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, 20152018
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.)
388 Greenwich Street, New York, NY
(Address of principal executive offices)
 
10013
(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 Web 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, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer" andfiler," "smaller reporting company" and “emerging growth 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
Emerging growth 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, 20152018 was approximately $166.1$168.1 billion.
Number of shares of Citigroup Inc. common stock outstanding on January 31, 2016: 2,948,120,1532019: 2,351,523,709
Documents Incorporated by Reference: Portions of the registrant’s proxy statement for the annual meeting of stockholders scheduled to be held on April 26, 2016,16, 2019 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. Business2–30, 120–122,4–28, 113–116,
   125, 152,120, 146,
   309–310294–295
    
1A. Risk Factors54–6348–57
    
1B. Unresolved Staff CommentsNot Applicable
    
2. Properties309–310294–295
    
3. Legal Proceedings—See Note 2827 to the Consolidated Financial Statements286–296276–282
    
4. Mine Safety DisclosuresNot Applicable
    
Part II 
    
5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities134–135, 157–158 311–312128–129, 152–154, 296–297
    
6. Selected Financial Data8–99–10
    
7. Management’s Discussion and Analysis of Financial Condition and Results of Operations5–32, 65–1196–30, 59–112
    
7A. Quantitative and Qualitative Disclosures About Market Risk65–119, 153–155, 181–218, 225–27959–112, 147–151, 172–209, 216–268
    
8. Financial Statements and Supplementary Data129–308124–293
    
9. Changes in and Disagreements with Accountants on Accounting and Financial DisclosureNot Applicable
    
9A. Controls and Procedures123–124118–119
    
9B. Other InformationNot Applicable
    
    
 
    
    
    
Part III 
    
10. Directors, Executive Officers and Corporate Governance313–314*298–300*
    
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 Schedules315–319

*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 26, 2016,16, 2019, to be filed with the SEC (the Proxy Statement), incorporated herein by reference.
**
See “Compensation Discussion and Analysis,” “The Personnel and Compensation Committee Report,” and “2015“2018 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” including Annex B, “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 20152018 ANNUAL REPORT ON FORM 10-K
OVERVIEW
24
MANAGEMENT'S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
56
Executive Summary
56
Summary of Selected Financial Data
89
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
1011
SEGMENT BALANCE SHEET
12
CITICORP
13
Global Consumer Banking (GCB)
14
North America GCB
16
Latin America GCB
18
Asia GCB
20
Institutional Clients Group
2322
Corporate/Other
27
CITI HOLDINGS
28
OFF-BALANCE SHEET
  ARRANGEMENTS
3129
CONTRACTUAL OBLIGATIONS
3230
CAPITAL RESOURCES
3331
RISK FACTORS
5448
Managing Global Risk Table of Contents
6458
MANAGING GLOBAL RISK
6559
SIGNIFICANT ACCOUNTING POLICIES AND
  SIGNIFICANT ESTIMATES
120113
FUTURE APPLICATION OF ACCOUNTING
  STANDARDS
117
DISCLOSURE CONTROLS AND
  PROCEDURES
123118
MANAGEMENT’S ANNUAL REPORT ON
  INTERNAL CONTROL OVER FINANCIAL
  REPORTING
124119
FORWARD-LOOKING STATEMENTS
125120
REPORT OF INDEPENDENT REGISTERED
  PUBLIC ACCOUNTING FIRM—INTERNAL
  CONTROL OVER FINANCIAL REPORTING
126121
REPORT OF INDEPENDENT REGISTERED
  PUBLIC ACCOUNTING FIRM—
  CONSOLIDATED FINANCIAL STATEMENTS
127122
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
128123
CONSOLIDATED FINANCIAL STATEMENTS
129124
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS
138132
FINANCIAL DATA SUPPLEMENT
308293
SUPERVISION, REGULATION AND OTHER
309294
CORPORATE INFORMATION
313298
Citigroup Executive Officers
313298
Citigroup Board of Directors
313299


1


OVERVIEW

Citigroup’s history dates back to the founding of the City
Bank of New York in 1812.
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, 2015,2018, Citi had approximately 231,000204,000 full-time employees, compared to approximately 241,000209,000 full-time employees at December 31, 2014.2017.
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.
















































2



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.
(Chart continues on next page.)


3




acitisegmentsq418chart.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
* As previously announced, Citigroup intends to exit its consumer businesses in Brazil, Argentina and Colombia. Effective in the first quarter of 2016, these businesses, which previously have been reported as part of Latin America GCB, will be reported as part of Citi Holdings. For additional information, see “Citicorp” below. Citi intends to release a revised Quarterly Financial Data Supplement reflecting this realignment prior to the release of its first quarter of 2016 earnings information.citiregionsq4.jpg

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

4


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

EXECUTIVE SUMMARY

Citi’s full year 2015 results of operations reflected a solid overall performance. As described in more detailfurther throughout this Executive Summary, Citi’s full year 2015 net income of $17.1 billion wasCiti made steady progress in 2018 toward improving its highest since pre-financial crisis, when Citi wasprofitability and returns, despite a very different companymore challenging revenue environment, particularly in terms of footprint, mix ofcertain market-sensitive businesses and assets.given macroeconomic uncertainties. During the year,2018, Citi was able to grow revenues byreported 3% and make investments in its core Citicorp businesses while reducing its overall expenses, thus improving its overall efficiency ratio. Loan and depositunderlying revenue growth in Citicorp each grew by 5% while Citi’s overall balance sheet decreased by 3% (eachGlobal Consumer Banking (GCB) and Institutional Clients Group (ICG), excluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation))gains on sale in 2018 and 2017 (see “Citigroup” below). Citi also ended 2015 withhad solid revenue growth across treasury and trade solutions, private bank, securities services, equity markets and corporate lending in ICG, partially offset by weakness in fixed income as well as softness in equity and debt underwriting. Citi reported revenue growth in all regions in GCB, reflecting continued loan and overall deposit growth, partially offset by the near-term impact of weak market sentiment on Asia wealth management revenues, as well as the impact from partnership renewal terms that went into effect in 2018 in Citi-branded cards in North America GCB.
Citi demonstrated strong expense discipline, resulting in a Common Equity Tier 1 Capital ratio, on a fully implemented basis, of 12.1%.
In addition to these accomplishments, Citi made significant progress on its execution priorities during 2015, including:

Efficient resource allocation and disciplined expense management: As described above, Citi maintained disciplined expense management during 2015,1% decrease in expenses, as well as positive operating leverage, even as itCiti continued to absorb increased regulatory and compliance costs in Citicorp and mademake ongoing business investments. Citi’s expense management during 2015 was further aided by lower legalpositive operating leverage, combined with continued credit discipline, resulted in an improvement in pretax earnings. Citi also generated continued loan and related expenses and lower repositioning expenses in Citicorp as compared to the prior year, as discussed further below.
Continued wind down of Citi Holdings, while maintaining profitability: Citi significantly reduced the assets in Citi Holdingsdeposit growth during the year.
Moreover, Citi Holdings’ assets decreased $55 billion, or 43%, from 2014, ending the year at $74 billion.continued to return capital to its shareholders. In addition, as of December 31, 2015,2018, Citi had executed agreements to further reduce Citi Holdings GAAP assets by approximately $7returned $18.4 billion in 2016 (for additional information, see “Citi Holdings”the form of common stock repurchases and dividends. Citi repurchased over 200 million shares during the last year, resulting in an 8% reduction in outstanding common shares. While Citi made continued progress in returning capital to shareholders, each of Citi’s key regulatory capital metrics remained strong (see “Capital” below). As discussed further below, Citi Holdings also maintained profitability in 2015.
Utilization of deferred tax assets (DTAs): Citi utilized approximately $1.5 billion in DTAs during 2015 (for additional information, see “Significant Accounting PoliciesGoing into 2019, while global economic growth has continued and Significant Estimates—Income Taxes” belowthe underlying macroeconomic environment remains largely positive, there continue to be various economic, political and Note 9 to the Consolidated Financial Statements).

Citi was able to achieve these results and make ongoing progress on its execution priorities during a year with market volatilityother risks and uncertainties including macroeconomic uncertainties, slower global growth and market volatility resulting from, among other things, lower commodity prices as well as uncertainty regarding the timing and pace of U.S. interest rate changes.
As the year-to-date has shown, Citi expects thethat could create a more volatile operating environment in 2016 to remain challenging, with many of the uncertainties impacting its results of operations during 2015
continuing into 2016.and impact Citi’s businesses and future results. For a more detailed discussion of the risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition during 2016,2019, see each respective business’business’s results of operations, “Risk Factors” and “Managing Global Risk” below. WhileDespite these risks and uncertainties, Citi may not be able to control all aspects of its operating environment in 2016, it intends to continue to build on the progress made during 2015 by2018 with a focus on further optimizing its performance to benefit shareholders, while remaining focused on its execution prioritiesflexible and target client strategy.adapting to market and economic conditions as they develop.

20152018 Summary Results

Citigroup
Citigroup reported net income of $17.2$18.0 billion, or $5.40$6.68 per share, compared to $7.3a net loss of $6.8 billion, or $2.20$2.98 per share, in the prior year. Results in 2015 included $254 million ($162 million after-tax) of CVA/DVA, compared to negative $390 million (negative $240 million after-tax) in 2014. Citigroup full year 2014 results also2017 included a one-time,
non-cash charge of $3.8$22.6 billion, ($3.7 billion after-tax) to settle RMBS and CDO-related claims recorded in Citi Holdings and a tax charge of $210 million related to corporatethe enactment of the Tax Cuts and Jobs Act (Tax Reform), which impacted the tax reforms recordedline within Corporate/Other, as well as the tax lines in North America GCB and ICG. Results in 2018 included a one-time benefit of $94 million, due to the finalization of the provisional component of the impact based on Citi’s analysis as well as additional guidance received from the U.S. Treasury Department related to Tax Reform, which impacted the tax line within Corporate/Other(for additional information, see “Significant Accounting Policies and Estimates—Income Taxes” below).
Excluding the one-time impact of CVA/DVATax Reform in both periods as well as the impact of the mortgage settlementcurrent and the tax item in 2014,prior year, Citigroup reported net income of $17.1$18.0 billion in 2015, or $5.35increased 14% compared to the prior year, reflecting a lower effective tax rate, higher revenues and lower expenses, partially offset by higher cost of credit. On this basis, earnings per share comparedincreased 25%, due to $11.5 billion, or $3.55 per share,growth in net income and the prior year.8% reduction in average shares outstanding, driven by the common stock repurchases. (Citi’s results of operations excluding the impact of CVA/DVA as well as the impact of the mortgage settlement and the tax item in 2014Tax Reform are non-GAAP financial measures. Citi believes the presentation of its results
of operations excluding these impactsthe one-time impact of Tax Reform in both the current and prior year provides a more meaningful depiction for investors of the underlying fundamentals of its businesses.) The 49% increase
Citigroup revenues of $72.9 billion in 2018 increased 1%, as 3% growth in GCB and 1% growth in ICG were largely offset by a 33% decrease in Corporate/Other, primarily due to the continued wind-down of legacy assets. Results in 2017 included a one-time gain (approximately $580 million) on the sale of a fixed income analytics business in ICG,and results in 2018 included a one-time gain (approximately $250 million) on the sale of an asset management business in Latin America GCB. Excluding the gains on sale in both periods, aggregate revenues in ICG and GCB grew 3% from the prior year was primarily driven by lower expenses and lower net credit losses, partially offset by lower revenues and a reduced net loan loss reserve release.year.
Citi’s revenues were $76.4Citigroup’s end-of-period loans increased 3% to $684 billion in 2015, a decrease of 1% fromversus the prior year. Excluding CVA/DVA, revenues were $76.1 billion, down 2% from the prior year, as Citicorp revenues decreased by 2% and Citi Holdings revenues decreased 1%. Excluding CVA/DVA and the impact of FXforeign currency translation Citigroup revenues increasedinto U.S. dollars for reporting purposes (FX translation), Citigroup’s end-of-period loans grew 4%, as 8% growth in ICG and 3% fromgrowth in GCB were partially offset by the prior year, driven by an increasecontinued wind-down of 3%legacy assets in both Citicorp and Citi Holdings’ revenues.Corporate/Other. (Citi’s results of operations excluding the impact of gains on sales and FX translation are non-GAAP financial measures. Citi believes the presentation of its results of operations excluding the impact of gains on sales and FX translation provides a more meaningful depiction for investors of the underlying fundamentals of its businesses.)

Expenses
Citigroup expenses decreased 21%Citigroup’s end-of-period deposits increased 6% to $1.0 trillion versus the prior year to $43.6 billion. Excluding the impact of the mortgage settlement in the prior year, Citigroup expenses declined 15% driven by significantly lower legal and related expenses ($1.5 billion compared to $5.8 billion in the prior year) and


5


repositioning costs ($472 million compared to $1.6 billion in the prior year), as well as the impact of FX translation (which lowered expenses by approximately $2.6 billion in 2015 compared to the prior year). Excluding the impact of both the mortgage settlement in the prior year and FX translation, Citigroup’s expenses declined 10%, mainly driven by the lower legal and related expenses and repositioning costs.
Excluding the impact of FX translation, which lowered reported expenses by approximately $2.4 billion in 2015 compared to the prior year, Citicorp expenses decreased 9% also driven by significantly lower legal and related expenses and repositioning costs. Citicorp expenses in 2015 included legal and related expenses of $1.1 billion, compared to $4.8 billion in the prior year, and $278 million of repositioning costs, compared to $1.5 billion in the prior year.
Citi Holdings’ expenses were $4.6 billion, down 52% from the prior year. Excluding the impact of the mortgage settlementFX translation, Citigroup’s deposits were up 7%, primarily reflecting a 10% increase inICG and a 1% increase in GCB.

Expenses
Citigroup operating expenses of $41.8 billion decreased 1% versus the prior year, Citi Holdings’ expenses decreased 22%, primarily driven byas efficiency savings and the ongoing decline in Citi Holdingswind-down of legacy assets as well as lower legal and related expenses.more than offset the impact of higher volume-

Credit Costs
related expenses and ongoing investments. Operating expenses in both ICG and GCB were up 3%, while Corporate/Other operating expenses declined 40%, all versus the prior year.

Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $7.9$7.6 billion increased 6%2% from the prior year, driven by higher net loan loss reserve builds and higher net credit losses. The net loan loss reserve build of $354 million compared to a net loan loss reserve build of $266 million in the prior year. Excluding the impact of the mortgage settlementThe increase largely reflected a modest net loan loss reserve build in ICG,compared to a net loan loss reserve release in the prior year, Citi’s total provisions for credit losses and for benefits and claims increased 7% as apartially offset by lower net loan loss reserve release was partially offset by lower net credit losses.builds in North America GCB.
Net credit losses of $7.3$7.1 billion declined 19%increased 1% versus the prior year. Consumer net credit losses declined 19%increased 4% to $7.1
$6.9 billion, mostlylargely reflecting continued improvementsvolume growth and seasoning inNorth America Citi-branded cards and Citi retail services in Citicorp as well as the North America mortgage portfolio within Citi Holdings.cards portfolios, partially offset by the continued wind-down of legacy assets in Corporate/Other. Corporate net credit losses declined 19%decreased 55% to $234 million. As previously disclosed, corporate net credit losses in 2014 included approximately $165$169 million, primarily reflecting the impact of net credit losses related to the Pemex supplier program in Mexico (for additional information, see “Institutional Clients Group” below). Excluding these net credit lossesan episodic charge-off incurred in the prior year, net credit losses increased by approximately $111 million, primarily related to a limited number of energy and energy-related corporate loans, predominantly incurred during the latter part of 2015 (for additional information, see “Institutional Clients Group” and “Credit Risk—Corporate Credit” below).
The net release of allowance for loan losses and unfunded lending commitments was $120 million in 2015, compared to a $2.4 billion release in 2014, excluding the impact of the mortgage settlement in the prior year. Citicorp’s net reserve build was $409 million, compared to a net loan loss reserve release of $1.4 billion in 2014. The build in 2015 was primarily driven by net loan loss reserve builds in Institutional Clients Group (ICG) during the latter part of 2015, including approximately $530 million for energy and energy-related exposures. Overall, Citi expects its credit costs in Citicorp will likely be higher in 2016 as compared to 2015 given that it believes the vast majority of its net loan loss reserve releases have occurred as credit quality has largely stabilized.
Citi Holdings’ net reserve release, excluding the impact of the mortgage settlement in the prior year, decreased $443 million from the prior year to $529 million, primarily reflecting lower net releases related to the North America mortgage portfolio.
For additional information on Citi’s consumer and corporate credit costs and allowance for loan losses, see each respective business’s results of operations and “Credit Risk” below.

Capital
Citi continued to grow its regulatory capital during 2015, even as it returned approximately $5.9 billion of capital to its shareholders in the form of common stock repurchases and dividends. Citigroup’s Tier 1 Capital and Common Equity Tier 1 Capital and Tier 1 Capital ratios on a fully implemented basis, were 13.5%11.9% and 12.1%13.5% as of December 31, 2015,2018, respectively, compared to 11.5%12.4% and 10.6%14.1% as of December 31, 2014 (all2017, both based on the Basel III Advanced ApproachesStandardized Approach for determining risk-weighted assets).assets. The decline in regulatory capital largely reflected the return of capital to common shareholders, partially offset by earnings growth. Citigroup’s Supplementary Leverage ratio as of December 31, 2015, on a fully implemented basis,2018 was 7.1%6.4%, compared to 5.9%6.7% as of December 31, 2014.2017. For additional information on Citi’s capital ratios and related components, including the impact of Citi’s DTAs on its capital ratios, see “Capital Resources” below.

CiticorpGlobal Consumer Banking
Citicorp GCB net income of $5.8 billion increased 50% from49%. Excluding the prior year to $16.2 billion. CVA/DVA, recorded in ICG,was $269 million ($172 million after-tax) in 2015, compared to negative $343 million (negative $211 million after-tax)one-time impact of Tax Reform in the prior year, (for a summary of CVA/DVA by business within ICGGCB, see “Institutional Clients Group” below). Excluding CVA/DVA in both periods and the tax item in 2014, Citicorp’s net income was $16.0 billion, up 43% from the prior year,increased 25%, driven primarily driven by thea lower expenseseffective tax rate and net credit losses,higher revenues, partially offset by lower revenueshigher expenses. Operating expenses were $18.6 billion, up 3%, as higher volume-related expenses and the net loan loss reserve builds.
Citicorp revenues decreased 1% from the prior year to $68.5 billion. Excluding CVA/DVA, Citicorp revenuescontinued investments were $68.2 billion in 2015, down 2% from the prior year, reflecting largely unchanged revenues in ICG and a 6% decrease in Global Consumer Banking (GCB) revenues. As referenced above, excluding CVA/DVA and the impact of FX translation, Citicorp’srevenues grew 3%.partially offset by efficiency savings.
GCB revenues of $33.9$33.8 billion decreased 6%increased 3% versus the prior year. Excluding the impact of FX translation, GCB revenues decreased 1%, as decreases in North America GCB and Asia GCB werepartially offsetyear, driven by an increase in Latin America GCB.growth across all regions. North America GCB revenues decreasedincreased 1% to $19.4$20.5 billion, as lower revenues in Citi-branded cards were partially offsetdriven by higher retail banking revenues.revenues across all businesses. Citi-branded cards revenues of $7.8$8.6 billion were down 6%up 1% versus the prior year, reflectingas growth in interest-earning balances was largely offset by the continuedpreviously disclosed impact of lower average loans as well as an increase in acquisition and rewards costs related to new account acquisitions, particularly during the second half of 2015.partnership renewal terms. Citi retail services revenues of $6.4$6.6 billion were largely unchangedincreased 3% versus the prior year, asprimarily reflecting organic loan growth and the continued impactbenefit of lower fuel prices and higher contractual partner payments wasthe L.L.Bean portfolio acquisition, partially offset by modest growth in average loans.higher partner payments. Retail banking revenues increased 1% from
the prior year to $5.3 billion. Excluding mortgage revenues, retail banking revenues of $4.8 billion were up 6% from the prior


6


year, to $5.2 billion, reflectingdriven by continued loan andgrowth in deposit growth and improvedmargins, partially offset by lower deposit spreads. volumes.
North America GCB average deposits of $172$180 billion increased 1%decreased a net 2% year-over-year, and primarily driven by a reduction in money market balances, as clients transferred money to investments. North America GCB average retail loans of $50$56 billion grew 7%.1% from the prior year. Assets under management of $60 billion were largely unchanged from the prior year, as 5% underlying growth was offset by the impact of market movements, due to the equity market sell-off at the end of 2018. Average Citi-branded card loans of $107$88 billion decreased 2%increased 4%, while Citi-branded card purchase sales of $263$344 billion increased 4%8% versus the prior year. Average Citi retail services loans of $48 billion increased 6% versus the prior year, while Citi retail services purchase sales of $87 billion were up 7%. For additional information on the results of operations of North America GCB for 2015,2018, 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 12%increased 5% versus the prior year to $14.4$13.2 billion. Excluding the impact of FX translation, international GCB revenues were unchangedincreased 6% versus the prior year. Latin America GCB revenues increased 3%13% versus the prior year, as increasesincluding the gain on sale in loan2018. Excluding the gain on sale, Latin America GCB revenues increased 8%,driven by growth in loans and deposit balancesdeposits as well as the impact of business divestitures were partially offset by the continued impact of spread compression in cards.improved deposit spreads. Asia GCB revenues declined 3%increased 2% versus the prior year, reflectingas continued growth in deposit, cards and insurance revenues was largely offset by lower investment sales revenues as well as continued high payment rates and the ongoing impact of regulatory changes in cards, partially offset by growth in lending, deposit and insurance products.due to weak market sentiment. For additional information on the results of operations of Latin America GCB and Asia GCB (which includes the results of operations of EMEA GCB for reporting purposes) for 2015,2018, including the impact of FX translation, see “Global Consumer Banking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $129$127 billion increased 5%4%, average retail loans of $99$90 billion increased 3%, investment salesassets under management of $78$98 billion decreased 8%1%, average card loans of $26$24 billion increased 2% and card purchase sales of $101$104 billion increased 6%7%, all excluding the impact of FX translation.

Institutional Clients Group
ICG net income of $12.2 billionincreased 35%. Excluding the one-time impact of Tax Reform in the prior year, ICG net income increased 11%, driven by a lower effective tax rate and higher revenues, partially offset by higher operating expenses and higher cost of credit. ICG operating expenses increased 3% to $21.0 billion, as higher compensation costs, volume-related expenses and continued investments were partially offset by efficiency savings.
ICG revenues were $33.7$37.0 billion in 2015,2018, up 2%1% from the prior year, as a 6% increase in Banking revenues was largely offset by a 3% decrease in Markets and securities services,including the impact of the gain on sale in the prior year. Excluding the gain on sale in the prior year, revenues increased 3%, primarily driven by a 6% increase in Banking

revenues, as Markets and securities services revenues were largely unchanged versus the prior year. The increase in Banking revenues included the impact of $45 million of gains on loan hedges within corporate lending, compared to losses of $133 million in the prior year.
Banking revenues of $19.9 billion (excluding the impact of gains (losses) on loan hedges within corporate lending) increased 5%, driven by solid growth in treasury and trade solutions, private bank and corporate lending, partially offset by lower revenues in investment banking. Investment banking revenues of $5.0 billion decreased 7% versus the prior year, as growth in advisory was more than offset by a decline in both debt and equity underwriting, largely reflecting lower market activity. Advisory revenues increased 16% to $1.3 billion, equity underwriting revenues decreased 12% to $991 million and debt underwriting revenues decreased 13% to $2.7 billion, all versus the prior year.
Treasury and trade solutions revenues of $9.3 billion increased 8% versus the prior year, reflecting volume growth and improved deposit spreads, with solid growth across net interest and fee income. Private bank revenues increased 9% to $3.4 billion from the prior year, driven by growth in investments, as well as improved deposit spreads. Corporate lending revenues increased 26% to $2.3 billion. Excluding the impact of gains (losses) on loan hedges, corporate lending revenues increased 15% versus the prior year, primarily driven by loan growth and lower hedging costs.
Markets and securities services revenues of $17.0 billion decreased 3% from the prior year. Excluding CVA/DVA,the gain on sale in the prior year, ICGMarkets and securities services revenues were largely unchanged from the prior year, at $33.5 billion.
Bankingas a decline in fixed income markets revenues of $16.9 billion, excluding CVA/DVA and the impact of mark-to-market gains on hedges related to accrual loans within corporate lending (see below), were largely unchanged compared to the prior year, as lower equity underwriting activity within investment banking as well as the impact of FX translation was offset by higher advisory revenuesan increase in both equity markets and continued growth in the private bank. Investment bankingsecurities services revenues. Fixed income markets revenues of $4.5$11.6 billion decreased 3% versus the prior year. Advisory revenues increased 16% to $1.1 billion with sustained wallet share gains for the year. Debt underwriting revenues increased 1% to $2.5 billion, driven by wallet share gains in investment grade debt and strong performance in investment grade loans in the second half of 2015, while equity underwriting revenues decreased 28% to $902 million, largely reflecting lower industry-wide underwriting activity during the year.
Private bank revenues, excluding CVA/DVA, increased 8% to $2.9 billion6% from the prior year, driven by higher loanlower revenues in both rates and deposit balances as well as growth in managed investments revenue. Corporate lending revenues rose 8% to $2.0 billion, including $323 million of mark-to-market gains on hedges related to accrual loans compared to a $116 million gain incurrencies and spread products, reflecting the prior year. Excluding the impact of FX translation and the mark-to-market impact of loan hedges, corporate
lending revenues increased 3% versus the prior year, as growth in average loans was partially offset by the impact of lower spreads. Treasury and trade solutions revenues of $7.8 billion were relatively unchanged versus the prior year. Excluding the impact of FX translation, treasury and trade solutions revenues increased 6%, as continued growth in deposit balances and spreads was partially offset by lower trade revenues.
Markets and securities services revenues of $16.3 billion, excluding CVA/DVA, decreased 1% from the prior year. Fixed incomemore challenging environment. Equity markets revenues of $11.3$3.4 billion excluding CVA/DVA, decreased 7%increased 19% from the prior year as(14% excluding an episodic loss in derivatives in the prior year), driven by growth in ratesderivatives and currencies was more thanprime finance as well as higher investor client revenue, partially offset by a slowdownmodest decline in spread products, reflecting the volatile trading environment during the year. Equity markets revenues of $3.1 billion, excluding CVA/DVA, increased 13% versus the prior year driven by growth across all products.cash equities. Securities services revenues of $2.1$2.6 billion increased 4% versus the prior year, and increased 15% excluding the impact of FX translation, reflecting increased11%, driven by growth in client activityvolumes and higher client balances.interest revenue. For additional information on the results of operations of ICG for 2015,2018, see “Institutional Clients Group” below.

Corporate/Other
Corporate/Other net income was $107 million in 2018, compared to a net loss of $19.7 billion in the prior year. Excluding the one-time impact of Tax Reform in both periods, Corporate/Other net income declined 92% to $13 million, largely reflecting lower revenues, partially offset by lower operating expenses and lower cost of credit. Operating expenses of $2.3 billion declined 40% from the prior year, largely reflecting the wind-down of legacy assets, lower infrastructure costs and lower legal expenses. Corporate/Other revenues increased to $907 millionwere $2.1 billion, down 33% from $301 million in the prior year, driven mainly by gains on debt buybacks duringprimarily reflecting the coursecontinued wind-down of 2015.legacy assets. For additional information on the results of operations of Corporate/Otherin 2015, for 2018, see “Corporate/Other” below.
Citicorp end-of-period loans increased 1% to $573 billion from the prior year, as a 5% increase in corporate loans was partially offset by a 2% decrease in consumer loans. Excluding the impact of FX translation, Citicorp loans grew 5%, with 8% growth in corporate loans and 2% growth in consumer loans.

Citi Holdings
Citi Holdings’ net income was $1.0 billion in 2015, compared to a net loss of $3.5 billion in the prior year. CVA/DVAwas negative $15 million (negative $10 million after-tax) in 2015, compared to negative $47 million (negative $29 million after-tax) in the prior year. Excluding the impact of CVA/DVA in both periods and the impact of the mortgage settlement in the prior year, Citi Holdings’ net income was $1.1 billion, compared to $275 million in the prior year, primarily reflecting lower expenses and lower credit costs.
Citi Holdings’ revenues were largely unchanged from the prior year at $7.8 billion. Excluding CVA/DVA, Citi Holdings’ revenues decreased 1% to $7.9 billion from the prior year, primarily driven by the overall wind-down of the portfolio and the impact of redemptions of high cost debt, mostly offset by the impact of higher gains on asset sales. For additional information on the results of operations of Citi Holdings in 2015, see “Citi Holdings” below.
At the end of 2015, Citi Holdings’ assets were $74 billion, 43% below the prior year, and represented approximately 4% of Citi’s total GAAP assets. Citi Holdings’ risk-weighted assets were $133 billion as of December 31, 2015, a decrease of 30% from the prior year, and represented 11% of Citi’s risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).


7


RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
In millions of dollars, except per-share amounts and ratios20152014201320122011
In millions of dollars, except per share amounts and ratios20182017201620152014
Net interest revenue$46,630
$47,993
$46,793
$46,686
$47,649
$46,562
$45,061
$45,476
$47,093
$48,445
Non-interest revenue29,724
29,226
29,931
22,844
29,986
26,292
27,383
25,321
30,184
29,731
Revenues, net of interest expense$76,354
$77,219
$76,724
$69,530
$77,635
$72,854
$72,444
$70,797
$77,277
$78,176
Operating expenses43,615
55,051
48,408
50,036
50,180
41,841
42,232
42,338
44,538
56,008
Provisions for credit losses and for benefits and claims7,913
7,467
8,514
11,329
12,359
7,568
7,451
6,982
7,913
7,467
Income from continuing operations before income taxes$24,826
$14,701
$19,802
$8,165
$15,096
$23,445
$22,761
$21,477
$24,826
$14,701
Income taxes(1)7,440
7,197
6,186
397
4,020
5,357
29,388
6,444
7,440
7,197
Income from continuing operations$17,386
$7,504
$13,616
$7,768
$11,076
Income (loss) from continuing operations$18,088
$(6,627)$15,033
$17,386
$7,504
Income (loss) from discontinued operations, net of taxes(1)(2)
(54)(2)270
(58)68
(8)(111)(58)(54)(2)
Net income before attribution of noncontrolling interests$17,332
$7,502
$13,886
$7,710
$11,144
Net income (loss) before attribution of noncontrolling interests$18,080
$(6,738)$14,975
$17,332
$7,502
Net income attributable to noncontrolling interests90
192
227
219
148
35
60
63
90
192
Citigroup’s net income$17,242
$7,310
$13,659
$7,491
$10,996
Citigroup’s net income (loss)(1)
$18,045
$(6,798)$14,912
$17,242
$7,310
Less:  
Preferred dividends—Basic$769
$511
$194
$26
$26
$1,173
$1,213
$1,077
$769
$511
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS224
111
263
164
184
200
37
195
224
110
Income allocated to unrestricted common shareholders for basic EPS$16,249
$6,688
$13,202
$7,301
$10,786
Add: Other adjustments to income—
1
1
10
16
Income allocated to unrestricted common shareholders for diluted EPS$16,249
$6,689
$13,203
$7,311
$10,802
Income (loss) allocated to unrestricted common shareholders for basic and diluted EPS$16,672
$(8,048)$13,640
$16,249
$6,689
Earnings per share  
  
Basic  
  
Income from continuing operations$5.43
$2.21
$4.26
$2.51
$3.68
Net income5.41
2.21
4.35
2.49
3.71
Income (loss) from continuing operations$6.69
$(2.94)$4.74
$5.43
$2.21
Net income (loss)6.69
(2.98)4.72
5.41
2.21
Diluted  
Income from continuing operations$5.42
$2.20
$4.25
$2.44
$3.58
Net income5.40
2.20
4.34
2.42
3.60
Income (loss) from continuing operations$6.69
$(2.94)$4.74
$5.42
$2.20
Net income (loss)
6.68
(2.98)4.72
5.40
2.20
Dividends declared per common share0.16
0.04
0.04
0.04
0.03
1.54
0.96
0.42
0.16
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  
In millions of dollars, except per-share amounts, ratios and direct staff20152014201320122011
In millions of dollars, except per share amounts, ratios and direct staff20182017201620152014
At December 31:   
Total assets$1,731,210
$1,842,181
$1,880,035
$1,864,328
$1,873,597
$1,917,383
$1,842,465
$1,792,077
$1,731,210
$1,842,181
Total deposits907,887
899,332
968,273
930,560
865,936
1,013,170
959,822
929,406
907,887
899,332
Long-term debt201,275
223,080
221,116
239,463
323,505
231,999
236,709
206,178
201,275
223,080
Citigroup common stockholders’ equity(1)205,139
199,717
197,254
186,155
177,213
177,760
181,487
205,867
205,139
199,717
Total Citigroup stockholders’ equity(1)221,857
210,185
203,992
188,717
177,525
196,220
200,740
225,120
221,857
210,185
Direct staff (in thousands)
231
241
251
259
266
204
209
219
231
241
Performance metrics    
Return on average assets0.95%0.39%0.73%0.39%0.56%0.94%(0.36)%0.82%0.95%0.39%
Return on average common stockholders’ equity(2)(3)
8.1
3.4
7.0
4.1
6.3
9.4
(3.9)6.6
8.1
3.4
Return on average total stockholders’ equity(2)(3)
7.9
3.5
6.9
4.1
6.3
9.1
(3.0)6.5
7.9
3.5
Efficiency ratio (Total operating expenses/Total revenues)57
71
63
72
65
Efficiency ratio (total operating expenses/total revenues)57.4
58.3
59.8
57.6
71.6
Basel III ratios—full implementation(4)  
Common Equity Tier 1 Capital(3)(5)
12.07%10.57%10.57%8.72%N/A
11.86%12.36 %12.57%12.07%10.57%
Tier 1 Capital(3)(5)
13.49
11.45
11.23
9.03
N/A
13.46
14.06
14.24
13.49
11.45
Total Capital(3)(5)
15.30
12.80
12.64
10.81
N/A
16.18
16.30
16.24
15.30
12.80
Supplementary Leverage ratio(4)
7.08
5.94
5.42
N/A
N/A
6.41
6.68
7.22
7.08
5.94
Citigroup common stockholders’ equity to assets(1)11.85%10.84%10.49%9.99%9.46%9.27%9.85 %11.49%11.85%10.84%
Total Citigroup stockholders’ equity to assets(1)12.82
11.41
10.85
10.12
9.48
10.23
10.90
12.56
12.82
11.41
Dividend payout ratio(5)(6)
3.0
1.8
0.9
1.7
0.8
23.1
         NM8.9
3.0
1.8
Book value per common share$69.46
$66.05
$65.12
$61.46
$60.61
Ratio of earnings to fixed charges and preferred stock dividends2.89x
2.00x
2.18x
1.39x
1.61x
Total payout ratio(7)
109.1
         NM77.1
36.0
19.9
Book value per common share(1)
$75.05
$70.62
$74.26
$69.46
$66.05
Tangible book value (TBV) per share(1)(8)
63.79
60.16
64.57
60.61
56.71
(1)2017 includes the one-time impact related to the enactment of Tax Reform. 2018 reflects the tax rate structure under Tax Reform. For additional information, see “Significant Accounting Policies and Estimates—Income Taxes” below.
(2)See Note 2 to the Consolidated Financial Statements for additional information on Citi’s discontinued operations.
(2)(3)The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(3)(4)CapitalCiti’s risk-based capital and leverage ratios based on the U.S. Basel III rules, withfor 2017 and prior years are non-GAAP financial measures, which reflect full implementation assumed forof regulatory capital components; risk-weighted assets based onadjustments and deductions prior to the Advanced Approaches for determining total risk-weighted assets.effective date of January 1, 2018.
(4)(5)As of December 31, 2018 and 2017, Citi’s Supplementary Leverage ratio is based onreportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the U.S.lower derived under the Basel III rules,Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches 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.
(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.
(8)For information on a fully implemented basis.TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.
(5) Dividends declared per common share as a percentage of net income per diluted share.
N/ANM Not applicablemeaningful


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 dollars201520142013% Change 
 2015 vs. 2014		% Change 
 2014 vs. 2013		2018
2017(1)
2016% Change 
 2018 vs. 2017		% Change 
 2017 vs. 2016
Income (loss) from continuing operations    
CITICORP  
Global Consumer Banking    
North America$4,255
$4,412
$3,918
(4)%13 %$3,340
$1,990
$3,239
68 %(39)%
Latin America928
1,158
1,251
(20)(7)928
610
633
52
(4)
Asia(1)
1,199
1,249
1,407
(4)(11)
Asia(2)
1,494
1,278
1,059
17
21
Total$6,382
$6,819
$6,576
(6)%4 %$5,762
$3,878
$4,931
49 %(21)%
Institutional Clients Group

 



  
North America$3,621
$4,113
$3,081
(12)%33 %$3,500
$2,355
$3,515
49 %(33)%
EMEA2,288
2,034
2,554
12
(20)3,891
2,832
2,345
37
21
Latin America1,328
1,345
1,606
(1)(16)1,889
1,544
1,454
22
6
Asia2,214
2,042
2,184
8
(7)2,920
2,335
2,211
25
6
Total$9,451
$9,534
$9,425
(1)%1 %$12,200
$9,066
$9,525
35 %(5)%
Corporate/Other$495
$(5,375)$(514)NM
NM
$126
$(19,571)$577
NM
NM
Total Citicorp$16,328
$10,978
$15,487
49 %(29)%
Citi Holdings$1,058
$(3,474)$(1,871)NM
(86)%
Income from continuing operations$17,386
$7,504
$13,616
NM
(45)%
Income (loss) from continuing operations$18,088
$(6,627)$15,033
NM
NM
Discontinued operations$(54)$(2)$270
NM
NM
$(8)$(111)$(58)93 %(91)%
Net income attributable to noncontrolling interests90
192
227
(53)%(15)%35
60
63
(42)(5)
Citigroup’s net income$17,242
$7,310
$13,659
NM
(46)%
Citigroup’s net income (loss)$18,045
$(6,798)$14,912
NM
NM

(1)
2017 includes the one-time impact related to the enactment of Tax Reform. For reporting purposes, additional information, see “Significant Accounting Policies and Estimates—Income Taxes” below.
(2)
Asia GCB includes the results of operations of EMEA GCB for all periods presented.
NM Not meaningful

10


CITIGROUP REVENUES
In millions of dollars201520142013% Change 
 2015 vs. 2014		% Change 
 2014 vs. 2013
CITICORP     
Global Consumer Banking     
North America$19,448
$19,669
$19,798
(1)%(1)%
Latin America7,323
8,460
8,576
(13)(1)
Asia(1)
7,091
7,888
7,931
(10)(1)
Total$33,862
$36,017
$36,305
(6)%(1)%
Institutional Clients Group   

 
North America$13,105
$12,940
$11,434
1 %13 %
EMEA9,799
9,415
10,061
4
(6)
Latin America3,918
4,098
4,675
(4)(12)
Asia6,926
6,599
7,152
5
(8)
Total$33,748
$33,052
$33,322
2 %(1)%
Corporate/Other$907
$301
$322
NM
(7)%
Total Citicorp$68,517
$69,370
$69,949
(1)%(1)%
Citi Holdings$7,837
$7,849
$6,775
— %16 %
Total Citigroup net revenues$76,354
$77,219
$76,724
(1)%1 %
(1)
For reporting purposes, Asia GCB includes the results of operations ofactivities in certain EMEA GCBcountries for all periods presented.
NM Not meaningful


CITIGROUP REVENUES
11
In millions of dollars201820172016% Change 
 2018 vs. 2017		% Change 
 2017 vs. 2016
Global Consumer Banking     
North America$20,544
$20,270
$19,764
1 %3 %
Latin America5,760
5,222
4,971
10
5
Asia(1)
7,473
7,346
6,889
2
7
Total$33,777
$32,838
$31,624
3 %4 %
Institutional Clients Group     
North America$12,914
$13,923
$12,767
(7)%9 %
EMEA11,770
10,879
10,012
8
9
Latin America4,504
4,385
4,125
3
6
Asia7,806
7,287
7,036
7
4
Total$36,994
$36,474
$33,940
1 %7 %
Corporate/Other$2,083
$3,132
$5,233
(33)%(40)%
Total Citigroup net revenues$72,854
$72,444
$70,797
1 %2 %
(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.




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
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$11,389
$60,557
$60,285
$132,231
$866
$—
$133,097
$8,338
$66,963
$112,804
$—
$188,105
Federal funds sold and securities borrowed or purchased under agreements to resell127
218,336
—
218,463
1,212
—
219,675
Federal funds sold and securities borrowed and purchased under agreements to resell140
270,322
222
—
270,684
Trading account assets5,290
240,022
1,382
246,694
3,262
—
249,956
949
245,521
9,647
—
256,117
Investments7,273
108,248
220,451
335,972
6,983
—
342,955
1,152
116,006
241,449
—
358,607
Loans, net of unearned income and    
allowance for loan losses277,323
284,871
—
562,194
42,797
—
604,991
Loans, net of unearned income and allowance for loan losses305,631
351,333
14,917
—
671,881
Other assets44,047
75,504
45,237
164,788
15,748
—
180,536
37,551
99,638
34,800
—
171,989
Liquidity assets(4)
48,148
223,811
(275,553)(3,594)3,594
—
—
Net inter-segment liquid assets(4)
78,378
244,387
(322,765)—
—
Total assets$393,597
$1,211,349
$51,802
$1,656,748
$74,462
$—
$1,731,210
$432,139
$1,394,170
$91,074
$—
$1,917,383
Liabilities and equity       
Total deposits$301,438
$587,336
$12,058
$900,832
$7,055
$—
$907,887
$308,106
$689,983
$15,081
$—
$1,013,170
Federal funds purchased and securities loaned or sold under agreements to repurchase4,235
142,200
—
146,435
61
—
146,496
Federal funds purchased and securities loaned and sold under agreements to repurchase4,459
173,302
7
—
177,768
Trading account liabilities3
116,633
41
116,677
835
—
117,512
140
143,751
414
—
144,305
Short-term borrowings100
20,962
—
21,062
17
—
21,079
491
22,381
9,474
—
32,346
Long-term debt1,891
31,924
21,307
55,122
3,996
142,157
201,275
Long-term debt(3)
1,865
42,557
43,809
143,768
231,999
Other liabilities16,813
73,211
17,349
107,373
6,496
—
113,869
18,854
88,036
13,831
—
120,721
Net inter-segment funding (lending)(3)
69,117
239,083
(188)308,012
56,002
(364,014)—
98,224
234,160
7,604
(339,988)—
Total liabilities$393,597
$1,211,349
$50,567
$1,655,513
$74,462
$(221,857)$1,508,118
$432,139
$1,394,170
$90,220
$(196,220)$1,720,309
Total equity—
—
1,235
1,235
—
221,857
223,092
Total stockholders’ equity(5)
—
—
854
196,220
197,074
Total liabilities and equity$393,597
$1,211,349
$51,802
$1,656,748
$74,462
$—
$1,731,210
$432,139
$1,394,170
$91,074
$—
$1,917,383

(1)
The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of December 31, 2015.2018. 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.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, marketable equity securities and available-for-sale debt securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
(5)
Corporate/Other equity represents noncontrolling interests.



12


CITICORPGLOBAL CONSUMER BANKING
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 (GCB) (which consists of consumer banking businesses in North America EMEA, , Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia) and. Institutional Clients GroupGCB (which includes Banking and Markets and securities services). Citicorp also includes Corporate/Other. At December 31, 2015, Citicorp had approximately $1.7 trillion of assets and $901 billion of deposits, representing approximately 96% of Citi’s total assets and 99% of Citi’s total deposits.
Consistent with its strategy to continue to efficiently allocate its resources and further simplify its Global Consumer Bank, in February 2016, Citi announced that it intends to exit its consumer businesses in Argentina, Brazil and Colombia. These consumer businesses, consisting of approximately $6 billion of assets, $5 billion of consumer loans and $3 billion of deposits as of December 31, 2015, contributed approximately $1.1 billion of revenues, $900 million of expenses and a net loss of $34 million in 2015. These businesses, which previously have been reported as part of Latin America GCB, will be reported as part of Citi Holdings beginning in the first quarter of 2016. See also “Citigroup Segments” above and “Citi Holdings” below. While Citi does not intend to exit its consumer businesses in Venezuela, these businesses are not significant, lending predominantly to support ICG activities, and will be reported as part of ICG beginning in the first quarter of 2016. Similarly, Citi’s remaining indirect investment in Banco de Chile will be reported as part of ICG beginning in the first quarter of 2016.

In millions of dollars except as otherwise noted201520142013% Change 
 2015 vs. 2014		% Change 
 2014 vs. 2013
Net interest revenue$42,926
$43,402
$42,445
(1)%2 %
Non-interest revenue25,591
25,968
27,504
(1)(6)
Total revenues, net of interest expense$68,517
$69,370
$69,949
(1)%(1)%
Provisions for credit losses and for benefits and claims   

 
Net credit losses$6,236
$7,136
$7,199
(13)%(1)%
Credit reserve build (release)309
(1,238)(811)NM
(53)
Provision for loan losses$6,545
$5,898
$6,388
11 %(8)%
Provision for benefits and claims107
144
167
(26)(14)
Provision for unfunded lending commitments100
(152)90
NM
NM
Total provisions for credit losses and for benefits and claims$6,752
$5,890
$6,645
15 %(11)%
Total operating expenses$39,000
$45,362
$40,498
(14)%12 %
Income from continuing operations before taxes$22,765
$18,118
$22,806
26 %(21)%
Income taxes6,437
7,140
7,319
(10)(2)
Income from continuing operations$16,328
$10,978
$15,487
49 %(29)%
Income (loss) from discontinued operations, net of taxes(54)(2)270
NM
NM
Noncontrolling interests79
186
211
(58)(12)
Net income$16,195
$10,790
$15,546
50 %(31)%
Balance sheet data (in billions of dollars)
   

 
Total end-of-period (EOP) assets$1,657
$1,713
$1,726
(3)%(1)%
Average assets1,712
1,753
1,711
(2)2
Return on average assets0.95%0.62%0.91%

 
Efficiency ratio57
65
58


 
Total EOP loans$573
$565
$565
1
—
Total EOP deposits901
883
900
2
(2)
NM Not meaningful

13


GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consists of Citigroup’s four geographical consumer bankingbusinesses that provideprovides 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)above and “Managing Global Risk—Consumer Credit” below). GCB is a globally diversified businessfocused on its priority markets in the U.S., Mexico and Asia with 2,9942,410 branches in 2419 countries around the worldand jurisdictions as of December 31, 2015.2018. Asia GCB also includes traditional retail banking and Citi-branded card products that are provided to retail customers in certain EMEA countries. At December 31, 2015,2018, GCB had approximately $394$432 billion ofin assets and $301$308 billion ofin 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 (including commercial banking), Citi serves customers in a somewhat broader set of segments and geographies. Consistent with its strategy, since 2012, Citi has exited, or is in the process of exiting, 20 consumer markets and has reduced its branch footprint by 25% to focus its global presence.

