbond sale proceeds and the redemption price of the tendered Floaters, and the proceeds fromCompany, pursuant to the sale of the underlying municipal bonds,liquidity agreement, would be obligated to make a payment to the trust draws on a liquidity agreement in an amount equal to thesatisfy that shortfall. For certain customer TOBs where the Residual is less than 25% of the trust’s capital structure, the CompanyTOB trusts, Citigroup has also executed a reimbursement agreement with the holder of the Residual, holder underpursuant to which the Residual holder reimbursesis obligated to reimburse the Company for any payment madethe Company makes under the liquidity arrangement. Through thisThese reimbursement agreement,agreements may be subject to daily margining

based on changes in the Residual holder remains economically exposed to fluctuations inmarket value of the underlying municipal bonds. These reimbursement agreements are generally subject to daily margining based on changes in value of the underlying municipal bond. In cases where a third party provides liquidity to a non-customer TOB trust, a similar reimbursement arrangement is mademay be executed, whereby the Company (or a consolidated subsidiary of the Company), as Residual holder, absorbswould absorb any losses incurred by the liquidity provider.
For certain other non-customer TOB trusts, Citi serves as tender option provider. The tender option provider arrangement allows Floater holders to put their interests directly to the Company at any time, subject to the requisite notice period requirements, at a price of par.
At December 31, 20142017 and 2013,2016, liquidity agreements provided with respect to customer TOB trusts totaled $3.7$3.2 billion and $3.9$2.9 billion, respectively, of which $2.6$2.0 billion and $2.8$2.1 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the Residualresidual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.
Citi considers both customer and non-customer TOB trusts to be VIEs. Customer TOB trusts are not consolidated by the Company, as the power to direct the activities that most significantly impact the trust’s economic performance rests with the customer Residual holder, which may unilaterally cause the sale of the trust’s bonds.
Non-customer TOB trusts generally are consolidated because the Company holds the Residual interest and thus has the unilateral power to cause the sale of the trust’s bonds.
The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $7.4$6.1 billion and $5.4$7.4 billion as of December 31, 20142017 and 2013,2016, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.
The Company considers the customer and non-customer TOB trusts to be VIEs. Customer TOB trusts are not consolidated by the Company. The Company has concluded that the power to direct the activities that most significantly impact the economic performance of the customer TOB trusts is primarily held by the customer Residual holder, which may unilaterally cause the sale of the trust’s bonds.
Non-customer TOB trusts generally are consolidated. Similar to customer TOB trusts, the Company has concluded that the power over the non-customer TOB trusts is primarily held by the Residual holder, which may unilaterally cause the sale of the trust’s bonds. Because the Company holds the Residual interest, and thus has the power to direct the activities that most significantly impact the trust’s economic performance, it consolidates the non-customer TOB trusts.


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Municipal Investments
Municipal investment transactions include debt and equity interests in partnerships that finance the construction and rehabilitation of low-income housing, facilitate lending in new or underserved markets or finance the construction or operation of renewable municipal energy facilities. The CompanyCiti generally invests in these partnerships as a limited partner and earns a return primarily through the receipt of tax credits and grants earned from the investments made by the partnership. The Company may also provide construction loans or permanent loans for the development or operation of real estate properties held by partnerships. These entities are generally considered VIEs. The power to direct the activities of these entities is typically held by the general partner. Accordingly, these entities are not consolidated by the Company.Citigroup.

Client Intermediation
Client intermediation transactions represent a range of transactions designed to provide investors with specified returns based on the returns of an underlying security, referenced asset or index. These transactions include credit-linked notes and equity-linked notes. In these transactions, the VIE typically obtains exposure to the underlying security, referenced asset or index through a derivative instrument, such as a total-return swap or a credit-default swap. In turn, the VIE issues notes to investors that pay a return based on the specified underlying security, referenced asset or index. The VIE invests the proceeds in a financial asset or a guaranteed insurance contract that serves as collateral for the derivative contract over the term of the transaction. The Company’s involvement in these transactions includes being the counterparty to the VIE’s derivative instruments and investing in a portion of the notes issued by the VIE. In certain transactions, the investor’s maximum risk of loss is limited and the Company absorbs risk of loss above a specified level. The CompanyCiti does not have the power to direct the activities of the VIEs that most significantly impact their economic performance and thus it does not consolidate them.
The Company’sCiti’s maximum risk of loss in these transactions is defined as the amount invested in notes issued by the VIE and the notional amount of any risk of loss absorbed by the CompanyCiti through a separate instrument issued by the VIE. The derivative instrument held by the Company may generate a receivable from the VIE (for example, where the Company purchases credit protection from the VIE in connection with the VIE’s issuance of a credit-linked note), which is collateralized by the assets owned by the VIE. These derivative instruments are not considered variable interests and any associated receivables are not included in the calculation of maximum exposure to the VIE.
The proceeds from new securitizations related to the Company’sCiti’s client intermediation transactions for the yearyears ended December 31, 20142017 and 2016 totaled approximately $2.01.1 billion. and $2.3 billion, respectively.

Investment Funds
The Company is the investment manager for certain investment funds and retirement funds that invest in various asset classes including private equity, hedge funds, real estate, fixed income and infrastructure. The CompanyCitigroup earns a management fee, which is a percentage of capital under management, and may earn performance fees. In addition, for some of these funds the Company has an ownership interest in the investment funds. The CompanyCiti has also established a number of investment funds as opportunities for qualified employees to invest in private equity investments. The Company acts as investment manager tofor these funds and may provide employees with financing on both recourse and non-recourse bases for a portion of the employees’ investment commitments.
The Company has determined that a majority of the investment entities managed by Citigroup are provided a deferral from the requirements of ASC 810, because they meet the criteria in Accounting Standards Update No. 2010-10, Consolidation (Topic 810), Amendments for Certain Investment Funds (ASU 2010-10). These entities continue to be evaluated under the requirements of ASC 810-10, prior to the implementation of SFAS 167 (FIN 46(R), Consolidation of Variable Interest Entities), which required that a VIE be consolidated by the party with a variable interest that will absorb a majority of the entity’s expected losses or residual returns, or both. See Note 1 to the Consolidated Financial Statements for a discussion of ASU 2015-02 which includes impending changes to targeted areas of consolidation guidance. When ASU 2015-02 becomes effective on January 1, 2016, it will eliminate the above noted deferral for certain investment entities pursuant to ASU 2010-10.

Trust Preferred Securities
The Company has previously raised financing through the issuance of trust preferred securities. In these transactions, the Company forms a statutory business trust and owns all of the voting equity shares of the trust. The trust issues preferred equity securities to third-party investors and invests the gross proceeds in junior subordinated deferrable interest debentures issued by the Company. The trusts have no assets, operations, revenues or cash flows other than those related to the issuance, administration and repayment of the preferred equity securities held by third-party investors. Obligations of the trusts are fully and unconditionally guaranteed by the Company.
Because the sole asset of each of the trusts is a receivable from the Company and the proceeds to the Company from the receivable exceed the Company’s investment in the VIE’s equity shares, the Company is not permitted to consolidate the trusts, even though it owns all of the voting equity shares of the trust, has fully guaranteed the trusts’ obligations, and has the right to redeem the preferred securities in certain circumstances. The Company recognizes the subordinated debentures on its Consolidated Balance Sheet as long-term liabilities. (For additional information, see Note 18 to the Consolidated Financial Statements.)



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23.22.   DERIVATIVES ACTIVITIES
In the ordinary course of business, Citigroup enters into various types of derivative transactions. These derivative
transactions, which include:

Futures and forward contracts,which are commitments to buy or sell at a future date a financial instrument, commodity or currency at a contracted price and may be settled in cash or through delivery.delivery of an item readily convertible to cash.
Swap contracts,which are commitments to settle in cash at a future date or dates that may range from a few days to a number of years, based on differentials between specified indices or financial instruments, as applied to a notional principal amount.
Option contracts,which give the purchaser, for a premium, the right, but not the obligation, to buy or sell within a specified time a financial instrument, commodity or currency at a contracted price that may also be settled in cash, based on differentials between specified indices or prices.

Swaps, and forwards and some option contracts are over-the-counter (OTC) derivatives that are bilaterally negotiated with counterparties and settled with those counterparties, except for swap contracts that are novated and "cleared" through central counterparties (CCPs). Futures contracts and other option contracts are standardized contracts that are traded on an exchange with a CCP as the counterparty from the inception of the transaction. Citigroup enters into these derivative contracts relating to interest rate, foreign currency, commodity and other market/credit risks for the following reasons:

Trading Purposes: Purposes:Citigroup trades derivatives as an active market maker. Citigroup offers its customers derivatives in connection with their risk management actions to transfer, modify or reduce their interest rate, foreign exchange and other market/credit risks or for their own trading purposes. Citigroup also manages its derivative risk positions through offsetting trade activities, controls focused on price verification and daily reporting of positions to senior managers.
Hedging: Citigroup uses derivatives in connection with its risk-managementown risk management activities to hedge certain risks or reposition the risk profile of the Company. Hedging may be accomplished by applying hedge accounting in accordance with ASC 815, Derivatives and Hedging, or by an economic hedge. For example, Citigroup issues fixed-rate long-term debt and then enters into a receive-fixed, pay-variable-rate interest rate swap with the same tenor and notional amount to synthetically convert the interest payments to a net variable-rate basis. This strategy is the most common form of an interest rate hedge, as it minimizes net interest cost in certain yield curve environments. Derivatives are also used to manage market risks inherent in specific groups of on-balance-sheeton-balance sheet assets and liabilities, including AFS securities, commodities and borrowings, as well as other interest-sensitive assets and liabilities. In addition, foreign-exchangeforeign exchange contracts are used to hedge non-U.S.-dollar-denominatednon-U.S.-dollar-
denominated debt, foreign-currency-denominatedforeign currency-denominated AFS securities and net investment exposures.

Derivatives may expose Citigroup to market, credit or liquidity risks in excess of the amounts recorded on the Consolidated Balance Sheet. Market risk on a derivative product is the exposure created by potential fluctuations in interest rates, foreign-exchangemarket prices, foreign exchange rates and other factors and is a function of the type of product, the volume of transactions, the tenor and terms of the agreement and the underlying volatility. Credit risk is the exposure to loss in the event of nonperformance by the other party to the transactionsatisfy a derivative liability where the value of any collateral held by Citi is not adequate to cover such losses. The recognition in earnings of unrealized gains on thesederivative transactions is subject to management’s assessment of the probability of counterparty default. Liquidity risk is the potential exposure that arises when the size of a derivative position may not be ableaffect the ability to be monetizedmonetize the position in a reasonable period of time and at a reasonable cost in periods of high volatility and financial stress.
Derivative transactions are customarily documented under industry standard master netting agreements, thatwhich provide that following an uncured payment default or other event of default, the non-defaulting party may promptly terminate all transactions between the parties and determine the net amount due to be paid to, or by, the defaulting party. Events of default include:include (i) failure to make a payment on a derivatives transaction that remains uncured following applicable notice and grace periods, (ii) breach of agreement that remains uncured after applicable notice and grace periods, (iii) breach of a representation, (iv) cross default, either to third-party debt or to other derivative transactions entered into between the parties, or, in some cases, their affiliates, (v) the occurrence of a merger or consolidation which results in a party’s becoming a materially weaker credit and (vi) the cessation or repudiation of any applicable guarantee or other credit support document. Obligations under master netting agreements are often secured by collateral posted under an industry standard credit support annex to the master netting agreement. An event of default may also occur under a credit support annex if a party fails to make a collateral delivery that remains uncured following applicable notice and grace periods.
The netting and collateral rights incorporated in the master netting agreements are considered to be legally enforceable if a supportive legal opinion has been obtained from counsel of recognized standing that provides (i) the requisite level of certainty regarding enforceability, and (ii) that the exercise of rights by the non-defaulting party to terminate and close-out transactions on a net basis under these agreements will not be stayed or avoided under applicable law upon an event of default, including bankruptcy, insolvency or similar proceeding.
A legal opinion may not be sought for certain jurisdictions where local law is silent or unclear as to the enforceability of such rights or where adverse case law or conflicting regulation may cast doubt on the enforceability of such rights. In some jurisdictions and for some counterparty types, the insolvency law may not provide the requisite level of certainty. For

example, this may be the case for certain sovereigns, municipalities, central banks and U.S. pension plans.


241


Exposure to credit risk on derivatives is affected by market volatility, which may impair the ability of counterparties to satisfy their obligations to the Company. Credit limits are established and closely monitored for customers engaged in derivatives transactions. Citi considers the level of legal certainty regarding enforceability of its offsetting rights under master netting agreements and credit support annexes to be an important factor in its risk management process. Specifically, Citi generally transacts much lower volumes of derivatives under master netting agreements where Citi does not have the requisite level of legal certainty regarding enforceability, because such derivatives consume greater amounts of single counterparty credit limits than those executed under enforceable master netting agreements.
Cash collateral and security collateral in the form of G10 government debt securities isare often posted by a party to a master netting agreement to secure the net open exposure of the other party; the receiving party is free to commingle/rehypothecate such collateral in the ordinary course of its business. Nonstandard collateral such as corporate bonds, municipal bonds, U.S. agency securities and/or MBS may also be pledged as collateral for derivative transactions. Security collateral posted to open and maintain a master netting agreement with a counterparty, in the form of cash and/or securities, may from time to time be segregated in an account at a third-party custodian pursuant to a tri-party account control agreement.






242








Information pertaining to Citigroup’s derivative activity,activities, based on notional amounts, as of December 31, 2014 and December 31, 2013, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and in Citigroup’s view, do not accurately represent a complete and accurate measure of Citi’s exposure to derivative transactions. Rather, as discussed above, Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity
risk), as well as any market valuation adjustments that may be required on the
transactions. Moreover, notional amounts do not reflect the netting of offsetting trades (also as discussed above).trades. For example, if Citi enters into ana receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimusminimis overall market risk. Aggregate derivative notional amounts can fluctuate from period-to-periodperiod to period in the normal course of business based on Citi’s market share, as well as levels of client activity.activity and other factors.



Derivative Notionals
Hedging instruments under
ASC 815(1)(2)
Other derivative instruments
Hedging instruments under
ASC 815(1)(2)
Other derivative instruments

Trading derivatives
Management hedges(3)

Trading derivatives
Management hedges(3)
In millions of dollarsDecember 31,
2014		December 31,
2013		December 31,
2014		December 31,
2013		December 31,
2014		December 31,
2013		December 31,
2017		December 31,
2016		December 31,
2017		December 31,
2016		December 31,
2017		December 31,
2016
Interest rate contracts      
Swaps$163,348
$132,823
$31,906,549
$36,370,196
$31,945
$93,286
$189,779
$151,331
$18,718,224
$19,145,250
$35,995
$47,324
Futures and forwards—
20
7,044,990
6,129,742
42,305
61,398
—
97
6,447,886
6,864,276
12,653
30,834
Written options—
—
3,311,751
3,342,832
3,913
3,103
—
—
3,513,759
2,921,070
2,372
4,759
Purchased options—
—
3,171,056
3,240,990
4,910
3,185
—
—
3,230,915
2,768,528
3,110
7,320
Total interest rate contract notionals$163,348
$132,843
$45,434,346
$49,083,760
$83,073
$160,972
$189,779
$151,428
$31,910,784
$31,699,124
$54,130
$90,237
Foreign exchange contracts            
Swaps$25,157
$22,402
$4,567,977
$3,298,500
$23,990
$20,013
$37,162
$19,042
$5,538,231
$5,492,145
$38,126
$22,676
Futures and forwards73,219
79,646
2,154,773
1,982,303
7,069
14,226
Futures, forwards and spot33,103
56,964
3,080,361
3,251,132
17,339
3,419
Written options—
101
1,343,520
1,037,433
432
—
3,951
—
1,127,728
1,194,325
—
—
Purchased options—
106
1,363,382
1,029,872
432
71
6,427
—
1,148,686
1,215,961
—
—
Total foreign exchange contract notionals$98,376
$102,255
$9,429,652
$7,348,108
$31,923
$34,310
$80,643
$76,006
$10,895,006
$11,153,563
$55,465
$26,095
Equity contracts            
Swaps$—
$—
$131,344
$100,019
$—
$—
$—
$—
$215,834
$192,366
$—
$—
Futures and forwards—
—
30,510
23,161
—
—
—
—
72,616
37,557
—
—
Written options—
—
305,627
333,945
—
—
—
—
389,961
304,579
—
—
Purchased options—
—
275,216
266,570
—
—
—
—
328,154
266,070
—
—
Total equity contract notionals$—
$—
$742,697
$723,695
$—
$—
$—
$—
$1,006,565
$800,572
$—
$—
Commodity and other contracts            
Swaps$—
$—
$90,817
$81,112
$—
$—
$—
$—
$82,039
$70,774
$—
$—
Futures and forwards1,089
—
106,021
98,265
—
—
23
182
153,248
142,530
—
—
Written options—
—
104,581
100,482
—
—
—
—
62,045
74,627
—
—
Purchased options—
—
95,567
97,626
—
—
—
—
60,526
69,629
—
—
Total commodity and other contract notionals$1,089
$—
$396,986
$377,485
$—
$—
$23
$182
$357,858
$357,560
$—
$—
Credit derivatives(4)
            
Protection sold$—
$—
$1,063,858
$1,143,363
$—
$—
$—
$—
$735,142
$859,420
$—
$—
Protection purchased—
95
1,100,369
1,195,223
16,018
19,744
—
—
766,565
883,003
11,148
19,470
Total credit derivatives$—
$95
$2,164,227
$2,338,586
$16,018
$19,744
$—
$—
$1,501,707
$1,742,423
$11,148
$19,470
Total derivative notionals$262,813
$235,193
$58,167,908
$59,871,634
$131,014
$215,026
$270,445
$227,616
$45,671,920
$45,753,242
$120,743
$135,802
(1)The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a foreign-currency-denominatedforeign currency-denominated debt instrument. The notional amount of such debt was $3,752$63 million and $6,450$1,825 million at December 31, 20142017 and December 31, 2013,2016, respectively.
(2)
Derivatives in hedge accounting relationships accounted for under ASC Topic 815 are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.
(3)
Management hedges represent derivative instruments used to mitigate certain economic risks, but for which hedge accounting is not applied. These derivatives are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.

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

Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.

The following tables present the gross and net fair values of the Company’s derivative transactions and the related offsetting amounts permitted under ASC 210-20-45 and ASC 815-10-45, as of December 31, 20142017 and December 31, 2013. Under ASC 210-20-45, gross2016. Gross positive fair values are offset against gross negative fair values by counterparty pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the table for December 31, 2017 reflects rule changes adopted by clearing organizations that require or
allow entities to elect to treat derivative assets, liabilities and the related variation margin as settlement of the related derivative fair values for legal and accounting purposes, as opposed to presenting gross derivative assets and liabilities


that are subject to collateral, whereby the counterparties would record a related collateral payable or receivable. As a result, the table for December 31, 2017 reflects a reduction of approximately $100 billion of derivative assets and derivative liabilities that previously would have been reported on a gross basis, but are now settled and not subject to collateral. The table for December 31, 2016 presents derivative assets and liabilities as gross amounts subject to variation margin collateral that were netted under enforceable master netting agreements. Therefore, the net presentation of the affected items on the consolidated balance sheet is consistent for all periods. The tables also includespresent amounts that are not permitted to be offset, under ASC 210-20-45 and ASC 815-10-45, such as security collateral posted or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.














244


Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at December 31, 2014
Derivatives classified
in Trading account
assets / liabilities(1)(2)(3)
Derivatives classified
in Other
assets / liabilities(2)(3)
In millions of dollars at December 31, 2017
Derivatives classified
in Trading account
assets/liabilities(1)(2)(3)
Derivatives classified
in Other
assets/liabilities(2)(3)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$1,508
$204
$3,117
$414
$644
$121
$1,325
$13
Cleared4,300
868
—
25
71
24
39
68
Interest rate contracts$5,808
$1,072
$3,117
$439
$715
$145
$1,364
$81
Over-the-counter$3,885
$743
$678
$588
$885
$1,064
$258
$86
Foreign exchange contracts$3,885
$743
$678
$588
$885
$1,064
$258
$86
Total derivative instruments designated as ASC 815 hedges$9,693
$1,815
$3,795
$1,027
$1,600
$1,209
$1,622
$167
Derivatives instruments not designated as ASC 815 hedges
   
Over-the-counter$376,778
$359,689
$106
$—
$195,648
$173,921
$29
$16
Cleared255,847
261,499
6
21
7,051
10,268
78
113
Exchange traded20
22
141
164
102
95
—
—
Interest rate contracts$632,645
$621,210
$253
$185
$202,801
$184,284
$107
$129
Over-the-counter$151,736
$157,650
$—
$17
$118,611
$116,962
$481
$511
Cleared366
387
—
—
1,690
2,028
—
—
Exchange traded7
46
—
—
34
121
—
—
Foreign exchange contracts$152,109
$158,083
$—
$17
$120,335
$119,111
$481
$511
Over-the-counter$20,425
$28,333
$—
$—
$17,221
$21,201
$—
$—
Cleared16
35
—
—
21
25
—
—
Exchange traded4,311
4,101
—
—
9,736
10,147
—
—
Equity contracts$24,752
$32,469
$—
$—
$26,978
$31,373
$—
$—
Over-the-counter$19,943
$23,103
$—
$—
$13,499
$16,362
$—
$—
Exchange traded3,577
3,083
—
—
604
665
—
—
Commodity and other contracts$23,520
$26,186
$—
$—
$14,103
$17,027
$—
$—
Over-the-counter$39,412
$39,439
$265
$384
$12,954
$12,895
$18
$63
Cleared4,106
3,991
13
171
7,530
8,327
32
248
Credit derivatives(4)
$43,518
$43,430
$278
$555
$20,484
$21,222
$50
$311
Total derivatives instruments not designated as ASC 815 hedges$876,544
$881,378
$531
$757
$384,701
$373,017
$638
$951
Total derivatives$886,237
$883,193
$4,326
$1,784
$386,301
$374,226
$2,260
$1,118
Cash collateral paid/received(6)(5)
$6,523
$9,846
$123
$7
$7,541
$14,296
$—
$12
Less: Netting agreements(7)(6)
(777,178)(777,178)—
—
(306,401)(306,401)—
—
Less: Netting cash collateral received/paid(8)(7)
(47,625)(47,769)(1,791)(15)(37,506)(35,659)(1,026)(7)
Net receivables/payables included on the consolidated balance sheet(9)
$67,957
$68,092
$2,658
$1,776
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Net receivables/payables included on the Consolidated Balance Sheet(8)
$49,935
$46,462
$1,234
$1,123
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet 
Less: Cash collateral received/paid$(867)$(11)$—
$—
$(872)$(121)$—
$—
Less: Non-cash collateral received/paid(10,043)(6,264)(1,293)—
(12,453)(6,929)(286)—
Total net receivables/payables(9)(8)
$57,047
$61,817
$1,365
$1,776
$36,610
$39,412
$948
$1,123
(1)The trading derivatives fair values are presented in Note 1324 to the Consolidated Financial Statements.
(2)
Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.
(3)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(4)The credit derivatives trading assets comprise $18,430 million related to protection purchased and $25,088 million related to protection sold as of December 31, 2014. The credit derivatives trading liabilities comprise $25,972 million related to protection purchased and $17,458 million related to protection sold as of December 31, 2014.
(5)For the trading account assets/liabilities, reflects the net amount of the $54,292$43,200 million and $57,471$51,801 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $47,769$35,659 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $47,625$37,506 million was used to offset trading derivative assets.
(6)(5)
For cash collateral paid with respect to non-trading derivative liabilities,assets, reflects the net amount of $138$7 million theof gross cash collateral received,paid, of which $15$7 million is netted against OTC non-trading derivative positions within Other liabilities. For cash collateral received with respect to non-trading derivative

245


liabilities, reflects the net amount of $1,798 million of the gross cash collateral received, of which $1,791 liabilities, reflects the net amount of $1,038 million of gross cash collateral received, of which $1,026 million is netted against OTC non-trading derivative positions within Other assets.

(7)(6)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $510$283 billion, $264$14 billion and $3$9 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange traded derivatives, respectively.
(8)(7)Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets. Cash collateral paid of approximately $46 billionassets and $2 billion is netted against each of the OTC and cleared derivative liabilities, respectively.
(9)(8)The net receivables/payables include approximately $11$6 billion of derivative asset and $10$8 billion of derivative liability fair values not subject to enforceable master netting agreements.agreements, respectively.

In millions of dollars at December 31, 2013
Derivatives classified in Trading
account assets / liabilities(1)(2)(3)
Derivatives classified in Other assets / liabilities(2)(3)
In millions of dollars at December 31, 2016
Derivatives classified in Trading
account assets/liabilities(1)(2)(3)
Derivatives classified in Other assets/liabilities(2)(3)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$956
$306
$3,082
$854
$716
$171
$1,927
$22
Cleared2,505
585
5
—
3,530
2,154
47
82
Interest rate contracts$3,461
$891
$3,087
$854
$4,246
$2,325
$1,974
$104
Over-the-counter$1,540
$1,244
$989
$293
$2,494
$393
$747
$645
Foreign exchange contracts$1,540
$1,244
$989
$293
$2,494
$393
$747
$645
Over-the-counter$—
$—
$—
$2
Credit derivatives$—
$—
$—
$2
Total derivative instruments designated as ASC 815 hedges$5,001
$2,135
$4,076
$1,149
$6,740
$2,718
$2,721
$749
Derivatives instruments not designated as ASC 815 hedges
   
Over-the-counter$313,772
$297,115
$37
$9
$244,072
$221,534
$225
$5
Cleared311,114
319,190
27
5
120,920
130,855
240
349
Exchange traded33
30
—
—
87
47
—
—
Interest rate contracts$624,919
$616,335
$64
$14
$365,079
$352,436
$465
$354
Over-the-counter$89,847
$86,147
$79
$3
$182,659
$186,867
$—
$60
Cleared1,119
1,191
—
—
482
470
—
—
Exchange traded48
55
—
—
27
31
—
—
Foreign exchange contracts$91,014
$87,393
$79
$3
$183,168
$187,368
$—
$60
Over-the-counter$19,080
$28,458
$—
$—
$15,625
$19,119
$—
$—
Cleared1
21
—
—
Exchange traded5,797
5,834
—
—
8,484
7,376
—
—
Equity contracts$24,877
$34,292
$—
$—
$24,110
$26,516
$—
$—
Over-the-counter$7,921
$9,059
$—
$—
$13,046
$14,234
$—
$—
Exchange traded1,161
1,111
—
—
719
798
—
—
Commodity and other contracts$9,082
$10,170
$—
$—
$13,765
$15,032
$—
$—
Over-the-counter$38,496
$38,247
$71
$563
$19,033
$19,563
$159
$78
Cleared1,850
2,547
—
—
5,582
5,874
47
310
Credit derivatives(4)
$40,346
$40,794
$71
$563
Total Derivatives instruments not designated as ASC 815 hedges$790,238
$788,984
$214
$580
Credit derivatives$24,615
$25,437
$206
$388
Total derivatives instruments not designated as ASC 815 hedges$610,737
$606,789
$671
$802
Total derivatives$795,239
$791,119
$4,290
$1,729
$617,477
$609,507
$3,392
$1,551
Cash collateral paid/received(5)(6)
$6,073
$8,827
$82
$282
Less: Netting agreements(7)
(713,598)(713,598)—
—
Less: Netting cash collateral received/paid(8)
(34,893)(39,094)(2,951)—
Net receivables/payables included on the Consolidated Balance Sheet(9)
$52,821
$47,254
$1,421
$2,011
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet
Cash collateral paid/received(4)(5)
$11,188
$15,731
$8
$1
Less: Netting agreements(6)
(519,000)(519,000)—
—
Less: Netting cash collateral received/paid(7)
(45,912)(49,811)(1,345)(53)
Net receivables/payables included on the Consolidated Balance Sheet(8)
$63,753
$56,427
$2,055
$1,499
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet 
Less: Cash collateral received/paid$(365)$(5)$—
$—
$(819)$(19)$—
$—
Less: Non-cash collateral received/paid(7,478)(3,345)(341)—
(11,767)(5,883)(530)—
Total net receivables/payables(9)
$44,978
$43,904
$1,080
$2,011
Total net receivables/payables(8)
$51,167
$50,525
$1,525
$1,499

246


(1)The trading derivatives fair values are presented in Note 1324 to the Consolidated Financial Statements.
(2)
Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.
(3)Over-the-counter (OTC) derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.

(4)The credit derivatives trading assets comprise $13,673 million related to protection purchased and $26,673 million related to protection sold as of December 31, 2013. The credit derivatives trading liabilities comprise $28,158 million related to protection purchased and $12,636 million related to protection sold as of December 31, 2013.
(5)For the trading account assets/liabilities, reflects the net amount of the $45,167$60,999 million and $43,720$61,643 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $39,094$49,811 million was used to offset derivative liabilities and, of the gross cash collateral received, $34,893$45,912 million was used to offset derivative assets.
(6)(5)
For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $61 million of the gross cash collateral paid, of which $53 million is netted against non-trading derivative positions within Other liabilities. For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $3,233$1,346 million of gross cash collateral received of which $2,951$1,345 million is netted against non-trading derivative positions within other assets.Other assets.
(7)(6)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $392$383 billion, $317$128 billion and $5$8 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-tradedexchange traded derivatives, respectively.
(8)(7)Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets. Cash collateral paid of approximately $33 billionassets and $6 billion is netted against OTC and cleared derivative liabilities, respectively.
(9)(8)The net receivables/payables include approximately $16$7 billion of both derivative asset and $9 billion of liability fair values not subject to enforceable master netting agreements.agreements, respectively.

For the years ended December 31, 2014, 20132017, 2016 and 2012,2015, the amounts recognized in Principal transactions in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship, as well as the underlying non-derivative instruments, are presented in Note 6 to the Consolidated Financial Statements. Citigroup presents this disclosure by business classification, showing derivative gains and losses related to its trading activities together with gains and losses related to non-derivative instruments within the same trading portfolios, as this represents the way these portfolios are risk managed.
The amounts recognized in Other revenue in the Consolidated Statement of Income for the years ended December 31, 2014, 2013 and 2012 related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains/losses on the economically hedged items to the extent such amounts are also recorded in Other revenue.
 Gains (losses) included in Other revenue
 Year ended December 31,
In millions of dollars201420132012
Interest rate contracts$291
$(376)$(427)
Foreign exchange(2,894)221
182
Credit derivatives(135)(595)(1,022)
Total Citigroup$(2,738)$(750)$(1,267)
 
Gains (losses) included in
Other revenue
In millions of dollars201720162015
Interest rate contracts$(54)$(81)$117
Foreign exchange244
12
(39)
Credit derivatives(494)(1,009)476
Total$(304)$(1,078)$554

Accounting for Derivative Hedging
Citigroup accounts for its hedging activities in accordance with ASC 815, Derivatives and Hedging. As a general rule, hedge accounting is permitted where the Company is exposed to a particular risk, such as interest-rateinterest rate or foreign-exchangeforeign exchange risk, that causes changes in the fair value of an asset or liability or variability in the expected future cash flows of an existing asset, liability or a forecasted transaction that may affect earnings.
Derivative contracts hedging the risks associated with changes in fair value are referred to as fair value hedges, while contracts hedging the variability of expected future cash flows are cash flow hedges. Hedges that utilize derivatives or debt instruments to manage the foreign exchange risk associated with equity investments in non-U.S.-dollar-functional-currency foreign subsidiaries (net investment in a foreign operation) are net investment hedges.
If certain hedging criteria specified in ASC 815 are met, including testing forTo qualify as an accounting hedge effectiveness,under the hedge accounting mayrules (versus an economic hedge where hedge accounting is not applied), a hedging relationship must be applied.highly effective in offsetting the risk designated as being

hedged. The hedge relationship must be formally documented at inception, detailing the particular risk management objective and strategy for the hedge. This includes the item and risk(s) being hedged, the hedging instrument being used and how effectiveness will be assessed. The effectiveness of these hedging relationships is evaluated at hedge inception and on an ongoing basis both on a retrospective and prospective basis, typically using quantitative measures of correlation, with hedge ineffectiveness measured and recorded in current earnings. Hedge effectiveness assessment methodologies for similar hedges are performed in a similar manner for similar hedges, and are used consistently throughout the hedging relationships. For fair value hedges,The assessment of effectiveness may exclude changes in the value of the hedging derivative, as well as changes in the value of the related hedged item duethat are unrelated to the riskrisks being hedged are reflected in current earnings. For cash flow hedges and net investment hedges, changes in the value of the hedging derivative are reflected in Accumulated other comprehensive income (loss) in Citigroup’s stockholders’ equity to the extent the hedge is highly effective. Hedge ineffectiveness, in either case, is reflected in current earnings.
For asset/liability management hedging, fixed-rate long-term debt is recorded at amortized cost under GAAP. However, by designating an interest rate swap contract as a hedging instrument and electing to apply ASC 815 fair value hedge accounting, the carrying value of the debt is adjusted for changes in the benchmark interest rate, with such changes in value recorded in current earnings. The related interest-rate swap also is recorded on the balance sheet at fair value, with any changes in fair value also reflected in earnings. Thus, any


247


ineffectiveness resulting from the hedging relationship is captured in current earnings.
Alternatively, for management hedges, that do not meet the ASC 815 hedging criteria, only the derivative is recorded at fair value on the balance sheet, with the associated changes in fair value recorded in earnings, while the debt continues to be carried at amortized cost. Therefore, current earnings are affected only by the interest rate shifts and other factors that cause a change in the swap’s value. This type of hedge is undertaken when hedging requirements cannot be achieved or management decides not to apply ASC 815 hedge accounting.
Another alternative is to elect to carry the debt at fair value under the fair value option. Once the irrevocable election is made upon issuance of the debt, the full changes in fair value of the debtderivative associated with time value. These excluded items are reportedrecognized in earnings. The related interest rate swap, withcurrent earnings for the hedging derivative, while changes in fairthe value is also reflected in earnings, which providesof a natural offsethedged item that are not related to the debt’s fair value change. To the extent the two offsetshedged risk are not exactly equal because the full change in the fair value of the debt includes risks not offset by the interest rate swap, the difference is captured in current earnings.recorded.
The key requirements to achieve ASC 815 hedge accounting are documentation of a
Discontinued Hedge Accounting
A hedging strategy and specific hedge relationships at hedge inception and substantiating hedge effectiveness on an ongoing basis. A derivativeinstrument must be highly effective in accomplishing the hedge objective of offsetting either changes in the fair value or cash flows of the hedged item for the risk being hedged. Any ineffectiveness in theManagement may voluntarily de-designate an accounting hedge at any time, but if a hedge relationship is recognized in current earnings. The assessment of effectiveness may exclude changes in the value of the hedged item that are unrelated to the risks being hedged. Similarly, the assessment of effectiveness may excludenot highly effective, it no longer qualifies for hedge accounting and must be de-designated. Subsequent changes in the fair value of athe derivative related to time value that, if excluded, are recognized in currentOther revenue or Principal transactions, similar to trading derivatives, with no offset recorded related to the hedged item.
For fair value hedges, any changes in the fair value of the hedged item remain as part of the basis of the asset or liability and are ultimately realized as an element of the yield on the item. For cash flow hedges, changes in fair value of the end-user derivative remain in Accumulated other comprehensive income (loss) (AOCI) and are included in the earnings of future periods when the forecasted hedged cash flows impact earnings. However, if it becomes probable that some or all of the hedged forecasted transactions will not occur, any amounts that remain in AOCIrelated to these transactions must be immediately reflected in Other revenue.
The foregoing criteria are applied on a decentralized basis, consistent with the level at which market risk is managed, but are subject to various limits and controls. The underlying asset, liability or forecasted transaction may be an individual item or a portfolio of similar items.


Fair Value Hedges

Hedging of benchmark interest rate riskBenchmark Interest Rate Risk
Citigroup’s fair value hedges are primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale securities.
Citigroup hedges exposure to changes in the fair value of outstanding fixed-rate issued debt and certificates of deposit.debt. These hedges are designated as fair value hedges of the benchmark interest rate risk associated with the currency of the hedged liability. The fixed cash flows of the hedged items are typically converted to benchmark variable-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. By designating an interest rate swap contract as a hedging instrument and electing to apply ASC 815 fair value hedge accounting, the carrying value of the debt is adjusted to reflect the impact of changes in the benchmark interest rate, with such changes in value recorded in Other revenue. The related interest rate swap is recorded on the balance sheet at fair value, with changes in fair value also reflected in Other revenue. These amounts are expected to, and generally do, offset. Any net amount, representing hedge ineffectiveness, is automatically reflected in current earnings. These fair value hedge relationships use either regression or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.
Citigroup also hedges its exposure to changes in the fair value of fixed-rate assets, including available-for-saleavailable for sale debt securities and loans.due to changes in benchmark interest rates. The hedging instruments used are typically receive-variable, pay-fixed interest rate swaps. These fair value hedging relationships use either regression or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis.

Hedging of foreign exchange riskForeign Exchange Risk
Citigroup hedges the change in fair value attributable to foreign-exchangeforeign exchange rate movements in available-for-sale securities that are denominated in currencies other than the functional currency of the entity holding the securities, which may be within or outside the U.S. The hedging instrument employed is generallymay be a cross currency swap or a forward foreign-exchangeforeign exchange contract. In this hedge,When a forward foreign exchange contract is used as the hedging instrument, the portion of the change in the fair value of the hedged available-for-sale security attributable to the portion of foreign exchange risk hedged(i.e., spot rates) is reported in earnings, and not Accumulated other comprehensive income (loss)—AOCI, which serves to offsetoffsets the change in the fair value of the forward contract that is also reflected in earnings. Citigroup considers the premium associated with forward contracts (i.e., the differential between spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and reflected directly in earnings over the life of the hedge.

Hedging of Commodity Price Risk
Citigroup hedges the change in fair value attributable to spot price movements in physical commodities inventory. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. The dollar-offset method is used to assessAlthough the change in the fair value of the hedging instrument recorded in earnings includes changes in forward rates, Citigroup excludes the differential between the spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness. Since thatthe assessment is based on changes in fair value attributable to changeschange in spot ratesprices on both the available-for-sale securitiesphysical commodity and the forward contracts for the portion of the relationship hedged,futures contract, the amount of hedge ineffectiveness is not significant.


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The following table summarizes the gains (losses) on the Company’s fair value hedges for the years ended December 31, 2014 and 2013 and 2012:hedges:
Gains (losses) on fair value hedges(1)
Gains (losses) on fair value hedges(1)
Year ended December 31,Year ended December 31,
In millions of dollars201420132012201720162015
Gain (loss) on the derivatives in designated and qualifying fair value hedges  
Interest rate contracts$1,546
$(3,288)$122
$(891)$(753)$(847)
Foreign exchange contracts1,367
265
377
(824)(1,415)1,315
Commodity contracts(221)—
—
(17)182
41
Total gain (loss) on the derivatives in designated and qualifying fair value hedges$2,692
$(3,023)$499
$(1,732)$(1,986)$509
Gain (loss) on the hedged item in designated and qualifying fair value hedges  
Interest rate hedges$(1,496)$3,204
$(371)$853
$668
$792
Foreign exchange hedges(1,422)(185)(331)969
1,573
(1,258)
Commodity hedges250
—
—
18
(210)(35)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$(2,668)$3,019
$(702)$1,840
$2,031
$(501)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges  
Interest rate hedges$53
$(84)$(249)$(31)$(84)$(47)
Foreign exchange hedges(16)(4)16
49
4
(23)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges$37
$(88)$(233)$18
$(80)$(70)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges  
Interest rate contracts$(3)$—
$—
$(7)$(1)$(8)
Foreign exchange contracts(2)
(39)84
30
96
154
80
Commodity hedges(2)
29
—
—
1
(28)6
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges$(13)$84
$30
$90
$125
$78
(1)
Amounts are included in Other revenue onor Principal Transactions in the Consolidated Statement of Income. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.
(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts are excluded from the assessment of hedge effectiveness and are reflected directly in earnings.

Cash Flow Hedges

Hedging of benchmark interest rate riskBenchmark Interest Rate Risk
Citigroup hedges variablethe variability of forecasted cash flows associated with floating-rate assets/liabilities and the rollover (re-issuance) of liabilities.other forecasted transactions. Variable cash flows from those liabilities are synthetically converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps and receive-variable, pay-fixed forward-starting interest rate swaps. Citi also hedges variable cash flows from recognized and forecasted floating-rate assets. Variable cash flows from thoseassociated with certain assets are synthetically converted to fixed-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. These cash-flowcash flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. When certainthe variable interest rates associated with hedged items do not qualify as benchmark interest rates, Citigroup designates the risk being hedged as the risk of overall changesvariability in the hedged cash flows. SinceBecause efforts are made to match the terms of the derivatives to those of the hedged forecasted cash flows as closely as possible, the amount of hedge ineffectiveness is not significant.

For cash flow hedges in which derivatives hedge the variability of forecasted cash flows related to recognized assets, liabilities or forecasted transactions, the accounting treatment depends on the effectiveness of the hedge. To the extent that these derivatives are effective in offsetting the variability of the forecasted hedged cash flows, the effective portion of the changes in the derivatives’ fair values will not
 
be included in current earnings, but will be reported inAOCI. These changes in fair value will be included in the earnings of future periods when the hedged cash flows impact earnings. To the extent that these derivatives are not fully effective, changes in their fair values are immediately included in Other revenue. Citigroup’s cash flow hedges primarily include hedges of floating-rate assets or liabilities which may include loans as well as forecasted transactions.

Hedging of foreign exchange riskForeign Exchange Risk
Citigroup locks in the functional currency equivalent cash flows of long-term debt and short-term borrowings that are denominated in currencies other than the functional currency of the issuing entity. Depending on the risk management objectives, these types of hedges are designated either as either cash flow hedges of only foreign exchange risk only or cash flow hedges of both foreign exchange risk and interest rate risk, and the hedging instruments used are foreign exchange cross-currency swaps and forward contracts. These cash flow hedge relationships use dollar-offset ratio analysis to determine whether the hedging relationships are highly effective at inception and on an ongoing basis.

Hedging of overall changes in cash flows
Citigroup makes purchases of certain
“to-be-announced” (TBA) mortgage-backed securities that meet the definition of a derivative (i.e. a forward securities purchase). Citigroup commonly designates these derivatives as hedges of the overall cash flow variability related to the forecasted acquisition of the TBA mortgage-backed securities. Since the hedged transaction is the gross settlement of the forward contract, hedge effectiveness is assessed by assuring that the terms of the hedging instrument and the hedged


249


forecasted transaction are the same and that delivery of the securities remains probable.

Hedging total return
Citigroup generally manages the risk associated with leveraged loans it has originated or in which it participates by transferring a majority of its exposure to the market through SPEs prior to or shortly after funding. Retained exposures to
leveraged loans receivable are generally hedged using total return swaps.


The amount of hedge ineffectiveness on the cash flow hedges recognized in earnings for the years ended December 31, 2014, 20132017, 2016 and 20122015 is not significant. The pretax change in Accumulated other comprehensive income (loss)AOCI from cash flow hedges is presented in the table below:
Year ended December 31,Year ended December 31,
In millions of dollars201420132012201720162015
Effective portion of cash flow hedges included in AOCI  
Interest rate contracts$299
$749
$(322)$(165)$(219)$357
Foreign exchange contracts(167)34
143
(8)69
(220)
Credit derivatives2
14
—
Total effective portion of cash flow hedges included in AOCI$134
$797
$(179)$(173)$(150)$137
Effective portion of cash flow hedges reclassified from AOCI to earnings      
Interest rate contracts$(260)$(700)$(837)$(126)$(140)$(186)
Foreign exchange contracts(149)(176)(180)(10)(93)(146)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)
$(409)$(876)$(1,017)$(136)$(233)$(332)
(1)
Included primarily in Other revenue and Net interest revenueon in the Consolidated Income Statement.Statement of Income.
For cash flow hedges, the changes in the fair value of the hedging derivative remainingremain in Accumulated other comprehensive income (loss) AOCI on the Consolidated Balance Sheet and will be included in the earnings of future periods to offset the variability of the hedged cash flows when such cash flows affect earnings. The net lossgain associated with cash flow hedges expected to be reclassified from Accumulated other comprehensive income (loss)AOCI within 12 months of December 31, 20142017 is approximately $0.4 billion. The maximum length of time over which forecasted cash flows are hedged is 10 years.
The after-tax impact of cash flow hedges on AOCI is shown in Note 2019 to the Consolidated Financial Statements.

Net Investment Hedges
Consistent with ASC 830-20, Foreign Currency Matters—Foreign Currency Transactions, ASC 815 allows the hedging of the foreign currency risk of a net investment in a foreign operation. Citigroup uses foreign currency forwards, cross-currency swaps, options and foreign-currency-denominatedforeign currency-denominated debt instruments to manage the foreign exchange risk associated with Citigroup’s equity investments in several non-U.S.-dollar-functional-currency foreign subsidiaries. Citigroup records the change in the carrying amount of these investments in the Foreign currency translation adjustment account within Accumulated other comprehensive income (loss).AOCI. Simultaneously, the effective portion of the hedge of this exposure is also recorded in the Foreign currency translation adjustment account and theany ineffective portion if any, is immediately recorded in earnings.
For derivatives designated as net investment hedges, Citigroup follows the forward-rate method outlined in ASC
815-35-35-16 through 35-26. 815-35-35. According to that method, all changes in fair value, including changes related to the forward-rate component of the foreign currency forward contracts and the time value of foreign currency options, are recorded in the Foreign currency translation adjustment account within Accumulated other comprehensive income (loss).AOCI.
For foreign-currency-denominatedforeign currency-denominated debt instruments that are designated as hedges of net investments, the translation gain or loss that is recorded in the Foreign currency translation adjustment account is based on the spot exchange rate between the functional currency of the respective subsidiary and the U.S. dollar, which is the functional currency of Citigroup. To the extent the notional amount of the hedging instrument exactly matches the hedged net investment and the underlying exchange rate of the derivative hedging instrument relates to the exchange rate between the functional currency of the net investment and Citigroup’s functional currency (or, in the case of a non-derivative debt instrument, such instrument is denominated in the functional currency of the net investment), no ineffectiveness is recorded in earnings.
The pretax gain (loss) recorded in the Foreign currency translation adjustment account within Accumulated other comprehensive income (loss),AOCI, related to the effective portion of the net investment hedges, is $2,890$2,528 million, $2,370$(220) million and $(3,829)$2,475 million for the years ended December 31, 2014, 20132017, 2016 and 2012,2015, respectively.

Economic Hedges
Citigroup often uses economic hedges when hedge accounting would be too complex or operationally burdensome. End-user derivatives that are economic hedges are carried at fair value, with changes in value included in either Principal transactions or Other revenue.
For asset/liability management hedging, fixed-rate long-term debt is recorded at amortized cost under GAAP.
For other hedges that either do not meet the ASC 815 hedging criteria or for which management decides not to apply ASC 815 hedge accounting, the derivative is recorded at fair value on the balance sheet with the associated changes in fair value recorded in earnings, while the debt continues to be carried at amortized cost. Therefore, current earnings are affected by the interest rate shifts and other factors that cause a change in the swap’s value, but for which no offsetting change in value is recorded on the debt.


250Citigroup may alternatively elect to account for the debt at fair value under the fair value option. Once the irrevocable election is made upon issuance of the debt, the full change in fair value of the debt is reported in earnings. The changes in fair value of the related interest rate swap are also reflected in earnings, which provides a natural offset to the debt’s fair value change. To the extent the two amounts differ because the full change in the fair value of the debt includes risks not offset by the interest rate swap, the difference is automatically captured in current earnings.
Additional economic hedges include hedges of the credit risk component of commercial loans and loan commitments. Citigroup periodically evaluates its hedging strategies in other areas and may designate either an accounting hedge or an economic hedge after considering the relative costs and benefits. Economic hedges are also employed when the hedged item itself is marked to market through current earnings, such as hedges of commitments to originate one- to four-family mortgage loans to be held for sale and MSRs.


Credit Derivatives
Citi is a market maker and trades a range of credit derivatives. Through these contracts, Citi either purchases or writes protection on either a single name or a portfolio of reference credits. Citi also uses credit derivatives to help mitigate credit risk in its corporate and consumer loan portfolios and other cash positions and to facilitate client transactions.
Citi monitors its counterparty credit risk in credit derivative contracts. As of both December 31, 20142017 and 2013,December 31, 2016, approximately 98% of the gross receivables are from counterparties with which Citi maintains collateral agreements. A majority of Citi’s top 15 counterparties (by receivable balance owed to Citi) are banks, financial institutions or other dealers. Contracts with these counterparties do not include ratings-based termination events. However, counterparty ratings downgrades may have an incremental effect by lowering the threshold at which Citi may
call for additional collateral.
The range of credit derivatives entered into includes credit default swaps, total return swaps, credit options and credit-linked notes.
A credit default swap is a contract in which, for a fee, a protection seller agrees to reimburse a protection buyer for any losses that occur due to a predefined credit event on a reference entity. These credit events are defined by the terms of the derivative contract and the reference credit and are generally limited to the market standard of failure to pay on indebtedness and bankruptcy of the reference credit and, in a more limited range of transactions, debt restructuring. Credit derivative transactions that reference emerging market entities will also typically include additional credit events to cover the acceleration of indebtedness and the risk of repudiation or a payment moratorium. In certain transactions, protection may be provided on a portfolio of reference entities or asset-backed securities. If there is no credit event, as defined by the specific derivative contract, then the protection seller makes no payments to the protection buyer and receives only the contractually specified fee. However, if a credit event occurs as defined in the specific derivative contract sold, the

protection seller will be required to make a payment to the protection buyer. Under certain contracts, the seller of protection may not be required to make a payment until a specified amount of losses has occurred with respect to the portfolio and/or may only be required to pay for losses up to a specified amount.
A total return swap typically transfers the total economic performance of a reference asset, which includes all associated cash flows, as well as capital appreciation or depreciation. The protection buyer receives a floating rate of interest and any depreciation on the reference asset from the protection seller and, in return, the protection seller receives the cash flows associated with the reference asset plus any appreciation. Thus, according to the total return swap agreement, the protection seller will be obligated to make a payment any time the floating interest rate payment plus any depreciation of the reference asset exceeds the cash flows associated with the underlying asset. A total return swap may terminate upon a default of the reference asset or a credit event with respect to the reference entity subject to the provisions of the related
total return swap agreement between the protection seller and the protection buyer.
A credit option is a credit derivative that allows investors to trade or hedge changes in the credit quality of a reference entity. For example, in a credit spread option, the option writer assumes the obligation to purchase or sell credit protection on the reference entity at a specified “strike” spread level. The option purchaser buys the right to sell credit default protection on the reference entity to, or purchase it from, the option writer at the strike spread level. The payments on credit spread options depend either on a particular credit spread or the price of the underlying credit-sensitive asset or other reference.reference entity. The options usually terminate if a credit event occurs with respect to the underlying reference entity.
A credit-linked note is a form of credit derivative structured as a debt security with an embedded credit default swap. The purchaser of the note effectively provides credit protection to the issuer by agreeing to receive a return that could be negatively affected by credit events on the underlying reference credit. If the reference entity defaults, the note may be cash settled or physically settled by delivery of a debt security of the reference entity. Thus, the maximum amount of the note purchaser’s exposure is the amount paid for the credit-linked note.



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The following tables summarize the key characteristics of Citi’s credit derivatives portfolio by counterparty and derivative form as of December 31, 2014 and December 31, 2013:form:
Fair valuesNotionalsFair valuesNotionals
In millions of dollars at December 31, 2014
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at December 31, 2017
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty
   
Banks$24,828
$23,189
$574,764
$604,700
$7,471
$6,669
$264,414
$273,711
Broker-dealers8,093
9,309
204,542
199,693
2,325
2,285
73,273
83,229
Non-financial91
113
3,697
1,595
70
91
1,288
1,140
Insurance and other financial institutions10,784
11,374
333,384
257,870
10,668
12,488
438,738
377,062
Total by industry/counterparty$43,796
$43,985
$1,116,387
$1,063,858
$20,534
$21,533
$777,713
$735,142
By instrument
   
Credit default swaps and options$42,930
$42,201
$1,094,199
$1,054,671
$20,251
$20,554
$754,114
$724,228
Total return swaps and other866
1,784
22,188
9,187
283
979
23,599
10,914
Total by instrument$43,796
$43,985
$1,116,387
$1,063,858
$20,534
$21,533
$777,713
$735,142
By rating
   
Investment grade$17,432
$17,182
$824,831
$786,848
$10,473
$10,616
$588,324
$557,987
Non-investment grade26,364
26,803
291,556
277,010
10,061
10,917
189,389
177,155
Total by rating$43,796
$43,985
$1,116,387
$1,063,858
$20,534
$21,533
$777,713
$735,142
By maturity
   
Within 1 year$4,356
$4,278
$250,489
$229,502
$2,477
$2,914
$231,878
$218,097
From 1 to 5 years34,692
35,160
790,251
772,001
16,098
16,435
498,606
476,345
After 5 years4,748
4,547
75,647
62,355
1,959
2,184
47,229
40,700
Total by maturity$43,796
$43,985
$1,116,387
$1,063,858
$20,534
$21,533
$777,713
$735,142
(1)The fair value amount receivable is composed of $18,708$3,195 million under protection purchased and $25,088$17,339 million under protection sold.
(2)The fair value amount payable is composed of $26,527$3,147 million under protection purchased and $17,458$18,386 million under protection sold.

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Fair valuesNotionalsFair valuesNotionals
In millions of dollars at December 31, 2013
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at December 31, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty
   
Banks$24,992
$23,455
$739,646
$727,748
$11,895
$10,930
$407,992
$414,720
Broker-dealers8,840
9,820
254,250
224,073
3,536
3,952
115,013
119,810
Non-financial138
162
4,930
2,820
82
99
4,014
2,061
Insurance and other financial institutions6,447
7,922
216,236
188,722
9,308
10,844
375,454
322,829
Total by industry/counterparty$40,417
$41,359
$1,215,062
$1,143,363
$24,821
$25,825
$902,473
$859,420
By instrument
   
Credit default swaps and options$40,233
$39,930
$1,201,716
$1,141,864
$24,502
$24,631
$883,719
$852,900
Total return swaps and other184
1,429
13,346
1,499
319
1,194
18,754
6,520
Total by instrument$40,417
$41,359
$1,215,062
$1,143,363
$24,821
$25,825
$902,473
$859,420
By rating
   
Investment grade$17,150
$17,174
$812,918
$752,640
$9,605
$9,995
$675,138
$648,247
Non-investment grade23,267
24,185
402,144
390,723
15,216
15,830
227,335
211,173
Total by rating$40,417
$41,359
$1,215,062
$1,143,363
$24,821
$25,825
$902,473
$859,420
By maturity
   
Within 1 year$2,901
$3,262
$254,305
$221,562
$4,113
$4,841
$293,059
$287,262
From 1 to 5 years31,674
32,349
883,879
853,391
17,735
17,986
551,155
523,371
After 5 years5,842
5,748
76,878
68,410
2,973
2,998
58,259
48,787
Total by maturity$40,417
$41,359
$1,215,062
$1,143,363
$24,821
$25,825
$902,473
$859,420
(1)The fair value amount receivable is composed of $13,744$9,077 million under protection purchased and $26,673$15,744 million under protection sold.
(2)The fair value amount payable is composed of $28,723$17,110 million under protection purchased and $12,636$8,715 million under protection sold.


Fair values included in the above tables are prior to application of any netting agreements and cash collateral. For notional amounts, Citi generally has a mismatch between the total notional amounts of protection purchased and sold, and it may hold the reference assets directly rather than entering into offsetting credit derivative contracts as and when desired. The open risk exposures from credit derivative contracts are largely matched after certain cash positions in reference assets are considered and after notional amounts are adjusted, either to a duration-based equivalent basis or to reflect the level of subordination in tranched structures. The ratings of the credit derivatives portfolio presented in the tables and used to evaluate payment/performance risk are based on the assigned internal or external ratings of the referencedreference asset or entity. Where external ratings are used, investment-grade ratings are considered to be ‘Baa/BBB’ and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system.
Citigroup evaluates the payment/performance risk of the credit derivatives for which it stands as a protection seller based on the credit rating assigned to the underlying referencedreference credit. Credit derivatives written on an underlying non-investment grade reference credit represent greater payment risk to the Company. The non-investment grade category in the table above also includes credit derivatives where the underlying referencedreference entity has been downgraded subsequent to the inception of the derivative.

The maximum potential amount of future payments under credit derivative contracts presented in the table above is based on the notional value of the derivatives. The Company believes that the notional amount for credit protection sold is not representative of the actual loss exposure based on historical experience. This amount has not been reduced by the value of the reference assets and the related cash flows. In accordance with most credit derivative contracts, should a credit event occur, the Company usually is liable for the difference between the protection sold and the value of the reference assets. Furthermore, the notional amount for credit protection sold has not been reduced for any cash collateral paid to a given counterparty, as such payments would be calculated after netting all derivative exposures, including any credit derivatives with that counterparty in accordance with a related master netting agreement. Due to such netting processes, determining the amount of collateral that corresponds to credit derivative exposures alone is not possible. The Company actively monitors open credit-risk exposures and manages this exposure by using a variety of strategies, including purchased credit derivatives, cash collateral or direct holdings of the referenced assets. This risk mitigation activity is not captured in the table above.



253


Credit-Risk-RelatedCredit Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates. The fair value (excluding CVA) of all derivative instruments with credit-risk-related contingent features that were in a net liability position at both December 31, 20142017 and December 31, 20132016 was $30$29 billion and $26 billion, respectively. The Company had posted $27$28 billion and $24$26 billion as collateral for this exposure in the normal course of business as of December 31, 20142017 and December 31, 2013,2016, respectively.
EachA downgrade wouldcould trigger additional collateral or cash settlement requirements for the Company and itscertain affiliates. In the event that each legal entity wasCitigroup and Citibank were downgraded a single notch by theall three major rating agencies as of December 31, 2014,2017, the Company wouldcould be required to post an additional $2.0$0.9 billion as either collateral or settlement of the derivative transactions. Additionally, the Company wouldcould be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.1$0.3 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $2.1$1.2 billion.

Derivatives Accompanied by Financial Asset Transfers
The Company executes total return swaps that provide it with synthetic exposure to substantially all of the economic return of the securities or other financial assets referenced in the contract. In certain cases, the derivative transaction is accompanied by the Company’s transfer of the referenced financial asset to the derivative counterparty, most typically in response to the derivative counterparty’s desire to hedge, in whole or in part, its synthetic exposure under the derivative contract by holding the referenced asset in funded form. In certain jurisdictions these transactions qualify as sales, resulting in derecognition of the securities transferred (see Note 1 to the Consolidated Financial Statements for further discussion of the related sale conditions for transfers of financial assets). For a significant portion of the transactions, the Company has also executed another total return swap where the Company passes on substantially all of the economic return of the referenced securities to a different third party seeking the exposure. In those cases, the Company is not exposed, on a net basis, to changes in the economic return of the referenced securities.
These transactions generally involve the transfer of the Company’s liquid government bonds, convertible bonds or publicly traded corporate equity securities from the trading portfolio and are executed with third-party financial institutions. The accompanying derivatives are typically total return swaps. The derivatives are cash settled and subject to ongoing margin requirements.
When the conditions for sale accounting are met, the Company reports the transfer of the referenced financial asset as a sale and separately reports the accompanying derivative


254
transaction. These transactions generally do not result in a gain or loss on the sale of the security, because the transferred security was held at fair value in the Company’s trading portfolio. For transfers of financial assets accounted for by the Company as a sale, where the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed in contemplation of the initial sale, with the same counterparty and still outstanding as of December 31, 2017 and December 31, 2016, both the asset carrying amounts derecognized and gross cash proceeds received as of the date of derecognition were $3.0 billion and $1.0 billion, respectively. At December 31, 2017, the fair value of these previously derecognized assets was $3.1 billion and the fair value of the total return swaps was $89 million, recorded as gross derivative assets, and $15 million recorded as gross derivative liabilities. At December 31, 2016, the fair value of these previously derecognized assets was $1.0 billion and the fair value of the total return swaps was $32 million, recorded as gross derivative assets, and $23 million, recorded as gross derivative liabilities. The balances for the total return swaps are on a gross basis, before the application of counterparty and cash collateral netting, and are included primarily as equity derivatives in the tabular disclosures in this Note.


24.23. CONCENTRATIONS OF CREDIT RISK

Concentrations of credit risk exist when changes in economic, industry or geographic factors similarly affect groups of counterparties whose aggregate credit exposure is material in relation to Citigroup’s total credit exposure. Although Citigroup’s portfolio of financial instruments is broadly diversified along industry, product and geographic lines, material transactions are completed with other financial institutions, particularly in the securities trading, derivatives and foreign exchange businesses.
In connection with the Company’s efforts to maintain a diversified portfolio, the Company limits its exposure to any one geographic region, country or individual creditor and monitors this exposure on a continuous basis. At December 31, 2014,2017, Citigroup’s most significant concentration of credit risk was with the U.S. government and its agencies. The Company’s exposure, which primarily results from trading assets and investments issued by the U.S. government and its agencies, amounted to $216.3$227.8 billion and $168.4$228.5 billion at December 31, 20142017 and 2013,2016, respectively. The JapaneseGerman and MexicanJapanese governments and their agencies, which are rated investment grade by both Moody’s and S&P, were the next largest exposures. The Company’s exposure to JapanGermany amounted to $32.0$38.3 billion and $29.0$26.7 billion at December 31, 20142017 and 2013,2016, respectively, and was composed of investment securities, loans and trading assets. The Company’s exposure to MexicoJapan amounted to $29.7$25.8 billion and $37.0$27.3 billion at December 31, 20142017 and 2013,2016, respectively, and was composed of investment securities, loans and trading assets.
The Company’s exposure to states and municipalities amounted to $31.0$30.6 billion and $33.1$30.7 billion at December 31, 20142017 and 2013,2016, respectively, and was composed of trading assets, investment securities, derivatives and lending activities.



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25.24.   FAIR VALUE MEASUREMENT
ASC 820-10, Fair Value Measurement, defines fair value, establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.
Under ASC 820-10, the probability of default of a counterparty is factored into the valuation of derivative and other positions and includesas well as the impact of Citigroup’s own credit risk on derivatives and other liabilities measured at fair value.

Fair Value Hierarchy
ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:

Level 1: Quoted prices for identical instruments in active markets.
Level 2: Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.
Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

As required under the fair value hierarchy, the Company considers relevant and observable market inputs in its valuations where possible. The frequency of transactions, the size of the bid-ask spread and the amount of adjustment necessary when comparing similar transactions are all factors in determining the liquidity of markets and the relevance of observed prices in those markets.
The Company’s policy with respect to transfers between levels of the fair value hierarchy is to recognize transfers into and out of each level as of the end of the reporting period.

Determination of Fair Value
For assets and liabilities carried at fair value, the Company measures suchfair value using the procedures set out below, irrespective of whether thesethe assets and liabilities are measured at fair value as a result of an election or whether they are required to be measured at fair value.
When available, the Company generally uses quoted market prices to determine fair value and classifies such items as Level 1. In some cases where a market price is available, the
Company will make use of acceptable practical expedients (such as matrix pricing) to calculate fair value, in which case the items are classified as Level 2.
The Company may also apply a price-based methodology, which utilizes, where available, quoted prices or other market
information obtained from recent trading activity in positions with the same or similar characteristics to the position being valued. The market activity and the amount of the bid-ask spread are among the factors considered in determining the liquidity of markets and the relevanceobservability of observed prices from those markets. If relevant and observable prices are available, those valuations may be classified as Level 2. When less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate the valuation, the “price” inputs are considered unobservable and the fair value measurements are classified as Level 3.
If quoted market prices are not available, fair value is based upon internally developed valuation techniques that use, where possible, current market-based parameters, such as interest rates, currency rates and option volatilities. 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 as Level 3 even though there may be some significant inputs that are readily observable.
Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors or brokers. VendorsVendors’ and brokers’ valuations may be based on a variety of inputs ranging from observed prices to proprietary valuation models.
The following section describes the valuation methodologies used by the Company to measure various financial instruments at fair value, including an indication of the level in the fair value hierarchy in which each instrument is generally classified. Where appropriate, the description includes details of the valuation models, the key inputs to those models and any significant assumptions.

Market valuation adjustmentsValuation Adjustments
Generally, the unit of account for a financial instrument is the individual financial instrument. The Company applies market valuation adjustments that are consistent with the unit of account, which does not include adjustment due to the size of the Company’s position, except as follows. ASC 820-10 permits an exception, through an accounting policy election, to measure the fair value of a portfolio of financial assets and financial liabilities on the basis of the net open risk position when certain criteria are met. Citi has elected to measure certain portfolios of financial instruments, such as derivatives, that meet those criteria on the basis of the net open risk position. The Company applies market valuation adjustments, including adjustments to account for the size of the net open risk position, consistent with market participant assumptions and in accordance with the unit of account.

Liquidity adjustments are applied to items in Level 2 or Level 3 of the fair-valuefair value hierarchy in an effort to ensure that the fair value reflects the price at which the net open risk position could be liquidated. The liquidity adjustment is based on the bid/offer spread for an instrument. When Citi has elected to measure certain portfolios of financial investments, such as derivatives, on the basis of the net open risk position,


256


the liquidity adjustment ismay be adjusted to take into account the size of the position.
Credit valuation adjustments (CVA) and effective in the third quarter of 2014, funding valuation adjustments (FVA), are applied to over-the-counter (OTC) derivative instruments in which the base valuation generally discounts expected cash flows using the relevant base interest rate curve for the currency of the derivative (e.g., LIBOR for uncollateralized U.S. dollarU.S.-dollar derivatives). As not all counterparties have the same credit risk as that implied by the relevant base curve, a CVA is necessary to incorporate the market view of both counterparty credit risk and Citi’s own credit risk in the valuation. FVA reflects a market funding risk premium inherent in the uncollateralized portion of derivative portfolios and in collateralized derivatives where the terms of the agreement do not permit the reuse of the collateral received.
Citi’s CVA and FVA methodology is composedconsists of two steps. steps:

First, the credit exposure profile for each counterparty is determined using the terms of all individual derivative positions and a Monte Carlo simulation or other quantitative analysis to generate a series of expected cash flows at future points in time. The calculation of this exposure profile considers the effect of credit risk mitigants and sources of funding, including pledged cash or other collateral and any legal right of offset that exists with a counterparty through arrangements such as netting agreements. Individual derivative contracts that are subject to an enforceable master netting agreement with a counterparty are aggregated as a netting set for this purpose, since it is those aggregate net cash flows that are subject to nonperformance risk. This process identifies specific, point-in-time future cash flows that are subject to nonperformance risk and unsecured funding, rather than using the current recognized net asset or liability as a basis to measure the CVA. CVA and FVA.
Second, for CVA, market-based views of default probabilities
derived from observed credit spreads in the credit default swap
(CDS) market are applied to the expected future cash flows
determined in step one. Citi’s own-credit CVA is determined
using Citi-specific CDS spreads for the relevant tenor.
Generally, counterparty CVA is determined using CDS spread
indices for each credit rating and tenor. For certain identified
netting sets where individual analysis is practicable
(e.g. (e.g., exposures to counterparties with liquid CDSs),
counterparty-specific CDS spreads are used. For FVA, a term structure of future liquidity spreads is applied to the expected future funding requirement.
The CVA and FVA are designed to incorporate a market view of the credit and funding risk, respectively, inherent in
the derivative portfolio. However, most unsecured derivative instruments are negotiated bilateral contracts and are not commonly transferred to third parties. Derivative instruments are normally settled contractually or, if terminated early, are terminated at a value negotiated bilaterally between the counterparties. Thus, the CVA and FVA may not be realized upon a settlement or termination in the normal course of business. In addition, all or a portion of these adjustments may be reversed or otherwise adjusted in future periods in the event of changes in the credit or funding risk associated with the derivative instruments.
The table below summarizes the CVA and FVA applied to the fair value of derivative instruments for the periods indicated:at December 31, 2017 and 2016:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsDecember 31,
2014		December 31,
2013		December 31,
2017		December 31,
2016
Counterparty CVA$(1,853)$(1,733)$(970)$(1,488)
Asset FVA(518)—
(447)(536)
Citigroup (own-credit) CVA580
651
287
459
Liability FVA19
—
47
62
Total CVA—derivative instruments (1)
$(1,772)$(1,082)$(1,083)$(1,503)

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

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periodsyears indicated:
Credit/funding/debt valuation
adjustments gain (loss)
Credit/funding/debt valuation
adjustments gain (loss)
In millions of dollars201420132012201720162015
Counterparty CVA$(43)$291
$805
$276
$157
$(115)
Asset FVA(518)—
—
90
47
(66)
Own-credit CVA(65)(223)(1,126)(153)17
(28)
Liability FVA19
—
—
(15)(44)97
Total CVA—derivative instruments$(607)$68
$(321)$198
$177
$(112)
DVA related to own FVO liabilities(1)$217
$(410)$(2,009)$(680)$(538)$367
Total CVA and DVA (1)(2)
$(390)$(342)$(2,330)$(482)$(361)$255

(1)
Effective January 1, 2016, Citigroup early adopted on a prospective basis only the provisions of ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter of 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s revenues and net income. DVA amounts in AOCI will be recognized in revenue and net income if realized upon the settlement of the related liability.
(2)FVA is included with CVA for presentation purposes.


Valuation Process for Fair Value Measurements
Price verification procedures and related internal control procedures are governed by the Citigroup Pricing and Price Verification Policy and Standards, which is jointly owned by Finance and Risk Management. Finance has implemented the ICG Pricing and Price Verification Standards and Procedures to facilitate compliance with this policy.
For fair value measurements of substantially all assets and liabilities held by the Company, individual business units are responsible for valuing the trading account assets and liabilities, and Product Control within Finance performs independent price verification procedures to evaluate those fair value measurements. Product Control is independent of the individual business units and reports to the Global Head of Product Control. It has authority over the valuation of financial assets and liabilities. Fair value measurements of assets and liabilities are determined using various techniques, including, but not limited to, discounted cash flows and internal models, such as option and correlation models.
Based on the observability of inputs used, Product Control classifies the inventory as Level 1, Level 2 or Level 3 of the fair value hierarchy. When a position involves one or more significant inputs that are not directly observable, price verification procedures are performed that may include


257


reviewing relevant historical data, analyzing profit and loss, valuing each component of a structured trade individually and benchmarking, among others.
Reports of inventory that is classified within Level 3 of the fair value hierarchy are distributed to senior management in Finance, Risk and the business. This inventory is also discussed in Risk Committees and in monthly meetings with senior trading management. As deemed necessary, reports may go to the Audit Committee of the Board of Directors or to the full Board of Directors. Whenever an adjustment is needed to bring the price of an asset or liability to its exit price, Product Control reports it to management along with other price verification results.
In addition, the pricing models used in measuring fair value are governed by an independent control framework. Although the models are developed and tested by the individual business units, they are independently validated by the Model Validation Group within Risk Management and reviewed by Finance with respect to their impact on the price verification procedures. The purpose of this independent control framework is to assess model risk arising from models’ theoretical soundness, calibration techniques where needed and the appropriateness of the model for a specific product in a defined market. To ensure their continued applicability, models are independently reviewed annually. In addition, Risk Management approves and maintains a list of products permitted to be valued under each approved model for a given business.

Securities purchased under agreementsPurchased Under Agreements to resellResell and securities sold under agreementsSecurities Sold Under Agreements to repurchaseRepurchase
No quoted prices exist for suchthese instruments, so fair value is determined using a discounted cash-flowcash flow technique. Cash flows are estimated based on the terms of the contract, taking into account any embedded derivative or other features. ExpectedThese cash flows are discounted using interest rates appropriate to the maturity of the instrument as well as the nature of the underlying collateral. Generally, when such instruments are heldrecorded at fair value, they are classified within Level 2 of the fair value hierarchy, as the inputs used in the valuation are readily observable. However, certain long-dated positions are classified within Level 3 of the fair value hierarchy.

Trading account assetsAccount Assets and liabilities—trading securitiesLiabilities—Trading Securities and trading loansTrading Loans
When available, the Company generally uses quoted market prices in active markets to determine the fair value of trading securities; such items are classified as Level 1 of the fair value hierarchy. Examples include some government securities and exchange-traded equity securities.
For bonds and secondary market loans traded over the counter, the Company generally determines fair value utilizing valuation techniques, including discounted cash flows, price-based and internal models, such as Black-Scholes and Monte Carlo simulation. Fair value estimates from these internal valuation techniques are verified, where possible, to prices obtained from independent sources, including third-party vendors. Vendors compile prices from various sources and
may apply matrix pricing for similar bonds or loans where no price is observable. A price-based methodology utilizes, where available, quoted prices or other market information obtained from recent trading activity of assets with similar characteristics to the bond or loan being valued. The yields used in discounted cash flow models are derived from the same price information. Trading securities and loans priced using such methods are generally classified as Level 2. However, when less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the
price of a similar security or loan is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate valuation, a loan or security is generally classified as Level 3. The price input used in a price-based methodology may be zero for a security, such as a subprime CDO, that is not receiving any principal or interest and is currently written down to zero.
WhereWhen the Company’s principal market for a portfolio of loans is the securitization market, the Company uses the securitization price to determine the fair value of the portfolio. The securitization price is determined from the assumed proceeds of a hypothetical securitization in the current market, adjusted for transformation costs (i.e., direct costs other than transaction costs) and securitization uncertainties such as market conditions and liquidity. As a result of the severe reduction in the level of activity in certain securitization markets since the second half of 2007, observable securitization prices for certain directly

comparable portfolios of loans have not been readily available. Therefore, such portfolios of loans are generally classified as Level 3 of the fair value hierarchy. However, for other loan securitization markets, such as commercial real estate loans, price verification of the hypothetical securitizations has been possible, since these markets have remained active. Accordingly, this loan portfolio is classified as Level 2 of the fair value hierarchy.
For most of the lending and structured direct subprime exposures, fair value is determined utilizing observable transactions where available, other market data for similar assets in markets that are not active and other internal valuation techniques. The valuation of certain asset-backed security (ABS) CDO positions utilizes prices based on the underlying assets of the ABS CDO.

Trading account assetsAccount Assets and liabilities—derivativesLiabilities—Derivatives
Exchange-traded derivatives, measured at fair value using quoted (i.e., exchange) prices in active markets, where available, are classified as Level 1 of the fair value hierarchy.
Derivatives without a quoted price in an active market and derivatives executed over the counter are valued using internal valuation techniques. These derivative instruments are classified as either Level 2 or Level 3 depending upon the observability of the significant inputs to the model.
The valuation techniques and inputs depend on the type of derivative and the nature of the underlying instrument. The principal techniques used to value these instruments are discounted cash flows and internal models, including Black-Scholes and Monte Carlo simulation.
The key inputs depend upon the type of derivative and the nature of the underlying instrument and include interest rate yield curves, foreign-exchangeforeign exchange rates, volatilities and correlation. The Company uses overnight indexed swap (OIS) curves as fair value measurement inputs for the valuation of certain collateralized derivatives. Citi uses the relevant benchmark curve for the currency of the derivative (e.g., the


258


London Interbank Offered Rate for U.S. dollarU.S.-dollar derivatives) as the discount rate for uncollateralized derivatives.
As referenced above, during the third quarter of 2014,2016, Citi incorporated FVA into the fair value measurements due to what it believes to be an industry migration toward incorporating the market’s view of funding risk premium in OTC derivatives. InThe charge incurred in connection with itsthe implementation of FVA in 2014, Citigroup incurred a pretax charge of $499 million, which was reflected in Principal transactions as a change in accounting estimate. Citi’s FVA methodology leverages the existing CVA methodology to estimate a funding exposure profile. The calculation of this exposure profile considers collateral agreements where the terms do not permit the firmCompany to reuse the collateral received, including where counterparties post collateral to third-party custodians.

Subprime-related direct exposures in CDOs
The valuation of high-grade and mezzanine asset-backed security (ABS) CDO positions utilizes prices based on the underlying assets of each high-grade and mezzanine ABS CDO.
For most of the lending and structured direct subprime exposures, fair value is determined utilizing observable transactions where available, other market data for similar assets in markets that are not active and other internal valuation techniques.

Investments
The investments category includes available-for-sale debt and marketable equity securities whose fair value isvalues are generally determined by utilizing similar procedures described for trading securities above or, in some cases, using vendor pricing as the primary source.
Also included in investments are nonpublic investments in private equity and real estate entities. Determining the fair value of nonpublic securities involves a significant degree of management resources and judgment, as no quoted prices exist and such securities are generally very thinly traded. In addition, there may be transfer restrictions on private equity securities. The Company’s process for determining the fair value of such securities utilizes commonly accepted valuation techniques, including comparables analysis. In determining the fair value of nonpublic securities, the Company also considers events such as a proposed sale of the investee company, initial public offerings, equity issuances or other observable transactions. As discussed in Note 14 to the Consolidated Financial Statements, the Company uses net asset value to value certain of these investments.
Private equity securities are generally classified as Level 3 of the fair value hierarchy.
In addition, the Company holds investments in certain alternative investment funds that calculate NAV per share, including hedge funds, private equity funds and real estate funds. Investments in funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company’s ownership interest in the funds where it is not probable that the investment will be realized at a price other than the NAV. Consistent with the provisions of ASU 2015-07 these investments have not been categorized within the fair value hierarchy and are not included in the tables below. See Note 13 to the Consolidated Financial Statements for additional information.

Short-term borrowingsShort-Term Borrowings and long-term debtLong-Term Debt
Where fair value accounting has been elected, the fair value of non-structured liabilities is determined by utilizing internal models using the appropriate discount rate for the applicable maturity. Such instruments are generally classified as Level 2 of the fair value hierarchy when all significant inputs are readily observable.
The Company determines the fair value of hybrid financial instruments, including structured liabilities, using the appropriate derivative valuation methodology (described above in “Trading account assetsAccount Assets and liabilities—derivatives”Liabilities—Derivatives”) given the nature of the embedded risk profile. Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model.

Alt-A mortgage securities
The Company classifies its Alt-A mortgage securities as held-to-maturity, available-for-sale or trading investments. The securities classified as trading and available-for-sale are recorded at fair value with changes in fair value reported in current earnings and AOCI, respectively. For these purposes, Citi defines Alt-A mortgage securities as non-agency residential mortgage-backed securities (RMBS) where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans.
Similar to the valuation methodologies used for other trading securities and trading loans, the Company generally determines the fair values of Alt-A mortgage securities utilizing internal valuation techniques. Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors. Consensus data providers compile prices from various sources. Where available, the Company may also make use of quoted prices for recent trading activity in securities with the same or similar characteristics to the security being valued.
The valuation techniques used for Alt-A mortgage securities, as with other mortgage exposures, are price-based and yield analysis. The primary market-derived input is yield. Cash flows are based on current collateral performance with prepayment rates and loss projections reflective of current economic conditions of housing price change, unemployment rates, interest rates, borrower attributes and other market indicators.
Alt-A mortgage securities that are valued using these methods are generally classified as Level 2. However, Alt-A mortgage securities backed by Alt-A mortgages of lower quality or subordinated tranches in the capital structure are mostly classified as Level 3 due to the reduced liquidity that exists for such positions, which reduces the reliability of prices available from independent sources.

Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 20142017 and December 31, 2013.2016. The Company’s hedging ofCompany may hedge positions that have been classified in the Level 3 category is not limited to with
other financial instruments (hedging instruments) that have beenmay be classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following table.tables:




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Fair Value Levels
In millions of dollars at December 31, 2014
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Assets  
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$187,922
$3,398
$191,320
$(47,129)$144,191
$—
$188,571
$16
$188,587
$(55,638)$132,949
Trading non-derivative assets  
Trading mortgage-backed securities  
U.S. government-sponsored agency guaranteed$—
$25,968
$1,085
$27,053
$—
$27,053
—
22,801
163
22,964
—
22,964
Residential—
2,158
2,680
4,838
—
4,838
—
649
164
813
—
813
Commercial—
3,903
440
4,343
—
4,343
—
1,309
57
1,366
—
1,366
Total trading mortgage-backed securities$—
$32,029
$4,205
$36,234
$—
$36,234
$—
$24,759
$384
$25,143
$—
$25,143
U.S. Treasury and federal agency securities$15,991
$4,483
$—
$20,474
$—
$20,474
$17,524
$3,613
$—
$21,137
$—
$21,137
State and municipal—
3,161
241
3,402
—
3,402
—
4,426
274
4,700
—
4,700
Foreign government39,332
26,736
206
66,274
—
66,274
39,347
20,843
16
60,206
—
60,206
Corporate—
25,640
820
26,460
—
26,460
301
15,129
275
15,705
—
15,705
Equity securities51,346
4,281
2,219
57,846
—
57,846
53,305
6,794
120
60,219
—
60,219
Asset-backed securities—
1,252
3,294
4,546
—
4,546
—
1,198
1,590
2,788
—
2,788
Other trading assets(3)—
9,221
4,372
13,593
—
13,593
3
11,105
615
11,723
—
11,723
Total trading non-derivative assets$106,669
$106,803
$15,357
$228,829
$—
$228,829
$110,480
$87,867
$3,274
$201,621
$—
$201,621
Trading derivatives
 
 
Interest rate contracts$74
$634,318
$4,061
$638,453
 $145
$201,663
$1,708
$203,516
 
Foreign exchange contracts—
154,744
1,250
155,994
 19
120,624
577
121,220
 
Equity contracts2,748
19,969
2,035
24,752
 2,364
24,170
444
26,978
 
Commodity contracts647
21,850
1,023
23,520
 282
13,252
569
14,103
 
Credit derivatives—
40,618
2,900
43,518
 —
19,574
910
20,484
 
Total trading derivatives$3,469
$871,499
$11,269
$886,237
 $2,810
$379,283
$4,208
$386,301
 
Cash collateral paid (3)(4)
 $6,523
  $7,541
 
Netting agreements $(777,178)  $(306,401) 
Netting of cash collateral received (7)
 (47,625)  (37,506) 
Total trading derivatives$3,469
$871,499
$11,269
$892,760
$(824,803)$67,957
$2,810
$379,283
$4,208
$393,842
$(343,907)$49,935
Investments  
Mortgage-backed securities  
U.S. government-sponsored agency guaranteed$—
$36,053
$38
$36,091
$—
$36,091
$—
$41,717
$24
$41,741
$—
$41,741
Residential—
8,355
8
8,363
—
8,363
—
2,884
—
2,884
—
2,884
Commercial—
553
1
554
—
554
—
329
3
332
—
332
Total investment mortgage-backed securities$—
$44,961
$47
$45,008
$—
$45,008
$—
$44,930
$27
$44,957
$—
$44,957
U.S. Treasury and federal agency securities$110,710
$12,974
$6
$123,690
$—
$123,690
$106,964
$11,182
$—
$118,146
$—
$118,146
State and municipal$—
$10,519
$2,180
$12,699
$—
$12,699
—
8,028
737
8,765
—
8,765
Foreign government39,014
51,005
678
90,697
—
90,697
56,456
43,985
92
100,533
—
100,533
Corporate5
11,480
672
12,157
—
12,157
1,911
12,127
71
14,109
—
14,109
Equity securities1,770
274
681
2,725
—
2,725
176
11
2
189
—
189
Asset-backed securities—
11,957
549
12,506
—
12,506
—
3,091
827
3,918
—
3,918
Other debt securities—
661
—
661
—
661
—
297
—
297
—
297
Non-marketable equity securities(5)—
233
2,525
2,758
—
2,758
—
121
681
802
—
802
Total investments$151,499
$144,064
$7,338
$302,901
$—
$302,901
$165,507
$123,772
$2,437
$291,716
$—
$291,716

260Table continues on the next page, including footnotes.