In millions of dollars except as otherwise noted201520142013% Change 
 2015 vs. 2014		% Change 
 2014 vs. 2013
In millions of dollars, except as otherwise noted201820172016% Change 
 2018 vs. 2017		% Change 
 2017 vs. 2016
Net interest revenue$26,881
$27,924
$27,545
(4)%1 %$28,583
$27,425
$26,232
4 %5 %
Non-interest revenue6,981
8,093
8,760
(14)(8)5,194
5,413
5,392
(4)—
Total revenues, net of interest expense$33,862
$36,017
$36,305
(6)%(1)%$33,777
$32,838
$31,624
3 %4 %
Total operating expenses$18,264
$19,951
$19,801
(8)%1 %$18,590
$18,003
$17,627
3 %2 %
Net credit losses$6,029
$6,860
$7,017
(12)%(2)%$6,920
$6,562
$5,610
5 %17 %
Credit reserve build (release)(318)(1,148)(654)72
(76)563
965
708
(42)36
Provision (release) for unfunded lending commitments5
(23)37
NM
NM
—
(2)3
100
NM
Provision for benefits and claims107
144
167
(26)(14)103
116
106
(11)9
Provisions for credit losses and for benefits and claims$5,823
$5,833
$6,567
— %(11)%
Provisions for credit losses and for benefits and claims
(LLR & PBC)
$7,586
$7,641
$6,427
(1)%19 %
Income from continuing operations before taxes$9,775
$10,233
$9,937
(4)%3 %$7,601
$7,194
$7,570
6 %(5)%
Income taxes3,393
3,414
3,361
(1)2
1,839
3,316
2,639
(45)26
Income from continuing operations$6,382
$6,819
$6,576
(6)%4 %$5,762
$3,878
$4,931
49 %(21)%
Noncontrolling interests9
25
14
(64)79
7
9
7
(22)29
Net income$6,373
$6,794
$6,562
(6)%4 %$5,755
$3,869
$4,924
49 %(21)%
Balance Sheet data (in billions of dollars)
 

 
Balance Sheet data and ratios (in billions of dollars)
  
Total EOP assets$432
$428
$411
1 %4 %
Average assets$391
$408
$401
(4)%2 %423
417
395
1
6
Return on average assets1.63%1.67%1.65%

 1.36%0.93%1.25% 
Efficiency ratio54
55
55


 55
55
56
 
Total EOP assets$394
$406
$413
(3)(2)
Average deposits300
305
299
(2)2
$307
$306
$298
—
3
Net credit losses as a percentage of average loans2.14%2.36%2.52%

 2.26%2.21%2.01% 
Revenue by business 

   
Retail banking$14,777
$15,461
$15,991
(4)%(3)%$14,065
$13,481
$12,990
4 %4 %
Cards(1)
19,085
20,556
20,314
(7)1
19,712
19,357
18,634
2
4
Total$33,862
$36,017
$36,305
(6)%(1)%$33,777
$32,838
$31,624
3 %4 %
Income from continuing operations by business 

   
Retail banking$1,989
$1,787
$1,897
11 %(6)%$2,304
$1,656
$1,538
39 %8 %
Cards(1)
4,393
5,032
4,679
(13)8
3,458
2,222
3,393
56
(35)
Total$6,382
$6,819
$6,576
(6)%4 %$5,762
$3,878
$4,931
49 %(21)%
(Table continues on the next page.)page, including footnotes.


14


Foreign currency (FX) translation impact    
Total revenue—as reported$33,862
$36,017
$36,305
(6)%(1)%$33,777
$32,838
$31,624
3 %4 %
Impact of FX translation(2)
—
(1,969)(2,573)

 —
(132)(54) 
Total revenues—ex-FX(3)$33,862
$34,048
$33,732
(1)%1 %$33,777
$32,706
$31,570
3 %4 %
Total operating expenses—as reported$18,264
$19,951
$19,801
(8)%1 %$18,590
$18,003
$17,627
3 %2 %
Impact of FX translation(2)
—
(1,171)(1,382)

 —
(54)7
 
Total operating expenses—ex-FX(3)$18,264
$18,780
$18,419
(3)%2 %$18,590
$17,949
$17,634
4 %2 %
Total provisions for LLR & PBC—as reported$5,823
$5,833
$6,567
— %(11)%$7,586
$7,641
$6,427
(1)%19 %
Impact of FX translation(2)
—
(470)(558)

 —
(32)(31) 
Total provisions for LLR & PBC—ex-FX(3)$5,823
$5,363
$6,009
9 %(11)%$7,586
$7,609
$6,396
— %19 %
Net income—as reported$6,373
$6,794
$6,562
(6)%4 %$5,755
$3,869
$4,924
49 %(21)%
Impact of FX translation(2)
—
(197)(416)

 —
(28)(19) 
Net income—ex-FX(3)$6,373
$6,597
$6,146
(3)%7 %$5,755
$3,841
$4,905
50 %(22)%
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the 20152018 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful


15


NORTH AMERICA GCB
North America GCB provides traditional retail banking, including commercial banking, and its 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 Hilton Worldwide)Costco) within Citi-branded cards, as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Best Buy and Macy’s) within Citi retail services.
As of December 31, 2015,2018, North America GCB’s 780689 retail bank branches arewere 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, 2015,2018, North America GCB had approximately 10.99.1 million retail banking customer accounts, $51.8$56.8 billion ofin retail banking loans and $172.8$181.2 billion ofin deposits. In addition, North America GCB had approximately 113.4121 million Citi-branded and Citi retail services credit card accounts with $113.3$144.5 billion in outstanding card loan balances.
In millions of dollars, except as otherwise noted201520142013% Change 
 2015 vs. 2014		% Change 
 2014 vs. 2013		201820172016% Change 
 2018 vs. 2017		% Change 
 2017 vs. 2016
Net interest revenue$17,481
$17,203
$16,656
2 %3 %$19,621
$18,879
$18,131
4 %4 %
Non-interest revenue1,967
2,466
3,142
(20)(22)923
1,391
1,633
(34)(15)
Total revenues, net of interest expense$19,448
$19,669
$19,798
(1)%(1)%$20,544
$20,270
$19,764
1 %3 %
Total operating expenses$9,186
$9,706
$9,853
(5)%(1)%$10,631
$10,245
$10,067
4 %2 %
Net credit losses$3,753
$4,206
$4,636
(11)%(9)%$5,097
$4,796
$3,919
6 %22 %
Credit reserve build (release)(339)(1,242)(1,036)73
(20)
Credit reserve build438
869
653
(50)33
Provision for unfunded lending commitments7
(8)6
NM
NM
—
4
6
(100)(33)
Provisions for benefits and claims38
40
59
(5)(32)
Provision for benefits and claims22
33
34
(33)(3)
Provisions for credit losses and for benefits and claims$3,459
$2,996
$3,665
15 %(18)%$5,557
$5,702
$4,612
(3)%24 %
Income from continuing operations before taxes$6,803
$6,967
$6,280
(2)%11 %$4,356
$4,323
$5,085
1 %(15)%
Income taxes2,548
2,555
2,362
—
8
1,016
2,333
1,846
(56)26
Income from continuing operations$4,255
$4,412
$3,918
(4)%13 %$3,340
$1,990
$3,239
68 %(39)%
Noncontrolling interests—
(1)—
100
—
—
(1)(2)100
50
Net income$4,255
$4,413
$3,918
(4)%13 %$3,340
$1,991
$3,241
68 %(39)%
Balance Sheet data (in billions of dollars)
  
 


 
Balance Sheet data and ratios (in billions of dollars)
  
 
 
Average assets$208
$211
$204
(1)%3 %$249
$248
$229
— %8 %
Return on average assets2.05%2.09%1.92%

 1.34%0.80%1.42% 
Efficiency ratio47
49
50


 52
51
51
 
Average deposits$171.8
$170.7
$166.0
1
3
$180.4
$184.1
$183.2
(2)—
Net credit losses as a percentage of average loans2.39%2.70%3.09%

 2.66%2.58%2.29% 
Revenue by business  
 


   
 
 
Retail banking$5,208
$4,917
$5,389
6 %(9)%$5,315
$5,264
$5,227
1 %1 %
Citi-branded cards7,809
8,290
8,220
(6)1
8,628
8,579
8,150
1
5
Citi retail services6,431
6,462
6,189
—
4
6,601
6,427
6,387
3
1
Total$19,448
$19,669
$19,798
(1)%(1)%$20,544
$20,270
$19,764
1 %3 %
Income from continuing operations by business  
 


   
 
 
Retail banking$659
$355
$416
86 %(15)%$565
$412
$534
37 %(23)%
Citi-branded cards2,075
2,391
1,945
(13)23
1,581
1,009
1,441
57
(30)
Citi retail services1,521
1,666
1,557
(9)7
1,194
569
1,264
NM
(55)
Total$4,255
$4,412
$3,918
(4)%13 %$3,340
$1,990
$3,239
68 %(39)%


NM Not meaningful


16


20152018 vs. 20142017
Net income decreased by 4%increased 68%, largely reflecting the impact of the $750 million one-time, non-cash charge recorded in the tax line due to the impact of Tax Reform in 2017 (for additional information, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below). Excluding the one-time impact of Tax Reform, net income increased 22%, driven primarily by a lower loan loss reserve releaseseffective tax rate due to Tax Reform, higher revenues and lower cost of credit, partially offset by higher expenses.
Revenues increased 1%, driven by higher revenues across all businesses.
Retail banking revenues increased 1%. Excluding mortgage revenues (decline of 27%), retail banking revenues were up 6%, driven by continued growth in deposit margins, partially offset by lower expenses and lower net credit losses.
Revenuesdeposit volumes. Average deposits decreased 1%, reflecting lower revenues in Citi-branded cards, partially offset by higher revenues in retail banking.
Retail banking revenues increased 6%. The increase was2% year-over-year, primarily driven by 7% growtha reduction in average loans, 9% growth in average checking deposits, improved deposit spreads and slightly higher mortgage origination revenues, partially offset by lower net gains on branch sales (approximately $40 million) and mortgage portfolio sales (approximately $80 million)money market balances, as well as a lower mortgage repurchase reserve release (approximately $50 million) comparedclients transferred money to 2014. This growth in retail banking revenues occurred despite the fact that, consistent with GCB’s strategy, during 2015, North America GCB closed or sold 69 branches (a 9% declineinvestments. Assets under management were largely unchanged from the prior year)year as 5% underlying growth was offset by the impact of market movements, due to the equity market sell-off at the end of 2018. The decline in mortgage revenues was driven by lower origination activity and higher cost of funds, reflecting the higher interest rate environment.
Cards revenues increased 1%. In Citi-branded cards, revenues increased 1%, with announced plans to sell or close an additional 50 branchesas growth in interest-earning balances, driven by maturity of recent vintages and strength in loan balance retention, was largely offset by the impact of previously disclosed partnership terms that went into effect in 2018. Citi sold its Hilton portfolio in the first quarter of 2016. With these actions, over 90%2018, which resulted in a gain of approximately $150 million. This gain was offset by the loss of operating revenue in the portfolio in 2018. Average loans increased 4% and purchase sales increased 8%.
Citi retail services revenues increased 3%, primarily reflecting organic loan growth and the benefit of the L.L.Bean portfolio acquisition in June 2018, partially offset by higher partner payments. Average loans increased 6% and purchase sales increased 7%.
Expenses increased 4%, as volume growth and ongoing investments were partially offset by efficiency savings.
Provisions decreased 3% from the prior year, driven by a lower net loan loss reserve build, partially offset by higher net credit losses. The net loan loss reserve build was $438 million in 2018, primarily reflecting volume growth and seasoning in both cards portfolios. This compares to a build of $873 million in the prior year, which included $300 million related to an increase in net flow rates in later delinquency buckets in Citi retail services and a slight increase in delinquencies for the Citi-branded cards portfolio.
Net credit losses increased 6% to $5.1 billion, driven by higher net credit losses in both Citi-branded cards (up 6% to $2.6 billion) and Citi retail services (up 9% to $2.4 billion). The increase in the cards net credit losses primarily reflected volume growth and seasoning in both portfolios.
For additional information on North America GCB’s retail banking, footprintincluding commercial banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.
As part of its Citi retail services business, Citi issues co-brand and private label credit card products with Sears. As previously disclosed, in October 2018, Sears filed for Chapter 11 bankruptcy protection and in connection with the filing Sears has closed, or announced plans to close, additional stores. On February 11, 2019, after bankruptcy court approval, ESL Investments, Inc. purchased substantially all of Sears’ assets on a going concern basis, including its credit card program agreement with Citi. The impact to Citi retail services, from reduced new account acquisitions or lower purchase sales, will be concentrateddepend in its six key metropolitan areas.part on the magnitude and timing of additional Sears store closures and continued customer attrition. Citi does not currently expect that the sale of Sears to ESL will have an immediate or ongoing material impact on Citi’s consolidated results. For additional information on the potential impact from a deterioration in or failure to maintain Citi’s co-branding and private label credit card relationships, see “Risk Factors—Strategic Risks” below.
2017 vs. 2016
Cards revenuesNet income decreased 3%39% largely due to a 2% decline in average loans,the one-time impact of Tax Reform. Excluding the one-time impact of Tax Reform, net income decreased 15%, due to higher cost of credit and higher expenses, partially offset by higher revenues.
Revenues increased 3%, driven by higher revenues across all businesses.
Retail banking revenues increased 1%. Excluding mortgage revenues (down 32%), retail banking revenues were up 9%, driven by growth in checking deposits, loans (average loans up 3%) and assets under management (up 14%) and increased commercial banking activity, as well as a 4% increase in purchase sales.benefit from higher interest rates.
Cards revenues increased 3%. In Citi-branded cards, revenues decreased 6%increased 5%, primarily reflecting an increase in acquisition and rewards costs, particularly during the second half of 2015 as North America GCB deployed its investment spending (as discussed below) to grow its new account acquisitions in its core products. North America GCB expects the increased acquisition and rewards costs within Citi-branded cards to continue to negatively impact revenues in 2016. The decrease in Citi-branded cards revenues was also due to the continued impact of lower average loans (down 4%), driven primarily by continued high customer payment rates during the year, partially offset by a 6% increase in purchase sales.
Citi retail services revenues were largely unchanged as the continued impact of lower fuel prices, which negatively impacts purchase sales in the fuel portfolios, and higher contractual partner payments was offset by the impact of higher spreads and volumes (1% increase in average loans). The higher contractual partner payments resulted from the business sharing the benefits of higher yields and lower net credit losses with its retail partners. Purchase sales were unchanged as the continued impact of lower fuel prices was offset by volume growth. North America GCB expects the negative impact of lower fuel prices on Citi retail services revenues to continue in the near term.
Expenses decreased 5%, primarily due to ongoing cost reduction initiatives, including as a result of the branch rationalization strategy, and lower repositioning charges, partially offset by increased investment spending (including marketing, among other areas) in Citi-branded cards, which is expected to continue into 2016.
Provisions increased 15% largely due to lower net loan loss reserve releases (73%), partially offset by lower net credit losses (11%). Net credit losses declined in Citi-branded cards (down 14% to $1.9 billion) and in Citi retail services (down 8% to $1.7 billion). The lower loan loss reserve release
reflected overall credit stabilization in the cards portfolios during 2015. As a result of this stabilization, North America GCB expects to experience modest loan loss reserve builds during 2016.
In addition to the trends discussed above expected to impact North America GCB’s results of operations in 2016, North America GCB expects to make additional investments in its U.S. cards businesses during 2016, including investments in connection with Citi’s planned acquisition of the Costco portfolio, the closing of which is currently expected to occur mid-2016, as well as the expected impact of renewing certain important partnership programsmodest growth in a competitive environment (see also “Risk Factors—Operational Risks” below). While North America GCB believes these investments are necessary for the growth of its U.S. cards businesses, they will reduce the pretax earnings of the businesses during 2016.

2014 vs. 2013
Net income increased by 13% due to lower net credit losses, higher loan loss reserve releases and lower expenses,interest-earning balances, 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. Retail banking revenues of $4.9 billion decreased 9% due to lower mortgage origination revenues and spread compression in the deposit portfolios, partially offset by continued volume-related growth (average loans increased 9% and average deposits increased 3%) and gains from branch sales.
Cards revenues increased 2% as average loans 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 reductionrun-off of non-core portfolios and the higher cost to fund growth in transactor and promotional balances in the portfolio, mostly offset lower average loans. 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.balances.
Citi retail services revenues increased 4%1%, primarily due to a 12% increase in average loans driven by the Best Buy acquisition in September 2013,as loan growth was 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.
Expenses decreased 1% 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 Buyrenewal and extension of certain partnerships within the portfolio, acquisition.as well as the absence of gains on sales of two cards portfolios in 2016.
Expenses increased 2%, driven by the addition of the Costco portfolio, higher volume-related expenses and investments as well as remediation costs related to a CARD Act matter, partially offset by efficiency savings.
Provisions decreased 18% due to lowerincreased 24%, driven by higher net credit losses (9%) and a higher net loan loss reserve releases (21%). build.
Net credit losses declinedincreased 22%, largely driven by higher net credit losses in Citi-brandedboth cards (down 14%portfolios, primarily reflecting volume growth and seasoning, as well as the impact of acquiring the Costco portfolio.
The net loan loss reserve build was $873 million, compared to $2.2 billion)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, primarily in Citi retail services (down 2% to $1.9 billion). The loan loss reserve release increased 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.services.


17


LATIN AMERICA GCB
Latin America GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses as applicable, with thein Mexico through Citibanamex, one of Mexico’s largest presence in Mexico. As of December 31, 2015, Latin America GCB includes branch networks in Brazil, Argentina, Colombia and Venezuela as well as Banco Nacional de Mexico, or Banamex, Mexico’s second-largest bank.banks.
At December 31, 2015,2018, Latin America GCB had 1,6941,463 retail branches (1,492 through Banamex in Mexico),Mexico, with approximately 31.929.4 million retail banking customer accounts, $24.0$19.7 billion in retail banking loans and $40.8$27.7 billion in deposits. In addition, the business had approximately 7.85.6 million Citi-branded card accounts with $7.5$5.7 billion in outstanding loan balances. As announced in February 2016, Citi intends to exit its consumer businesses in Argentina, Brazil and Colombia. For additional information, see “Citigroup Segments” and “Citicorp” above.
In millions of dollars, except as otherwise noted201520142013% Change 
 2015 vs. 2014		% Change 
 2014 vs. 2013		201820172016% Change 
 2018 vs. 2017		% Change 
 2017 vs. 2016
Net interest revenue$4,843
$5,672
$5,726
(15)%(1)%$4,058
$3,844
$3,606
6 %7 %
Non-interest revenue(1)2,480
2,788
2,850
(11)(2)1,702
1,378
1,365
24
1
Total revenues, net of interest expense$7,323
$8,460
$8,576
(13)%(1)%$5,760
$5,222
$4,971
10 %5 %
Total operating expenses$4,444
$4,974
$4,931
(11)%1 %$3,156
$2,959
$2,885
7 %3 %
Net credit losses$1,549
$1,861
$1,610
(17)%16 %$1,153
$1,117
$1,040
3 %7 %
Credit reserve build (release)94
120
363
(22)(67)
Credit reserve build83
125
83
(34)51
Provision (release) for unfunded lending commitments1
(1)—
NM
—
—
(1)1
100
NM
Provision for benefits and claims69
104
108
(34)(4)81
83
72
(2)15
Provisions for credit losses and for benefits and claims (LLR & PBC)$1,713
$2,084
$2,081
(18)%— %$1,317
$1,324
$1,196
(1)%11 %
Income from continuing operations before taxes$1,166
$1,402
$1,564
(17)%(10)%$1,287
$939
$890
37 %6 %
Income taxes238
244
313
(2)(22)359
329
257
9
28
Income from continuing operations$928
$1,158
$1,251
(20)%(7)%$928
$610
$633
52 %(4)%
Noncontrolling interests3
6
3
(50)100
—
5
5
(100)—
Net income$925
$1,152
$1,248
(20)%(8)%$928
$605
$628
53 %(4)%
Balance Sheet data (in billions of dollars)
  
 


 
Balance Sheet data and ratios (in billions of dollars)
  
 
 
Average assets$64
$76
$79
(16)%(4)%$44
$45
$47
(2)%(4)%
Return on average assets1.45%1.52%1.66%

 2.11%1.34%1.34% 
Efficiency ratio61
59
57


 55
57
58
 
Average deposits$40.8
$44.5
$43.6
(8)2
$28.7
$27.4
$25.7
5
7
Net credit losses as a percentage of average loans4.67%4.86%4.42%

 4.47%4.42%4.32% 
Revenue by business 

   
Retail banking$5,078
$5,678
$5,831
(11)%(3)%
Retail banking(1)
$4,195
$3,752
$3,493
12 %7 %
Citi-branded cards2,245
2,782
2,745
(19)1
1,565
1,470
1,478
6
(1)
Total$7,323
$8,460
$8,576
(13)%(1)%$5,760
$5,222
$4,971
10 %5 %
Income from continuing operations by business  
 


   
 
 
Retail banking$590
$740
$762
(20)%(3)%
Retail banking(1)
$722
$426
$352
69 %21 %
Citi-branded cards338
418
489
(19)(15)206
184
281
12
(35)
Total$928
$1,158
$1,251
(20)%(7)%$928
$610
$633
52 %(4)%
FX translation impact  
 


   
 
 
Total revenues—as reported$7,323
$8,460
$8,576
(13)%(1)%$5,760
$5,222
$4,971
10 %5 %
Impact of FX translation(1)
—
(1,382)(1,784)

 
Impact of FX translation(2)
—
(105)(145) 
Total revenues—ex-FX(3)$7,323
$7,078
$6,792
3 %4 %$5,760
$5,117
$4,826
13 %6 %
Total operating expenses—as reported$4,444
$4,974
$4,931
(11)%1 %$3,156
$2,959
$2,885
7 %3 %
Impact of FX translation(1)
—
(737)(904)

 
Impact of FX translation(2)
—
(50)(66) 
Total operating expenses—ex-FX(3)$4,444
$4,237
$4,027
5 %5 %$3,156
$2,909
$2,819
8 %3 %
Provisions for LLR & PBC—as reported$1,713
$2,084
$2,081
(18)%— %$1,317
$1,324
$1,196
(1)%11 %
Impact of FX translation(1)
—
(373)(456)

 
Impact of FX translation(2)
—
(27)(34) 
Provisions for LLR & PBC—ex-FX(3)$1,713
$1,711
$1,625
— %5 %$1,317
$1,297
$1,162
2 %12 %
Net income—as reported$925
$1,152
$1,248
(20)%(8)%$928
$605
$628
53 %(4)%
Impact of FX translation(1)
—
(180)(338)

 
Impact of FX translation(2)
—
(19)(30)  
Net income—ex-FX(3)$925
$972
$910
(5)%7 %$928
$586
$598
58 %(2)%

18


(1)2018 includes an approximate $250 million gain on the sale of an asset management business. See Note 2 to the Consolidated Financial Statements.
(2)Reflects the impact of FX translation into U.S. dollars at the 20152018 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not Meaningful

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

20152018 vs. 20142017
Net income increased 58% to $928 million, reflecting higher revenues and a lower effective tax rate as a result of Tax Reform, partially offset by higher expenses and cost of credit.
Revenues increased 13%, including the gain on sale of an asset management business (approximately $250 million). Excluding the gain on sale, revenueswere up 8%, driven by increases in both retail banking and cards.
Retail banking revenues increased 14%. Excluding the gain on sale, retail banking revenues increased 7%, driven by continued growth across commercial loans and deposits, as well as improved deposit spreads due to higher interest rates. Average loans grew 3%, and average deposits grew 6%, while assets under management declined 5%, primarily driven by market performance during the second half of 2018. Cards revenues increased 9%, due to continued volume growth, reflecting higher purchase sales (up 11%) and full-rate revolving loans. Average cards loans grew 6%.
Expenses increased 8%, driven by volume growth, ongoing investment spending and higher repositioning charges, partially offset by efficiency savings. As previously disclosed, 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 upgrade core operating platforms.
Provisions increased 2%, as higher net credit losses were largely offset by a lower net loan loss reserve build. The increase in net credit losses was primarily due to volume growth and seasoning in cards.
For additional information on LatinAmerica GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, 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.




2017 vs. 2016
Net income decreased 5% as2%, primarily driven by higher credit costs and expenses, were partially offset by higher revenues.
Revenues increased 3%6%, primarily due to the approximately $180 million gain on saledriven by higher revenues in the third quarter of 2015 related to the Mexico merchant acquiring business. Excluding this gain, revenues increased 1% as the impact of modest volume growth was mostly offset by the absence of gains and revenues from businesses divested in 2014, including as a result of the sale of the Honduras consumer business in the second quarter and the partial sale of Citi’s indirect investment in Banco de Chile in the first quarter, as well as continued spread compression in cards. Revenues were also impacted by continued slow economic growth in the region during 2015.
retail banking.
Retail banking revenues increased 6%8%, excluding the gain on sale related to the merchant acquiring business and the business divestituresreflecting continued growth in 2014. This increase in retail banking revenues reflected volume growth,volumes, including an increaseincreases in average deposits (8%), average loans (4%(6%) and average deposits (5%assets under management (4%), partiallyas well as improved deposit spreads, driven by higher interest rates. Cards revenues were largely unchanged, as continued improvement in full-rate revolving loans was offset by a decline in investment sales (15%). Cards revenues decreased 2%, primarily duehigher cost to higher payment rates in Mexico resulting from the business’ focus on higher credit quality customers, consistent with GCB’s strategy, as well as muted volumes (low purchase sales growth and unchanged average loans). Cards revenues were also negatively impacted by ongoing shifts in consumer behavior, including due to the previously-disclosed regulatory reforms enacted in 2013 in Mexico. Latin America GCB expects the cards payment rate in Mexico to remain elevated in 2016.fund non-revolving loans.
Expenses increased 5%3%, primarily due to higher regulatory and compliance costs, higher technologyas ongoing investment spending and mandatory salary increases in certain countries,business growth were partially offset by lower repositioning charges, lower legal and related costs and ongoing efficiency savings.
Provisions were unchanged asincreased 12%, primarily driven by higher net credit losses were partially offset by a lower net loan loss reserve build. Net credit losses increased 1%, largely reflecting portfolio growth as well as net credit losses incurredand an increase in the commercial banking portfolio in the fourth quarter of 2015 associated with a wind-down portfolio in Brazil, most of which was offset by the release of previously-established loan loss reserves. The higher net credit losses were partially offset by the absence of a $71 million charge-off in the fourth quarter of 2014 related to Citi’s homebuilder exposure in Mexico. The net loan loss reserve build, declined 13%, primarily due to lower builds related to Mexico cards, partially offset by higher builds related to Brazil in the second half of 2015,largely reflecting volume growth and seasoning, as well as the absence of the releases related to thea Mexico homebuilder exposure in 2014.


Argentina/Venezuela
For additional information on Citi’s exposures and risks in Argentina and Venezuela, see “Managing Global Risk—Country Risk” below.

2014 vs. 2013
Net income increased 7% as higher revenues were partially offset by higher expenses and credit costs.
Revenues increased 4%, primarily due to volume growth and spread and fee growth 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 during 2014. Retail banking revenues increased 3% as average loans increased 6%, investment sales increased 25% and average deposits increased 6%, partially offset by lower spreads in Brazil and Colombia. Cards revenues increased 8% 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). The increase in cards revenues was partially offset by lower economic growth and slowing cards purchase sales in Mexico due to the regulatory reforms enacted during 2013, as referenced above.
Expenses increased 5%, primarily due to mandatory salary increases in certain countries, higher legal and related costs, increased repositioning charges and higher technology spending, partially offset by productivity and repositioning savings.
Provisions increased 5%, primarily due to higher net credit losses, which were partially offset by a lowerearthquake-related loan loss reserve build. Net credit losses increased 22%, driven by portfolio growth and continued seasoning in the Mexico cards portfolio. Net credit losses were also impacted by both the slower economic growth and regulatory reforms in Mexico as well as the $71 million charge-off related to Citi’s homebuilder exposure in Mexico.










19


ASIA GCB
Asia GCB provides traditional retail banking, including commercial banking, and its Citi-branded card products to retail customers and small to mid-size businesses, as applicable. As of December 31, 2015, Citi’sDuring 2018, Asia GCB’s most significant revenues in the region were from Korea, Singapore, Hong Kong, Korea, India, Australia, India, Taiwan, Malaysia, Thailand, Philippines, Indonesia and the Philippines. In addition, for reporting purposes,Malaysia. Asia GCBalso includes the results of operations of EMEA GCB, which provides traditional retail banking, including commercial banking and Citi-branded card products that are provided to retail customers and small to mid-size businesses,in certain EMEA countries, primarily in Poland, Russia and the United Arab Emirates.
At December 31, 2015,2018, on a combined basis, the businesses had 520258 retail branches, approximately 17.516.0 million retail banking customer accounts, $71.0$69.2 billion in retail banking loans and $87.8$99.2 billion in deposits. In addition, the businessbusinesses had approximately 16.915.3 million Citi-branded card accounts with $17.7$19.3 billion in outstanding loan balances.
In millions of dollars, except as otherwise noted(1)
201520142013% Change 
 2015 vs. 2014		% Change 
 2014 vs. 2013
Net interest revenue$4,557
$5,049
$5,163
(10)%(2)%
Non-interest revenue2,534
2,839
2,768
(11)3
Total revenues, net of interest expense$7,091
$7,888
$7,931
(10)%(1)%
Total operating expenses$4,634
$5,271
$5,017
(12)%5 %
Net credit losses$727
$793
$771
(8)%3 %
Credit reserve build (release)(73)(26)19
NM
NM
Provision (release) for unfunded lending commitments(3)(14)31
79
NM
Provisions for credit losses$651
$753
$821
(14)%(8)%
Income from continuing operations before taxes$1,806
$1,864
$2,093
(3)%(11)%
Income taxes607
615
686
(1)(10)
Income from continuing operations$1,199
$1,249
$1,407
(4)%(11)%
Noncontrolling interests6
20
11
(70)82
Net income$1,193
$1,229
$1,396
(3)%(12)%
Balance Sheet data (in billions of dollars)
  
 


 
Average assets$120
$122
$119
(2)%3 %
Return on average assets0.99%1.01%1.17%

 
Efficiency ratio65
67
63


 
Average deposits$87.9
$89.7
$89.4
(2)—
Net credit losses as a percentage of average loans0.80%0.82%0.84%

 
Revenue by business   

 
Retail banking$4,491
$4,866
$4,771
(8)%2 %
Citi-branded cards2,600
3,022
3,160
(14)(4)
Total$7,091
$7,888
$7,931
(10)%(1)%
Income from continuing operations by business   

 
Retail banking$740
$692
$719
7 %(4)%
Citi-branded cards459
557
688
(18)(19)
Total$1,199
$1,249
$1,407
(4)%(11)%

20


FX translation impact   

 
Total revenues—as reported$7,091
$7,888
$7,931
(10)%(1)%
Impact of FX translation(2)
—
(587)(789)

 
Total revenues—ex-FX$7,091
$7,301
$7,142
(3)%2 %
Total operating expenses—as reported$4,634
$5,271
$5,017
(12)%5 %
Impact of FX translation(2)
—
(434)(478)

 
Total operating expenses—ex-FX$4,634
$4,837
$4,539
(4)%7 %
Provisions for loan losses—as reported$651
$753
$821
(14)%(8)%
Impact of FX translation(2)
—
(97)(102)

 
Provisions for loan losses—ex-FX$651
$656
$719
(1)%(9)%
Net income—as reported$1,193
$1,229
$1,396
(3)%(12)%
Impact of FX translation(2)
—
(17)(78)

 
Net income—ex-FX$1,193
$1,212
$1,318
(2)%(8)%
In millions of dollars, except as otherwise noted(1)
201820172016% Change 
 2018 vs. 2017		% Change 
 2017 vs. 2016
Net interest revenue$4,904
$4,702
$4,495
4 %5 %
Non-interest revenue2,569
2,644
2,394
(3)10
Total revenues, net of interest expense$7,473
$7,346
$6,889
2 %7 %
Total operating expenses$4,803
$4,799
$4,675
— %3 %
Net credit losses$670
$649
$651
3 %— %
Credit reserve build (release)42
(29)(28)NM
(4)
Provision (release) for unfunded lending commitments—
(5)(4)100
(25)
Provisions for credit losses$712
$615
$619
16 %(1)%
Income from continuing operations before taxes$1,958
$1,932
$1,595
1 %21 %
Income taxes464
654
536
(29)22
Income from continuing operations$1,494
$1,278
$1,059
17 %21 %
Noncontrolling interests7
5
4
40
25
Net income$1,487
$1,273
$1,055
17 %21 %
Balance Sheet data and ratios (in billions of dollars)
  
 
  
Average assets$131
$124
$119
6 %4 %
Return on average assets1.14%1.03%0.89%  
Efficiency ratio64
65
68
  
Average deposits$98.0
$94.6
$89.5
4
6
Net credit losses as a percentage of average loans0.76%0.76%0.77%  
Revenue by business     
Retail banking$4,555
$4,465
$4,270
2 %5 %
Citi-branded cards2,918
2,881
2,619
1
10
Total$7,473
$7,346
$6,889
2 %7 %
Income from continuing operations by business     
Retail banking$1,017
$818
$652
24 %25 %
Citi-branded cards477
460
407
4
13
Total$1,494
$1,278
$1,059
17 %21 %

FX translation impact     
Total revenues—as reported$7,473
$7,346
$6,889
2 %7 %
Impact of FX translation(2)
—
(27)91
  
Total revenues—ex-FX(3)
$7,473
$7,319
$6,980
2 %5 %
Total operating expenses—as reported$4,803
$4,799
$4,675
— %3 %
Impact of FX translation(2)
—
(4)73
  
Total operating expenses—ex-FX(3)
$4,803
$4,795
$4,748
— %1 %
Provisions for credit losses—as reported$712
$615
$619
16 %(1)%
Impact of FX translation(2)
—
(5)3
  
Provisions for credit losses—ex-FX(3)
$712
$610
$622
17 %(2)%
Net income—as reported$1,487
$1,273
$1,055
17 %21 %
Impact of FX translation(2)
—
(9)11
  
Net income—ex-FX(3)
$1,487
$1,264
$1,066
18 %19 %

(1)
For reporting purposes, Asia GCB includes the results of operations of EMEA GCB activities in certain EMEA countries for all periods presented.
(2)Reflects the impact of FX translation into U.S. dollars at the 20152018 average exchange rates for all periods presented.
NM(3)Not meaningfulPresentation of this metric excluding FX translation is a non-GAAP financial measure.


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

20152018 vs. 20142017
Net income decreased 2%increased 18%, primarily due toreflecting higher revenues and a lower revenues, partially offset by lower expenses.
Revenues decreased 3%, primarily due to an industry-wide slowdown in investment sales, particularly in the second halfeffective tax rate as a result of 2015, as well as spread compression and higher payment rates and the ongoing impact of regulatory changes in cards, partially offset by volume growth.
Retail banking revenues decreased 2%, mainly due to a decline in investment sales revenue, particularly in Taiwan, Singapore, India, Korea and Indonesia, reflecting weaker customer confidence due to slowing economic growth and volatility in the capital markets, as well as spread compression, particularly in Poland. This decline in revenues wasTax Reform, partially offset by higher volumes, driven by lending (2% increase in average loans), deposit products (5% increase in average deposits) and higher insurance fee revenues. Citi expects investment sales revenues could continue to be challenged in 2016, depending upon overall consumer sentiment, economic growth and the capital markets environment in the region.
Cards revenues decreased 5%, primarily due to spread compression, including continued high payment rates, and the ongoing impactcost of regulatory changes, particularly in Singapore, Taiwan, Australia, Malaysia and Poland, partially offset by modest volume growth (a 3% increase in average loans and a 5% increase in purchase sales). Cards revenues were also impacted by the weaker customer confidence, primarily in the second half of 2015. Spread compression and regulatory changes will likely continue to have a negative impact on cards revenues in the near term.
Expenses decreased 4%, primarily due to the absence of repositioning charges in Korea in 2014 and efficiency savings, partially offset by higher regulatory and compliance costs,
investment spending, volume-related growth and compensation expense.
Provisions decreased 1%, primarily due to higher loan loss reserve releases, largely offset by an increase in net credit losses related to the consumer business in Russia due to a deterioration in the economic environment. Overall credit quality remained stable across the region during 2015.



21


2014 vs. 2013
Net income decreased 8%, primarily due to higher expenses, partially offset by lower credit costs and higher revenues.credit.
Revenues increased 2%, reflectingdriven by higher retail banking and cards revenues.
Retail banking revenues increased 2%, as continued growth in deposit and insurance revenues was partially offset by lower cards revenues.investment revenues due to weak market sentiment. Average deposits increased 3% and assets under management grew 1%, while investment sales decreased 8%. Retail lending revenues increased 1%, as volume growth in personal and commercial loans was largely offset by lower mortgage revenues due to spread compression. Average retail banking loans grew 3%.
Cards revenues increased 2%. Excluding the benefit of modest one-time gains in the prior year, revenues increased 4%, due to higher insurance fee revenues and volumedriven by continued growth (average retail loans increased 8% and average retail deposits increased 2%), partially offset by the ongoing impact of regulatory changes and continued spread compression.
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 3% increase in purchase sales driven by growth in China, India, Singapore(up 6%) and Hong Kong.average loans (up 2%).
Expenses increased 7%, primarily due to higher repositioning charges in Korea,were largely unchanged, as volume-driven growth and ongoing investment spending and volume-related growth, partiallywere offset by higher efficiency savings.
Provisions decreased 9%increased 17%, primarily due todriven by higher overall loan loss reserve releases, partially offset bynet credit losses and a modest net loan loss reserve build relatedcompared to a modest net loan loss reserve release in the consumer businessprior year due to volume growth. Overall credit quality continued to remain stable in Russia.the region.
For additional information on AsiaGCB’s retail banking portfolios, including commercial banking, and its Citi-branded cards portfolio, see “Credit Risk—Consumer Credit” below.






2017 vs. 2016
Net income increased 19%, 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 higher investment revenues, driven by improved investor sentiment, partially offset by the repositioning of the retail loan portfolio. The lower retail lending revenues (down 4%) reflected lower average loans (down 1%) due to the continued optimization of the portfolio away from lower yielding mortgage loans.
Cards revenues increased 8%, reflecting 5% growth in average loans and 6% growth in purchase sales, both of which benefited from the portfolio acquisition in Australia, as well as modest gains related to sales of merchant acquiring businesses in certain countries.
Expenses increased 1%, resulting from volume-driven growth and ongoing investment spending, partially offset by efficiency savings.
Provisions decreased 2%, primarily driven by a decrease in net credit losses.





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 inwith transactional services and clearing transactions,and providing brokerage and investment banking services and other such activities. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the trade/execution date or closing of a transaction. Revenue generated from these activities is recorded in Commissions and fees and Investment banking. Revenue is also generated from assets under custody and administration, which is recognized as/when the associated promised service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi. Revenue generated from these activities is primarily recorded in Administration and other fiduciary fees. For additional information on these various types of revenues, see Note 5 to the Consolidated Financial Statements.
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, realized gains and losses on available-for-sale (AFS) debt securities, gains and losses on equity securities not held in trading accounts and other non-recurring gains and losses. Interest income earned on inventory and loansassets held, less interest paid on long- and short-term debt and to customers on deposits, 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 evaluation 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 (e.g., 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, 2015,2018, ICG had approximately $1.2$1.4 trillion of assets and $587$690 billion of deposits, while two of its businesses, businesses—securities services and issuer services, services—managed approximately $15.1$17.5 trillion of assets under custody compared to $16.1 trillion at the endas of 2014. The decline in assets under custody from 2014 was primarily due to the impact of FX translationDecember 31, 2018 and a decline in market volumes.2017.
In millions of dollars, except as otherwise noted201520142013% Change 
 2015 vs. 2014		% Change 
 2014 vs. 2013
Commissions and fees$3,855
$3,995
$3,980
(4)%— %
Administration and other fiduciary fees2,424
2,520
2,576
(4)(2)
Investment banking4,110
4,269
3,862
(4)11
Principal transactions5,823
5,905
6,489
(1)(9)
Other(1)
1,337
661
905
NM
(27)
Total non-interest revenue$17,549
$17,350
$17,812
1 %(3)%
Net interest revenue (including dividends)16,199
15,702
15,510
3
1
Total revenues, net of interest expense$33,748
$33,052
$33,322
2 %(1)%
Total operating expenses$18,985
$19,391
$19,645
(2)%(1)%
Net credit losses$207
$276
$182
(25)%52 %
Credit reserve build (release)627
(90)(157)NM
43
Provision (release) for unfunded lending commitments95
(129)53
NM
NM
Provisions for credit losses$929
$57
$78
NM
(27)%
Income from continuing operations before taxes$13,834
$13,604
$13,599
2 %— %
Income taxes4,383
4,070
4,174
8
(2)
Income from continuing operations$9,451
$9,534
$9,425
(1)%1 %
Noncontrolling interests52
118
110
(56)7
Net income$9,399
$9,416
$9,315
— %1 %
Average assets (in billions of dollars)
$1,266
$1,287
$1,258
(2)%2 %
Return on average assets0.74%0.73%0.74%

 
Efficiency ratio56
59
59


 
Revenues by region   

 
North America$13,105
$12,940
$11,434
1 %13 %
EMEA9,799
9,415
10,061
4
(6)
Latin America3,918
4,098
4,675
(4)(12)
Asia6,926
6,599
7,152
5
(8)
Total$33,748
$33,052
$33,322
2 %(1)%
(1) Increase in 2015 primarily reflects mark-to-market gains on credit derivatives.

23

Income from continuing operations by region  
 

 
North America$3,621
$4,113
$3,081
(12)%33 %
EMEA2,288
2,034
2,554
12
(20)
Latin America1,328
1,345
1,606
(1)(16)
Asia2,214
2,042
2,184
8
(7)
Total$9,451
$9,534
$9,425
(1)%1 %
Average loans by region (in billions of dollars)
  
 

 
North America$125
$111
$98
13 %13 %
EMEA59
58
55
2
5
Latin America39
40
38
(3)5
Asia62
68
65
(9)5
Total$285
$277
$256
3 %8 %
EOP deposits by business (in billions of dollars)
   

 
Treasury and trade solutions$392
$380
$380
3 %— %
All other ICG businesses
195
175
189
11
(7)
Total$587
$555
$569
6 %(2)%


ICG Revenue Details—Excluding CVA/DVA and Gain/(Loss) on Loan Hedges
In millions of dollars201520142013% Change 
 2015 vs. 2014		% Change 
 2014 vs. 2013
Investment banking revenue details
     
Advisory$1,102
$949
$851
16 %12 %
Equity underwriting902
1,246
1,059
(28)18
Debt underwriting2,539
2,512
2,504
1
—
Total investment banking$4,543
$4,707
$4,414
(3)%7 %
Treasury and trade solutions7,767
7,767
7,720
—
1
Corporate lending—excluding gain (loss) on loan hedges(1)
1,694
1,749
1,518
(3)15
Private bank2,860
2,660
2,494
8
7
Total banking revenues (ex-CVA/DVA and gain (loss) on loan
  hedges)
$16,864
$16,883
$16,146
— %5 %
Corporate lending—gain/(loss) on loan hedges(1)
$323
$116
$(287)NM
NM
Total banking revenues (ex-CVA/DVA and including gain
  (loss) on loan hedges)
$17,187
$16,999
$15,859
1 %7 %
Fixed income markets$11,346
$12,148
$13,625
(7)%(11)%
Equity markets3,128
2,774
2,815
13
(1)
Securities services2,130
2,048
1,974
4
4
Other(312)(574)(606)46
5
Total Markets and securities services (ex-CVA/DVA)
$16,292
$16,396
$17,808
(1)%(8)%
Total ICG (ex-CVA/DVA)
$33,479
$33,395
$33,667
— %(1)%
CVA/DVA (excluded as applicable in lines above)(2)
269
(343)(345)NM
1
     Fixed income markets215
(359)(300)NM
(20)
     Equity markets52
24
(39)NM
NM
     Private bank2
(8)(6)NM
(33)
Total revenues, net of interest expense$33,748
$33,052
$33,322
2 %(1)%
In millions of dollars, except as otherwise noted201820172016% Change 
 2018 vs. 2017		% Change 
 2017 vs. 2016
Commissions and fees$4,516
$4,318
$3,998
5 %8 %
Administration and other fiduciary fees2,755
2,668
2,448
3
9
Investment banking4,352
4,661
3,868
(7)21
Principal transactions8,852
8,012
7,570
10
6
Other(1)
794
1,179
(143)(33)NM
Total non-interest revenue$21,269
$20,838
$17,741
2 %17 %
Net interest revenue (including dividends)15,725
15,636
16,199
1
(3)
Total revenues, net of interest expense$36,994
$36,474
$33,940
1 %7 %
Total operating expenses$20,979
$20,415
$19,669
3 %4 %
Net credit losses$172
$365
$516
(53)%(29)%
Credit reserve build (release)(104)(221)(64)53
NM
Provision (release) for unfunded lending commitments116
(159)34
NM
NM
Provisions for credit losses$184
$(15)$486
NM
NM
Income from continuing operations before taxes$15,831
$16,074
$13,785
(2)%17 %
Income taxes3,631
7,008
4,260
(48)65
Income from continuing operations$12,200
$9,066
$9,525
35 %(5)%
Noncontrolling interests17
57
58
(70)(2)
Net income$12,183
$9,009
$9,467
35 %(5)%
EOP assets (in billions of dollars)
$1,394
$1,336
$1,277
4 %5 %
Average assets (in billions of dollars)
1,404
1,358
1,298
3
5
Return on average assets0.87%0.66%0.73%  
Efficiency ratio57
56
58
  
Revenues by region     
North America$12,914
$13,923
$12,767
(7)%9 %
EMEA11,770
10,879
10,012
8
9
Latin America4,504
4,385
4,125
3
6
Asia7,806
7,287
7,036
7
4
Total$36,994
$36,474
$33,940
1 %7 %
Income from continuing operations by region  
   
North America$3,500
$2,355
$3,515
49 %(33)%
EMEA3,891
2,832
2,345
37
21
Latin America1,889
1,544
1,454
22
6
Asia2,920
2,335
2,211
25
6
Total$12,200
$9,066
$9,525
35 %(5)%
Average loans by region (in billions of dollars)
  
   
North America$165
$151
$145
9 %4 %
EMEA81
69
66
17
5
Latin America34
34
35
—
(3)
Asia66
62
57
6
9
Total$346
$316
$303
9 %4 %
EOP deposits by business (in billions of dollars)
     
Treasury and trade solutions$472
$432
$412
9 %5 %
All other ICG businesses
218
208
200
5
4
Total$690
$640
$612
8 %5 %

(1)Hedges2017 includes the approximate $580 million gain on accrual loans reflect the mark-to-market on creditsale 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 due to changes in the exchange rate.
NM Not meaningful



ICG Revenue Details—Excluding Gains (Losses) on Loan Hedges
In millions of dollars201820172016% Change 
 2018 vs. 2017		% Change 
 2017 vs. 2016
Investment banking revenue details
     
Advisory$1,301
$1,123
$1,013
16 %11 %
Equity underwriting991
1,121
663
(12)69
Debt underwriting2,719
3,126
2,776
(13)13
Total investment banking$5,011
$5,370
$4,452
(7)%21 %
Treasury and trade solutions9,289
8,635
8,022
8
8
Corporate lending—excluding gains (losses) on loan hedges(1)
2,232
1,938
1,734
15
12
Private bank3,398
3,108
2,728
9
14
Total Banking revenues (ex-gains (losses) on
  loan hedges)
$19,930
$19,051
$16,936
5 %12 %
Corporate lending—gains (losses) on loan hedges(1)
$45
$(133)$(594)NM
78 %
Total Banking revenues (including gains (losses) on loan hedges), net of interest expense
$19,975
$18,918
$16,342
6 %16 %
Fixed income markets$11,635
$12,351
$13,063
(6)%(5)%
Equity markets3,427
2,879
2,933
19
(2)
Securities services2,631
2,366
2,181
11
8
Other(2)
(674)(40)(579)NM
93
Total Markets and securities services revenues, net
of interest expense
$17,019
$17,556
$17,598
(3)%— %
Total revenues, net of interest expense$36,994
$36,474
$33,940
1 %7 %
Commissions and fees$706
$641
$498
10 %29 %
Principal transactions(3)
7,108
6,995
6,680
2
5
Other380
596
595
(36)—
Total non-interest revenue$8,194
$8,232
$7,773
— %6 %
Net interest revenue3,441
4,119
5,290
(16)(22)
Total fixed income markets$11,635
$12,351
$13,063
(6)%(5)%
Rates and currencies$8,461
$8,885
$9,381
(5)%(5)%
Spread products/other fixed income3,174
3,466
3,682
(8)(6)
Total fixed income markets$11,635
$12,351
$13,063
(6)%(5)%
Commissions and fees$1,268
$1,271
$1,338
— %(5)%
Principal transactions(3)
1,240
478
218
NM
NM
Other109
7
139
NM
(95)
Total non-interest revenue$2,617
$1,756
$1,695
49 %4 %
Net interest revenue810
1,123
1,238
(28)(9)
Total equity markets$3,427
$2,879
$2,933
19 %(2)%

(1)Credit 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)Funding valuation adjustments (FVA) is included within CVA for presentation purposes. For additional information, see Note 252017 includes the approximate $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 due to changes in the Consolidated Financial Statements.exchange rate.
(3)
Excludes principal transactions revenues of ICG businesses other than Markets and securities services, primarily treasury and trade solutions and the private bank.
NM Not meaningful








24

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

20152018 vs. 20142017
Net income decreased 4%increased 35%, reflecting the impact of a $2.0 billion one-time, non-cash charge recorded in the tax line due to the impact of Tax Reform in 2017 (for additional information, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below). Excluding the one-time impact of Tax Reform, net income increased 11%, driven primarily driven by a lower effective tax rate as a result of Tax Reform and higher credit costs,revenues, partially offset by lower expenses.higher expenses and higher cost of credit.