In millions of dollars at December 31, 2014
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans(4)
$—
$2,793
$3,108
$5,901
$—
$5,901
$—
$3,824
$550
$4,374
$—
$4,374
Mortgage servicing rights—
—
1,845
1,845
—
1,845
—
—
558
558
—
558
Non-trading derivatives and other financial assets measured on a recurring basis, gross$—
$9,352
$78
$9,430
 $13,903
$6,900
$16
$20,819
 
Cash collateral paid(5)(6)
 123
  —
 
Netting of cash collateral received(8)
 $(1,791)  $(1,026) 
Non-trading derivatives and other financial assets measured on a recurring basis$—
$9,352
$78
$9,553
$(1,791)$7,762
$13,903
$6,900
$16
$20,819
$(1,026)$19,793
Total assets$261,637
$1,322,433
$42,393
$1,633,109
$(873,723)$759,386
$292,700
$790,217
$11,059
$1,101,517
$(400,571)$700,946
Total as a percentage of gross assets(6)(7)
16.1%81.3%2.6%





26.8%72.2%1.0%





Liabilities  
Interest-bearing deposits$—
$1,198
$486
$1,684
$—
$1,684
$—
$1,179
$286
$1,465
$—
$1,465
Federal funds purchased and securities loaned or sold under agreements to repurchase—
82,811
1,043
83,854
(47,129)36,725
—
95,550
726
96,276
(55,638)40,638
Trading account liabilities  
Securities sold, not yet purchased59,463
11,057
424
70,944
—
70,944
65,843
10,306
22
76,171
—
76,171
Other trading liabilities—
1,409
5
1,414
—
1,414
Total trading liabilities$65,843
$11,715
$27
$77,585
$—
$77,585
Trading derivatives  
Interest rate contracts77
617,933
4,272
622,282
 $137
$182,162
$2,130
$184,429
 
Foreign exchange contracts—
158,354
472
158,826
 9
119,719
447
120,175
 
Equity contracts2,955
26,616
2,898
32,469
 2,430
26,472
2,471
31,373
 
Commodity contracts669
22,872
2,645
26,186
 115
14,482
2,430
17,027
 
Credit derivatives—
39,787
3,643
43,430
 —
19,513
1,709
21,222
 
Total trading derivatives$3,701
$865,562
$13,930
$883,193
 $2,691
$362,348
$9,187
$374,226
 
Cash collateral received(7)
 $9,846
 
Cash collateral received(8)
 $14,296
 
Netting agreements $(777,178)  $(306,401) 
Netting of cash collateral paid (47,769)  (35,659) 
Total trading derivatives$3,701
$865,562
$13,930
$893,039
$(824,947)$68,092
$2,691
$362,348
$9,187
$388,522
$(342,060)$46,462
Short-term borrowings$—
$1,152
$344
$1,496
$—
$1,496
$—
$4,609
$18
$4,627
$—
$4,627
Long-term debt—
18,890
7,290
26,180
—
26,180
—
18,310
13,082
31,392
—
31,392
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$—
$1,777
$7
$1,784
 $13,903
$1,168
$8
$15,079
 
Cash collateral received(8)
 7
 
Netting of cash collateral paid(5)
 $(15) 
Cash collateral received(9)
 12
 
Netting of cash collateral paid $(7) 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$—
$1,777
$7
$1,791
$(15)$1,776
$13,903
$1,168
$8
$15,091
$(7)$15,084
Total liabilities$63,164
$982,447
$23,524
$1,078,988
$(872,091)$206,897
$82,437
$494,879
$23,334
$614,958
$(397,705)$217,253
Total as a percentage of gross liabilities(6)
5.9%91.9%2.2% 
Total as a percentage of gross liabilities(7)
13.7%82.4%3.9% 

(1)For the year ended December 31, 2014,In 2017, the Company transferred assets of approximately $4.1$4.8 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets and Citi refining its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. During the year ended December 31, 2014,markets. In 2017, the Company transferred assets of approximately $4.2$4.0 billion from Level 2 to Level 1, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. During the year ended December 31, 2014,In 2017, the Company transferred liabilities of approximately $1.4$0.4 billion from Level 1 to Level 2, as Citi refined its methodology for certain equity contracts to reflect2. In 2017, the prevalenceCompany transferred liabilities of off-exchange trading. During the year ended December 31, 2014, there were no material transfers of liabilitiesapproximately $0.3 billion from Level 2 to Level 1.
(2)Represents netting of:of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase;repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)Includes positions related to investments in unallocated precious metals, as discussed in Note 25 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(4)Reflects the net amount of $54,292$43,200 million of gross cash collateral paid, of which $47,769$35,659 million was used to offset trading derivative liabilities.
(4)There is no allowance for loan losses recorded for loans reported at fair value.
(5)
Reflects the net amount ofAmounts exclude $138 million0.4 billion of gross cash collateral paid, of whichinvestments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, $15 million was used to offset non-trading derivative liabilities.Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).
(6)Reflects the net amount of $7 million of gross cash collateral paid, all of which was used to offset non-trading derivative liabilities.
(7)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(7)(8)Reflects the net amount of $57,471$51,802 million of gross cash collateral received, of which $47,625$37,506 million was used to offset trading derivative assets.
(8)(9)Reflects the net amount of $1,798$1,038 million of gross cash collateral received, of which $1,791$1,026 million was used to offset non-trading derivative assets.derivatives.



261


Fair Value Levels
In millions of dollars at December 31, 2013
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Assets  
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$172,848
$3,566
$176,414
$(32,331)$144,083
$—
$172,394
$1,496
$173,890
$(40,686)$133,204
Trading non-derivative assets  
Trading mortgage-backed securities  
U.S. government-sponsored agency guaranteed—
22,861
1,094
23,955
—
23,955
—
22,718
176
22,894
—
22,894
Residential—
1,223
2,854
4,077
—
4,077
—
291
399
690
—
690
Commercial—
2,318
256
2,574
—
2,574
—
1,000
206
1,206
—
1,206
Total trading mortgage-backed securities$—
$26,402
$4,204
$30,606
$—
$30,606
$—
$24,009
$781
$24,790
$—
$24,790
U.S. Treasury and federal agency securities$12,080
$2,757
$—
$14,837
$—
$14,837
$16,368
$4,811
$1
$21,180
$—
$21,180
State and municipal—
2,985
222
3,207
—
3,207
—
3,780
296
4,076
—
4,076
Foreign government49,220
25,220
416
74,856
—
74,856
32,164
17,492
40
49,696
—
49,696
Corporate—
28,699
1,835
30,534
—
30,534
424
14,199
324
14,947
—
14,947
Equity securities58,761
1,958
1,057
61,776
—
61,776
45,056
5,260
127
50,443
—
50,443
Asset-backed securities—
1,274
4,342
5,616
—
5,616
—
892
1,868
2,760
—
2,760
Other trading assets(3)—
8,491
3,184
11,675
—
11,675
—
9,466
2,814
12,280
—
12,280
Total trading non-derivative assets$120,061
$97,786
$15,260
$233,107
$—
$233,107
$94,012
$79,909
$6,251
$180,172
$—
$180,172
Trading derivatives  
Interest rate contracts$11
$624,902
$3,467
$628,380
 $105
$366,995
$2,225
$369,325
 
Foreign exchange contracts40
91,189
1,325
92,554
 53
184,776
833
185,662
 
Equity contracts5,793
17,611
1,473
24,877
 2,306
21,209
595
24,110
 
Commodity contracts506
7,775
801
9,082
 261
12,999
505
13,765
 
Credit derivatives—
37,336
3,010
40,346
 —
23,021
1,594
24,615
 
Total trading derivatives$6,350
$778,813
$10,076
$795,239
 $2,725
$609,000
$5,752
$617,477
 
Cash collateral paid(3)(4)
 $6,073
  $11,188
 
Netting agreements $(713,598)  $(519,000) 
Netting of cash collateral received(6)
 (34,893)  (45,912) 
Total trading derivatives$6,350
$778,813
$10,076
$801,312
$(748,491)$52,821
$2,725
$609,000
$5,752
$628,665
$(564,912)$63,753
Investments  
Mortgage-backed securities  
U.S. government-sponsored agency guaranteed$—
$41,810
$187
$41,997
$—
$41,997
$—
$38,304
$101
$38,405
$—
$38,405
Residential—
10,103
102
10,205
—
10,205
—
3,860
50
3,910
—
3,910
Commercial—
453
—
453
—
453
—
358
—
358
—
358
Total investment mortgage-backed securities$—
$52,366
$289
$52,655
$—
$52,655
$—
$42,522
$151
$42,673
$—
$42,673
U.S. Treasury and federal agency securities$69,139
$18,449
$8
$87,596
$—
$87,596
$112,916
$10,753
$2
$123,671
$—
$123,671
State and municipal$—
$17,297
$1,643
$18,940
$—
$18,940
—
8,909
1,211
10,120
—
10,120
Foreign government35,179
60,948
344
96,471
—
96,471
54,028
43,934
186
98,148
—
98,148
Corporate4
10,841
285
11,130
—
11,130
3,215
13,598
311
17,124
—
17,124
Equity securities2,583
336
815
3,734
—
3,734
336
46
9
391
—
391
Asset-backed securities—
13,314
1,960
15,274
—
15,274
—
6,134
660
6,794
—
6,794
Other debt securities—
661
50
711
—
711
—
503
—
503
—
503
Non-marketable equity securities(5)—
358
4,347
4,705
—
4,705
—
35
1,331
1,366
—
1,366
Total investments$106,905
$174,570
$9,741
$291,216
$—
$291,216
$170,495
$126,434
$3,861
$300,790
$—
$300,790

262


In millions of dollars at December 31, 2013
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans(4)
$—
$886
$4,143
$5,029
$—
$5,029
$—
$2,918
$568
$3,486
$—
$3,486
Mortgage servicing rights—
—
2,718
2,718
—
2,718
—
—
1,564
1,564
—
1,564
Non-trading derivatives and other financial assets measured on a recurring basis, gross$—
$9,811
$181
$9,992
 $9,300
$7,732
$34
$17,066
 
Cash collateral paid(6) 82
  8
 
Netting of cash collateral received(7)
 $(2,951)  $(1,345) 
Non-trading derivatives and other financial assets measured on a recurring basis$—
$9,811
$181
$10,074
$(2,951)$7,123
$9,300
$7,732
$34
$17,074
$(1,345)$15,729
Total assets$233,316
$1,234,714
$45,685
$1,519,870
$(783,773)$736,097
$276,532
$998,387
$19,526
$1,305,641
$(606,943)$698,698
Total as a percentage of gross assets(5)(7)
15.4%81.6%3.0% 21.4%77.1%1.5% 
Liabilities  
Interest-bearing deposits$—
$787
$890
$1,677
$—
$1,677
$—
$919
$293
$1,212
$—
$1,212
Federal funds purchased and securities loaned or sold under agreements to repurchase—
85,576
902
86,478
(32,331)54,147
—
73,500
849
74,349
(40,686)33,663
Trading account liabilities  
Securities sold, not yet purchased51,035
9,883
590
61,508
 61,508
67,429
12,184
1,177
80,790
—
80,790
Other trading liabilities—
1,827
1
1,828
—
1,828
Total trading liabilities$67,429
$14,011
$1,178
$82,618
$—
$82,618
Trading account derivatives  
Interest rate contracts12
614,586
2,628
617,226
 $107
$351,766
$2,888
$354,761
 
Foreign exchange contracts29
87,978
630
88,637
 13
187,328
420
187,761
 
Equity contracts5,783
26,178
2,331
34,292
 2,245
22,119
2,152
26,516
 
Commodity contracts363
7,613
2,194
10,170
 196
12,386
2,450
15,032
 
Credit derivatives—
37,510
3,284
40,794
 —
22,842
2,595
25,437
 
Total trading derivatives$6,187
$773,865
$11,067
$791,119
 $2,561
$596,441
$10,505
$609,507
 
Cash collateral received(6)
 $8,827
 
Cash collateral received(8)
 $15,731
 
Netting agreements $(713,598)  $(519,000) 
Netting of cash collateral paid(3)
 (39,094) 
Netting of cash collateral paid (49,811) 
Total trading derivatives$6,187
$773,865
$11,067
$799,946
$(752,692)$47,254
$2,561
$596,441
$10,505
$625,238
$(568,811)$56,427
Short-term borrowings$—
$3,663
$29
$3,692
$—
$3,692
$—
$2,658
$42
$2,700
$—
$2,700
Long-term debt—
19,256
7,621
26,877
—
26,877
—
16,510
9,744
26,254
—
26,254
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$—
$1,719
$10
$1,729
 $9,300
$1,540
$8
$10,848
 
Cash collateral received(7)
 $282
 
Cash collateral received(9)
 1
 
Netting of cash collateral paid $(53) 
Non-trading derivatives and other financial liabilities measured on a recurring basis—
1,719
10
2,011
 2,011
$9,300
$1,540
$8
$10,849
$(53)$10,796
Total liabilities$57,222
$894,749
$21,109
$982,189
$(785,023)$197,166
$79,290
$705,579
$22,619
$823,220
$(609,550)$213,670
Total as a percentage of gross liabilities(5)
5.9%92.0%2.2% 
Total as a percentage of gross liabilities(6)
9.8%87.4%2.8% 

(1)For the year ended December 31, 2013,In 2016, the Company transferred assets of approximately $2.5$2.6 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities which wereand equity securities not traded with sufficient frequency to constitute anin active market. During the year ended December 31, 2013,markets. In 2016, the Company transferred assets of approximately $49.3$4.0 billion from Level 2 to Level 1, substantially allrespectively, primarily related to U.S. Treasuryforeign government bonds and equity securities held acrosstraded with sufficient frequency to constitute a liquid market. In 2016, the Company’s major investment portfolios where Citi obtained additional informationCompany transferred liabilities of approximately $0.4 billion from its external pricing sourcesLevel 2 to meetLevel 1. In 2016, the criteria forCompany transferred liabilities of approximately $0.3 billion from Level 1 classification. There were no material liability transfers betweento Level 1 and Level 2 during the year ended December 31, 2013.2.
(2)Represents netting of:of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)Includes positions related to investments in unallocated precious metals, as discussed in Note 25 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(4)Reflects the net amount of $45,167$60,999 million of gross cash collateral paid, of which $39,094$49,811 million was used to offset trading derivative liabilities.
(4)(5)There is no allowance for loan losses recorded for loans reported
Amounts exclude $0.4 billion investments measured at fair value.Net Asset Value (NAV) in accordance with ASU 2015-07.
(5)(6)
Reflects the net amount of $61 million of gross cash collateral paid, of which $53 million was used to offset non-trading derivative liabilities.
(7)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(6)(8)Reflects the net amount of $43,720$61,643 million of gross cash collateral received, of which $34,893$45,912 million was used to offset trading derivative assets.
(7)(9)Reflects the net amount of $3,233$1,346 million of gross cash collateral received, of which $2,951$1,345 million was used to offset non-trading derivative assets.


263


Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the years ended December 31, 20142017 and 2013. As discussed above, the Company classifies financial instruments as Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly.2016. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3
category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that have beenmay be classified by the Company in the Level 1 and Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The effects of thesehedged items and related hedges are presented gross in the following tables.tables:


Level 3 Fair Value Rollforward
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains/
(losses)
still held(3)
In millions of dollarsDec. 31, 2013Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2014Dec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2017
Assets  
Federal funds sold and securities borrowed or purchased under agreements to resell$3,566
$(61)$—
$84
$(8)$75
$—
$—
$(258)$3,398
$133
$1,496
$(281)$—
$—
$(1,198)$—
$—
$—
$(1)$16
$1
Trading non-derivative assets  
Trading mortgage-backed securities  
U.S. government-sponsored agency guaranteed1,094
117
—
854
(966)714
26
(695)(59)1,085
8
176
23
—
176
(174)463
—
(504)3
163
2
Residential2,854
457
—
442
(514)2,582
—
(3,141)—
2,680
132
399
86
—
95
(118)126
—
(424)—
164
14
Commercial256
17
—
187
(376)758
—
(402)—
440
(4)206
15
—
69
(57)450
—
(626)—
57
(5)
Total trading mortgage-backed securities$4,204
$591
$—
$1,483
$(1,856)$4,054
$26
$(4,238)$(59)$4,205
$136
$781
$124
$—
$340
$(349)$1,039
$—
$(1,554)$3
$384
$11
U.S. Treasury and federal agency securities$—
$3
$—
$—
$—
$7
$—
$(10)$—
$—
$—
$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
State and municipal222
10
—
150
(105)34
—
(70)—
241
1
296
28
—
24
(48)161
(23)(164)—
274
8
Foreign government416
(56)—
130
(253)676
—
(707)—
206
5
40
1
—
89
(228)291
—
(177)—
16
—
Corporate1,835
(127)—
465
(502)1,988
—
(2,839)—
820
(139)324
344
—
140
(185)482
(8)(828)6
275
81
Equity securities1,057
87
—
142
(209)1,437
—
(295)—
2,219
337
127
54
—
210
(58)51
(3)(261)—
120
—
Asset-backed securities4,342
876
—
158
(332)3,893
—
(5,643)—
3,294
3
1,868
284
—
44
(178)1,457
—
(1,885)—
1,590
36
Other trading assets3,184
269
—
2,637
(2,278)5,427
—
(4,490)(377)4,372
31
2,814
117
—
474
(2,691)2,195
11
(2,285)(20)615
60
Total trading non-derivative assets$15,260
$1,653
$—
$5,165
$(5,535)$17,478
$26
$(18,292)$(398)$15,357
$374
$6,251
$952
$—
$1,321
$(3,737)$5,676
$(23)$(7,155)$(11)$3,274
$196
Trading derivatives, net(4)
  
Interest rate contracts$839
$(818)$—
$24
$(98)$113
$—
$(162)$(109)$(211)$(414)$(663)$(44)$—
$(28)$610
$154
$(13)$(322)$(116)$(422)$77
Foreign exchange contracts695
92
—
47
(39)59
—
(59)(17)778
56
413
(438)—
54
(60)33
14
(21)135
130
(139)
Equity contracts(858)482
—
(916)766
435
—
(279)(493)(863)(274)(1,557)129
—
(159)28
184
(216)(333)(103)(2,027)(214)
Commodity contracts(1,393)(338)—
92
(12)—
—
—
29
(1,622)(174)(1,945)(384)—
77
35
—
23
(3)336
(1,861)149
Credit derivatives(274)(567)—
4
(156)103
—
(3)150
(743)(369)(1,001)(484)—
(28)18
6
16
(6)680
(799)(169)
Total trading derivatives, net(4)
$(991)$(1,149)$—
$(749)$461
$710
$—
$(503)$(440)$(2,661)$(1,175)$(4,753)$(1,221)$—
$(84)$631
$377
$(176)$(685)$932
$(4,979)$(296)

264Table continues on the next page, including footnotes.


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains/
(losses)
still held(3)
In millions of dollarsDec. 31, 2013Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2014Dec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2017
Investments  
Mortgage-backed securities  
U.S. government-sponsored agency guaranteed$187
$—
$52
$60
$(203)$17
$—
$(73)$(2)$38
$(8)$101
$—
$16
$1
$(94)$—
$—
$—
$—
$24
$(2)
Residential102
—
33
31
(2)17
—
(173)—
8
—
50
—
2
—
(47)—
—
(5)—
—
—
Commercial—
—
(6)4
(7)10
—
—
—
1
—
—
—
—
3
—
12
—
(12)—
3
—
Total investment mortgage-backed securities$289
$—
$79
$95
$(212)$44
$—
$(246)$(2)$47
$(8)$151
$—
$18
$4
$(141)$12
$—
$(17)$—
$27
$(2)
U.S. Treasury and federal agency securities$8
$—
$—
$—
$—
$—
$—
$(2)$—
$6
$—
$2
$—
$—
$—
$—
$—
$—
$(2)$—
$—
$—
State and municipal1,643
—
(64)811
(584)923
—
(549)—
2,180
49
1,211
—
58
70
(517)127
—
(212)—
737
44
Foreign government344
—
(27)286
(105)851
—
(490)(181)678
(17)186
—
—
2
(284)523
—
(335)—
92
1
Corporate285
—
(6)26
(143)728
—
(218)—
672
(4)311
—
9
77
(47)227
—
(506)—
71
—
Equity securities815
—
111
19
(19)10
—
(255)—
681
(78)9
—
(1)—
—
—
—
(6)—
2
—
Asset-backed securities1,960
—
41
—
(47)95
—
(195)(1,305)549
(18)660
—
(89)31
(32)883
—
(626)—
827
12
Other debt securities50
—
(1)—
—
116
—
(115)(50)—
—
—
—
—
—
—
21
—
(21)—
—
—
Non-marketable equity securities4,347
—
94
67
—
707
—
(787)(1,903)2,525
81
1,331
—
(170)2
—
19
—
(233)(268)681
44
Total investments$9,741
$—
$227
$1,304
$(1,110)$3,371
$—
$(2,857)$(3,338)$7,338
$5
$3,861
$—
$(175)$186
$(1,021)$1,812
$—
$(1,958)$(268)$2,437
$99
Loans$4,143
$—
$(233)$92
$6
$951
$197
$(895)$(1,153)$3,108
$37
$568
$—
$75
$80
$(16)$188
$—
$(337)$(8)$550
$211
Mortgage servicing rights2,718
—
(390)—
—
—
217
(317)(383)1,845
(390)1,564
—
65
—
—
—
96
(1,057)(110)558
74
Other financial assets measured on a recurring basis181
—
100
(83)—
3
164
(10)(277)78
14
34
—
(128)10
(8)1
318
(14)(197)16
(152)
Liabilities  
Interest-bearing deposits$890
$—
$357
$5
$(12)$—
$127
$—
$(167)$486
$(69)$293
$—
$25
$40
$—
$—
$2
$—
$(24)$286
$22
Federal funds purchased and securities loaned or sold under agreements to repurchase902
(6)—
54
—
78
—
220
(217)1,043
(34)849
14
—
—
—
—
36
—
(145)726
10
Trading account liabilities  
Securities sold, not yet purchased590
(81)—
79
(111)—
—
534
(749)424
(58)1,177
385
—
22
(796)—
17
277
(290)22
8
Other trading liabilities1
—
—
4
—
—
—
—
—
5
—
Short-term borrowings29
(31)—
323
(12)—
49
—
(76)344
(8)42
32
—
4
(7)—
31
—
(20)18
(3)
Long-term debt7,621
109
49
2,701
(4,206)—
3,893
—
(2,561)7,290
(446)9,744
(1,083)—
1,251
(1,836)44
2,712
—
84
13,082
(1,554)
Other financial liabilities measured on a recurring basis10
—
(5)5
(3)—
1
(3)(8)7
(4)8
—
—
5
—
—
5
(1)(9)8
(1)
(1)
Changes in fair value for available-for-sale investments are recorded in Accumulated other comprehensive income (loss),AOCI, unless other-than-temporarily impaired,related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
(3)
Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss)AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2014.
2017.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.



265



 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains/
(losses)
still held(3)
In millions of dollarsDec. 31, 2012Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2013Dec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2016
Assets  
Federal funds sold and securities borrowed or purchased under agreements to resell$5,043
$(137)$—
$627
$(1,871)$59
$—
$71
$(226)$3,566
$(124)$1,337
$(20)$—
$—
$(28)$758
$—
$—
$(551)$1,496
$(16)
Trading non-derivative assets  
Trading mortgage-backed securities  
U.S. government-sponsored agency guaranteed1,325
141
—
1,386
(1,477)1,316
68
(1,310)(355)1,094
52
744
6
—
510
(1,087)941
—
(961)23
176
(7)
Residential1,805
474
—
513
(372)3,630
—
(3,189)(7)2,854
10
1,326
104
—
189
(162)324
—
(1,376)(6)399
26
Commercial1,119
114
—
278
(304)244
—
(1,178)(17)256
14
517
(1)—
193
(234)759
—
(1,028)—
206
(27)
Total trading mortgage-backed securities$4,249
$729
$—
$2,177
$(2,153)$5,190
$68
$(5,677)$(379)$4,204
$76
$2,587
$109
$—
$892
$(1,483)$2,024
$—
$(3,365)$17
$781
$(8)
U.S. Treasury and federal agency securities$—
$(1)$—
$54
$—
$—
$—
$(53)$—
$—
$—
$1
$—
$—
$2
$—
$—
$—
$(2)$—
$1
$—
State and municipal195
37
—
9
—
107
—
(126)—
222
15
351
23
—
195
(256)322
—
(339)—
296
(88)
Foreign government311
(21)—
156
(67)326
—
(289)—
416
5
197
(9)—
21
(49)115
—
(235)—
40
(16)
Corporate2,030
(20)—
410
(410)2,864
—
(2,116)(923)1,835
(406)376
330
—
171
(132)867
—
(1,295)7
324
69
Equity securities264
129
—
228
(210)829
—
(183)—
1,057
59
3,684
(527)—
279
(4,057)955
(11)(196)—
127
(457)
Asset-backed securities4,453
544
—
181
(193)5,165
—
(5,579)(229)4,342
123
2,739
53
—
205
(360)2,199
—
(2,965)(3)1,868
(46)
Other trading assets2,321
202
—
960
(1,592)3,879
—
(2,253)(333)3,184
(7)2,483
(58)—
2,070
(2,708)2,894
19
(1,838)(48)2,814
(101)
Total trading non-derivative assets$13,823
$1,599
$—
$4,175
$(4,625)$18,360
$68
$(16,276)$(1,864)$15,260
$(135)$12,418
$(79)$—
$3,835
$(9,045)$9,376
$8
$(10,235)$(27)$6,251
$(647)
Trading derivatives, net(4)
  
Interest rate contracts$181
$292
$—
$692
$(226)$228
$—
$(155)$(173)$839
$779
$(495)$(146)$—
$301
$(239)$163
$(18)$(142)$(87)$(663)$26
Foreign exchange contracts—
625
—
29
(35)26
—
(10)60
695
146
620
(276)—
75
(106)200
—
(181)81
413
23
Equity contracts(1,448)96
—
25
295
298
—
(149)25
(858)(453)(800)(89)—
63
(772)92
38
(128)39
(1,557)(33)
Commodity contracts(771)(164)—
—
(527)15
—
(25)79
(1,393)(246)(1,861)(352)—
(425)(39)357
—
(347)722
(1,945)(164)
Credit derivatives(342)(368)—
106
(183)20
—
—
493
(274)(544)307
(1,970)—
8
(29)37
—
(34)680
(1,001)(1,854)
Total trading derivatives, net(4)
$(2,380)$481
$—
$852
$(676)$587
$—
$(339)$484
$(991)$(318)$(2,229)$(2,833)$—
$22
$(1,185)$849
$20
$(832)$1,435
$(4,753)$(2,002)
Investments  
Mortgage-backed securities  
U.S. government-sponsored agency guaranteed$1,458
$—
$(7)$2,058
$(3,820)$593
$—
$(38)$(57)$187
$11
$139
$—
$(26)$25
$(72)$45
$—
$(9)$(1)$101
$54
Residential205
—
30
60
(265)212
—
(140)—
102
7
4
—
3
49
—
26
—
(32)—
50
2
Commercial—
—
—
4
(21)17
—
—
—
—
—
2
—
(1)6
(7)—
—
—
—
—
—
Total investment mortgage-backed securities$1,663
$—
$23
$2,122
$(4,106)$822
$—
$(178)$(57)$289
$18
$145
$—
$(24)$80
$(79)$71
$—
$(41)$(1)$151
$56
U.S. Treasury and federal agency securities$12
$—
$—
$—
$—
$—
$—
$(4)$—
$8
$—
$4
$—
$—
$—
$—
$—
$—
$(2)$—
$2
$—
State and municipal849
—
10
12
(122)1,236
—
(217)(125)1,643
(75)2,192
—
39
467
(1,598)351
—
(240)—
1,211
23
Foreign government383
—
2
178
(256)506
—
(391)(78)344
(28)260
—
10
38
(39)259
—
(339)(3)186
(104)
Corporate385
—
(27)334
(119)104
—
(303)(89)285
—
603
—
77
11
(240)693
—
(468)(365)311
—
Equity securities773
—
56
19
(1)1
—
(33)—
815
47
124
—
10
5
(5)1
—
(131)5
9
—
Asset-backed securities2,220
—
117
1,192
(1,684)1,475
—
(337)(1,023)1,960
—
596
—
(92)7
(61)435
—
(306)81
660
(102)
Other debt securities258
—
—
—
(205)50
—
(53)—
50
—
—
—
—
10
—
6
—
(16)—
—
—
Non-marketable equity securities5,364
—
249
—
—
653
—
(342)(1,577)4,347
241
1,135
—
79
336
(32)26
—
(14)(199)1,331
18
Total investments$11,907
$—
$430
$3,857
$(6,493)$4,847
$—
$(1,858)$(2,949)$9,741
$203
$5,059
$—
$99
$954
$(2,054)$1,842
$—
$(1,557)$(482)$3,861
$(109)

266Table continues on the next page, including footnotes.


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) included in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2012Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2013Dec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2016
Loans$4,931
$—
$(24)$353
$—
$179
$652
$(192)$(1,756)$4,143
$(122)$2,166
$—
$(61)$89
$(1,074)$708
$219
$(813)$(666)$568
$26
Mortgage servicing rights1,942
—
555
—
—
—
634
(2)(411)2,718
553
1,781
—
(36)—
—
—
152
(20)(313)1,564
(21)
Other financial assets measured on a recurring basis2,452
—
63
1
—
216
474
(2,046)(979)181
(5)180
—
80
55
(47)1
236
(133)(338)34
39
Liabilities  
Interest-bearing deposits$786
$—
$(125)$32
$(21)$—
$86
$—
$(118)$890
$(41)$434
$—
$43
$322
$(309)$—
$5
$—
$(116)$293
$46
Federal funds purchased and securities loaned or sold under agreements to repurchase841
91
—
216
(17)36
—
40
(123)902
50
1,247
(6)—
—
(150)—
—
27
(281)849
(12)
Trading account liabilities  
Securities sold, not yet purchased365
42
—
89
(52)—
—
612
(382)590
73
199
17
—
1,185
(109)(70)(41)367
(337)1,177
(43)
Other trading liabilities—
—
—
1
—
—
—
—
—
1
—
Short-term borrowings112
53
—
2
(10)—
316
—
(338)29
(5)9
(16)—
19
(37)—
87
—
(52)42
—
Long-term debt6,726
292
153
3,738
(2,531)—
1,466
(1)(1,332)7,621
758
7,543
(282)—
3,792
(4,350)—
4,845
(3)(2,365)9,744
(419)
Other financial liabilities measured on a recurring basis24
—
(215)5
(2)(5)104
—
(331)10
(9)14
—
(11)2
(12)(8)12
—
(11)8
(13)
(1)
Changes in fair value forof available-for-sale investments are recorded in Accumulated other comprehensive income (loss),AOCI, unless other-than-temporarily impaired,related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
(3)
Represents the amount of total gains or losses for the period, included in earnings (and Accumulated other comprehensive income (loss)AOCI for changes in fair value of available-for-sale investments), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at December 31, 2013.
2016.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.
Level 3 Fair Value Rollforward
The following were the significant Level 3 transfers for the period December 31, 20132016 to December 31, 2014:2017:

Transfers of Federal funds sold and securities borrowed or purchased under agreements to resell of $1.2 billion from Level 3 to Level 2 related to the significance of unobservable inputs as well as certain underlying market inputs becoming more observable and shortening of the remaining tenor of certain reverse repos. There is more transparency and observability for repo curves used in the valuation of structured reverse repos with tenors up to five years.
Transfers of Other trading assets of $2.7 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations, changes in the significance of unobservable inputs for certain portfolios of trading loans economically hedging derivatives, and certain underlying market inputs becoming more observable as a result of secondary market transactions for portfolios of residential mortgage loans with similar characteristics.
Transfers of Long-term debt of $2.7$1.3 billion from Level 2 to Level 3, and of $4.2$1.8 billion from Level 3 to Level 2, mainly related to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.

The following were the significant Level 3 transfers for the period December 31, 2015 to December 31, 2016:

Transfers of U.S. government-sponsored agency guaranteed MBS in Trading account assets of $0.5 billion from Level 2 to Level 3, and of $1.1 billion from Level 3 to Level 2, primarily related to Agency Guaranteed MBS securities for which there were changes in volume of market quotations.
Transfer of Equity securities of $4.0 billion from Level 3 to Level 2, included $3.2 billion of non-marketable equity securities and $0.5 billion of related partial economic hedging derivatives for which the portfolio valuation measurement exception under ASC 820-35-18D has been applied. After application of the portfolio exception, the Company considers these items to be one valuation unit and measures the fair value of the net open risk position primarily based on recent market transactions where these instruments are traded concurrently.  Because the derivatives offset the significant unobservable exposure
within the non-marketable equity securities, there were no remaining unobservable inputs deemed to be significant.
Transfers of Other trading assets of $2.6$2.1 billion from Level 2 to Level 3, and of $2.3$2.7 billion from Level 3 to Level 2, primarily related to trading loans for which there were changes in volume of market quotations.
Transfers of State and Municipal securities in AFS Investments of $0.5 billion from Level 2 to Level 3, and of $1.6 billion from Level 3 to Level 2, primarily reflecting changes in the volume of market quotations.

The following were the significant Level 3 transfers from December 31, 2012 to December 31, 2013:

Transfers of Federal funds sold and securities borrowed or purchased under agreements to resell Loansof $1.9$1.1 billion from Level 3 to Level 2 related to shortening of the remaining tenor of certain reverse repos. There is more transparency and observability for repo curves usedreflecting changes in the valuationvolume of structured reverse repos with tenors up to five years; thus, structured reverse repos maturing within five years are generally classified as Level 2.market quotations.
Transfers of U.S. government-sponsored agency guaranteed mortgage-backed securities in InvestmentsSecurities Sold Not Yet Purchased of $2.1$1.2 billion from Level 2 to Level 3 and of $3.8 billion from Level 3related to Level 2, due to changes in the level of price observability for the specific securities. Similarly, there were transfers of U.S. government-sponsoredsignificance

agency guaranteed mortgage-backed securities in Trading securities
of $1.4 billion from Level 2 to Level 3, and of $1.5 billion from Level 3 to Level 2.
Transfers of asset-backed securities in Investments of $1.2 billion from Level 2 to Level 3, and of $1.7 billion from Level 3 to Level 2. These transfers were related to collateralized loan obligations, reflecting changes in the level of price observability.
unobservable inputs as well as certain underlying market inputs becoming less observable.
Transfers of Long-term debt of $3.7$3.8 billion from Level 2 to Level 3, included $1.3and of $4.4 billion related to the transfer of a previously bifurcated hybrid debt instrument from Level 2 to Level 3 to reflect the host contract and the reclassification of Level 3 commodity contracts into Long-term debt. The remaining amounts of Long-term debt transferred from Level 2 to Level 3 as well as the $2.5 billion transfer from Level 3 to Level 2, weremainly related mainly to structured debt, reflecting changes in the significance of unobservable inputs as well as certain underlying market inputs becoming less or more observable.




267


Valuation Techniques and Inputs for Level 3 Fair Value Measurements
The Company’s Level 3 inventory consists of both cash securities
instruments and derivatives of varying complexities.complexity. The
valuation methodologies appliedused to measure the fair value of
these positions include discounted cash flow analyses,analysis, internal
models and comparative analysis. A position is classified
within Level 3 of the fair value hierarchy when at least one
input is unobservable and is considered significant to its
valuation. The specific reason an input is deemed
unobservable varies. Forvaries; for example, at least one significant
input to the pricing model is not observable in the market, at
least one significant input has been adjusted to make it more
representative of the position being valued or the price quote
available does not reflect sufficient trading activities.
The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements as of December 31, 2014 and December 31, 2013.measurements. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.

Valuation Techniques and Inputs for Level 3 Fair Value Measurements
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$16
Model-basedInterest rate1.43 %2.16%2.09%
    





Mortgage-backed securities$214
Price-basedPrice$2.96
$101.00
$56.52
 184
Yield analysisYield2.52 %14.06%5.97
State and municipal, foreign government, corporate and other debt securities$949
Model-basedPrice$—
$184.04
$91.74
 914
Price-basedCredit spread35 bps
500 bps
249 bps
   Yield2.36 %14.25%6.03%
Equity securities(5)
$65
Price-basedPrice$—
$25,450.00
$2,526.62
 55
Model-basedWAL2.50 years
2.50 years
2.50 years
Asset-backed securities$2,287
Price-basedPrice$4.25
$100.60
$74.57
Non-marketable equity$423
Comparables analysisEBITDA multiples6.90x12.80x8.66x
 223
Price-basedDiscount to price— %100.00%11.83%
   Price-to-book ratio0.05x1.00x0.32x
Derivatives—gross(6)
      
Interest rate contracts (gross)$3,818
Model-basedIR normal volatility9.40 %77.40%58.86%
   Mean reversion1.00 %20.00%10.50%
Foreign exchange contracts (gross)$940
Model-basedForeign exchange (FX) volatility4.58 %15.02%8.16%
 

 Interest rate(0.55)%0.28%0.04%
   IR-IR correlation(51.00)%40.00%36.56%
   IR-FX correlation(7.34)%60.00%49.04%
   Credit spread11 bps
717 bps
173 bps
Equity contracts (gross)(7)
$2,897
Model-basedEquity volatility3.00 %68.93%24.66%
   Forward price69.74 %154.19%92.80%
Commodity contracts (gross)$2,937
Model-basedForward price3.66 %290.59%114.16%
   Commodity volatility8.60 %66.73%25.04%
   Commodity correlation(37.64)%91.71%15.21%
Credit derivatives (gross)$1,797
Model-basedCredit correlation25.00 %90.00%44.64%
 823
Price-basedUpfront points6.03 %97.26%62.88%
   Credit spread3 bps
1,636 bps
173 bps
   Price$1.00
$100.24
$57.63

As of December 31, 2014
Fair Value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
Average(4)
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$3,156
Model-basedInterest rate1.27 %1.97%1.80 %
Mortgage-backed securities$2,874
Price-basedPrice$—
$127.87
$81.43
 1,117
Yield analysisYield0.01 %19.91%5.89 %
State and municipal, foreign government, corporate and other debt securities$5,937
Price-basedPrice$—
$124.00
$90.62
 1,860
Cash flowCredit spread25 bps
600 bps
233 bps
Equity securities(5)
$2,163
Price-based
Price (5)
$—
$141.00
$91.00
 679
Cash flowYield4.00 %5.00%4.50 %
   WAL0.01 years
3.14 years
1.07 years
Asset-backed securities$3,607
Price-basedPrice$—
$105.50
$67.01
Non-marketable equity$1,224
Price-basedDiscount to price— %90.00%4.04 %
 1,055
Comparables analysisEBITDA multiples2.90x13.10x9.77x
 


PE ratio8.10x13.10x8.43x
   Price-to-book ratio0.99x1.56x1.15x
   
Fund NAV(5)
$1
$64,668,171
$29,975,777
Derivatives—Gross(6)
      
Interest rate contracts (gross)$8,309
Model-basedInterest rate (IR) lognormal volatility18.05 %90.65%30.21 %
   Mean reversion1.00 %20.00%10.50 %
Foreign exchange contracts (gross)$1,428
Model-basedForeign exchange (FX) volatility0.37 %58.40%8.57 %
 294
Cash flowInterest rate3.72 %8.27%5.02 %
   IR-FX correlation40.00 %60.00%50.00 %
Equity contracts (gross)(7)
$4,431
Model-basedEquity volatility9.56 %82.44%24.61 %
 502
Price-basedEquity forward84.10 %100.80%94.10 %
   Equity-FX correlation
(88.20)%48.70%(25.17)%
   Equity-equity correlation(66.30)%94.80%36.87 %
   Price$0.01
$144.50
$93.05
Commodity contracts (gross)$3,606
Model-basedCommodity volatility5.00 %83.00%24.00 %
   Commodity correlation(57.00)%91.00%30.00 %
   Forward price35.34 %268.77%101.74 %
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$24
Model-basedRecovery rate25.00 %40.00%31.56%
   Redemption rate10.72 %99.50%74.24%
   Credit spread38 bps
275 bps
127 bps
   Upfront points61.00 %61.00%61.00%
Loans and leases$391
Model-basedEquity volatility3.00 %68.93%22.52%
 148
Price-basedCredit spread134 bps
500 bps
173 bps
   Yield3.09 %4.40%3.13%
Mortgage servicing rights$471
Cash flowYield8.00 %16.38%11.47%
 87
Model-basedWAL3.83 years
6.89 years
5.93 years
Liabilities      
Interest-bearing deposits$286
Model-basedMean reversion1.00 %20.00%10.50%
   Forward price99.56 %99.95%99.72%
Federal funds purchased and securities loaned or sold under agreements to repurchase$726
Model-basedInterest rate1.43 %2.16%2.09%
Trading account liabilities      
Securities sold, not yet purchased$21
Price-basedPrice$1.00
$287.64
$88.19
Short-term borrowings and long-term debt$13,100
Model-basedForward price69.74 %161.11%100.70%

268


As of December 31, 2014
Fair Value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
Average(4)
Credit derivatives (gross)$4,944
Model-basedRecovery rate13.97 %75.00%37.62 %
 1,584
Price-basedCredit correlation— %95.00%58.76 %
   Price$1.00
$144.50
$53.86
   Credit spread1 bps
3,380 bps
180 bps
   Upfront points0.39
100.00
52.26
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$74
Model-basedRedemption rate13.00 %99.50%68.73 %
 11
Price-basedForward Price107.00 %107.10%107.05 %
   Fund NAV$12,974
$10,087,963
$9,308,012
Loans$1,095
Cash flowYield1.60 %4.50%2.23 %
 832
Model-basedPrice$4.72
$106.55
$98.56
 740
Price-basedCredit spread35 bps
500 bps
199 bps
 441
Yield analysis    
Mortgage servicing rights$1,750
Cash flowYield5.19 %21.40%10.25 %
   WAL3.31 years
7.89 years
5.17 years
Liabilities      
Interest-bearing deposits$486
Model-basedEquity-IR correlation34.00 %37.00%35.43 %
   Commodity correlation(57.00)%91.00%30.00 %
   Commodity volatility5.00 %83.00%24.00 %
   Forward price35.34 %268.77%101.74 %
Federal funds purchased and securities loaned or sold under agreements to repurchase$1,043
Model-basedInterest rate0.74 %2.26%1.90 %
Trading account liabilities      
Securities sold, not yet purchased$251
Model-basedCredit-IR correlation(70.49)%8.81%47.17 %
 $142
Price-basedPrice$—
$117.00
$70.33
Short-term borrowings and long-term debt$7,204
Model-basedIR lognormal volatility18.05 %90.65%30.21 %
   Mean reversion1.00 %20.00%10.50 %
   Equity volatility10.18 %69.65%23.72 %
   Credit correlation87.50 %87.50%87.50 %
   Equity forward89.50 %100.80%95.80 %
   Forward price35.34 %268.77%101.80 %
   Commodity correlation(57.00)%91.00%30.00 %
   Commodity volatility5.00 %83.00%24.00 %
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$1,496
Model-basedIR log-normal volatility12.86 %75.50 %61.73 %
   Interest rate(0.51)%5.76 %2.80 %
Mortgage-backed securities$509
Price-basedPrice$5.50
$113.48
$61.74
 368
Yield analysisYield1.90 %14.54 %4.34 %
State and municipal, foreign government, corporate and other debt securities$3,308
Price-basedPrice$15.00
$103.60
$89.93
 1,513
Cash flowCredit spread35 bps
600 bps
230 bps
Equity securities(5)
$69
Model-basedPrice$0.48
$104.00
$22.19
 58
Price-based 





Asset-backed securities$2,454
Price-basedPrice$4.00
$100.00
$71.51
Non-marketable equity$726
Price-basedDiscount to price— %90.00 %13.36 %
 565
Comparables analysisEBITDA multiples6.80x10.10x8.62x
   Price-to-book ratio0.32x1.03x0.87x
   Price$—
$113.23
$54.40
Derivatives—gross(6)
      
Interest rate contracts (gross)$4,897
Model-basedIR log-normal volatility1.00 %93.97 %62.72 %
   Mean reversion1.00 %20.00 %10.50 %









269


As of December 31, 2013
Fair Value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
Average(4)
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$3,299
Model-basedInterest rate1.33 %2.19%2.04 %
Mortgage-backed securities$2,869
Price-basedPrice$0.10
$117.78
77.60
 1,241
Yield analysisYield0.03 %21.80%8.66 %
State and municipal, foreign government, corporate and other debt securities$5,361
Price-basedPrice$—
$126.49
$87.47
 2,014
Cash flowCredit spread11 bps
375 bps
213 bps
Equity securities(5)
$947
Price-based
Price (5)
$0.31
$93.66
$86.90
 827
Cash flowYield4.00 %5.00%4.50 %
   WAL0.01 years
3.55 years
1.38 years
Asset-backed securities$4,539
Price-basedPrice$—
$135.83
$70.89
 1,300
Model-basedCredit spread25 bps
378 bps
302 bps
Non-marketable equity$2,324
Price-based
Fund NAV(5)
$612
$336,559,340$124,080,454
 1,470
Comparables analysisEBITDA multiples4.20x16.90x9.78x
 533
Cash flowDiscount to price— %75.00%3.47 %
   Price-to-book ratio0.90x1.05x1.02x
   PE ratio9.10x9.10x9.10x
Derivatives—Gross(6)
      
Interest rate contracts (gross)$5,721
Model-basedInterest rate (IR) lognormal volatility10.60 %87.20%21.16 %
Foreign exchange contracts (gross)$1,727
Model-basedForeign exchange (FX) volatility1.00 %28.00%13.45 %
 189
Cash flowInterest rate0.11 %13.88%6.02 %
   IR-FX correlation40.00 %60.00%50.00 %
   IR-IR correlation40.00 %68.79%40.52 %
   Credit spread25 bps
419 bps
162 bps
Equity contracts (gross)(7)
$3,189
Model-basedEquity volatility10.02 %73.48%29.87 %
 563
Price-basedEquity forward79.10 %141.00%100.24 %
   Equity-equity correlation(81.30)%99.40%48.45 %
   Equity-FX correlation(70.00)%55.00%0.60 %
   Price$—
$118.75
$88.10
Commodity contracts (gross)$2,988
Model-basedCommodity volatility4.00 %146.00%15.00 %
   Commodity correlation(75.00)%90.00%32.00 %
   Forward price23.00 %242.00%105.00 %
Credit derivatives (gross)$4,767
Model-basedRecovery rate20.00 %64.00%38.11 %
 1,520
Price-basedCredit correlation5.00 %95.00%47.43 %
   Price$0.02
$115.20
$29.83
   Credit spread3 bps
1,335 bps
203 bps
   Upfront points2.31
100.00
57.69
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$82
Price-basedEBITDA multiples5.20x12.60x12.08x
 60
Comparables analysisPE ratio6.90x6.90x6.90x
 38
Model-basedPrice-to-book ratio1.05x1.05x1.05x
   Price$—
$105.10
$71.25
   Fund NAV$1.00
$10,688,600
$9,706,488
   Discount to price— %35.00%16.36 %
       

270


As of December 31, 2013
Fair Value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
Average(4)
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Foreign exchange contracts (gross)$1,110
Model-basedForeign exchange (FX) volatility1.39 %26.85 %15.18 %
134
Cash flowInterest rate(0.85)%(0.49)%(0.84)%
  Credit spread4 bps
657 bps
266 bps
  IR-IR correlation40.00 %50.00 %41.27 %
  IR-FX correlation16.41 %60.00 %49.52 %
Equity contracts (gross)(7)
$2,701
Model-basedEquity volatility3.00 %97.78 %29.52 %


 Forward price69.05 %144.61 %94.28 %
  Equity-FX correlation(60.70)%28.20 %(26.28)%
  Equity-IR correlation(35.00)%41.00 %(15.65)%
  Yield volatility3.55 %14.77 %9.29 %


 Equity-equity correlation(87.70)%96.50 %67.45 %
Commodity contracts (gross)$2,955
Model-basedForward price35.74 %235.35 %119.99 %
  Commodity volatility2.00 %32.19 %17.07 %


 Commodity correlation(41.61)%90.42 %52.85 %
Credit derivatives (gross)$2,786
Model-basedRecovery rate20.00 %75.00 %39.75 %
1,403
Price-basedCredit correlation5.00 %90.00 %34.27 %
  Upfront points6.00 %99.90 %72.89 %
  Price$1.00
$167.00
$77.35


 Credit spread3 bps
1,515 bps
256 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$42
Model-basedRecovery rate40.00 %40.00 %40.00 %
  Redemption rate3.92 %99.58 %74.69 %
  Upfront points16.00 %20.50 %18.78 %
   
Loans$2,153
Price-basedPrice$—
$103.75
$91.19
$258
Price-basedPrice$31.55
$105.74
$56.46
1,422
Model-basedYield1.60 %4.50%2.10 %221
Yield analysisYield2.75 %20.00 %11.09 %
549
Yield analysisCredit spread49 bps
1,600 bps
302 bps
79
Model-based 





Mortgage servicing rights$2,625
Cash flowYield3.64 %12.00%7.19 %$1,473
Cash flowYield4.20 %20.56 %9.32 %
  WAL2.27 years
9.44 years
6.12 years


 WAL3.53 years
7.24 years
5.83 years
Liabilities     





Interest-bearing deposits$890
Model-basedEquity volatility14.79 %42.15%27.74 %$293
Model-basedMean reversion1.00 %20.00 %10.50 %
  Mean reversion1.00 %20.00%10.50 %

 Forward price98.79 %104.07 %100.19 %
  Equity-IR correlation9.00 %20.50%19.81 %
  Forward price23.00 %242.00%105.00 %
  Commodity correlation(75.00)%90.00%32.00 %
  Commodity volatility4.00 %146.00%15.00 %
Federal funds purchased and securities loaned or sold under agreements to repurchase$902
Model-basedInterest rate0.47 %3.66%2.71 %$849
Model-basedInterest rate0.62 %2.19 %1.99 %
Trading account liabilities     





Securities sold, not yet purchased$289
Model-basedCredit spread166 bps
180 bps
175 bps
$1,056
Model-basedIR Normal volatility12.86 %75.50 %61.73 %
$273
Price-basedCredit-IR correlation(68.00)%5.00%(50.00)%
  Price$—
$124.25
$99.75
Short-term borrowings and long-term debt$6,781
Model-basedIR lognormal volatility10.60 %87.20%20.97 %$9,774
Model-basedMean reversion1.00 %20.00 %10.50 %
868
Price-basedEquity forward79.10 %141.00%99.51 %
 Commodity correlation(41.61)%90.42 %52.85 %
  Equity volatility10.70 %57.20%19.41 %  Commodity volatility2.00 %32.19 %17.07 %
  Equity-FX correlation(70.00)%55.00%0.60 %
 Forward price69.05 %235.35 %103.28 %
  Equity-equity correlation(81.30)%99.40%48.30 %
  Interest rate4.00 %10.00%5.00 %
  Price$0.63
$103.75
$80.73
  Forward price23.00 %242.00%101.00 %
(1)The fair value amounts presented in this tablethese tables represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions, or the methodology involving the input applies to only one large position only.position.
(4)Weighted averages are calculated based on the fair valuevalues of the instrument.instruments.
(5)For equity securities, the price and fund NAV inputs are expressed on an absolute basis, not as a percentage of the notional amount.
(6)Both trading and nontrading account derivatives—assets and liabilities—are presented on a gross absolute value basis.
(7)Includes hybrid products.


271


Sensitivity to Unobservable Inputs and Interrelationships between Unobservable Inputs
The impact of key unobservable inputs on the Level 3 fair value measurements may not be independent of one another. In addition, the amount and direction of the impact on a fair value measurement for a given change in an unobservable input depends on the nature of the instrument as well as whether the Company holds the instrument as an asset or a liability. For certain instruments, the pricing, hedging and risk management are sensitive to the correlation between various inputs rather than on the analysis and aggregation of the individual inputs.
The following section describes the sensitivities and interrelationships of the most significant unobservable inputs used by the Company in Level 3 fair value measurements.

Correlation
Correlation is a measure of the co-movement betweenextent to which two or more variables.variables change in relation to each other. A variety of correlation-related assumptions are required for a wide range of instruments, including equity and credit baskets, foreign-exchange options, CDOs backed by loans or bonds, mortgages, subprime mortgages and many other instruments. For almost all of these instruments, correlations are not observable in the market and must be estimatedcalculated using historical information. Estimating correlation can be especially difficult where it may vary over time. ExtractingCalculating correlation information from market data requires significant assumptions regarding the informational efficiency of the market (for example, swaption markets). Changes in correlation levels can have a major impact, favorable or unfavorable, on the value of an instrument, depending on its nature. A change in the default correlation of the fair value of the underlying bonds comprising a CDO structure would affect the fair value of the senior tranche. For example, an increase in the default correlation of the underlying bonds would reduce the fair value of the senior tranche, because highly correlated instruments produce larger losses in the event of default and a part of these losses would become attributable to the senior tranche. That same change in default correlation would have a different impact on junior tranches of the same structure.

Volatility
Volatility represents the speed and severity of market price changes and is a key factor in pricing options. Typically, instruments can become more expensive if volatility increases. For example, as an index becomes more volatile, the cost to Citi of maintaining a given level of exposure increases because more frequent rebalancing of the portfolio is required. Volatility generally depends on the tenor of the underlying instrument and the strike price or level defined in the contract. Volatilities for certain combinations of tenor and strike are not observable. The general relationship between changes in the value of a portfolio to changes in volatility also depends on changes in interest rates and the level of the underlying index. Generally, long option positions (assets) benefit from increases in volatility, whereas short option positions (liabilities) will suffer losses. Some instruments are more sensitive to changes in volatility than others. For example, an
 
at-the-money option would experience a larger percentage change in its fair value than a deep-in-the-money option. In addition, the fair value of an option with more than one underlying security (for example, an option on a basket of bonds) depends on the volatility of the individual underlying securities as well as their correlations.

Yield
Adjusted yield is generally used to discount the projected future principal and interest cash flows on instruments, such as asset-backed securities. Adjusted yield is impacted by changes in the interest rate environment and relevant credit spreads.
In some circumstances, the yield of an instrument is not observable in the market and must be estimated from historical data or from yields of similar securities. This estimated yield may need to be adjusted to capture the characteristics of the security being valued. In other situations, the estimated yield may not represent sufficient market liquidity and must be adjusted as well. Whenever the amount of the adjustment is significant to the value of the security, the fair value measurement is classified as Level 3.
Adjusted yield is generally used to discount the projected future principal and interest cash flows on instruments, such as asset-backed securities. Adjusted yield is impacted by changes in the interest rate environment and relevant credit spreads.

Prepayment
Voluntary unscheduled payments (prepayments) change the future cash flows for the investor and thereby change the fair value of the security. The effect of prepayments is more pronounced for residential mortgage-backed securities. An increase in prepayments—in speed or magnitude—generally creates losses for the holder of these securities. Prepayment is generally negatively correlated with delinquency and interest rate. A combination of low prepayment and high delinquencies amplifyamplifies each input’s negative impact on mortgage securities’ valuation. As prepayment speeds change, the weighted average life of the security changes, which impacts the valuation either positively or negatively, depending upon the nature of the security and the direction of the change in the weighted average life.

Recovery
Recovery is the proportion of the total outstanding balance of a bond or loan that is expected to be collected in a liquidation scenario. For many credit securities (such as asset-backed securities), there is no directly observable market input for recovery, but indications of recovery levels are available from pricing services. The assumed recovery of a security may differ from its actual recovery that will be observable in the future. The recovery rate impacts the valuation of credit securities. Generally, an increase in the recovery rate assumption increases the fair value of the security. An increase in loss severity, the inverse of the recovery rate, reduces the amount of principal available for distribution and, as a result, decreases the fair value of the security.


Credit Spread
Credit spread is a component of the security representing its credit quality. Credit spread reflects the market perception of changes in prepayment, delinquency and recovery rates,

therefore capturing the impact of other variables on the fair value. Changes in credit spread affect the fair value of


272


securities differently depending on the characteristics and maturity profile of the security. For example, credit spread is a more significant driver of the fair value measurement of a high yield bond as compared to an investment grade bond. Generally, the credit spread for an investment grade bond is also more observable and less volatile than its high yield counterpart.

Qualitative Discussion of the Ranges of Significant Unobservable Inputs
The following section describes the ranges of the most significant unobservable inputs used by the Company in Level 3 fair value measurements. The level of aggregation and the diversity of instruments held by the Company lead to a wide range of unobservable inputs that may not be evenly distributed across the Level 3 inventory.

Correlation
There are many different types of correlation inputs, including credit correlation, cross-asset correlation (such as equity-interest rate correlation), and same-asset correlation (such as interest rate-interest rate correlation). Correlation inputs are generally used to value hybrid and exotic instruments. Generally, same-asset correlation inputs have a narrower range than cross-asset correlation inputs. However, due to the complex and unique nature of these instruments, the ranges for correlation inputs can vary widely across portfolios.

Volatility
Similar to correlation, asset-specific volatility inputs vary widely by asset type. For example, ranges for foreign exchange volatility are generally lower and narrower than equity volatility. Equity volatilities are wider due to the nature of the equities market and the terms of certain exotic instruments. For most instruments, the interest rate volatility input is on the lower end of the range; however, for certain structured or exotic instruments (such as market-linked deposits or exotic interest rate derivatives), the range is much wider.

Yield
Ranges for the yield inputs vary significantly depending upon the type of security. For example, securities that typically have lower yields, such as municipal bonds, will fall onin the lower end of the range, while more illiquid securities or securities with lower credit quality, such as certain residual tranche asset-backed securities, will have much higher yield inputs.

Credit Spread
Credit spread is relevant primarily for fixed income and credit instruments; however, the ranges for the credit spread input can vary across instruments. For example, certain fixed income instruments, such as certificates of deposit, typically have lower credit spreads, whereas certain derivative instruments with high-risk counterparties are typically subject to higher credit spreads when they are uncollateralized or have a longer tenor. Other instruments, such as credit default swaps,
also have credit spreads that vary with the attributes of the
underlying obligor. Stronger companies have tighter credit spreads, and weaker companies have wider credit spreads.

Price
The price input is a significant unobservable input for certain fixed income instruments. For these instruments, the price input is expressed as a percentage of the notional amount, with a price of $100 meaning that the instrument is valued at par. For most of these instruments, the price varies between zero to $100, or slightly above $100. Relatively illiquid assets that have experienced significant losses since issuance, such as certain asset-backed securities, are at the lower end of the range, whereas most investment grade corporate bonds will fall in the middle to the higher end of the range. For certain structured debt instruments with embedded derivatives, the price input may be above $100 to reflect the embedded features of the instrument (for example, a step-up coupon or a conversion option).
The price input is also a significant unobservable input for certain equity securities; however, the range of price inputs varies depending on the nature of the position, the number of shares outstanding and other factors.

Mean Reversion
A number of financial instruments require an estimate of the rate at which the interest rate reverts to its long-term average. Changes in this estimate can significantly affect the fair value of these instruments. However, sometimes there is insufficient external market data to calibrate this parameter, especially when pricing more complex instruments. The level of mean reversion affects the correlation between short- and long-term interest rates. The fair values of more complex instruments, such as Bermudan swaptions (options with multiple exercise dates) and constant maturity spread options or structured debts with these embedded features, are more sensitive to the changes in this correlation as compared to less complex instruments, such as caps and floors.


273


Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and therefore are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market.
The following table presents the carrying amounts of all assets that were still held as of December 31, 2014 and December 31, 2013, for which a nonrecurring fair value measurement was recorded:
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
December 31, 2014 
December 31, 2017 
Loans held-for-sale(1)$4,152
$1,084
$3,068
$5,675
$2,066
$3,609
Other real estate owned102
21
81
54
10
44
Loans(1)(2)
3,367
2,881
486
630
216
414
Total assets at fair value on a nonrecurring basis$7,621
$3,986
$3,635
$6,359
$2,292
$4,067
In millions of dollarsFair valueLevel 2Level 3
December 31, 2016   
Loans held-for-sale(1)
$5,802
$3,389
$2,413
Other real estate owned75
15
60
Loans(2)
1,376
586
790
Total assets at fair value on a nonrecurring basis$7,253
$3,990
$3,263
(1)
Net of fair value amounts on the unfunded portion of loans held-for-sale, recognized within Other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estate secured loans.
In millions of dollarsFair valueLevel 2Level 3
December 31, 2013   
Loans held-for-sale$3,483
$2,165
$1,318
Other real estate owned138
15
123
Loans(1)
4,713
3,947
766
Total assets at fair value on a nonrecurring basis$8,334
$6,127
$2,207
(1)
Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estatereal estate secured loans.

The fair value of loans-held-for-saleloans held-for-sale is determined where possible using quoted secondary-market prices. If no such quoted price exists, the fair value of a loan is determined using quoted prices for a similar asset or assets, adjusted for the specific attributes of that loan. Fair value for the other real estate owned is based on appraisals. For loans whose carrying amount is based on the fair value of the underlying collateral, the fair values depend on the type of collateral. Fair value of the collateral is typically estimated based on quoted market prices if available, appraisals or other internal valuation techniques.
Where the fair value of the related collateral is based on an unadjusted appraised value, the loan is generally classified as Level 2. Where significant adjustments are made to the appraised value, the loan is classified as Level 3. Additionally, for corporate loans, appraisals of the collateral are often based on sales of similar assets; however, because the prices of similar assets require significant adjustments to reflect the unique features of the underlying collateral, these fair value measurements are generally classified as Level 3.

Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements as of December 31, 2014 and December 31, 2013:measurements:
As of December 31, 2014
Fair Value(1)
 (in millions)
MethodologyInputLowHigh
Weighted
average(2)
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$2,740
Price-basedPrice$92.00
$100.00
$99.54
$3,186
Price-basedPrice$77.93
$100.00
$99.26
  Credit Spread5 bps
358 bps
175 bps
Other real estate owned$76
Price-basedAppraised Value$11,000
$11,124,137
$4,730,129
$42
Price-based
Appraised value(4)
$20,278
$8,091,760
$4,016,665
  
Discount to price(4)
13.00%64.00%28.80%  Discount to price34.00%34.00%34.00%
  Price$30.00
$50.36
$49.09
Loans(3)(5)
$437
Price-based
Discount to price(4)
13.00%34.00%28.92%$133
Price-basedPrice$2.80
$100.00
$62.46
129
Cash flowRecovery rate50.00%100.00%63.59%
127
Recovery analysisAppraised value$—
$45,500,000
$38,785,667
(1)
The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Weighted averages are calculated based on the fair value of the instrument.
(3)Represents loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.
(4)Includes estimated costs to sell.


274


As of December 31, 2013
Fair Value(1)
 (in millions)
MethodologyInputLowHigh
Weighted
average(2)
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$912
Price-based
Price(3)
$60.00
$100.00
$98.77
$2,413
Price-basedPrice$—
$100.00
$93.08
393
Cash FlowCredit Spread45 bps
80 bps
64 bps
Other real estate owned$98
Price-based
Discount to price(4)
34.00%59.00%39.00%$59
Price-based
Discount to price(6)
0.34%13.00%3.10%
17
Cash Flow
Price(3)
$60.46
$100.00
$96.67


 Price$64.65
$74.39
$66.21
  Appraised Value636,249
15,897,503
11,392,478
Loans(5)
$581
Price-based
Discount to price(4)
34.00%39.00%35.00%
Loans(4)
$431
Cash flowPrice$3.25
$105
$59.61
109
Model-based
Price(3)
$52.40
$68.00
$65.32
197
Recovery analysisForward price$2.90
$210.00
$156.78
  Appraised Value6,500,000
86,000,000
43,532,719
135
Price-based
Discount to price(6)
0.25%13.00%8.34%
  
Appraised value(4)
$25.80
$26,400,000
$6,462,735

(1)The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Weighted averagesSome inputs are based on the fair value of the instrument.shown as zero due to rounding.
(3)PricesWeighted averages are calculated based on appraised values.the fair values of the instruments.
(4)Appraised values are disclosed in whole dollars.
(5)Includes estimated costs to sell.
(5)(6)Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.collateral, primarily real estate secured loans.


Nonrecurring Fair Value Changes
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that arewere still held at December 31, 2014 and December 31, 2013:held:
Year ended December 31,Year ended December 31,
In millions of dollars20142017
Loans held-for-sale$34
$(26)
Other real estate owned(16)(4)
Loans(1)
(533)(87)
Total nonrecurring fair value gains (losses)$(515)$(117)
 Year ended December 31,
In millions of dollars2016
Loans held-for-sale$(2)
Other real estate owned(5)
Loans(1)
(105)
Total nonrecurring fair value gains (losses)$(112)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estatereal estate loans.

In millions of dollarsYear ended December 31, 2013
Loans held-for-sale$—
Other real estate owned(6)
Loans(1)
(761)
Total nonrecurring fair value gains (losses)$(767)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, including primarily real-estate loans.



275


Estimated Fair Value of Financial Instruments Notnot Carried at Fair Value
The following table below presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes items measured at fair value on a recurring basis presented in the tables above.
The disclosure also excludes leases, affiliate investments, pension and benefit obligations, and insurance policy claim reserves. In addition, contract-holder fund amounts exclude certain insurance contracts.contracts and tax-related items. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed maturity and other expenses that would be incurred in a market transaction. In addition, the table excludes the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup’s financial position and the value of its net assets.
The fair value represents management’s best estimates based on a range of methodologies and assumptions. The
 
carrying value of short-term financial instruments not accounted for at fair value, as well as receivables and payables arising in the ordinary course of business, approximates fair value because of the relatively short period of time between their origination and expected realization. Quoted market prices are used when available for investments and for liabilities, such as long-term debt not carried at fair value. For loans not accounted for at fair value, cash flows are discounted at quoted secondary market rates or estimated market rates if available. Otherwise, sales of comparable loan portfolios or current market origination rates for loans with similar terms and risk characteristics are used. Expected credit losses are either embedded in the estimated future cash flows or incorporated as an adjustment to the discount rate used. The value of collateral is also considered. For liabilities such as long-term debt not accounted for at fair value and without quoted market prices, market borrowing rates of interest are used to discount contractual cash flows.

December 31, 2014Estimated fair valueDecember 31, 2017Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$30.5
$32.2
$4.5
$25.2
$2.5
$60.2
$60.6
$0.5
$57.5
$2.6
Federal funds sold and securities borrowed or purchased under agreements to resell98.4
98.4
—
89.7
8.7
99.5
99.5
—
94.4
5.1
Loans(1)(2)
620.0
617.6
—
5.6
612.0
648.6
644.9
—
6.0
638.9
Other financial assets(2)(3)
213.8
213.8
8.3
151.9
53.6
242.6
243.0
166.4
14.1
62.5
Liabilities  
Deposits$897.6
$894.0
$—
$746.2
$147.8
$958.4
$955.6
$—
$816.1
$139.5
Federal funds purchased and securities loaned or sold under agreements to repurchase136.7
136.7
—
136.5
0.2
115.6
115.6
—
115.6
—
Long-term debt(4)
196.9
202.5
—
172.7
29.8
205.3
214.0
—
187.2
26.8
Other financial liabilities(5)
136.2
136.2
—
41.4
94.8
129.9
129.9
—
15.5
114.4

December 31, 2013Estimated fair valueDecember 31, 2016Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$17.8
$19.3
$5.3
$11.9
$2.1
$52.1
$52.0
$0.8
$48.6
$2.6
Federal funds sold and securities borrowed or purchased under agreements to resell115.6
115.6
—
107.2
8.4
103.6
103.6
—
98.5
5.1
Loans(1)(2)
637.9
635.1
—
5.6
629.5
607.0
607.3
—
7.0
600.3
Other financial assets(2)(3)
250.7
250.7
9.4
189.5
51.8
215.2
215.9
145.6
16.2
54.1
Liabilities  
Deposits$966.6
$965.6
$—
$776.4
$189.2
$928.2
$927.6
$—
$789.7
$137.9
Federal funds purchased and securities loaned or sold under agreements to repurchase152.0
152.0
—
151.8
0.2
108.2
108.2
—
107.8
0.4
Long-term debt(4)
194.2
201.3
—
175.6
25.7
179.9
185.5
—
156.5
29.0
Other financial liabilities(5)
136.2
136.2
—
41.2
95.0
115.3
115.3
—
16.2
99.1

276


(1)
The carrying value of loans is net of the Allowance for loan losses of $16.0$12.4 billion for December 31, 20142017 and $19.6$12.1 billion for December 31, 2013.2016. In addition, the carrying values exclude $0.0$1.7 billion and $2.9$1.9 billion of lease finance receivables at December 31, 20142017 and December 31, 2013,2016, respectively.

(2)Includes items measured at fair value on a nonrecurring basis.
(3)
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(4)The carrying value includes long-term debt balances under qualifying fair value hedges.
(5)
Includes brokerage payables, separate and variable accounts, short-term borrowings (carried at cost) and other financial instruments included in Other liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

Fair values vary from period to period based on changes in a wide range of factors, including interest rates, credit quality and market perceptions of value, and as existing assets and liabilities run off and new transactions are entered into. The estimated fair values of loans reflect changes in credit status since the loans were made, changes in interest rates in the case of fixed-rate loans and premium values at origination of certain loans.
The estimated fair values of the Company’s corporate unfunded lending commitments at December 31, 20142017 and December 31, 20132016 were liabilities of $5.5$3.2 billion and $5.2 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancelable by providing notice to the borrower.



277


26.25.   FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings.earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election may not be revoked once an election is made. The changes in
fair value are recorded in current earnings.earnings, other than DVA, which from January 1, 2016 is reported in AOCI. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 2524 to the Consolidated Financial Statements.
All servicing rights are recognized initially at fair value. The Company has elected fair value accounting for its mortgage servicing rights. See Note 2221 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.

The following table presents the changes in fair value gains and losses for the years ended December 31, 2014 and 2013 associated withof those items for which the fair value option washas been elected:
 Changes in fair value gains (losses) for the
 Years ended December 31,
In millions of dollars20142013
Assets  
Federal funds sold and securities borrowed or purchased under agreements to resell
     Selected portfolios of securities purchased under agreements to resell and securities borrowed
$812
$(628)
Trading account assets190
(190)
Investments30
(48)
Loans 
Certain corporate loans(1)
(135)72
Certain consumer loans(1)
(41)(155)
Total loans$(176)$(83)
Other assets

MSRs$(344)$553
Certain mortgage loans held for sale(2)
474
951
Total other assets$130
$1,504
Total assets$986
$555
Liabilities  
Interest-bearing deposits$(77)$141
Federal funds purchased and securities loaned or sold under agreements to repurchase
     Selected portfolios of securities sold under agreements to repurchase and securities loaned
(5)110
Trading account liabilities29
3
Short-term borrowings8
73
Long-term debt(307)(186)
Total liabilities$(352)$141
 
Changes in fair value gains (losses) for
the years ended December 31,
 
In millions of dollars20172016
Assets  
Federal funds sold and securities borrowed or purchased under agreements to resell
     selected portfolios of securities purchased under agreements
     to resell and securities borrowed
$(133)$(89)
Trading account assets1,622
404
Investments(3)(25)
Loans

Certain corporate loans 
(537)40
Certain consumer loans3
—
Total loans$(534)$40
Other assets

MSRs$65
$(36)
Certain mortgage loans held for sale(1)
142
284
  Other assets—
376
Total other assets$207
$624
Total assets$1,159
$954
Liabilities  
Interest-bearing deposits$(69)$(50)
Federal funds purchased and securities loaned or sold under agreements to repurchase
selected portfolios of securities sold under agreements to repurchase and securities loaned
223
45
Trading account liabilities70
105
Short-term borrowings(116)(61)
Long-term debt(1,491)(935)
Total liabilities$(1,383)$(896)

(1)
Includes mortgage loans held by mortgage loan securitization VIEs consolidated upon the adoption of ASC 810 Consolidation (SFAS 167) on January 1, 2010.
(2)Includes gains (losses) associated with interest rate lock-commitments for those loans that have been originated and elected under the fair value option.

278


Own Debt Valuation Adjustments (DVA)
Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected using Citi’s credit spreads observed in the bond market. TheEffective January 1, 2016, changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s Revenues and Net income along with all other changes in fair value. See Note 1 to the Consolidated Financial Statements for additional information.
Among other variables, the fair value of liabilities for which the fair value option ishas been elected (other than non-recourse and similar liabilities) is impacted by the narrowing or widening of the Company’s credit spreads.
The estimated change in the fair value of these liabilities due to such changes in the Company’s own credit riskspread (or instrument-specific credit risk) was a gainwere losses of $218$680 million and a loss of $412$538 million for the years ended December 31, 20142017 and 2013,2016, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.

The Fair Value Option for Financial Assets and Financial Liabilities

Selected portfoliosPortfolios of securities purchased under agreementsSecurities Purchased Under Agreements to resell, securities borrowed, securities sold under agreementsResell, Securities Borrowed, Securities Sold Under Agreements to repurchase, securities loanedRepurchase, Securities Loaned and certain non-collateralized short-term borrowingsCertain Non-Collateralized Short-Term Borrowings
The Company elected the fair value option for certain portfolios of fixed-incomefixed income securities purchased under agreements to resell and fixed-incomefixed income securities sold under agreements to repurchase, securities borrowed, securities loaned and certain non-collateralized short-term borrowings held primarily by broker-dealer entities in the United States, United Kingdom and Japan. In each case, the election was made because the related interest-rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings.
 
Changes in fair value for transactions in these portfolios are recorded in Principal transactions. The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as interestInterest revenue and expense in the Consolidated Statement of Income.

Certain loansLoans and other credit productsOther Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.

The following table provides information about certain credit products carried at fair value at December 31, 2014 and 2013:value:
December 31, 2014December 31, 2013December 31, 2017December 31, 2016
In millions of dollarsTrading assetsLoansTrading assetsLoansTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$10,290
$5,901
$9,262
$4,105
$8,851
$4,374
$9,824
$3,486
Aggregate unpaid principal balance in excess of (less than) fair value(26)125
4
(79)
Aggregate unpaid principal balance in excess of fair value623
682
758
18
Balance of non-accrual loans or loans more than 90 days past due13
3
97
5
—
1
—
1
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due28
1
41
5
—
1
—
1
In addition to the amounts reported above, $2,335$508 million and $2,308$1,828 million of unfunded loan commitments related to certain credit products selected for fair value accounting were outstanding as of December 31, 20142017 and 2013,2016, respectively.
Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in the Company’sCiti’s Consolidated Statement of Income. Related interest revenue is measured based on the contractual interest rates and reported

as Interest revenue on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the years ended December 31, 20142017 and 20132016 due to
instrument-specific credit risk totaled to a lossgains of $155$10 million and a gain of $4$76 million, respectively.



279


Certain investmentsInvestments in unallocated precious metalsUnallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $1.2$0.9 billion and $1.3$0.6 billion at December 31, 20142017 and 2013,2016, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi sells (buys)trades unallocated precious metals investments and executes forward purchase (sale)and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase (sale)or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of December 31, 2014,2017, there were approximately $7.2$10.3 billion and $6.7$9.3 billion notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.

 
Certain investmentsInvestments in private equityPrivate Equity and real estate venturesReal Estate Ventures and certain equity methodCertain Equity Method and other investmentsOther Investments
Citigroup invests in private equity and real estate ventures for the purpose of earning investment returns and for capital appreciation. The Company has elected the fair value option for certain of these ventures, because such investments are considered similar to many private equity or hedge fund activities in Citi’s investment companies, which are reported at fair value. The fair value option brings consistency in the accounting and evaluation of these investments. All investments (debt and equity) in such private equity and real estate entities are accounted for at fair value. These investments are classified as Investments on Citigroup’s Consolidated Balance Sheet.
Changes in the fair values of these investments are classified in Other revenue in the Company’s Consolidated Statement of Income.
Citigroup also elects the fair value option for certain non-marketable equity securities whose risk is managed with derivative instruments that are accounted for at fair value through earnings. These securities are classified as Trading account assets on Citigroup’s Consolidated Balance Sheet. Changes in the fair value of these securities and the related derivative instruments are recorded in Principal transactions.

Certain mortgage loans HFSMortgage Loans Held-for-Sale (HFS)
Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications.


The following table provides information about certain mortgage loans HFS carried at fair value at December 31, 2014 and 2013:value:
In millions of dollarsDecember 31,
2014		December 31, 2013December 31,
2017		December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$1,447
$2,089
$426
$915
Aggregate fair value in excess of unpaid principal balance67
48
Aggregate fair value in excess of (less than) unpaid principal balance14
8
Balance of non-accrual loans or loans more than 90 days past due—
—
—
—
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
—
—

The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the years ended December 31, 20142017 and 20132016 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest rates and reported as Interest revenue in the Consolidated Statement of Income.
Certain consolidated VIEs
The Company has elected the fair value option for all qualified assets and liabilities of certain VIEs that were consolidated upon the adoption of SFAS 167 on January 1, 2010, including certain private label mortgage securitizations, mutual fund deferred sales commissions and collateralized loan obligation VIEs. The Company elected the fair value option for these VIEs, as the Company believes this method better reflects the economic risks, since substantially all of the Company’s retained interests in these entities are carried at fair value.


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With respect to the consolidated mortgage VIEs, the Company determined the fair value for the mortgage loans and long-term debt utilizing internal valuation techniques. The fair value of the long-term debt measured using internal valuation techniques is verified, where possible, to prices obtained from independent vendors. Vendors compile prices from various sources and may apply matrix pricing for similar securities when no price is observable. Security pricing associated with long-term debt that is valued using observable inputs is classified as Level 2, and debt that is valued using one or more significant unobservable inputs is classified as Level 3. The fair value of mortgage loans in each VIE is derived from the security pricing. When substantially all of the long-term debt of a VIE is valued using Level 2 inputs, the corresponding mortgage loans are classified as Level 2. Otherwise, the mortgage loans of a VIE are classified as Level 3.
With respect to the consolidated mortgage VIEs for which the fair value option was elected, the mortgage loans are classified as Loans on Citigroup’s Consolidated Balance Sheet. The changes in fair value of the loans are reported as Other revenue in the Company’s Consolidated Statement of
Income. Related interest revenue is measured based on the contractual interest rates and reported as Interest revenue in the Company’s Consolidated Statement of Income. Information about these mortgage loans is included in the table below. The change in fair value of these loans due to instrument-specific credit risk was a loss of $48 million and $156 million for the years ended December 31, 2014 and 2013, respectively.
The debt issued by these consolidated VIEs is classified as long-term debt on Citigroup’s Consolidated Balance Sheet. The changes in fair value for the majority of these liabilities are reported in Other revenue in the Company’s Consolidated Statement of Income. Related interest expense is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income. The aggregate unpaid principal balance of long-term debt of these consolidated VIEs exceeded the aggregate fair value by $9 million and $223 million as of December 31, 2014 and 2013, respectively.

The following table provides information about corporate and consumer loans of consolidated VIEs carried at fair value at December 31, 2014 and 2013:
 December 31, 2014December 31, 2013
In millions of dollarsCorporate loansConsumer loansCorporate loansConsumer loans
Carrying amount reported on the Consolidated Balance Sheet$—
$—
$14
$910
Aggregate unpaid principal balance in excess of fair value9
—
7
212
Balance of non-accrual loans or loans more than 90 days past due—
—
—
81
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
—
106

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Certain structured liabilitiesStructured Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks (structured liabilities).risks. The Company elected the fair value option, because these exposures are considered
to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (Trading account liabilities) on the Company’s Consolidated Balance Sheet according to their legal form.

The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument at December 31, 2014 and 2013:instrument:
In billions of dollarsDecember 31, 2014December 31, 2013December 31, 2017December 31, 2016
Interest rate linked$10.9
$9.8
$13.9
$10.6
Foreign exchange linked0.3
0.5
0.3
0.2
Equity linked8.0
7.0
13.0
12.3
Commodity linked1.4
1.8
0.2
0.3
Credit linked2.5
3.5
1.9
0.9
Total$23.1
$22.6
$29.3
$24.3
ThePrior to 2016, the total change in the fair value of these structured liabilities iswas reported in Principal transactions in the Company’s Consolidated Statement of Income. Beginning in the first quarter of 2016, the portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions. Changes in the fair value of these structured liabilities include an economic component for accrued interest, which is also included in the change in fair value reported in Principal transactions.