Revenues wereincreased 1%, reflecting a 6% increase in Banking (including the gains (losses) on loan hedges), largely unchanged, reflecting lower revenuesoffset by a 3% decrease in Markets and securities servicesservices (decrease. Excluding the impact of 1%) and a modestgain of approximately $580 million on the sale of a fixed income analytics business in the prior year, revenues increased 3%, primarily driven by a 6% increase in revenues in Banking(increase of 1%, but unchanged excluding the gains/(losses) on hedges on accrual loans). Citi expects revenues in ICG, particularly in its revenue, as Markets and securities services revenues were largely unchanged versus the prior year. Excluding the impact of the gains (losses) on loan hedges, Banking revenues increased 5%, driven by solid growth across treasury and trade solutions, private bank and corporate lending. Excluding the gain on sale in the prior year, Marketsand securities services revenues were largely unchanged, as increases in equity markets and securities services revenues were offset by a decrease in fixed income markets revenues. Citi expects that revenues in its markets and investment banking businesses will likely continue to reflect the overall market environment.environment during 2019.

WithinBanking:

Investment banking revenues decreased 3%7%, largely reflecting an industry-wide activitya decline in market wallet and market share across debt and equity underwriting activity.as well as the comparison to the particularly strong performance in the prior year. Advisory revenues increased 16%, reflecting increased target client activity and strength in the overall M&A market.Equity underwriting revenues decreased 28% driven by the lower market activity and a decline in wallet share resulting from continued share fragmentation. Debt underwriting revenues increased 1%, driven by increased wallet share in investment grade debt and strong performance in investment grade loans in the second half of 2015, partially offset by the lower market activity and decreased wallet share in high-yield and leveraged loans.
Treasury and trade solutions revenues were largely unchanged. Excluding the impact of FX translation, revenues increased 6%, as continued growth in deposit balances across regions and improved spreads, particularly in North America, were partially offset by continued declines in trade balances and spreads. End-of-period deposit balances increased 3% (7% excluding the impact of FX translation), largely driven by Asia and Latin America. Average trade loans decreased 12% (9% 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 “Managing Global Risk—Liquidity Risk” below).
Corporate lending revenues increased 8%. Excluding the impact of gains/(losses) on hedges on accrual loans, revenues decreased 3%. Excluding the impact of FX translation and gains/(losses) on hedges on accrual loans, revenues increased 3% as continued growth in average loan balances, lower hedge premium costs and an improvement in mark-to-market adjustments were partially offset by lower spreads, particularly in EMEA.
Private bank revenues increased 8%, reflecting strength in North America, Asiadriven by gains in wallet share and EMEA, primarily due to growth in loan volumes and deposit balances, improved spreads in banking and higher managed investments revenues, partially offset by continued spread compression in lending.

Within Markets and securities services:

Fixed income marketsincreased market activity. Equity underwriting revenues decreased 7%, driven by North America, primarily due to a volatile trading environment during 2015 due to macroeconomic uncertainty. The decrease in fixed income markets revenues resulted from a decline in spread products revenues (credit markets, securitized markets and municipals), partially offset by strength in rates and currencies. Rates and currencies revenues increased 4% due to higher revenues in local markets and overall G10 products, partially offset by G10 foreign exchange.
Equity markets revenues increased 13%, primarily reflecting improved performance across products, including derivatives and prime finance, with strength in Asia and EMEA.
Securities services revenues increased 4%. Excluding the impact of FX translation, revenues increased 15%, reflecting increased client activity and higher client balances.

Expenses decreased 2% as efficiency savings, the impact of FX translation and lower repositioning charges were partially offset by increased regulatory and compliance costs and compensation expense.
Provisions increased $872 million to $929 million, primarily reflecting a net loan loss reserve build ($722 million), compared to a net loan loss reserve release ($219 million) in 2014. The net loan loss reserve build included approximately $530 million for energy and energy-related exposures, including $250 million in the fourth quarter of 2015, due to the significant decline in commodity prices during the second half of 2015. (For additional information on Citi’s energy and energy-related exposures, see “Managing Global Risk—Credit Risk—Corporate Credit” below.) The remainder of the build during 2015 was primarily due to volume growth and overall macroeconomic conditions.
The higher net loan loss reserve build during 2015 was partially offset by lower net credit losses. Net credit losses decreased 25%, primarily due to the absence of net credit losses of approximately $165 million related to the Petróleos Mexicanos (Pemex) supplier program, which were incurred during 2014 (for additional information, see Citi’s Form 8-K filed with the SEC on February 28, 2014), partially offset by increased net credit losses related to a limited number of energy and energy-related exposures, including approximately $75 million in the fourth quarter of 2015.
Looking to 2016, cost of credit in ICG will largely depend on the price of oil and other commodity prices as well as macroeconomic conditions. To the extent commodity prices remain at year-end 2015 levels, or deteriorate further, ICG expects to incur additional loan loss reserve builds in its energy and energy-related portfolios, which could be significant, and Citi’s corporate non-accrual loans could be negatively impacted. Such events as well as macroeconomic conditions could also negatively impact Citi’s other corporate credit portfolios.



25

2014 vs. 2013
Net income increased 1%12%, primarily driven by lower expenses, largely offset by lower revenues. Excluding the impact of the net fraud loss of $360 millionrevenues in Mexico in the fourth quarter of 2013, net incomeEMEA. Debt underwriting revenues decreased 1%13%, primarily driven by the lower revenues and higher expenses, largely offset by lower credit costs.

Revenues decreased 1%, reflecting lower revenues in Markets and securities servicesNorth America (decrease of 8%), partially offset by higher revenues in Banking (increase of 7%, or 5% excluding the gains/(losses) on hedges on accrual loans).

Within Banking:

Investment banking revenues increased 7%, reflecting a stronger overall market environment and improved wallet share with ICG’s target clients, partially offset by a modest decline in overall wallet share. The decline in overall wallet share was primarily driven by equity and debt underwriting and reflected market fragmentation. Advisory revenues increased 12%, reflecting the increased target client activity and an expansion of the overall M&A market.Equity underwriting revenues increased 18% largely in line with overall growth in market fees. Debt underwriting revenues were largely unchanged.
Treasury and trade solutions revenues increased 1%8%. Excluding the impact of FX translation, revenues increased 3% as9%, reflecting strength in all regions, driven by growth across both net interest and fee income. Revenues increased in the cash business, primarily driven by continued highergrowth in deposit balances feeand improved deposit spreads due to higher interest rates, as well as higher transaction volumes from both new and existing clients. The trade business experienced strong revenue growth, and trade activity were partially offset byas the impact of spread compression globally. End-of-period deposit balances were unchanged, butbusiness continued to focus on high-quality loan growth, while spreads remained largely stable throughout the year. Average deposits increased 3% excluding the impact of FX translation, largely driven by 6%, with



North America.growth across regions. Average trade loans decreased 9% (7% excluding the impact of FX translation)increased 4%, driven by growth in EMEA and Asia.
Corporate lending revenues increased 52%26%. Excluding the impact of gains/gains (losses) on loan hedges, on accrual loans, revenues increased 15%, primarily due to continued growth in averagedriven by higher loan balancesvolumes and lower fundinghedging costs. Average loans increased 9% versus the prior year.
Private bank revenues increased 7%9%, driven by underlying growth across all regions, reflecting improved
deposit spreads due to growth in client business volumeshigher interest rates 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.
investment revenues.

Within Markets and securities services:

Fixed income markets revenues decreased 11%6%, driven by alower revenues in North America and Asia. The decrease in revenues was due to lower net interest revenue (decrease of 16%), as non-interest revenues were largely unchanged. The decline in net interest revenues was driven by rates and currencies revenues, partially offset by increased securitizedas well as spread products and commodities revenues. other fixed income revenues, mainly reflecting a change in the mix of trading positions in support of client activity, as well as higher funding costs, given the higher interest rate environment.
Rates and currencies revenues declined due to historically muted levels of volatility, uncertainties around Russia and Greece anddecreased 5%, primarily driven by lower client activity in the first half of 2014. In addition, the first half of 2013 included a strong performance inG10 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, Asia and EMEA, reflecting lower client activity given the uncertain macroenvironment and challenging trading environment, and comparison to a strong prior year, particularly in EMEA. This decrease in revenues was partially offset by higher G10 FX revenues, particularly in EMEA, reflecting the continued benefit from the return of volatility in FX markets as well as strong corporate and investor client activity. Spread products and other fixed income revenues decreased 8%, driven by North America, primarily due to the challenging trading environment characterized by widening spreads and lower investor client activity.
Equity markets revenues decreased 1%increased 19%. Excluding an episodic loss in derivatives of approximately $130 million related to a single client event in the prior year, revenues increased 14%, primarilyas growth in equity derivatives and prime finance was partially offset by lower cash equities revenues. Excluding the episodic loss in the prior year, equity derivatives revenues increased in all regions, driven by strong investor and corporate client activity as well as a more favorable market environment. Principal transaction revenues increased, partially offset by a decrease in net interest revenue, mainly reflecting weaknessa change in the mix of trading positions in support of client activity. Prime finance revenues increased, particularly in EMEA and Asia, particularly cashreflecting growth in client balances and higher investor client activity. Cash equities revenues decreased modestly, primarily driven by volatility in Europe, largely offset by improved performance in prime financeAsia, due to increased customer flows.a more challenging trading environment.

Securities servicesrevenues increased 4%11%. Excluding the impact of FX translation, revenues increased 5% due to increased13%, reflecting continued strength in EMEA and Asia. The increase in revenues was driven by higher fee revenues, reflecting growth in client volumes, assets under custodyas well as higher net interest revenue driven by higher deposit volumes and overall client activity.higher interest rates.

Expenses decreased 1%increased 3%, as efficiency savings, the absence of the net fraud losshigher compensation, volume-related expenses and lower performance-based compensationcontinued investments were partially offset by efficiency savings.
Provisions increased $199 million, driven by a net loan loss reserve build of $12 million (compared to a net release of $380 million in the prior year), partially offset by a 53% decline in net credit losses. The modest net loan loss reserve build was driven by volume-related reserve builds for both funded loans and unfunded lending commitments, despite credit quality remaining stableduring 2018. The decline in net credit losses was largely driven by the absence of a single client event in the fourth quarter of 2017.

2017 vs. 2016
Net income decreased 5%, reflecting the one-time impact of Tax Reform in 2017. Excluding the one-time impact of Tax Reform in 2017, net income increased 16%, primarily driven by higher repositioning chargesrevenues and legal and related expenses as well aslower cost of credit, partially offset by higher expenses.

Revenues increased regulatory and compliance costs.7%, reflecting a 16% increase in Banking (including the losses on loan hedges). Excluding the impact of the losses on loan hedges, Banking revenues increased 12%. Markets and securities services revenues were largely unchanged, as growth in securities services revenues (increase of 8%) as well as the gain on the sale of the fixed income analytics business in 2017 were offset by a 5% decrease in fixed income markets and a 2% decrease in equity markets revenues.

Within Banking:

Investment banking revenues increased 21%, largely reflecting gains in wallet share and increased market activity. Advisory revenues increased 11%, equity underwriting revenues increased 69% and debt underwriting revenues increased 13%.
Treasury and trade solutions revenues increased 8%. Excluding the impact of FX translation, revenues increased 7%, primarily due to continued growth in transaction volumes and deposit balances and improved spreads. Trade revenues increased modestly, driven by steady loan growth, partially offset by an industry-wide tightening of loan spreads.
Corporate lending revenues increased 58%. Excluding the impact of losses on loans hedges, revenues increased 12%, driven by lower hedging costs and the absence of a prior-year adjustment to the residual value of a lease financing transaction.
Private bank revenues increased 14%, primarily due to higher loan and deposit volumes, higher deposit spreads
and increased managed investments and capital markets activity.

Within Markets and securities services:

Fixed income markets revenues decreased 5%, primarily due to low volatility as well as the comparison to higher revenues in the prior year from a more robust trading environment. The decline in revenues was driven by lower net fraudinterest revenue, 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. Spread products and other fixed income revenues decreased 6%, due to a difficult trading environment in 2017 given low volatility, driving lower credit markets and commodities revenues, partially offset by higher municipals revenues, as well as higher securitized markets revenues.
Equity markets revenues decreased 2%. Excluding the episodic loss expensesin derivatives of approximately $130 million related to a single client event in 2017, revenues increased 1%3%, as continued growth in prime finance and delta one client balances and higher investor client activity were partially offset by lower episodic activity with corporate clients. Excluding the episodic loss in derivatives, equity derivatives revenues increased, driven by the stronger investor client activity. Cash equities revenues were modestly higher as well, 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 divestiture of a private equity fund services business in 2016, revenues increased 12%, driven by growth in client volumes and higher interest revenue due to a more favorable rate environment.

Expenses increased 4%, as higher repositioning chargescompensation, volume-related expenses and legal and related expenses as well as increased regulatory and compliance costsinvestments were partially offset by efficiency savings and lower performance-based compensation.savings.
Provisions decreased 27%, primarily reflectingimproved $501 million, driven by a net loan loss release of $380 million (compared to a net release of $30 million in 2016) 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, compared toas well as a buildfavorable credit environment, stability in 2013,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 higher net credit losses and a lower loan loss reserve release driven by the overall economic environment. Net credit losses increased 52%, largely related toimpact of the Pemex supplier program during 2014 as well as write-offs related to a specific counterparty.single client event noted above.




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 and income taxes, as well as Corporate Treasury, certain North America legacy consumer loan portfolios, other legacy assets and discontinued operations.operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At December 31, 2015,2018, Corporate/Other had $52$91 billion in assets, an increase of assets, or 3% of Citigroup’s total assets. For additional information, see “Managing Global Risk—Liquidity Risk” below.17% from the prior year.
In millions of dollars201520142013% Change 
 2015 vs. 2014		% Change 
 2014 vs. 2013		201820172016% Change 
 2018 vs. 2017		% Change 
 2017 vs. 2016
Net interest revenue$(154)$(224)$(610)31 %63 %$2,254
$2,000
$3,045
13 %(34)%
Non-interest revenue1,061
525
932
NM
(44)(171)1,132
2,188
NM
(48)
Total revenues, net of interest expense$907
$301
$322
NM
(7)%$2,083
$3,132
$5,233
(33)%(40)%
Total operating expenses$1,751
$6,020
$1,052
(71)%NM
$2,272
$3,814
$5,042
(40)%(24)%
Provisions for loan losses and for benefits and claims—
—
—
—
—
Loss from continuing operations before taxes$(844)$(5,719)$(730)85 %NM
Net credit losses$21
$149
$435
(86)%(66)%
Credit reserve build (release)(218)(317)(456)31
30
Provision (release) for unfunded lending commitments(3)—
(8)—
100
Provision for benefits and claims(2)(7)98
71
NM
Provisions for credit losses and for benefits and claims$(202)$(175)$69
(15)NM
Income (loss) from continuing operations before taxes$13
$(507)$122
NM
NM
Income taxes (benefits)(1,339)(344)(216)NM
(59)(113)19,064
(455)NM
NM
Income (loss) from continuing operations$495
$(5,375)$(514)NM
NM
$126
$(19,571)$577
NM
NM
Income (loss) from discontinued operations, net of taxes(54)(2)270
NM
NM
(8)(111)(58)93
(91)
Net income (loss) before attribution of noncontrolling interests$441
$(5,377)$(244)NM
NM
$118
$(19,682)$519
NM
NM
Noncontrolling interests18
43
87
(58)%(51)11
(6)(2)NM
NM
Net income (loss)$423
$(5,420)$(331)NM
NM
$107
$(19,676)$521
NM
NM
NM Not meaningful

20152018 vs. 20142017
Net income was $423$107 million in 2018, compared to a net loss of $5.4$19.7 billion in 2014, largelythe prior year, primarily driven by the $19.8 billion one-time, non-cash charge recorded in the tax line in 2017 due to the impact of Tax Reform. Results in 2018 included the one-time benefit of $94 million in the tax line, related to Tax Reform. For additional information, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below.
Excluding the one-time impact of Tax Reform in 2018 and 2017, net income decreased 92%, reflecting significantlylower revenues, partially offset by lower expenses, an increasedlower cost of credit and tax benefit duebenefits related to legal entity restructurings and resolutionthe reorganization of certain state and local audits innon-U.S. subsidiaries. The tax benefits were largely offset by the second quarterrelease of 2015, as well as higher revenues.a foreign currency translation adjustment (CTA) from AOCI to earnings (for additional information on the CTA release, see Note 19 to the Consolidated Financial Statements).
Revenues increased $606 million to $907 million, primarily due to gains on debt buybacks duringdecreased 33%, driven by the coursecontinued wind-down of 2015 and real estate sales in the second quarter of 2015 as well as higher revenues from sales of AFS securities, partially offset by hedging activities.legacy assets.
Expenses decreased $4.3 billion to $1.8 billion, largely driven by lower legal and related expenses ($796 million compared to $4.4 billion in 2014), a benefit from FX translation and lower repositioning charges.
During the fourth quarter of 2015, a change was enacted to the dividend rate Citi is entitled to receive on the shares of capital stock it is required to hold in the Federal Reserve System. Pursuant to current requirements, Citibank, N.A. (Citibank) is required to purchase stock equal to 3% of its capital stock and surplus (with an additional 3% subject to call by the Federal Reserve Board). As a result of the recent change, effective January 1, 2016, the statutory dividend Citi is to receive on these shares will decrease from a fixed 6% to the lesser of (i) the high-yield rate paid on the 10-year U.S. Treasury note based on the auction immediately preceding the dividend payment, and (ii) 6%. While the actual impact to Corporate/Other revenues (where Citi records this dividend) will be based on the number of shares of Federal Reserve System capital stock it holds at any given time as well as the quarter-to-quarter operational activities impacting the result of operations of Corporate/Other, based on year-end amounts, Citi estimates this change could negatively impact revenues in


Corporate/Other by approximately $160 million annually going forward.

2014 vs. 2013
The net loss increased $5.1 billion to $5.4 billion, primarily due to higher legal and related expenses.
Revenues decreased 7%40%, primarily driven by the wind-down of legacy assets, lower revenues from sales of AFS securities as well as hedging activities.infrastructure costs and lower legal expenses.
ExpensesProvisions increased $5.0 billiondecreased $27 million to $6.0 billion, largely driven by the higher legal and related expenses ($4.4 billion compared to $172 million in 2013) as well as increased regulatory and compliance costs and higher repositioning charges.






27


CITI HOLDINGS
Citi Holdings contains the remaining businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. Consistent with this determination, beginning in the first quarter of 2016, Citi’s consumer businesses in Argentina, Brazil and Colombia will be reported as part of Citi Holdings (for additional information, see “Citigroup Segments” and “Citicorp” above).
As of December 31, 2015, Citi Holdings assets were approximately $74 billion, a decrease of 43% year-over-year and 33% from September 30, 2015. The decline in assets of $36 billion from September 30, 2015 primarily consisted of divestitures and run-off, including, among others, completion of the sales of Citi’s retail banking and credit cards businesses in Japan and OneMain Financial. As of December 31, 2015, Citi had signed agreements to reduce Citi Holdings GAAP assets by an additional $7 billion in 2016, subject to regulatory approvals and other closing conditions.
Also as of December 31, 2015, consumer assets in Citi Holdings were approximately $64 billion, or approximately 86% of Citi Holdings assets. Of the consumer assets, approximately $38 billion, or 59%, consisted of North America mortgages (residential first mortgages and home equity loans). As of December 31, 2015, Citi Holdings represented approximately 4% of Citi’s GAAP assets and 11% 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 noted201520142013% Change 
 2015 vs. 2014		% Change 
 2014 vs. 2013
Net interest revenue$3,704
$4,591
$4,348
(19)%6 %
Non-interest revenue4,133
3,258
2,427
27
34
Total revenues, net of interest expense$7,837
$7,849
$6,775
— %16 %
Provisions for credit losses and for benefits and claims   

 
Net credit losses$1,066
$1,837
$3,264
(42)%(44)%
Credit reserve release(503)(907)(2,048)45
56
Provision for loan losses$563
$930
$1,216
(39)%(24)%
Provision for benefits and claims624
657
663
(5)(1)
Release for unfunded lending commitments(26)(10)(10)NM
—
Total provisions for credit losses and for benefits and claims$1,161
$1,577
$1,869
(26)%(16)%
Total operating expenses$4,615
$9,689
$7,910
(52)%22 %
Income (loss) from continuing operations before taxes$2,061
$(3,417)$(3,004)NM
(14)%
Income taxes (benefits)1,003
57
(1,133)NM
NM
Income (loss) from continuing operations$1,058
$(3,474)$(1,871)NM
(86)%
Noncontrolling interests$11
$6
$16
83 %(63)%
Net income (loss)$1,047
$(3,480)$(1,887)NM
(84)%
Total revenues, net of interest expense (excluding CVA/DVA)   

 
Total revenues—as reported$7,837
$7,849
$6,775
— %16 %
     CVA/DVA(1)
(15)(47)3
68
NM
Total revenues-excluding CVA/DVA$7,852
$7,896
$6,772
(1)%17 %
Balance sheet data (in billions of dollars)
   

 
Average assets$112
$144
$173
(22)%(17)%
Return on average assets0.93%(2.42)%(1.09)%

 
Efficiency ratio59
123
117


 
Total EOP assets$74
$129
$154
(43)(16)
Total EOP loans45
79
100
(43)(21)
Total EOP deposits7
17
69
(59)(75)

(1)FVA is included within CVA for presentation purposes. For additional information, see Note 25 to the Consolidated Financial Statements.
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.

2015 vs. 2014
Net income was $1.1 billion, an improvement from a net lossbenefit of $3.5 billion in 2014, largely due to the impact of the mortgage settlement in 2014 (see “Executive Summary” above). Excluding the mortgage settlement, net income increased $782$202 million, primarily due to lower expenses and lower net credit losses, partially offset by a lower net loan loss reserve release. While Citi Holdings expects to have positive net income during 2016, given the significant asset sales and declines in overall Citi Holdings’ assets during 2015, it does not expect to generate the same level of net income in 2016 as in 2015.
Revenues decreased 1%, primarily driven by the overall wind-down of the portfolio, the impact of redemptions of high cost debt and the impact of recording OneMain Financial net credit losses as a reduction of revenue beginning in the second quarter of 2015, mostly offset by higher gains on asset sales, including in the fourth quarter of 2015 due to the sales of OneMain Financial and the retail banking and credit cards businesses in Japan.
Expenses declined 52%. Excluding the impact of the mortgage settlement, expenses declined 22%, primarily due to the ongoing decline in assets and lower legal and related costs ($420 million compared to $986 million in 2014).
Provisions decreased 26%. Excluding the impact of the mortgage settlement, provisions decreased 24%, driven by lower net credit losses, partially offset by a lower net loss reserve release. Net credit losses declined 42%,86% to $21 million, primarily due toreflecting the impact of ongoing divestiture activity and the recordingcontinued wind-


down of OneMain Financial net credit losses as a reduction in revenue, continued improvements in North America mortgages and overall lower asset levels. The net reserve release decreased 42%. Excluding the impact of the mortgage settlement, the net reserve release decreased 46% to $529 million, primarily due to lower releases related to the North America mortgage portfolio. The net reserve release declined by $96 million to $221 million, and
reflected the continued wind-down of the legacy North America mortgage portfolio as the portfolio has been reduced and credit has improved.divestitures.

20142017 vs. 20132016
The net loss increasedwas $19.7 billion, compared to net income of $521 million in the prior year, primarily driven by $1.6 billion to $3.5 billion, largely due to the one-time impact of Tax Reform. Excluding the mortgage settlement,one-time impact of Tax Reform, net income declined 69% to $168 million, reflecting lower revenues, partially offset by higher revenueslower expenses and lower cost of credit. Excluding
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 settlement,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 in 2017.

Provisions decreased $244 million to a net income increased by $2.2 billion to $275benefit of $175 million, primarily due to lower expenses, lower net credit losses and higher revenues,a lower provision for benefits and claims, partially offset by a lower net loan loss reserve release.
Revenues increased 17% Net credit losses declined 66%, 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 as compared to 2013, partially offset by losses on the redemption of debt associated with funding Citi Holdings assets.
Expenses increased 22%. Excludingreflecting the impact of ongoing divestiture activity and the mortgage settlement, expenses declined 25%, 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 16%. Excluding the impactcontinued wind-down of the mortgage settlement, provisions declined 19%, driven by a 44% decline in net credit losses primarily due to continued improvements in North America mortgages and overall lower
asset levels. The net reserve release decreased 55%. Excluding the impact of the mortgage settlement, the net reserve release decreased 53%, primarily due to lower net releases related to the North America mortgage portfolio. The decline in the provision for benefits and claims was primarily due to lower insurance activity. The net reserve release declined $147 million, and reflected the continued wind-down of the legacy North America mortgage portfolio partially offset by lower losses on asset sales.and divestitures.

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, more recently, the U.K. Supreme Court. For additional information on PPI, see “Citi Holdings” in Citi’s Annual Report on Form 10-K for the year ended December 31, 2013 filed with the SEC on March 3, 2014.
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, 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.
During the fourth quarter of 2015, the FCA issued a consultation paper that proposed (1) a deadline for PPI complaints (both non-Plevin and Plevin complaints) of two years after the effective date of the final rules; (2) an FCA-led customer communications campaign in advance of the deadline, with bank funding of the campaign; and (3) a failure to disclose a sales commission of 50% or more would be deemed unfair when assessing a new PPI complaint and require a customer refund of the difference between the commission paid and 50%, plus interest. Final rules are expected from the FCA in spring 2016.
During 2015, Citi increased its PPI reserves by approximately $153 million ($65 million of which was recorded in Citi Holdings and $88 million of which was recorded in discontinued operations), including a $106 million reserve increase in the fourth quarter of 2015 ($39 million of which was recorded in Citi Holdings and $67 million of which was recorded in discontinued operations). The increase for full year 2015 compared to an increase of $118 million during 2014. While the overall level of claims generally remained


29


unchanged in 2015, the increase in the reserves during 2015, including in the fourth quarter of 2015, was due in part to the Plevin case and the guidelines set forth in the FCA’s consultation paper, including the proposed customer communications campaign.
Citi’s year-end 2015 PPI reserve was $262 million (compared to $225 million as of December 31, 2014).
Additional reserving actions, if any, in 2016 will largely depend on the timing of and response to the FCA’s final rules, including the level of customer response to any communications campaign.



30


OFF-BALANCE SHEET ARRANGEMENTS

Citigroup enters into various types of off-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-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-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.


31


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 dollars20162017201820192020ThereafterTotal20192020202120222023ThereafterTotal
Long-term debt obligations—principal(1)
$43,537
$34,345
$31,416
$19,153
$9,377
$63,447
$201,275
$38,590
$37,303
$28,542
$14,095
$19,061
$94,408
$231,999
Long-term debt obligations—interest payments(2)
5,960
4,667
3,575
2,736
2,262
29,332
48,532
8,232
6,763
5,489
4,664
4,022
37,617
66,787
Operating and capital lease obligations1,238
1,002
778
698
567
4,483
8,766
925
748
657
525
394
1,890
5,139
Purchase obligations(3)
612
547
258
246
240
500
2,403
535
494
509
501
329
1,024
3,392
Other liabilities(4)
29,015
732
772
192
276
3,462
34,449
33,077
523
132
79
75
1,718
35,604
Total$80,362
$41,293
$36,799
$23,025
$12,722
$101,224
$295,425
$81,359
$45,831
$35,329
$19,864
$23,881
$136,657
$342,921

(1)For additional information about long-term debt obligations, see “Managing Global“Liquidity Risk—Liquidity Risk”Long-Term Debt” below and Note 1817 to the Consolidated Financial Statements.
(2)Contractual obligations related to interest payments on long-term debt for 2016–20202019–2023 are calculated by applying the December 31, 20152018 weighted-average interest rate (3.32%(3.87%) 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 (2021–(2024–2098) 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; 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 20162018 for Citi’s employee-defined benefit obligations for the pension, postretirement and postemploymentpost employment plans and defined contribution plans.


32


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 2015, Citi continued to raisecapital through noncumulative perpetual preferred stock issuances amounting to approximately $6.3 billion, resulting in a total of approximately $16.7 billion outstanding as of December 31, 2015. In addition, during 2015, Citi returned a total of approximately $5.9 billion of capital to common shareholders in the form of share repurchases (approximately 101 million common shares) and dividends.
Further, Citi’s capital levels may also be affected by changes in accounting and regulatory 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 2018, Citi returned a total of $18.4 billion of capital to common shareholders in the form of share repurchases (approximately 212 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’sits 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. The Citigroup Capital Committee, with oversight from the Risk Management Committee of Citigroup’s Board of Directors, has responsibility for Citi’s aggregate capital structure, including the capital assessment and planning process, which is integrated into Citi’s capital plan. Balance sheet management, including oversight of capital adequacy, for Citigroup’s subsidiaries is governed by each entity’s Asset and Liability Committee. Committee, where applicable.
Based on Citigroup’s current regulatory capital requirements, as well as consideration of potential future changes to the U.S. Basel III rules, management currently believes that a targeted Common Equity Tier 1 Capital ratio of approximately 11.5% represents the amount necessary to prudently operate and invest in Citi’s franchise, including when considering future growth plans, capital return projections and other factors that may impact Citi’s businesses. However, management may revise Citigroup’s targeted Common Equity Tier 1 Capital ratio in response to changing regulatory capital requirements as well as other relevant factors.
For additional information regarding Citi’s capital planning and stress testing exercises, see “Capital Planning and Stress Testing”“Stress Testing Component of Capital Planning” below.


Current Regulatory Capital Standards
Citi is subject to regulatory capital standards issued by the Federal Reserve Board, which commencing with 2014, constitute the U.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 set 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 Advanced Approaches) for measuring total risk-weighted assets. Total risk-weighted assets under the Advanced Approaches, which are primarily models based, include credit, market, and operational risk-weighted assets. Conversely, theThe Standardized Approach excludes operational risk-weighted assets and generally applies prescribed supervisory risk weights to broad categories of credit 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 derivedcurrently calculated on a generally consistent basis under both approaches. The Standardized Approach excludes operational risk-weighted assets.
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 2.5% Capital Conservation Buffer and, for Advanced Approaches banking organizations, such as Citi and Citibank, a discretionary Countercyclical Capital Buffer, whichBuffer. These capital buffers would be available to absorb losses in advance of any potential impairment of regulatory capital below the stated minimum risk-based capital ratio requirements. In December 2015,Any breach of the buffers to absorb losses during periods of financial or economic stress would result in restrictions on earnings distributions (e.g., dividends, equity repurchases, and discretionary executive bonuses), with the degree of such restrictions based upon the extent to which the buffers are breached. The Federal Reserve Board last voted to affirm the Countercyclical Capital Buffer amount at the current level of 0%, and issued a proposed framework for implementing the Countercyclical Capital Buffer in the future. For additional information regarding the Federal Reserve Board’s proposed policy statement on the Countercyclical Capital Buffer, see “Regulatory Capital Standards Developments”below.December 2017.
Further, the U.S. Basel III rules 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, to calculate each of the three risk-based capital ratios (Common Equity Tier 1 Capital, Tier 1 Capital, and Total Capital) under both the U.S. Basel III 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) and the Advanced Approaches and publicly report (as well as measure compliance against)comply with the lower of each of the resulting risk-based capital ratios.












33


GSIB Surcharge
In August 2015, theThe Federal Reserve Board issued a final rule which 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.Buffer.
Under the Federal Reserve Board’s final rule, identification of a GSIB would beis based on the Basel Committee on Banking Supervision’s (Basel Committee) GSIB methodology, which primarily on quantitative measurement indicators underlyinglooks to 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 comprisedis 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 will beis required, on an annual basis, to calculate a surcharge using two methods and will beis 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.Basel Committee’s GSIB methodology described above. 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,In addition, 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. 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, 2019 will be based on 2018 systemic indicator data). Generally, theCiti’s surcharge deriveddetermined under method 2 will result in a higher surcharge than derivedits surcharge determined 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, 20162019 would not become effective until January 1, 2018)2021). 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, 20162019 would become effective January 1, 2017)2020).

 
The following table sets forth Citi’s GSIB surchargessurcharge as determined under the final rule, which are required to be composed entirely of Common Equity Tiermethod 1 Capital, initially range from 1.0% to 4.5% of total risk-weighted assets. and method 2 for 2018 and 2017:
 20182017
Method 12.0%2.0%
Method 23.0
3.0

Citi’s initial GSIB surcharge effective January 1, 2016, which is based primarily on 2014 quantitative measures of systemic importance (other thanfor both 2018 and 2017 was 3.0%, as derived under the short-term wholesale funding measure underhigher method 2 based on 2015 data), is 3.5%. However,result. Citi’s ongoing efforts during 2015 in managing balance sheet efficiency has resulted in lower scores for substantially all of the quantitative measures of systemic importance, and consequently has reduced Citi’s estimated GSIB surcharge to 3%effective for 2019 will remain unchanged at 3.0%, alsoas derived under the higher method 2 which would becomeresult. 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 January 1, 2017.for 2020 will not exceed 3.0%, and Citi’s GSIB surcharge effective for 2021 is not expected to exceed 3.0%.

Transition Provisions
TheGenerally, the U.S. Basel III rules contain several differing, largely multi-year transition provisions, (i.e.,with various “phase-ins” and “phase-outs”) 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).“phase-outs.” Moreover, the GSIB surcharge, will be introduced in parallel with the Capital Conservation Buffer, and if applicable, any Countercyclical Capital Buffer commencing(currently 0%) commenced phase-in on January 1, 2016, and becoming fully effective on January 1, 2019. WithHowever, with the exception of the non-grandfathered trust preferred securities, which do not fully phase-out of Tier 2 Capital until January 1, 2022, and the capital buffers and GSIB surcharge, which do not fully phase-in until January 1, 2019, all other transition provisions will behave occurred and were entirely reflected in Citi’s regulatory capital ratios bybeginning January 1, 2018. Accordingly, commencing with 2018, Citi considers allis presenting a single set of theseregulatory capital components and ratios, reflecting current regulatory capital standards in effect throughout 2018. Citi previously disclosed its Basel III risk-based capital and leverage ratios and related components reflecting Basel III transition provisionsarrangements with respect to regulatory capital adjustments and deductions, as being fully implementedwell as full implementation, in Citi’s 2017 Annual Report on Form 10-K; however, beginning January 1, 2019 (full implementation), with the inclusion of the capital buffers and GSIB surcharge.2018, that distinction is no longer relevant.
The following chart sets forth the transitional progression from January 1, 2017 to full implementation by January 1, 2019 of the regulatory capital components (i.e., inclusive of the mandatory 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%, as well as an estimated 3% GSIB surcharge) comprising the effective minimum risk-based capital ratios.













34


Basel III Transition Arrangements: Minimum Risk-Based Capital Ratios
basel18q4.jpg

The following chart presentsFor additional information regarding the transition arrangements (phase-in and phase-out) under the U.S. Basel III rules, for significant regulatoryincluding Citigroup’s and Citibank’s capital adjustments and deductions relative to Citi.resources reflecting Basel III transition arrangements as of December 31, 2017, see “Capital Resources—Current Regulatory Capital Standards” in Citigroup’s 2017 Annual Report on Form 10-K.
Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions
 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. The amount of 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 U.S. Basel III rules. Upon full implementation, 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 Common Equity 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 unrealized gains (losses) on available-for-sale (AFS) debt securities; unrealized gains on AFS equity securities; unrealized gains (losses) on held-to-maturity (HTM) securities included in Accumulated other comprehensive income (loss) (AOCI); and defined benefit plans liability adjustment.

35


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%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 additionallyCiti is also 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 will beare required to maintain a stated minimum Supplementary Leverage ratio of 3% commencing on January 1, 2018, but commenced publicly disclosing this ratio on January 1, 2015.3.0%.
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%2.0% leverage buffer for U.S. GSIBs in addition to the stated 3%3.0% minimum Supplementary Leverage ratio requirement, in the U.S. Basel III rules. Iffor a total effective minimum Supplementary Leverage ratio requirement of 5.0%. Effective January 1, 2018, if a U.S. GSIB fails to exceed the 2% leverage2.0% 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% minimum Supplementary Leverage ratio requirement. Additionally, insured depository institution subsidiaries of U.S. GSIBs, such as Citibank, are required to maintain a Supplementary Leverage ratio of 6% to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) framework established by the U.S. Basel III rules. Citi and Citibank are required to be compliant with these higher effective minimum ratio requirements on January 1, 2018.


Prompt Corrective Action Framework
The U.S. Basel III rules revised the PCA regulations applicable to insured depository institutions in certain respects.
In general, the PCAPrompt Corrective Action (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”;capitalized,” (ii) “adequately capitalized”;capitalized,” (iii) “undercapitalized”;
undercapitalized,” (iv) “significantly undercapitalized”;undercapitalized,” and (v) “critically undercapitalized.”
Accordingly, beginning January 1, 2015, 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%8.0%, 10%10.0% and 5%5.0%, respectively, to be considered “well capitalized.” Additionally, Advanced Approaches insured depository institutions, such asinstitution subsidiaries of U.S. GSIBs, including Citibank, must maintain a minimum Supplementary Leverage ratio of 6%6.0%, effective January 1, 2018, to be considered “well capitalized.”

Stress Testing Component of Capital Planning and Stress Testing
Citi is subject to an annual assessment by the Federal Reserve Board as to whether CitiCitigroup 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 as to 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 three supervisory scenariosadverse 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, certain pro forma regulatory capital ratios, (i.e., Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital, and Tier 1 Leverage ratios), and any other additional capital measures deemed


36


relevant by Citi. Projections are required over a nine-quarter planning horizon under baseline conditionsthree supervisory scenarios (baseline, adverse and under a range of stressed scenarios.severely adverse conditions). All risk-based capital ratios reflect application of the Standardized Approach framework only and the transition arrangements under the U.S. Basel III rules.
In November 2015, the Federal Reserve Board released a final rule, which for purposes of CCAR, adopted targeted amendments to its capital plan and stress test rules. Effective January 1, 2016, the final rule removed all requirements related to the Tier 1 Common Capital ratio (originally defined in conjunction with the 2009 Supervisory Capital Assessment Program), as it has effectively been replaced by the Common Equity Tier 1 Capital ratio requirement subsequent to the implementation of the U.S. Basel III rules. Moreover, the final rule delayed the use of the Supplementary Leverage ratio until the 2017 capital planning cycle, andFederal Reserve Board has deferred the use of the Advanced Approaches framework indefinitely.
For additional information regarding CCAR, see “Risk
Factors—RegulatoryStrategic Risks” below. For additional information on potential changes to the stress testing component of capital planning and assessment process applicable to Citi, see “Regulatory Capital Standards Developments” below.
In addition, 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.

Citigroup’s Capital Resources Under Current Regulatory Standards
During 2015 and thereafter, Citi is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6%6.0% and 8%8.0%, respectively. The stated
Citi’s effective minimum Common Equity Tier 1 Capital, and Tier 1 Capital ratio requirements in 2014and Total Capital ratios during 2018, inclusive of the 75% 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 8.625%, 10.125% and 12.125%, 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), were 4%7.25%, 8.75% and 5.5%10.75%, respectively, while the statedrespectively.
Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratio requirementrequirements during 2019, inclusive of 8% remained unchanged.the 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%, as well as a 3.0% GSIB surcharge, will be 10.0%, 11.5% and 13.5%, 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.
Under the U.S. Basel III rules, Citi must comply with a 4.0% minimum Tier 1 Leverage ratio requirement. Effective January 1, 2018, Citi must also comply with an effective 5.0% minimum Supplementary Leverage ratio requirement.

The following tables 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 leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of December 31, 20152018 and December 31, 2014.2017.


Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
December 31, 2015 
December 31, 2014(1)
December 31, 2018 December 31, 2017
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced Approaches
Standardized Approach(2)
Advanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$173,862
$173,862
 $166,663
$166,663
$139,252
$139,252
 $142,822
$142,822
Tier 1 Capital176,420
176,420
 166,663
166,663
158,122
158,122
 162,377
162,377
Total Capital (Tier 1 Capital + Tier 2 Capital)(3)
198,746
211,115
 184,959
197,707
183,144
195,440
 187,877
199,989
Total Risk-Weighted Assets1,190,853
1,138,711
 1,274,672
1,211,358
1,131,933
1,174,448
 1,152,644
1,155,099
Common Equity Tier 1 Capital ratio(4)
14.60%15.27% 13.07%13.76%
Tier 1 Capital ratio(4)
14.81
15.49
 13.07
13.76
Total Capital ratio(4)
16.69
18.54
 14.51
16.32
Credit Risk$758,887
$1,109,007
 $767,102
$1,089,372
Market Risk63,987
65,441
 65,003
65,727
Operational Risk309,059
—
 320,539
—
Common Equity Tier 1 Capital ratio(1)(2)
12.30%11.86% 12.39%12.36%
Tier 1 Capital ratio(1)(2)
13.97
13.46
 14.09
14.06
Total Capital ratio(1)(2)
16.18
16.64
 16.30
17.31

In millions of dollars, except ratiosDecember 31, 2015 
December 31, 2014(1)
December 31, 2018 December 31, 2017
Quarterly Adjusted Average Total Assets(5)(3)
 $1,732,933
  $1,849,325
 $1,896,959
 $1,868,326
Total Leverage Exposure(6)
 2,326,072
  2,518,115
Total Leverage Exposure(4)
 2,465,641
 2,432,491
Tier 1 Leverage ratio(2) 10.18%  9.01% 8.34% 8.69%
Supplementary Leverage ratio(2) 7.58
  6.62
 6.41
 6.68

(1)Restated to reflectAs of December 31, 2018 and 2017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the retrospective adoption of ASU 2014-01 for Low Income Housing Tax Credit (LIHTC) investments, consistent with current period presentation.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.
(2)Pro forma presentationCiti’s risk-based capital and leverage ratios and related components as of December 31, 2017 are non-GAAP financial measures, which reflect full implementation of regulatory capital adjustments and deductions prior to reflect the applicationeffective date of January 1, 2018. Citi believes these ratios and the Basel III 2015 Standardized Approach, consistent with current period presentation.related components provide useful information to investors and others by measuring Citi’s progress in prior periods against currently effective regulatory capital standards.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.


Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 11.9% at December 31, 2018, compared to 11.7% at September 30, 2018 and 12.4% at December 31, 2017. The quarter-over-quarter increase was primarily due to net income of $4.3 billion as well as decreases in risk-weighted assets, partially offset by the return of $5.8 billion of capital to common shareholders. Citi’s Common Equity Tier 1 Capital ratio declined from year-end 2017 primarily due to a reduction in Common Equity Tier 1 Capital resulting from the return of $18.4 billion capital to common shareholders, an increase in risk-weighted assets, and adverse net movements in AOCI, partially offset by net income of $18.0 billion in 2018.

Components of Citigroup Capital
In millions of dollarsDecember 31,
2018		December 31,
2017
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$177,928
$181,671
Add: Qualifying noncontrolling interests147
153
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)
(728)(698)
Less: Cumulative unrealized net gain (loss) related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(3)
580
(721)
Less: Intangible assets:  
  Goodwill, net of related DTLs(4)
21,778
22,052
    Identifiable intangible assets other than MSRs, net of related DTLs4,402
4,401
Less: Defined benefit pension plan net assets806
896
Less: DTAs arising from net operating loss, foreign tax credit and general business credit
   carry-forwards(5)
11,985
13,072
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$139,252
$142,822
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$18,292
$19,069
Qualifying trust preferred securities(6)
1,384
1,377
Qualifying noncontrolling interests55
61
Regulatory Capital Deductions:  
Less: Permitted ownership interests in covered funds(7)
806
900
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(8)
55
52
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$18,870
$19,555
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Standardized Approach and Advanced Approaches)
$158,122
$162,377
Tier 2 Capital  
Qualifying subordinated debt$23,324
$23,673
Qualifying trust preferred securities(9)
321
329
Qualifying noncontrolling interests47
50
Eligible allowance for credit losses(10)
13,681
13,612
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(8)
55
52
Total Tier 2 Capital (Standardized Approach)$37,318
$37,612
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$195,440
$199,989
Adjustment for excess of eligible credit reserves over expected credit losses(10)
$(12,296)$(12,112)
Total Tier 2 Capital (Advanced Approaches)$25,022
$25,500
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$183,144
$187,877

(1)Issuance costs of $168 million and $184 million related to noncumulative perpetual preferred stock outstanding at December 31, 2018 and 2017, respectively, 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 U.S. Basel III 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 $22.9 billion of net DTAs at December 31, 2018, $11.9 billion was includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while $11.0 billion was excluded. Excluded from Citi’s Common Equity Tier 1 Capital as of December 31, 2018 was $12.0 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, which was reduced by $1.0 billion of net DTLs primarily associated with goodwill and certain other intangible assets. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be entirely deducted from Common Equity Tier 1 Capital under the U.S. Basel III rules. Commencing on December 31, 2017, Citi’s DTAs arising from temporary differences were less than the 10% limitation under the U.S. Basel III rules and therefore not subject to deduction from Common Equity Tier 1 Capital, but are subject to risk-weighting at 250%.
(6)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(7)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.
(8)50% of the minimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(9)Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
(10)Under the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent 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 $1.4 billion and $1.5 billion at December 31, 2018 and 2017, respectively.