Certain non-structured liabilitiesNon-Structured Liabilities
The Company has elected the fair value option for certain non-structured liabilities with fixed and floating interest rates (non-structured liabilities).rates. The Company has elected the fair value option where the interest-rate risk of such liabilities is
may be economically hedged with derivative contracts or the proceeds are used to purchase
financial assets that will also be accounted for at fair value through earnings. The election haselections have been made to mitigate accounting mismatches and to achieve operational simplifications. These positions are reported in Short-term borrowings and Long-term debt on the Company’s Consolidated Balance Sheet. ThePrior to 2016, the total change in the fair value of these non-structured liabilities iswas reported in Principal transactions in the Company’s Consolidated Statement of Income. Related interestBeginning in the first quarter of 2016, the portion of the changes in fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions.
Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.


The following table provides information about long-term debt carried at fair value, excluding debt issued by consolidated VIEs, at December 31, 2014 and 2013:value:
In millions of dollarsDecember 31, 2014December 31, 2013December 31, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$26,180
$25,968
$31,392
$26,254
Aggregate unpaid principal balance in excess of (less than) fair value(151)(866)(579)(128)
The following table provides information about short-term borrowings carried at fair value at December 31, 2014 and 2013:value:
In millions of dollarsDecember 31, 2014December 31, 2013December 31, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$1,496
$3,692
$4,627
$2,700
Aggregate unpaid principal balance in excess of (less than) fair value31
(38)74
(61)

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27.26.   PLEDGED ASSETS, COLLATERAL, GUARANTEES AND COMMITMENTS
Pledged Assets
In connection with the Company’sCiti’s financing and trading activities, the CompanyCiti has pledged assets to collateralize its obligations under repurchase agreements, secured financing agreements, secured liabilities of consolidated VIEs and other borrowings. At December 31, 2014 and 2013, theThe approximate carrying values of the significant components of pledged assets recognized on the Company’sCiti’s Consolidated Balance Sheet included:
In millions of dollars2014201320172016
Investment securities$173,015
$183,071
$138,807
$161,914
Loans214,530
228,513
229,552
231,833
Trading account assets111,832
118,832
102,892
84,371
Total$499,377
$530,416
$471,251
$478,118

In addition, included in Cash and due from banks and Deposits with banksat December 31, 20142017 and 20132016 were $6.2$7.4 billion and $8.8$6.8 billion, respectively, of cash segregated under federal and other brokerage regulations or deposited with clearing organizations.

Collateral
At December 31, 20142017 and 2013,2016, the approximate fair value of collateral received by the CompanyCiti that may be resold or repledged, excluding the impact of allowable netting, was $346.7$457.5 billion and $308.3$378.1 billion, respectively. This collateral was received in connection with resale agreements, securities borrowings and loans, derivative transactions and margined broker loans.
At December 31, 20142017 and 2013,2016, a substantial portion of the collateral received by the CompanyCiti had been sold or repledged in connection with repurchase agreements, securities sold, not yet purchased, securities borrowings and loans, pledges to clearing organizations, segregation requirements under securities laws and regulations, derivative transactions and bank loans.
In addition, at December 31, 20142017 and 2013, the Company2016, Citi had pledged $376$362 billion and $397$388 billion, respectively, of
 
respectively, of collateral that may not be sold or repledged by the secured parties.

Lease Commitments
Rental expense (principally for offices, branches and computer equipment) was $1.4$1.1 billion, $1.5$1.1 billion and $1.5$1.3 billion for the years ended December 31, 2014, 20132017, 2016 and 20122015, respectively.
Future minimum annual rentals under noncancelablenon-cancelable leases, net of sublease income, are as follows:
In millions of dollars  
2015$1,415
20161,192
2017964
2018771
$968
2019679
837
2020676
2021568
2022469
Thereafter4,994
2,593
Total$10,015
$6,111

Guarantees
Citi provides a variety of guarantees and indemnifications to its customers to enhance their credit standing and enable them to complete a wide variety of business transactions. For
certain contracts meeting the definition of a guarantee, the guarantor must recognize, at inception, a liability for the fair value of the obligation undertaken in issuing the guarantee.
In addition, the guarantor must disclose the maximum potential amount of future payments that the guarantor could be required to make under the guarantee, if there were a total
default by the guaranteed parties. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
The following tables present information about Citi’s guarantees at December 31, 2014 and December 31, 2013:guarantees:


Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at December 31, 2014 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
In billions of dollars at December 31, 2017 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$25.4
$73.0
$98.4
$242
$27.9
$65.9
$93.8
$93
Performance guarantees7.1
4.8
11.9
29
7.2
4.1
11.3
20
Derivative instruments considered to be guarantees12.5
79.2
91.7
2,806
11.0
84.9
95.9
423
Loans sold with recourse—
0.2
0.2
15
—
0.2
0.2
9
Securities lending indemnifications(1)
127.5
—
127.5
—
103.7
—
103.7
—
Credit card merchant processing(1)(2)
86.0
—
86.0
—
85.5
—
85.5
—
Credit card arrangements with partners0.3
1.1
1.4
205
Custody indemnifications and other—
48.9
48.9
54
—
36.0
36.0
59
Total$258.5
$206.1
$464.6
$3,146
$235.6
$192.2
$427.8
$809

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Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at December 31, 2013 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
In billions of dollars at December 31, 2016 except carrying value in millionsExpire within
1 year		Expire after
1 year		Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$28.8
$71.4
$100.2
$429
$26.0
$67.1
$93.1
$141
Performance guarantees7.6
4.9
12.5
42
7.5
3.6
11.1
19
Derivative instruments considered to be guarantees6.0
61.6
67.6
797
7.2
80.0
87.2
747
Loans sold with recourse—
0.3
0.3
22
—
0.2
0.2
12
Securities lending indemnifications(1)
79.2
—
79.2
—
80.3
—
80.3
—
Credit card merchant processing(1)(2)
85.9
—
85.9
—
86.4
—
86.4
—
Credit card arrangements with partners

—
1.5
1.5
206
Custody indemnifications and other—
36.3
36.3
53
—
45.4
45.4
58
Total$207.5
$174.5
$382.0
$1,343
$207.4
$197.8
$405.2
$1,183
(1)The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)
At December 31, 2017 and 2016, this maximum potential exposure was estimated to be $86 billion and $86 billion, respectively. However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants.

Financial standby lettersStandby Letters of creditCredit
Citi issues standby letters of credit, which substitute its own credit for that of the borrower. If a letter of credit is drawn down, the borrower is obligated to repay Citi. Standby letters of credit protect a third party from defaults on contractual obligations. Financial standby letters of credit include:include (i) guarantees of payment of insurance premiums and reinsurance risks that support industrial revenue bond underwriting;underwriting, (ii) settlement of payment obligations to clearing houses, including futures and over-the-counter derivatives clearing (see further discussion below);, (iii) support options and purchases of securities in lieu of escrow deposit accounts;accounts and (iv) letters of credit that backstop loans, credit facilities, promissory notes and trade acceptances.

Performance guaranteesGuarantees
Performance guarantees and letters of credit are issued to guarantee a customer’s tender bid on a construction or systems-installation project or to guarantee completion of such projects in accordance with contract terms. They are also issued to support a customer’s obligation to supply specified products, commodities or maintenance or warranty services to a third party.

Derivative instruments consideredInstruments Considered to be guaranteesBe Guarantees
Derivatives are financial instruments whose cash flows are based on a notional amount and an underlying instrument, reference credit or index, where there is little or no initial investment, and whose terms require or permit net settlement. For a discussion of Citi’s derivatives activities, see Note 2322 to the Consolidated Financial Statements.
Derivative instruments considered to be guarantees include only those instruments that require Citi to make payments to the counterparty based on changes in an underlying instrument that is related to an asset, a liability or an equity security held by the guaranteed party. More specifically, derivative instruments considered to be
guarantees include certain over-the-counter written put options where the counterparty is not a bank, hedge fund or broker-dealer (such counterparties are considered to be dealers in these markets and may, therefore, not hold the
underlying instruments). Credit derivatives sold by Citi are excluded from the tables above as they are disclosed separately in Note 2322 to the Consolidated Financial Statements. In instances where Citi’s maximum potential future payment is unlimited, the notional amount of the contract is disclosed.

Loans soldSold with recourseRecourse
Loans sold with recourse represent Citi’s obligations to reimburse the buyers for loan losses under certain circumstances. Recourse refers to the clause in a sales agreement under which a seller/lender will fully reimburse the buyer/investor for any losses resulting from the purchased loans. This may be accomplished by the seller taking back any loans that become delinquent.
In addition to the amounts shown in the tables above, Citi has recorded a repurchase reserve for its potential repurchases or make-whole liability regarding residential mortgage representation and warranty claims related to its whole loan sales to the U.S. government-sponsored enterprises (GSEs) and, to a lesser extent, private investors. The repurchase reserve was approximately$224 $66 million and $341$107 million at December 31, 20142017 and December 31, 2013,2016, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.

Securities lending indemnificationsLending Indemnifications
Owners of securities frequently lend those securities for a fee to other parties who may sell them short or deliver them to another party to satisfy some other obligation. Banks may administer such securities lending programs for their clients. Securities lending indemnifications are issued by the bank to guarantee that a securities lending customer will be made

whole in the event that the security borrower does not return the security subject to the lending agreement and collateral held is insufficient to cover the market value of the security.

Credit card merchant processingCard Merchant Processing
Credit card merchant processing guarantees represent the Company’s indirect obligations in connection with:with (i) providing transaction processing services to various


284


merchants with respect to its private-label cards;cards and (ii) potential liability for bank card transaction processing services. The nature of the liability in either case arises as a result of a billing dispute between a merchant and a cardholder that is ultimately resolved in the cardholder’s favor. The merchant is liable to refund the amount to the cardholder. In general, if the credit card processing company is unable to collect this amount from the merchant, the credit card processing company bears the loss for the amount of the credit or refund paid to the cardholder.
With regard to (i) above, Citi has the primary contingent liability with respect to its portfolio of private-label merchants. The risk of loss is mitigated as the cash flows between Citi and the merchant are settled on a net basis, and Citi has the right to offset any payments with cash flows otherwise due to the merchant. To further mitigate this risk, Citi may delay settlement, require a merchant to make an escrow deposit, include event triggers to provide Citi with more financial and operational control in the event of the financial deterioration of the merchant or require various credit enhancements (including letters of credit and bank guarantees). In the unlikely event that a private-label merchant is unable to deliver products, services or a refund to its private-label cardholders, Citi is contingently liable to credit or refund cardholders.
With regard to (ii) above, Citi has a potential liability for bank card transactions where Citi provides the transaction processing services as well as those where a third party provides the services and Citi acts as a secondary guarantor, should that processor fail to perform.
Citi’s maximum potential contingent liability related to both bank card and private-label merchant processing services is estimated to be the total volume of credit card transactions that meet the requirements to be valid charge-back transactions at any given time. At December 31, 20142017 and December 31, 2013,2016, this maximum potential exposure was estimated to be $86 billion for both periods.and $86 billion, respectively.
However, Citi believes that the maximum exposure is not representative of the actual potential loss exposure based on its historical experience. This contingent liability is unlikely to arise, as most products and services are delivered when purchased and amounts are refunded when items are returned to merchants. Citi assesses the probability and amount of its contingent liability related to merchant processing based on the financial strength of the primary guarantor, the extent and nature of unresolved charge-backs and its historical loss experience. At December 31, 20142017 and December 31, 2013,2016, the losses incurred and the carrying amounts of Citi’s contingent obligations related to merchant processing activities were immaterial.

Credit Card Arrangements with Partners
Citi, in certain of its credit card partner arrangements, provides guarantees to the partner regarding the volume of certain customer originations during the term of the agreement. To the extent that such origination targets are not met, the guarantees serve to compensate the partner for certain payments that otherwise would have been generated in connection with such originations.

Custody indemnificationsIndemnifications
Custody indemnifications are issued to guarantee that custody clients will be made whole in the event that a third-party subcustodian or depository institution fails to safeguard clients’ assets.

Other guaranteesGuarantees and indemnificationsIndemnifications

Credit Card Protection Programs
Citi, through its credit card businesses, provides various
cardholder protection programs on several of its card
products, including programs that provide insurance
coverage for rental cars, coverage for certain losses
associated with purchased products, price protection for
certain purchases and protection for lost luggage. These
guarantees are not included in the table, since the total
outstanding amount of the guarantees and Citi’s maximum
exposure to loss cannot be quantified. The protection is
limited to certain types of purchases and losses, and it is not
possible to quantify the purchases that would qualify for
these benefits at any given time. Citi assesses the probability
and amount of its potential liability related to these programs
based on the extent and nature of its historical loss
experience. At December 31, 20142017 and December 31, 2013,2016, the actual and estimated losses incurred and the carrying value
of Citi’s obligations related to these programs were
immaterial.

Other Representation and Warranty Indemnifications
In the normal course of business, Citi provides standard representations and warranties to counterparties in contracts in connection with numerous transactions and also provides indemnifications, including indemnifications that protect the counterparties to the contracts in the event that additional taxes are owed, due either to a change in the tax law or an adverse interpretation of the tax law. Counterparties to these transactions provide Citi with comparable indemnifications. While such representations, warranties and indemnifications are essential components of many contractual relationships, they do not represent the underlying business purpose for the transactions. The indemnification clauses are often standard contractual terms related to Citi’s own performance under the terms of a contract and are entered into in the normal course of business based on an assessment that the risk of loss is remote. Often these clauses are intended to ensure that terms of a contract are met at inception. No compensation is received for these standard representations and warranties, and it is not possible to determine their fair value because they rarely, if ever, result in a payment. In many cases, there are no stated or notional amounts included in the

indemnification clauses, and the contingencies potentially triggering the obligation to indemnify have not occurred and are not expected to occur. As a result, these indemnifications are not included in the tables above.

Value-Transfer Networks
Citi is a member of, or shareholder in, hundreds of value-transfer networks (VTNs) (payment, clearing and settlement systems as well as exchanges) around the world. As a condition of membership, many of these VTNs require that members stand ready to pay a pro rata share of the losses incurred by the organization due to another member’s default on its obligations. Citi’s potential obligations may be limited to its membership interests in the VTNs, contributions to the VTN’s funds, or, in limited cases, the obligation may be


285


unlimited. The maximum exposure cannot be estimated as this would require an assessment of future claims that have not yet occurred. Citi believes the risk of loss is remote given historical experience with the VTNs. Accordingly, Citi’s participation in VTNs is not reported in the guarantees tables above, and there are no amounts reflected on the Consolidated Balance Sheet as of December 31, 20142017 or December 31, 20132016 for potential obligations that could arise from Citi’s involvement with VTN associations.

Long-Term Care Insurance Indemnification
In 2000, Travelers Life & Annuity (Travelers), then a subsidiary of Citi, entered into a reinsurance agreement to transfer the risks and rewards of its long-term care (LTC) business to GE Life (now Genworth Financial Inc., or Genworth), then a subsidiary of the General Electric Company (GE). As part of this transaction, the reinsurance obligations were provided by two regulated insurance subsidiaries of GE Life, which funded two collateral trusts with securities. Presently, as discussed below, the trusts are referred to as the Genworth Trusts.
As part of GE’s spin-off of Genworth in 2004, GE retained the risks and rewards associated with the 2000 Travelers reinsurance agreement by providing a reinsurance contract to Genworth through its Union Fidelity Life Insurance Company (UFLIC) subsidiary that covers the Travelers LTC policies. In addition, GE provided a capital maintenance agreement in favor of UFLIC which is designed to assure that UFLIC will have the funds to pay its reinsurance obligations. As a result of these reinsurance agreements and the spin-off of Genworth, Genworth has reinsurance protection from UFLIC (supported by GE) and has reinsurance obligations in connection with the Travelers LTC policies.  As noted below, the Genworth reinsurance obligations now benefit Brighthouse Financial, Inc. (Brighthouse). While neither Brighthouse nor Citi are direct beneficiaries of the capital maintenance agreement between GE and UFLIC, Brighthouse and Citi benefit indirectly from the existence of the capital maintenance agreement, which helps assure that UFLIC will continue to have funds necessary to pay its reinsurance obligations to Genworth.
In connection with Citi’s 2005 sale of an insurance subsidiary, the CompanyTravelers to MetLife Inc. (MetLife), Citi provided an indemnification to an insurance companyMetLife for losses (including policyholder claims and other liabilitiesclaims) relating to a book of long-term care (LTC)
the LTC business (forfor the entire term of the Travelers LTC policies) that is fullypolicies, which, as noted above, are reinsured by anothersubsidiaries of Genworth. In 2017, MetLife spun off its retail insurance company.business to Brighthouse.  As a result, the Travelers LTC policies now reside with Brighthouse.  The reinsurer has funded two trusts with securities whoseoriginal reinsurance agreement between Travelers (now Brighthouse) and Genworth remains in place and Brighthouse is the sole beneficiary of the Genworth Trusts. The fair value (approximately $6.2of the Genworth Trusts is approximately $7.5 billion as of December 31, 2017, compared to $7.0 billion at December 31, 2014, compared to $5.4 billion at December 31, 2013) is2016. The Genworth Trusts are designed to coverprovide collateral to Brighthouse in an amount equal to the insurance company’s statutory liabilities forof Brighthouse in respect of the Travelers LTC policies. The assets in these truststhe Genworth Trusts are evaluated and adjusted periodically to ensure that the fair value of the assets continues to cover theprovide collateral in an amount equal to these estimated statutory liabilities, related toas the LTC policies, as those statutory liabilities change over time.
If the reinsurerboth (i) Genworth fails to perform under the original Travelers/GE Life reinsurance agreement for any reason, including insolvency or the failure of UFLIC to perform in a timely manner, and (ii) the assets inof the two trustsGenworth Trusts are insufficient or unavailable, to the ceding insurance company, then Citi, through its LTC reinsurance indemnification, must indemnify the ceding insurance companyreimburse Brighthouse for any losses actually incurred in connection with the LTC policies. Since both events would have to occur before Citi would become responsible for any payment to the ceding insurance companyBrighthouse pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected inon the Consolidated Balance Sheet as of December 31, 20142017 and December 31, 20132016 related to this indemnification. Citi continues to closely monitor its potential exposure under this indemnification obligation.

Carrying Value—GuaranteesSeparately, Genworth announced that it had agreed to be purchased by China Oceanwide Holdings Co., Ltd, subject to a series of conditions and Indemnifications
At December 31, 2014 and December 31, 2013, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $3.1 billion and $1.3 billion, respectively. The carrying value of financial and performance guaranteesregulatory approvals. Citi is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.monitoring these developments.

Futures and over-the-counter derivatives clearingOver-the-Counter Derivatives Clearing
Citi provides clearing services on central clearing parties (CCPs) for clients executing exchange-traded futuresthat need to clear exchange traded and over-the-counter (OTC) derivatives contracts with central counterparties (CCPs).contracts. Based on all relevant facts and circumstances, Citi has concluded that it acts as an agent for accounting purposes in its role as clearing member for these client transactions. As such, Citi does not reflect the underlying exchange-traded futuresexchange traded or OTC derivatives contracts in its Consolidated Financial Statements. See Note 2322 for a discussion of Citi’s derivatives activities that are reflected in its Consolidated Financial Statements.
As a clearing member, Citi collects and remits cash and securities collateral (margin) between its clients and the respective CCP. In certain circumstances, Citi collects a higher amount of cash (or securities) from its clients than it needs to remit to the CCPs. This excess cash is then held at depository institutions such as banks or carry brokers.
There are two types of margin: initial margin and variation margin.variation. Where Citi obtains benefits from or controls cash initial margin (e.g., retains an interest spread), cash initial margin

collected from clients and remitted to the CCP or depository institutions is reflected within Brokerage Payablespayables (payables to customers) and Brokerage Receivablesreceivables (receivables from brokers, dealers and clearing organizations) or Cash and due from banks, respectively.
However, for OTCexchange traded and OTC-cleared derivatives contracts where Citi does not obtain benefits from or control the client cash balances, the client cash initial margin collected from clients and remitted to the CCP or depository institutions is not reflected on Citi’s Consolidated Balance Sheet. These conditions are met when Citi has contractually agreed with the client that (a)(i) Citi will pass through to the client all interest paid by the CCP or depository institutions on the cash initial margin; (b)margin, (ii) Citi will not utilize its right as a clearing member to transform cash margin into other assets; and (c)assets, (iii) Citi does not guarantee and is not liable to the client for the performance of the CCP or the depository institution and (iv) the client cash initial margin collectedbalances are legally isolated from clients and remitted to the CCP is not reflected on Citi’s Consolidated Balance Sheet.bankruptcy estate. The total amount of cash initial margin collected and remitted in this manner was approximately $3.2$10.7 billion and $1.4$9.4 billion as of December 31, 20142017 and December 31, 2013,2016, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-performance by clients (e.g., failure of a client to post variation margin to the CCP for negative changes in the value of the client’s derivative contracts). In the event of non-performance by a client, Citi would move to close out the client’s positions. The CCP would typically utilize initial margin posted by the client and held by the CCP, with any remaining shortfalls required to be paid by Citi as clearing member. Citi generally holds incremental cash or securities margin posted by the client, which would typically be expected to be sufficient to mitigate Citi’s credit risk in the event that the client fails to perform.
As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.

Carrying Value—Guarantees and Indemnifications
At December 31, 2017 and 2016, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to
approximately $0.8 billion and $1.2 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.

Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $63$46 billion and $52$48 billion at December 31, 20142017 and December 31, 2013,2016, respectively. Securities and other marketable assets held as collateral amounted to $70 billion and $39$41 billion at December 31, 20142017 and December 31,


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2013,2016, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally, letters of credit in favor of Citi held as collateral amounted to $4.0$3.7 billion and $5.3$5.4 billion at December 31, 20142017 and December 31, 2013,2016, respectively. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.

Performance riskRisk
Citi evaluates the performance risk of its guarantees based on the assigned referenced counterparty internal or external ratings. Where external ratings are used, investment-grade ratings are considered to be Baa/BBB and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system. On certain underlying referenced assets or entities, ratings are not available. Such referenced assets are included in the “not rated” category. The maximum potential amount of the future payments related to the outstanding guarantees is determined to be the notional amount of these contracts, which is the par amount of the assets guaranteed.
Presented in the tables below are the maximum potential amounts of future payments that are classified based upon internal and external credit ratings as of December 31, 2014 and December 31, 2013.ratings. As previously mentioned, the determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.


 Maximum potential amount of future payments
In billions of dollars at December 31, 2014
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$73.0
$15.9
$9.5
$98.4
Performance guarantees7.3
3.9
0.7
11.9
Derivative instruments deemed to be guarantees—
—
91.7
91.7
Loans sold with recourse—
—
0.2
0.2
Securities lending indemnifications—
—
127.5
127.5
Credit card merchant processing—
—
86.0
86.0
Custody indemnifications and other48.8
0.1
—
48.9
Total$129.1
$19.9
$315.6
$464.6

Maximum potential amount of future paymentsMaximum potential amount of future payments
In billions of dollars at December 31, 2013
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at December 31, 2017
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$76.2
$14.8
$9.2
$100.2
$68.1
$10.9
$14.8
$93.8
Performance guarantees7.4
3.6
1.5
12.5
7.9
2.4
1.0
11.3
Derivative instruments deemed to be guarantees—
—
67.6
67.6
—
—
95.9
95.9
Loans sold with recourse—
—
0.3
0.3
—
—
0.2
0.2
Securities lending indemnifications—
—
79.2
79.2
—
—
103.7
103.7
Credit card merchant processing—
—
85.9
85.9
—
—
85.5
85.5
Credit card arrangements with partners—
—
1.4
1.4
Custody indemnifications and other36.2
0.1
—
36.3
23.7
12.3
—
36.0
Total$119.8
$18.5
$243.7
$382.0
$99.7
$25.6
$302.5
$427.8


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 Maximum potential amount of future payments
In billions of dollars at December 31, 2016
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$66.8
$13.4
$12.9
$93.1
Performance guarantees6.3
4.0
0.8
11.1
Derivative instruments deemed to be guarantees—
—
87.2
87.2
Loans sold with recourse—
—
0.2
0.2
Securities lending indemnifications—
—
80.3
80.3
Credit card merchant processing—
—
86.4
86.4
Credit card arrangements with partners

—
—
1.5
1.5
Custody indemnifications and other33.3
12.1
—
45.4
Total$106.4
$29.5
$269.3
$405.2



Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments as of December 31, 2014 and December 31, 2013:commitments:
In millions of dollarsU.S.
Outside of 
U.S.
December 31,
2014
December 31,
2013
U.S.
Outside of 
U.S.
December 31,
2017		December 31, 2016
Commercial and similar letters of credit$1,369
$5,265
$6,634
$7,341
$904
$4,096
$5,000
$5,736
One- to four-family residential mortgages3,243
2,431
5,674
4,946
988
1,686
2,674
2,838
Revolving open-end loans secured by one- to four-family residential properties13,535
2,563
16,098
16,781
10,825
1,498
12,323
13,405
Commercial real estate, construction and land development8,045
1,197
9,242
8,003
9,594
1,557
11,151
10,781
Credit card lines492,391
119,658
612,049
641,111
578,634
99,666
678,300
664,335
Commercial and other consumer loan commitments154,923
88,757
243,680
225,447
171,383
101,272
272,655
259,934
Other commitments and contingencies1,584
4,091
5,675
7,863
2,182
889
3,071
3,202
Total$675,090
$223,962
$899,052
$911,492
$774,510
$210,664
$985,174
$960,231
The majority of unused commitments are contingent upon customers’customers maintaining specific credit standards.
Commercial commitments generally have floating interest rates and fixed expiration dates and may require payment of fees. Such fees (net of certain direct costs) are deferred and, upon exercise of the commitment, amortized over the life of the loan or, if exercise is deemed remote, amortized over the commitment period.

Commercial and similar lettersSimilar Letters of creditCredit
A commercial letter of credit is an instrument by which Citigroup substitutes its credit for that of a customer to enable the customer to finance the purchase of goods or to incur other commitments. Citigroup issues a letter on behalf of its client to a supplier and agrees to pay the supplier upon presentation of documentary evidence that the supplier has performed in accordance with the terms of the letter of credit. When a letter of credit is drawn, the customer is then required to reimburse Citigroup.

One- to four-family residential mortgagesFour-Family Residential Mortgages
A one- to four-family residential mortgage commitment is a written confirmation from Citigroup to a seller of a property that the bank will advance the specified sums enabling the buyer to complete the purchase.

Revolving open-end loans securedOpen-End Loans Secured by one-One- to four-family
residential propertiesFour-Family Residential Properties
Revolving open-end loans secured by one- to four-family residential properties are essentially home equity lines of credit. A home equity line of credit is a loan secured by a primary residence or second home to the extent of the excess of fair market value over the debt outstanding for the first mortgage.

Commercial real estate, constructionReal Estate, Construction and land developmentLand Development
Commercial real estate, construction and land development include unused portions of commitments to extend credit for the purpose of financing commercial and multifamily residential properties as well as land development projects.
Both secured-by-real-estate and unsecured commitments are included in this line, as well as
 
undistributed loan proceeds, where there is an obligation to advance for construction progress payments. However, this line only includes those extensions of credit that, once funded, will be classified as Total loans, net on the Consolidated Balance Sheet.

Credit card linesCard Lines
Citigroup provides credit to customers by issuing credit cards. The credit card lines are cancellablecancelable by providing notice to the cardholder or without such notice as permitted by local law.

Commercial and other consumer loan commitmentsOther Consumer Loan Commitments
Commercial and other consumer loan commitments include overdraft and liquidity facilities as well as commercial commitments to make or purchase loans, to purchase third-party receivables, to provide note issuance or revolving underwriting facilities and to invest in the form of equity. Amounts include $53 billion and $58 billion with an original maturity of less than one year at December 31, 2014 and December 31, 2013, respectively.
In addition, included in this line item are highly leveraged financing commitments, which are agreements that provide funding to a borrower with higher levels of debt (measured by the ratio of debt capital to equity capital of the borrower) than is generally considered normal for other companies. This type of financing is commonly employed in corporate acquisitions, management buy-outs and similar transactions.

Other commitmentsCommitments and contingenciesContingencies
Other commitments and contingencies include committed or unsettled regular-way reverse repurchase agreements and all other transactions related to commitments and contingencies not reported on the lines above.

Unsettled Reverse Repurchase and Securities Lending Agreements and Unsettled Repurchase and Securities Borrowing Agreements
In addition, in the normal course of business, Citigroup enters into reverse repurchase and securities borrowing agreements, as well as repurchase and securities lending agreements, which settle at a future date. At December 31, 2017, and December 31, 2016, Citigroup had $35.0 billion and $43.1 billion unsettled reverse repurchase and securities borrowing agreements, and $19.1 billion and $14.9 billion unsettled repurchase and securities lending agreements. For a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements, see Note 11 to the Consolidated Financial Statements.



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28.27.   CONTINGENCIES

Accounting and Disclosure Framework
ASC 450 governs the disclosure and recognition of loss contingencies, including potential losses from litigation and regulatory matters. ASC 450 defines a “loss contingency” as “an existing condition, situation, or set of circumstances involving uncertainty as to possible loss to an entity that will ultimately be resolved when one or more future events occur or fail to occur.” It imposes different requirements for the recognition and disclosure of loss contingencies based on the likelihood of occurrence of the contingent future event or events. It distinguishes among degrees of likelihood using the following three terms: “probable,” meaning that “the future event or events are likely to occur”; “remote,” meaning that “the chance of the future event or events occurring is slight”; and “reasonably possible,” meaning that “the chance of the future event or events occurring is more than remote but less than likely.” These three terms are used below as defined in ASC 450.
Accruals. ASC 450 requires accrual for a loss contingency when it is “probable that one or more future events will occur confirming the fact of loss” and “the amount of the loss can be reasonably estimated.” In accordance with ASC 450, Citigroup establishes accruals for contingencies, including the litigation and regulatory matters disclosed herein, when Citigroup believes it is probable that a loss has been incurred and the amount of the loss can be reasonably estimated. When the reasonable estimate of the loss is within a range of amounts, the minimum amount of the range is accrued, unless some higher amount within the range is a better estimate than any other amount within the range. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.
Disclosure. ASC 450 requires disclosure of a loss contingency if “there is at least a reasonable possibility that a loss or an additional loss may have been incurred” and there is no accrual for the loss because the conditions described above are not met or an exposure to loss exists in excess of the amount accrued. In accordance with ASC 450, if Citigroup has not accrued for a matter because Citigroup believes that a loss is reasonably possible but not probable, or that a loss is probable but not reasonably estimable, and the matter thus does not meet the criteria for accrual, and the reasonably possible loss is material, it discloses the loss contingency. In addition, Citigroup discloses matters for which it has accrued if it believes a reasonably possible exposure to material loss exists in excess of the amount accrued. In accordance with ASC 450, Citigroup’s disclosure includes an estimate of the reasonably possible loss or range of loss for those matters as to which an estimate can be made. ASC 450 does not require disclosure of an estimate of the reasonably possible loss or range of loss where an estimate cannot be made. Neither accrual nor disclosure is required for losses that are deemed remote.

 
Litigation and Regulatory Contingencies
Overview. In addition to the matters described below, in the ordinary course of business, Citigroup, its affiliates and subsidiaries, and current and former officers, directors and employees (for purposes of this section, sometimes collectively referred to as Citigroup and Related Parties) routinely are named as defendants in, or as parties to, various legal actions and proceedings. Certain of these actions and proceedings assert claims or seek relief in connection with alleged violations of consumer protection, fair lending, securities, banking, antifraud, antitrust, anti-money laundering, employment and other statutory and common laws. Certain of these actual or threatened legal actions and proceedings include claims for substantial or indeterminate compensatory or punitive damages, or for injunctive relief, and in some instances seek recovery on a class-wide basis.
In the ordinary course of business, Citigroup and Related Parties also are subject to governmental and regulatory examinations, information-gathering requests, investigations and proceedings (both formal and informal), certain of which may result in adverse judgments, settlements, fines, penalties, restitution, disgorgement, injunctions or other relief. In addition, certain affiliates and subsidiaries of Citigroup are banks, registered broker-dealers, futures commission merchants, investment advisers or other regulated entities and, in those capacities, are subject to regulation by various U.S., state and foreign securities, banking, commodity futures, consumer protection and other regulators. In connection with formal and informal inquiries by these regulators, Citigroup and such affiliates and subsidiaries receive numerous requests, subpoenas and orders seeking documents, testimony and other information in connection with various aspects of their regulated activities. From time to time Citigroup and Related Parties also receive grand jury subpoenas and other requests for information or assistance, formal or informal, from federal or state law enforcement agencies including, among others, various United States Attorneys’ Offices, the Asset Forfeiture and Money Laundering Section and other divisions of the Department of Justice, the Financial Crimes Enforcement Network of the United States Department of the Treasury, and the Federal Bureau of Investigation relating to Citigroup and its customers.
Because of the global scope of Citigroup’s operations, and its presence in countries around the world, Citigroup and Related Parties are subject to litigation and governmental and regulatory examinations, information-gathering requests, investigations and proceedings (both formal and informal) in multiple jurisdictions with legal and regulatory regimes that may differ substantially, and present substantially different risks, from those Citigroup and Related Parties are subject to in the United States. In some instances, Citigroup and Related Parties may be involved in proceedings involving the same subject matter in multiple jurisdictions, which may result in overlapping, cumulative or inconsistent outcomes.
Citigroup seeks to resolve all litigation and regulatory matters in the manner management believes is in the best interests of Citigroup and its shareholders, and contests liability, allegations of wrongdoing and, where applicable, the


289


amount of damages or scope of any penalties or other relief sought as appropriate in each pending matter.
Inherent Uncertainty of the Matters Disclosed. Certain of the matters disclosed below involve claims for substantial or indeterminate damages. The claims asserted in these matters typically are broad, often spanning a multi-year period and sometimes a wide range of business activities, and the plaintiffs’ or claimants’ alleged damages frequently are not quantified or factually supported in the complaint or statement of claim. Other matters relate to regulatory investigations or proceedings, as to which there may be no objective basis for quantifying the range of potential fine, penalty or other remedy. As a result, Citigroup is often unable to estimate the loss in such matters, even if it believes that a loss is probable or reasonably possible, until developments in the case or investigation have yielded additional information sufficient to support a quantitative assessment of the range of reasonably possible loss. Such developments may include, among other things, discovery from adverse parties or third parties, rulings by the court on key issues, analysis by retained experts and engagement in settlement negotiations. Depending on a range of factors, such as the complexity of the facts, the novelty of the legal theories, the pace of discovery, the court’s scheduling order, the timing of court decisions and the adverse party’s willingness to negotiate in good faith toward a resolution, it may be months or years after the filing of a case or commencement of an investigation before an estimate of the range of reasonably possible loss can be made.
Matters as to Which an Estimate Can Be Made. For some of the matters disclosed below, Citigroup is currently able to estimate a reasonably possible loss or range of loss in excess of amounts accrued (if any). For some of the matters included within this estimation, an accrual has been made because a loss is believed to be both probable and reasonably estimable, but an exposure to loss exists in excess of the amount accrued. In these cases, the estimate reflects the reasonably possible range of loss in excess of the accrued amount. For other matters included within this estimation, no accrual has been made because a loss, although estimable, is believed to be reasonably possible, but not probable; in these cases, the estimate reflects the reasonably possible loss or range of loss. As of December 31, 2014,2017, Citigroup estimates that the reasonably possible unaccrued loss in future periods for these matters ranges up to approximately $4$1.0 billion in the aggregate.
These estimates are based on currently available information. As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation and regulatory proceedings are subject to particular uncertainties. For example, at the time of making an estimate, (i) Citigroup may have only preliminary, incomplete, or inaccurate information about the facts underlying the claim;claim, (ii) its assumptions about the future rulings of the court or other tribunal on significant issues, or the behavior and incentives of adverse parties or regulators, may prove to be wrong;wrong and (iii) the outcomes it is
 
attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimate because it had deemed such an outcome to be remote. For all of these reasons, the amount of loss in excess of accruals ultimately incurred for the matters as to which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.
Matters as to Which an Estimate Cannot Be Made. For other matters disclosed below, Citigroup is not currently able to estimate the reasonably possible loss or range of loss. Many of these matters remain in very preliminary stages (even in some cases where a substantial period of time has passed since the commencement of the matter), with few or no substantive legal decisions by the court or tribunal defining the scope of the claims, the class (if any), or the potentially available damages, and fact discovery is still in progress or has not yet begun. In many of these matters, Citigroup has not yet answered the complaint or statement of claim or asserted its defenses, nor has it engaged in any negotiations with the adverse party (whether a regulator or a private party). For all these reasons, Citigroup cannot at this time estimate the reasonably possible loss or range of loss, if any, for these matters.
Opinion of Management as to Eventual Outcome. Subject to the foregoing, it is the opinion of Citigroup’s management, based on current knowledge and after taking into account its current legal accruals, that the eventual outcome of all matters described in this Note would not be likely to have a material adverse effect on the consolidated financial condition of Citigroup. Nonetheless, given the substantial or indeterminate amounts sought in certain of these matters, and the inherent unpredictability of such matters, an adverse outcome in certain of these matters could, from time to time, have a material adverse effect on Citigroup’s consolidated results of operations or cash flows in particular quarterly or annual periods.

Commodities Financing ContractsCARD Act Matter
BeginningCiti identified certain methodological issues in May 2014, Citigroup became awareconnection with determining annual percentage rates (APRs) for certain cardholders under the rate re-evaluation provisions of reports of potential fraud relatingthe Credit Card Accountability Responsibility and Disclosure Act (CARD Act) and Regulation Z. Citi self-reported the issues to the financing of physical metal stored at the Qingdaoits regulators and Penglai ports in China. Citigroup has contracts with a counterparty in relationwill be providing remediation to Citigroup’s providing financing collateralized by physical metal stored at these ports,affected customers. Citi is cooperating fully with the agreements providing that the counterparty would repurchase the inventory at a specified date in the future (typically three to six months). Pursuant to the agreements, the counterparty is responsible for providing clean title to the inventory, insuring it, and attesting that there are no third party encumbrances. The counterparty is a non-Chinese subsidiary of a large multinational corporation, and the counterparty’s obligations under the contracts are guaranteed by the parent company.
On July 22, 2014, Citigroup commenced proceedings in the Commercial Court in London to enforce its rights against the counterparty under the relevant agreements in relation to approximately $285 million in financing. That counterparty and a Chinese warehouse provider previously brought actions in the English courts to establish the parties’ rights and


290


obligations under these agreements. In early December 2014, the English court conducted a preliminary trial concerning, among other issues, the question of whether Citigroup appropriately accelerated its counterparty’s obligation to repay Citigroup under the applicable agreements given these facts and circumstances. The court has not yet issued a ruling following trial.
The financings at issue are carried at fair value. As with any position carried at fair value, Citigroup adjusts the positions and records a gain or loss in the Consolidated Statements of Income in accordance with GAAP.regulatory reviews.

Credit Crisis-Related Litigation and Other Matters
Citigroup and Related Parties have beenwere named as defendants in numerous legal actions and other proceedings asserting claims for damages and related relief for losses arising from the global financial credit crisis that began in 2007. Such matters include, among other types of proceedings, claims asserted by: (i) individual investors and purported classes of investors in securities issued by Citigroup alleging violations of the federal securities laws, foreign laws, state securities and fraud law, and the Employee Retirement Income Security Act (ERISA); and (ii) investors in securities and other investments underwritten, issued or marketed by Citigroup, including securities issued by other public companies, collateralized debt obligations (CDOs), mortgage-backed securities (MBS), auction rate securities (ARS), investment funds, and other structured or leveraged instruments, which have suffered losses as a result of the credit crisis.
In addition to these matters, Citigroup continues to cooperate fully in response toalso received subpoenas and requests for information from the Securities and Exchange Commission (SEC), FINRA, state attorneys general, the Department of Justice and subdivisions thereof, the Office of the Special Inspector General for the Troubled Asset Relief Program, bank regulators,various regulatory agencies and other government agencies and authorities in connection with various formal and informal (and, in many instances, industry-wide) inquiries concerning Citigroup’s mortgage-related conduct and business activities, as well as other business activities affectedcertain businesses impacted by the credit crisis. These business activities include, but are not limited to, Citigroup’s sponsorship, packaging, issuance, marketing, trading, servicing and underwritingThe vast majority of CDOs and MBS, its origination, sale or other transfer, servicing, and foreclosurethese matters have been resolved as of residential mortgages, and its origination, servicing, and securitization of auto loans.December 31, 2017.