Citigroup Capital Rollforward
In millions of dollarsThree Months Ended December 31, 2018Twelve Months Ended 
 December 31, 2018
Common Equity Tier 1 Capital, beginning of period$140,428
$142,822
Net income4,313
18,045
Common and preferred stock dividends declared(1,402)(5,039)
 Net increase in treasury stock(4,692)(14,061)
Net change in common stock and additional paid-in capital81
(102)
Net increase in foreign currency translation adjustment net of hedges, net of tax(394)(2,362)
Net change in unrealized gains (losses) on debt securities AFS, net of tax1,072
(1,092)
Net increase in defined benefit plans liability adjustment, net of tax(489)(74)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
(129)(188)
Net decrease in ASC 815—Excluded component of Fair Value Hedges(35)(57)
Net decrease in goodwill, net of related DTLs113
274
Net increase in identifiable intangible assets other than MSRs, net of related DTLs(98)(1)
Net decrease in defined benefit pension plan net assets125
90
 Net decrease in DTAs arising from net operating loss, foreign tax credit and
      general business credit carry-forwards
360
1,087
Other(1)(90)
Net decrease in Common Equity Tier 1 Capital$(1,176)$(3,570)
Common Equity Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$139,252
$139,252
Additional Tier 1 Capital, beginning of period$19,449
$19,555
Net decrease in qualifying perpetual preferred stock(559)(777)
Net increase in qualifying trust preferred securities2
7
Net change in permitted ownership interests in covered funds(11)94
Other(11)(9)
Net decrease in Additional Tier 1 Capital$(579)$(685)
Additional Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$18,870
$18,870
Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$158,122
$158,122
Tier 2 Capital, beginning of period (Standardized Approach)$36,931
$37,612
Net change in qualifying subordinated debt376
(349)
Net increase in eligible allowance for credit losses25
69
Other(14)(14)
Net change in Tier 2 Capital (Standardized Approach)$387
$(294)
Tier 2 Capital, end of period (Standardized Approach)$37,318
$37,318
Total Capital, end of period (Standardized Approach)$195,440
$195,440
Tier 2 Capital, beginning of period (Advanced Approaches)$24,746
$25,500
Net change in qualifying subordinated debt376
(349)
Net decrease in excess of eligible credit reserves over expected credit losses(86)(115)
Other(14)(14)
Net change in Tier 2 Capital (Advanced Approaches)$276
$(478)
Tier 2 Capital, end of period (Advanced Approaches)$25,022
$25,022
Total Capital, end of period (Advanced Approaches)$183,144
$183,144




Citigroup Risk-Weighted Assets Rollforward (Basel III Standardized Approach)
In millions of dollarsThree Months Ended December 31, 2018Twelve Months Ended 
 December 31, 2018
 Total Risk-Weighted Assets, beginning of period$1,196,923
$1,155,099
Changes in Credit Risk-Weighted Assets  
Net increase in general credit risk exposures(1)
135
2,850
Net increase in repo-style transactions(2)
1,449
7,070
Net increase in securitization exposures(3)
2,300
2,068
Net change in equity exposures(1,484)1,195
Net change in over-the-counter (OTC) derivatives(4)
(10,849)7,364
Net change in other exposures(5)
(535)1,464
Net decrease in off-balance sheet exposures(6)
(8,878)(2,376)
Net change in Credit Risk-Weighted Assets$(17,862)$19,635
Changes in Market Risk-Weighted Assets  
Net change in risk levels(7)
$(4,219)$7,383
Net decrease due to model and methodology updates(8)
(394)(7,669)
Net decrease in Market Risk-Weighted Assets$(4,613)$(286)
Total Risk-Weighted Assets, end of period$1,174,448
$1,174,448

(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 12 months ended December 31, 2018 mainly driven by growth in corporate loans.
(2)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(3)Securitization exposures increased during the three and 12 months ended December 31, 2018 due to increased exposures from new deals.
(4)OTC derivatives decreased during the three months ended December 31, 2018 due to a decrease in notional amounts for bilateral trades. OTC derivatives increased during the 12 months ended December 31, 2018, primarily due to notional increases.
(5)Other exposures include cleared transactions, unsettled transactions, and other assets. Other exposures increased during the 12 months ended December 31, 2018 primarily due to increases in various other assets subject to risk-weighting at 100% and additional DTAs arising from temporary differences, which are subject to risk-weighting at 250%.
(6)Off-balance sheet exposures decreased during the three and 12 months ended December 31, 2018, primarily due to a reduction in loan commitments.
(7)Risk levels decreased during the three months ended December 31, 2018 primarily due to a decrease in positions subject to incremental risk charges. Risk levels increased during the 12 months ended December 31, 2018 primarily due to changes in exposure levels subject to Value at Risk and Stressed Value at Risk.
(8)Risk-weighted assets decreased during the 12 months ended December 31, 2018 primarily due to changes in model inputs regarding volatility and the correlation between market risk factors, as well as methodology changes for standard specific risk charges.

































Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches)
In millions of dollarsThree Months Ended December 31, 2018Twelve Months Ended 
 December 31, 2018
 Total Risk-Weighted Assets, beginning of period$1,155,188
$1,152,644
Changes in Credit Risk-Weighted Assets  
Net change in retail exposures(1)
2,320
(11,898)
Net decrease in wholesale exposures(2)
(6,392)(635)
Net increase in repo-style transactions(3)
3,334
4,728
Net increase in securitization exposures(4)
2,118
2,505
Net change in equity exposures(1,412)1,466
Net decrease in over-the-counter (OTC) derivatives(5)
(8,817)(7,063)
Net change in derivatives CVA(465)1,318
Net change in other exposures(6)
(1,141)1,904
Net decrease in supervisory 6% multiplier(7)
(600)(540)
Net decrease in Credit Risk-Weighted Assets$(11,055)$(8,215)
Changes in Market Risk-Weighted Assets  
Net change in risk levels(8)
$(4,266)$6,653
Net decrease due to model and methodology updates(9)
(394)(7,669)
Net decrease in Market Risk-Weighted Assets$(4,660)$(1,016)
Net decrease in Operational Risk-Weighted Assets(10)
$(7,540)$(11,480)
Total Risk-Weighted Assets, end of period$1,131,933
$1,131,933

(1)Retail exposures increased during the three months ended December 31, 2018, primarily due to seasonal spending for qualifying revolving (cards) exposures. Retail exposures decreased during the 12 months ended December 31, 2018, primarily due to residential mortgage loan sales and repayments.
(2)Wholesale exposures decreased during the three months ended December 31, 2018, primarily due to decreases in loan commitments.
(3)Repo-style transactions include repurchase and reverse repurchase transactions as well as securities borrowing and securities lending transactions.
(4)Securitization exposures increased during the three and 12 months ended December 31, 2018, due to increased exposures from new deals.
(5)OTC derivatives decreased during the three and 12 months ended December 31, 2018, primarily due to decreases in potential future exposure and fair value.
(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.
(7)Supervisory 6% multiplier does not apply to derivatives CVA.
(8)Risk levels decreased during the three months ended December 31, 2018, primarily due to a decrease in positions subject to incremental risk charges. Risk levels increased during the 12 months ended December 31, 2018 primarily due to changes in exposure levels subject to Value at Risk and Stressed Value at Risk.
(9)Risk-weighted assets decreased during the 12 months ended December 31, 2018 primarily due to changes in model inputs regarding volatility and the correlation between market risk factors, as well as methodology changes for standard specific risk charges.
(10)Operational risk-weighted assets decreased during the three months and 12 months ended December 31, 2018 primarily due to changes in operational loss severity and frequency.

Total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2017 due to higher credit risk-weighted assets, slightly offset by a decrease in market risk-weighted assets. The increase in credit risk-weighted assets was primarily due to changes in OTC derivative trade activity, repo-style transactions, growth in corporate loans, securitization exposures and other exposures, partially offset by a decrease in loan commitments.
Total risk-weighted assets under the Basel III Advanced Approaches decreased from year-end 2017 driven by lower operational and credit, as well as market risk-weighted assets. The decrease in operational risk-weighted assets was primarily due to changes in operational loss severity and frequency. The decrease in credit risk-weighted assets was primarily due to a decline in retail exposures driven by a reduction in residential mortgage loan sales and repayments, and changes in OTC derivative trade activity, partially offset by increases in repo-style transactions, securitization exposures and other exposures.
Market risk-weighted assets decreased under both the Basel III Standardized Approach and Basel III Advanced Approaches primarily due to changes in model inputs regarding volatility and the correlation between market risk factors, as well as methodology changes for standard specific risk charges, partially offset by increases in positions subject to Value at Risk and Stressed Value at Risk.

Supplementary Leverage Ratio
Citigroup’s Supplementary Leverage ratio was 6.4% for the fourth quarter of 2018, compared to 6.5% for the third quarter of 2018 and 6.7% for the fourth quarter of 2017. The decline in the ratio quarter-over-quarter was principally driven by a reduction in Tier 1 Capital resulting from the return of $5.8 billion of capital to common shareholders, partially offset by net income of $4.3 billion. The decline in the ratio from the fourth quarter of 2017 was largely attributable to a reduction in Tier 1 Capital resulting from the return of $18.4 billion of capital to common shareholders, adverse net movements in AOCI, as well as an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by net income of $18.0 billion.
The following table sets forth Citi’s Supplementary Leverage ratio and related components as of December 31, 2018 and 2017.

Citigroup Basel III Supplementary Leverage Ratio and Related Components
In millions of dollars, except ratiosDecember 31, 2018December 31, 2017
Tier 1 Capital$158,122
$162,377
Total Leverage Exposure (TLE)  
On-balance sheet assets(1)
$1,936,791
$1,909,699
Certain off-balance sheet exposures:(2)
  
   Potential future exposure on derivative contracts187,130
191,555
   Effective notional of sold credit derivatives, net(3)
49,402
59,207
   Counterparty credit risk for repo-style transactions(4)
23,715
27,005
   Unconditionally cancelable commitments69,630
67,644
   Other off-balance sheet exposures238,805
218,754
Total of certain off-balance sheet exposures$568,682
$564,165
Less: Tier 1 Capital deductions39,832
41,373
Total Leverage Exposure$2,465,641
$2,432,491
Supplementary Leverage ratio6.41%6.68%

(1)Represents the daily average of on-balance sheet assets for the quarter.
(2)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(3)Under the U.S. Basel III rules, banking organizations are required to include in TLE the effective notional amount of sold credit derivatives, with netting of exposures permitted if certain conditions are met.
(4)Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.


Capital Resources of Citigroup’s Subsidiary U.S.
Depository Institutions
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 2018, 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 75% phase-in of the 2.5% Capital Conservation Buffer, of 6.375%, 7.875% and 9.875%, respectively. Citibank’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during
2017, inclusive of the 50% phase-in of the 2.5% Capital Conservation Buffer, were 5.75%, 7.25% and 9.25%, 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 tables 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 leverage ratios for Citibank, Citi’s primary subsidiary U.S. depository institution, as of December 31, 2018 and 2017.

Citibank Capital Components and Ratios
 December 31, 2018 December 31, 2017
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$129,217
$129,217
 $122,848
$122,848
Tier 1 Capital131,341
131,341
 124,952
124,952
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
144,485
155,280
 138,008
148,946
Total Risk-Weighted Assets927,931
1,030,514
 965,435
1,024,502
   Credit Risk$656,664
$991,999
 $674,659
$980,324
   Market Risk38,144
38,515
 43,300
44,178
   Operational Risk233,123
—
 247,476
—
Common Equity Tier 1 Capital ratio(2)(3)(4)
13.93%12.54% 12.72%11.99%
Tier 1 Capital ratio(2)(3)(4)
14.15
12.75
 12.94
12.20
Total Capital ratio(2)(3)(4)
15.57
15.07
 14.29
14.54

In millions of dollars, except ratiosDecember 31, 2018 December 31, 2017
Quarterly Adjusted Average Total Assets(5)
 $1,399,029
  $1,401,187
Total Leverage Exposure(6) 
 1,914,817
  1,900,641
Tier 1 Leverage ratio(2)(4)
 9.39%  8.92%
Supplementary Leverage ratio(2)(4)
 6.86
  6.57

(1)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 eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(4)(2)AsCitibank’s risk-based capital and leverage ratios and related components as of December 31, 20152017 are non-GAAP financial measures, which reflect full implementation of regulatory capital adjustments and December 31, 2014,deductions prior to the effective date of January 1, 2018. Citi believes these ratios and the related components provide useful information to investors and others by measuring 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.
(5)Tier 1 Leverage ratio denominator.
(6)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s capital ratios at December 31, 2015 were in excess of the stated minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current
federal bank regulatory agency definitions as of December 31, 2015.


37


Components of Citigroup Capital Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsDecember 31,
2015
December 31, 2014(1)
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(2)
$205,286
$199,841
Add: Qualifying noncontrolling interests369
539
Regulatory Capital Adjustments and Deductions:  
Less: Net unrealized gains (losses) on securities AFS, net of tax(3)(4)
(544)46
Less: Defined benefit plans liability adjustment, net of tax(4)
(3,070)(4,127)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(5)
(617)(909)
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(4)(6)
176
56
Less: Intangible assets:  
   Goodwill, net of related deferred tax liabilities (DTLs)(7)
21,980
22,805
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
   DTLs(4)
1,434
875
Less: Defined benefit pension plan net assets(4)
318
187
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(4)(8)
9,464
4,725
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs(4)(8)(9)
2,652
1,977
Less: Deductions applied to Common Equity Tier 1 Capital due to insufficient amount of Additional
Tier 1 Capital to cover deductions(4)
—
8,082
Total Common Equity Tier 1 Capital$173,862
$166,663
Additional Tier 1 Capital  
Qualifying perpetual preferred stock(2)
$16,571
$10,344
Qualifying trust preferred securities(10)
1,707
1,719
Qualifying noncontrolling interests12
7
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)
265
223
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
229
279
Less: Defined benefit pension plan net assets(4)
476
749
Less: DTAs arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(4)(8)
14,195
18,901
Less: Permitted ownership interests in covered funds(12)
567
—
Less: Deductions applied to Common Equity Tier 1 Capital due to insufficient amount of Additional
   Tier 1 Capital to cover deductions(4)
—
(8,082)
Total Additional Tier 1 Capital$2,558
$—
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$176,420
$166,663
Tier 2 Capital  
Qualifying subordinated debt(13)
$21,370
$17,386
Qualifying noncontrolling interests17
12
Excess of eligible credit reserves over expected credit losses(14)
1,163
1,177
Regulatory Capital Adjustment and Deduction:  
Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital5
—
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
229
279
Total Tier 2 Capital$22,326
$18,296
Total Capital (Tier 1 Capital + Tier 2 Capital)$198,746
$184,959


38


Citigroup Risk-Weighted Assets Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsDecember 31,
2015
December 31, 2014(1)
Credit Risk(15)
$791,036
$861,691
Market Risk74,817
100,481
Operational Risk325,000
312,500
Total Risk-Weighted Assets$1,190,853
$1,274,672

(1)Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.
(2)Issuance costs of $147 million and $124 million related to preferred stock outstanding at December 31, 2015 and December 31, 2014, respectively, are excluded from common stockholders’ equity and nettedprogress in prior periods against preferred stock in accordance with Federal Reserve Boardcurrently effective regulatory reporting requirements, which differ from those under U.S. GAAP.capital standards.
(3)In addition, includes the net amount of unamortized loss on 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)The transition arrangements for significant regulatory capital adjustments and deductions impacting Common Equity Tier 1 Capital and/or Additional Tier 1 Capital are set forth above in the chart entitled “Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions.”
(5)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.
(6)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 U.S. Basel III rules.
(7)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(8)Of Citi’s approximately $47.8 billion of net DTAs at December 31, 2015, approximately $22.9 billion of such assets were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $24.9 billion of such assets were excluded in arriving at regulatory capital. Comprising the excluded net DTAs was an aggregate of approximately $26.3 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 $12.1 billion were deducted from Common Equity Tier 1 Capital and $14.2 billion were deducted from Additional Tier 1 Capital. In addition, approximately $1.4 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. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital, while Citi’s current cash flow hedges and the related deferred tax effects are not required to be reflected in regulatory capital.
(9)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At December 31, 2015 and December 31, 2014, the deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation.
(10)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules, as well as non-grandfathered trust preferred securities which are eligible for inclusion in an amount up to 25% and 50%, respectively, during 2015 and 2014, of the aggregate outstanding principal amounts of such issuances as of January 1, 2014. The remaining 75% and 50% of non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital during 2015 and 2014, respectively, in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules. As of December 31, 2015 and December 31, 2014, however, the entire amount of non-grandfathered trust preferred securities was included within Tier 1 Capital, as the amounts outstanding did not exceed the respective threshold for exclusion from Tier 1 Capital.
(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)Effective July 2015, banking entities are required to be in compliance with the so-called “Volcker Rule” of the Dodd-Frank Act that 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.
(13)Under the transition arrangements of the U.S. 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 has not passed are eligible for inclusion in Tier 2 Capital during 2015 and 2014 up to 25% and 50%, respectively, of the aggregate outstanding principal amounts of such issuances as of January 1, 2014.
(14)Advanced Approaches banking organizations are permitted to include in Tier 2 Capital eligible credit reserves that exceed expected credit losses to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.
(15)Under the U.S. Basel III rules, credit risk-weighted assets during the transition period reflect the effects of transitional 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 rules.

39


Citigroup Capital Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended 
 December 31, 2015
Twelve Months Ended 
 December 31, 2015(1)
Common Equity Tier 1 Capital  
Balance, beginning of period$173,345
$166,663
Net income3,335
17,242
Dividends declared(415)(1,253)
 Treasury stock acquired(1,650)(5,452)
Net increase in additional paid-in capital(2)
331
1,036
Net increase in foreign currency translation adjustment net of hedges, net of tax(796)(5,499)
Net increase in unrealized losses on securities AFS, net of tax(3)
(453)(374)
Net increase in defined benefit plans liability adjustment, net of tax(3)
(34)(1,014)
Net change in cumulative unrealized net gain related to changes in fair value of
    financial liabilities attributable to own creditworthiness, net of tax
111
(120)
Net change in goodwill, net of related deferred tax liabilities (DTLs)(248)825
Net change in identifiable intangible assets other than mortgage servicing rights (MSRs),
    net of related DTLs
130
(559)
Net change in defined benefit pension plan net assets44
(131)
Net increase in deferred tax assets (DTAs) arising from net operating loss, foreign
    tax credit and general business credit carry-forwards
(146)(4,739)
Net change in excess over 10%/15% limitations for other DTAs, certain common stock
    investments and MSRs
312
(675)
Net decrease in regulatory capital deduction applied to Common Equity Tier 1 Capital
    due to insufficient Additional Tier 1 Capital to cover deductions
—
8,082
Other(4)(170)
Net increase in Common Equity Tier 1 Capital$517
$7,199
Common Equity Tier 1 Capital Balance, end of period$173,862
$173,862
Additional Tier 1 Capital  
Balance, beginning of period$931
$—
Net increase in qualifying perpetual preferred stock(4)
1,495
6,227
Net decrease in qualifying trust preferred securities(9)(12)
Net change in cumulative unrealized net gain related to changes in fair value of
    financial liabilities attributable to own creditworthiness, net of tax
165
(42)
Net decrease in defined benefit pension plan net assets66
273
Net change in DTAs arising from net operating loss, foreign tax credit and general
    business credit carry-forwards
(218)4,706
Net change in permitted ownership interests in covered funds111
(567)
Net decrease in regulatory capital deduction applied to Common Equity Tier 1 Capital
    due to insufficient Additional Tier 1 Capital to cover deductions
—
(8,082)
Other17
55
Net increase in Additional Tier 1 Capital$1,627
$2,558
Tier 1 Capital Balance, end of period$176,420
$176,420
Tier 2 Capital  
Balance, beginning of period$21,353
$18,296
Net increase in qualifying subordinated debt349
3,984
Net change in excess of eligible credit reserves over expected credit losses606
(14)
Other18
60
Net increase in Tier 2 Capital$973
$4,030
Tier 2 Capital Balance, end of period$22,326
$22,326
Total Capital (Tier 1 Capital + Tier 2 Capital)$198,746
$198,746


40


(1)The beginning balance of Common Equity Tier 1 Capital for the twelve months ended December 31, 2015 has been restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, 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 gains (losses) on securities AFS and defined benefit plans liability adjustment under the U.S. Basel III rules.
(4)Citi issued approximately $1.5 billion and approximately $6.3 billion of qualifying perpetual preferred stock during the three and twelve months ended December 31, 2015, respectively, which were partially offset by the netting of issuance costs of $4 million and $23 million during those respective periods.

Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended 
 December 31, 2015
Twelve Months Ended 
 December 31, 2015(1)
 Total Risk-Weighted Assets, beginning of period$1,229,667
$1,274,672
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(2)
(13,856)(26,399)
Net increase in wholesale exposures(3)
1,668
1,682
Net decrease in repo-style transactions(935)(2,015)
Net decrease in securitization exposures(1,843)(2,563)
Net increase in equity exposures1,129
1,603
Net decrease in over-the-counter (OTC) derivatives(4)
(3,119)(7,002)
Net decrease in derivatives CVA(5)
(789)(4,418)
Net decrease in other exposures(6)
(9,464)(27,793)
Net decrease in supervisory 6% multiplier(7)
(1,585)(3,750)
Net decrease in Credit Risk-Weighted Assets$(28,794)$(70,655)
Changes in Market Risk-Weighted Assets  
Net decrease in risk levels(8)
$(7,662)$(21,041)
Net decrease due to model and methodology updates(9)
(2,358)(4,623)
Net decrease in Market Risk-Weighted Assets$(10,020)$(25,664)
Increase in Operational Risk-Weighted Assets(10)
$—
$12,500
Total Risk-Weighted Assets, end of period$1,190,853
$1,190,853

(1)The beginning balance of Total Risk-Weighted Assets for the twelve months ended December 31, 2015 has been restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.
(2)Retail exposures decreased during the three months ended December 31, 2015 primarily due to reductions in loans, divestitures within the Citi Holdings portfolio, and the impact of FX translation. Retail exposures decreased during the twelve months ended December 31, 2015 primarily due to reductions in loans and commitments, divestitures within the Citi Holdings portfolio and the impact of FX translation, partially offset by the reclassification from other exposures of certain non-material portfolios.
(3)Wholesale exposures increased during the three months ended December 31, 2015 primarily due to an increase in commitments, partially offset by the impact of FX translation. Wholesale exposures increased during the twelve months ended December 31, 2015 primarily due to an increase in investments and commitments and the reclassification from other exposures of certain non-material portfolios, largely offset by the impact of FX translation.
(4)OTC derivatives decreased during the three months and twelve months ended December 31, 2015 primarily driven by exposure reduction and model updates. Further, parameter updates also contributed to the decrease in OTC derivatives during the three months ended December 31, 2015.
(5)Derivatives CVA decreased during the three months ended December 31, 2015 primarily driven by exposure reduction and parameter and model updates. Derivatives CVA decreased during the twelve months ended December 31, 2015 driven by exposure reduction, credit spread changes and model updates.
(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreased during the three months ended December 31, 2015 primarily due to decreased cleared transaction exposures, reduction of retail non-material exposures and decreases in other assets. Other exposures decreased during the twelve months ended December 31, 2015 as a result of the reclassification to retail exposures and wholesale exposures of certain non-material portfolios, reduction in retail non-material exposures, and decreases in other assets.
(7)Supervisory 6% multiplier does not apply to derivatives CVA.
(8)Risk levels decreased during the three and twelve months ended December 31, 2015 primarily due to a reduction in positions subject to securitization charges, the ongoing assessment regarding the applicability of the market risk capital rules to certain securitization positions, and a decrease in assets subject to standard specific risk charges. In addition, further contributing to the decline in risk levels during the twelve months ended December 31, 2015 were reductions in exposure levels subject to comprehensive risk, Value at Risk, and Stressed Value at Risk.
(9)Risk-weighted assets declined during the three months ended December 31, 2015 due to model volatility inputs. Risk-weighted assets declined during the twelve months ended December 31, 2015 due to the implementation of the “Volcker Rule.” 
(10)Operational risk-weighted assets increased by $12.5 billion during the first quarter of 2015, reflecting an evaluation of ongoing events in the banking industry as well as continued enhancements to Citi’s operational risk model.


41


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.
The following tables set forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citibank, Citi’s primary subsidiary U.S. depository institution, as of December 31, 2015 and December 31, 2014.


Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
 December 31, 2015 
December 31, 2014(1)
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced Approaches
Standardized Approach(2)
Common Equity Tier 1 Capital$126,496
$126,496
 $128,262
$128,262
Tier 1 Capital126,496
126,496
 128,262
128,262
Total Capital (Tier 1 Capital + Tier 2 Capital)(3)
137,935
148,916
 139,246
151,124
Total Risk-Weighted Assets897,892
998,181
 945,407
1,044,768
Common Equity Tier 1 Capital ratio(4)
14.09%12.67% 13.57%12.28%
Tier 1 Capital ratio(4)
14.09
12.67
 13.57
12.28
Total Capital ratio(4)
15.36
14.92
 14.73
14.46

In millions of dollars, except ratiosDecember 31, 2015 
December 31, 2014(1)
Quarterly Adjusted Average Total Assets(5)
 $1,297,733
  $1,366,910
Total Leverage Exposure(6) 
 1,838,114
  1,954,833
Tier 1 Leverage ratio 9.75%  9.38%
Supplementary Leverage ratio 6.88
  6.56

(1)Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.
(2)Pro forma presentation to reflect the application of the Basel III 2015 Standardized Approach, consistent with current period presentation.
(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 eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(4)As of December 31, 2015 and December 31, 2014,2018, Citibank’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Standardized Approach. As of December 31, 2017, Citibank’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.
(4)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Effective January 1, 2018, Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.”
(5)Tier 1 Leverage ratio denominator.
(6)Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at December 31, 2015 were in excess of the stated minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of December 31, 2015 under the revised PCA regulations which became effective January 1, 2015.
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 (OCC) 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.



42


Impact of Changes on Citigroup and Citibank Capital Ratios Under Current Regulatory Capital Standards
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), under current regulatory capital standards (reflecting Basel III Transition Arrangements), as of December 31, 2015. This
2018. The information below is provided for the purpose of analyzing the impact that a change in Citigroup’s
or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of regulatory capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.



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 ratio
Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratio
In basis points
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Citigroup            
Advanced Approaches0.81.20.81.20.81.40.91.10.91.20.91.4
Standardized Approach0.91.30.91.40.91.60.91.00.91.10.91.4
Citibank            
Advanced Approaches1.11.61.11.61.11.71.11.51.11.51.11.7
Standardized Approach1.01.31.01.31.01.51.01.21.01.21.01.5

Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)
Tier 1 Leverage ratioSupplementary Leverage ratioTier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.60.60.40.30.50.40.40.3
Citibank0.80.80.50.40.70.70.50.4

Citigroup Broker-Dealer Subsidiaries
At December 31, 2015,2018, 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 approximately $7.5$8.2 billion, which exceeded the minimum requirement by approximately $6.1$5.6 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $17.4$20.9 billion at December 31, 2015,2018, 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, 2015.










2018.



43


Basel III (Full Implementation)

Citigroup’s Capital Resources Under Basel III
(Full Implementation)
Citi currently estimates that its effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratio requirements under the U.S. Basel III rules, on a fully implemented basis and assuming a 3% GSIB surcharge, may be 10%, 11.5% and 13.5%, respectively.
Further, under the U.S. Basel III rules, Citi must also comply with a 4% minimum Tier 1 Leverage ratio requirement and an effective 5% minimum Supplementary Leverage ratio requirement.
The following tables set forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios, assuming full implementation under the U.S. Basel III rules, for Citi as of December 31, 2015 and December 31, 2014.

Citigroup Capital Components and Ratios Under Basel III (Full Implementation)
 December 31, 2015 
December 31, 2014(1)
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$146,865
$146,865
 $136,597
$136,597
Tier 1 Capital164,036
164,036
 148,066
148,066
Total Capital (Tier 1 Capital + Tier 2 Capital)(2)
186,097
198,655
 165,454
178,413
Total Risk-Weighted Assets1,216,277
1,162,884
 1,292,605
1,228,488
Common Equity Tier 1 Capital ratio(3)(4)
12.07%12.63% 10.57%11.12%
Tier 1 Capital ratio(3)(4)
13.49
14.11
 11.45
12.05
Total Capital ratio(3)(4)
15.30
17.08
 12.80
14.52

In millions of dollars, except ratiosDecember 31, 2015 
December 31, 2014(1)
Quarterly Adjusted Average Total Assets(5)
 $1,724,710
  $1,835,637
Total Leverage Exposure(6) 
 2,317,849
  2,492,636
Tier 1 Leverage ratio(4)
 9.51%  8.07%
Supplementary Leverage ratio(4)
 7.08
  5.94

(1)Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.
(2)Under the Advanced Approaches framework eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(3)As of December 31, 2015 and December 31, 2014, 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.
(4)Citi’s Basel III capital ratios and related components, on a fully implemented basis, are non-GAAP financial measures. Citi believes these ratios and the related components provide useful information to investors and others by measuring Citi’s progress against future regulatory capital standards.
(5)Tier 1 Leverage ratio denominator.
(6)Supplementary Leverage ratio denominator.



44


Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 12.07% at December 31, 2015, compared to 11.67% at September 30, 2015 and 10.57% at December 31, 2014 (all based on application of the Advanced Approaches for determining total risk-weighted assets). The quarter-over-quarter increase in the ratio was largely attributable to quarterly net income of $3.3 billion and a reduction in risk-weighted assets, partially offset by movements in AOCI as well as a $1.8 billion return of capital to common shareholders in the form of share repurchases and dividends. The increase in Citi’s Common Equity Tier 1 Capital ratio from year-end 2014 reflected continued growth in Common Equity Tier 1 Capital resulting from net income of $17.2 billion and the favorable effects attributable to DTA utilization of approximately $1.5 billion, offset in part by the return of $5.9 billion of capital to common shareholders and movements in AOCI.


45


Components of Citigroup Capital Under Basel III (Advanced Approaches with Full Implementation)
In millions of dollarsDecember 31,
2015
December 31, 2014(1)
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(2)
$205,286
$199,841
Add: Qualifying noncontrolling interests145
165
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(3)
(617)(909)
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(4)
441
279
Less: Intangible assets:  
  Goodwill, net of related deferred tax liabilities (DTLs)(5)
21,980
22,805
    Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs3,586
4,373
Less: Defined benefit pension plan net assets794
936
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(6)
23,659
23,626
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs(6)(7)
8,723
12,299
Total Common Equity Tier 1 Capital$146,865
$136,597
Additional Tier 1 Capital  
Qualifying perpetual preferred stock(2)
$16,571
$10,344
Qualifying trust preferred securities(8)
1,365
1,369
Qualifying noncontrolling interests31
35
Regulatory Capital Deductions:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
229
279
Less: Permitted ownership interests in covered funds(10)
567
—
Total Additional Tier 1 Capital$17,171
$11,469
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$164,036
$148,066
Tier 2 Capital  
Qualifying subordinated debt(11)
$20,744
$16,094
Qualifying trust preferred securities(12)
342
350
Qualifying noncontrolling interests41
46
Excess of eligible credit reserves over expected credit losses(13)
1,163
1,177
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
229
279
Total Tier 2 Capital$22,061
$17,388
Total Capital (Tier 1 Capital + Tier 2 Capital)(14)
$186,097
$165,454

(1)Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.
(2)Issuance costs of $147 million and $124 million related to preferred stock outstanding at December 31, 2015 and December 31, 2014, respectively, are excluded from common stockholders’ equity and netted against preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(3)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.
(4)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 U.S. Basel III rules.
(5)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(6)Of Citi’s approximately $47.8 billion of net DTAs at December 31, 2015, approximately $16.8 billion of such assets were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $31.0 billion of such assets were excluded in arriving at Common Equity Tier 1 Capital. Comprising the excluded net DTAs was an aggregate of approximately $32.4 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 $1.4 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. Separately, under the U.S. Basel III rules, goodwill and these other intangible assets are deducted net of associated DTLs in arriving at Common Equity Tier 1 Capital, while Citi’s current cash flow hedges and the related deferred tax effects are not required to be reflected in regulatory capital.

46


(7)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At December 31, 2015, the deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation, while at December 31, 2014, the deduction related to all three assets which exceeded both the 10% and 15% limitations.
(8)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(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.
(10)Effective July 2015, banking entities are required to be in compliance with the “Volcker Rule” of the Dodd-Frank Act that 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)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.
(12)Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
(13)Advanced Approaches banking organizations are permitted to include in Tier 2 Capital eligible credit reserves that exceed expected credit losses to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.
(14)Total Capital as calculated under Advanced Approaches, which differs from the Standardized Approach in the treatment of the amount of eligible credit reserves includable in Tier 2 Capital.





47


Citigroup Capital Rollforward Under Basel III (Advanced Approaches with Full Implementation)
In millions of dollarsThree Months Ended 
 December 31, 2015
Twelve Months Ended 
 December 31, 2015(1)
Common Equity Tier 1 Capital  
Balance, beginning of period$146,451
$136,597
Net income3,335
17,242
Dividends declared(415)(1,253)
 Treasury stock acquired(1,650)(5,452)
Net increase in additional paid-in capital(2)
331
1,036
Net increase in foreign currency translation adjustment net of hedges, net of tax(796)(5,499)
Net increase in unrealized losses on securities AFS, net of tax(1,131)(964)
Net change in defined benefit plans liability adjustment, net of tax(85)43
Net change in cumulative unrealized net gain related to changes in fair value of
   financial liabilities attributable to own creditworthiness, net of tax
276
(162)
Net change in goodwill, net of related deferred tax liabilities (DTLs)(248)825
Net decrease in identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs325
787
Net decrease in defined benefit pension plan net assets110
142
Net increase in deferred tax assets (DTAs) arising from net operating loss, foreign
    tax credit and general business credit carry-forwards
(364)(33)
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock
   investments and MSRs
728
3,576
Other(2)(20)
Net increase in Common Equity Tier 1 Capital$414
$10,268
Common Equity Tier 1 Capital Balance, end of period$146,865
$146,865
Additional Tier 1 Capital  
Balance, beginning of period$15,548
$11,469
Net increase in qualifying perpetual preferred stock(3)
1,495
6,227
Net decrease in qualifying trust preferred securities—
(4)
Net change in permitted ownership interests in covered funds111
(567)
Other17
46
Net increase in Additional Tier 1 Capital$1,623
$5,702
Tier 1 Capital Balance, end of period$164,036
$164,036
Tier 2 Capital  
Balance, beginning of period$21,097
$17,388
Net increase in qualifying subordinated debt349
4,650
Net change in excess of eligible credit reserves over expected credit losses606
(14)
Other9
37
Net increase in Tier 2 Capital$964
$4,673
Tier 2 Capital Balance, end of period$22,061
$22,061
Total Capital (Tier 1 Capital + Tier 2 Capital)$186,097
$186,097

(1)The beginning balance of Common Equity Tier 1 Capital for the twelve months ended December 31, 2015 has been restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.
(2)Primarily represents an increase in additional paid-in capital related to employee benefit plans.
(3)Citi issued approximately $1.5 billion and approximately $6.3 billion of qualifying perpetual preferred stock during the three and twelve months ended December 31, 2015, respectively, which were partially offset by the netting of issuance costs of $4 million and $23 million during those respective periods.








48


Citigroup Risk-Weighted Assets Under Basel III (Full Implementation) at December 31, 2015
 Advanced Approaches Standardized Approach
In millions of dollarsCiticorpCiti HoldingsTotal CiticorpCiti HoldingsTotal
Credit Risk$736,641
$79,819
$816,460
 $1,015,070
$72,629
$1,087,699
Market Risk70,715
4,102
74,817
 71,029
4,156
75,185
Operational Risk275,921
49,079
325,000
 —
—
—
Total Risk-Weighted Assets$1,083,277
$133,000
$1,216,277
 $1,086,099
$76,785
$1,162,884

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$752,247
$127,377
$879,624
 $1,023,961
$104,046
$1,128,007
Market Risk95,824
4,657
100,481
 95,824
4,657
100,481
Operational Risk255,155
57,345
312,500
 —
—
—
Total Risk-Weighted Assets$1,103,226
$189,379
$1,292,605
 $1,119,785
$108,703
$1,228,488

(1)Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.

Total risk-weighted assets under both the Basel III Advanced Approaches and the Standardized Approach declined from year-end 2014 primarily due to a decrease in credit risk-weighted assets resulting from the impact of FX translation and the ongoing decline in Citi Holdings assets, as well as a decline in market risk-weighted assets. In addition, partially offsetting the decrease in total risk-weighted assets under the Advanced Approaches was an increase in operational risk-weighted assets reflecting an evaluation of ongoing events in the banking industry, as well as continued enhancements to Citi’s operational risk model.

















































49


Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)
In millions of dollarsThree Months Ended 
 December 31, 2015
Twelve Months Ended 
 December 31, 2015(1)
 Total Risk-Weighted Assets, beginning of period$1,254,473
$1,292,605
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(2)
(13,856)(26,399)
Net increase in wholesale exposures(3)
1,668
1,682
Net decrease in repo-style transactions(935)(2,015)
Net decrease in securitization exposures(1,843)(2,563)
Net increase in equity exposures1,123
1,722
Net decrease in over-the-counter (OTC) derivatives(4)
(3,119)(7,002)
Net decrease in derivatives CVA(5)
(789)(4,418)
Net decrease in other exposures(6)
(8,875)(20,845)
Net decrease in supervisory 6% multiplier(7)
(1,550)(3,326)
Net decrease in Credit Risk-Weighted Assets$(28,176)$(63,164)
Changes in Market Risk-Weighted Assets  
Net decrease in risk levels(8)
$(7,662)$(21,041)
Net decrease due to model and methodology updates(9)
(2,358)(4,623)
Net decrease in Market Risk-Weighted Assets$(10,020)$(25,664)
Increase in Operational Risk-Weighted Assets(10)
$—
$12,500
Total Risk-Weighted Assets, end of period$1,216,277
$1,216,277

(1)The beginning balance of Total Risk-Weighted Assets for the twelve months ended December 31, 2015 has been restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.
(2)Retail exposures decreased during the three months ended December 31, 2015 primarily due to reductions in loans, divestitures within the Citi Holdings portfolio, and the impact of FX translation. Retail exposures decreased during the twelve months ended December 31, 2015 primarily due to reductions in loans and commitments, divestitures within the Citi Holdings portfolio and the impact of FX translation, partially offset by the reclassification from other exposures of certain non-material portfolios.
(3)Wholesale exposures increased during the three months ended December 31, 2015 primarily due to an increase in commitments, partially offset by the impact of FX translation. Wholesale exposures increased during the twelve months ended December 31, 2015 primarily due to an increase in investments and commitments and the reclassification from other exposures of certain non-material portfolios, largely offset by the impact of FX translation.
(4)OTC derivatives decreased during the three months and twelve months ended December 31, 2015 primarily driven by exposure reduction and model updates. Further, parameter updates also contributed to the decrease in OTC derivatives during the three months ended December 31, 2015.
(5)Derivatives CVA decreased during the three months ended December 31, 2015 primarily driven by exposure reduction and parameter and model updates. Derivatives CVA decreased during the twelve months ended December 31, 2015 driven by exposure reduction, credit spread changes and model updates.
(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreased during the three months ended December 31, 2015 primarily due to decreased cleared transaction exposures, reduction of retail non-material exposures and decreases in other assets. Other exposures decreased during the twelve months ended December 31, 2015 as a result of the reclassification to retail exposures and wholesale exposures of certain non-material portfolios, reduction in retail non-material exposures, and decreases in other assets.
(7)Supervisory 6% multiplier does not apply to derivatives CVA.
(8)Risk levels decreased during the three and twelve months ended December 31, 2015 primarily due to a reduction in positions subject to securitization charges, the ongoing assessment regarding the applicability of the market risk capital rules to certain securitization positions, and a decrease in assets subject to standard specific risk charges. In addition, further contributing to the decline in risk levels during the twelve months ended December 31, 2015 were reductions in exposure levels subject to comprehensive risk, Value at Risk, and Stressed Value at Risk.
(9)Risk-weighted assets declined during the three months ended December 31, 2015 due to model volatility inputs. Risk-weighted assets declined during the twelve months ended December 31, 2015 due to the implementation of the “Volcker Rule.” 
(10)Operational risk-weighted assets increased by $12.5 billion during the first quarter of 2015, reflecting an evaluation of ongoing events in the banking industry as well as continued enhancements to Citi’s operational risk model.



50


Supplementary Leverage Ratio
Citigroup’s Supplementary Leverage ratio was 7.08% for the fourth quarter of 2015, compared to 6.85% for the third quarter of 2015 and 5.94% for the fourth quarter of 2014. The growth in the ratio quarter-over-quarter was principally driven by an increase in Tier 1 Capital attributable largely to net income of $3.3 billion and a $1.5 billion noncumulative perpetual preferred stock issuance, as well as an overall reduction in Total Leverage Exposure resulting from reduced on-balance sheet assets and derivative exposures, partially offset by a $1.8 billion return of capital to common shareholders in the form of share repurchases and dividends. The growth in the ratio from the fourth quarter of 2014 was also principally driven by an
increase in Tier 1 Capital attributable largely to net income of $17.2 billion and approximately $6.2 billion (net of issuance costs) of noncumulative perpetual preferred stock issuances, offset in part by the return of capital to common shareholders. Further, a decrease in Total Leverage Exposure also contributed to the growth in the ratio from the fourth quarter of 2014.
The following table sets forth Citi’s Supplementary Leverage ratio and related components, assuming full implementation under the U.S. Basel III rules, for the three months ended December 31, 2015 and December 31, 2014.



Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)
In millions of dollars, except ratiosDecember 31, 2015
December 31, 2014(1)
Tier 1 Capital$164,036
$148,066
Total Leverage Exposure (TLE)  
On-balance sheet assets(2)
$1,784,248
$1,899,955
Certain off-balance sheet exposures:(3)
  
   Potential future exposure (PFE) on derivative contracts206,128
240,712
   Effective notional of sold credit derivatives, net(4)
76,923
96,869
   Counterparty credit risk for repo-style transactions(5)
25,939
28,073
   Unconditionally cancellable commitments58,699
61,673
   Other off-balance sheet exposures225,450
229,672
Total of certain off-balance sheet exposures$593,139
$656,999
Less: Tier 1 Capital deductions59,538
64,318
Total Leverage Exposure$2,317,849
$2,492,636
Supplementary Leverage ratio7.08%5.94%

(1)Restated to reflect the retrospective adoption of ASU 2014-01 for LIHTC investments, consistent with current period presentation.
(2)Represents the daily average of on-balance sheet assets for the quarter.
(3)Represents the average of certain off-balance sheet exposures calculated as of the last day of each month in the quarter.
(4)Under the U.S. Basel III 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.
(5)Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.

Citibank’s Supplementary Leverage ratio, assuming full implementation under the U.S. Basel III rules, was 6.65% for the fourth quarter of 2015, compared to 6.67% for the third quarter of 2015 and 6.20% for the fourth quarter of 2014. The ratio remained substantially unchanged from the third quarter of 2015 as the growth in Tier 1 Capital resulting primarily from quarterly net income and a $2.1 billion noncumulative perpetual preferred stock issuance was offset by cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup. The increase in the ratio from the fourth quarter of 2014 was principally driven by net income and DTA utilization, as well as an overall reduction in Total Leverage Exposure, partially offset by cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup.





51


Regulatory Capital Standards Developments
The U.S. banking agencies and the Basel Committee issued numerous proposed and final rules on a variety of topics in 2018, as well as early 2019. In the U.S., the most significant proposals would introduce stress buffer requirements, as well as a new methodology for calculating risk-weighted assets for derivative contracts. The Basel Committee, among other things, finalized revisions to the GSIB framework as well as the minimum capital requirements for market risk.

U.S. Banking Agencies

Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit Losses (CECL) Methodology
In February 2019, the U.S. banking agencies issued a final rule that provides banking organizations an optional phase-in over a three-year period of the “Day One” adverse regulatory capital effects resulting from adoption of the CECL methodology.
The rule is in recognition of the issuance by the Financial Accounting Standards Board of ASU No. 2016-13, “Financial Instruments—Credit Losses,” which will replace the current incurred loss methodology for recognizing credit losses with the CECL methodology. The ASU will be effective for Citi as of January 1, 2020, and will generally result in the earlier recognition of the provision for credit losses and related allowance for credit losses than current practice. For additional information regarding the CECL methodology, see “Future Application of Accounting Standards” below.
Citi and Citibank plan to elect the transition provisions provided by the rule, and will phase-in the “Day One” regulatory capital effects resulting from adoption of the CECL methodology over the three-year period beginning January 1, 2020.
Separately, in December 2018, the Federal Reserve Board issued a statement that it plans to maintain its current framework for calculating allowances on loans in the supervisory stress test for the 2020 and 2021 supervisory stress test cycles, and to evaluate appropriate future enhancements to this framework as best practices for implementing CECL are developed. However, banking organizations are required to incorporate CECL into their stress testing methodologies, data, and disclosure beginning in the cycle coinciding with their first full year of CECL adoption (2020 for Citi).

Stress Buffer Requirements
In April 2018, the Federal Reserve Board issued a proposal that is designed to more closely integrate the results of the quantitative assessment in CCAR with firms’ ongoing minimum capital requirements under the U.S. Basel III rules.
Specifically, the proposed rule would replace the existing Capital Conservation Buffer, currently fixed at 2.5% under the U.S. Basel III rules, with (i) a variable buffer known as the Stress Capital Buffer (as described below), plus (ii) for U.S. GSIBs, the GSIB’s then-current GSIB surcharge, plus (iii) the Countercyclical Capital Buffer, if any. These three
components would constitute the new Capital Conservation Buffer.
The Stress Capital Buffer (SCB) would be equal to the maximum decline in a bank holding company’s Common Equity Tier 1 Capital ratio under the severely adverse scenario of the supervisory stress test, plus planned common stock dividends for each of the fourth through seventh quarters of the planning horizon (expressed as a percentage of risk-weighted assets)—the so-called “dividend add-on.” The SCB would be subject to a floor of 2.5%.
In addition to the SCB, the proposed rule would establish a new Stress Leverage Buffer requirement above the stated minimum Tier 1 Leverage ratio requirement. The Stress Leverage Buffer would be equal to the maximum decline in a bank holding company’s Tier 1 Leverage ratio under the severely adverse scenario of the supervisory stress test, plus planned common stock dividends for each of the fourth through seventh quarters of the planning horizon (expressed as a percentage of quarterly adjusted average total assets).
Finally, the proposed rule would also modify certain assumptions currently required in supervisory stress tests, including continued capital distributions during the nine-quarter capital planning horizon and balance sheet growth assumptions.
Under the timeline for stress testing and CCAR cycles included within the proposed rule, the Federal Reserve Board would generally release its calculation of each bank holding company’s SCB and Stress Leverage Buffer by June 30 of each year.
A final rule has not yet been issued. In late 2018, senior staff at the Federal Reserve Board indicated publicly that the proposal would not take effect until 2020 at the earliest. It was also noted that the Federal Reserve Board plans to re-propose certain elements of the proposal to better balance the need to preserve the dynamism of stress testing while reducing unnecessary volatility. The potential re-proposal may also address certain other elements of the original proposal, such as the relative timing between stress testing results and the submission of a firm’s capital plan, the consequences of breaching a buffer, the role and calibration of the dividend add-on, and the necessity of the Stress Leverage Buffer.

Enhanced Supplementary Leverage Ratio and Total Loss-Absorbing Capacity (TLAC) Requirements
In April 2018, the Federal Reserve Board and the Office of the Comptroller of the Currency (OCC) jointly issued a proposal that would modify the enhanced Supplementary Leverage ratio standards applicable to U.S. GSIBs and their Federal Reserve Board or OCC-regulated insured depository institution subsidiaries.
The proposed rule would replace the currently fixed 2.0% leverage buffer requirement with a variable leverage buffer requirement equal to 50% of the U.S. GSIB’s currently applicable GSIB surcharge. Similarly, for the regulated insured depository institution subsidiaries of U.S. GSIBs, such as Citibank, the proposed rule would replace the currently fixed 6.0% threshold at which these subsidiaries are considered to be “well capitalized” under the PCA framework with a threshold set at the stated minimum requirement of

3.0% plus 50% of the GSIB surcharge applicable to the U.S. GSIB of which it is a subsidiary.
The proposed rule would also make corresponding modifications to certain of the Federal Reserve Board’s TLAC requirements applicable to U.S. GSIBs. Accordingly, under the proposed rule, each U.S. GSIB’s fixed 2.0% leverage-based TLAC buffer would be replaced with a buffer equal to 50% of the GSIB surcharge, and the leverage component of each U.S. GSIB’s Long-Term Debt (LTD) requirement would be revised to equal Total Leverage Exposure multiplied by 2.5% plus 50% of the U.S. GSIB’s applicable GSIB surcharge. For additional information about TLAC, see “Managing Global Risk—Liquidity Risk—Long-Term Debt—Total Loss-Absorbing Capacity (TLAC)” below.
If adopted as proposed, and assuming that Citi maintains a method 2 GSIB surcharge of 3.0%, Citi’s effective minimum Supplementary Leverage ratio requirement would be reduced to 4.5%, compared to the current 5.0%. Citibank’s effective minimum Supplementary Leverage ratio to be determined “well capitalized” under the PCA framework would similarly be reduced to 4.5%, compared to the current 6.0%. Citi’s leverage-based TLAC buffer would decrease from 2.0% to 1.5%, which would reduce Citi’s effective minimum leverage-based TLAC requirement from 9.5% to 9.0%. Additionally, the leverage component of Citi’s long-term debt requirement would decrease from 4.5% to 4.0%.
The Economic Growth, Regulatory Relief, and Consumer Protection Act, which was signed into law in 2018, directs the U.S. banking agencies to amend the U.S. Basel III rules to exclude certain custody-related deposits from the definition of Total Leverage Exposure for custody banks. The U.S. banking agencies have not yet issued a notice of proposed rulemaking in response to this particular provision of the Act, and it is currently unclear how this may impact or interact with their proposed rulemaking from April 2018.

Standardized Approach for Counterparty Credit Risk
In December 2015,2018, the U.S. banking agencies issued a proposal to introduce the Standardized Approach for Counterparty Credit Risk (SA-CCR) in the U.S. SA-CCR would replace the Current Exposure Method (CEM), which is the current methodology used to calculate risk-weighted assets for all derivative contracts under the Standardized Approach, as well as risk-weighted assets for derivative contracts under the Advanced Approaches in cases where internal models are not used. Additionally, SA-CCR would replace CEM in numerous other instances throughout the regulatory framework, including but not limited to the Supplementary Leverage Ratio, single counterparty credit limits, and legal lending limits.
Under SA-CCR, a banking organization would calculate the exposure amount of its derivative contracts at the netting set level. Multiple derivative contracts would generally be considered to be under the same netting set so long as each derivative contract is subject to the same qualifying master netting agreement. SA-CCR also introduces the concept of hedging sets, which would allow a banking organization to fully or partially net derivative contracts within the same netting set that share similar risk factors. Moreover, SA-CCR
incorporates updated supervisory factors and maturity factors to calculate the potential future exposure of a derivative contract, and provides for improved recognition of collateral. Under the proposal, the exposure amount of a netting set would be equal to an alpha factor of 1.4 multiplied by the sum of the replacement cost and potential future exposure of the netting set.
The effective date of the proposed rule is July 1, 2020; however, early adoption would be permitted. If adopted as proposed, Citi’s risk-weighted assets related to derivative contracts under the Standardized Approach are likely to increase. The ultimate impact on Citi, however, will depend upon the specific provisions of any final rule.

Stress Testing Requirements
The U.S. banking agencies have recently issued a number of proposals that would modify company-run stress testing requirements to conform with the Economic Growth, Regulatory Relief, and Consumer Protection Act. In October 2018, the Federal Reserve Board released a proposed policy statement on the frameworkproposal that would be followedeliminate the mid-cycle stress test requirement for all bank holding companies, including Citi, effective in setting the amount of2020 cycle (the proposal would maintain the U.S. Countercyclical Capital Buffer for Advanced Approaches banking organizations.requirement to conduct an annual company-run stress test). In accordance with the U.S. Basel III rules, the amount of the applicable Countercyclical Capital Buffer is equal to the weighted average of Countercyclical Capital Buffer amounts established byJanuary 2019, the Federal Reserve Board released a further proposal that would eliminate the hypothetical adverse scenario from company-run stress tests for bank holding companies, including Citi. Similarly, the national jurisdictions where the Advanced Approaches banking organization has private sector credit exposures. As a result, the Countercyclical Capital Buffer may differ for each Advanced Approaches banking organization.
The Federal Reserve Board’s proposed framework for setting the U.S. Countercyclical Capital Buffer encompasses a number of financial-system vulnerabilities, as well as a wide range of financial and macroeconomic quantitative indicators. However, given that no single indicator or fixed set of indicators can adequately capture all the key vulnerabilities in the U.S. economy and financial system, the types of indicators and models considered in assessments of the appropriate level of the Countercyclical Capital Buffer are likely to change over time.
The Federal Reserve Board expects to consider the applicable levelwould no longer include an adverse scenario in its supervisory stress tests. (The Office of the U.S. Countercyclical Capital Buffer at least once per year. An increase in the amountComptroller of the Countercyclical Capital Buffer for U.S.-based credit exposuresCurrency and the Federal Deposit Insurance Corporation released similar proposals in December 2018.) Company-run stress tests and supervisory stress tests would generally have ancontinue to include a severely adverse scenario. The proposals did not specify a proposed effective date 12 months after such determination, while a decrease infor the amountelimination of the Countercyclical Capital Buffer would generally become effective the day after such determination.adverse scenario.

Revisions to the Standardized Approach for Credit Risk
In December 2015, the Basel Committee on Banking Supervision (Basel Committee) issued a second consultative document which proposes various revisions to the Standardized Approach in deriving credit risk-weighted assets. As proposed, the revised Standardized Approach seeks to balance risk sensitivity and complexity, and to promote comparability of credit risk-weighted assets across banking organizations and jurisdictions.
The proposal would, in part, revise 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 proposal would permit 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 purposes, such as the U.S. Prior to finalizing the
proposal, the Basel Committee will be conducting a comprehensive quantitative impact study so as to assist with assessing the risk-weighting calibration for each of the affected exposure classes, as well as will evaluate the appropriate implementation and transitional arrangements. The U.S. banking agencies have indicated that any changes to the U.S. Basel III rules as a result of the Basel Committee’s proposed revisions to the Standardized Approach would apply primarily to large, internationally active banking organizations.

Revised Minimum Capital RequirementsAssessment Framework for Market RiskGlobal Systemically Important Banks
In January 2016,July 2018, the Basel Committee issued a final rulestandard which sets forthrevised its framework for assessing the global systemic importance of banks, beginning with the 2021 assessment. (For a reviseddescription of the Basel Committee’s GSIB methodology, so-called “method 1” under the U.S. Basel III rules, see “Current Regulatory Capital Standards—GSIB Surcharge” above.)
The final standard introduces a trading volume indicator within the substitutability/financial institution infrastructure category, accompanied by an equivalent reduction in the current weighting of the existing underwriting indicator. Among other revisions, the standard also expands the scope of consolidation to include exposures of insurance subsidiaries within the size, interconnectedness, and complexity categories.
If the Federal Reserve Board were to adopt the Basel Committee’s revisions with respect to the U.S. GSIB framework, Citi’s estimated method 1 GSIB surcharge would remain unchanged at 2.0%.

The Basel Committee indicated in the standard that it plans to complete another review of the GSIB framework by 2021, at which time it will consider alternative methodologies for the substitutability category, including the removal of the existing cap. Citi’s estimated method 1 GSIB surcharge may increase in the future, if the Federal Reserve Board were to adopt alternative methodologies for the substitutability category.

Revisions to the Minimum Capital Requirements for
Market Risk
In January 2019, the Basel Committee issued a final standard that revises the market risk capital framework, resulting from framework—the so-called “fundamental reviewFundamental Review of the trading book” and four quantitative impact studies over several years.
The final rule establishes a revised boundary between the trading book and banking book which, in part, provides more prescriptive guidance as to qualifying trading book positions as well as imposes heightened restrictions and, in certain instances, additional capital charges, on the transfer of positions between the trading book and banking book. Moreover, the final rule also revises both the internal models approach and the standardized approach in certain respects. With regard to the internal models approach, the final rule introduces a more comprehensive model to measure market risk, provides for a more granular model approval process, and reduces the regulatory capital benefits of hedging activities and portfolio diversification.Trading Book, or FRTB. The final rule revises the standardized approach, in part, by calibrating it more closely to the internal models approach by increasing reliance on risk sensitivity inputs in the calculation of market risk capital requirements. The deadline for national jurisdictions to implement the revised market risk capital framework is January 1, 2019, with the effective date for banking organizations to begin reportingassessment process under the revised framework, subjectAdvanced Approaches to any required supervisory approvals, being December 31, 2019.determine whether a bank’s internal risk management models appropriately reflect the risks of individual trading desks, and clarifies the requirements for identification of risk factors that are eligible for internal modeling. In addition, the risk weights for general interest rate risk and foreign exchange risk under the Standardized Approach have been recalibrated.
If the U.S. banking agencies were to adopt the Basel Committee’s final rulerevised market risk framework unchanged, Citi believes its market risk-weighted assets could increase significantly. The ultimate impact on Citi, however, will depend upon the specific provisions of any final rule.

Leverage Ratio Treatment of Client Cleared Derivatives
In October 2018, the Basel Committee issued a consultative document seeking views as to whether a targeted and limited revision of the leverage ratio exposure measure was warranted with regard to the treatment of client cleared derivatives. In the U.S., the Basel Committee’s leverage ratio framework and leverage ratio exposure measure are most closely aligned with the Supplementary Leverage Ratio and Total Leverage Exposure, respectively. Under the Basel Committee’s leverage ratio framework, the leverage ratio exposure measure is generally not adjusted for physical or financial collateral, guarantees or other credit risk mitigation techniques, including initial margin received from clients. However, the Basel Committee consultative document proposes two alternative treatments for client cleared derivatives that would reduce the leverage ratio exposure measure, to varying degrees, in recognition of the beneficial effects of margin requirements and overcollateralization, as set forth inapplicable.
One of the tables above,options under consideration would allow amounts of cash and non-cash initial margin that are received from the client to offset the potential future exposure of derivatives centrally cleared on the client’s behalf. Another option would amend the currently specified treatment of client cleared derivatives to align it with the measurement as of December 31, 2015, Citi’s market risk-weighted assets constituted approximately 6% of its total risk-weighted assets. Accordingly, Citi currently believes thatdetermined per the overall impact to its total risk-weighted assets and thus itsBasel Committee’s standardized approach for measuring counterparty credit risk exposures, as used for risk-based capital ratiosrequirements. This option would not be material. Nevertheless,permit both cash and non-cash forms of initial margin and variation margin received from the ultimateclient to offset replacement cost and potential future exposure for client cleared derivatives only.
If the U.S. agencies were to amend the Supplementary Leverage Ratio requirements in a manner similar to either of the options under consideration by the Basel Committee, Citi’s Supplementary Leverage Ratio would likely benefit modestly. However, the impact to Citi’s market risk-weighted assetsfrom and potentially its risk-based capital ratios is uncertain and is subject to several factors including, but not limited to,timing of any actions undertaken by the Basel Committee or the U.S. banking agencies’ implementation of a final rule, potential changesagencies in the scale and scope of future market risk model approvals as well as potential risk mitigation actions.this regard remains uncertain.




52


Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Book Value Per ShareReturns on Equity
Tangible common equity (TCE), as currently defined by Citi, represents common stockholders’ equity less goodwill and otheridentifiable intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE, and tangible book value (TBV) per share and return on average TCE are non-GAAP financial measures. Citi believes thesethe presentation of TCE, TBV per share and return on average TCE provides alternate measures of capital metrics provide useful information, as theystrength and performance that are commonly used by investors and industry analysts.
 











In millions of dollars or shares, except per share amountsDecember 31,
2015
December 31, 2014(1)
December 31,
2018		December 31,
2017
Total Citigroup stockholders’ equity$221,857
$210,185
$196,220
$200,740
Less: Preferred stock16,718
10,468
18,460
19,253
Common equity$205,139
$199,717
Common stockholders’ equity$177,760
$181,487
Less:  
Goodwill22,349
23,592
22,046
22,256
Intangible assets (other than MSRs)3,721
4,566
Goodwill and intangible assets (other than MSRs) related to assets held-for-sale68
71
Identifiable intangible assets (other than MSRs)4,636
4,588
Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale (HFS)—
32
Tangible common equity (TCE)$179,001
$171,488
$151,078
$154,611
 
Common shares outstanding (CSO)2,953.3
3,023.9
2,368.5
2,569.9
Book value per share (common equity/CSO)$75.05
$70.62
Tangible book value per share (TCE/CSO)$60.61
$56.71
63.79
60.16
Book value per share (common equity/CSO)$69.46
$66.05
In millions of dollarsYear ended 
  December 31, 2018
Year ended December 31, 2017(1)
Net income less preferred dividends$16,872
$14,583
Average common stockholders’ equity$179,497
$207,747
Average TCE$153,343
$180,458
Return on average common stockholders’ equity9.4%7.0%
Return on average TCE (ROTCE)(2)
11.0
8.1


(1)RestatedYear ended December 31, 2017 excludes the one-time impact of Tax Reform. For a reconciliation of these measures, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below.
(2)ROTCE represents net income available to reflect the retrospective adoptioncommon shareholders as a percentage of ASU 2014-01 for LIHTC investments, consistent with current period presentation.average TCE.


53


RISK FACTORS

The following discussion sets forth what management currently believes could be the most significant 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 Planning Efforts and Targets Substantially Depends on the CCAR Process and the Results of Regulatory Stress Tests.
Citi’s ability to return capital to its common shareholders consistent with its capital planning efforts and targets, whether through its common stock dividend or through a share repurchase program, substantially depends, among other things, on regulatory approval, including through the CCAR process required by the Federal Reserve Board (FRB) and the supervisory stress tests required under the Dodd-Frank Act. The ability to return capital also depends on Citi’s results of operations and effectiveness in managing its level of risk-weighted assets and GSIB surcharge. Citi’s ability to accurately predict, interpret or explain to stakeholders the outcome of the CCAR process, and thus to address any market or investor perceptions, may be limited as the FRB’s assessment of Citi’s capital adequacy is conducted using the FRB’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 FRB. For additional information on Citi’s return of capital to common shareholders in 2018 as well as the CCAR process, supervisory stress test requirements and GSIB surcharge, see “Capital Resources—Overview” and “Capital Resources—Current Regulatory Capital Standards—Stress Testing Component of Capital Planning” above.
The FRB has stated that it expects leading capital adequacy practices will continue to evolve and will likely be determined by the FRB each year as a result of its cross-firm review of capital plan submissions. Similarly, the FRB 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 continue to be altered, including the severity of the stress test scenario, the FRB modeling of Citi’s balance sheet and the addition of components deemed important by the FRB.
Additionally, in April 2018, the FRB proposed integration of the annual stress testing requirements with ongoing regulatory capital requirements. Proposed changes to the stress testing regime include, among others, 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%. The FRB proposed that the SCB would replace the capital conservation buffer in the firm’s ongoing regulatory capital requirements for Standardized Approach capital ratios. The SCB would be calculated by the FRB using its proprietary data and modeling of each firm’s results. Accordingly, a firm’s SCB would change annually based on the supervisory stress test results, thus potentially resulting in year-to-year volatility in the calculation of the SCB. For additional information on the FRB’s proposal, including calculation of the SCB, see “Capital Resources—Regulatory Capital Standards Developments” above.
Although various uncertainties exist regarding the extent of, and the ultimate impact to Citi from, these changes to the FRB’s stress testing and CCAR regimes, these changes would likely increase the level of capital Citi is required or elects to hold, including as part of Citi’s estimated management buffer, thus potentially impacting the extent to which Citi is able to return capital to shareholders.

Citi, Its Management and Its Businesses Must Continually Review, Analyze and Successfully Adapt to Ongoing Regulatory and Other Uncertainties and Changes in the U.S. and Globally.
Despite the adoption of final regulations in numerous areas impacting Citi and its businesses over the past several years, Citi, its management and its businesses continually face ongoing regulatory uncertainties and changes, both in the U.S. and globally. While the areas 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 implemented and continues to discuss various changes to certain regulatory requirements, which would require ongoing assessment by management as to the impact to Citi, its businesses and business planning. Business planning is required to be based on possible or proposed rules or outcomes, which can change dramatically upon finalization, or upon implementation or interpretive guidance from numerous regulatory bodies worldwide, and such guidance can change.
Moreover, U.S. and international regulatory initiatives 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 inconsistent or even conflicting regulations, including within a single jurisdiction. For example, in 2016, the European Commission proposed to

introduce a new requirement for major banking groups 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 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 and by the Provisions of and Guidance Issued in Connection with Tax Reform.
At December 31, 2018, Citi’s net DTAs were $22.9 billion, net of a valuation allowance of $9.3 billion, of which $11.0 billion was excluded from Citi’s Common Equity Tier 1 Capital under the U.S. Basel III rules (for additional information, see “Capital Resources—Components of Citigroup Capital” above). Of the net DTAs at December 31, 2018, $6.8 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, 2018 expire over the period of 2019-2028. 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 net DTAs would also have a corresponding negative impact on Citi’s net income and financial returns.
The U.S. Department of the Treasury (U.S. Treasury) issued proposed regulations in November 2018 regarding the required allocation of existing FTC carry-forwards to the appropriate FTC baskets as redefined by Tax Reform and 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 final regulations issued by the U.S. Treasury differ from the proposed regulations, the valuation allowance against Citi’s FTC carry-forwards would increase or decrease, depending upon the content of the final regulations. Citi’s net income would change by a corresponding amount. However, a change in recognized FTC
carry-forwards would not impact Citi’s regulatory 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, any final BEAT regulations could affect Citi’s decisions as to how to structure its non-U.S. operations, possibly in a less cost-efficient manner. Further, 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 regulatory capital.
For additional information on the impact of Tax 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 the 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 entities, operations and businesses. Citi’s interpretations and application of the tax 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 Continued Investments and Efficiency Initiatives May Not Be as Successful as It Projects or Expects.
Citi continues to leverage its scale and make incremental investments to deepen client relationships, increase revenue and lower expenses. For example, Citi continues to make investments to enhance its digital capabilities across the franchise, including digital platforms and mobile and cloud architecture. Citi also has been investing in higher return businesses, such as the U.S. cards and wealth management businesses in Global Consumer Banking (GCB) as well as equities and other businesses in Institutional Clients Group (ICG). Citi also continues to execute on its investment of more than $1 billion in Citibanamex through 2020. Further, Citi has been pursuing efficiency savings through various technology and digital initiatives, location strategy and organizational simplification, which are intended to self-fund Citi’s incremental investment initiatives as well as offset growth-related expenses.
Citi’s investments and efficiency initiatives are being undertaken as part of its overall strategy to meet operational and financial objectives and targets, including operating efficiency and revenue and earnings growth expectations. There is no guarantee that these or other initiatives Citi may pursue will be as productive or effective as Citi expects, or at all. Citi’s investment and efficiency initiatives may continue to evolve as its business strategies and the market environment change, which could make the initiatives more costly and

more challenging to implement, and limit their effectiveness. Moreover, 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, client and competitor actions and ongoing regulatory changes, among others.

A Deterioration in or Failure to Maintain Citi’s Co-Branding or Private Label Credit Card Relationships, Including as a Result of any Bankruptcy or Liquidation, 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 retailers 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 shared economics between the parties and generally have a fixed term. The five largest relationships, including Sears, constituted an aggregate of approximately 11% of Citi’s revenues in 2018.
These relationships could be negatively impacted by, among other things, external factors outside the control of either party to the relationship, such as the general economic environment, declining sales and revenues or other operational difficulties of the retailer or merchant, termination due to a contractual breach by Citi or by the retailer or merchant, or other factors, including bankruptcies, liquidations, restructurings, consolidations or other similar events. Over the last several years, a number of U.S. retailers 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 reorganize. For example, as previously disclosed, Sears filed for Chapter 11 bankruptcy protection in October 2018. On February 11, 2019, after bankruptcy court approval, ESL Investments purchased substantially all of Sears’ assets on a going concern basis, including its credit card program agreement with Citi (for further information, including certain potential impacts to Citi retail services, see “Global Consumer Banking—North America GCB” above). In addition, as has been widely reported, competition among card issuers, including Citi, for these relationships is significant, and it has become increasingly difficult in recent years to maintain such relationships on the same terms or at all. While various mitigating factors could be available to Citi if any of these events were to occur-such as by replacing the retailer or merchant or offering other card products—such events, particularly bankruptcies or liquidations, could negatively impact the results of operations or financial condition of Citi-branded cards, Citi retail services or Citi as a whole, including as a result of loss of revenues, increased expenses, higher cost of credit, impairment of purchased credit card relationships and contract-related intangibles or other losses (for information on Citi’s credit card related intangibles generally, see Note 16 to the Consolidated Financial Statements).

Macroeconomic and Geopolitical Challenges and Uncertainties Globally 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. For example, changes in U.S. trade policies, which have resulted in retaliatory measures from other countries, could result in a reduction or realignment of trade flows among countries and negatively impact businesses, sectors and economic growth rates. Additional areas of uncertainty include, among others, geopolitical tensions and conflicts, natural disasters, election outcomes and other macroeconomic developments, such as those involving economic growth rates, consumer confidence and spending, employment rates and commodity prices.
Governmental fiscal and monetary actions, or expected actions, such as changes in interest rate policies and any balance sheet normalization program implemented by a central bank to reduce the size of its balance sheet could significantly impact interest rates, economic growth rates, the volatility of global financial markets, foreign exchange rates and capital flows among countries. For example, in 2017, the FRB began implementing a balance sheet normalization program to reduce the size of the central bank’s balance sheet, although there are various uncertainties regarding the ultimate size of the balance sheet and its composition. Such actions could, among other things, result in higher interest rates. 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.
As a result of the U.K.’s 2016 referendum on exiting the EU, numerous uncertainties have arisen regarding the U.K.’s potential exit from and future relationship with the EU. For example, the terms of a withdrawal continue to be negotiated within the U.K. and between the U.K. and the EU, and it is unclear whether the parties will be able to agree on terms prior to the currently scheduled exit on March 29, 2019. If no agreement is reached on terms of an exit, it could result in what is commonly referred to as a “cliff-edge” or “hard” exit scenario. A hard exit scenario would result in the U.K. and EU losing reciprocal financial services license-passporting rights and require the U.K. to deal with the EU as a third country regime, but without an equivalence regime or transition period in place. A hard exit scenario could cause severe disruptions in the movement of goods and services between the U.K. and EU countries and negatively impact financial markets and the U.K. and EU economies. Citi’s business and operations could be impacted by these and other factors, including the preparedness and reaction of clients, counterparties and financial markets infrastructure. For information about Citi’s actions to manage the U.K.’s potential exit from the EU, see “Managing Global Risk—Strategic Risk—Potential Exit of U.K. from EU” below. Further, the economic and fiscal situations of some EU countries have remained fragile, and concerns and uncertainties remain in Europe over the resulting effects of the U.K.’s potential exit 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, revenues in its Markets and securities services and other businesses, and AOCI (which would in turn negatively impact Citi’s book and tangible book value).

Citi’s Presence in the Emerging Markets Subjects It to Various Risks as well as Increased Compliance and Regulatory Risks and Costs.
During 2018, emerging markets revenues accounted for approximately 37% of Citi’s total revenues (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). Although Citi continues to pursue its target client strategy, Citi’s presence in the emerging markets subjects it to a number of risks, including sovereign volatility, election outcomes, regulatory changes and political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyperinflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets. For example, Citi operates in several countries that have, or have had in the past, strict foreign exchange controls, such as Argentina, that limit its ability to convert local currency into U.S. dollars and/or transfer funds outside of the country. In prior years, Citi has also discovered fraud in certain emerging markets in which it operates. Political turmoil and instability have occurred in certain regions and countries, including Asia, the Middle East and Latin America, which have required management time and attention in prior years (such as monitoring the impact of sanctions on certain emerging market economies as well as on Citi’s businesses and results of operations in affected countries).
Citi’s emerging markets presence also increases its compliance and regulatory risks and costs. For example, Citi’s operations in emerging markets, including facilitating cross 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 laundering regulations and the Foreign Corrupt Practices Act. These risks can be more acute in less-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 results of operations and reputation (see the implementation and interpretation of regulatory changes and legal and regulatory proceedings risk factors below).

Citi’s Inability to Enhancein Its 2015 Resolution Plan SubmissionSubmissions to Address Any Deficiencies Identified or Guidance Provided by the FRB and FDIC Could Subject ItCiti 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 annually prepare and submit a plan to the Federal Reserve BoardFRB and the FDIC 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 (Title I Resolution Plan). The Title I Resolution Plan requires significant effort, timefailure. As previously announced, Citi’s next resolution plan submission is due July 1, 2019. On December 20, 2018, the FRB and cost across all ofFDIC issued final guidance for the 2019 and subsequent resolution plan submissions for the eight U.S. GSIBs, including Citi. For additional information on Citi’s businesses and geographies, and is subject to review by the Federal Reserve Board and the FDIC.resolution plan submissions, see “Managing Global Risk—Liquidity Risk” below.
Under Title I, if the Federal Reserve BoardFRB and the FDIC jointly determine that Citi’s 2015 Title I Resolution Planresolution 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.
In August 2014, the Federal Reserve Board and the FDIC announced the completion of reviews of the 2013 Title I Resolution Plans submitted by Citi and 10 other financial institutions. The agencies identified shortcomings with the firms’ 2013 Title I 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.
Significantly, the FDIC determined that the 2013 Title I Resolution Plans submitted by the 11 institutions, including Citi, were “not credible” and did not facilitate an orderly resolution under the U.S. Bankruptcy Code. The Federal Reserve Board determined that the plans of the 11 institutions were required to take immediate action to improve their resolvability and reflect those improvements in their 2015 plans. At the same time, the Federal Reserve Board and FDIC indicated that if the identified shortcomings were not addressed in the 2015 Title I Resolution Plan submissions, the agencies expected to use their authority under Title I, as discussed above. Like other similarly-situated institutions, Citi submitted its 2015 Title I Resolution Plan on July 1, 2015 and the industry has not yet received a formal response from the regulators.

Citi’s AbilityPerformance and the Performance of Its Individual Businesses Could Be Negatively Impacted if Citi Is Not Able to Return Capital to Shareholders Substantially DependsEffectively Compete for Highly Qualified Employees.
Citi’s performance and the performance of its individual businesses largely depends on the CCAR Processtalents and the Resultsefforts of Regulatory Stress Tests.
In additionits highly skilled employees. Specifically, Citi’s continued ability to Board of Directors’ approval, any decision by Citi to return capital to shareholders, whether through an increasecompete in its common stock dividend or through a share repurchase program, substantiallybusinesses, to manage its businesses effectively and to continue to execute its overall global strategy 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. 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. Restrictions on Citi’s ability to return capitalattract new employees and to shareholders as a resultretain and motivate its existing employees. If Citi is unable to continue to attract and retain the most highly qualified employees, Citi’s performance, including its competitive position, the successful execution of the 2014 CCAR processits overall strategy and its results of operations could be negatively impacted market and investor perceptions of Citi, and continued restrictions could do so in the future.impacted.
Citi’s ability to accurately predict or explainattract and retain employees depends on numerous factors, some of which are outside of its control. For example, the banking industry generally is subject to stakeholdersmore comprehensive regulation of executive and employee compensation than other industries, including deferral and clawback requirements for incentive compensation. Citi often competes in the outcomemarket for talent with entities that are not subject to such comprehensive regulatory requirements on the structure of incentive compensation, including, among others,

technology companies. Other factors that could impact Citi’s ability to attract and retain employees include its culture and the management and leadership of the CCAR process, and thus address any suchCompany as well as its individual businesses, presence in the particular market or investor perceptions, is difficult as 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,region at issue and the Board has stated thatprofessional opportunities it expects leading capital adequacy practices will continueoffers.

Financial Services Companies and Others as well as Emerging Technologies Pose Increasingly Competitive Challenges to evolveCiti.
Citi operates in an increasingly competitive environment, which includes both financial and will likely be determined bynon-financial services firms, such as traditional banks, online banks, financial technology companies and others. These companies compete on the Board each year as a resultbasis of, its cross-firm reviewamong other factors, size, quality and type of capital plan submissions.
Similarly,products and services offered, price, technology and reputation. Emerging technologies have the Federal Reserve Board has indicated that, as part of its stated goalpotential 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 sheetintensify competition and the addition of components deemed important by the Federal Reserve Board (e.g., a counterparty failure). In addition, the Federal Reserve Board indicated that it may consider 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


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part of the stress tests, thus potentially impacting the level of capital returns to shareholders.
Further, because it is not clear how the Federal Reserve Board’s proprietary stress test models may differ from the modeling techniques employed by Citi, it is possible 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 perceptionaccelerate disruption in the market.

financial services industry. Citi Its Management and Businesses Must Continually Review, Analyze and Successfully Adapt to Ongoing Regulatory Changes and Uncertaintiescompetes with financial services companies in the U.S. and Globally.
Despiteglobally that continue to develop and introduce new products and services. In recent years, non-financial services firms, such as financial technology companies, 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 adoptionability of final regulations in numerous areas impactingcompanies and individuals to borrow money, save and invest. To the extent Citi and its businesses over the past several years, including final U.S. Basel III capital rules, certain derivatives reforms and restrictions on proprietary trading under the Volcker Rule, Citi, its management and businesses continually face ongoing regulatory changes and uncertainties, both in the U.S. and globally.
While the areas of ongoing regulatory changes and uncertainties facing Citi are too numerousis not able to list completely, various examples include, but are not limited to: (i) limits on the level of credit risk Citi may have against certain counterparties; (ii) potential changes to various aspects of the regulatory capital framework applicable to Citi (see “Capital Resources—Regulatory Capital Standards Developments” above); (iii) financial transaction taxes and/or other types of increased fees on financial institutions; (iv) international versions of the Volcker Rule and bank structural reforms; (v) whether and to what extent the European Union and CFTC will render any “equivalency” determinations or regulatory acknowledgment of the equivalency of derivatives regimes; (vi) U.S. and international requirements relating to sanctions against Russia, Irancompete effectively with these and other countries; and (vii) the U.S. banking agencies’ rules relating to the net stable funding ratio, or NSFR (see “Managing Global Risk—Liquidity Risk” below). There may alsofirms, Citi could be regulatory changes not yet contemplated, or changes that have been proposedplaced at a competitive disadvantage, which could take a dramatically different form upon finalization.
Moreover, certain recent regulatory changes, while final, remainresult in the implementation period,loss of customers and it remains uncertain what ultimate impact such changes will have on Citi’s businesses, results of operations or financial condition. For example, in Octobermarket share, and December 2015, the U.S. banking regulators and CFTC, respectively, adopted final rules relating to margin requirements for uncleared swaps. The final rules, which have a three-year phase-in period beginning on September 1, 2016, will require Citi to both collect and post margin to counterparties, as well as collect and post margin to certain of its affiliates, in connection with any uncleared swap, with the initial margin required to be held by unaffiliated third-party custodians. While Citi continues to work through the implications of the final rules, it is likely these requirements will significantly increase the cost to Citi and its counterparties of conducting uncleared swaps and impact its current inter-affiliate swap practices (e.g., require clearing of
more inter-affiliate swaps and/or enter into risk management swaps with third parties).
Ongoing regulatory changes and uncertainties make Citi’s and its management’s long-term business, balance sheet and budget planning difficult or subject to change, and can negatively impact Citi’s results of operations, financial condition and, potentially, its strategy or organizational structure. In addition, in many cases, business planning is required to be based on possible or proposed rules, requirements or outcomes and 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, which such guidance can change. Moreover, in many instances U.S. and international regulatory initiatives have not been undertaken or implemented on a coordinated basis, and areas of divergence have developed with respect to the scope, interpretation, timing, structure or approach, leading to inconsistent or even conflicting regulations, including within a single jurisdiction. Regulatory changes have also significantly increased Citi’s compliance risks and costs (see “Compliance, Conduct and Legal Risks” below).

CREDIT AND MARKET RISKS

Citi’s Results of Operations Could Be Negatively Impacted as Its Revolving Home Equity Lines of Credit Continue to “Reset.”
As of December 31, 2015, Citi’s home equity loan portfolio included approximately $12.3 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 66% will commence amortization during 2016 and 2017 (for additional information, see “Managing Global Risk—Credit Risk—Consumer Credit” 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 payments on the loans. Increases in interest rates could further increase these payments, given the variable nature of the interest rates on these loans post-reset.
Citi has experienced a higher 30+ days past due delinquency rate on its amortizing home equity loans as compared to its total outstanding home equity loan portfolio (amortizing and non-amortizing). Moreover, 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 borrowers. While Citi continues to monitor this reset risk closely and will continue to consider any potential impact in determining its allowance for loan loss reserves, as well as review and take additional actions to offset potential reset risk, increasing interest rates, stricter lending criteria and high borrower loan-to-value positions could limit


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Citi’s ability to reduce or mitigate this reset risk going forward. Accordingly, as these loans further reset during 2016 and 2017, Citi could continue to experience higher delinquency rates as well as increased loan loss reserves and net credit losses in future periods, which could negatively impact its results of operations.

Macroeconomic and Geopolitical Challenges Globally 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.
Energy and other commodity prices significantly deteriorated during the second half of 2015 and into 2016, which has impacted various financial markets, countries and industries. Global economic growth remains uneven and uncertain. Various regions or countries, including certain emerging markets, have experienced slower or no growth and volatility, whether due to macroeconomic conditions or geopolitical tensions, governmental or regulatory policies or economic conditions within the particular region or country. For example, the economic and fiscal situations of several European countries remain fragile, and geopolitical tensions throughout the region, including in Russia and the Middle East, have added to the uncertainties. 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 somewhat in recent years, concerns and uncertainties have surfaced in Europe over the potential exit of the United Kingdom from the European Union in 2016. In addition, governmental fiscal and monetary actions, or expected actions, have impacted the volatilities of global financial markets and foreign exchange rates.
These and other global macroeconomic and geopolitical challenges, uncertainties and volatilities have impacted, and could continue to negatively impact, Citi’s businesses, results of operations and financial condition including its credit costs, revenues in its Markets and securities services and other businesses, and AOCI (which can in turn negatively impact Citi’s book and tangible book value). Further, if the economic situation in a non-U.S. jurisdiction where Citi operates 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.

Citi’s Significant Presence in the Emerging Markets Subjects It to Various Risks as well as Increased Compliance and Regulatory Risks and Costs.
During 2015, emerging markets revenues accounted for approximately 41% of Citi’s total revenues (forsuffer. For additional information on how Citi definesCiti’s competitors, see the emergingco-brand and private label cards risk factor above and “Supervision, Regulation and Other—Competition” below.

Uncertainties Regarding the Possible Discontinuance of the London Inter-Bank Offered Rate (LIBOR) or Any Other Interest Rate Benchmark Could Have Adverse Consequences for Market Participants, Including Citi.
In 2017, the U.K. Financial Conduct Authority (FCA) noted that market conditions raised serious questions about the future sustainability of LIBOR benchmarks. With the FCA securing voluntary panel bank support to sustain LIBOR only until 2021, the future of LIBOR beyond 2021 remains uncertain. In addition, following guidance provided by the Financial Stability Board (FSB), other regulators have suggested reforming or replacing other benchmark rates with alternative reference rates.
Given LIBOR’s extensive use across financial markets, as well as its exposuresthe transition away from LIBOR presents various risks and challenges to financial markets and institutions, including Citi. Citi’s consumer and institutional businesses issue, trade, hold or otherwise use various products and securities that reference LIBOR, including, among others, mortgages and other consumer loans, commercial loans, corporate loans, various types of debt, derivatives and other securities. If not sufficiently planned for, the discontinuation of LIBOR or any other interest rate benchmark could result in certainincreased financial, operational, legal, reputational or compliance risks. For example, a significant challenge will be the impact of LIBOR transition on contractual mechanics of floating rate
financial instruments and contracts that reference LIBOR and mature after 2021. Certain of these markets,instruments and contracts do not provide for alternative reference rates. Even if the instruments and contracts transition to alternative reference rates, the new reference rates are likely to differ from the prior benchmark rates. While there are a number of international working groups focused on transition plans and fallback contract language that seek to address market disruption and value transfer, replacement of LIBOR or any other benchmark with a new benchmark rate could adversely impact the value of and return on existing instruments and contracts. Moreover, replacement of LIBOR or other benchmark rates could result in market dislocations and have other adverse consequences for market participants, including the potential for increased costs, including by requiring Citi to pay higher interest on its obligations, and litigation risks. For information about Citi’s management of LIBOR transition risk, see “Managing Global Risk—CountryStrategic Risk—LIBOR Transition Risk” below).
Citi’s significant presence in the emerging markets subjects it to a number of risks, including 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 recent past, strict foreign exchange controls, such as Argentina andVenezuela, that limit its ability to convert local currency into U.S. dollars and/or transfer funds outside the country. Citi has also previously discovered fraud in certain emerging markets in which it operates in prior years. Political turmoil and other instability have occurred in certain countries, such as in Russia, Ukraine and the Middle East, which have required management time and attention (e.g., monitoring the impact of sanctions on the Russian economy as well as Citi’s businesses and results of operations).
Citi’s emerging markets presence also increases its compliance and regulatory risks and costs. For example, Citi’s operations in emerging markets, including facilitating cross-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-laundering regulations and the Foreign Corrupt Practices Act. These risks can be more acute in less 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 results of operations and its reputation.below.

CREDIT RISKS

Credit Risk and Concentrations of Risk Can Increase the Potential for Citi to Incur Significant Losses.
Credit risk arises from Citi’s lending and other businesses in both GCB and ICG. Citi has credit exposures to counterparties in the U.S. and various countries and jurisdictions globally, including end-of-period consumer loans of $331 billion and end-of-period corporate loans of $354 billion at year-end 2018. A default by a borrower or counterparty, or a decline in the credit quality or value of any underlying collateral, exposes Citi to credit risk. Various macroeconomic, geopolitical and other factors, among other things, can increase Citi’s credit risk and credit costs (for additional information, see co-branding and private label credit card and macroeconomic challenges and uncertainties risk factors above). While Citi provides reserves for probable losses for its credit exposures, such reserves are subject to judgments and estimates that could be incorrect or differ from actual future events (see incorrect assumptions or estimates risk factor below). For additional information on Citi’s credit and country risk, see each respective business’ results of operations above and “Managing Global Risk—Credit Risk” and “Managing Global Risk—Strategic Risk—Country Risk” below and Note 14 to the Consolidated Financial Statements.
Concentrations of risk, particularly credit and market risk,risks, can also increase Citi’s risk of significant losses. As of December 31, 2015,year-end 2018, 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 non-U.S. sovereigns and with counterparties in the financial services industry, including banks, insurance companies, investment banks, government andgovernments, central banks and other financial institutions. To the extent regulatoryA rapid deterioration of a large counterparty or within a sector or country where Citi has large

exposures or unexpected market developments lead to increased centralization of trading activity through particular clearing houses, central agents or exchanges, thisdislocations could also increase Citi’s concentration of risk in this industry. Concentrations of risk can 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.




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LIQUIDITY RISKS

The Federal Reserve Board’s Total Loss-Absorbing Capacity Proposal Includes Uncertainties and Potential Operational Difficulties That Could Have a Negative Impact on Citi’s Funding and Liquidity, Costs of Funds and Results of Operations.
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 2015, the Federal Reserve Board issued a notice of proposed rulemaking to require GSIBs, including Citi, to (i) issue and maintain minimum levels of external “total loss-absorbing capacity” (TLAC) and long-term debt (LTD), and (ii) adhere to various “clean holding company” requirements at the bank holding company level, including a prohibition on third-party short-term borrowings, derivatives and other qualified financial contracts and certain guarantees, as well as a limit on other non-TLAC eligible liabilities, such as structured notes and other operating liabilities. While not included in its proposed requirements, the Federal Reserve Board also indicated it was considering additional domestic internal TLAC requirements for U.S. GSIBs which could require, among other things, the “pre-positioning” of specified amounts of TLAC to certain material subsidiaries of the bank holding company (for a summary of the TLAC proposal, see “Managing Global Risk—Liquidity Risk” below).
There are significant uncertainties and interpretive issues arising from the Federal Reserve Board’s proposal. With respect to the minimum external LTD and TLAC requirements, the proposal would disqualify from eligible LTD securities that permit acceleration for reasons other than insolvency or non-payment of principal or interest as well as securities not governed by U.S. law. Consistent with industry standards, the vast majority of Citi’s otherwise eligible outstanding LTD provides for acceleration in circumstances other than those permitted by the proposal. Additionally, Citi has outstanding a significant amount of LTD not governed by U.S. law but which would otherwise be eligible to count towards the minimum external LTD requirement. Accordingly, if the requirements are adopted as proposed, and no “grandfathering” of existing outstanding LTD is provided, Citi could be required to refinance or issue significant amounts of additional debt, simultaneously with other GSIBs impacted by the requirements. Further, such ineligible debt securities would count against the limit imposed on non-TLAC liabilities imposed under the clean holding company requirements of the proposal, likely resulting in the need to repurchase significant amounts of Citi’s outstanding debt in order not to be in breach of such limitations. Any of these actions could negatively and significantly impact Citi’s funding and liquidity management and planning, operations and costs of funds.
The clean holding company requirements pose additional operational challenges and uncertainties. Citi, like many bank holding companies, often guarantees the obligations of its subsidiaries, which guarantees include a default right linked to the insolvency of Citi (i.e., downstream guarantees with cross-default provisions). With no grandfathering of such guarantees contemplated by the proposal, restructuring, revising or replacing the extensive number of guarantees outstanding in order to meet the clean holding company requirements could be costly and expose Citi to legal risk. Further, the potential consequences of breaching the proposed clean holding company requirements, as well as the consequences of not meeting many of the other requirements in the Federal Reserve Board’s proposal, are not clear, including what would be required to cure and the timeframe to do so.
In addition, any requirement to pre-position TLAC-eligible instruments with material subsidiaries could result in additional funding inefficiencies, increase Citi’s overall minimum TLAC 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, which would further impede Citi’s funding and liquidity management and planning, costs of funds and results of operations.

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.
creditworthiness, unexpected increases in cash or collateral requirements and the inability to monetize available liquidity resources. For example, Citi competes with other banks and financial institutions for deposits, which represent Citi’s most stable and lowest cost of long-term funding. The competitive environment has increased for retail banking deposits, including as online banks and other competitors have increased rates paid for deposits. More recently, as interest rates have increased, a growing number of customers have transferred deposits to other products, including investments and interest bearing accounts, and/or other financial institutions. This, along with slower industry growth in deposits, has resulted in a more challenging environment for deposits. In addition, as interest rates continue to rise, financial institutions, such as Citi, may have to raise the rates paid for deposits, thus increasing the cost of funds and affecting net interest income and margin.
Moreover, 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. For additional information on Citi’s credit spreads may also be influenced by movements in the costs to purchasersprimary sources of credit default swaps referenced to Citi’s long-term debt, which are also impacted by these external and Citi-specific factors. Moreover,funding, see “Liquidity Risk” below.
In addition, 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,central banks, 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


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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 potential domestic internal TLAC requirements (as discussed 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,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,Further, 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—Liquidity Risk” below.


OPERATIONAL RISKS

Citi Has Co-Branding and Private Label Credit Card Relationships with Various Retailers and Merchants and the Failure to Maintain These RelationshipsA Disruption of Citi’s Operational Systems Could Negatively Impact Citi’s Reputation, Customers, Clients, Businesses or the Renewal of These Relationships on Less Favorable Terms Could Have a Negative Impact on Citi’s Results of Operations orand Financial Condition.
Through its Citi-branded cards and Citi retail services credit card businesses, Citi has co-branding and private label relationships with various retailers 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 shared economics between the parties and generally have a fixed term. The five largest relationships constituted an aggregate of approximately 10% of Citi’s revenues for the year ended December 31, 2015.
Competition among card issuers, including Citi, for these relationships is significant. As a result, Citi may not be able to renew these relationships, or the relationships may be renewed on terms substantially less favorable to Citi’s credit card businesses. These relationships could also be negatively impacted due to, among other things, operational 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. While various mitigating factors could be available to Citi if any of these events were to occur - such as by replacing the retailer or merchant or offering new card products - such events could negatively impact Citi’s results of operations or financial condition.

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 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.
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 BankingGCB, credit card and treasury and trade solutions and securities services businesses in ICG, 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.
Citi’s computer systems, softwareactivities (for additional information on cybersecurity risk, see the discussion below). These incidents are unpredictable and networks are subject to ongoing cyber incidents such as unauthorized access; loss or destruction of data (including confidential


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client information); account takeovers; unavailability of service; computer viruses or other malicious code; cyber attacks; and other events. These threatscan 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, or third parties, 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, natural disasterswhich could negatively impact Citi’s reputation, customers, clients, businesses or severe weather conditions, health emergenciesresults of operations and financial condition, perhaps significantly.