Mortgage-Related Litigation and Other Matters
Securities Actions: Citigroup and Related Parties have been named as defendants in a variety of putative class actions and individual actions arising out of Citigroup’s exposure to CDOs and other assets that declined in value during the financial crisis. Many of these matters have been dismissed or settled. These actions assert a wide range of claims, including claims under the federal securities laws, foreign securities laws, ERISA, and state law. Additional information concerning certain of these actions is publicly available in court filings under the docket numbers 10 Civ. 9646 (S.D.N.Y.) (Stein, J.),
11 Civ. 7672 (S.D.N.Y.) (Koeltl, J.), 12 Civ. 6653 (S.D.N.Y.) (Stein, J.), 13-4488, 13-4504, 14-2545, and 14-3014 (2d Cir.).
Beginning in November 2007, certain Citigroup affiliates also have been named as defendants arising out of their activities as underwriters of securities in actions brought by investors in securities issued by public companies adversely affected by the credit crisis. Many of these matters have been dismissed or settled. As a general matter, issuers indemnify underwriters in connection with such claims, but in certain of these matters Citigroup affiliates are not being indemnified or may in the future cease to be indemnified because of the financial condition of the issuer.
Regulatory Actions: On July 14, 2014, Citigroup reached a settlement of the Residential Mortgage-Backed Securities Working Group’s investigation. The settlement resolved actual and potential civil claims by the Department of Justice, several state attorneys general, and the Federal Deposit Insurance Corporation (FDIC) relating to MBS and CDOs issued, structured, or underwritten by Citigroup between 2003 and 2008. It included a $4.0 billion civil monetary payment to the Department of Justice, $500 million in payments to certain state attorneys general and the FDIC, and $2.5 billion in consumer relief (to be provided by the end of 2018). The consumer relief will be in the form of financing provided for the construction and preservation of affordable multifamily rental housing, principal reduction and forbearance for residential loans, as well as other direct consumer benefits from various relief programs.
Mortgage-Backed Securities and CDO Investor Actions: Beginning in July 2010, Citigroup and Related Parties have beenwere named as defendants in complaints filed by purchasers of MBS and CDOs sold or underwritten by Citigroup. The complaints generally assert that defendants made material misrepresentations and omissions about the credit quality of the assets underlying the securities or the manner in which those assets were selected, and typically assert claims under Section 11 of the Securities Act of 1933, state blue sky laws, and/or common-law misrepresentation-based causes of action.
The majorityAll but one of these matters have been resolved through settlement or otherwise.  As of December 31, 2014,2017, the aggregate original purchase amount of the purchases at issue in the pending litigations was approximately $4.9 billion, and the aggregate original purchase amount of the purchases covered by the remaining tolling agreements(extension) agreement with investorsan investor threateninglitigation wasis approximately $1.4 billion. Additional information concerning certain of these actions is publicly available in court filings under the docket numbers 08 Civ. 8781 (S.D.N.Y.) (Failla, J.), 654464/2013 (N.Y. Sup. Ct.) (Friedman, J.), 653990/2013 (N.Y. Sup. Ct.) (Ramos, J.), and CL 14-399 (Vir. Cir. Ct.) (Hughes, J.).$500 million.
Mortgage-Backed SecuritySecurities Repurchase Claims: Claims:Various parties to MBS securitizations and other interested parties have asserted that certain Citigroup affiliates breached representations and warranties made in connection with mortgage loans sold into securitization trusts (private-label securitizations). Typically, these claims are based on allegations that securitized mortgages were not underwritten in accordance with the applicable underwriting standards. Citigroup also has received numerous inquiries, demands for


291


loan files, and requests to toll (extend) the applicable statutes of limitation for representation and warranty claims, relating to its private-label securitizations. These inquiries, demands and requests have been made by trustees of securitization trusts and others.
On April 7, 2014, Citigroup entered into an agreement with 18 institutional investors represented by Gibbs & Bruns LLP regarding the resolution of representation and warranty repurchase claims related to certain legacy securitizations. Pursuant to the agreement, Citigroup made a binding offer to the trustees of 68 Citigroup-sponsored mortgage securitization trusts to pay $1.125 billion to the trusts to resolve these claims, plus certain fees and expenses. The 68 trusts covered by the agreement represent all of the trusts established by Citigroup’s legacy Securities and Banking business during 2005-2008 for which Citigroup affiliates made representations and warranties to the trusts.
On December 19, 2014, Citigroup, the 18 institutional investors, and the trustees for these securitizations executed a revised settlement agreement resolving a substantial majority of the claims contemplated by the April 7, 2014 offer of settlement. On December 31, 2014, the trustees amended the settlement agreement to accept the offer as to certain additional claims. As of December 31, 2014, the trustees have accepted the settlement for 64 trusts in whole, and the trustees have accepted in part and excluded in part four trusts from the settlement. Pursuant to the terms of the settlement agreement, the trustees’ acceptance is subject to a judicial approval proceeding, which was initiated by the trustees on December 21, 2014. Additional information concerning this action is publicly available in court filings under the docket number 653902/2014 (N.Y. Sup. Ct.) (Friedman, J.).
To date, trustees have filed six actions against Citigroup seeking to enforce certain of these contractual repurchase claims that were excluded from the April 7, 2014 settlement in connection with four private-label securitizations. EachCitigroup has reached an agreement with the trustees to resolve all six of the six actions is in the early stages of proceedings. In the aggregate, plaintiffs are asserting repurchase claims as to approximately 6,700 loans that were securitized into these four securitizations, as well as any other loans that are later found to have breached representations and warranties.actions. Additional information concerning these actions is publicly available in court filings under the docket numbers 13 Civ. 2843 (S.D.N.Y.) (Daniels, J.), 13 Civ. 6989 (S.D.N.Y.) (Daniels, J.), 653816/2013 (N.Y. Sup. Ct.) (Kornreich, J.), 653919/2014 (N.Y. Sup. Ct.), 653929/2014 (N.Y. Sup. Ct.), and 653930/2014 (N.Y. Sup. Ct.).
Mortgage-Backed Securities Trustee Actions. Actions: On June 18,November 24, 2014, a group of investors in 48 MBS27 RMBS trusts for which Citibank N.A. served or currently serves as trustee filed a complaint in New York State Supreme Court in BLACKROCK ALLOCATION TARGET SHARES: SERIES S. PORTFOLIO, ET AL. v. CITIBANK, N.A. The complaint, like those filed against other MBS trustees, alleges that Citibank, N.A. failed to pursue contractual remedies against loan originators, securitization sponsors and servicers. This action was withdrawn without prejudice, effective December 17, 2014. Additional information concerning this action is publicly available in court filings under the docket number 651868/2014 (N.Y. Sup. Ct.) (Ramos, J.). On November 24, 2014, largely the same group of investors filed an action in the
United States District Court for the Southern District of New York, captioned FIXED INCOME SHARES: SERIES M ET AL. V.v. CITIBANK N.A., alleging claims that Citibank failed to pursue contractual remedies against securitization sponsors and servicers.  On September 8, 2015, the United States District Court for the Southern District of New York dismissed all claims as to 24 of the 27 trusts and allowed certain of the claims to proceed as to the other three trusts. On September 7, 2016, plaintiffs filed a stipulation of voluntary dismissal of their claims with respect to two of the three remaining trusts, leaving one trust at issue. On September 30, 2016, plaintiffs moved to certify a class action, and on April 7, 2017, Citibank moved for summary judgment on all remaining claims. Both motions are pending. Additional information concerning this action is publicly available in
court filings under the docket number 14-cv-9373 (S.D.N.Y.) (Furman, J.).
On November 24, 2015, largely the same group of investors filed an action in the New York State Supreme Court, captioned FIXED INCOME SHARES: SERIES M, ET AL. v. CITIBANK N.A., related to the 24 trusts dismissed from the federal court action and one additional trust, asserting claims similar to the action filed in federal court.  On June 22, 2016, the court dismissed plaintiffs’ complaint. Plaintiffs filed an amended complaint on August 5, 2016. On June 27, 2017, the court granted in part and denied in part Citibank’s motion to dismiss the amended complaint.  Citibank appealed as to the sustained claims, relatingand on January 16, 2018, the New York Appellate Division, First Department, dismissed all of the remaining claims except the claim for breach of contract related to 27 MBS trusts sponsored by UBS, Lehman Brothers, American Home Mortgage, Goldman Sachs, Country Place, PHH Mortgage, Wachoviapurported discovery of alleged underwriter breaches of representations and Washington Mutual.warranties.  Additional information concerning this action is publicly available in court filings under the docket number 14-cv-9373 (S.D.N.Y.653891/2015 (N.Y. Sup. Ct.) (Furman,(Ramos, J.).
On June 27, 2014,August 19, 2015, the Federal Deposit Insurance Corporation (FDIC), as receiver for a separate group of MBS investorsfinancial institution, filed a summons with noticecivil action against Citibank in the United States District Court for the Southern District of New York, captioned FEDERAL HOME LOANDEPOSIT INSURANCE CORPORATION AS RECEIVER FOR GUARANTY BANK OF TOPEKA, ET AL. v. CITIBANK N.A. The summonscomplaint concerns one RMBS trust for which Citibank formerly served as trustee, and alleges that Citibank N.A., as trustee for an unspecified number of MBS, failed to pursue contractual remedies against the sponsor and servicers of that trust. On September 30, 2016, the court granted Citibank’s motion to dismiss on behalf of the trusts. This action was withdrawn without prejudicegrounds that the FDIC lacked standing to pursue its claims. On October 14, 2016, the FDIC filed a motion for reconsideration or relief from judgment from the court’s dismissal order. On July 10, 2017, the court denied the motion for reconsideration but granted the FDIC leave to file an amended complaint. The FDIC filed an amended complaint on November 10, 2014.December 8, 2017.  Additional information concerning this action is publicly available in court filings under the docket number 651973/2014 (N.Y. Sup. Ct.).

Counterparty and Investor Actions
In 2010, Abu Dhabi Investment Authority (ADIA) commenced an arbitration (ADIA I) against Citigroup and Related Parties before the International Center for Dispute Resolution (ICDR), alleging statutory and common law claims in connection with its $7.5 billion investment in Citigroup in December 2007. ADIA sought rescission of the investment agreement or, in the alternative, more than $4 billion in damages. Following a hearing in May 2011 and post-hearing proceedings, on October 14, 2011, the arbitration panel issued a final award and statement of reasons finding in favor of Citigroup on all claims asserted by ADIA. On March 4, 2013, the United States District Court for the Southern District of New York denied ADIA’s petition to vacate the arbitration award and granted Citigroup’s cross-petition to confirm. ADIA appealed and, on February 19, 2014, the United States Court of Appeals for the Second Circuit affirmed the judgment. ADIA filed a petition for review in the United States Supreme Court, which was denied on October 6, 2014. Additional information concerning this action is publicly available in court filings under the docket numbers 12 Civ. 28315-cv-6574 (S.D.N.Y.) (Daniels, J.),13-1068-cv (2d Cir.), and 13-1500 (U.S.).
On August 20, 2013, ADIA commenced a second arbitration (ADIA II) against Citigroup before the ICDR, alleging common law claims arising out of the same investment at issue in ADIA I. On August 28, 2013, Citigroup filed a complaint against ADIA in the United States District Court for the Southern District of New York seeking to enjoin ADIA II on the ground that it is barred by the court’s judgment confirming the arbitral award in ADIA I. On September 23, 2013, ADIA filed motions to dismiss Citigroup’s complaint and to compel arbitration. On November 25, 2013, the court denied Citigroup’s motion for a preliminary injunction and granted ADIA’s motions to dismiss and to compel arbitration. On December 23, 2013, Citigroup appealed that ruling to the United States Court of Appeals for the Second Circuit. On January 14, 2015, the Second Circuit affirmed the district court’s ruling. Additional information concerning this action is publicly available in court filings under the docket numbers 13 Civ. 6073 (S.D.N.Y.) (Castel, J.) and 13-4825 (2d Cir.).


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Alternative Investment Fund-Related Litigation and Other Matters
Since mid-2008, the SEC has been investigating the management and marketing of the ASTA/MAT and Falcon funds, alternative investment funds managed and marketed by certain Citigroup affiliates that suffered substantial losses during the credit crisis. In addition to the SEC inquiry, on June 11, 2012, the New York Attorney General served a subpoena on a Citigroup affiliate seeking documents and information concerning certain of these funds, and, on August 1, 2012, the Massachusetts Attorney General served a Civil Investigative Demand on a Citigroup affiliate seeking similar documents and information. Citigroup is cooperating fully with these inquiries. Citigroup has entered into tolling agreements with the SEC and the New York Attorney General concerning certain claims related to the investigations.
Citigroup and Related Parties have been named as defendants in a putative class action lawsuit filed in October 2012 on behalf of investors in CSO Ltd., CSO US Ltd., and Corporate Special Opportunities Ltd., whose investments were managed indirectly by a Citigroup affiliate. Plaintiffs assert a variety of state common law claims, alleging that they and other investors were misled into investing in the funds and, later, not redeeming their investments. The complaint seeks to recover more than $400 million on behalf of a putative class of investors. Additional information concerning this action is publicly available in court filings under the docket number 12-cv-7717 (S.D.N.Y.) (Castel,(Carter, J.).

Auction Rate Securities-Related Litigation and Other Matters
Citigroup and Related Parties have been named as defendants in numerous actions and proceedings brought by Citigroup shareholders and purchasers or issuers of ARS and an issuer of variable rate demand obligations, asserting federal and state law claims arising from the collapse of the market in 2008, which plaintiffs contend Citigroup and other ARS underwriters and broker-dealers foresaw or should have foreseen, but failed adequately to disclose. Many of these matters have been dismissed or settled. Most of the remaining matters are in arbitrations pending before FINRA.

Lehman Brothers Bankruptcy Proceedings
Beginning in September 2010, Citigroup and Related Parties have been named as defendants in various adversary proceedings and claim objections in the Chapter 11 bankruptcy proceedings of Lehman Brothers Holdings Inc. (LBHI) and the liquidation proceedings of Lehman Brothers Inc. (LBI) and Lehman Brothers Finance AG, a/k/a Lehman Brothers Finance SA (LBF). Additional information concerning these actions is publicly available in court filings under the docket numbers 08-13555, 08-01420, and 09-10583 (Bankr. S.D.N.Y.) (Chapman, J.).
On February 8, 2012, Citibank N.A. and certain Citigroup affiliates were named as defendants in an adversary proceeding asserting objections to certain proofs of claim totaling approximately $2.6 billion filed by Citibank N.A. and those affiliates, and claims under federal bankruptcy and state law to recover $2 billion deposited by LBHILehman Brothers Holdings Inc. (LBHI) with Citibank N.A.
against which Citibank N.A. assertsasserted a right of setoff. Plaintiffs also seek avoidanceA global settlement between the parties was approved by the bankruptcy court on October 13, 2017. As part of a $500the global settlement, Citibank retained $350 million transferfrom LBHI’s deposit at Citibank and an amendmentreturned to a guarantee in favor ofLBHI and its affiliates the remaining deposited funds, and LBHI withdrew its remaining objections to the bankruptcy claims filed by Citibank N.A. and other relief. Plaintiffs filed amended complaintsits affiliates. This action was dismissed by stipulation on November 16, 2012, January 29, 2014, and December 9, 2014, asserting additional claims and factual allegations, and amending certain previously asserted claims. Discovery is ongoing.3, 2017. Additional information concerning this action is publicly available in court filings

under the docket numbers 12-01044 and 08-13555 (Bankr. S.D.N.Y.) (Chapman, J.).
On July 21, 2014, an adversary proceeding was filed against Citibank, N.A., Citibank Korea Inc., and Citigroup Global Markets Ltd., asserting that defendants improperly have withheld termination payments under certain derivatives contracts. An amended complaint was filed on August 6, 2014, and defendants filed an answer on October 6, 2014. Plaintiffs seek to recover approximately $70 million, plus interest.  Discovery is ongoing. Additional information concerning this action is publicly available in court filings under the docket numbers 09-10583 and 14-02050 (Bankr. S.D.N.Y.) (Chapman, J.).

Terra Firma Litigation
In December 2009, the general partners of two related private equity funds filed a complaint in New York state court, subsequently removed to the United States District Court for the Southern District of New York, asserting multi-billion-dollar fraud and other common law claims against certain Citigroup affiliates arising out of the May 2007 auction of the music company EMI, in which Citigroup acted as advisor to EMI and as a lender to plaintiffs’ acquisition vehicle. Following a jury trial, a verdict was returned in favor of Citigroup on November 4, 2010. Plaintiffs appealed from the entry of the judgment. On May 31, 2013, the United States Court of Appeals for the Second Circuit vacated the November 2010 jury verdict in favor of Citigroup and ordered that the case be retried. On March 7, 2014, the parties stipulated to the dismissal of all remaining claims in the action, without prejudice to plaintiffs’ rights to re-file those claims in England. Additional information concerning this action is publicly available in court filings under the docket numbers 09 Civ. 10459 (S.D.N.Y.) (Rakoff, J.) and 11-0126-cv (2d Cir.).
In August and September 2013, plaintiffs in the New York proceedings, together with their affiliates and principal, filed fraud and negligent misrepresentation claims arising out of the EMI auction in the High Court of Justice, Queen’s Bench Division, Manchester District Registry Mercantile Court in Manchester, England, against certain Citigroup affiliates. The cases have since been transferred to the High Court of Justice, Queen’s Bench Division, Commercial Court in London. On March 7, 2014, the parties to the separate proceedings brought by Terra Firma in 2013 before the High Court of Justice, Queen’s Bench Division, Commercial Court in London consented to the service by plaintiffs of an Amended Claim Form incorporating the claims that would have proceeded to trial in the United States District Court for the Southern District of New York in July 2014 had the New York action not been dismissed. The Amended Claim Form was served on March 10, 2014, and discovery is ongoing. A trial is scheduled


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to begin in 2016. Additional information concerning this action is publicly available in court filings under the claim number Terra Firma Investments (GP) 2 Ltd. & Ors v Citigroup Global Markets Ltd. & Ors (2014 Folio 267).

Tribune Company Bankruptcy
Certain Citigroup affiliates have been named as defendants in adversary proceedings related to the Chapter 11 cases of Tribune Company (Tribune) filed in the United States Bankruptcy Court for the District of Delaware, asserting claims arising out of the approximately $11 billion leveraged buyout of Tribune in 2007. On August 2, 2013, the Litigation Trustee, as successor plaintiff to the Official Committee of Unsecured Creditors, filed a fifth amended complaint in the adversary proceeding KIRSCHNER v. FITZSIMONS, ET AL. The complaint seeks to avoid and recover as actual fraudulent transfers the transfers of Tribune stock that occurred as a part of the leveraged buyout. Several Citigroup affiliates are named as “Shareholder Defendants” and are alleged to have tendered Tribune stock to Tribune as a part of the buyout.
Several Citigroup affiliates are named as defendants in certain actions brought by Tribune noteholders, also seekingwhich seek to recover the transfers of Tribune stock that occurred as a part of the leveraged buyout, as alleged state-law constructive fraudulent conveyances.  Finally, Citigroup Global Markets Inc. (CGMI) has been named in a separate action as a defendant in connection with its role as advisor to Tribune. A motion to dismiss the claim against the Shareholder Defendants in the FITZSIMONS action is pending.  The noteholders’ claims were previously dismissed and an appeal tothe United States Court of Appeals for the Second Circuit affirmed the dismissal on appeal.  The noteholders’ petition to the United States Supreme Court for a writ of certiorari is pending.  A motion
In the FITZSIMONS action, on February 1, 2017, the Litigation Trustee requested leave to file an interlocutory appeal of Judge Sullivan’s order dismissing the actual fraudulent transfer claim against the shareholder defendants, including several Citigroup affiliates. On February 23, 2017, Judge Sullivan entered an order stating that an interlocutory appeal will be certified after the remaining motions to dismiss the action against CGMI in its role as advisor to Tribune isare resolved.  Those motions remain pending. Additional information concerning these actions is publicly available in court filings under the docket numbers 08-13141 (Bankr. D. Del.) (Carey, J.), 11 MD 02296 (S.D.N.Y.) (Sullivan, J.), 12 MC 2296 (S.D.N.Y.) (Sullivan, J.), and 13-3992, 13-3875, 13-4196 (2d Cir.) and 16-317 (U.S.).

Credit Default Swaps Matters
In April 2011, the European Commission (EC) opened an investigation (Case No COMP/39.745) into the credit default swap (CDS) industry. The scope of the investigation initially concerned the question of “whether 16 investment banksAntitrust and Markit, the leading provider of financial informationOther Litigation:  On June 8, 2017, a complaint was filed in the CDS market, have colluded and/or may hold and abuse a dominant position in order to control the financial information on CDS.” On July 2, 2013, the EC issued to Citigroup, CGMI, Citigroup Global Markets Ltd., Citicorp North America Inc., and Citibank, N.A., as well as Markit, ISDA, and 12 other investment bank dealer groups, a Statement of Objections alleging that Citigroup and the other dealers colluded to prevent exchanges from entering the credit derivatives business in breach of Article 101 of the Treaty on the Functioning of the European Union. The Statement of Objections sets forth the EC’s preliminary conclusions, does not prejudge the final outcome of the case, and does not benefit from the review and consideration of Citigroup’s arguments and defenses. Citigroup filed a Reply to the
Statement of Objections on January 23, 2014, and made oral submissions to the EC on May 14, 2014.
In July 2009 and September 2011, the Antitrust Division of the U.S. Department of Justice served Civil Investigative Demands (CIDs) on Citigroup concerning potential anticompetitive conduct in the CDS industry. Citigroup has responded to the CIDs and is cooperating with the investigation.
In addition, putative class action complaints have been filed by various entities against Citigroup, CGMI and Citibank, N.A., among other defendants, alleging anticompetitive conduct in the CDS industry and asserting various claims under Sections 1 and 2 of the Sherman Act as well as a state law claim for unjust enrichment. On October 16, 2013, the U.S. Judicial Panel on Multidistrict Litigation centralized these putative class actions and ordered that those actions pending in the United States District Court for the Northern District of Illinois be transferred to the United States District Court for the Southern District of New York against numerous credit default swap (CDS) market participants, including Citigroup, Citibank, Citigroup Global Markets Inc. (CGMI), and Citigroup Global Markets Ltd. (CGML), under the caption TERA GROUP, INC., ET AL. v. CITIGROUP INC., ET AL. The complaint alleges that defendants colluded to prevent plaintiffs’ electronic CDS trading platform, TeraExchange, from entering the market, resulting in lost profits to plaintiffs.  The complaint asserts federal and state antitrust claims, and claims for coordinated or consolidated pretrial proceedings before Judge Denise Cote.
unjust enrichment and tortious interference with business relations. Plaintiffs seek a finding of joint and several liability, treble damages, attorneys’ fees, interest, and injunctive relief.  On September 4, 2014,11, 2017, defendants, including Citigroup, Citibank, CGMI, and CGML, filed motions to dismiss all claims.  Additional information concerning this action is
publicly available in court filings under the United States District Courtdocket number 17-cv-04302 (S.D.N.Y.) (Sullivan, J.).

Depositary Receipts Conversion Litigation 
Citibank was sued by a purported class of persons or entities who, from January 2000 to the present, are or were holders of depositary receipts for which Citibank served as the depositary bank and converted, or caused to be converted, foreign-currency dividends or other distributions into U.S. dollars.  On August 15, 2016, the court dismissed certain claims against Citibank as well as all claims against two of its affiliates, leaving one claim against Citibank. Plaintiffs assert that Citibank breached its deposit agreements by charging a spread for the Southern Districtconversions of New York granted in partdividends and denied in part defendants’ motionother distributions.  On June 30, 2017, plaintiffs moved for certification of a damages class consisting of persons or entities who, from January 1, 2006 to dismiss the second consolidated amended complaint, dismissing plaintiffs’ claimpresent, were holders of 35 depositary receipts for violationwhich Citibank served as the depositary bank and converted, or caused to be converted, foreign currency dividends or other distributions into U.S. dollars.  Plaintiffs also moved to certify an injunctive class of Section 2 ofpersons or entities who currently hold the Sherman Act and certain claims for damages, but permitting the case to proceed as to plaintiffs’ claims for violation of Section 1 of the Sherman Act and unjust enrichment.same 35 depositary receipts.  Citibank has opposed certification. Additional information relating toconcerning this action is publicly available in court filings under the docket number 13 MD 247615 Civ. 9185 (S.D.N.Y.) (Cote, J.(McMahon, C.).

Foreign Exchange Matters
Regulatory Actions: Government and regulatory agencies in the U.S., including the Antitrust Division and the Criminal Division of the Department of Justice, as well as agencies in other jurisdictions including the U.K. Serious Fraud Office, the Swiss Competition Commission, and the Australian Competition and Consumer Commission, are conducting investigations or making inquiries regarding Citigroup’s foreign exchange business. Citigroup is fully cooperating with these and related investigations and inquiries.
On November 12, 2014, the Commodity Futures Trading Commission (CFTC), the U.K. Financial Conduct Authority (FCA), and the Office of the U.S. Comptroller of the Currency (OCC) announced settlements with Citibank, N.A. resolving their foreign exchange investigations. Citibank, N.A. was among five banks settling the CFTC’s and the FCA’s investigations and among three banks settling the OCC’s investigation. As part of the settlements, Citibank, N.A. agreed to pay penalties of approximately $358 million to the FCA, $350 million to the OCC, and $310 million to the CFTC and to enhance further the control framework governing its foreign exchange business.
Antitrust and Other Litigation: Numerous foreign exchange dealers, including Citigroup,Citicorp, CGMI, and Citibank, N.A., are named as defendants in putative class actions that are proceeding on a consolidated basis in the United States District Court for the Southern District of New York under the


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caption IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION.The plaintiffs in these actions Plaintiffs allege that the defendants colluded to manipulate the WM/Reuters rate (WMR), thereby causing the putative classes to suffer losses in connection with WMR-based financial instruments. The plaintiffs assert federal and state antitrust claims and claims for unjust enrichment, and seek compensatory damages, treble damages where authorized by statute, restitution, and declaratory and injunctive relief. On March 31, 2014, plaintiffs in the putative class actions filed a consolidated amended complaint.
Citibank, N.A., Citigroup, and Citibank Korea Inc., as well as numerous other foreign exchange dealers, were named as defendants in a putative class action captioned SIMMTECH CO. v. BARCLAYS BANK PLC, ET AL. (SIMMTECH) that was proceeding before the same court. The plaintiff sought to represent a putative class of persons who traded foreign currency with the defendants in Korea, alleging that the classthey suffered losses as a result of the defendants’ alleged WMR manipulation. The plaintiff asserted federalmanipulation of, and state antitrust claims,collusion with respect to, the foreign exchange market. Plaintiffs allege violations of the Commodity Exchange Act, the Sherman Act, and/or the Clayton Act, and soughtseek compensatory damages, treble damages, and declaratory and injunctive relief.
Additionally, Citibank, N.A.On December 15, 2015, the court entered an order preliminarily approving a proposed settlement between the Citi defendants and classes of plaintiffs who traded foreign exchange instruments in the spot market and on exchanges. The proposed settlement provides for the Citi defendants to receive a release in exchange for a payment of approximately $400 million. On January 12, 2018, plaintiffs moved for final approval of the settlements with the Citi defendants and several other defendants inthat case. Additional information concerning this action is available in court filings under the consolidated lead docket number 13 Civ. 7789 (S.D.N.Y.) (Schofield, J.).
On May 21, 2015, an action captioned NYPL v.

JPMORGAN CHASE & CO., ET AL. was brought in the United States District Court for the Northern District of California against Citigroup, as well as numerous other foreign exchange dealers were named as defendants infor possible consolidation with IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. On August 10, 2017, plaintiffs filed a putativethird amended class action captioned LARSEN v. BARCLAYS BANK PLC, ET AL. (LARSEN), that was proceeding beforecomplaint in the same court. Plaintiff soughtUnited States District Court for the Southern District of New York naming Citibank, Citigroup, and Citicorp as defendants. Plaintiffs seek to represent a putative class of persons or entities“consumers and businesses in Norwaythe United States who tradeddirectly purchased supracompetitive foreign currency with defendants, alleging that the class suffered losses as a result of defendants’ alleged WMR manipulation. Plaintiff assertedat Benchmark exchange rates” from defendants. Plaintiffs allege claims under federal and California antitrust and unjust enrichment claims,consumer protection laws, and soughtare seeking compensatory damages, treble damages, where authorized by statute, and declaratory and injunctive relief. On October 16, 2017, defendants completed briefing on their renewed motion to dismiss or to certify the court’s ruling for interlocutory appeal. Additional information concerning this action is publicly available in court filings under the docket numbers 15 Civ. 2290 (N.D. Cal.) (Chhabria, J.) and 15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On June 3, 2015, an action captioned ALLEN v. BANK OF AMERICA CORPORATION, ET AL. was brought in the United States District Court for the Southern District of New York against Citigroup and Citibank, N.A., alongas well as numerous other foreign exchange dealers. Plaintiffs seek to represent a putative class of participants, beneficiaries, and named fiduciaries of qualified Employee Retirement Income Security Act (ERISA) plans for whom a defendant provided foreign exchange transactional services or authorized or permitted foreign exchange transactional services involving a plan’s assets in connection with otherits exercise of authority or control regarding an ERISA plan. Plaintiffs allege violations of ERISA, and seek compensatory damages, restitution, disgorgement, and declaratory and injunctive relief. On September 20, 2016, plaintiffs and settling defendants moved to dismiss all of these actions. On January 28, 2015, the court issued an opinion and order denying the motion as to thein IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION filed a joint stipulation dismissing plaintiffs’ claims with prejudice. The case is currently on appeal to the United States Court of Appeals for the Second Circuit, where briefing and argument are complete. Additional information concerning this action is publicly available in court filings under the docket numbers 13 Civ. 7789 (S.D.N.Y.) (Schofield, J.), 15 Civ. 4285 (S.D.N.Y.) (Schofield, J.), 16-3327 (2d Cir.), and 16-3571 (2d Cir.).
On June 30, 2017, plaintiffs but dismissingfiled a consolidated amended complaint on behalf of purported classes of indirect purchasers of foreign exchange instruments sold by the claimsdefendants, naming various financial institutions, including Citigroup, Citibank, Citicorp and CGMI as defendants, captioned CONTANT ET AL. v. BANK OF AMERICA CORPORATION ET AL. Plaintiffs allege that defendants engaged in a conspiracy to fix currency prices in violation of the SIMMTECH and LARSEN plaintiffs in their entirety on the grounds that their federal claims were barred by the Foreign Trade Antitrust ImprovementsSherman Act and theirvarious state claims had an insufficient nexus to New York.antitrust laws, and seek unspecified money damages (including treble damages), as well as equitable and injunctive relief. Additional information concerning these actions is publicly available in court filings under the docket numbers 1316 Civ. 7789, 137512 (S.D.N.Y.) (Schofield,
J.), 17 Civ. 7953, and 14 Civ. 13644392 (S.D.N.Y.) (Schofield, J.).
Additionally, Citigroup, and Citibank, N.A., as well as numerous other foreign exchange dealers, are named as defendants in a putative class action captioned TAYLOR v. BANK OF AMERICA CORPORATION, ET AL.  The plaintiffs seek to represent a putative class of investors that transacted in exchange-traded foreign exchange futures contracts and/or options on foreign exchange futures contracts on certain exchanges, alleging that the putative class was harmed as a result of the defendants’ manipulation of the foreign exchange market.  The plaintiffs assert violations of the Commodity Exchange Act and federal antitrust claims.  Additional information concerning this action is publicly
available in court filings under the docket number 1:15-cv-135017 Civ. 3139 (S.D.N.Y.) (Schofield, J.).

Interbank Offered Rates-Related Litigation and Other Matters
Regulatory Actions: Government agencies in the U.S., including the Department of Justice, the CFTC, and aA consortium of state attorneys general as well as agencies in other jurisdictions, including the Swiss Competition Commission, areis conducting investigations or making inquiriesan investigation regarding submissions made by panel banks to bodies that publish various interbank offered rates and other benchmark rates. As membersa member of a number of such panels, Citigroup subsidiaries havehas received requests for information anddocuments. Citigroup is cooperating with the investigations and inquiriesinvestigation and is responding to the requests.
Antitrust and Other Litigation: Citigroup and Citibank, N.A., along with other U.S. Dollar (USD) LIBOR panel banks, are defendants in a multi-district litigation (MDL) proceeding before the United States District Court for the Southern District of New York captioned IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION (the LIBOR MDL). Following motion practice, consolidated amended complaints were filedOn July 27, 2017, Citigroup and Citibank executed a settlement with one class (investors who transacted in Eurodollar futures or options on behalf of two separate putative classes of plaintiffs: (i) OTC purchasers of derivative instrumentsexchanges), pursuant to which the Citi defendants agreed to pay $33.4 million. On October 6, 2017, Citigroup and Citibank agreed to pay $130 million pursuant to its settlement with the largest plaintiffs’ class (investors who purchased over-the-counter (OTC) derivatives from USD LIBOR panel banks) in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION.
On January 10, 2018, Citigroup and Citibank executed a settlement agreement with another class (lending institutions with interests in loans tied to USD LIBOR; and, (ii) purchasers of exchange-traded derivative instruments tiedLIBOR) pursuant to USD LIBOR. Each of these putative classes alleges thatwhich the panel bankCiti defendants conspired to suppress USD LIBOR: (i) OTC purchasers assert claims under the Sherman Act and for unjust enrichment and breach of the implied covenant of good faith and fair dealing; and, (ii) purchasers of exchange-traded derivative instruments assert claims under the Commodity Exchange Act and the Sherman Act and for unjust enrichment. Individual actions commenced by various Charles Schwab entities also were consolidated into the MDL proceeding. The plaintiffs seek compensatory damages and restitution for losses caused by the alleged violations, as well as treble damages under the Sherman Act. The Schwab and OTC plaintiffs also seek injunctive relief.
Additional actions have been consolidated in the MDL proceeding, including (i) lawsuits filed by, or on behalf of putative classes of, community and other banks, savings and loans institutions, credit unions, municipalities and purchasers and holders of LIBOR-linked financial products; and, (ii) lawsuits filed by putative classes of lenders and adjustable rate mortgage borrowers. The plaintiffs allege that defendant panel banks artificially suppressed USD LIBOR in violation of applicable law and seek compensatory and other damages.
Additional information relating to these actions is publicly available in court filings under the following docket numbers: 12 Civ. 4205; 12 Civ. 5723; 12 Civ. 5822; 12 Civ. 6056;  12 Civ. 6693; 12 Civ. 7461; 13 Civ. 346; 13 Civ. 407; 13 Civ. 1016, 13 Civ. 1456, 13 Civ. 1700, 13 Civ. 2262, 13 Civ. 2297; 13 Civ. 4018; 13 Civ. 7720; 14 Civ. 146 (Buchwald, J.); 12 Civ. 6294 (E.D.N.Y.) (Seybert, J.); 12 Civ. 6571 (N.D. Cal.) (Conti, J.); 12 Civ. 10903 (C.D. Cal.) (Snyder, J.); 13 Civ. 48 (S.D. Cal.) (Sammartino, J.); 13 Civ. 62 (C.D. Cal.) (Phillips, J.); 13 Civ. 106 (N.D. Cal.) (Beller,


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J.); 13 Civ. 108 (N.D. Cal.) (Ryu, J.); 13 Civ. 109 (N.D. Cal.) (Laporte, J.); 13 Civ. 122 (C.D. Cal.) (Bernal, J.); 13 Civ. 334, 13 Civ. 335 (S.D. Iowa) (Pratt, J); 13 Civ. 342 (E.D. Va.) (Brinkema, J.); 13 Civ. 1466 (S.D. Cal.) (Lorenz, J.); 13 Civ. 1476 (E.D. Cal.)  (Mueller, J.); 13 Civ. 2149 (S.D. Tex.) (Hoyt, J.); 13 Civ. 2244 (N.D. Cal.) (Hamilton, J.); 13 Civ. 2921 (N.D. Cal.) (Chesney, J.); 13 Civ. 2979 (N.D. Cal.) (Tigar, J.); 13 Civ. 4352 (E.D. Pa.) (Restrepo, J.); and 13 Civ. 5278 (N.D. Cal.) (Vadas, J.)
On June 30, 2014, the United States Supreme Court granted a petition for a writ of certiorari in GELBOIM, ET AL. v. BANK OF AMERICA CORP., ET AL. with respect to the dismissal by the United States Court of Appeals for the Second Circuit of an appeal by the plaintiff class of indirect OTC purchasers of U.S. debt securities. On January 21, 2015, the Supreme Court ruled that, contrary to the Second Circuit’s opinion, the plaintiffs had a right to appeal, and remanded the case to the Second Circuit for consideration of the plaintiffs’ appeal on the merits.will pay $23 million. Additional information concerning this appealthese actions and related actions and appeals is publicly available in court filings under the docket numbers 13-356511 MD 2262 (S.D.N.Y.) (Buchwald, J.) and 17-1569 (2d Cir.), 13-3636 (2d Cir.), and 13-1174 (U.S.).
Citigroup and Citibank, N.A., along with other USD LIBOR panel banks, also are named as defendants in an individual action filed in the United States District Court for the Southern District of New York on February 13, 2013, captioned 7 WEST 57th STREET REALTY CO. v. CITIGROUP, INC., ET AL. The plaintiff alleges that the defendant panel banks manipulated USD LIBOR to keep it artificially high and that this manipulation affected the value of plaintiffs’ OTC municipal bond portfolio in violation of federal and state antitrust laws and federal RICO law. The plaintiff seeks compensatory damages, treble damages where authorized by statute, and declaratory relief. Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 981 (Gardephe, J.).
Separately, on April 30, 2012, an action was filed in the United States District Court for the Southern District of New York captioned LAYDON v. MIZUHO BANK LTD. ET AL. against defendant banks that are or were members of the panels making submissions used in the calculation of Japanese yen LIBOR and TIBOR, and certain affiliates of those banks, including Citigroup, Citibank, N.A., Citibank Japan Ltd. and Citigroup Global Markets Japan Inc. The plaintiff asserts claims under federal antitrust law and the Commodity Exchange Act, as well as a claim for unjust enrichment, and seeks unspecified compensatory and punitive damages, including treble damages under certain statutes, as well as costs and expenses. Additional information concerning this action is publicly available in court filings under the docket number 12 Civ. 3419 (S.D.N.Y.) (Daniels, J.).
On May 2, 2014,August 13, 2015, plaintiffs in the class action SULLIVAN v. BARCLAYS PLC, ET ALAL., pending in the United States District Court for the Southern District of New York, filed a secondfourth amended complaint naming Citigroup and Citibank N.A. as defendants. Plaintiffs claim to have suffered losses as a result of purported EURIBOR manipulation and assert claims under the Commodity Exchange Act, the Sherman Act
and the federal RICO law,civil Racketeer Influenced and Corrupt Organizations (RICO) Act and for unjust enrichment. On September 11, 2014,February 21, 2017, the court granted the Department of Justice’sin part and denied in part defendants’ motion to stay discovery for eight months, until May 12, 2015.dismiss. Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 2811 (S.D.N.Y.) (Castel, J.).
On July 1, 2016, a putative class action captioned FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD. ET AL v. CITIBANK, N.A. ET AL. was filed in the United States District Court for the Southern District of New York against Citibank, Citigroup and various other banks. Plaintiffs assert claims for violation of the Sherman Act, Clayton Act and RICO Act, as well as state law claims for alleged manipulation of the Singapore Interbank Offered Rate and Singapore Swap Offer Rate. On August 18, 2017, the court granted in part the defendants’ motion to dismiss, dismissing all claims against

foreign bank defendants, antitrust claims asserted by one of the two named plaintiffs, and all RICO, implied covenant, and unjust enrichment claims. The court allowed one antitrust claim to proceed against the U.S. bank defendants, including Citigroup and Citibank. Plaintiffs filed an amended complaint on September 18, 2017. On October 18, 2017, defendants filed a motion to dismiss the amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 5263 (S.D.N.Y.) (Hellerstein, J.).
On December 26, 2016, Banque Delubac filed a summons against Citigroup, CGML, and Citigroup Europe Plc before the Commercial Court of Aubenas, France alleging that defendants suppressed its LIBOR submissions between 2005 and 2012, and that Banque Delubac’s EURIBOR-linked lending activity was negatively impacted as a result. Plaintiff is seeking compensatory damages for losses on LIBOR-linked loans to customers and for alleged consequential losses to its business. Additional information concerning this action is publicly available in court filings under the case reference SCS BANQUE DELUBAC & CIE v. CITIGROUP INC. ET AL.,Commercial Court of Aubenas, RG no. 2017J00043.