Citi and Third Parties’ Computer Systems and Networks Have Been, and Will Continue to Be, Susceptible to an Increasing Risk of Continually Evolving, Sophisticated Cybersecurity Activities That Could Result in the Theft, Loss, Misuse or pandemics,Disclosure of Confidential Client or outbreaksCustomer 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, loss or destruction of hostilitiesdata (including confidential client information),
account takeovers, unavailability of service, computer viruses or terrorist acts.
Additional challenges are posed byother malicious code, cyber attacks and other similar events. These threats can arise from external parties, including extremist partiescyber criminals, cyber terrorists, hacktivists and certain foreignnation state actors, that engage in cyber activities as a means to promote political ends. As further evidence of the increasing and potentially significant impact of cyber incidents, during 2015, the U.S. government as well as several multinational companies reportedinsiders who knowingly or unknowingly engage in or enable malicious cyber incidents affecting their computer systems that resulted in the dataactivities.
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 millionscybersecurity risks, particularly where activities of customers are beyond Citi’s security and employees being compromised. In addition,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 recent years several U.S. retailers andcompromise 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 other multinational companies reported cyber incidents that compromised customer data.
Whileclearing houses, including as a result of the derivatives reforms over the last few years, Citi has not been materially impacted by these reported or otherincreased exposure to cyber incidents, attacks through third parties.
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 obtained 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 or even later, Citi may be unable to implement effective preventive measures or proactively address these methods until they are discovered.
If Citi were to be subject to In addition, given the evolving nature of cyber threat actors and the frequency and sophistication of cyber activities they carry out, the determination of the severity and potential impact of a cyber incident it could result inmay not occur for a substantial period until after the disclosure of personal, confidential or proprietary client information, damage to Citi’s reputation with its clients and the market, customer dissatisfaction, additional costs to Citi (such as repairing systems, replacing customer payment cards or adding new personnel or protection technologies), regulatory penalties, exposure to litigation and other financial losses 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, as well as retailers and other third parties with which Citi’s customers do business, may also be sources of cybersecurity or other operational and technological risks, particularly where activities of customers are beyond Citi’s security and control systems. 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 service disruptions or website defacements, a risk the confidentiality, privacy and security of data held by third parties may be compromised and the potential to introduce vulnerable code, resulting in security breaches impacting Citi customers. Whileincident has been discovered. Also, while Citi engages in certain actions to reduce the exposure resulting from outsourcing, such as performing onsite security control assessments of third-party vendors and limiting third-party access to the

least privileged level necessary to perform job functions, ongoing threats maythese actions cannot prevent all third-party related cyber attacks or data breaches.
Cyber incidents can result in unauthorized access, lossthe disclosure of personal, confidential or destruction of dataproprietary customer or other cyber incidentsclient information, damage to Citi’s reputation with increasedits clients and the market, customer dissatisfaction and additional costs, and consequencesincluding credit costs, 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 resultrepairing systems, replacing customer payment cards or adding new personnel or protection technologies. Regulatory penalties, loss of the derivatives reforms over the last few years, Citi has increasedrevenues, exposure to litigation and other financial losses, including loss of funds, to both Citi and its clients and customers and disruption to Citi’s operational failure orsystems could also result from cyber attacks through third parties.incidents (for additional information on the potential impact of operational disruptions, see the operational systems risk factor above). Moreover, the increasing risk of cyber incidents has 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 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’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, 2015, Citi’s net DTAs were approximately $47.8 billion, of which approximately $31.0 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). In addition, of the net DTAs as of year-end 2015, approximately $15.9 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 2015, approximately $4.8 billion expire in 2018 and the remaining $11.1 billion expire over the period of


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2019-2025. 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, 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 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 AOCI, which can be impacted by changes in interest rates and foreign exchange rates.
For additional information onabout Citi’s DTAs, including the FTCs,management of cybersecurity risk, see “Significant Accounting Policies and Significant Estimates—Income Taxes” below and Note 9 to the Consolidated Financial Statements.“Managing Global Risk—Operational Risk—Cybersecurity Risk” below.

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, Penalties or Interest.
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.

The Value of Citi’s DTAs Could Be Significantly Reduced if Corporate Tax Rates in the U.S. or Certain State, Local or Foreign Jurisdictions Decline or as a Result of Other Changes in the U.S. Corporate Tax System.
There have been discussions regarding decreasing the U.S. federal corporate tax rate. Similar discussions have taken place in certain local, state and foreign jurisdictions. While Citi may benefit in some respects from any decrease in corporate tax rates, a reduction in the U.S. federal, or state, local 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.

If Citi’s Risk Models Are Ineffective or Require Modification or Enhancement, Citi Could Incur Significant Losses or Its Regulatory Capital and Capital Ratios Could Be Negatively Impacted.
Citi utilizes models extensively as part of its risk management and mitigation strategies, including 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 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 and strategies 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 if its risk management models or strategies are ineffective in properly anticipating or managing these risks.
Moreover, Citi’s Basel III regulatory capital models, including its credit, market and operational risk models, continue to be 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, 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 regulatory capital requirements as it projects or as required.

Citi Must Continually Pursue Expense Management and Its Investments in Its Businesses May Not Be as Successful as Citi Projects or Expects.
Citi continues to pursue its disciplined expense management strategy, including ongoing repositioning and efficiency targets. However, there is no guarantee that Citi will be able to maintain or reduce its level of expenses as a result of its repositioning actions, efficiency initiatives or otherwise. Moreover, Citi’s ability to maintain or reduce its expenses in part depends on factors which it cannot control, such as ongoing regulatory changes, continued higher regulatory and compliance costs, legal and regulatory proceedings and inquiries and macroeconomic conditions, among others. In addition, investments Citi has made, or may make, in its businesses or operations, such as those in technology systems


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or in its U.S. credit card businesses, may not be as productive or effective as Citi expects or at all.

Citi’s Ability to Continue to Wind-Down Citi Holdings Largely Depends on Factors Outside Its Control.
While Citi made significant progress in continuing to wind-down Citi Holdings in 2015, and Citi expects to maintain Citi Holdings at or above “break even” in 2016, as of December 31, 2015, the remaining assets in Citi Holdings largely consisted of North America legacy consumer mortgages, of which approximately 50% consisted of home equity loans for which a market for sales has not yet developed. Accordingly,sales of the remaining mortgage assets will largely continue to be subject to ongoing run-off, market appetite and/or opportunistic sales. As a result, the remaining assets in Citi Holdings will not likely decrease as significantly as in prior years and could continue to have a negative impact on Citi’s risk-weighted assets.

Citi’s Performance and the Performance of Its Individual Businesses Could Be Negatively Impacted if Citi Is Not Able to Hire and Retain Highly 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. If Citi is unable to continue to attract and retain the most highly 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.
Citi’s ability to attract and retain employees depends on numerous factors, some of which are outside of its control. For example, given the heightened regulatory and political environment in which Citi operates relative to competitors for talent both within and outside of the financial services area, it may be more difficult for Citi to hire or retain highly qualified employees in the future. Other factors that impact Citi’s ability to attract and retain employees include 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. Generally, the banking industry is subject to more stringent regulation of executive and employee compensation than other industries, including deferral and clawback requirements for incentive compensation and other limitations. 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.

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,Periodically, the Financial Accounting Standards Board (FASB) is currently reviewing, or has proposed or issued, changes to severalissues financial accounting and reporting standards that may 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 (CECL), which will become effective for Citi on January 1, 2020, will require earlier recognition of credit losses on loans and held-to-maturity securities and other financial instruments.assets. The proposed accounting model would requireCECL methodology requires 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 ofthe time the financial asset replacingis originated or acquired. The expected credit losses are adjusted each period for changes in expected lifetime credit losses. The CECL methodology replaces 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, including the expected impacts on Citi’s results of operations and financial condition, see Note 1 to the Consolidated Financial Statements).“Future Application of Accounting Standards” 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. 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 Processes, 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 risk models in analyzing and monitoring the various risks Citi assumes in conducting its activities. For example, Citi uses models as part of its comprehensive 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 as well as that losses can occur from untimely, inaccurate or incomplete processes caused by unintentional human error.
These processes, strategies and models are inherently limited because they involve techniques, including the use of historical data in many circumstances, assumptions 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-


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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 finalexisting 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 with the requirements.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 “Legal Risks”the legal and regulatory proceedings risk factor below). A failure to resolve any identified deficiencies could result in increased regulatory oversight and restrictions. 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:

The Volcker Rule required Citiinclude (i) a proliferation of laws relating to develop an extensive globalthe limitation of cross-border data movement and/or collection and use of customer information, including data localization and protection and privacy laws, which also can conflict with or increase compliance regime, including developing and maintaining detailed trading and permitted activity mandates for businesses, submitting extensive trading information to regulatory agencies, conducting independent testing and audit, training, recordkeeping and similar requirements and governance, including an annual CEO attestation, beginning on March 31, 2016,complexity with respect to other laws, including anti-money laundering laws; and (ii) the global processes Citi has in place to achieve compliance with the rules.
Numerous aspectsFRB’s “total loss absorbing capacity” (TLAC) requirements, including, among other things, consequences of a breach of the U.S. derivatives reform regime require extensive compliance systems and processes to be maintained by Citi on a global basis, including electronic recordkeeping, real-time public transaction reporting and external business conductclean holding company requirements, (e.g., required swap counterparty disclosures).
A proliferation of data protection and “onshoring” requirements adopted by various non-U.S. jurisdictions, such as in Russia, South Korea, Vietnam and Indonesia, require Citi to take measures to ensure client data is stored or processed within national borders. These requirements could conflict with anti-money laundering and other requirements in other jurisdictions.

given there are no cure periods for the requirements.
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 “Legal Risks”the legal and regulatory proceedings risk factor below). In addition,Additionally, increased and ongoing compliance requirements and uncertainties have resulted in higher costs for Citi. For example, Citi employed approximatelyroughly 30,000 risk, regulatory and compliance staff as of year-end 2015,2018, out of a
total employee population of 231,000,204,000, compared to approximately 14,000 as of year-end 2008 with a total employee population of 323,000. These higher regulatory and compliance costs also offsetcan impede Citi’s ongoing, business-as-usual cost reduction initiatives. For example, data protectionefforts, and “onshoring” requirements often require redundant investments in local data storage and security and thus impede or potentially reverse Citi’s centralization or standardization efforts, which provide expense efficiencies. Higher compliance costs maycan also require management to reallocate resources, including
potentially away from ongoing business investment initiatives.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. The frequency with which such proceedings, investigations and inquiries are initiated have increased substantially over the last few years, and the global judicial, regulatory and political environment has generally remains hostile tobeen unfavorable for large financial institutions. For example, under recent guidance by the U.S. Department of Justice (DOJ), a corporation (such as Citi) is required to identify all individuals involved in or responsible for perceived misconduct at issue and provide all related facts and circumstances in order to qualify for any cooperation credit in civil and criminal investigations of corporate wrongdoing. 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, as well as multiple civil litigation claims in multiple jurisdictions.
Moreover, U.S. and non-U.S. regulators have been increasingly focused on “conduct risk,” a term that is used to describe the risks associated with behavior by employees and agents, including third-party vendors utilized by Citi, that could harm consumers,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 consumers’ and investors’a party’s personal information, or failures to identify and manage conflicts of interest and improperly creating, selling and marketing products and services.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 receivingreceive 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.


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Further,In addition, the severity of the remedies sought in legal and regulatory proceedings to which Citi is subject has increased substantially in recent years.remained elevated. 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. As previously disclosed, in May 2015 an affiliate of Citi entered into a settlement with the DOJ whereby the affiliate pleaded guilty to an antitrust violation and paid a substantial fine to resolve the DOJ’s investigations 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 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 2827 to the Consolidated Financial Statements.





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Managing Global Risk Table of Contents

MANAGING GLOBAL RISK 
6559

   Overview
 
6559

CREDIT RISK(1)
 
6963

   Overview 
6963

   Consumer Credit 
6964

   Corporate Credit 
7771

   Additional Consumer and Corporate Credit Details 
8074

       Loans Outstanding 
8074

       Details of Credit Loss Experience 
8175

       Allowance for Loan Losses 83
77
       Non-Accrual Loans and Assets and Renegotiated Loans 
8478

       ForegoneForgone Interest Revenue on Loans 87
81
LIQUIDITY RISK 
8882

     Overview 
8882

     Liquidity Monitoring and Measurement
82
     High-Quality Liquid Assets (HQLA) 88
83
     Loans 89
84
     Deposits 89
85
     Long-Term Debt(2)
 90
85
     Secured Funding Transactions and Short-Term Borrowings 92
     Liquidity Monitoring and Measurement94
88
     Credit Ratings 95
90
MARKET RISK(1)
 
9792

  Overview 
9792

   Market Risk of Non-Trading Portfolios 
9792

        Net Interest Revenue at Risk 
9792

        Interest Rate Risk of Investment Portfolios—Impact on AOCI 
9792

        Changes in Foreign Exchange Rates—Impacts on AOCI and Capital 99
94
        Interest Revenue/Expense and Net Interest Margin 100
95
        Additional Interest Rate Details 101
97
   Market Risk of Trading Portfolios 
105101

        Factor Sensitivities 106
102
        Value at Risk (VAR) 106
102
        Stress Testing 109
105
OPERATIONAL RISK 
110106

COUNTRY  Overview
106
  Cybersecurity Risk
106
COMPLIANCE RISK 
111107

COMPLIANCE, CONDUCT AND LEGAL RISK
118

REPUTATIONAL RISK 
119108
STRATEGIC RISK
108
  Overview
108
  Potential Exit of U.K. from EU

108
  LIBOR Transition Risk

109
  Country Risk
110

(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.
(2)See “Long-Term Debt—Resolution Plan” below for a description of the consequences to unsecured debt holders in the event of Citi’s bankruptcy.


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MANAGING GLOBAL RISK

OVERVIEWOverview
For 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, and the risks those activities generate, must be consistent with Citi’s mission and value proposition, the key principles that guide it, and Citi's risk appetite.
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 firm,Company, Citi strives to serve its clients as a trusted partner to its clients 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, standards, procedures and processes through which Citi identifies, assesses, 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 the Federal Reserve’s Enhanced Prudential Standards for Bank Holding Companies and Foreign Banking Organizations.
Four key principles—common purpose, responsible finance, ingenuity and leadership—guide Citi as it performs its mission. Citi’s risk appetite, which is approved by the Citigroup Board of Directors, specifies the aggregate levels and types of risk the Board and management are willing to assume to achieve Citi’s strategic objectives and business plan, consistent with applicable capital, liquidity and other regulatory requirements.
Citi selectively takes risks in support of its underlying business strategy, while striving to ensure it operates within its mission and value proposition and risk appetite.
Citi’s risks are generally categorized and summarized as follows:

Credit risk is the risk arisingof loss resulting from an obligor’sthe decline in credit quality (or downgrade risk) or failure of a borrower, counterparty, third party or issuer to meet the terms of any contracthonor its financial or otherwise perform as agreed. Credit risk is found in all activities in which settlement or repayment depends on counterparty, issuer, or borrower performance.contractual obligations.
Liquidity risk is the risk arising from an inabilitythat the Company will not be able to meet obligations when they come due. Liquidityefficiently both expected and unexpected current and future cash flow and collateral needs without adversely affecting either daily operations or financial conditions of the Company. The risk includesmay be exacerbated by the inability of the Company to access funding sources or manage fluctuations inmonetize assets and the composition of liability funding levels. Liquidity risk also results from a failure to recognize or address changes in market conditions that affect Citi’s ability to liquidate assets quickly and with minimal loss in value.liquid assets.
Market risk is the risk of potential lossesloss arising from changes in the value of Citi’s assets and liabilities resulting from changes in market variables, such as interest rates.rates, exchange rates or credit spreads. Losses can be exacerbated by the presence of basis or correlation risks.
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 (see below). It also includes the reputation and franchise risk associated with business practices or market conduct in which Citi is involved, as well as compliance, conduct and legal 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 fraud, theft and unauthorized activity; employment practices and workplace environment; clients, products and business practices; physical assets and infrastructure, and execution, delivery and process management.
Compliance risk is the risk to current or projected financial condition and resilience arising from violations of laws or regulations, or from nonconformance with prescribed practices, internal policies and procedures, or ethical standards. This risk exposes a bank to fines, civil money penalties, payment of damages and the voiding of contracts. Compliance risk is not limited to risk from failure to comply with consumer protection laws; it encompasses the risk of noncompliance with all laws and regulations, as well as prudent ethical standards and contractual obligations. It also includes the exposure to litigation (known as legal risk) from all aspects of banking, traditional and nontraditional.Compliance risk spans across all risk types outlined in the risk governance framework.
Reputational risk is the risk to current or anticipated earnings, capital, or franchise or enterprise value and resilience 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 (in compliance with regulations, policies and procedures), 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.
Compliance risk is the risk arising from violations of, or non-conformance with, local, national, or cross-border laws, rules, or regulations, our own internal policies and procedures, or relevant standards of conduct.
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 thereby the integrity of Citi.
Legal risk 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.
Reputational risk is the risk to current or anticipated earnings, capital, or franchise or enterprise value arising from negative public opinion.

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

First Line of Defense: Business Management
Each of Citi’s businesses owns its risks and is responsible for identifying, assessing and managing its risks. Each business is also responsible for havingestablishing and operating controls in place 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 governance responsibilities.
The CEOs of each region and business report to the Citigroup CEO. The Head of Enterprise Infrastructure, Operations and Technology and the Head of Productivity,(EIO&T), who areis considered part of the first line of defense, also reportreports to the Citigroup CEO.
Businesses at Citi organize and chair many committees and councils that cover risk considerations 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 and Finance, set


65


standards by which Citi and its businesses are expected to manage and oversee risks, including compliance with applicable laws, regulatory requirements, policies and other relevant standards of conduct. Additionally, among other responsibilities, the independent control functions provide advice and training to Citi’s businesses and establish tools, methodologies, processes and oversight for controls used by the businesses to foster a culture of compliance and control.

Risk
The Risk organization is designed to act as an independent partner of the business to manage market, credit and operational risk in a manner consistent with 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 firm.Company.
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 are independent Chief Risk Officers 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.
The Citi Chief Risk Officer reports to the Citigroup CEO and the Risk Management Committee of the Citigroup Board of Directors. The Chief Risk Officer has regular and unrestricted access to the Risk Management Committee of the Board and also to the Citigroup Board of Directors to address risks and issues identified through Risk’s activities.

Independent Compliance Risk Management
The Independent Compliance Risk Management (ICRM) organization is designed to protect Citi not only by managing adherence to applicable laws, regulations,overseeing senior management, the businesses and other standards of conduct, but also bycontrol functions in managing compliance risk, as well as promoting business behaviorconduct and activity that is consistent with Citi’s mission and value proposition, the principle of responsible finance andproposition. Citi’s objective is to embed an enterprise-wide compliance risk appetite.management framework and culture that identifies, measures, monitors, mitigates and controls compliance risk across the three lines of defense. For further information on Citi’s compliance risk appetite,framework, see “Compliance Conduct and Legal Risk” below.
The Chief Compliance Officer reports to the Citigroup CEO and has regular and unrestricted access to the Audit Committee, Ethics and Culture Committee and other ad hoc committees of the Citigroup Board of Directors, to report on, among other items, possible breaches of Citi’s compliance risk appetite.including the Audit Committee and the Ethics and Culture Committee.

Human Resources
The Human Resources (HR) 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-ethical and performance-related expectations and developing and promoting employees who meet those expectations;expectations, and searching for, assessing and hiring staff who exemplify Citi’s leadership standards, which outline Citi’s expectations of its employees’ behavior. Through these activities, HR serves primarily as an independent control function advising business management, escalating identified risks and establishing policies or processes to manage risk. For select activities HR also acts in a first line capacity and is subject to appropriate review and challenge by second line functions.
The Head of Human 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. Those activitiesrisk, 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 businessesbusiness 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 other 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;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 hishis/her delegates regularly attendsattend meetings of the Risk Management Committee, Audit Committee, Personnel and 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 comprisedcomposed of the following disciplines: treasury, controllers, tax and financial planning and analysis.analysis, capital planning/recovery and resolution planning, corporate M&A and investor relations. 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 primarily as an independent control function advising business management, escalating identified risks and establishing policies or processes to manage risk. For select activities Finance also acts in a first line capacity and is subject to appropriate review and challenge by second line functions.
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—IntegratedControl-Integrated Framework.
Finance is led by Citi’s Chief Financial Officer (CFO), who reports directly to the 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 the


66


full Citigroup Board of Directors as well as to the Audit Committee of the Board of Directors.

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 Defensethreelinesofbusinessq42018.jpg


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Citigroup Board of Directors and Committees of the Board
Citigroup’s Board of Directors oversees Citi’s risk-taking activities.activities and holds management accountable for adhering to the risk governance framework. To do so, directors review risk assessments and reports prepared by the businesses, Risk, Independent Compliance Human Resources, Legal, Finance andRisk Management, Internal Audit and others, and exercise sound independent judgment to question, challenge,probe and when necessary, opposechallenge recommendations and decisions made by senior management that could cause Citi’s risk profile to exceed its risk appetite or jeopardize the safety and soundness of the firm.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


OVERVIEWOverview
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 is one of the most significant risks Citi faces as an institution. For additional information, see “Risk Factors—Credit Risk” above. As a result, Citi has a well-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-wideCompany-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-dayintraday 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-dayintraday 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, the independent Risk organization reviews concentrationacross Citigroup and a specialized framework consisting of risk across Citi’s regions and businesses to assist in managing this type of risk.product 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.
For additional information on Citi’s credit risk management, see Note 1514 to the Consolidated Financial Statements.


CONSUMER CREDITConsumer Credit

North America Consumer Mortgage Lending

Overview
Citi’s NorthAmerica consumer mortgage portfolio consists of both residential first mortgagesCiti provides traditional retail banking, including commercial banking, and home equity loans. At December 31, 2015, Citi’s North America consumer mortgage portfolio was $79.7 billion (compared to $95.9 billion at December 31, 2014), of which the residential first mortgage portfolio was $56.9 billion (compared to $67.8 billion at December 31, 2014),credit card products in 19 countries and the home equity loan portfolio was $22.8 billion (compared to $28.1 billion at December 31, 2014). The decline during the year was primarily attributed to $14.7 billion ofjurisdictions through North America GCB, Latin America GCB and Asia GCB. The retail banking products include consumer mortgages, sold or transferred to held-for-sale, including $6.6 billion of CitiFinancial consumer mortgages ($5.4 billion of residential first mortgages and $1.2 billion of home equity, loans) transferredpersonal and commercial loans and lines of credit and similar related products with a focus on lending to held-for-sale and classified as Other assets in the fourth quarter of 2015. At December 31, 2015, $18.7 billion of residential first mortgages were recorded inprime customers. Citi Holdings, with the remaining $38.2 billion recorded in Citicorp. At December 31, 2015, $19.1 billion of home equity loans was recorded inuses its risk appetite framework to define its lending parameters. In addition, Citi Holdings, with the remaining $3.6 billion recorded in Citicorp.
Citi’s residential first mortgage portfolio included $3.4 billion of loans with Federal Housing Administration (FHA) insurance or Department of Veterans Affairs (VA) guarantees at December 31, 2015, compared to $5.2 billion at December 31, 2014. The decline during the year was primarily due to mortgage loans with FHA insurance sold or transferred to held-for-sale. 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 liableuses proprietary scoring models 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.new customer approvals.
As of December 31, 2015,stated in “Global Consumer Banking” above, GCB’s overall strategy is to leverage Citi’s NorthAmerica residential first mortgage portfolio contained approximately $2.4 billion of adjustable rate mortgages that are currently required to make a payment consisting of only accrued interestglobal footprint and be the pre-eminent bank for the payment period, or an interest-only payment, comparedaffluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets (including commercial banking), Citi serves customers in a somewhat broader set of segments and geographies. GCB’s commercial banking business primarily focuses on small to $3.8 billion at December 31, 2014. This decline resulted primarily from repaymentsmid-size businesses and conversions to amortizing loans. Residential first mortgages with this payment feature are primarily to high-credit-quality borrowers who have on


69


average significantly higher origination and refreshed FICO scores than other loansalso serves larger middle market companies 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.
For additional information on Citi’s North America consumer mortgage portfolio, see Note 15 to the Consolidated Financial Statements.certain regions.

North America Consumer Mortgage Quarterly Credit Trends—NetPortfolio
The following table shows Citi’s quarterly end-of-period consumer loans:(1)
In billions of dollars4Q’171Q’182Q’183Q’184Q’18
Retail banking:     
Mortgages$81.7
$82.1
$80.5
$80.9
$80.6
Commercial banking36.3
36.8
36.5
37.2
36.3
Personal and other27.9
28.5
28.1
28.7
28.8
Total retail banking$145.9
$147.4
$145.1
$146.8
$145.7
Cards:     
Citi-branded cards$115.7
$110.6
$112.3
$112.8
$116.8
Citi retail services49.2
46.0
48.6
49.4
52.7
Total cards$164.9
$156.6
$160.9
$162.2
$169.5
Total GCB
$310.8
$304.0
$306.0
$309.0
$315.2
GCB regional distribution:
     
North America63%61%63%62%64%
Latin America8
9
8
9
8
Asia(2)
29
30
29
29
28
Total GCB
100%100%100%100%100%
Corporate/Other(3)
$22.9
$21.1
$17.6
$16.5
$15.3
Total consumer loans$333.7
$325.1
$323.6
$325.5
$330.5

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

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




Overall Consumer Credit Losses and Delinquencies—Residential First MortgagesTrends
The following charts detailshow the quarterly trends in delinquencies and net credit trendslosses across both retail banking, including commercial banking, and cards for Citi’s residential first mortgage portfolio intotal North AmericaGCB. and by region.

North America Residential First Mortgage - EOP Loans
In billions of dollars
Global Consumer Banking
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cctglobal.jpg
North America GCB
legenda01.jpg
cctnam.jpg

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, 2018, 72% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which generally drives the overall credit performance of North America GCB (for additional information on North America GCB’s cards portfolios, including delinquency and net credit loss rates, see “Credit Card Trends” below).
As shown in the chart above, the 90+ days past due delinquency rate increased quarter-over-quarter in North America GCB, primarily due to seasonality in both cards portfolios, while the quarter-over-quarter increase in the net credit loss rate was primarily driven by seasonality in Citi retail services. The year-over-year delinquency and net credit loss rates increased, driven by seasoning in both cards portfolios as well as an increase in net flow rates in later delinquency buckets in Citi retail services.


 
NorthLatin America Residential First Mortgage - Net Credit Losses
In millions of dollars
GCB
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cctlatam.jpg

Note: CMI refers toLatin America GCB operates in Mexico through Citibanamex, one of Mexico’s largest banks, and provides credit cards, consumer mortgages, personal loans originated by CitiMortgage. CFNA refers to loans originated by CitiFinancial. Totals may not sum due to rounding.
(1)
Decrease in 4Q’15 EOP loans primarily reflects the transfer of CFNA residential first mortgages to held-for-sale and classification as and commercial banking products. Latin America GCB serves a more mass market segment in Mexico and focuses on developing multi-product relationships with customers.Other assets at year-end 2015. This transfer did not impact net credit losses.
(2)Year-over-year change in the S&P/Case-Shiller U.S. National Home Price Index.
(3)Year-over-year change as of October 2015.

North America Residential First Mortgage Delinquencies-Citi Holdings
In billions of dollars
Note: DaysAs shown in the chart above, the quarter-over-quarter 90+ days past due excludes (i) U.S. mortgage loans that are guaranteeddelinquency rate increased in Latin America GCB, mostly driven 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.
(1)
Decrease in 4Q’15 primarily reflects the transfer of CFNA residential first mortgages to held-for-sale and classification as Other assets at year-end 2015.

Net credit lossesseasonality in the North America residential first mortgage portfolio continued to improve during 2015 as a result of improvements in the home price index (HPI) and sales or transfers to held-for-sale of residential first mortgages during 2015, as well as overall loss mitigation activities within CitiFinancial.
Residential first mortgages originated by CitiFinancial have a highercards portfolio. The quarter-over-quarter net credit loss rate as CitiFinancial borrowers tend to have higher LTVs and lower FICO scores than CitiMortgage borrowers. CitiFinancial’s residential first mortgages also have a significantly different geographic distribution, with different mortgage market conditions that tend to lagdecreased, primarily reflecting the overall improvements in HPI.


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During 2015, continued management actions, primarily the sale or transfer to held-for-saleabsence of approximately $1.5 billion of delinquent residential first mortgages, including $0.9 billionan episodic charge-off in the fourth quarter largely associated withcommercial portfolio in the transfer of CitiFinancial loans to held-for-sale referenced above, were the primary driver of the overall improvement in
delinquencies within Citi Holdings’ residential first mortgage portfolio. Credit performance from quarter to quarter could continue to be impacted by the amount of delinquent loan sales or transfers to held-for-sale, as well as overall trends in HPI and interest rates.


North America Residential First Mortgages—State Delinquency Trends
prior quarter. The following tables set forth the six U.S. states and/or regions with the highest concentration of Citi’s residential first mortgages.

In billions of dollarsDecember 31, 2015December 31, 2014
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$19.2
37%0.2%1%754
$18.9
31%0.6%2%745
NY/NJ/CT(4)
12.7
25
0.8
1
751
12.2
20
1.9
2
740
VA/MD2.2
4
1.2
2
719
3.0
5
3.0
8
695
IL(4)
2.2
4
1.0
3
735
2.5
4
2.5
9
713
FL(4)
2.2
4
1.1
4
723
2.8
5
3.0
14
700
TX1.9
4
1.0
—
711
2.5
4
2.7
—
680
Other11.0
21
1.3
2
710
18.2
30
3.3
7
677
Total(5)
$51.5
100%0.7%1%738
$60.1
100%2.1%4%715

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 long term standby commitments (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, Florida and Illinois are judicial states.
(5)Improvement in state trends during 2015 was primarily due to the sale or transfer to held-for-sale of residential first mortgages, including the transfer of CitiFinancial residential first mortgages to held-for-sale in the fourth quarter of 2015.
Foreclosures
A substantial majority of Citi’s foreclosure inventory consists of residential first mortgages. At December 31, 2015, Citi’s foreclosure inventory included approximately $0.1 billion, or 0.2%, of the total residential first mortgage portfolio, compared to $0.6 billion, or 0.9%, at December 31, 2014, 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.

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. As of December 31, 2015, Citi’s home equity loan portfolio of $22.8 billion consisted of $6.3 billion of fixed-rate home equity loans and $16.5 billion of loans extended under home equity lines of credit (Revolving HELOCs).



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Revolving HELOCs
As noted above, as of December 31, 2015, Citi had $16.5 billion of Revolving HELOCs, of which $4.2 billion had commenced amortization (compared to $1.9 billion at December 31, 2014) and $12.3 billion were still within their revolving period and have not commenced amortization, or “reset,” (compared to $16.7 billion at December 31, 2014). 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, 2015
Note: Totals may not sum due to rounding.

Approximately 25% of Citi’s total Revolving HELOCs portfolio had commenced amortization as of December 31, 2015 (compared to 10% as of December 31, 2014). Of the remaining Revolving HELOCs portfolio, approximately 66% will commence amortization during the period of 2016–2017. 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 ultimate impact this payment shock could have on Citi’syear-over-year delinquency rates and net credit losses, Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during the period of 2016–2017 could increase on averageloss rates increased, driven primarily by approximately $370, or 165%. Increases in interest rates could further increase these payments given the variable natureseasoning of the interest rates on these loans post-reset. Of the Revolving HELOCs that will commence amortization during the period of 2016–2017, approximately $0.6 billion, or 8%, of the loans have a CLTV greater than 100% as of cards portfolio.December 31, 2015. 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.
Approximately 6.7% of the Revolving HELOCs that have begun amortization as of December 31, 2015 were 30+ days past due, compared to 3.2% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 6.4% and 2.7%, respectively, as of December 31,
2014. As newly amortizing loans continue to season, the delinquency rate of the amortizing Revolving HELOC portfolio and total home equity loan portfolio is expected to continue to 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 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 a borrower outreach program to provide reset risk education and proactively working with high-risk borrowers through a specialized single point of contact unit. 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 dollarsAsia(1) GCB
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cctapac.jpg

Note: Totals may not sumAsia 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, the 90+ days past due delinquency rate was largely stable in Asia GCB quarter-over-quarter and year-over-year. The net credit loss rate increased quarter-over-quarter and year-over-year, primarily driven by an episodic charge-off in the commercial portfolio in the fourth quarter of 2018. Overall, the strong credit profiles in Asia GCB’s target customer segments have resulted in stable portfolio credit quality.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 14 to the Consolidated Financial Statements.

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

Global Cards
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cctotal.jpg

North America Citi-Branded Cards
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ccnambranded.jpg

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 increased quarter-over-quarter due to rounding.seasonality, and was relatively stable year-over-year. The net credit loss rate was relatively stable quarter-over-quarter, while the net credit loss rate increased year-over-year due to seasoning of the portfolio as well as the impact of higher asset sales in the prior year.




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North America Citi Retail Services
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ccnamretail.jpg


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.
As shown in the chart above, Citi retail services’ 90+ days past due delinquency and net credit loss rates increased quarter-over-quarter, driven by seasonality as well as the business beginning to incur losses in a recently acquired portfolio. The year-over-year increase in the delinquency rate was primarily driven by seasoning and an increase in net flow rates in later delinquency buckets. On this basis, the net credit loss rate modestly decreased, as the impact of the recently acquired portfolios was partially offset by seasoning as well as an increase in net flow rates in later delinquency buckets.

Latin America Citi-Branded Cards
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cclatam.jpg
Latin America GCB issues proprietary and co-branded cards. As shown in the chart above, the quarter-over-quarter 90+ days past due delinquency rate increased, primarily driven by seasonality, while the net credit loss rate decreased also driven by seasonality. Year-over-year the delinquency and net credit loss rates increased primarily due to seasoning of the portfolio.

North America Home Equity Loan Delinquencies - Citi Holdings
In billions of dollarsAsia Citi-Branded Cards(1)
legenda01.jpg
Note: Totals may not sum due to rounding.ccapac.jpg

As evidenced by the tables above, net credit losses in the North America home equity loan portfolio continued to improve during 2015, largely driven by the continued improvement in HPI. Delinquencies in the portfolio also improved during 2015, primarily due to liquidations and continued management actions, including the transfer of CitiFinancial home equity loans to held-for-sale in the fourth quarter of 2015 and continued modifications, partially offset by increased delinquencies associated with the increase in Revolving HELOCs commencing amortization.
Given the limited market in which to sell delinquent home equity loans to date, 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 the six U.S. states and/or regions with the highest concentration of Citi’s home equity loans:
In billions of dollarsDecember 31, 2015December 30, 2014
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$6.2
29%1.7%6%731
$7.4
28%1.5%10%729
NY/NJ/CT(4)
6.0
28
2.5
8
725
6.7
25
2.4
11
721
FL(4)
1.5
7
2.0
24
715
1.8
7
2.2
36
707
VA/MD1.3
6
2.0
23
715
1.6
6
1.6
28
706
IL(4)
0.9
4
1.6
29
722
1.1
4
1.4
35
716
IN/OH/MI(4)
0.5
3
1.9
24
703
0.8
3
1.7
31
688
Other5.1
24
1.7
12
712
7.1
27
1.7
19
702
Total$21.5
100%2.0%12%722
$26.6
100%1.8%17%715

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
Asia includes loans and leases in Canada and Puerto Rico and loans subject to LTSCs. Excludes balancescertain EMEA countries 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.    all periods presented.

Asia GCB issues proprietary and co-branded cards. As shown in the chart above, the 90+ days past due delinquency rate remained broadly stable quarter-over-quarter and year-over-year, driven by the mature and well-diversified cards portfolios. The net credit loss rate decreased quarter-over-quarter, as the prior quarter reflected a higher rate due to the conversion of an acquired portfolio in Australia, while the net credit loss rate was broadly stable year-over-year.
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 based on end-of-period receivables. FICO scores are updated monthly for substantially all of the portfolio and on a quarterly basis for the remaining portfolio.


Citi-Branded
FICO distributionDec 31, 2018Sept. 30, 2018Dec 31, 2017
  > 76043%42%42%
   680–76040
41
41
  < 68017
17
17
Total100%100%100%

Citi Retail Services
FICO distributionDec 31, 2018Sept. 30, 2018Dec 31, 2017
   > 76025%24%24%
   680–76042
43
43
  < 68033
33
33
Total100%100%100%

Both the Citi-branded cards’ and Citi retail services’ cards FICO distributions remained stable as of year-end 2018.
For additional information on FICO scores, see Note 14 to the Consolidated Financial Statements.




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ADDITIONAL CONSUMER CREDIT DETAILSAdditional Consumer Credit Details

Consumer Loan Delinquency Amounts and Ratios
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
December 31,December 31,December 31,December 31,December 31,December 31,
In millions of dollars, except EOP loan amounts in billions20152015201420132015201420132018201820172016201820172016
Citicorp(3)(4)
    
Global Consumer Banking(3)(4)
    
Total$285.3
$2,213
$2,566
$2,872
$2,512
$2,688
$3,054
$315.2
$2,619
$2,478
$2,293
$2,902
$2,762
$2,540
Ratio 0.78%0.88%0.98%0.88%0.93%1.04% 0.83%0.80%0.79%0.92%0.89%0.87%
Retail banking         
Total$146.8
$577
$816
$927
$795
$854
$970
$145.7
$485
$515
$474
$790
$822
$726
Ratio 0.40%0.55%0.63%0.55%0.58%0.66% 0.33%0.35%0.35%0.54%0.57%0.54%
North America51.8
165
225
257
221
212
205
56.8
180
199
181
282
306
214
Ratio 0.33%0.49%0.60%0.44%0.46%0.48% 0.32%0.36%0.33%0.50%0.55%0.39%
Latin America24.0
235
397
460
224
290
368
19.7
127
130
136
201
195
185
Ratio 0.98%1.52%1.60%0.93%1.11%1.28% 0.64%0.65%0.76%1.02%0.98%1.03%
Asia(5)
71.0
177
194
210
350
352
397
69.2
178
186
157
307
321
327
Ratio 0.25%0.25%0.28%0.49%0.46%0.53% 0.26%0.27%0.25%0.44%0.46%0.52%
Cards         
Total$138.5
$1,636
$1,750
$1,945
$1,717
$1,834
$2,084
$169.5
$2,134
$1,963
$1,819
$2,112
$1,940
$1,814
Ratio 1.18%1.23%1.33%1.24%1.29%1.42% 1.26%1.19%1.17%1.25%1.18%1.17%
North America—Citi-branded67.2
538
593
681
523
568
661
North America—Citi-branded
91.8
812
768
748
755
698
688
Ratio 0.80%0.88%0.97%0.78%0.84%0.94% 0.88%0.85%0.87%0.82%0.77%0.80%
North America—Citi retail services46.1
705
678
771
773
748
830
North America—Citi retail services
52.7
952
845
761
932
830
777
Ratio 1.53%1.46%1.67%1.68%1.61%1.79% 1.81%1.72%1.61%1.77%1.69%1.64%
Latin America7.5
213
284
290
196
262
298
5.7
171
151
130
170
153
125
Ratio 2.84%3.05%2.79%2.61%2.82%2.87% 3.00%2.80%2.71%2.98%2.83%2.60%
Asia(5)
17.7
180
195
203
225
256
295
19.3
199
199
180
255
259
224
Ratio 1.02%1.05%1.05%1.27%1.38%1.52% 1.03%1.01%1.03%1.32%1.31%1.28%
Citi Holdings(6)(7)
     
Corporate/Other—Consumer(6)
    
Total$44.3
$840
$2,073
$2,857
$960
$1,831
$2,890
$15.3
$382
$557
$834
$362
$542
$735
Ratio 2.00%2.77%3.12%2.28%2.45%3.15% 2.62%2.57%2.62%2.48%2.50%2.31%
International3.8
70
110
263
103
168
366
—
—
43
94
—
40
49
Ratio 1.84%1.38%1.93%2.71%2.10%2.69% —%2.69%3.92%—%2.50%2.04%
North America40.5
770
1,963
2,594
857
1,663
2,524
15.3
382
514
740
362
502
686
Ratio 2.01%2.94%3.33%2.24%2.49%3.24% 2.62%2.56%2.52%2.48%2.50%2.33%
Other (8)
0.2
    
Total Citigroup$329.8
$3,053
$4,639
$5,729
$3,472
$4,519
$5,944
$330.5
$3,001
$3,035
$3,127
$3,264
$3,304
$3,275
Ratio 0.94%1.27%1.49%1.06%1.24%1.54% 0.91%0.91%0.97%0.99%1.00%1.01%
(1)End-of-period (EOP) loans include interest and fees on credit cards.
(2)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(3)
The 90+ days past due balances for North America—Citi-brandedand North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(4)
The loans 90+ days past due and 30–89 days past due and related ratios forCiticorp North America GCBexclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entitiesagencies since the potential loss predominantly resides within the U.S. government-sponsored entities.agencies. The amounts excluded for loans 90+ days past due and (EOP loans) were $491$201 million ($1.10.6 billion), $562$298 million ($1.10.7 billion) and $690$327 million ($1.20.7 billion) at December 31, 2015, 20142018, 2017 and 2013,2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $87$78 million, $122$88 million and $141$70 million at December 31, 2015, 20142018, 2017 and 2013,2016, respectively.
(5)
For reporting purposes,Asia Asia GCBincludes the results of operations ofdelinquencies and loans in certain EMEA GCB countries for all periods presented.
(6)
The loans 90+ days and 30–89 days past due and related ratios for Citi Holdings North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entitiesagencies since the potential loss predominantly resides within the U.S. government-sponsored entities.agencies. The amounts excluded for loans 90+ days past

74


due (and EOP loans) for each period were $1.5 billion ($2.2 billion), $2.2 billion ($4.0 billion) and $3.3 billion ($6.4 billion) at December 31, 2015, 2014 and 2013, due and (EOP loans) were $0.3 billion ($.07 billion), $0.6 billion ($1.1 billion) and $0.9 billion ($1.4 billion) at December 31, 2018, 2017 and 2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.2 billion, $0.5 billion and $1.1 billion at December 31, 2015, 2014 and 2013, respectively.
(7)
The December 31, 2015, 2014 and 2013 loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $11 million, $14 million(EOP loans have the same adjustment as above) were $0.1 billion, $0.1 billion and $0.9$0.2 billion respectively, of loans that are carried at fair value.
December 31, 2018, 2017 and 2016, respectively.
(8)
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)(3)
Average
loans(1)
Net credit losses(2)(3)
In millions of dollars, except average loan amounts in billions20152015201420132018201820172016
Citicorp  
Global Consumer Banking  
Total$281.3
$6,029
$6,860
$7,017
$306.2
$6,920
$6,562
$5,610
Ratio 2.14%2.36%2.52% 2.26%2.21%2.01%
Retail banking  
Total$148.1
$1,241
$1,366
$1,274
$146.0
$949
$1,023
$1,007
Ratio 0.84%0.90%0.89% 0.65%0.72%0.72%
North America49.5
152
143
186
56.0
$138
$194
$205
Ratio 0.31%0.31%0.44% 0.25%0.35%0.38%
Latin America25.0
764
907
816
20.3
$567
$584
$541
Ratio 3.06%3.20%2.90% 2.79%2.92%2.85%
Asia(4)
73.6
325
316
272
69.7
$244
$245
$261
Ratio 0.44%0.41%0.38% 0.35%0.37%0.39%
Cards  
Total$133.2
$4,788
$5,494
$5,743
$160.2
$5,971
$5,539
$4,603
Ratio 3.59%3.96%4.26% 3.72%3.60%3.30%
North America—Citi-branded64.0
1,892
2,197
2,555
North America—Citi-branded
87.5
$2,602
$2,447
$1,909
Ratio 2.96%3.31%3.72% 2.97%2.90%2.61%
North America—Retail services43.4
1,709
1,866
1,895
North America—Retail services
48.3
$2,357
$2,155
$1,805
Ratio 3.94%4.32%4.92% 4.88%4.73%4.12%
Latin America8.2
785
954
794
5.5
$586
$533
$499
Ratio 9.57%9.54%9.57% 10.65%10.06%9.78%
Asia(4)
17.6
402
477
499
18.9
$426
$404
$390
Ratio 2.28%2.51%2.57% 2.25%2.17%2.24%
Citi Holdings(3)
 
Corporate/Other—Consumer(3)
 
Total$61.6
$1,035
$1,819
$3,239
$18.7
$24
$156
$438
Ratio 1.68%2.01%2.98% 0.14%0.57%1.06%
International5.0
173
261
411
0.7
$42
$82
$269
Ratio 3.46%2.21%2.91% 6.00%4.32%5.17%
North America56.6
862
1,558
2,828
18.0
$(18)$74
$169
Ratio 1.52%1.97%2.99% NM
0.29%0.47%
Other(5)
—
4
6
6
—
$—
$(21)$—
Total Citigroup$342.9
$7,068
$8,685
$10,262
$324.9
$6,944
$6,697
$6,048
Ratio 2.06%2.28%2.64% 2.14%2.07%1.88%
(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 theCitigroup's entry into an agreementagreements in 2016 to sell OneMain Financial (OneMain), OneMain wasits Argentina and Brazil consumer banking businesses, these businesses were classified as held-for-sale (HFS) beginning March 31, 2015. AsHFS at the end of the fourth quarter of 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 $350$128 million and $42 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during 2015.2017 and 2016, respectively. Accordingly, these NCLs are not included in this table. Loans HFS are excluded from this table as they are recordedThe sales of the Argentina and Brazil consumer banking businesses were completed in Other assets.2017.
(4)
For reporting purposes, Asia GCB includes the results of operations ofaverage loans and NCLs in certain EMEA GCB countries for all periods presented.
(5)
Represents2017 NCLs on loans classified as Consumer loans on the Consolidated Balance Sheet that are not included in the Citi Holdings consumer credit metrics.
reflected a recovery related to legacy assets.

NM Not meaningful

75



Loan Maturities and Fixed/Variable Pricing
U.S. Consumer Mortgages
In millions of dollars at year end 2015
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$126
$724
$57,545
$58,395
Home equity loans7,638
8,658
5,590
21,886
Total$7,764
$9,382
$63,135
$80,281
Fixed/variable pricing of U.S. consumer mortgage loans with maturities due after one year    
Loans at fixed interest rates $1,195
$43,666
 
Loans at floating or adjustable interest rates 8,187
19,468
 
Total $9,382
$63,134
 
In millions of dollars at year-end 2018
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$74
$509
$47,897
$48,480
Home equity loans36
584
11,027
11,647
Total$110
$1,093
$58,924
$60,127
Fixed/variable pricing of U.S. consumer mortgage loans with maturities due after one year    
Loans at fixed interest rates $934
$37,503
 
Loans at floating or adjustable interest rates 159
21,421
 
Total $1,093
$58,924
 



76


CORPORATE CREDITCorporate Credit
Consistent with its overall strategy, Citi’s corporate clients are typically large, multi-nationalmultinational corporations whichthat value the depth and breadth of 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 forthpresents 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, 2015At September 30, 2015At December 31, 2014At December 31, 2018At September 30, 2018At December 31, 2017
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
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings
(on-balance sheet)(1)
$98
$97
$25
$220
$95
$99
$30
$224
$95
$85
$33
$213
$128
$110
$20
$258
$131
$103
$20
$254
$127
$96
$22
$245
Unfunded lending commitments
(off-balance sheet)(2)
99
231
26
356
91
222
36
349
92
207
33
332
106
245
19
370
115
253
25
393
111
222
20
353
Total exposure$197
$328
$51
$576
$186
$321
$66
$573
$187
$292
$66
$545
$234
$355
$39
$628
$246
$356
$45
$647
$238
$318
$42
$598

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

Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region based on Citi’s internal management geography:
December 31,
2015		September 30,
2015		December 31,
2014		December 31,
2018		September 30,
2018		December 31,
2017
North America56%56%55%55%55%54%
EMEA25
25
25
27
27
27
Asia12
12
13
11
11
12
Latin America7
7
7
7
7
7
Total100%100%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 has also has incorporated environmental factors such as climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an
obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
Total ExposureTotal exposure
December 31,
2015		September 30,
2015		December 31,
2014		December 31,
2018		September 30,
2018		December 31,
2017
AAA/AA/A48%49%49%49%48%49%
BBB35
35
33
34
34
34
BB/B15
15
16
16
17
16
CCC or below2
1
1
1
1
1
Unrated—
—
1
Total100%100%100%100%100%100%

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


77


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,
2015		September 30,
2015		December 31,
2014		December 31,
2018		September 30,
2018		December 31,
2017
Transportation and
industrial
20%21%21%21%21%22%
Consumer retail and
health
16
16
17
16
16
16
Technology, media
and telecom
12
10
9
13
14
12
Power, chemicals,
commodities and
metals and mining
11
10
10
Energy(1)
9
9
10
Power, chemicals,
metals and mining
10
11
10
Banks/broker-dealers/finance companies7
7
8
8
8
8
Real estate6
6
6
8
8
8
Energy and commodities8
8
8
Public sector5
5
5
Insurance and special purpose entities4
4
5
Hedge funds5
6
5
4
4
4
Insurance and special
purpose entities
5
6
5
Public sector5
5
5
Other industries4
4
4
3
1
2
Total100%100%100%100%100%100%

Note: Total exposure includes direct outstandings and unfunded lending commitments.
(1) In addition to this exposure, Citi has energy-related exposure within the “Public sector” (e.g., energy-related state-owned entities) and “Transportation and industrial” sector (e.g., off-shore drilling entities) included in the table above. As of December 31, 2015, Citi’s total exposure to these energy-related entities remained largely consistent with the prior quarter, at approximately $6 billion, of which approximately $4 billion consisted of direct outstanding funded loans.

Exposure to the Energy and Energy-Related Sector
As of December 31, 2015, Citi’s total corporate credit exposure to the energy and energy-related sector (see footnote 1 to the table above) was approximately $58 billion, with approximately $21 billion, or 3%, of Citi’s total outstanding loans consisting of direct outstanding funded loans. This compared to approximately $61 billion of total corporate credit exposure and $21 billion of direct outstanding funded loans as of September 30, 2015. In addition, as of December 31, 2015, approximately 72% of Citi’s total corporate credit energy and energy-related exposure was in the United States, United Kingdom and Canada (compared to approximately 73% at September 30, 2015). Also as of December 31, 2015, approximately 80% of Citi’s total energy and energy-related exposures were rated investment grade (compared to approximately 79% as of September 30, 2015).
During the fourth quarter of 2015, Citi built additional energy and energy-related loan loss reserves of approximately $250 million, and incurred approximately $75 million of net credit losses in these portfolios. For the full year 2015, Citi built net loan loss reserves against energy and energy-related exposures by approximately $530
million, and incurred net credit losses of approximately $95 million. As of December 31, 2015, Citi held loan loss reserves against its funded energy and energy-related loans equal to approximately 3.8% of these loans. For additional information on energy and energy-related reserving actions in ICG, see “Institutional Clients Group” above.

Exposure to Banks, Broker-Dealers and Finance Companies
As of December 31, 2015, Citi’s total corporate credit exposure to banks, broker-dealers and finance companies was approximately $42 billion, of which $29 billion represented direct outstanding funded loans, or 5% of Citi’s total outstanding loans. These amounts were mostly unchanged when compared to $43 billion of total corporate credit exposure and $29 billion of direct outstanding funded loans to banks, broker-dealers and finance companies as of September 30, 2015. Also as of December 31, 2015, approximately 84% of Citi’s bank, broker-dealers and finance companies total corporate credit exposure was rated investment grade. 
Included in the amounts noted above, Citi’s total corporate credit exposure to banks was approximately $26 billion as of December 31, 2015 and was not concentrated in any particular geographic region.  Of this exposure, more than 70% had a tenor of less than 12 months. As of December 31, 2015, Citi’s direct outstanding funded loans to banks was $21 billion, or 3% of Citi’s total outstanding loans.
In addition to the corporate lending exposures described above, Citi has additional exposure to banks, broker-dealers and finance companies in the form of derivatives and securities financing transactions, which are typically executed as repurchase and reverse repurchase agreements or securities loaned or borrowed arrangements.  As of December 31, 2015, Citi had net derivative credit exposure to banks, broker dealers and finance companies of approximately $5 billion after the application of netting arrangements, legally enforceable margin agreements and other collateral arrangements. The collateral considered as part of the net derivative credit exposure was represented primarily by high quality, liquid assets. As of December 31, 2015, Citi had net credit exposure to banks, broker-dealers and finance companies in the form of securities financing transactions of $7 billion after the application of netting and collateral arrangements. The collateral considered in the net exposure for the securities financing transactions exposure was primarily cash and highly liquid investment grade securities.


78


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 onin the Consolidated Statement of Income.
At December 31, 2015,2018, September 30, 20152018 and December 31, 2014, $34.52017, $30.8 billion, $33.0$26.9 billion and $27.6$16.3 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,
2015		September 30,
2015		December 31,
2014		December 31,
2018		September 30,
2018		December 31,
2017
AAA/AA/A21%24%24%35%34%23%
BBB48
44
42
50
47
43
BB/B27
28
28
14
17
31
CCC or below4
4
6
1
2
3
Total100%100%100%100%100%100%

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

Industry of Hedged Exposure
December 31,
2015		September 30,
2015		December 31,
2014		December 31,
2018		September 30,
2018		December 31,
2017
Transportation and industrial28%28%30%23%25%27%
Technology, media and telecom17
15
12
Consumer retail and health17
15
11
16
14
10
Technology, media and telecom16
15
15
Energy13
13
10
Power, chemicals, commodities and metals and mining12
13
15
Power, chemicals, metals and mining15
14
14
Energy and commodities11
11
15
Insurance and special purpose entities6
4
2
Banks/broker-dealers/finance companies4
5
6
Public sector4
4
6
3
7
12
Insurance and special purpose entities5
6
4
Banks/broker-dealers4
4
7
Real estate4
4
1
Other industries1
2
2
1
1
1
Total100%100%100%100%100%100%





















Loan Maturities and Fixed/Variable Pricing of Corporate
Loans
In millions of dollars at December 31, 2015
Due
within
1 year
Over 1
year
but
within
5 years
Over 5
years
Total
Corporate loan 
In millions of dollars at December 31, 2018
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$19,921
$13,522
$7,704
$41,147
$19,935
$20,599
$11,529
$52,063
Financial institutions17,620
11,961
6,815
36,396
18,550
19,169
10,728
48,447
Mortgage and real estate18,187
12,345
7,033
37,565
19,193
19,832
11,099
50,124
Installment, revolving credit and other12,730
13,155
7,362
33,247
Lease financing862
585
333
1,780
546
566
317
1,429
Installment, revolving credit, other16,157
10,968
6,249
33,374
In offices outside the U.S.90,365
34,440
13,427
138,232
109,497
51,280
8,444
169,221
Total corporate loans$163,112
$83,821
$41,561
$288,494
$180,451
$124,601
$49,479
$354,531
Fixed/variable
pricing of corporate
loans with
maturities due after
one year(1)
  
Loans at fixed
interest rates
 $9,858
$11,192
  $23,779
$16,595
 
Loans at floating or
adjustable interest
rates
 73,963
30,369
  100,822
32,884
 
Total $83,821
$41,561
  $124,601
$49,479
 

(1)Based on contractual terms. Repricing characteristics may effectively
be modified from time to time using derivative contracts. See Note 2322
to the Consolidated Financial Statements.



79


ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILSAdditional Consumer and Corporate Credit Details

Loans Outstanding
December 31,December 31,
In millions of dollars2015201420132012201120182017201620152014
Consumer loans
  
In U.S. offices
  
Mortgage and real estate(1)
$80,281
$96,533
$108,453
$125,946
$139,177
$60,127
$65,467
$72,957
$80,281
$96,533
Installment, revolving credit, and other3,480
14,450
13,398
14,070
15,616
Installment, revolving credit and other3,398
3,398
3,395
3,480
14,450
Cards143,788
139,006
132,654
112,800
112,982
Commercial and industrial8,256
7,840
7,159
6,407
5,895
Total$215,569
$215,711
$216,165
$202,968
$229,860
In offices outside the U.S. 
Mortgage and real estate(1)
$43,379
$44,081
$42,803
$47,062
$54,462
Installment, revolving credit and other27,609
26,556
24,887
29,480
31,128
Cards112,800
112,982
115,651
111,403
117,908
25,400
26,257
23,783
27,342
32,032
Commercial and industrial6,407
5,895
6,592
5,344
4,766
17,773
20,238
16,568
17,410
18,294
Lease financing—
—
—
—
1
49
76
81
362
546

$202,968
$229,860
$244,094
$256,763
$277,468
In offices outside the U.S. 
Mortgage and real estate(1)
$47,062
$54,462
$55,511
$54,709
$52,052
Installment, revolving credit, and other29,480
31,128
33,182
33,958
32,673
Cards27,342
32,032
36,740
40,653
38,926
Commercial and industrial21,679
22,561
24,107
22,225
21,915
Lease financing427
609
769
781
711

$125,990
$140,792
$150,309
$152,326
$146,277
Total

$114,210
$117,208
$108,122
$121,656
$136,462
Total consumer loans$328,958
$370,652
$394,403
$409,089
$423,745
$329,779
$332,919
$324,287
$324,624
$366,322
Unearned income(2)
825
(682)(572)(418)(405)708
737
776
830
(679)
Consumer loans, net of unearned income$329,783
$369,970
$393,831
$408,671
$423,340
$330,487
$333,656
$325,063
$325,454
$365,643
Corporate loans
  
In U.S. offices
  
Commercial and industrial$41,147
$35,055
$32,704
$26,985
$20,830
$52,063
$51,319
$49,586
$46,011
$39,542
Loans to financial institutions36,396
36,272
25,102
18,159
15,113
Financial institutions48,447
39,128
35,517
36,425
36,324
Mortgage and real estate(1)
37,565
32,537
29,425
24,705
21,516
50,124
44,683
38,691
32,623
27,959
Installment, revolving credit, and other33,374
29,207
34,434
32,446
33,182
Installment, revolving credit and other33,247
33,181
34,501
33,423
29,246
Lease financing1,780
1,758
1,647
1,410
1,270
1,429
1,470
1,518
1,780
1,758

$150,262
$134,829
$123,312
$103,705
$91,911
Total

$185,310
$169,781
$159,813
$150,262
$134,829
In offices outside the U.S.
  
Commercial and industrial$78,420
$79,239
$82,663
$82,939
$79,764
$94,701
$93,750
$81,882
$82,689
$83,506
Loans to financial institutions28,704
33,269
38,372
37,739
29,794
Financial institutions36,837
35,273
26,886
28,704
33,269
Mortgage and real estate(1)
5,106
6,031
6,274
6,485
6,885
7,376
7,309
5,363
5,106
6,031
Installment, revolving credit, and other20,853
19,259
18,714
14,958
14,114
Installment, revolving credit and other25,684
22,638
19,965
20,853
19,259
Lease financing238
356
527
605
568
103
190
251
303
419
Governments and official institutions4,911
2,236
2,341
1,159
1,576
4,520
5,200
5,850
4,911
2,236

$138,232
$140,390
$148,891
$143,885
$132,701
Total

$169,221
$164,360
$140,197
$142,566
$144,720
Total corporate loans$288,494
$275,219
$272,203
$247,590
$224,612
$354,531
$334,141
$300,010
$292,828
$279,549
Unearned income(3)
(660)(554)(562)(797)(710)(822)(763)(704)(665)(557)
Corporate loans, net of unearned income$287,834
$274,665
$271,641
$246,793
$223,902
$353,709
$333,378
$299,306
$292,163
$278,992
Total loans—net of unearned income$617,617
$644,635
$665,472
$655,464
$647,242
$684,196
$667,034
$624,369
$617,617
$644,635
Allowance for loan losses—on drawn exposures(12,626)(15,994)(19,648)(25,455)(30,115)(12,315)(12,355)(12,060)(12,626)(15,994)
Total loans—net of unearned income
and allowance for credit losses		$604,991
$628,641
$645,824
$630,009
$617,127
$671,881
$654,679
$612,309
$604,991
$628,641
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
2.06%2.50%2.97%3.92%4.69%1.81%1.86%1.94%2.06%2.50%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
3.01%3.68%4.34%5.57%6.45%3.01%2.96%2.88%3.02%3.71%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.96%0.89%0.97%1.14%1.31%0.67%0.76%0.91%0.97%0.90%
(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 16,in 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.

80


Details of Credit Loss Experience
In millions of dollars2015201420132012201120182017201620152014
Allowance for loan losses at beginning of period$15,994
$19,648
$25,455
$30,115
$40,655
$12,355
$12,060
$12,626
$15,994
$19,648
Provision for loan losses  
Consumer$6,265
$6,693
$7,603
$10,371
$12,075
$7,288
$7,363
$6,321
$6,228
$6,699
Corporate843
135
1
87
(739)66
140
428
880
129
$7,108
$6,828
$7,604
$10,458
$11,336
Total

$7,354
$7,503
$6,749
$7,108
$6,828
Gross credit losses  
Consumer  
In U.S. offices(1)(2)
$5,500
$6,780
$8,402
$12,226
$15,767
In U.S. offices$5,989
$5,736
$4,970
$5,500
$6,780
In offices outside the U.S. 3,210
3,901
3,998
4,139
4,932
2,405
2,447
2,672
3,192
3,874
Corporate  
Commercial and industrial, and other  
In U.S. offices112
66
125
154
392
103
151
274
112
66
In offices outside the U.S. 164
283
144
305
649
154
331
256
182
310
Loans to financial institutions  
In U.S. offices—
2
2
33
215
3
3
5
—
2
In offices outside the U.S. 4
13
7
68
391
7
1
5
4
13
Mortgage and real estate  
In U.S offices8
8
62
59
182
2
2
34
8
8
In offices outside the U.S.43
55
29
21
171
2
2
6
43
55
$9,041
$11,108
$12,769
$17,005
$22,699
Total

$8,665
$8,673
$8,222
$9,041
$11,108
Credit recoveries(3)(1)
  
Consumer  
In U.S. offices$975
$1,122
$1,073
$1,302
$1,467
$922
$903
$980
$975
$1,122
In offices outside the U.S. 667
874
1,065
1,055
1,159
528
583
614
659
853
Corporate  
Commercial and industrial, and other  
In U.S. offices22
64
62
243
175
37
20
23
22
64
In offices outside the U.S. 59
63
52
95
93
52
86
41
67
84
Loans to financial institutions  
In U.S. offices7
1
1
—
—
—
1
1
7
1
In offices outside the U.S. 2
11
20
43
89
3
1
1
2
11
Mortgage and real estate  
In U.S. offices7
—
31
17
27
6
2
1
7
—
In offices outside the U.S. —
—
2
19
2
4
1
—
—
—
$1,739
$2,135
$2,306
$2,774
$3,012
Total

$1,552
$1,597
$1,661
$1,739
$2,135
Net credit losses  
In U.S. offices$4,609
$5,669
$7,424
$10,910
$14,887
$5,132
$4,966
$4,278
$4,609
$5,669
In offices outside the U.S. 2,693
3,304
3,039
3,321
4,800
1,981
2,110
2,283
2,693
3,304
Total$7,302
$8,973
$10,463
$14,231
$19,687
$7,113
$7,076
$6,561
$7,302
$8,973
Other—net(4)(5)(6)(7)(8)(9)(10)
$(3,174)$(1,509)$(2,948)(887)$(2,189)
Other—net(2)(3)(4)(5)(6)(7)(8)
$(281)$(132)$(754)$(3,174)$(1,509)
Allowance for loan losses at end of period$12,626
$15,994
$19,648
$25,455
$30,115
$12,315
$12,355
$12,060
$12,626
$15,994
Allowance for loan losses as a percentage of total loans(11)
2.06%2.50%2.97%3.92%4.69%
Allowance for unfunded lending commitments(10)(12)
$1,402
$1,063
$1,229
$1,119
$1,136
Allowance for loan losses as a percentage of total loans(9)
1.81%1.86%1.94%2.06%2.50%
Allowance for unfunded lending commitments(8)(10)
$1,367
$1,258
$1,418
$1,402
$1,063
Total allowance for loan losses and unfunded lending commitments$14,028
$17,057
$20,877
$26,574
$31,251
$13,682
$13,613
$13,478
$14,028
$17,057
Net consumer credit losses$7,068
$8,685
$10,262
$14,008
$18,073
$6,944
$6,697
$6,048
$7,058
$8,679
As a percentage of average consumer loans2.06%2.28%2.63%3.43%4.15%2.14%2.07%1.88%2.08%2.31%
Net corporate credit losses$234
$288
$201
$223
$1,614
$169
$379
$513
$244
$294

81


As a percentage of average corporate loans0.08%0.10%0.08%0.09%0.79%0.05%0.12%0.17%0.08%0.10%
Allowance for loan losses at end of period(13)
 
Citicorp$10,616
$11,465
$13,174
$14,623
$16,699
Citi Holdings2,010
4,529
6,474
10,832
13,416
Total Citigroup$12,626
$15,994
$19,648
$25,455
$30,115
Allowance by type 
Allowance by type(11)
   
Consumer$9,916
$13,605
$17,064
$22,679
$27,236
$9,950
$9,869
$9,358
$9,835
$13,547
Corporate2,710
2,389
2,584
2,776
2,879
2,365
2,486
2,702
2,791
2,447
Total Citigroup$12,626
$15,994
$19,648
$25,455
$30,115
$12,315
$12,355
$12,060
$12,626
$15,994
(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 loan 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, FX translation, purchase accounting adjustments, etc.
(3)2018 includes reductions of approximately $201 million related to the sale or transfer to HFS of various loan portfolios, which includes approximately $91 million related to the transfer of various real estate loan portfolios to HFS. Additionally, 2018 includes a reduction of approximately $60 million related to FX translation.
(4)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.
(5)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.
(6)2015 includes reductions of approximately $2.4 billion related to the sale or transfer to held-for-sale (HFS)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)(7)
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)2012 includes reductions of approximately $875 million related to the sale or transfer to HFS of various U.S. loan portfolios.
(9)2011 includes reductions of approximately $1.6 billion related to the sale or transfer to HFS of various U.S. loan portfolios, approximately $240 million related to the sale of the Egg Banking PLC credit card business, approximately $72 million related to the transfer of the Citi Belgium business to held-for-sale and approximately $290 million related to FX translation.
(10)
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 the 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.
(11)(9)December 31, 2018, December 31, 2017, December 31, 2016, December 31, 2015 and December 31, 2014 December 31, 2013, December 31, 2012 and December 31, 2011 exclude $5.0$3.2 billion, $5.9$4.4 billion, $3.5 billion, $5.0 billion $5.3 billion and $5.3$5.9 billion, respectively, of loans which are carried at fair value.
(12)(10)
Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(13)(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.

82


Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
December 31, 2015December 31, 2018
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)
$4.5
$113.4
4.0%$6.5
$144.6
4.5%
North America mortgages(4)(3)
1.7
79.6
2.1
0.4
58.9
0.7
North America other
0.5
12.6
4.0
0.3
13.2
2.3
International cards1.6
26.7
6.0
1.4
24.9
5.6
International other(5)(4)
1.6
97.5
1.6
1.3
88.9
1.5
Total consumer$9.9
$329.8
3.0%$9.9
$330.5
3.0%
Total corporate2.7
287.8
1.0
2.4
353.7
0.7
Total Citigroup$12.6
$617.6
2.0%$12.3
$684.2
1.8%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $4.5$6.5 billion of loan loss reserves represented approximately 1516 months of coincident net credit loss coverage.
(3)
Of the $1.7$0.4 billion, approximately $1.6 billionnearly all of it was allocated to North America mortgages in Citi Holdings. The $1.7 billion of loan loss reserves represented approximately 97 months of coincident net credit loss coverage (for both total North AmericaCorporate/Other mortgages and Citi Holdings North America mortgages), excluding the HFS portfolios. The increased months of coverage from December 31, 2014 was primarily due to the high percentage of troubled debt restructuring (TDR) loans and related Allowance for loan losses, as well as the transfer of certain consumer mortgages and related Allowance for loan losses to HFS during the fourth quarter of 2015.
(4)Of the $1.7 billion in loan loss reserves, approximately $0.6including $0.1 billion and $1.1$0.3 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $79.6$58.9 billion in loans, approximately $72.3$56.3 billion and $7.1$2.5 billion of the loans arewere evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 1615 to the Consolidated Financial Statements.
(5)(4)Includes mortgages and other retail loans.

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%$9.9
$333.7
3.0%
Total corporate2.4
274.7
0.9
2.5
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 arewere 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 arewere 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.

83


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:category.

Non-Accrual Loans and Assets: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 receivedNon-accrual loans may still be current on corporate non-accrual loans are generally applied to loan principalinterest payments. Approximately 55%, 57% and not reflected as interest income. Approximately 45% and 40%74% of Citi’s corporate non-accrual loans were performing at December 31, 2015 and2018, September 30, 2015,2018 and December 31, 2017, respectively.
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
MortgageConsumer mortgage loans, in regulated bank entities discharged through Chapter 7 bankruptcy, other than FHAFederal 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: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.



84


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.

December 31,December 31,
In millions of dollars2015201420132012201120182017201620152014
Citicorp$3,092
$3,011
$3,777
$4,031
$3,776
Citi Holdings2,162
4,096
5,226
7,499
7,292
Total non-accrual loans$5,254
$7,107
$9,003
$11,530
$11,068
Corporate non-accrual loans(1)(2)

  
North America$818
$321
$736
$735
$1,246
$483
$784
$984
$818
$321
EMEA317
267
766
1,131
1,293
375
849
904
347
285
Latin America301
416
127
128
362
230
280
379
303
417
Asia128
179
279
339
335
223
29
154
128
179
Total corporate non-accrual loans$1,564
$1,183
$1,908
$2,333
$3,236
$1,311
$1,942
$2,421
$1,596
$1,202
Citicorp$1,511
$1,126
$1,580
$1,909
$2,217
Citi Holdings53
57
328
424
1,019
Total corporate non-accrual loans$1,564
$1,183
$1,908
$2,333
$3,236
Consumer non-accrual loans(1)(3)
  
North America$2,515
$4,412
$5,238
$7,149
$5,888
$1,241
$1,650
$2,160
$2,515
$4,411
Latin America876
1,188
1,426
1,285
1,107
715
756
711
874
1,188
Asia(4)
299
324
431
763
837
270
284
287
269
306
Total consumer non-accrual loans$3,690
$5,924
$7,095
$9,197
$7,832
$2,226
$2,690
$3,158
$3,658
$5,905
Citicorp$1,581
$1,885
$2,197
$2,122
$1,559
Citi Holdings2,109
4,039
4,898
7,075
6,273
Total consumer non-accrual loans $3,690
$5,924
$7,095
$9,197
$7,832
Total non-accrual loans$3,537
$4,632
$5,579
$5,254
$7,107
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $128 million at December 31, 2018, $167 million at December 31, 2017, $187 million at December 31, 2016, $250 million at December 31, 2015 and $421 million at December 31, 2014, $703 million at December 31, 2013, $537 million at December 31, 2012 and $511 million at December 31, 2011.2014.
(2)
Included within theThe 2016 increase in corporate non-accrual loans from December 31, 2014 to December 31, 2015 is an approximate $340 million increase during the third quarter of 2015was primarily related to Citi’s North Americaand EMEA energy and energy-related corporate credit exposure. For additional information, see “Corporate Credit Details” above.
(3) 2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans, held-for-sale (HFS)
(3)
The 2015 decline in consumer non-accrual loans includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans HFS (included within Other assets).
(4) For reporting purposes, Asia GCB includes the results of operations of EMEA GCB 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 endedYear ended
December 31, 2015December 31, 2018December 31, 2017
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$1,183
$5,924
$7,107
$1,942
$2,690
$4,632
$2,421
$3,158
$5,579
Additions1,318
5,219
6,537
2,108
3,148
5,256
1,347
3,508
4,855
Sales and transfers to held-for-sale(222)(2,249)(2,471)
Sales and transfers to HFS(119)(268)(387)(134)(379)(513)
Returned to performing(64)(1,080)(1,144)(127)(629)(756)(47)(634)(681)
Paydowns/settlements(459)(1,255)(1,714)(2,282)(1,052)(3,334)(1,400)(1,163)(2,563)
Charge-offs(145)(2,642)(2,787)(196)(1,634)(1,830)(144)(1,869)(2,013)
Other(47)(227)(274)(15)(29)(44)(101)69
(32)
Ending balance$1,564
$3,690
$5,254
$1,311
$2,226
$3,537
$1,942
$2,690
$4,632


85

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,December 31,
In millions of dollars2015201420132012201120182017201620152014
OREO(1)
  
Citicorp$71
$92
$75
$39
$65
Citi Holdings138
168
342
401
501
Total OREO$209
$260
$417
$440
$566
North America$166
$195
$305
$299
$441
$64
$89
$161
$166
$196
EMEA1
8
59
99
73
1
2
—
1
7
Latin America38
47
47
40
51
12
35
18
38
47
Asia4
10
6
2
1
22
18
7
4
10
Total OREO$209
$260
$417
$440
$566
$99
$144
$186
$209
$260
Other repossessed assets$—
$—
$—
$1
$1
Non-accrual assets—Total Citigroup

 
Non-accrual assets 
Corporate non-accrual loans$1,564
$1,183
$1,908
$2,333
$3,236
$1,311
$1,942
$2,421
$1,596
$1,202
Consumer non-accrual loans3,690
5,924
7,095
9,197
7,832
Consumer non-accrual loans(2)
2,226
2,690
3,158
3,658
5,905
Non-accrual loans (NAL)$5,254
$7,107
$9,003
$11,530
$11,068
$3,537
$4,632
$5,579
$5,254
$7,107
OREO$209
$260
$417
$440
$566
$99
$144
$186
$209
$260
Non-accrual assets (NAA)$5,463
$7,367
$9,420
$11,971
$11,635
$3,636
$4,776
$5,765
$5,463
$7,367
NAL as a percentage of total loans0.85%1.10%1.35%1.76%1.71%0.52%0.69%0.89%0.85%1.10%
NAA as a percentage of total assets0.32
0.40
0.50
0.64
0.62
0.19
0.26
0.32
0.32
0.40
Allowance for loan losses as a percentage of NAL(2)
240
225
218
221
272
Allowance for loan losses as a percentage of NAL(3)
348
267
216
240
225

 December 31,
Non-accrual assets—Total Citicorp20152014201320122011
Non-accrual loans (NAL)$3,092
$3,011
$3,777
$4,031
$3,776
OREO71
92
75
39
65
Other repossessed assetsN/A
N/A
N/A
N/A
N/A
Non-accrual assets (NAA)$3,163
$3,103
$3,852
$4,070
$3,841
NAA as a percentage of total assets0.19%0.18%0.22%0.24%0.24%
Allowance for loan losses as a percentage of NAL(2)
343
370
339
353
431
Non-accrual assets—Total Citi Holdings

   
Non-accrual loans (NAL)(3)
$2,162
$4,096
$5,226
$7,499
$7,292
OREO138
168
342
401
501
Other repossessed assets
N/A
N/A
N/A
N/A
N/A
Non-accrual assets (NAA)$2,300
$4,264
$5,568
$7,900
$7,793
NAA as a percentage of total assets3.11%3.31%3.62%4.01%3.00%
Allowance for loan losses as a percentage of NAL(2)
93
118
131
150
190
(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)
The 2015 decline in consumer non-accrual loans 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.
(3)
2015 decline includes the impact related to the transfer of approximately $8 billion of mortgage loans to Loans, held-for-sale (HFS) (included within Other assets).
N/A Not available at the Citicorp or Citi Holdings level.



86


Renegotiated Loans
The following table presents Citi’s loans modified in TDRs.TDRs:
In millions of dollarsDec. 31, 2015Dec. 31, 2014Dec. 31, 2018Dec. 31, 2017
Corporate renegotiated loans(1)
    
In U.S. offices    
Commercial and industrial(2)
$25
$12
$188
$225
Mortgage and real estate(3)
104
106
Loans to financial institutions5
—
Mortgage and real estate111
90
Financial institutions16
33
Other273
316
2
45
$407
$434
Total$317
$393
In offices outside the U.S.   
Commercial and industrial(2)
$111
$105
$226
$392
Mortgage and real estate(3)
33
1
Mortgage and real estate12
11
Financial institutions9
15
Other35
39
—
7
$179
$145
Total

$247
$425
Total corporate renegotiated loans$586
$579
$564
$818
Consumer renegotiated loans(4)(5)(6)(7)
  
Consumer renegotiated loans(3)(4)(5)
 
In U.S. offices   
Mortgage and real estate(8)
$7,058
$15,514
Mortgage and real estate(6)
$2,520
$3,709
Cards1,396
1,751
1,338
1,246
Installment and other79
580
86
169
$8,533
$17,845
Total

$3,944
$5,124
In offices outside the U.S.   
Mortgage and real estate$474
$695
$311
$345
Cards555
656
480
541
Installment and other524
586
415
427
$1,553
$1,937
Total

$1,206
$1,313
Total consumer renegotiated loans$10,086
$19,782
$5,150
$6,437
(1)Includes $258$466 million and $135$715 million of non-accrual loans included in the non-accrual assetsloans table above at December 31, 20152018 and December 31, 2014,2017, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at December 31, 2015,2018 and 2017, Citi also modified $173$0 million and $17$51 million in offices in the U.S., and $2 million and $95 million in offices outside of the U.S., 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., respectively.. These modifications were not considered TDRs because the modifications did not involve a concession (a required element of a TDR for accounting purposes).concession.
(3)In addition to modifications reflected as TDRs at December 31, 2015, Citi also modified $22 million of commercial real estate loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices inside 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).
(4)Includes $1,861$1,015 million and $3,132$1,376 million of non-accrual loans included in the non-accrual assetsloans table above at December 31, 20152018 and 2014,2017, respectively. The remaining loans are accruing interest.
(5)(4)Includes $53$17 million and $124$26 million of commercial real estate loans at December 31, 20152018 and 2014,2017, respectively.
(5)Includes $101 million and $165 million of other commercial loans at December 31, 2018 and 2017, respectively.
(6)Includes $138 million and $184 million of other commercial loans at December 31, 2015 and 2014, respectively.
(7)Smaller-balance homogeneous loans were derived from Citi’s risk management systems.
(8)Reduction in 20152018 includes $7,548$919 million related to TDRs sold or transferred to held-for-sale.HFS.







 
ForegoneForgone Interest Revenue on Loans(1) 

In millions of dollarsIn U.S.
offices		In non-
U.S.
offices		2015
total		In U.S.
offices		In non-
U.S.
offices		2018
total
Interest revenue that would have been accrued at original contractual rates(2)
$1,155
$555
$1,710
$683
$458
$1,141
Amount recognized as interest revenue(2)
691
189
880
217
128
345
Foregone interest revenue$464
$366
$830
Forgone interest revenue$466
$330
$796

(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.



87


LIQUIDITY RISK
OVERVIEWOverview
Adequate and diverse sources of funding and liquidity are essential to Citi’s businesses.  Funding and liquidity risks arise from several factors, many of which are 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.
Citi’s funding and liquidity objectives are aimed at (i) funding its existing asset base;base, (ii) growing its core businesses, in Citicorp; (iii) maintaining sufficient liquidity, structured appropriately, so that Citi can operate under a variety of adverse circumstances, including potential firm-specificCompany-specific and/or market liquidity events in varying durations and severity;severity, and (iv) satisfying regulatory requirements.requirements, including, among other things, those related to 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 two major categories:
 
Citibank;Citibank (including Citibank Europe plc, Citibank Singapore Ltd. and Citibank (Hong Kong) Ltd.); and
the 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 Citigroup Global Markets Japan Inc.) and other bank and non-bank subsidiaries that are consolidated into Citigroup as well as Banamex and Citibank (Switzerland) AG.(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-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 relative to the liquidity profile of the assets. This reduces the risk that liabilities will become due before asset maturities or monetizations through sale, and in turn generates liquidity.sale. This excess liquidity 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 isare 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’s HQLA.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.

Liquidity Monitoring and Measurement

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 performed 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.



High-Quality Liquid Assets (HQLA)
Citibank
Non-Bank and Other(1)
TotalCitibankNon-bank and OtherTotal
In billions of dollarsDec. 31, 2015Sept. 30, 2015Dec. 31, 2014Dec. 31, 2015Sept. 30, 2015Dec. 31, 2014Dec. 31, 2015Sept. 30, 2015Dec. 31, 2014Dec. 31, 2018Sept. 30, 2018Dec. 31, 2017Dec. 31, 2018Sept. 30, 2018Dec. 31, 2017Dec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Available cash$52.4
$68.9
$65.2
$16.9
$21.5
$37.5
$69.3
$90.4
$102.7
$97.1
$105.1
$94.3
$27.6
$35.1
$30.9
$124.7
$140.2
$125.2
U.S. sovereign110.1
119.6
112.4
32.4
22.4
27.1
142.4
142.0
139.5
103.2
102.2
113.2
24.0
29.7
27.9
127.2
131.9
141.1
U.S. agency/agency MBS63.8
60.1
56.4
1.0
1.0
0.8
64.9
61.1
57.1
60.0
56.4
80.8
5.8
6.5
0.5
65.8
62.9
81.3
Foreign government debt(2)(1)
84.8
87.6
97.3
14.9
15.5
12.8
99.7
103.0
110.2
76.8
74.9
80.5
6.3
9.6
16.4
83.2
84.5
96.9
Other investment grade1.0
0.8
1.8
1.2
1.5
1.4
2.2
2.4
3.1
1.5
0.2
0.7
1.3
1.1
1.2
2.8
1.3
1.9
Total$312.1
$337.0
$333.1
$66.4
$61.9
$79.6
$378.5
$398.9
$412.6
Total HQLA (AVG)$338.6
$338.8
$369.5
$65.1
$82.0
$76.9
$403.7
$420.8
$446.4

Note: AmountsThe amounts set forth in the table above are as of period end and may increase or decrease intra-period in the ordinary course of business.presented on an 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 securities financing transactions.
(1)“Non-Bank and Other” includes the parent holding company (Citigroup), Citi’s broker-dealer subsidiaries and other non-bank subsidiaries that are consolidated into Citigroup as well as Banamex and Citibank (Switzerland) AG. Banamex and Citibank (Switzerland) AG account for approximately $6 billion of the “Non-Bank and Other” HQLA balance as of December 31, 2015.
(2)Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Hong Kong, Singapore, Korea, Taiwan, India, Mexico and Brazil.
Korea
The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated LCR, pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and Mexico.


88


As set forthany amounts in excess of these minimums that are assumed to be transferable to Citigroup. While available liquidity resources at operating entities remained largely unchanged, the amount of HQLA included in the table above Citi’s HQLA decreaseddeclined both year-over-year and quarter-over-quarter as wellless HQLA in the operating entities was eligible for inclusion in the consolidated metric. Quarter-over-quarter, the decline in HQLA was also driven by balance sheet optimization as sequentially, driven primarily by reductions in long-termCiti deployed cash to fund loan growth and reduce debt and short-term borrowings, as discussed further under “Secured Funding Transactions and Short-Term Borrowings” below.levels.
Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLB)(FHLBs) of which Citi is a member, which was approximately $36$29 billion as of December 31, 20152018 (unchanged from September 30, 20152018 and compared to $26$10 billion as of December 31, 2014)2017) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.
In general, Citi’s liquidity is fungible across legal entities within its bank group. Citi’s bank subsidiaries, including Citibank, can lend to the Citi parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act. As of December 31, 2015,2018, the capacity available for lending to these entities under Section 23A was approximately $17$15 billion, largely unchanged from prior periods,both September 30, 2018 and December 31, 2017, subject to certain eligible non-cash collateral requirements.

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%.
The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
In billions of dollarsDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
HQLA$403.7
$420.8
$446.4
Net outflows334.8
350.8
364.3
LCR121%120%123%
HQLA in excess of net outflows$68.9
$70.0
$82.1

Note: The amounts are presented on an average basis.


Citi’s LCR decreased year-over-year, driven by a decline in average HQLA, partially offset by a decline in modeled net outflows. Quarter-over-quarter, Citi’s LCR increased slightly, as a decline in modeled net outflows more than offset the decline in average HQLA (see “High-Quality Liquid Assets” above).

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 and encumbrance period 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, 2018, it will need to evaluate a final version of the rules, which are expected to be released in 2019. Citi expects that the NSFR final rules implementation period will be communicated along with the final version of the rules.

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 coreGCB and ICG businesses, in Citicorp, including its loan portfolio. Citi maintains a diversified portfolio of loans to its consumer and institutional clients. The table below sets forthdetails the end-of-periodaverage loans, by business and/or segment, and the total averageend-of-period loans for each of the periods indicated:
In billions of dollarsDec. 31, 2015Sept. 30, 2015Dec. 31, 2014Dec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Global Consumer Banking  
North America$165.1
$158.5
$160.8
$195.7
$192.8
$189.7
Latin America31.5
31.4
35.5
25.1
26.3
25.7
Asia(1)
88.7
88.4
94.8
87.6
87.7
87.9
Total$285.3
$278.3
$291.1
$308.4
$306.8
$303.3
Institutional Clients Group  
Corporate lending114.9
116.5
108.4
$130.0
$130.9
$124.9
Treasury and trade solutions (TTS)71.3
73.4
76.0
77.0
76.9
77.0
Private bank, markets and securities services and other101.3
98.9
89.9
Private bank94.7
92.8
85.9
Markets and securities services and other
49.3
45.6
40.4
Total$287.5
$288.8
$274.3
$351.0
$346.2
$328.2
Total Citicorp572.8
567.1
565.4
Total Citi Holdings44.8
55.3
79.2
Total Corporate/Other
$16.1
$17.3
$22.5
Total Citigroup loans (AVG)$675.5
$670.3
$654.0
Total Citigroup loans (EOP)$617.6
$622.4
$644.6
$684.2
$674.9
$667.0
Total Citigroup loans (AVG)$625.1
$623.2
$650.8

(1)
For reporting purposes, includesIncludes loans in certain EMEA GCBcountries for all periods presented.

End-of-period loans declined 4%Loans increased 3% year-over-year and 1% quarter-over-quarter. Excludingquarter-over-quarter in the impact of FX translation, Citigroup’sfourth quarter, on both an end-of-period loans decreased 1% both year-over-year and sequentially, in each case driven by continued overall declines in Citi Holdings.as well as on an average basis.
Excluding the impact of FX translation, Citicorpaverage loans increased 5% year-over-year.4% year-over-year, driven by 6% aggregate across GCB and ICG. Within GCB, average loans grew 2% year-over-year, driven by 3%, with growth across all regions and businesses, with particular strength in North America GCB. driven by Citi-branded cards and Citi retail services, including the impact of the L.L.Bean card portfolio acquisition.
Average ICG loans increased 8% year-over-year. Withinyear-over-year, with continued growth across businesses. Corporate lending and private bank loan growth remained strong on a year-over-year basis, with corporate lending unchanged quarter-over-quarter due to the episodic nature of repayments relative to originations. TTS loans grew year-over-year, however growth moderated to 2%, despite continued strong origination volumes, as Citi utilized its distribution capabilities to optimize the balance sheet and drive returns. Finally, strong year-over-year ICGMarkets and securities services, corporate loans increased 9% loan growth was driven by both new business and the funding of prior commitments. Treasury and trade solutions loans declined 3%, as Citi continued to distribute a significant portion of its trade loan originations, which allows it to support its clients while maintaining balance sheet discipline in a continued low spread environment. Private bank, markets and securities services and other loans grew 14% year-over-year.
Citi Holdings loans decreased 43% year-over-year driven by over $21 billion of reductions in North America mortgages, including transfers to held-for-sale (see Note 15 to the Consolidated Financial Statements),Community Reinvestment Act lending activities as well as residential warehouse lending.
Average Corporate/Other loans continued to decline (down 32%), driven by the salewind-down of OneMain Financial, which was completed during the fourth quarter of 2015.legacy assets.


Deposits
Deposits are Citi’s primary and lowest cost funding source. The table below sets forthdetails the end-of-periodaverage deposits, by business and/or segment, and the total averageend-of-period deposits for each of the periods indicated:
In billions of dollarsDec. 31, 2015Sept. 30, 2015Dec. 31, 2014Dec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Global Consumer Banking  
North America$172.8
$170.9
$171.4
$180.6
$180.2
$182.7
Latin America40.8
38.8
43.7
28.2
29.4
27.8
Asia(1)
87.8
87.1
89.2
97.7
97.6
96.0
Total$301.4
$296.8
$304.3
$306.5
$307.2
$306.5
Institutional Clients Group �� 
Treasury and trade solutions (TTS)392.2
398.7
378.0
$470.8
$456.7
$444.5
Banking ex-TTS118.8
117.4
94.5
128.4
124.6
126.9
Markets and securities services76.3
78.8
82.9
86.7
86.7
82.9
Total$587.3
$594.9
$555.4
$685.9
$668.0
$654.4
Corporate/Other12.1
5.4
22.8
Total Citicorp$900.8
$897.1
$882.5
Total Citi Holdings7.1
7.1
16.8
Total Corporate/Other
$13.3
$10.6
$12.4
Total Citigroup deposits (AVG)$1,005.7
$985.7
$973.3
Total Citigroup deposits (EOP)$907.9
$904.2
$899.3
$1,013.2
$1,005.2
$959.8
Total Citigroup deposits (AVG)$908.8
$903.1
$938.7
(1)
For reporting purposes, includesIncludes deposits in certain EMEA GCBcountriesfor all periods presented.



89


End-of-period deposits increased 1% year-over-year and remained relatively unchanged quarter-over-quarter. Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 4%6% year-over-year and 1% sequentially, despite significant reductions in Citi Holdingsquarter-over-quarter. On an average basis, deposits from the prior-year period.increased 3% year-over-year and 2% quarter-over-quarter.
Excluding the impact of FX translation, Citicorpaverage deposits grewincreased 5% year-over-year. Within Citicorp,In GCB, deposits increased 2% year-over-year,1%, as strong growth in Asia GCB and Latin America GCB more than offset a 1% decline in North America GCB, as clients transferred cash into investment accounts.
In ICG, deposits increased 6%, primarily driven by 5% growth in international deposits. ICG deposits increased 9% year-over-year, with continued high-quality deposit growth in treasury and trade solutions and the private bank.
The decline in Citi Holdings deposits from the prior-year period was primarily driven by the now-complete transfer of Morgan Stanley Smith Barney (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 U.S. LCR rules (as discussed under “Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)” below). Citi defines the liquidity value of deposits as the percentage of deposits assumed to remain following a 30-day period of liquidity stress. As discussed below, under the LCR rules, deposits are assigned liquidity values based on expected behavior under stress, determined by the type of deposit and the type of client. Generally, the LCR rules prioritize transactional and operating accounts of consumers (including retail and commercial banking deposits) and corporations respectively, while assigning lower liquidity values to non-operating deposit balances of financial institutions. As of December 31, 2015, Citi’s total deposits had an aggregate liquidity value of approximately 73%, down slightly sequentially and unchanged from December 31, 2014. Within the 73% total liquidity value as of year-end 2015, Citi’s GCB deposits had a liquidity value of approximately 87% and ICG deposits, including Corporate/Other, had a liquidity value of approximately 66%.TTS.

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) with a remaining life greater than one year (excluding remaining trust preferred securities outstanding) was approximately 6.96.8 years as of December 31, 2015,2018, a slight decline from 6.9 years as of September 30, 2018 and unchanged from the prior-year period and a slight increase sequentially, due in part to the issuance of longer-dated debt securities and the redemption of shorter-dated debt securities during the fourth quarter of 2015.prior year.
Citi’s long-term debt outstanding at the parent company includes senior and subordinated debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally
driven by customer demand and supplements benchmark debt issuance as a source of funding for Citi’s parentnon-bank entities.
Citi’s long-term debt at the bank also includes benchmark senior debt, FHLB advances and securitizations.

Long-Term Debt Outstanding
The following table sets forthdetails Citi’s end-of-period total long-term debt outstanding for each of the periodsdates indicated:
In billions of dollarsDec. 31, 2015Sept. 30, 2015Dec. 31, 2014Dec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Parent





Parent and other(1)
   
Benchmark debt:  
Senior debt$90.3
$99.5
$97.9
$104.6
$107.2
$109.8
Subordinated debt26.9
26.8
25.5
24.5
25.1
26.9
Trust preferred1.7
1.7
1.7
1.7
1.7
1.7
Customer-related debt
37.1
35.4
30.7
Structured debt21.8
23.1
22.3
Non-structured debt3.0
3.6
5.9
Local country and other(1)
2.4
2.1
4.7
Total parent$146.1
$156.8
$158.0
Local country and other(2)
2.9
3.8
1.8
Total parent and other$170.8
$173.2
$170.9
Bank





  
FHLB borrowings$17.8
$17.3
$19.8
$10.5
$10.5
$19.3
Securitizations(2)
30.9
32.0
38.1
Local country and other(1)
6.5
7.4
7.2
Securitizations(3)
28.4
27.4
30.3
CBNA benchmark senior debt18.8
21.0
12.5
Local country and other(2)
3.5
3.2
3.7
Total bank$55.2
$56.7
$65.1
$61.2
$62.1
$65.8
Total long-term debt$201.3
$213.5
$223.1
$232.0
$235.3
$236.7
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)“Parent and other” 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 December 31, 2018, “parent and other” included $27.0 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
(2)(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Citi’s total long-term debt outstanding decreased both year-over-year and quarter-over-quarter,quarter-over-quarter. The decrease year-over-year was primarily due to significant buybacks ofdriven by a decline in long-term debt at the bank, as declines in FHLB advances more than offset an increase in unsecured senior and subordinatedbenchmark debt. At the parent, long-term debt remained largely unchanged year-over-year, as declines in unsecured benchmark debt were largely offset by increases in customer-related debt. Quarter-over-quarter, the decrease was driven primarily by declines in unsecured senior debt at the parent level duringand the fourth quarter of 2015 (discussed below), as well as continued reductions in securitizations at the bank entities.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 and assist it in meeting regulatory changes and requirements.costs. During 2015,2018, Citi repurchased an aggregate of approximately $21.1$5.4 billion of its outstanding long-term debt, including early redemptions of FHLB advances. Of this amount, approximately $11.5 billion was repurchased in the fourth quarter of 2015 as Citi completed significant asset sales in Citi Holdings, including the OneMain Financial business. Accordingly, while Citi anticipates continued liability management activities in 2016, it does not currently expect repurchases to remain at the level experienced in 2015.