Interchange FeesFee Litigation
Beginning in 2005, several putative class actions were filed against Citigroup and Related Parties, together with Visa, MasterCard and other banks and their affiliates, in various federal district courts and consolidated with other related individual cases in a multi-district litigation proceeding before Judge Gleeson in the United States District Court for the Eastern District of New York (Interchange MDL). This proceeding is captioned IN RE PAYMENT CARD INTERCHANGE FEE AND MERCHANT DISCOUNT ANTITRUST LITIGATION.
The plaintiffs, merchants that accept Visa-Visa and MasterCard-brandedMasterCard branded payment cards as well as membership associations that claim to represent certain groups of merchants, allege, among other things, that defendants have engaged in conspiracies to set the price of interchange and merchant discount fees on credit and debit card transactions and to restrain trade through various Visa and MasterCard rules governing merchant conduct, all in violation of Section 1 of the Sherman Act and certain California statutes. Supplemental complaints also have been filed against defendants in the putative class actions alleging that Visa’s and MasterCard’s respective initial public offerings were anticompetitive and violated Section 7 of the Clayton Act, and that MasterCard’s initial public offering constituted a fraudulent conveyance.
On January 14, 2014, the district court entered a final judgment approving the terms of a class settlement providing for, among other things, a total payment to the class of $6.05 billion; a rebate to merchants participating in the damages class settlement of 10 basis pointsbps on interchange collected for a period of eight months by the Visa and MasterCard networks; and changes to certain network rules. A number ofVarious objectors have noticed an appealappealed from the final class settlement approval order withto the United States Court of Appeals for the Second Circuit.
On June 30, 2016, the Court of Appeals reversed the district court’s approval of the class settlement and remanded for further proceedings. Additional information concerning
these consolidated actions and the appeal is publicly available in court filings under the docket numbers MDL 05-1720 (E.D.N.Y.) (Brodie, J.), 12-4671 (2d Cir.) and 16-710 (U.S. Supreme Court).
In addition, following the district court’s approval of the class settlement, and during the pendency of appeals from that approval, numerous merchants, including large national merchants, requested exclusion from the portion of the now vacated settlement involving a settlement class certified with respect to damages claims for past conduct, and some of those opting out filed complaints against Visa, MasterCard, and in some instances one or more issuing banks. One of these suits, 7-ELEVEN, INC., ET AL. v. VISA INC., ET AL., brought on behalf of numerous individual merchants, names Citigroup as a defendant. Additional information concerning these consolidated actions is publicly available in court filings under the docket number MDL 05-1720 (E.D.N.Y.) (Brodie, J.).

Interest Rate Swaps Matters
Regulatory Actions: The Commodity Futures Trading Commission is conducting an investigation into the trading and 12-4671 (2d Cir.).clearing of interest rate swaps by investment banks.  Citigroup is cooperating with the investigation.
Numerous merchants,Antitrust and Other Litigation: Beginning in November 2015, numerous interest rate swap (IRS) market participants, including large national merchants,Citigroup, Citibank, CGMI and CGML, were named as defendants in a number of industry-wide putative class actions. These actions have requested exclusion frombeen consolidated in the class settlements,United States District Court for the Southern District of New York under the caption IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION. Plaintiffs in these actions allege that defendants colluded to prevent the development of exchange-like trading for IRS, thereby causing the putative classes to suffer losses in connection with their IRS transactions. Plaintiffs assert federal antitrust claims and some of those opting out haveclaims for unjust enrichment. Also consolidated under the same caption are two individual actions filed complaints against Visa, MasterCard,by swap execution facilities, asserting federal and state antitrust claims as well as claims for unjust enrichment and tortious interference with business relations. Plaintiffs in some instances one or more issuing banks.  Twoall of these suits, 7-ELEVEN, INC., ET AL. v. VISA INC., ET AL.,actions seek treble damages, fees, costs and SPEEDY STOP FOOD STORES, LLC, ET AL. v. VISA INC., ET AL., name Citigroup as a defendant.  injunctive relief.
On December 5, 2014,July 28, 2017, the Interchange MDL, including the opt out cases, was transferred from Judge Gleesondistrict court granted in part and denied in part defendants’ motions to Judge Brodie.dismiss. Additional information concerning these actions is publicly available in court filings under the docket numbers 05-md-1720 (E.D.N.Y.) (Brodie, J.); 13-cv-4442number 16-MD-2704 (S.D.N.Y.) (Hellerstein,(Engelmayer, J.), and 13-10-75377A (Tex. Dist. Ct.).



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ISDAFIX-Related Litigation and Other Matters
Regulatory Actions: Government agencies in the U.S., including the Department of Justice and the CFTC, are conducting investigations or making inquiries concerning submissions for the global benchmark for fixed interest rate swaps (ISDAFIX) and trading in products that reference ISDAFIX. Citigroup is fully cooperating with these and related investigations and inquiries.
Antitrust and Other Litigation. Beginning in September 2014, various plaintiffs filed putative class action complaints in the United States District Court for the Southern District of New York against Citigroup and other U.S. dollar (USD) ISDAFIX panel banks, which are proceeding on a consolidated basis. On February 12, 2015, plaintiffs filed an amended complaint alleging that the defendants colluded to manipulate ISDAFIX, thereby causing the putative class to suffer losses in connection with USD interest rate derivatives purchased from the defendants. Plaintiffs assert federal and various common law claims and seek compensatory damages, treble damages where authorized by statute, restitution and declaratory and injunctive relief. Additional information concerning these actions is publicly available in court filings under the consolidated lead docket number 14 Civ. 7126 (S.D.N.Y.) (Furman, J.).

Money Laundering Inquiries
Citigroup and Related Parties, including Citigroup’s indirect, wholly-owned subsidiary Banamex USA (BUSA), a California state-chartered bank, haveRegulatory Actions: Citibank has received grand jury subpoenas issued byfrom the United States Attorney’s OfficeAttorney for the Eastern District of Massachusetts concerning,New York in connection with its investigation of alleged bribery, corruption and money laundering associated with the Fédération Internationale de Football Association (FIFA), and the potential involvement of financial institutions in that activity. The subpoenas request information relating to, among other issues, policies, proceduresthings, banking relationships and activities related to compliancetransactions at Citibank and its affiliates associated with Bank Secrecy Act (BSA)certain individuals and anti-money laundering (AML) requirements under applicable federal laws and banking regulations. Banamex USA also has received a subpoena fromentities identified as having had involvement with the FDIC related to its BSA and AML compliance program. Citigroup and BUSA also have received inquiries and requests for information from other regulators, including the Financial Crimes Enforcement Network and the California Department of Business Oversight, concerning BSA- and AML-related issues. Citigroupalleged corrupt conduct. Citi is cooperating fully with these inquiries.the authorities in this matter.

Oceanografia
Oceanografía Fraud and Related Matters
On February 28, 2014, Citigroup announced that it was adjusting downward its earnings forRegulatory Actions: As a result of Citigroup’s announcement in the fourthfirst quarter of 2013 and full year 2013 by $235 million after tax ($360 million pretax) as a result2014 of a fraud discovered in a Petróleos Mexicanos (Pemex) supplier program involving Oceanografía SAS.A. de CVC.V. (OSA), a Mexican oil services company and a key supplier to Pemex. DuringPemex, the first quarter of 2014, Citigroup incurred approximately $165 million of incremental credit costs related to the Pemex supplier program. The vast majority of the credit costs were associated with Citigroup’s $33 million of direct exposure to OSA as of December 31, 2013 and uncertainty about Pemex’s obligation to pay Citigroup for a portion of the accounts receivable Citigroup validated with Pemex as of year-end 2013 (approximately $113 million). The remaining incremental credit costs were associated with an
additional supplier to Pemex within the Pemex supplier program that was found to have similar issues.
In the United States, the SEC has commenced a formal investigation and the U.S. Department of Justice has requested information regarding Banamex’s dealings with OSA. CitigroupThe SEC inquiry has included requests for documents and witness testimony. Citi continues to cooperate fully with these inquiries.
In Mexico,Other Litigation: On February 26, 2016, a complaint was filed against Citigroup in the Mexican National BankingUnited States District Court for the Southern District of Florida alleging that it conspired with Oceanografía, S.A. de C.V. (OSA) and Securities Commission (CNBV) conducted anothers with respect to receivable financings and other financing arrangements related to OSA in situ extraordinary reviewa manner that injured bondholders and other creditors of OSA. The complaint asserts claims on behalf of 39 plaintiffs that are characterized in the facts and circumstancescomplaint variously as trade creditors of, the fraud. Asinvestors in, or lenders to OSA. Plaintiffs collectively claim to have lost $1.1 billion as a result of its review,OSA’s bankruptcy. The complaint asserts claims under the CNBV issued a corrective action orderfederal civil RICO law and seeks treble damages and other relief pursuant to that must be implemented by Banamexstatute. The complaint also asserts claims for fraud and imposed a finebreach of approximately $2.2 million. The CNBV continues to review Banamex’s compliance with the corrective action order. In addition, the CNBV has initiated a formal process to impose additional finesfiduciary duty.
On August 23, 2016, plaintiffs filed an amended complaint adding common law claims for fraud, aiding and abetting fraud, and conspiracy on Banamex with respect to the manner in which OSA’s debt was recorded by Banamex. Citigroup continues to cooperate fully withbehalf of all of the inquiries related to the OSA fraud.
Derivative Actions and Related Proceedings: Beginning in April 2014,plaintiffs. Citigroup has been named as a defendant in two complaints filed by its stockholders seekingmoved to inspect Citigroup’s books and records pursuant to Section 220 of Chapter 8 ofdismiss the Delaware Corporations Law with regard to various matters, including the OSA fraud.amended complaint. On SeptemberJanuary 30, 2014, in the action brought by Oklahoma Firefighters Pension & Retirement System, the Master of the Court of Chancery issued a final report recommending that2018, the court enter an order granting in part and denying in part plaintiff’s request for inspection. On October 7, 2014, Citigroup filed a notice of exceptiongranted Citigroup’s motion to the final report.dismiss. Additional information concerning these actionsthis action is publicly available in court filings under the docket numbers C.A. No. 9587-ML (Del. Ch.number 16-20725 (S.D. Fla.) (LeGrow, M.(Gayles, J.).
On February 27, 2017, a complaint was filed against Citigroup in the United States District Court for the Southern District of New York by Oceanografía S.A. de C.V. (OSA) and its controlling shareholder, Amado Yáñez Osuna.  The complaint alleges that plaintiffs were injured when Citigroup made certain public statements about receivable financings and other financing arrangements related to OSA. The complaint asserts claims for malicious prosecution and tortious interference with existing and prospective business relationships. On December 4, 2017, plaintiffs filed an amended complaint adding CGMI, Citibank and Banco Nacional de México, or Banamex, as defendants and adding causes of action for fraud and breach of contract.  Citigroup has moved to dismiss the amended complaint.  Additional information concerning this action is publicly available in court filings under the docket number 1:17-cv-01434 (S.D.N.Y.) and C.A. No. 10468-ML (Del. Ch.(Sullivan, J.) (LeGrow, M).

Parmalat Litigation and Related Matters
On July 29, 2004, Dr. Enrico Bondi, the Extraordinary Commissioner appointed under Italian law to oversee the administration of various Parmalat companies, filed a complaint in New Jersey state court against Citigroup and Related Parties alleging, among other things, that the defendants “facilitated” a number of frauds by Parmalat
insiders. On October 20, 2008, following trial, a jury rendered a verdict in Citigroup’s favor on Parmalat’s claims and in favor of Citibank N.A. on three counterclaims.counterclaims, awarding Citi $431 million. Parmalat has exhausted all appeals, and the judgment is now final. Additional information concerning this action is publicly available in court filings under the docket number A-2654-08T2 (N.J. Sup. Ct.). Following the jury verdict awarding $431 million in damages on Citigroup’s counterclaim, Citigroup has taken steps to enforce that judgment in the Italian Courts.courts. On August 29, 2014, the Court of Appeal of Bologna affirmed the decision in the full amount of $431 million, to be paid in Parmalat shares. TheParmalat appealed the judgment is subject to appeal by Parmalat.
Prosecutors in Parma and Milan, Italy, have commenced criminal proceedings against certain current and former Citigroup employees (along with numerous other investment banks and certain of their current and former employees, as


297


well as former Parmalat officers and accountants). In the event of an adverse judgment against the individuals in question, the authorities could seek administrative remedies against Citigroup. On April 18, 2011, the Milan criminal court acquitted the sole Citigroup defendant of market-rigging charges. The Milan prosecutors have appealed part of that judgment and seek administrative remedies against Citigroup, which may include disgorgement of 70 million Euro and a fine of 900,000 Euro. On April 4, 2013, the Italian Supreme Court granted the appeal of the Milan Public Prosecutors and referred the matter to the Milan Court of Appeal for further proceedings concerning the administrative liability, if any, of Citigroup. Additionally, theCourt.
On June 16, 2015, Parmalat administrator filed a purportedclaim in an Italian civil complaint against Citigroupcourt in the context of the Parma criminal proceedings, which seeks 14 billion Euro in damages. The trial in the Parma criminal proceedings is ongoing. Judgment is expected during the summer of 2015. In January 2011, certain Parmalat institutional investors filed a civil complaint seekingMilan claiming damages of approximately 130 million Euro€1.8 billion against Citigroup and other financial institutions.Related Parties. On January 25, 2018, the Milan court dismissed Parmalat’s claim on grounds that it was duplicative of Parmalat’s previously unsuccessful New Jersey claims.

Regulatory Review of Consumer “Add-On” ProductsReferral Hiring Practices Investigations
Certain of Citi’s consumer businesses, including its Citi-brandedGovernment and retail services cards businesses, offer or haveregulatory agencies in the past offeredU.S., including the SEC, are conducting investigations or participatedmaking inquiries concerning compliance with the Foreign Corrupt Practices Act and other laws with respect to the hiring of candidates referred by or related to foreign government officials. Citigroup is cooperating with the investigations and inquiries.

Shareholder Derivative Litigation
On March 30, 2016, a derivative action captioned OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM, ET AL. v. CORBAT, ET AL. was filed in the marketing, distribution, or servicingDelaware Chancery Court on behalf of products, such as payment protectionCitigroup (as nominal defendant) against certain of Citigroup’s present and identity monitoring, that are ancillary to the provisionformer directors and officers. Plaintiffs assert claims for breach of credit to the consumer (add-on products). These add-on products have been the subjectfiduciary duty and waste of enforcement actions against other institutions by regulators, including the Consumer Financial Protection Bureau (CFPB), the OCC, and the FDIC, that have resulted in orders to pay restitution to customers and penalties in substantial amounts. Citi has made restitution to certain customerscorporate assets in connection with certain add-on products. In lightdefendants’ alleged failure to exercise appropriate oversight and management of the current regulatory focus on add-on productsBank Secrecy Act and the actions regulators have takenanti-money laundering laws and regulations and related consent decrees concerning Citigroup subsidiaries, Banamex and Banamex USA (BUSA) as well as defendants’ alleged failures to implement adequate internal controls and exercise adequate oversight with respect to Citigroup subsidiaries’ participation in relation to otherforeign exchange markets and credit card issuers, one or more regulators may order that Citi pay additional restitutionpractices. On December 18, 2017, the court granted the defendants’ motion to customers and/or impose penalties or other relief arising from Citi’s marketing, distribution, or servicing of add-on products.dismiss plaintiffs’ amended supplemental complaint. On January 17, 2018, plaintiffs filed a motion to reopen the judgment and for leave to file a second amended complaint in the Delaware Chancery Court, as well as an appeal with the Delaware Supreme Court. Additional information concerning this action is publicly available in court filings under the docket numbers C.A. No. 12151-VCG (Del. Ch.) (Glasscock, Ch.) and 32,2018 (Del.).

Allied Irish BankSovereign Securities Matters
Regulatory Actions: Government and regulatory agencies in the U.S. and in other jurisdictions are conducting investigations or making inquiries regarding Citigroup’s sales and trading activities in connection with sovereign securities. Citigroup is fully cooperating with these investigations and inquiries.

Antitrust and Other Litigation
: Beginning in July 2015, CGMI and numerous other U.S. Treasury primary dealer banks were named as defendants in a number of substantially similar putative class actions involving allegations that they colluded to manipulate U.S. Treasury securities markets. In 2003, Allied Irish Bank (AIB) filed a complaintDecember 2015, the cases were consolidated in the United States District Court for the Southern District of New York seeking to hold Citibank, N.A. and Bank of America, N.A., former prime brokers for AIB’s subsidiary Allfirst Bank (Allfirst), liable for losses incurred by Allfirst as a result of fraudulent and fictitious foreign currency trades entered into by one of Allfirst’s traders. AIB seeks compensatory damages of approximately $500 million, plus punitive damages, from Citibank, N.A. and Bank of America, N.A. collectively. In 2006,the Judicial Panel on Multidistrict Litigation. On August 23, 2017, the court granted in part and denied in part defendants’ motion to dismiss. In 2009, AIB filed an amended complaint. In 2012, the parties completed discovery and the court granted Citibank, N.A.’s motion to strike AIB’s demand for a jury trial. Citibank, N.A. alsoappointed interim co-lead counsel.
Plaintiffs filed a motion for summary
judgment,consolidated complaint on November 16, 2017, which is pending. AIB has announced a settlement with Bankalleges that CGMI and other primary dealer defendants colluded to fix Treasury auction bids by sharing competitively sensitive information ahead of America, N.A. forthe auctions, in violation of the antitrust laws. The consolidated complaint also alleges that CGMI and other primary dealer defendants colluded to boycott and prevent the emergence of an undisclosed amount, leaving Citibank, N.A. asanonymous, all-to-all electronic trading platform in the sole remaining defendant.Treasuries secondary market, and seeks damages, including treble damages where authorized by statute, and injunctive relief. Additional information concerningrelating to this matteraction is publicly available in court filings under the docket number 03 Civ. 374815-MD-2673 (S.D.N.Y.) (Batts,(Gardephe, J.).
Beginning in May 2016, a number of substantially similar putative class action complaints were filed against a number of financial institutions and traders related to the supranational, sub-sovereign, and agency (SSA) bond market. The actions are based upon defendants’ roles as market makers and traders of SSA bonds and assert claims of alleged collusion under the antitrust laws and unjust enrichment and seek damages, including treble damages where authorized by statute, and disgorgement. In August 2016, these actions were consolidated in the United States District Court for the Southern District of New York, and interim co-lead counsel was appointed in December 2016.
Plaintiffs filed a consolidated complaint on April 7, 2017 that names Citigroup, Citibank, CGMI and CGML among the defendants. Plaintiffs filed an amended consolidated complaint on October 6, 2017, and defendants filed motions to dismiss on December 12, 2017. Additional information relating to this action is publicly available in court filings under the docket number 16-cv-03711 (S.D.N.Y.) (Ramos, J.).
On November 7, 2017, a class action related to the SSA bond market was filed in the Ontario Court of Justice against Citigroup, Citibank, CGMI, CGML, Citibank Canada and Citigroup Global Markets Canada, Inc., among other defendants, asserting claims for breach of contract, breach of the competition act, breach of foreign law, unjust enrichment, and civil conspiracy. Plaintiffs seek compensatory and punitive damages, as well as declaratory relief. Additional information relating to this action is publicly available in court filings under the docket number CV-17-586082-00CP (Ont. S.C.J.).

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








28.   CONDENSED CONSOLIDATING FINANCIAL STATEMENTS

Citigroup amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to add its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the years ended December 31, 2017, 2016 and 2015, Condensed Consolidating Balance Sheet as of December 31, 2017 and 2016 and Condensed Consolidating Statement of Cash Flows for the years ended December 31, 2017, 2016 and 2015 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries.
These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.”
These Condensed Consolidating Financial Statements schedules are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.








































Condensed Consolidating Statements of Income and Comprehensive Income
 Year ended December 31, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$22,499
 $—
 $—
 $(22,499) $—
Interest revenue1
 5,274
 55,929
 —
 61,204
Interest revenue—intercompany3,972
 1,178
 (5,150) —
 —
Interest expense4,766
 2,340
 9,411
 —
 16,517
Interest expense—intercompany829
 2,297
 (3,126) —
 —
Net interest revenue$(1,622) $1,815
 $44,494
 $—
 $44,687
Commissions and fees$—
 $5,139
 $7,800
 $—
 $12,939
Commissions and fees—intercompany(2) 182
 (180) —
 —
Principal transactions1,654
 1,019
 6,495
 —
 9,168
Principal transactions—intercompany934
 1,200
 (2,134) —
 —
Other income(2,581) 855
 6,381
 —
 4,655
Other income—intercompany5
 158
 (163) —
 —
Total non-interest revenues$10
 $8,553
 $18,199
 $—
 $26,762
Total revenues, net of interest expense$20,887
 $10,368
 $62,693
 $(22,499) $71,449
Provisions for credit losses and for benefits and claims$—
 $—
 $7,451
 $—
 $7,451
Operating expenses
 
 
 
 
Compensation and benefits$(107) $4,403
 $16,885
 $—
 $21,181
Compensation and benefits—intercompany120
 —
 (120) —
 —
Other operating(318) 1,776
 18,598
 —
 20,056
Other operating—intercompany(35) 2,219
 (2,184) —
 —
Total operating expenses$(340) $8,398
 $33,179
 $—
 $41,237
Equity in undistributed income of subsidiaries$(18,847) $—
 $—
 $18,847
 $—
Income (loss) from continuing operations before income taxes$2,380
 $1,970
 $22,063
 $(3,652) $22,761
Provision (benefit) for income taxes$9,178
 $873
 $19,337
 $—
 $29,388
Income (loss) from continuing operations$(6,798) $1,097
 $2,726
 $(3,652) $(6,627)
Loss from discontinued operations, net of taxes—
 —
 (111) —
 (111)
Net income (loss) before attribution of noncontrolling interests$(6,798) $1,097
 $2,615
 $(3,652) $(6,738)
Noncontrolling interests—
 (1) 61
 —
 60
Net income (loss)$(6,798) $1,098
 $2,554
 $(3,652) $(6,798)
Comprehensive income

 

 

 

 

Add: Other comprehensive income (loss)$(2,791) $(117) $(5,969) $6,086
 $(2,791)
Total Citigroup comprehensive income (loss)$(9,589)
$981

$(3,415)
$2,434

$(9,589)
Add: Other comprehensive income (loss) attributable to noncontrolling interests$—

$—

$114

$—

$114
Add: Net income attributable to noncontrolling interests—

(1)
61

—

60
Total comprehensive income (loss)$(9,589)
$980

$(3,240)
$2,434

$(9,415)

Condensed Consolidating Statements of Income and Comprehensive Income
298
 Year ended December 31, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$15,570
 $—
 $—
 $(15,570) $—
Interest revenue7
 4,586
 53,022
 —
 57,615
Interest revenue—intercompany3,008
 545
 (3,553) —
 —
Interest expense4,419
 1,418
 6,674
 —
 12,511
Interest expense—intercompany209
 1,659
 (1,868) —
 —
Net interest revenue$(1,613) $2,054
 $44,663
 $—
 $45,104
Commissions and fees$—
 $4,340
 $7,598
 $—
 $11,938
Commissions and fees—intercompany(20) 246
 (226) —
 —
Principal transactions(1,025) 5,576
 3,034
 —
 7,585
Principal transactions—intercompany24
 (2,842) 2,818
 —
 —
Other income2,599
 183
 2,466
 —
 5,248
Other income—intercompany(2,095) 305
 1,790
 —
 —
Total non-interest revenues$(517) $7,808
 $17,480
 $—
 $24,771
Total revenues, net of interest expense$13,440
 $9,862
 $62,143
 $(15,570) $69,875
Provisions for credit losses and for benefits and claims$—
 $—
 $6,982
 $—
 $6,982
Operating expenses
 
 
 
 
Compensation and benefits$22
 $4,719
 $16,229
 $—
 $20,970
Compensation and benefits—intercompany36
 —
 (36) —
 —
Other operating482
 1,634
 18,330
 —
 20,446
Other operating—intercompany217
 1,333
 (1,550) —
 —
Total operating expenses$757
 $7,686
 $32,973
 $—
 $41,416
Equity in undistributed income of subsidiaries$871
 $—
 $—
 $(871) $—
Income (loss) from continuing operations before income taxes$13,554
 $2,176
 $22,188
 $(16,441) $21,477
Provision (benefit) for income taxes$(1,358) $746
 $7,056
 $—
 $6,444
Income (loss) from continuing operations$14,912
 $1,430
 $15,132
 $(16,441) $15,033
Loss from discontinued operations, net of taxes—
 —
 (58) —
 (58)
Net income (loss) before attribution of noncontrolling interests$14,912
 $1,430
 $15,074
 $(16,441) $14,975
Noncontrolling interests—
 (13) 76
 —
 63
Net income (loss)$14,912
 $1,443
 $14,998
 $(16,441) $14,912
Comprehensive income

 

 

 

 

Add: Other comprehensive income (loss)$(3,022) $(26) $2,364
 $(2,338) $(3,022)
Total Citigroup comprehensive income (loss)$11,890

$1,417

$17,362

$(18,779)
$11,890
Add: Other comprehensive income (loss) attributable to noncontrolling interests
$—

$—

$(56)
$—

$(56)
Add: Net income attributable to noncontrolling interests—

(13)
76

—

63
Total comprehensive income (loss)$11,890

$1,404

$17,382

$(18,779)
$11,897


Condensed Consolidating Statements of Income and Comprehensive Income
 Year ended December 31, 2015
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues         
Dividends from subsidiaries$13,500
 $—
 $—
 $(13,500) $—
Interest revenue9
 4,389
 54,153
 —
 58,551
Interest revenue—intercompany2,880
 272
 (3,152) —
 —
Interest expense4,563
 988
 6,370
 —
 11,921
Interest expense—intercompany(475) 1,304
 (829) —
 —
Net interest revenue$(1,199) $2,369
 $45,460
 $—
 $46,630
Commissions and fees$—
 $4,872
 $9,613
 $—
 $14,485
Commissions and fees—intercompany—
 210
 (210) —
 —
Principal transactions1,012
 5,532
 (536) —
 6,008
Principal transactions—intercompany(1,733) (3,875) 5,608
 —
 —
Other income3,294
 403
 5,534
 —
 9,231
Other income—intercompany(3,054) 1,088
 1,966
 —
 —
Total non-interest revenues$(481) $8,230
 $21,975
 $—
 $29,724
Total revenues, net of interest expense$11,820
 $10,599
 $67,435
 $(13,500) $76,354
Provisions for credit losses and for benefits and claims$—
 $—
 $7,913
 $—
 $7,913
Operating expenses
 
 
 
 
Compensation and benefits$(58) $5,003
 $16,824
 $—
 $21,769
Compensation and benefits—intercompany59
 —
 (59) —
 —
Other operating271
 1,940
 19,635
 —
 21,846
Other operating—intercompany247
 1,173
 (1,420) —
 —
Total operating expenses$519
 $8,116
 $34,980
 $—
 $43,615
Equity in undistributed income of subsidiaries$4,601
 $—
 $—
 $(4,601) $—
Income (loss) from continuing operations before income taxes$15,902
 $2,483
 $24,542
 $(18,101) $24,826
Provision (benefit) for income taxes$(1,340) $537
 $8,243
 $—
 $7,440
Income (loss) from continuing operations$17,242
 $1,946
 $16,299
 $(18,101) $17,386
Loss from discontinued operations, net of taxes—
 —
 (54) —
 (54)
Net income (loss) before attribution of noncontrolling interests$17,242
 $1,946
 $16,245
 $(18,101) $17,332
Noncontrolling interests—
 9
 81
 —
 90
Net income (loss)$17,242
 $1,937
 $16,164
 $(18,101) $17,242
Comprehensive income

 

 

 

 

Add: Other comprehensive income (loss)$(6,128) $(125) $1,017
 $(892) $(6,128)
Total Citigroup comprehensive income (loss)$11,114

$1,812

$17,181

$(18,993)
$11,114
Add: Other comprehensive income (loss) attributable to noncontrolling interests
$—

$—

$(83)
$—

$(83)
Add: Net income attributable to noncontrolling interests—

9

81

—

90
Total comprehensive income (loss)$11,114

$1,821

$17,179

$(18,993)
$11,121



Condensed Consolidating Balance Sheet
 December 31, 2017
In millions of dollarsCitigroup parent company
 CGMHI
 Other Citigroup subsidiaries and eliminations
 Consolidating adjustments
 Citigroup consolidated
Assets         
Cash and due from banks$—
 $378
 $23,397
 $—
 $23,775
Cash and due from banks—intercompany13
 3,750
 (3,763) —
 —
Federal funds sold and resale agreements—
 182,685
 49,793
 —
 232,478
Federal funds sold and resale agreements—intercompany—
 16,091
 (16,091) —
 —
Trading account assets—
 139,462
 112,094
 —
 251,556
Trading account assets—intercompany38
 2,711
 (2,749) —
 —
Investments27
 181
 352,082
 —
 352,290
Loans, net of unearned income—
 900
 666,134
 —
 667,034
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,355) —
 (12,355)
Total loans, net$—
 $900
 $653,779
 $—
 $654,679
Advances to subsidiaries$139,722
 $—
 $(139,722) $—
 $—
Investments in subsidiaries210,537
 —
 —
 (210,537) —
Other assets (1)
10,844
 61,647
 255,196
 —
 327,687
Other assets—intercompany14,428
 48,832
 (63,260) —
 —
Total assets$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465
Liabilities and equity

 
 
 
 
Deposits$—
 $—
 $959,822
 $—
 $959,822
Deposits—intercompany—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 134,888
 21,389
 —
 156,277
Federal funds purchased and securities loaned or sold—intercompany—
 18,597
 (18,597) —
 —
Trading account liabilities—
 80,801
 43,246
 —
 124,047
Trading account liabilities—intercompany15
 2,182
 (2,197) —
 —
Short-term borrowings251
 3,568
 40,633
 —
 44,452
Short-term borrowings—intercompany—
 32,871
 (32,871) —
 —
Long-term debt152,163
 18,048
 66,498
 —
 236,709
Long-term debt—intercompany—
 60,765
 (60,765) —
 —
Advances from subsidiaries19,136
 —
 (19,136) —
 —
Other liabilities2,673
 62,113
 54,700
 —
 119,486
Other liabilities—intercompany631
 9,753
 (10,384) —
 —
Stockholders’ equity200,740
 33,051
 178,418
 (210,537) 201,672
Total liabilities and equity$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465

(1)
Other assets for Citigroup parent company at December 31, 2017 included $29.7 billion of placements to Citibank and its branches, of which $18.9 billion had a remaining term of less than 30 days.




Condensed Consolidating Balance Sheet
 December 31, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets         
Cash and due from banks$—
 $870
 $22,173
 $—
 $23,043
Cash and due from banks—intercompany142
 3,820
 (3,962) —
 —
Federal funds sold and resale agreements—
 196,236
 40,577
 —
 236,813
Federal funds sold and resale agreements—intercompany—
 12,270
 (12,270) —
 —
Trading account assets6
 121,484
 122,435
 —
 243,925
Trading account assets—intercompany1,173
 907
 (2,080) —
 —
Investments173
 335
 352,796
 —
 353,304
Loans, net of unearned income—
 575
 623,794
 —
 624,369
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,060) —
 (12,060)
Total loans, net$—
 $575
 $611,734
 $—
 $612,309
Advances to subsidiaries$143,154
 $—
 $(143,154) $—
 $—
Investments in subsidiaries226,279
 —
 —
 (226,279) —
Other assets(1)
23,734
 46,095
 252,854
 —
 322,683
Other assets—intercompany27,845
 38,207
 (66,052) —
 —
Total assets$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077
Liabilities and equity
 
 
 
 

Deposits$—
 $—
 $929,406
 $—
 $929,406
Deposits—intercompany—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 122,320
 19,501
 —
 141,821
Federal funds purchased and securities loaned or sold—intercompany—
 25,417
 (25,417) —
 —
Trading account liabilities—
 87,714
 51,331
 —
 139,045
Trading account liabilities—intercompany1,006
 868
 (1,874) —
 —
Short-term borrowings—
 1,356
 29,345
 —
 30,701
Short-term borrowings—intercompany—
 35,596
 (35,596) —
 —
Long-term debt147,333
 8,128
 50,717
 —
 206,178
Long-term debt—intercompany—
 41,287
 (41,287) —
 —
Advances from subsidiaries41,258
 —
 (41,258) —
 —
Other liabilities3,466
 57,430
 57,887
 —
 118,783
Other liabilities—intercompany4,323
 7,894
 (12,217) —
 —
Stockholders’ equity225,120
 32,789
 194,513
 (226,279) 226,143
Total liabilities and equity$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077

(1)
Other assets for Citigroup parent company at December 31, 2016 included $20.7 billion of placements to Citibank and its branches, of which $6.8 billion had a remaining term of less than 30 days.



Condensed Consolidating Statement of Cash Flows
 Year ended December 31, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$34,940
 $(33,359) $(10,168) $—
 $(8,587)
Cash flows from investing activities of continuing operations         
Purchases of investments$—
 $(1) $(185,739) $—
 $(185,740)
Proceeds from sales of investments132
 —
 107,236
 —
 107,368
Proceeds from maturities of investments—
 —
 84,369
 —
 84,369
Change in deposits with banks—
 11,861
 (31,151) —
 (19,290)
Change in loans—
 —
 (58,062) —
 (58,062)
Proceeds from sales and securitizations of loans—
 —
 8,365
 —
 8,365
Proceeds from significant disposals—
 —
 3,411
 —
 3,411
Change in federal funds sold and resales—
 9,730
 (5,395) —
 4,335
Changes in investments and advances—intercompany(899) (2,790) 3,689
 —
 —
Other investing activities—
 (24) (2,960) —
 (2,984)
Net cash provided by (used in) investing activities of continuing operations$(767) $18,776
 $(76,237) $—
 $(58,228)
Cash flows from financing activities of continuing operations         
Dividends paid$(3,797) $—
 $—
 $—
 $(3,797)
Treasury stock acquired(14,541) —
 —
 —
 (14,541)
Proceeds (repayments) from issuance of long-term debt, net6,544
 4,909
 15,521
 —
 26,974
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (2,031) 2,031
 —
 —
Change in deposits—
 —
 30,416
 —
 30,416
Change in federal funds purchased and repos—
 5,748
 8,708
 —
 14,456
Change in short-term borrowings49
 2,212
 11,490
 —
 13,751
Net change in short-term borrowings and other advances—intercompany(22,152) 3,931
 18,221
 —
 —
Capital contributions from parent—
 (748) 748
 —
 —
Other financing activities(405) —
 —
 —
 (405)
Net cash provided by (used in) financing activities of continuing operations$(34,302) $14,021
 $87,135
 $—
 $66,854
Effect of exchange rate changes on cash and due from banks$—
 $—
 $693
 $—
 $693
Change in cash and due from banks$(129) $(562) $1,423
 $—
 $732
Cash and due from banks at beginning of period142
 4,690
 18,211
 —
 23,043
Cash and due from banks at end of period$13
 $4,128
 $19,634
 $—
 $23,775
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 

Cash paid during the year for income taxes$(3,730) $678
 $5,135
 $—
 $2,083
Cash paid during the year for interest4,151
 4,513
 7,011
 —
 15,675
Non-cash investing activities

 

 

 

 

Transfers to loans HFS from loans$—
 $—
 $5,900
 $—
 $5,900
Transfers to OREO and other repossessed assets—
 —
 113
 —
 113




Condensed Consolidating Statement of Cash Flows
 Year ended December 31, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by operating activities of continuing operations$12,777
 $20,662
 $20,493
 $—
 $53,932
Cash flows from investing activities of continuing operations         
Purchases of investments$—
 $(4) $(211,398) $—
 $(211,402)
Proceeds from sales of investments3,024
 —
 129,159
 —
 132,183
Proceeds from maturities of investments234
 —
 65,291
 —
 65,525
Change in deposits with banks—
 (3,643) (21,668) —
 (25,311)
Change in loans—
 —
 (39,761) —
 (39,761)
Proceeds from sales and securitizations of loans—
 —
 18,140
 —
 18,140
Proceeds from significant disposals—
 —
 265
 —
 265
Change in federal funds sold and resales—
 (15,293) (1,845) —
 (17,138)
Changes in investments and advances—intercompany(18,083) (5,574) 23,657
 —
 —
Other investing activities—
 —
 (2,089) —
 (2,089)
Net cash used in investing activities of continuing operations$(14,825) $(24,514) $(40,249) $—
 $(79,588)
Cash flows from financing activities of continuing operations         
Dividends paid$(2,287) $—
 $—
 $—
 $(2,287)
Issuance of preferred stock2,498
 —
 —
 —
 2,498
Treasury stock acquired(9,290) —
 —
 —
 (9,290)
Proceeds (repayments) from issuance of long-term debt, net7,005
 5,916
 (4,575) —
 8,346
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (9,453) 9,453
 —
 —
Change in deposits—
 —
 24,394
 —
 24,394
Change in federal funds purchased and repos—
 3,236
 (7,911) —
 (4,675)
Change in short-term borrowings(164) 1,168
 8,618
 —
 9,622
Net change in short-term borrowings and other advances—intercompany4,620
 680
 (5,300) —
 —
Capital contributions from parent—
 5,000
 (5,000) —
 —
Other financing activities(316) —
 —
 —
 (316)
Net cash provided by financing activities of continuing operations$2,066
 $6,547
 $19,679
 $—
 $28,292
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(493) $—
 $(493)
Change in cash and due from banks$18
 $2,695
 $(570) $—
 $2,143
Cash and due from banks at beginning of period124
 1,995
 18,781
 —
 20,900
Cash and due from banks at end of period$142
 $4,690
 $18,211
 $—
 $23,043
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 

Cash paid during the year for income taxes$351
 $92
 $3,916
 $—
 $4,359
Cash paid during the year for interest4,397
 3,115
 4,555
 —
 12,067
Non-cash investing activities         
Transfers to loans held-for-sale from loans$—
 $—
 $13,900
 $—
 $13,900
Transfers to OREO and other repossessed assets—
 —
 165
 —
 165

Condensed Consolidating Statements of Cash Flows
 Year ended December 31, 2015
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$27,825
 $12,336
 $(424) $—
 $39,737
Cash flows from investing activities of continuing operations         
Purchases of investments$—
 $(4) $(242,358) $—
 $(242,362)
Proceeds from sales of investments—
 53
 141,417
 —
 141,470
Proceeds from maturities of investments237
 —
 81,810
 —
 82,047
Change in deposits with banks—
 (8,414) 23,902
 —
 15,488
Change in loans—
 —
 1,353
 —
 1,353
Proceeds from sales and securitizations of loans—
 —
 9,610
 —
 9,610
Change in federal funds sold and resales—
 8,037
 14,858
 —
 22,895
Proceeds from significant disposals—
 —
 5,932
 —
 5,932
Payments due to transfers of net liabilities associated with significant disposals—
 —
 (18,929) —
 (18,929)
Changes in investments and advances—intercompany(35,548) 1,044
 34,504
 —
 —
Other investing activities3
 (101) (2,523) —
 (2,621)
Net cash provided by (used in) investing activities of continuing operations$(35,308) $615
 $49,576
 $—
 $14,883
Cash flows from financing activities of continuing operations         
Dividends paid$(1,253) $—
 $—
 $—
 $(1,253)
Issuance of preferred stock6,227
 —
 —
 —
 6,227
Treasury stock acquired(5,452) —
 —
 —
 (5,452)
Proceeds (repayments) from issuance of long-term debt, net127
 (139) (8,212) —
 (8,224)
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 12,557
 (12,557) —
 —
Change in deposits—
 —
 8,555
 —
 8,555
Change in federal funds purchased and repos—
 (27,442) 500
 —
 (26,942)
Change in short-term borrowings(845) (1,737) (34,674) —
 (37,256)
Net change in short-term borrowings and other advances—intercompany9,106
 4,054
 (13,160) —
 —
Other financing activities(428) —
 —
 —
 (428)
Net cash provided by (used in) financing activities of continuing operations$7,482
 $(12,707) $(59,548) $—
 $(64,773)
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(1,055) $—
 $(1,055)
Change in cash and due from banks$(1) $244
 $(11,451) $—
 $(11,208)
Cash and due from banks at beginning of period125
 1,751
 30,232
 —
 32,108
Cash and due from banks at end of period$124
 $1,995
 $18,781
 $—
 $20,900
Supplemental disclosure of cash flow information for continuing operations         
Cash paid during the year for income taxes$111
 $175
 $4,692
 $—
 $4,978
Cash paid during the year for interest4,916
 2,346
 4,769
 —
 12,031

Non-cash investing activities         
Decrease in net loans associated with significant disposals reclassified to HFS$—
 $—
 $(9,063) $—
 $(9,063)
Decrease in investments associated with significant disposals reclassified to HFS—
 —
 (1,402) —
 (1,402)
Decrease in goodwill and intangible assets associated with significant disposals reclassified to HFS—
 —
 (223) —
 (223)
Decrease in deposits with banks with significant disposals reclassified to HFS—
 —
 (404) —
 (404)
Transfers to loans held-for-sale from loans—
 —
 28,600
 —
 28,600
Transfers to OREO and other repossessed assets—
 —
 276
 —
 276
Non-cash financing activities         
Decrease in long-term debt associated with significant disposals
reclassified to HFS
$—
 $—
 $(4,673) $—
 $(4,673)


29. SELECTED QUARTERLY FINANCIAL DATA (UNAUDITED)

2014201320172016
In millions of dollars, except per share amountsFourthThirdSecondFirstFourthThirdSecondFirst
Fourth(1)
ThirdSecondFirstFourthThirdSecondFirst
Revenues, net of interest expense$17,812
$19,604
$19,342
$20,124
$17,779
$17,904
$20,488
$20,248
$17,255
$18,173
$17,901
$18,120
$17,012
$17,760
$17,548
$17,555
Operating expenses14,426
12,955
15,521
12,149
12,293
11,679
12,149
12,288
10,083
10,171
10,506
10,477
10,120
10,404
10,369
10,523
Provisions for credit losses and for benefits and claims2,013
1,750
1,730
1,974
2,072
1,959
2,024
2,459
2,073
1,999
1,717
1,662
1,792
1,736
1,409
2,045
Income from continuing operations before income taxes$1,373
$4,899
$2,091
$6,001
$3,414
$4,266
$6,315
$5,501
$5,099
$6,003
$5,678
$5,981
$5,100
$5,620
$5,770
$4,987
Income taxes (benefits)991
1,985
1,838
2,050
1,090
1,080
2,127
1,570
Income from continuing operations$382
$2,914
$253
$3,951
$2,324
$3,186
$4,188
$3,931
Income taxes23,864
1,866
1,795
1,863
1,509
1,733
1,723
1,479
Income (loss) from continuing operations$(18,765)$4,137
$3,883
$4,118
$3,591
$3,887
$4,047
$3,508
Income (loss) from discontinued operations, net of taxes(1)(16)(22)37
181
92
30
(33)(109)(5)21
(18)(3)(30)(23)(2)
Net income before attribution of noncontrolling interests$381
$2,898
$231
$3,988
$2,505
$3,278
$4,218
$3,898
$(18,874)$4,132
$3,904
$4,100
$3,588
$3,857
$4,024
$3,506
Noncontrolling interests31
59
50
45
50
51
36
90
19
(1)32
10
15
17
26
5
Citigroup’s net income$350
$2,839
$181
$3,943
$2,455
$3,227
$4,182
$3,808
Citigroup’s net income (loss)$(18,893)$4,133
$3,872
$4,090
$3,573
$3,840
$3,998
$3,501
Earnings per share (1)(2)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Basic 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Income from continuing operations$0.06
$0.89
$0.03
$1.22
$0.71
$0.98
$1.34
$1.24
Net income0.06
0.88
0.03
1.24
0.77
1.01
1.35
1.23
Income (loss) from continuing operations$(7.33)$1.42
$1.27
$1.36
$1.14
$1.25
$1.25
$1.11
Net income (loss)(7.38)1.42
1.28
1.35
1.14
1.24
1.24
1.10
Diluted 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Income from continuing operations0.06
0.88
0.03
1.22
0.71
0.98
1.33
1.24
Net income0.06
0.88
0.03
1.23
0.77
1.00
1.34
1.23
Income (loss) from continuing operations(7.33)1.42
1.27
1.36
1.14
1.25
1.25
1.11
Net income (loss)(7.38)1.42
1.28
1.35
1.14
1.24
1.24
1.10
Common stock price per share 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
High$56.37
$53.66
$49.58
$55.20
$53.29
$53.00
$53.27
$47.60
Low49.68
46.90
45.68
46.34
47.67
47.67
42.50
41.15
Close54.11
51.82
47.10
47.60
52.11
48.51
47.97
44.24
High close during the quarter77.10
72.74
66.98
61.54
61.09
47.90
47.33
51.13
Low close during the quarter71.33
65.95
57.72
55.68
47.03
40.78
38.48
34.98
Quarter end74.41
72.74
66.88
59.82
59.43
47.23
42.39
41.75
Dividends per share of common stock0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.01
0.32
0.32
0.16
0.16
0.16
0.16
0.05
0.05

This Note to the Consolidated Financial Statements is unaudited due to the Company’s individual quarterly results not being subject to an audit.

(1)   Due to averaging of shares, quarterly earnings per share may not add up to the totals reported for the full year.
(1)The fourth quarter of 2017 includes the impact of Tax Reform. See Notes 1 and 9 to the Consolidated Financial Statements.
(2)Due to averaging of shares, quarterly earnings per share may not sum to the totals reported for the full year.


[End of Consolidated Financial Statements and Notes to Consolidated Financial Statements]



299


FINANCIAL DATA SUPPLEMENT

RATIOS
2014
2013
2012
201720162015
Citigroup’s net income to average assets(1)0.39%0.73%0.39%0.84%0.82%0.95%
Return on average common stockholders’ equity (1)(2)
3.4
7.0
4.1
7.0
6.6
8.1
Return on average total stockholders’ equity (2)(3)
3.5
6.9
4.1
7.0
6.5
7.9
Total average equity to average assets (3)(4)
11.1
10.5
9.7
12.1
12.6
11.9
Dividends payout ratio (4)
1.8
0.9
1.6
Dividend payout ratio(1)(5)
18.0
8.9
3.0
(1)2017 excludes the impact of Tax Reform. See “Impact of Tax Reform” above.
(2)Based on Citigroup’s net income less preferred stock dividends as a percentage of average common stockholders’ equity.
(2)(3)Based on Citigroup’s net income as a percentage of average total Citigroup stockholders’ equity.
(3)(4)Based on average Citigroup stockholders’ equity as a percentage of average assets.
(4)(5)Dividends declared per common share as a percentage of net income per diluted share.


AVERAGE DEPOSIT LIABILITIES IN OFFICES OUTSIDE THE U.S.(1) 
 2014
 2013
 2012
 2017 2016 2015
In millions of dollars at year end except ratiosAverage
interest rate
Average
balance
Average
interest rate
Average
balance
Average
interest rate
Average
balance
Average
interest rate		Average
balance		Average
interest rate		Average
balance		Average
interest rate		Average
balance
Banks0.48%$61,705
0.68%$63,759
0.71%$71,624
0.49%$36,063
0.34%$36,983
0.44%$46,664
Other demand deposits0.58
229,880
0.57
220,599
0.84
217,806
0.52
293,389
0.49
278,745
0.44
249,498
Other time and savings deposits (2)
1.08
243,630
1.06
262,924
1.24
259,025
1.23
191,363
1.16
189,049
1.24
198,733
Total0.80%$535,215
0.82%$547,282
1.01%$548,455
0.78%$520,815
0.73%$504,777
0.76%$494,895
(1)Interest rates and amounts include the effects of risk management activities and also reflect the impact of the local interest rates prevailing in certain countries.
(2)Primarily consists of certificates of deposit and other time deposits in denominations of $100,000 or more.



MATURITY PROFILE OF TIME DEPOSITS
($100,000 OR MORE) IN U.S. OFFICES
     
In millions of dollars at December 31, 2014Under 3
months
Over 3 to 6
months
Over 6 to 12
months
Over 12
months
Certificates of deposit (1)
$17,271
$6,250
$2,024
$655
Other time deposits (2)
3,286
596
115
1,439
     
In millions of dollars at December 31, 2017Under 3
months		Over 3 to 6
months		Over 6 to 12
months		Over 12
months
Over $100,000    
Certificates of deposit$13,087
$2,956
$795
$1,471
Other time deposits4,221
603
15
280
Over $250,000    
Certificates of deposit$12,692
$2,633
$412
$951
Other time deposits4,219
603
15
9
(1)Includes approximately $20.5 billion of certificates of deposit with balance of $250,000 or more.
(2)Includes approximately $4.5 billion of other time deposits with balance of $250,000 or more.


300


SUPERVISION, REGULATION AND OTHER

SUPERVISION AND REGULATION
Citi is subject to regulation under U.S. federal and state laws, as well as applicable laws in the other jurisdictions in which it does business.

General
Citigroup is a registered bank holding company and financial holding company and is regulated and supervised by the Federal Reserve Board. Citigroup’s nationally chartered subsidiary banks, including Citibank, N.A., are regulated and supervised by the Office of the Comptroller of the Currency (OCC) and its state-chartered depository institution by the relevant state’s banking department and the Federal Deposit Insurance Corporation (FDIC). The FDIC also has examination authority for banking subsidiaries whose deposits it insures. Overseas branches of Citibank N.A. are regulated and supervised by the Federal Reserve Board and OCC and overseas subsidiary banks by the Federal Reserve Board. These overseas branches and subsidiary banks are also are regulated and supervised by regulatory authorities in the host countries. In addition, the Consumer Financial Protection Bureau (CFPB) regulates consumer financial products and services. Citi is also subject to laws and regulations concerning the collection, use, sharing and disposition of certain customer, employee and other personal and confidential information, including those imposed by the Gramm-Leach-Bliley Act, the Fair Credit Reporting Act and the EU Data Protection Directive. For more information on U.S. and foreign regulation affecting or potentially affecting Citi and its subsidiaries, see “Risk Factors” above.

Other Bank and Bank Holding Company Regulation
Citi, including its banking subsidiaries, is subject to regulatory limitations, including requirements for banks to maintain reserves against deposits, requirements as to risk-based capital and leverage (see “Capital Resources” above and Note 1918 to the Consolidated Financial Statements), restrictions on the types and amounts of loans that may be made and the interest that may be charged and limitations on investments that can be made and services that can be offered. The Federal Reserve Board may also expect Citi to commit resources to its subsidiary banks in certain circumstances. Citi is also subject to anti-money laundering and financial transparency laws, including standards for verifying client identification at account opening and obligations to monitor client transactions and report suspicious activities.

Securities and Commodities Regulation
Citi conducts securities underwriting, brokerage and dealing activities in the U.S. through Citigroup Global Markets Inc. (CGMI), its primary broker-dealer, and other broker-dealer subsidiaries, which are subject to regulations of the U.S. Securities and Exchange Commission (SEC), the Financial Industry Regulatory Authority and certain exchanges. Citi conducts similar securities activities outside the U.S., subject to local requirements, through various subsidiaries and affiliates, principally Citigroup Global Markets Limited in
London (CGML), which is regulated principally by the U.K. Financial Conduct Authority, and Citigroup Global Markets Japan Inc. in Tokyo, which is regulated principally by the Financial Services Agency of Japan.
Citi also has subsidiaries that are members of futures exchanges. In the U.S., CGMI is a member of the principal U.S. futures exchanges, and Citi has subsidiaries that are registered as futures commission merchants and commodity pool operators with the Commodity Futures Trading Commission (CFTC). Citibank, N.A., CGMI, Citigroup Energy Inc. and CGML, also haveare registered as swap dealers with the CFTC. CGMI is also subject to SEC and CFTC rules that specify uniform minimum net capital requirements. Compliance with these rules could limit those operations of CGMI that require the intensive use of capital and also limits the ability of broker-dealers to transfer large amounts of capital to parent companies and other affiliates. See also “Capital Resources” and Note 1918 to the Consolidated Financial Statements for a further discussion of capital considerations of Citi’s non-banking subsidiaries.

Transactions with Affiliates
Transactions between Citi’s U.S. subsidiary depository institutions and their non-bank affiliates are regulated by the Federal Reserve Board, and are generally required to be on arm’s-length terms. See also “Managing Global Risk—Market Risk—Funding and Liquidity”Liquidity Risk” above.

COMPETITION
The financial services industry is highly competitive. Citi’s competitors include a variety of financial services and advisory companies. Citi competes for clients and capital (including deposits and funding in the short- and long-term debt markets) with some of these competitors globally and with others on a regional or product basis. Citi’s competitive position depends on many factors, including, among others, the value of Citi’s brand name, reputation, the types of clients and geographies served,served; the quality, range, performance, innovation and pricing of products and services,services; the effectiveness of and access to distribution channels, technology advances, customer service and convenience,convenience; the effectiveness of transaction execution, interest rates and lending limits,limits; and regulatory constraints and the effectiveness of sales promotion efforts.constraints. Citi’s ability to compete effectively also depends upon its ability to attract new employees and retain and motivate existing employees, while managing compensation and other costs. For additional information on competitive factors and uncertainties impacting Citi’s businesses, see “Risk Factors”Factors—Operational Risks” above.

PROPERTIES
Citi’s principal executive offices are currently located at 399 Park Avenue in New York City at 388 Greenwich Street and are the subject of a lease. Citi also has additional office space at 601 Lexington Avenue in New York City under a long-term leaseowned and at 111 Wall Street in New York City under a lease of the entire building. Citibank, N.A. leases a building in Long Island City, New York that is fully occupied by Citi.
Citigroup Global Markets Holdings Inc.’s principal executive offices are located at 388 and 390 Greenwich Street in New York City with both buildings subject to long term-leasesat 388 Greenwich Street and 390 Greenwich Street. Both locations are owned and fully occupied by Citi.

Citigroup’s principal executive offices in EMEA are located at 25 and 33 Canada Square in London’s Canary


301


Wharf, with both buildings subject to long-term leases. Citi is the largest or sole tenant of these buildings.
In Asia, Citi’s principal executive offices are in leased premises located at CitibankChampion Tower in Hong Kong. Citi also has other significant leased premises, including in Singapore, Kuala Lumpur, Manila and Japan. Citi has major or full ownership interests in country headquartersheadquarter locations in Shanghai, Seoul Kuala Lumpur, Manila, and Mumbai.
Citi’s principal executive offices in Mexico, which also serve as the headquarters of Banamex,Citibanamex, are located in Mexico City. Citi’s principal executive offices for Latin America (other than Mexico) are located in leased premises located in Miami.
Citi also owns or leases over 6955 million square feet of real estate in 10195 countries, consisting of over 10,0007,700 properties.
Citi continues to evaluate its global real estate footprint and space requirements and may determine from time to time that certain of its premises are no longer necessary. There is no assurance that Citi will be able to dispose of any excess premises or that it will not incur charges in connection with such dispositions, which could be material to Citi’s operating results in a given period.
Citi has developed programs for its properties to achieve long-term energy efficiency objectives and reduce its greenhouse gas emissions to lessen its impact on climate change. These activities could help to mitigate, but will not eliminate, Citi’s potential risk from future climate change regulatory requirements.
For further information concerning leases, see Note 2726 to the Consolidated Financial Statements.



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 (Section 219), 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, hasin its related quarterly report on Form 10-Q, previously disclosed reportable activities pursuant to Section 219 for each of the first, second and third quarters of 2014 in its related quarterly reports on Form 10-Q. Citi has no reportable activities pursuant to Section 219 for2017.
 During the fourth quarter of 2014.2017, Bank Handlowy w Warszawie S.A., a Citibank subsidiary located in Poland, processed two funds transfers involving the Iranian Embassy in Poland.  The value of both funds transfers was EUR 60 each for a total of EUR 120 (approximately $70.48 per transfer for a total of $140.96).  These payments were for visa-related fees, which are permissible under the travel exemption in the Iranian Transactions and Sanctions Regulations.  Bank Handlowy w Warszawie realized EUR 2.36 (approximately $2.93) in fees for processing a foreign currency payment.



302


UNREGISTERED SALES OF EQUITY, PURCHASES OF EQUITY SECURITIES, DIVIDENDS

Unregistered Sales of Equity Securities
None.

Equity Security Repurchases
The following table summarizes Citi’s equity security repurchases, which consisted entirely of common stock repurchases, during the three months ended December 31, 2014:2017:

In millions, except per share amounts
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
Total shares
purchased
Average
price paid
per share
Approximate dollar
value of shares that
may yet be purchased
under the plan or
programs
October 2014  
October 2017  
Open market repurchases(1)
2.8
$50.82
$532
24.0
$73.69
$8,342
Employee transactions(2)
—
—
N/A
—
—
N/A
November 2014  
November 2017  
Open market repurchases(1)
1.0
53.73
479
25.3
72.63
6,504
Employee transactions(2)
—
—
N/A
—
—
N/A
December 2014  
December 2017  
Open market repurchases(1)
3.4
53.86
297
24.9
75.50
4,625
Employee transactions(2)
—
—
N/A
—
—
N/A
Amounts as of December 31, 20147.2
$52.65
$297
Total for 4Q17 and remaining program balance as of December 31, 201774.2
$73.94
$4,625
(1)Represents repurchases under the $1.2$15.6 billion 20142017 common stock repurchase program (2014(2017 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on April 23, 2014, whichJune 28, 2017. The 2017 Repurchase Program was part of the planned capital actions included by Citi in its 20142017 Comprehensive Capital Analysis and Review. The 2014 Repurchase Program extends through the first quarter of 2015.Review (CCAR). Shares repurchased under the 20142017 Repurchase Program arewere added to treasury stock.
(2)Consisted of shares added to treasury stock related to (i) certain activity on employee stock option program exercises where the employee delivers existing shares to cover the option exercise, or (ii) under Citi’s employee restricted or deferred stock programs where shares are withheld to satisfy tax requirements.
N/A Not applicable

Dividends
In addition to Board of Directors’ approval, Citi’s ability to pay common stock dividends substantially depends on regulatory approval, including an annual regulatory review of the results of the Comprehensive Capital Analysis and Review (CCAR)CCAR process required by the Federal Reserve Board and the supervisory stress tests required under the Dodd-Frank Act. SeeFor additional information regarding Citi’s capital planning and stress testing, see “Capital Resources—Current Regulatory Capital Standards—Stress Testing Component of Capital Planning” and “Risk Factors-Business and OperationalFactors—Strategic Risks” above. For information on the ability of Citigroup’s subsidiary depository institutions and non-bank subsidiaries to pay dividends, see Note 19 to the Consolidated Financial Statements. Any dividend on Citi’s outstanding common stock would also need to be made in compliance with Citi’s obligations to its outstanding preferred stock.
For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 to the Consolidated Financial Statements.




303


PERFORMANCE GRAPH

Comparison of Five-Year Cumulative Total Return
The following graph and table compare the cumulative total return on Citi’s common stock, which is listed on the NYSE under the ticker symbol “C” and held by 89,655X common stockholders of record as of January 31, 2015,2018, with the cumulative total return of the S&P 500 Index and the S&P Financial Index over the five-year period through December 31, 2014.2017. The graph and table assume that $100 was invested on December 31, 20092012 in Citi’s common stock, the S&P 500 Index and the S&P Financial Index, and that all dividends were reinvested.

Comparison of Five-Year Cumulative Total Return
For the years ended

DATECITIS&P 500S&P FINANCIALSCITIS&P 500S&P FINANCIALS
31-Dec-2009100.0
100.0
100.0
31-Dec-2010142.9
112.8
110.8
30-Dec-201179.5
112.8
90.4
31-Dec-2012119.5
127.9
114.2
100.0
100.0
100.0
31-Dec-2013157.4
165.8
152.1
131.8
132.4
135.6
31-Dec-2014163.5
184.6
172.0
137.0
150.5
156.2
31-Dec-2015131.4
152.6
153.9
31-Dec-2016152.3
170.8
188.9
31-Dec-2017

193.5
208.1
230.9






304


CORPORATE INFORMATION

CITIGROUP EXECUTIVE OFFICERS
Citigroup’s executive officers as of February 25, 201523, 2018 are:
NameAgePosition and office held
Raja J. Akram45Controller and Chief Accounting Officer
Francisco Aristeguieta49CEO, Latin America
Stephen Bird4852CEO, Asia Pacific
Stephen Bird51CEO, Global Consumer Banking
Don Callahan5861Head of Operations and Technology; Chief Operations and Technology Officer
Michael L. Corbat5457Chief Executive Officer
James C. Cowles5962CEO, Europe, Middle East and Africa
Barbara Desoer6265CEO, Citibank, N.A.
James A. Forese5255
Co-President;President;
CEO, Institutional Clients Group
Jane Fraser50CEO, Latin America
John C. Gerspach6164Chief Financial Officer
BradBradford Hu5154Chief Risk Officer
Brian Leach55Head of Franchise Risk and Strategy
Manuel Medina-Mora64
Co-President;
CEO, Global Consumer Banking;
Chairman, Mexico
William J. Mills5962CEO, North America
J. Michael Murray5053Head of Human Resources and Talent
Jeffrey R. Walsh57Controller and Chief Accounting Officer
Rohan Weerasinghe6467General Counsel and Corporate Secretary

Each executive officer has held executive or management positions with Citigroup for at least five years, except that:

Mr. Akram joined Citi in 2006 and assumed his current position in November 2017. Previously, he had served as Deputy Controller since April 2017. He held a number of other roles in Citi Finance, including Lead Finance Officer for Treasury and Trade Solutions, Brazil Country Controller, Brazil Country Finance Officer and head of the Corporate Accounting Policy team supporting M&A activities.
Ms. Desoer joined CitiCitibank, N.A. as Chief Operating Officer in October 2013 and assumed her current position in April 2014. Prior to joining Citi, Ms. Desoer had a 35-year career at Bank of America, where she was President, Bank of America Home Loans, a Global Technology & Operations Executive, and President, Consumer Products, among other roles.
Mr. Weerasinghe joined Citi in June 2012. Prior to joining Citi, Mr. Weerasinghe was Senior Partner at Shearman & Sterling.

 
Code of Conduct, Code of Ethics
Citi has a Code of Conduct that maintains its commitment to the highest standards of conduct. The Code of Conduct is supplemented by a Code of Ethics for Financial Professionals (including accounting, controllers, financial reporting operations, financial planning and analysis, treasury, tax, strategy and M&A, investor relations and regional/product finance professionals and administrative staff) that applies worldwide. The Code of Ethics for Financial Professionals applies to Citi’s principal executive officer, principal financial officer and principal accounting officer. Amendments and waivers, if any, to the Code of Ethics for Financial Professionals will be disclosed on Citi’s website, www.citigroup.com.
Both the Code of Conduct and the Code of Ethics for Financial Professionals can be found on the Citi website by clicking on “About Us,” and then “Corporate Governance.” Citi’s Corporate Governance Guidelines can also be found there, as well as the charters for the Audit Committee, the Ethics and Culture Committee, the Nomination, Governance and Public Affairs Committee, the Operations and Technology Committee, the Personnel and Compensation Committee and the Risk Management Committee of the Board. These materials are also available by writing to Citigroup Inc., Corporate Governance, 601 Lexington Avenue, 19th Floor, New York, New York 10022.







CITIGROUP BOARD OF DIRECTORS

Michael L. Corbat
Chief Executive Officer
Citigroup Inc.

Ellen M. Costello
Former President, CEO,
BMO Financial Corporation, and Former U.S. Country Head
BMO Financial Group

John C. Dugan
Former Chairman
Financial Institutions Group
Covington & Burling LLP

Duncan P. Hennes
Co-Founder and Partner of
Atrevida Partners, LLC


Peter Blair Henry
Dean Emeritus and W. R. Berkley Professor of Economics and Finance
New York University
Leonard N. Stern School of Business

Franz B. Humer
Former Chairman and CEO, Retired
Roche Holding Ltd.

S. Leslie Ireland
Former Assistant Secretary for Intelligence and Analysis
U.S. Department of the Treasury

Renée J. James
Chairman and CEO
Ampere Computing and Operating Executive
The Carlyle Group


Eugene M. McQuade
Former Vice Chairman
Citigroup Inc. and
Former Chief Executive Officer Citibank, N.A.

Michael E. O’Neill
Chairman
Citigroup Inc.

Gary M. Reiner
Operating Partner
General Atlantic LLC

Judith Rodin
President
Rockefeller Foundation
Robert L. Ryan
Chief Financial Officer, Retired
Medtronic Inc.

Anthony M. Santomero
Former President
Federal Reserve Bank of
Philadelphia
Joan E. Spero
Senior Research Scholar
Columbia University
  School of International
  and Public Affairs



Diana L. Taylor
Vice Chair
Solera Capital, LLC

William S. Thompson, Jr.
Chief Executive Officer, Retired
Pacific Investment
  Management Company
  (PIMCO)
James S. Turley
Former Chairman and ChiefCEO
  Executive Officer, Retired
Ernst & Young

Deborah C. Wright
Former Chairman
Carver Bancorp, Inc.

Ernesto Zedillo Ponce de Leon
Director, Center for the
Study of Globalization;Globalization and
Professor in the Field
of International
Economics and Politics,
Yale University



305


Signatures
Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 25th23rd day of February, 2015.2018.

Citigroup Inc.
(Registrant)

/s/ John C. Gerspach

John C. Gerspach
Chief Financial Officer

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the registrant and in the capacities indicated on the 25th23rd day of February, 2015.2018.

Citigroup’s Principal Executive Officer and a Director:

/s/ Michael L. Corbat

Michael L. Corbat


Citigroup’s Principal Financial Officer:

/s/ John C. Gerspach

John C. Gerspach


Citigroup’s Principal Accounting Officer:

/s/ Jeffrey WalshRaja J. Akram

Jeffrey R. WalshRaja J. Akram

 
The Directors of Citigroup listed below executed a power of attorney appointing John C. Gerspach their attorney-in-fact, empowering him to sign this report on their behalf.

Duncan P. HennesEllen M. CostelloMichael E. O’Neill
John C. DuganAnthony M. Santomero
Franz B. HumerDuncan P. HennesJoan E. Spero
Michael E. O’Neill
Diana L. Taylor

Gary M. ReinerWilliam S. Thompson, Jr.
Judith RodinPeter Blair HenryJames S. Turley
Robert RyanFranz B. HumerDeborah C. Wright
S. Leslie IrelandErnesto Zedillo Ponce de Leon
Eugene M. McQuade


/s/ John C. Gerspach

John C. Gerspach



306


EXHIBIT INDEX

Exhibit  
Number Description of Exhibit
3.01
 
Restated Certificate of Incorporation of the Company, as in effect on the date hereof, incorporated by reference to Exhibit 3.01 to the Company'sCompany’s Quarterly Report on Form 10-Q for the quarterly periodquarter ended September 30, 2014March 31, 2016 (File No. 001-9924)(the Company's September 30, 2014 10-Q)1-9924).


   
3.02
 
By-Laws of the Company, as amended, as in effect on the date hereof, incorporated by reference to the Company’s Current Report on Form 8-K filed January 10, 2013October 27, 2015 (File No. 001-09924).
   
4.01
 
Form of Senior Indenture between the Company and The Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.8 to the Company’s Registration Statement on Form S-3 filed November 13, 2013 (File No. 333-192302).
   
4.02
 
First Supplemental Indenture, dated as of February 1, 2016, between Citigroup and The Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Current Report on Form 8-K filed on February 1, 2016 (File No. 001-9924).
4.03
Second Supplemental Indenture, dated as of December 29, 2016, between Citigroup and The Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Current Report on Form 8-K filed on December 29, 2016 (File No. 001-9924).
4.04
Third Supplemental Indenture dated as of June 26, 2017 among Citigroup Global Markets Holdings Inc., the Company and The Bank of New York Mellon, as trustee, to Indenture dated as of November 13, 2013, incorporated by reference to Exhibit 4.01 to the Company’s Quarterly Report on Form 10-Q filed August 1, 2017 (File No. 001-09924).
4.05
Subordinated Debt Indenture, dated as of April 12, 2001, between the Company and The Bank of New York Mellon, as successor to JP Morgan Chase Bank (formerly Bank One Trust Company, N.A.), as trustee, incorporated by reference to Exhibit 4.1 to the Company’s Registration Statement on Form S-3 filed February 21,4, 2013 (No. 333-186425).
   
4.03
4.06
 
First Supplemental Indenture, dated as of August 2, 2004, between the Company and J.P. Morgan Trust Company, N.A. (formerly Bank One Trust Company, N.A.), as trustee, incorporated by reference to Exhibit 4.13 to the Company’s Registration Statement on Form S-3/A filed August 31, 2004 (No. 333-117615).
   
4.04
4.07
Second Supplemental Indenture, dated as of May 18, 2016, between Citigroup and The Bank of New York Mellon, as successor to J.P. Morgan Trust Company, N.A. (formerly Bank One Trust Company, N.A.), as trustee, incorporated by reference to Exhibit 4.2 to the Company’s Current Report on Form 8-K filed on May 20, 2016 (No. 001-9924).
4.08
Third Supplemental Indenture, dated as of March 1, 2017, between Citigroup and The Bank of New York Mellon, as successor to J.P. Morgan Trust Company, N.A. (formerly Bank One Trust Company, N.A.), as trustee, incorporated by reference to Exhibit 4.11 to the Company’s Registration Statement on Form S-3 filed March 1, 2017 (No. 333-216372).
4.09 Indenture, dated as of March 15, 1987, between Primerica Corporation, a New Jersey corporation, and The Bank of New York, as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Registration Statement on Form S-3 filed December 8, 1992 (No. 03355542).
   
4.054.10 First Supplemental Indenture, dated as of December 15, 1988, among Primerica Corporation, Primerica Holdings, Inc. and The Bank of New York, as trustee, incorporated by reference to Exhibit 4.02 to the Company’s Registration Statement on Form S-3 filed December 8, 1992 (No. 03355542).
   

4.06
4.11 Second Supplemental Indenture, dated as of January 31, 1991, between Primerica Holdings, Inc. and The Bank of New York, as trustee, incorporated by reference to Exhibit 4.03 to the Company’s Registration Statement on Form S-3 filed December 8, 1992 (No. 03355542).
   
4.074.12 Third Supplemental Indenture, dated as of December 9, 1992, among Primerica Holdings, Inc., Primerica Corporation and The Bank of New York, as trustee, incorporated by reference to Exhibit 5 to the Company’s Form 8-A dated December 21, 1992, with respect to its 7 3/4% Notes Due June 15, 1999 (No. 001-09924).
   
4.08
4.13
 
Fourth Supplemental Indenture, dated as of November 2, 1998, between the Company and The Bank of New York, as trustee, incorporated by reference to Exhibit 4.01 to the Company’s Quarterly Report on Form 10-Q for the quarter ended September 30, 1998 (No. 001-09924).
   
4.09
4.14
 
Fifth Supplemental Indenture, dated as of December 9, 2008, between the Company and The Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.04 to the Company’s Current Report on Form 8-K filed December 11, 2008 (No. 001-09924).
   
4.10
4.15
 
Sixth Supplemental Indenture, dated as of December 20, 2012, between the Company and The Bank of New York Mellon, as trustee, providing for the issuance of debt securities, incorporated by reference to Exhibit 4.5 to the Company’s Current Report on Form 8-K filed December 21, 2012 (No. 001-09924).
   
4.11
4.16
 
Seventh Supplemental Indenture, dated as of May 18, 2016, between Citigroup Inc. and The Bank of New York Mellon, as trustee, incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed on May 20, 2016 (No. 001-9924).
4.17
Senior Debt Indenture, dated as of June 1, 2005, among Citigroup Funding Inc., the Company and The Bank of New York Mellon, as successor trustee to JPMorgan Chase Bank, N.A., incorporated by reference to Exhibit 4(b) to the Company’s Registration Statement on Form S-3 filed March 30,13, 2006 (No. 333-132370-01).
   



4.12
4.18
 
Second Supplemental Indenture, dated as of December 20, 2012, among Citigroup Funding Inc., the Company and The Bank of New York Mellon, as successor trustee to JPMorgan Chase Bank, N.A., incorporated by reference to Exhibit 4.2 to the Company’s Current Report on Form 8-K filed December 21, 2012 (No. 001-09924).
   
4.13
4.19
 
Indenture, dated as of July 23, 2004, between the Company and JPMorgan Chase Bank, as trustee, incorporated by reference to Exhibit 4.28 to the Company’s Registration Statement on Form S-3 filed July 2,23, 2004 (No. 333-117615).
   
4.14
4.20
 
Warrant Agreement (relating to Warrants (expiring January 4, 2019)), dated as of January 25, 2011, between the Company and Computershare Inc. and Computershare Trust Company, N.A., as Warrant Agent, incorporated by reference to Exhibit 4.1 to the Company’s Form 8-A filed January 26, 2011 (File No. 001-09924).
   
4.15
4.21
 
Specimen Warrant for 255,033,142 Warrants, incorporated by reference to Exhibit 4.2 to the Company’s Form 8-A filed January 26, 2011 (File No. 001-09924).
   
4.16
4.22
 
Warrant Agreement (relating to Warrants (expiring October 28, 2018)), dated as of January 25, 2011, between the Company and Computershare Inc. and Computershare Trust Company, N.A., as Warrant Agent, incorporated by reference to Exhibit 4.1 to the Company’s Form 8-A filed January 26, 2011 (File No. 001-09924).
   
4.17
4.23
 
Specimen Warrant for 210,084,034 Warrants, incorporated by reference to Exhibit 4.2 to the Company’s Form 8-A filed January 26, 2011 (File No. 001-09924).
   
4.18
4.24
 
Form of Capital Securities Guarantee Agreement between the Company, as Guarantor, and The Bank of New York Mellon, as Guarantee Trustee, incorporated by reference to Exhibit 4.32 to the Company'sCompany’s Registration Statement on Form S-3 filed July 2, 2004 (File No. 333-117615).
   

4.19
4.25
 
Specimen Physical Common Stock Certificate of the Company, incorporated by reference to Exhibit 4.1 to the Company’s Current Report on Form 8-K filed May 9, 2011 (File No. 001-09924).
   
10.01*+
 
Citi Discretionary Incentive and Retention Award Plan (as Amended and Restated Effective as of January 1, 2015), incorporated by reference to Exhibit 10.01 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2014 (File No. 001-09924) (the “Company’s 2014 10-K”).
   
10.02.1*
 
Citigroup 1999 Stock Incentive Plan (as amended and restated effective January 1, 2009), incorporated by reference to Exhibit 10.15 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2008 (File No. 001-09924) (the “Company’s 2008 10-K”).
   
10.02.2*
 
Citigroup 2009 Stock Incentive Plan (as amended and restated effective April 24, 2013), incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed April 26, 2013 (File No. 001-09924).
   
10.02.3*
 
Citigroup 2014 Stock Incentive Plan (as amended and restated effective April 26, 2016), incorporated by reference to Exhibit 10.0110.1 to the Company’s Current Report on Form 8-K filed April 25, 201429, 2016 (File No. 001-09924)333-211479).
   
10.03*+
 
Citigroup Inc. Deferred Cash Award Plan (as Amended and Restated Effective as of January 1, 2015)., incorporated by reference to Exhibit 10.03 to the Company’s 2014 10-K.
   
10.04.1*
 Form of Citigroup Inc. 2012 Discretionary Incentive and Retention Award Agreement, incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2011 (File No. 001-09924).
10.04.2*Form of Citigroup Inc. 2013 CAP/DCAP Agreement, incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2012 (File No. 001-09924).
10.04.3*
Form of Citigroup Inc. 2014 CAP/DCAP Agreement, incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2013 (File No. 001-09924).
   
10.04.4*
10.04.2*
 
Form of Citigroup Inc. 2015 CAP/DCAP Agreement, incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2014 10-Q.(File No. 001-09924).
   



10.05*
10.04.3*
 
Form of Citigroup Inc. CAP/DCAP Agreement, incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2015 (File No. 001-09924).
10.05*
Form of Citigroup Executive Premium Price Option Agreement, incorporated by reference to Exhibit 99.2 to the Company’s Current Report on Form 8-K filed January 21, 2009 (File No. 001-09924).
   
10.06*
 
The Amended and Restated 2011 Citigroup Executive Performance Plan (as amended and restated January 1, 2016, and as further amended on February 16, 2017), incorporated by reference to Exhibit 10.2 to the Company’s Current Report on Form 8-K10-Q filed April 26, 2011for the quarterly period ended March 31, 2017 (File No. 001-09924).
   
10.07*
10.07.1*
 
Form of Citigroup Inc. Employee Option GrantPerformance Share Unit Award Agreement (Executive Option Grant Program)(awards dated February 18, 2015), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2011March 31, 2015 (File No. 001-09924).
   
10.08*
10.07.2*
 
Form of Citigroup Inc. Performance Share Unit Award Agreement (awards dated February 19, 2013)16, 2016 and in future years), incorporated by reference to Exhibit 10.02 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 20132016 (File No. 001-09924).
   
10.09*
10.07.3
 
Form of Citigroup Inc. Performance Share Unit Award Agreement (awards dated February 18, 2014)16, 2017 and in future years), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended March 31, 20142017 (File No. 001-09924).
   
10.10*
10.08*
 
Citigroup Management Committee Termination Notice and Non-Solicitation Policy, effective October 2, 2006, incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed October 6, 2006 (File No. 001-09924).
   
10.11.1*10.09.1* Citicorp Deferred Compensation Plan, effective October 1995, incorporated by reference to Exhibit 10 to Citicorp’s Registration Statement on Form S-8 filed February 15, 1996 (File No. 333-00983).
   

10.11.2*
10.09.2*
 
Amendment to the Citicorp Deferred Compensation Plan, incorporated by reference to Exhibit 10.18.2 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 1999 (File No. 001-09924) (the Company’s“Company’s 1999 10-K)10-K”).
   
10.11.3*
10.09.3*
 
Amendment to the Citicorp Deferred Compensation Plan, effective as of September 28, 2001, incorporated by reference to Exhibit 10.17.3 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2001 (the Company’s 2001 10-K) (File No. 001-09924).
   
10.11.4*
10.09.4*
 
Nonqualified Plan Amendment to the Citicorp Deferred Compensation Plan, adopted November 19, 2009, incorporated by reference to Exhibit 10.01.5 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2009 (File No. 001-09924) (the Company’s“Company’s 2009 10-K)10-K”).
   
10.12.1*
10.10.1*
 
Supplemental ERISA Compensation Plan of Citibank, N.A. and Affiliates, as amended and restated (the Citibank“Citibank Supplemental ERISA Plan)Plan”), incorporated by reference to Exhibit 10.(G) to Citicorp’s Annual Report on Form 10-K for the fiscal year ended December 31, 1997 (File No. 001-05378).
   
10.12.2*
10.10.2*
 
Amendment to the Citibank Supplemental ERISA Plan (the 1999“1999 Amended Citibank Supplemental ERISA Plan)Plan”), incorporated by reference to Exhibit 10.21.2 to the Company’s 1999 10-K.
   
10.12.3*
10.10.3*
 
Amendment to the 1999 Amended Citibank Supplemental ERISA Plan (the 2005“2005 Amended Citibank Supplemental ERISA Plan)Plan”), incorporated by reference to Exhibit 10.04.1 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2005 (File No. 001-09924).
   
10.12.4*
10.10.4*
 
Amendment to the 2005 Amended Citibank Supplemental ERISA Plan, as amended January 1, 2009 (the 2009“2009 Amended Citibank Supplemental ERISA Plan)Plan”), incorporated by reference to Exhibit 10.01.4 to the Company’s 2009 10-K.
   
10.12.5*
10.10.5*
 
Nonqualified Plan Amendment to the 2009 Amended Citibank Supplemental ERISA Plan, approved November 19, 2009, incorporated by reference to Exhibit 10.01.510.01.4 to the Company’s 2009 10-K.
   
10.12.6*
10.10.6*
 
Amendment No. 4 to the 2009 Amended Citibank Supplemental ERISA Plan, approved December 21, 2012, incorporated by reference to Exhibit 10.01.6 to the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2012 (File No. 001-09924).



   
10.13*
10.11*
 
Citigroup Inc. Omnibus Non-Qualified Plan Amendment effective as of June 2, 2014, incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2014 (File No. 001-09924).
   
10.14*
10.12*
 
Letter Agreement, dated December 21, 2011, between Citigroup Inc. and Michael Corbat, incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed December 22, 2011 (File No. 001-09924).
   
10.15.1*
10.13*
 Citigroup Inc. Amended and Restated Compensation Plan for Non-Employee Directors (as of September 21, 2004), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2005 (File No. 001-09924).
10.15.2*Form of Citigroup Inc. Non-Employee Director Equity Award Agreement (pursuant to the Amended and Restated Compensation Plan for Non-Employee Directors), incorporated by reference to Exhibit 10.1 to the Company’s Current Report on Form 8-K filed January 14, 2005 (File No. 001-09924).
10.15.3*Form of Citigroup Inc. Non-Employee Director Equity Award Agreement (effective November 1, 2006), incorporated by reference to Exhibit 10.05 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2006 (File No. 001-09924).
10.16*
Citigroup Inc. Non-Employee Directors Compensation Plan (effective as of January 1, 2008), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended September 30, 2007 (File No. 001-09924).
   
12.01+
10.14*
 
Expatriate Localization to U.S. Memorandum, dated December 2, 2016, for Stephen Bird, incorporated by reference to Exhibit 10.1 to the Company’s Report on Form 8-K filed December 2, 2016 (File No. 001-09924).
12.01+
Calculation of Ratio of Income to Fixed Charges.
   
12.02+
 
Calculation of Ratio of Income to Fixed Charges Including Preferred Stock Dividends.
   
21.01+
 
Subsidiaries of the Company.
   

23.01+
 
Consent of KPMG LLP, Independent Registered Public Accounting Firm.
   
24.01+
 
Powers of Attorney.
   
31.01+
 
Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
31.02+
 
Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
32.01+
 
Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
   
99.01+
 
List of Securities Registered Pursuant to Section 12(b) of the Securities Exchange Act of 1934.
   
101.01+
 
Financial statements from the Annual Report on Form 10-K of the Company for the fiscal year ended December 31, 2014,2017, filed February 25, 2015,23, 2018, formatted in XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to Consolidated Financial Statements.
 
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.




Copies of any of the exhibits referred to above will be furnished at a cost of $0.25 per page (although no charge will be made for the 20142017 Annual Report on Form 10-K) to security holders who make written request to Citigroup Inc., Corporate Governance, 153 East 53rd Street, 19th Floor, New York, New York 10022.

* Denotes a management contract or compensatory plan or arrangement.
+ Filed herewith.



313