90


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:
201520142013201820172016
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent











Parent and other      
Benchmark debt:          
Senior debt$23.9
$20.2
$18.9
$18.6
$25.6
$17.8
$18.5
$14.8
$14.1
$21.6
$14.9
$26.0
Subordinated debt4.0
7.5
5.0
2.8
1.0
4.6
2.9
0.6
1.6
1.3
3.2
4.0
Trust preferred—
—
2.1
—
6.4
—
Customer-related debt:

   
Structured debt7.7
9.1
7.5
9.5
8.5
7.3
Non-structured debt2.2
0.4
2.4
1.4
3.7
1.0
Customer-related debt6.6
16.9
7.6
12.3
10.2
10.5
Local country and other0.4
1.9
2.4
3.7
0.8
—
1.2
2.3
1.2
0.1
2.1
2.2
Total parent$38.2
$39.1
$38.3
$36.0
$46.0
$30.7
Total parent and other$29.2
$34.6
$24.5
$35.3
$30.4
$42.7
Bank











     
FHLB borrowings$4.0
$2.0
$8.0
$13.9
$11.8
$9.5
$15.8
$7.9
$7.8
$5.5
$10.5
$14.3
Securitizations7.9
0.8
8.9
13.6
2.4
11.5
8.6
6.8
5.3
12.2
10.7
3.3
CBNA benchmark senior debt2.3
8.5
—
12.6
—
—
Local country and other2.8
2.7
3.7
3.3
3.6
2.7
2.2
2.9
3.4
2.4
3.9
3.4
Total bank$14.7
$5.5
$20.6
$30.8
$17.8
$23.7
$28.9
$26.1
$16.5
$32.7
$25.1
$21.0
Total$52.9
$44.6
$58.9
$66.8
$63.8
$54.4
$58.1
$60.7
$41.0
$68.0
$55.5
$63.7

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) in 2015,2018, as well as its aggregate expected annual long-term debt maturities as of December 31, 2015:2018:
Maturities
2015
 Maturities
In billions of dollars20162017201820192020ThereafterTotal201820192020202120222023ThereafterTotal
Parent















Parent and other   
Benchmark debt:   
   
Senior debt$23.9
$11.8
$14.3
$17.9
$13.6
$6.4
$26.3
$90.3
$18.5
$14.1
$8.8
$14.1
$8.1
$12.5
$46.9
$104.6
Subordinated debt4.0
1.5
2.3
1.1
1.3
—
20.7
26.9
2.9
—
—
—
0.7
1.1
22.6
24.5
Trust preferred—
—
—
—
—
—
1.7
1.7
—
—
—
—
—
—
1.7
1.7
Customer-related debt:   
Structured debt7.7
4.9
2.5
2.4
1.6
2.3
8.1
21.8
Non-structured debt2.2
0.5
0.5
0.4
0.2
0.2
1.2
3.0
Customer-related debt6.6
3.7
6.8
3.4
2.6
2.8
17.8
37.1
Local country and other0.4
0.3
0.1
0.3
0.2
—
1.5
2.4
1.2
2.0
0.1
0.2
0.1
—
0.7
2.9
Total parent$38.2
$19.0
$19.7
$22.1
$16.9
$8.9
$59.5
$146.1
Total parent and other$29.2
$19.8
$15.7
$17.7
$11.5
$16.4
$89.7
$170.8
Bank















   
FHLB borrowings$4.0
$9.5
$7.8
$0.5
$—
$—
$—
$17.8
$15.8
$5.6
$4.9
$—
$—
$—
$—
$10.5
Securitizations7.9
11.6
5.3
8.4
2.0
0.1
3.5
30.9
8.6
7.9
6.0
5.7
2.2
2.5
4.0
28.4
CBNA benchmark senior debt2.3
4.7
8.7
5.0
—
—
0.3
18.8
Local country and other2.8
3.4
1.6
0.4
0.3
0.4
0.4
6.5
2.2
0.6
2.0
0.2
0.4
0.1
0.4
3.5
Total bank$14.7
$24.5
$14.7
$9.3
$2.3
$0.5
$3.9
$55.2
$28.9
$18.8
$21.6
$10.9
$2.6
$2.6
$4.7
$61.2
Total long-term debt$52.9
$43.5
$34.4
$31.4
$19.2
$9.4
$63.4
$201.3
$58.1
$38.6
$37.3
$28.6
$14.1
$19.0
$94.4
$232.0

91


Resolution Plan
Citi is required under Title I of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act) and the rules promulgated by the FDIC and FRB to periodically submit a plan for Citi’s rapid and orderly resolution under the U.S. Bankruptcy Code in the event of material financial distress or failure. For additional information on Citi’s resolution plan submissions, see “Risk Factors—Strategic Risks” above. Citigroup’s preferred resolution strategy is “single point of entry” under the U.S. Bankruptcy Code. 
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 FRB’s and FDIC’s 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. Accordingly, any value realized by holders of its unsecured long-term debt may not be sufficient to repay the amounts owed to such debt holders in the event of a bankruptcy or other resolution proceeding of Citigroup.
The FDIC has also indicated that it was developing a single point of entry strategy to implement its resolution authority under Title II of the Dodd-Frank Act.
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:

(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 2015,2016, the Federal Reserve Board issued a notice of proposed rulemaking that would imposeimposed minimum loss-absorbing capacityexternal TLAC and long-term debt (LTD) requirements on U.S. global systemically important bank holding companies (GSIBs), including Citi, effective as of January 1, 2019. As a result, 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, as described further below. The intended purpose of which would bethe requirements is to facilitate the orderly resolution of U.S. GSIBs under the U.S. Bankruptcy Code and Title II of the Dodd-Frank Act. There are significant uncertaintiesCiti believes it exceeded the minimum TLAC and interpretive issues arising from the Federal Reserve Board’s proposal.LTD requirements as of December, 31, 2018. For additional information, see “Risk Factors—LiquidityCompliance, Conduct and Legal Risks” above. For an additional discussion of the method 1 and method 2 GSIB capital surcharge methodology as well as other regulatory capital aspects of the

Minimum TLAC proposal, see “Capital Resources” above.Requirements
Pursuant to the proposal, U.S. GSIBs would be required to issue and maintainThe minimum levels of external TLAC and eligible long-term debt (LTD), each set by reference to the GSIB’s consolidated risk-weighted assets (RWA) and total leverage exposure. The proposed minimum external TLAC requirement would beis the greater of (i) 18% of the GSIB’s RWA plus the applicable externalthen-applicable RWA-based TLAC buffer (see below) and (ii) 9.5%7.5% of itsthe GSIB’s total leverage exposure. exposure plus a leveraged-based TLAC buffer of 2% (i.e., 9.5%).
The applicable externalRWA-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.rule (2.0% for Citi for 2019). Accordingly, Citi’sCiti estimates its total estimated current minimum TLAC requirement would beis 22.5% of RWA under the proposal. Breach of the proposed external TLAC buffer would subject the GSIB to restrictions on distributions and discretionary bonus payments. for 2019.

Minimum Eligible LTD Requirements
The proposed minimum external LTD requirement would beis 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 for 2019), for a total estimated current requirement of 9% of RWA for Citi, and (ii) 4.5% of the GSIB’s total leverage exposure.
As proposed, external TLAC would generally include (i) Common Equity Tier 1 Capital and Additional Tier 1 Capital issued directly by the bank holding company plus (ii) eligible external LTD. Eligible external LTD, which is a subcategory of external TLAC, would include unsecured, “plain vanilla” debt securities (i.e., would not include structured notes or securities containing derivative-linked features) issued directly by the bank holding company, governed by U.S. law and with a remaining maturity greater than one year. Further, pursuant to what has been referred to as the “haircut” provision, otherwise eligible external LTD with a remaining maturity of less than two years would be subject to a 50% haircut for purposes of meeting the minimum external LTD requirement. In addition, otherwise eligible external LTD which provides for accelerationFor additional discussion of the payment of principalmethod 1 and interest other than upon the occurrence of insolvency or non-payment would not be eligible LTD.
Designed to further enhance the resolvability of a U.S.method 2 GSIB the proposal would also prohibit or limit certain financial arrangements at the bank holding company level, or what are referred to as “clean holding company” requirements. Pursuant to these requirements, the bank holding company
would be prohibited from having certain types of third-party liabilities, including short-term debt, 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 clean holding company requirements would limit the third-party, non-contingent liabilities of the bank holding company that are not related to TLAC or LTD and are pari passu with or junior to eligible external LTD, including structured notes and various operating liabilities, to 5% of the U.S. GSIB’s outstanding external TLAC.
The proposal would further require that U.S. GSIBs deduct from their regulatory capital any investment in unsecured debt issued by GSIBs in excess of certain thresholds. This deduction would be required regardless of the tenor of the instrument and regardless of whether the debt instrument would qualify as eligible external LTD.
While not included in its proposed requirements, the Federal Reserve Board also indicated in its notice of proposed rulemaking that it was considering imposing “domestic internal TLAC” requirements for the material operating subsidiaries of U.S. GSIBs. The Board indicated any such requirements would be designed to, among other things, require the maintenance of “contributable resources” (in the form of high-quality liquid assets) at the bank holding company and/or “prepositioned resources” at the level of the material operating subsidiaries (in the form of debt and equity investments in the subsidiaries).
The proposed effective date for the requirements included in the proposal would be January 1, 2019, with the exception of the RWA component of the external TLAC requirement, which would be 16% as of January 1, 2019 and would increase to 18% on January 1, 2022.surcharge methodologies, see “Capital Resources—Current Regulatory Capital Standards” above.


Secured Funding Transactions and 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). Citi has purposefully reduced its other
Outside of secured funding transactions, Citi’s short-term borrowings including FHLB borrowings, as itdecreased both year-over-year (27% decrease) and quarter-over-quarter (4% decrease), driven primarily by Citi’s continued efforts to growoptimize its high-quality deposits.funding profile.

Secured Funding
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to efficiently fund efficiently both (i) secured lending activity and (ii) a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government debt securities. Generally, daily changes


92


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 $146$178 billion as of December 31, 2015 declined 16%2018 increased 14% from the prior-year periodprior year and 13% sequentially.1% from the prior quarter. Excluding the impact of FX translation, secured funding decreased 11%increased 17% from the prior-year periodprior year and 12% sequentially,2% from the prior quarter, both driven by normal business activity. Average balances for secured funding were approximately $163$177 billion for the quarter ended December 31, 2015.2018.
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,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 liquidless-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 liquidless-liquid securities inventory was greater than 110 days as of December 31, 2015.2018.
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.


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:
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 dollars201520142013201520142013201520142013201820172016201820172016201820172016
Amounts outstanding at year end$146.5
$173.4
$203.5
$10.0
$16.2
$17.9
$11.1
$42.1
$41.0
$177.8
$156.3
$141.8
$13.2
$9.9
$10.0
$19.1
$34.5
$20.7
Average outstanding during the year(4)(5)
174.5
190.0
229.4
10.7
16.8
16.3
22.2
45.3
39.6
172.1
157.7
158.1
11.8
10.0
10.0
26.5
23.2
14.8
Maximum month-end outstanding186.2
200.1
239.9
15.3
17.9
18.8
41.9
47.1
44.7
191.2
163.0
171.7
13.2
10.1
10.2
34.0
34.5
20.9
Weighted-average interest rate          
During the year(4)(5)(6)
0.93%1.00%1.02%0.31%0.21%0.28%1.42%1.20%1.39%2.84%1.69%1.21%2.19%1.27%0.80%4.17%2.81%2.32%
At year end(7)
0.59
0.49
0.59
0.22
0.23
0.26
1.50
0.53
0.87
  1.95
1.28
0.79
2.99
1.62
1.39

(1)Original maturities of less than one year.
(2) Substantially all commercial paper outstanding was issued by certain Citibank entities for the periods presented.
(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.



93



Liquidity Monitoring and Measurement

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 a 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 political and economic conditions in certain countries. 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 (overnight, one week, two weeks, one month, three months, one year) and over a variety of 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 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 stresses.

Short-Term Liquidity Measurement: Liquidity Coverage Ratio (LCR)
In addition to internal measures 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 90% effective January 2016, increasing to 100% in January 2017.
The table below sets forth the components of Citi’s LCR calculation and HQLA in excess of net outflows as of the
periods indicated:
In billions of dollarsDec. 31, 2015Sept. 30, 2015Dec. 31, 2014
HQLA$378.5
$398.9
$412.6
Net outflows336.5
355.6
368.6
LCR112%112%112%
HQLA in excess of net outflows$42.0
$43.3
$44.0

As set forth in the table above, Citi’s LCR was unchanged both year-over-year and quarter-over-quarter,as the reduction in Citi’s HQLA was offset by a reduction in net outflows, reflecting reductions in Citi’s long-term debt and short-term borrowings.

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 on a 12-month scenario assuming deterioration due to a combination of idiosyncratic and market stresses of moderate to high severity. 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 on Banking Supervision (Basel Committee) issued final standards for the implementation of the Basel III NSFR, with full compliance required by January 1, 2018. Similar to Citi’s internal long-term liquidity measure, the NSFR is intended to measure the stability of a banking organization’s funding over a one-year time horizon. Pursuant to the Basel Committee’s final standards, the NSFR is calculated by dividing the level of a bank’s available stable funding by its required stable funding. The ratio is required to be greater than 100%. Under the Basel Committee standards, available stable funding primarily includes portions of equity, deposits and long-term debt, while required stable funding primarily includes the portion of long-term assets which are deemed illiquid. The U.S. banking agencies have not yet proposed the U.S. version of the NSFR, although a proposal is expected during 2016.


94


Credit Ratings
Citigroup’s funding and liquidity, its 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 forthshows the ratings for Citigroup and Citibank as of December 31, 2015.2018. While not included in the table below, the long-termlong- and short-term ratings of Citigroup Global Markets Inc. (CGMI) were A/A-1 at Standard & Poor’s and A+/F1 at Fitch as of December 31, 2015. The long-term and short-term ratings of Citigroup Global Markets HoldingsHolding Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/

F1 at Fitch as of December 31, 2015.2018.
.
 Citigroup Inc.Citibank, N.A.
Ratings as of December 31, 2018
Senior
debt
Commercial
paper
Outlook
Long-
term
Short-
term
Outlook
Fitch Ratings (Fitch)AF1StableA+F1Stable
Moody’s Investors Service (Moody’s)Baa1P-2StableUnder reviewA1P-1Stable
Under
review
Standard & Poor’s (S&P)BBB+A-2StableAA+A-1Watch PositiveStable

Recent Credit RatingRatings Developments
On December 8, 2015, Fitch affirmedNovember 29, 2018, Moody's placed the long-term ratings of Citigroup Inc.’s Viability Rating (VR) and Long-Term Issuer Default Rating (IDR) at ‘a/A’, respectively. AtCitibank, N.A. on "Review for Possible Upgrade." Over the same time, Fitch affirmed Citibank’s VRcourse of the review period, Moody’s will assess, among other things, Citi’s ability to achieve its medium-term efficiency and IDR at ‘a/A+’, respectively. The outlooks for the Long-Term IDRs are stable.profitability targets while maintaining strong governance and risk controls.
On December 2, 2015,February 21, 2019, Moody’s upgraded the ratings for long-term debt, deposits and counterparty risk of Citigroup and certain of its subsidiaries, as expected, S&P downgradedwell as the holding companybaseline credit assessment (BCA) of Citibank, N.A. In addition, Moody's affirmed all short-term ratings and assessments of all eight U.S. GSIBs, including Citigroup Inc., by one notch, reflecting its view of the likelihood of extraordinary government support to be “uncertain.” As a result, Citigroup Inc.'s long-term rating now stands at BBB+ and thethose subsidiaries. The ratings outlook was upgradedchanged to "Stable." The short-term rating of Citigroup Inc. remained at A-2. The operating company ratings of the GSIBs, including Citibank, N.A. and Citigroup Global Markets Inc., remained unchanged, with a “Watch Positive” outlook, as S&P waits“Stable” from “Review for further clarity from the regulators regarding TLAC eligibility of certain instruments. S&P has stated it expects to conclude its credit watch within the first half of 2016.Possible Upgrade.”

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 derivativesderivative 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, 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 markets counterparties could re-
evaluatere-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, 2015,2018, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.6$0.2 billion, compared to $0.7$0.4 billion as of September 30, 2015.2018. Other funding sources, such as securitiessecured financing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of December 31, 2015,2018, 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 $1.3$0.5 billion, compared to $1.5$1.2 billion as of September 30, 2015, due to derivative triggers.2018.


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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 $1.9$0.7 billion, compared to $2.2$1.6 billion as of September 30, 20152018 (see also Note 2322 to the Consolidated Financial Statements). As set forthdetailed under “High-Quality Liquid Assets” above, the liquidity resources that are eligible for inclusion in the calculation of CitibankCiti’s consolidated HQLA were approximately $312 $339billion for Citibank and the liquidity resources of$65 billion for Citi’s non-bank and other entities, were approximately $66 billion, for a total of approximately $379$404 billion as of December 31, 2015.2018. 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&Pacross any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of December 31, 2015,2018, Citibank had liquidity commitments of approximately $10.0$13.2 billion to consolidated asset-backed commercial paper conduits, compared to $9.4$12.1 billion as of September 30, 20152018 (as referenced in Note 2221 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank and Banamex 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.


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MARKET RISK

OVERVIEWOverview
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. Market risk emanates from both Citi’s trading and non-trading portfolios. For additional information on market risk, see “Risk Factors” above.
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 PORTFOLIOSMarket 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 Accumulated other comprehensive income (loss) (AOCI) from its investmentdebt securities 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 ratefixed-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-wideCompany-wide position. Citi’s client-facing businesses create interest-rateinterest 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;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 Capital ratio.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-wideCompany-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.



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The following table sets forthshows the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio, (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis pointbps increase in interest rates.rates:
In millions of dollars (unless otherwise noted)Dec. 31, 2015Sept. 30, 2015Dec. 31, 2014
In millions of dollars, except as otherwise notedDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Estimated annualized impact to net interest revenue      
U.S. dollar(1)
$1,419
$1,533
$1,123
$758
$879
$1,471
All other currencies635
616
629
661
649
598
Total$2,054
$2,149
$1,752
$1,419
$1,528
$2,069
As a percentage of average interest-earning assets0.13%0.13%0.11%0.08%0.09%0.12%
Estimated initial impact to AOCI (after-tax)(2)(3)
$(4,837)$(4,450)$(3,961)$(3,920)$(4,597)$(4,853)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(57)(50)(44)(28)(31)(35)
(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 $(211)$(242) million for a 100 basis pointbps instantaneous increase in interest rates as of December 31, 2015.2018.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(3)The estimated initialResults as of December 31, 2017 reflect the impact of Tax Reform, including the lower expected effective tax rate and the 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 AOCI impact above.DTA position.

The sequential2018 decrease in the estimated impact to net interest revenue primarily reflected changes in Citi’s balance sheet composition, including increased sensitivity in deposits combined with loan growth, and Citi Treasury actions, offset by an increase in certain of Citi’s deposit balances and an increasing capital base.positioning. The sequential increase2018 changes in the estimated impact to AOCI and the Common Equity Tier 1 Capital ratio primarily reflected changes inthe impact of the composition of Citi Treasury’s investment and interest rate derivatives portfolio.
In the event of an unanticipated parallel instantaneous 100 basis pointbps 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, 2015,2018, Citi expects that the negative $4.8$3.9 billion impact to AOCI in such a scenario could potentially be offset over approximately 2218 months.
The following table sets forthshows 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.

In millions of dollars (unless otherwise noted)Scenario 1Scenario 2Scenario 3Scenario 4
In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 4
Overnight rate change (bps)100
100
—
—
100
100
—
—
10-year rate change (bps)100
—
100
(100)100
—
100
(100)
Estimated annualized impact to net interest revenue
  
U.S. dollar$1,419
$1,346
$100
$(172)$758
$755
$40
$(52)
All other currencies635
580
36
(36)661
585
37
(36)
Total$2,054
$1,926
$136
$(208)$1,419
$1,340
$77
$(88)
Estimated initial impact to AOCI (after-tax)(1)
$(4,837)$(2,893)$(2,212)$1,845
$(3,920)$(2,405)$(1,746)$1,252
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)
(57)(34)(26)22
(28)(16)(14)9
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)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 AOCI impact above.

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 shortershorter- and intermediate termintermediate-term maturities.



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Changes in Foreign Exchange Rates—Impacts on AOCI
and Capital
As of December 31, 2015,2018, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.5$1.4 billion, or 0.8% of TCE,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 the British pound sterling and the Chinese yuan.Australian dollar.
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign-currency-denominatedforeign 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 impactaffect 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 inon the changes in AOCI, see Note 2019 to the Consolidated Financial Statements.






























For the quarter endedFor the quarter ended
In millions of dollars (unless otherwise noted)Dec. 31, 2015Sept. 30, 2015Dec. 31, 2014
In millions of dollars, except as otherwise notedDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Change in FX spot rate(1)
(1.1)%(6.0)%(4.9)%(1.6)%(0.2)%(1.2)%
Change in TCE due to FX translation, net of hedges$(696)$(2,010)$(1,932)$(491)$(354)$(498)
As a percentage of TCE(0.4)%(1.1)%(1.1)%(0.3)%(0.2)%(0.3)%
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)(1)(1)—
(5)

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




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Interest Revenue/Expense and Net Interest Margin
abs2018a01.jpg
In millions of dollars, except as otherwise noted2015 2014 2013 Change 
 2015 vs. 2014		 Change 
 2014 vs. 2013		 2018 2017 2016 Change 
 2018 vs. 2017		 Change 
 2017 vs. 2016		 
Interest revenue(1)
$59,040
 $62,180
 $63,491
 (5)% (2)% $71,082
 $62,075
 $58,450
 15% 6 % 
Interest expense(2)11,921
 13,690
 16,177
 (13) (15) 24,266
 16,518
 12,512
 47
 32
 
Net interest revenue(2)
$47,119
 $48,490
 $47,314
 (3)% 2 % $46,816
 $45,557
 $45,938
 3% (1)% 
Interest revenue—average rate3.68% 3.72% 3.83% (4)bps(11)bps4.08% 3.71% 3.67% 37
bps4
bps
Interest expense—average rate0.95
 1.02
 1.19
 (7)bps(17)bps1.77
 1.28
 1.03
 49
bps25
bps
Net interest margin(3)2.93
 2.90
 2.85
 3
bps5
bps2.69
 2.73
 2.88
 (4)bps(15)bps
Interest-rate benchmarks          
Interest rate benchmarks          
Two-year U.S. Treasury note—average rate0.69% 0.46% 0.31% 23
bps15
bps2.53% 1.40% 0.83% 113
bps57
bps
10-year U.S. Treasury note—average rate2.14
 2.54
 2.35
 (40)bps19
bps2.91
 2.33
 1.83
 58
bps50
bps
10-year vs. two-year spread145
bps208
bps204
bps 
   38
bps93
bps100
bps 
   

Note: All interest expense amounts include FDIC insurance assessments, as well as similar deposit insurance assessments.assessments outside of the U.S. As of the fourth quarter of 2018, Citi’s FDIC surcharge was eliminated (approximately $130 million per quarter).
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax raterates of 21% in 2018 and 35%) in 2017 and 2016) of $487$254 million, $498$496 million and $521$462 million for 2015, 20142018, 2017 and 2013,2016, respectively.
(2)
Excludes expensesInterest expense associated with certain hybrid financial instruments, which are classified asLong-term debt and accounted for at fair value, with changes recorded in Principal transactions.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 net interest revenue by average interest-earning assets.


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 was 2.92% in the fourth quarter of 2015,2018 increased 5% to $11.9 billion ($12.0 billion on a slight decreasetaxable equivalent basis) versus the prior-year period. Excluding the impact of FX translation, net interest revenue increased 8%, or approximately $0.9 billion. This increase was primarily due to higher net interest revenue ($11.7 billion, up approximately 14% or $1.4 billion) from 2.94%Citi’s core accrual activities, which is mainly generated by its deposit and lending businesses. The increase in core accrual net interest revenue was partially offset by lower trading-related net interest revenue ($0.1 billion, down approximately 83% or $0.4 billion), largely due to higher wholesale funding costs, and lower net interest revenue associated with the wind-down of legacy assets in Corporate/Other ($0.1 billion, down approximately 45% or
$0.1 billion). The increase in core accrual net interest revenue was mainly driven by the deployment of cash into better yielding assets, including loans, an improved loan mix and higher interest rates, as well as the impact of elimination of the FDIC surcharge. As previously disclosed, in 2016, the FDIC commenced imposing a surcharge on depository institutions, including Citibank, to increase the deposit insurance fund reserve ratio until it reached 1.35%, which occurred as of the end of the third quarter of 2015, and improved to 2.93%2018.
Citi’s net interest revenue for the full year 2015, comparedincreased 3% to 2.90% in 2014. The improvement in Citi’s NIM for$46.6 billion ($46.8 billion on a taxable equivalent basis) versus the full year 2015 was driven by trading NIM andprior year. Excluding the impact of lower cost of funds, primarily declines in the cost of long-term debt, partiallyFX translation, Citi’s net interest revenue increased by approximately $2.0 billion, as higher core accrual net interest revenue

(approximately $44.1 billion, up 10% or $4.1 billion) was offset by lower trading-related net interest revenue (approximately $1.0 billion, down 62% or $1.7 billion), largely driven by higher wholesale funding costs, and lower net interest revenue associated with legacy assets in Corporate/Other (approximately $0.8 billion, down 38% or $0.5 billion). The increase in core accrual net interest revenue was primarily due to loan yields. Going into 2016, growth, an improved loan mix, and higher interest rates.
Citi’s NIM will reflect the sale of OneMain Financial, which will be partially offset by the benefit of debt repurchases during 2015, includingwas 2.71% on a taxable equivalent basis in the fourth quarter of 2015. Accordingly, Citi currently expects a decrease2018, an increase of 1 basis point (bp) from the third quarter of 2018, driven primarily by the increase in its NIM in the first half of 2016.
As noted in the tables above, Citi’score accrual net interest expense includesrevenue, and the impact of FDIC deposit insurance assessments.
As partthe elimination of the Dodd-Frank Act,FDIC surcharge, partially offset by lower trading-related NIM. Citi’s core accrual NIM was 3.72%, an increase of 12 bps from the third quarter of 2018, primarily driven by the deployment of cash into better yielding assets, including loans, an improved loan mix and higher interest rates, as well as the impact of elimination of the FDIC is requiredsurcharge. On a full-year basis, Citi’s NIM was 2.69% on a taxable equivalent basis, compared to ensure that its deposit insurance fund reserve ratio reaches 1.35%2.73% in 2017, a decrease of 4 bps. Citi’s full-year core accrual NIM was 3.61%, an increase of 13 bps from the prior year, primarily driven by September 30, 2020. Inloan growth, an improved loan mix and higher interest rates. (Citi’s core accrual net interest revenue and core accrual NIM are non-GAAP financial measures. Citi believes the fourth quarter of 2015, the FDIC issued a notice of proposed rulemaking that would impose on insured depository institutions with at least $10 billion in assets (large banks), which includes Citibank, a surcharge of 4.5 basis points per annum until the fund reaches the required ratio, which the FDIC estimates would take approximately two years. Based on its current assessment base, Citi estimates the net impact to Citibank would be approximately $500 million over the two-year period. As partpresentation of its proposed rulemaking, the FDIC also discussed an alternative to the surcharge proposal which would imposenet interest revenue and NIM on a one-time assessment, similar tocore accrual basis provides a shortfall assessment, on large banks in order to reach the 1.35% target. As discussed by the FDIC, this shortfall assessment would be approximately 12 basis points on the


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then-current assessment base in the quarter determined by the FDIC. If the FDIC were to adopt this approach, Citi estimates the net impact to Citibank would be approximately $900 million, based on its current assessment base. As an alternative to eithermeaningful depiction for investors of the proposals put forth by the FDIC, in commenting on the FDIC’s noticeunderlying fundamentals of proposed rulemaking, industry groups recommended that in lieu of any surcharge onits businesses).

large banks, the FDIC maintain the assessment rate framework in effect as of year-end 2015 until the reserve ratio reaches 1.35%, which would be expected to occur by year-end 2019 (and within the timeframe required under the Dodd-Frank Act). It is not certain when the FDIC’s proposal will be finalized and what the ultimate impact will be to Citi.

Additional Interest Rate DetailsStress 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 performed 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.



High-Quality Liquid Assets (HQLA)
 CitibankNon-bank and OtherTotal
In billions of dollarsDec. 31, 2018Sept. 30, 2018Dec. 31, 2017Dec. 31, 2018Sept. 30, 2018Dec. 31, 2017Dec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Available cash$97.1
$105.1
$94.3
$27.6
$35.1
$30.9
$124.7
$140.2
$125.2
U.S. sovereign103.2
102.2
113.2
24.0
29.7
27.9
127.2
131.9
141.1
U.S. agency/agency MBS60.0
56.4
80.8
5.8
6.5
0.5
65.8
62.9
81.3
Foreign government debt(1)
76.8
74.9
80.5
6.3
9.6
16.4
83.2
84.5
96.9
Other investment grade1.5
0.2
0.7
1.3
1.1
1.2
2.8
1.3
1.9
Total HQLA (AVG)$338.6
$338.8
$369.5
$65.1
$82.0
$76.9
$403.7
$420.8
$446.4

Note: The amounts set forth in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts that would be required for securities financing transactions.
(1)Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Hong Kong, Singapore, Korea, Taiwan, India, Mexico and Brazil.

The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated LCR, pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to Citigroup. While available liquidity resources at operating entities remained largely unchanged, the amount of HQLA included in the table above declined both year-over-year and quarter-over-quarter as less HQLA in the operating entities was eligible for inclusion in the consolidated metric. Quarter-over-quarter, the decline in HQLA was also driven by balance sheet optimization as Citi deployed cash to fund loan growth and reduce debt levels.
Citi’s HQLA does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLBs) of which Citi is a member, which was approximately $29 billion as of December 31, 2018 (unchanged from September 30, 2018 and compared to $10 billion as of December 31, 2017) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.
In general, Citi’s liquidity is fungible across legal entities within its bank group. Citi’s bank subsidiaries, including Citibank, can lend to the Citi parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act. As of December 31, 2018, the capacity available for lending to these entities under Section 23A was approximately $15 billion, unchanged from both September 30, 2018 and December 31, 2017, subject to certain eligible non-cash collateral requirements.

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%.
The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
In billions of dollarsDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
HQLA$403.7
$420.8
$446.4
Net outflows334.8
350.8
364.3
LCR121%120%123%
HQLA in excess of net outflows$68.9
$70.0
$82.1

Note: The amounts are presented on an average basis.


Citi’s LCR decreased year-over-year, driven by a decline in average HQLA, partially offset by a decline in modeled net outflows. Quarter-over-quarter, Citi’s LCR increased slightly, as a decline in modeled net outflows more than offset the decline in average HQLA (see “High-Quality Liquid Assets” above).

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 and encumbrance period 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, 2018, it will need to evaluate a final version of the rules, which are expected to be released in 2019. Citi expects that the NSFR final rules implementation period will be communicated along with the final version of the rules.

Loans
Average BalancesAs part of its funding and Interest Rates—Assetsliquidity objectives, Citi seeks to fund its existing asset base appropriately as well as maintain sufficient liquidity to grow its (1)(2)(3)(4)GCB and ICG businesses, including its loan portfolio. Citi maintains a diversified portfolio of loans to its consumer and institutional clients. The table below details the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
 Average volumeInterest revenue% Average rate
In millions of dollars, except rates201520142013201520142013201520142013
Assets         
Deposits with banks(5)
$133,790
$161,359
$144,904
$727
$959
$1,026
0.54%0.59%0.71%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
      




In U.S. offices$150,359
$153,688
$158,237
$1,211
$1,034
$1,133
0.81%0.67%0.72%
In offices outside the U.S.(5)
84,006
101,177
109,233
1,305
1,332
1,433
1.55
1.32
1.31
Total$234,365
$254,865
$267,470
$2,516
$2,366
$2,566
1.07%0.93%0.96%
Trading account assets(7)(8)
      




In U.S. offices$114,639
$114,910
$126,123
$3,945
$3,472
$3,728
3.44%3.02%2.96%
In offices outside the U.S.(5)
103,348
119,801
127,291
2,141
2,538
2,683
2.07
2.12
2.11
Total$217,987
$234,711
$253,414
$6,086
$6,010
$6,411
2.79%2.56%2.53%
Investments      




In U.S. offices      




Taxable$214,714
$188,910
$174,084
$3,812
$3,286
$2,713
1.78%1.74%1.56%
Exempt from U.S. income tax20,034
20,386
18,075
443
626
811
2.21
3.07
4.49
In offices outside the U.S.(5)
102,376
113,163
114,122
3,071
3,627
3,761
3.00
3.21
3.30
Total$337,124
$322,459
$306,281
$7,326
$7,539
$7,285
2.17%2.34%2.38%
Loans (net of unearned income)(9)
      




In U.S. offices$354,439
$361,769
$354,707
$24,558
$26,076
$25,941
6.93%7.21%7.31%
In offices outside the U.S.(5)
273,072
296,656
292,852
15,988
18,723
19,660
5.85
6.31
6.71
Total$627,511
$658,425
$647,559
$40,546
$44,799
$45,601
6.46%6.80%7.04%
Other interest-earning assets(10)
$55,060
$40,375
$38,233
$1,839
$507
$602
3.34%1.26%1.57%
Total interest-earning assets$1,605,837
$1,672,194
$1,657,861
$59,040
$62,180
$63,491
3.68%3.72%3.83%
Non-interest-earning assets(7)
$218,000
$224,721
$222,526
      
Total assets from discontinued operations—
—
2,909
      
Total assets$1,823,837
$1,896,915
$1,883,296
      
In billions of dollarsDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Global Consumer Banking   
North America$195.7
$192.8
$189.7
Latin America25.1
26.3
25.7
Asia(1)
87.6
87.7
87.9
Total$308.4
$306.8
$303.3
Institutional Clients Group   
Corporate lending$130.0
$130.9
$124.9
Treasury and trade solutions (TTS)77.0
76.9
77.0
Private bank94.7
92.8
85.9
Markets and securities services and other
49.3
45.6
40.4
Total$351.0
$346.2
$328.2
Total Corporate/Other
$16.1
$17.3
$22.5
Total Citigroup loans (AVG)$675.5
$670.3
$654.0
Total Citigroup loans (EOP)$684.2
$674.9
$667.0

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

Loans increased 3% year-over-year and 1% quarter-over-quarter in the fourth quarter, on both an end-of-period as well as on an average basis.
Excluding the impact of FX translation, average loans increased 4% year-over-year, driven by 6% aggregate across GCB and ICG. Within GCB, average loans grew 3%, with growth across all regions and businesses, with particular strength in North America GCB driven by Citi-branded cards and Citi retail services, including the impact of the L.L.Bean card portfolio acquisition.
Average ICG loans increased 8% year-over-year, with continued growth across businesses. Corporate lending and private bank loan growth remained strong on a year-over-year basis, with corporate lending unchanged quarter-over-quarter due to the episodic nature of repayments relative to originations. TTS loans grew year-over-year, however growth moderated to 2%, despite continued strong origination volumes, as Citi utilized its distribution capabilities to optimize the balance sheet and drive returns. Finally, strong year-over-year Markets and securities services loan growth was driven by Community Reinvestment Act lending activities as well as residential warehouse lending.
Average Corporate/Other loans continued to decline (down 32%), driven by the wind-down of legacy assets.


Deposits
The table below details the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
In billions of dollarsDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Global Consumer Banking   
North America$180.6
$180.2
$182.7
Latin America28.2
29.4
27.8
Asia(1)
97.7
97.6
96.0
Total$306.5
$307.2
$306.5
Institutional Clients Group   
Treasury and trade solutions (TTS)$470.8
$456.7
$444.5
Banking ex-TTS128.4
124.6
126.9
Markets and securities services86.7
86.7
82.9
Total$685.9
$668.0
$654.4
Total Corporate/Other
$13.3
$10.6
$12.4
Total Citigroup deposits (AVG)$1,005.7
$985.7
$973.3
Total Citigroup deposits (EOP)$1,013.2
$1,005.2
$959.8
(1)
Includes deposits in certain EMEA countriesfor all periods presented.

End-of-period deposits increased 6% year-over-year and 1% quarter-over-quarter. On an average basis, deposits increased 3% year-over-year and 2% quarter-over-quarter.
Excluding the impact of FX translation, average deposits increased 5% year-over-year. In GCB, deposits increased 1%, as strong growth in Asia GCB and Latin America GCB more than offset a 1% decline in North America GCB, as clients transferred cash into investment accounts.
In ICG, deposits increased 6%, primarily driven by continued high-quality deposit growth in TTS.

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 maturity of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year was approximately 6.8 years as of December 31, 2018, a slight decline from 6.9 years as of September 30, 2018 and unchanged from the prior year.
Citi’s long-term debt outstanding at the parent company includes senior and subordinated debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and supplements benchmark debt issuance as a source of funding for Citi’s non-bank entities.
Citi’s long-term debt at the bank also includes benchmark senior debt, FHLB advances and securitizations.

Long-Term Debt Outstanding
The following table details Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:
In billions of dollarsDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Parent and other(1)
   
Benchmark debt:   
Senior debt$104.6
$107.2
$109.8
Subordinated debt24.5
25.1
26.9
Trust preferred1.7
1.7
1.7
Customer-related debt37.1
35.4
30.7
Local country and other(2)
2.9
3.8
1.8
Total parent and other$170.8
$173.2
$170.9
Bank   
FHLB borrowings$10.5
$10.5
$19.3
Securitizations(3)
28.4
27.4
30.3
CBNA benchmark senior debt18.8
21.0
12.5
Local country and other(2)
3.5
3.2
3.7
Total bank$61.2
$62.1
$65.8
Total long-term debt$232.0
$235.3
$236.7
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)“Parent and other” 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 December 31, 2018, “parent and other” included $27.0 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Citi’s total long-term debt outstanding decreased both year-over-year and quarter-over-quarter. The decrease year-over-year was primarily driven by a decline in long-term debt at the bank, as declines in FHLB advances more than offset an increase in unsecured senior benchmark debt. At the parent, long-term debt remained largely unchanged year-over-year, as declines in unsecured benchmark debt were largely offset by increases in customer-related debt. Quarter-over-quarter, the decrease was driven primarily by declines in unsecured senior debt at the parent and 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. During 2018, Citi repurchased an aggregate of approximately $5.4 billion of its outstanding long-term debt, including early redemptions of FHLB advances.


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:
 201820172016
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other      
Benchmark debt:      
Senior debt$18.5
$14.8
$14.1
$21.6
$14.9
$26.0
Subordinated debt2.9
0.6
1.6
1.3
3.2
4.0
Customer-related debt6.6
16.9
7.6
12.3
10.2
10.5
Local country and other1.2
2.3
1.2
0.1
2.1
2.2
Total parent and other$29.2
$34.6
$24.5
$35.3
$30.4
$42.7
Bank      
FHLB borrowings$15.8
$7.9
$7.8
$5.5
$10.5
$14.3
Securitizations8.6
6.8
5.3
12.2
10.7
3.3
CBNA benchmark senior debt2.3
8.5
—
12.6
—
—
Local country and other2.2
2.9
3.4
2.4
3.9
3.4
Total bank$28.9
$26.1
$16.5
$32.7
$25.1
$21.0
Total$58.1
$60.7
$41.0
$68.0
$55.5
$63.7

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) in 2018, as well as its aggregate expected annual long-term debt maturities as of December 31, 2018:
 Maturities
In billions of dollars201820192020202120222023ThereafterTotal
Parent and other        
Benchmark debt:        
Senior debt$18.5
$14.1
$8.8
$14.1
$8.1
$12.5
$46.9
$104.6
Subordinated debt2.9
—
—
—
0.7
1.1
22.6
24.5
Trust preferred—
—
—
—
—
—
1.7
1.7
Customer-related debt6.6
3.7
6.8
3.4
2.6
2.8
17.8
37.1
Local country and other1.2
2.0
0.1
0.2
0.1
—
0.7
2.9
Total parent and other$29.2
$19.8
$15.7
$17.7
$11.5
$16.4
$89.7
$170.8
Bank        
FHLB borrowings$15.8
$5.6
$4.9
$—
$—
$—
$—
$10.5
Securitizations8.6
7.9
6.0
5.7
2.2
2.5
4.0
28.4
CBNA benchmark senior debt2.3
4.7
8.7
5.0
—
—
0.3
18.8
Local country and other2.2
0.6
2.0
0.2
0.4
0.1
0.4
3.5
Total bank$28.9
$18.8
$21.6
$10.9
$2.6
$2.6
$4.7
$61.2
Total long-term debt$58.1
$38.6
$37.3
$28.6
$14.1
$19.0
$94.4
$232.0

Resolution Plan
Citi is required under Title I of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act) and the rules promulgated by the FDIC and FRB to periodically submit a plan for Citi’s rapid and orderly resolution under the U.S. Bankruptcy Code in the event of material financial distress or failure. For additional information on Citi’s resolution plan submissions, see “Risk Factors—Strategic Risks” above. Citigroup’s preferred resolution strategy is “single point of entry” under the U.S. Bankruptcy Code. 
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 FRB’s and FDIC’s 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. Accordingly, any value realized by holders of its unsecured long-term debt may not be sufficient to repay the amounts owed to such debt holders in the event of a bankruptcy or other resolution proceeding of Citigroup.
The FDIC has also indicated that it was developing a single point of entry strategy to implement its resolution authority under Title II of the Dodd-Frank Act.
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:

(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 2016, the Federal Reserve Board imposed minimum external TLAC and long-term debt (LTD) requirements on U.S. global systemically important bank holding companies (GSIBs), including Citi, effective as of January 1, 2019. As a result, 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, as described further below. The intended purpose of the requirements is to facilitate the orderly resolution of U.S. GSIBs under the U.S. Bankruptcy Code and Title II of the Dodd-Frank Act. Citi believes it exceeded the minimum TLAC and LTD requirements as of December, 31, 2018. For additional information, see “Risk Factors—Compliance, Conduct and Legal Risks” above.

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 for 2019). Accordingly, Citi estimates its total current minimum TLAC requirement is 22.5% of RWA for 2019.

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 for 2019), for a total current requirement of 9% of RWA for Citi, and (ii) 4.5% of the GSIB’s total leverage exposure.
For additional discussion of the method 1 and method 2 GSIB capital surcharge methodologies, see “Capital Resources—Current Regulatory Capital Standards” above.


Secured Funding Transactions and Short-Term Borrowings
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 17 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 decreased both year-over-year (27% decrease) and quarter-over-quarter (4% decrease), driven primarily by Citi’s continued efforts to optimize its funding profile.

Secured Funding
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to efficiently fund both (i) secured lending activity and (ii) a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which 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 $178 billion as of December 31, 2018 increased 14% from the prior year and 1% from the prior quarter. Excluding the impact of FX translation, secured funding increased 17% from the prior year and 2% from the prior quarter, both driven by normal business activity. Average balances for secured funding were $177 billion for the quarter ended December 31, 2018.
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, 2018.
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.


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 years:
 
Federal funds purchased and securities sold under
agreements to repurchase
Short-term borrowings(1)
Commercial paper(2)
Other short-term borrowings(3)
In billions of dollars201820172016201820172016201820172016
Amounts outstanding at year end$177.8
$156.3
$141.8
$13.2
$9.9
$10.0
$19.1
$34.5
$20.7
Average outstanding during the year(4)(5)
172.1
157.7
158.1
11.8
10.0
10.0
26.5
23.2
14.8
Maximum month-end outstanding191.2
163.0
171.7
13.2
10.1
10.2
34.0
34.5
20.9
Weighted-average interest rate         
During the year(4)(5)(6)
2.84%1.69%1.21%2.19%1.27%0.80%4.17%2.81%2.32%
At year end(7)
   1.95
1.28
0.79
2.99
1.62
1.39

(1)Original maturities of less than one year.
(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 sold under agreements to repurchase are reported net pursuant to ASC 210-20-45; average rates exclude the impact of 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.




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 shows the ratings for Citigroup and Citibank as of December 31, 2018. While not included in the table below, the long- and short-term ratings of Citigroup Global Markets Holding Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/F1 at Fitch as of December 31, 2018.
.
Citigroup Inc.Citibank, N.A.
Ratings as of December 31, 2018
Senior
debt
Commercial
paper
Outlook
Long-
term
Short-
term
Outlook
Fitch Ratings (Fitch)AF1StableA+F1Stable
Moody’s Investors Service (Moody’s)Baa1P-2Under reviewA1P-1
Under
review
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable

Recent Credit Ratings Developments
On November 29, 2018, Moody's placed the long-term ratings of Citigroup and Citibank, N.A. on "Review for Possible Upgrade." Over the course of the review period, Moody’s will assess, among other things, Citi’s ability to achieve its medium-term efficiency and profitability targets while maintaining strong governance and risk controls.
On February 21, 2019, Moody’s upgraded the ratings for long-term debt, deposits and counterparty risk of Citigroup and certain of its subsidiaries, as well as the baseline credit assessment (BCA) of Citibank, N.A. In addition, Moody's affirmed all short-term ratings and assessments of Citigroup and those subsidiaries. The ratings outlook was changed to “Stable” from “Review for Possible Upgrade.”

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

 Citigroup Inc. and Citibank—Potential Derivative Triggers
As of December 31, 2018, 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 $0.2 billion, compared to $0.4 billion as of September 30, 2018. 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, 2018, 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 $0.5 billion, compared to $1.2 billion as of September 30, 2018.
In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in increased aggregate cash obligations and collateral requirements of approximately $0.7 billion, compared to $1.6 billion as of September 30, 2018 (see also Note 22 to the Consolidated Financial Statements). As detailed under “High-Quality Liquid Assets” above, the liquidity resources that are eligible for inclusion in the calculation of Citi’s consolidated HQLA were approximately $339billion for Citibank and $65 billion for Citi’s non-bank and other entities, for a total of approximately $404 billion as of December 31, 2018. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to,

selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.
Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential downgrade of Citibank’s senior debt/long-term rating across any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of December 31, 2018, Citibank had liquidity commitments of approximately $13.2 billion to consolidated asset-backed commercial paper conduits, compared to $12.1 billion as of September 30, 2018 (as referenced in Note 21 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.


MARKET RISK

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. Market risk emanates from both Citi’s trading and non-trading portfolios. For additional information on market risk, see “Risk Factors” above.
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 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 debt securities 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 shows the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio, each assuming an unanticipated parallel instantaneous 100 bps increase in interest rates:
In millions of dollars, except as otherwise notedDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Estimated annualized impact to net interest revenue   
U.S. dollar(1)
$758
$879
$1,471
All other currencies661
649
598
Total$1,419
$1,528
$2,069
As a percentage of average interest-earning assets0.08%0.09%0.12%
Estimated initial impact to AOCI (after-tax)(2)(3)
$(3,920)$(4,597)$(4,853)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(28)(31)(35)
(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 $(242) million for a 100 bps instantaneous increase in interest rates as of December 31, 2018.
(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.

The 2018 decrease in the estimated impact to net interest revenue primarily reflected changes in Citi’s balance sheet composition, including increased sensitivity in deposits combined with loan growth, and Citi Treasury positioning. The 2018 changes in the estimated impact to AOCI and the Common Equity Tier 1 Capital ratio primarily reflected the impact of 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, 2018, Citi expects that the negative $3.9 billion impact to AOCI in such a scenario could potentially be offset over approximately 18 months.
The following table shows the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio under four different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies.
In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 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$758
$755
$40
$(52)
All other currencies661
585
37
(36)
Total$1,419
$1,340
$77
$(88)
Estimated initial impact to AOCI (after-tax)(1)
$(3,920)$(2,405)$(1,746)$1,252
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(28)(16)(14)9
Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.
(1)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

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


Changes in Foreign Exchange Rates—Impacts on AOCI
and Capital
As of December 31, 2018, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.4 billion, or 1.0%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro and the Australian dollar.
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 19 to the Consolidated Financial Statements.
 For the quarter ended
In millions of dollars, except as otherwise notedDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Change in FX spot rate(1)
(1.6)%(0.2)%(1.2)%
Change in TCE due to FX translation, net of hedges$(491)$(354)$(498)
As a percentage of TCE(0.3)%(0.2)%(0.3)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
  to changes in FX translation, net of hedges (bps)
(1)—
(5)

(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
abs2018a01.jpg
In millions of dollars, except as otherwise noted2018 2017 2016 Change 
 2018 vs. 2017		 Change 
 2017 vs. 2016		 
Interest revenue(1)
$71,082
 $62,075
 $58,450
 15% 6 % 
Interest expense(2)
24,266
 16,518
 12,512
 47
 32
 
Net interest revenue$46,816
 $45,557
 $45,938
 3% (1)% 
Interest revenue—average rate4.08% 3.71% 3.67% 37
bps4
bps
Interest expense—average rate1.77
 1.28
 1.03
 49
bps25
bps
Net interest margin(3)
2.69
 2.73
 2.88
 (4)bps(15)bps
Interest rate benchmarks          
Two-year U.S. Treasury note—average rate2.53% 1.40% 0.83% 113
bps57
bps
10-year U.S. Treasury note—average rate2.91
 2.33
 1.83
 58
bps50
bps
10-year vs. two-year spread38
bps93
bps100
bps 
   

Note: All interest expense amounts include FDIC insurance assessments, as well as similar deposit insurance assessments outside of the U.S. As of the fourth quarter of 2018, Citi’s FDIC surcharge was eliminated (approximately $130 million per quarter).
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax raterates of 21% in 2018 and 35%) in 2017 and 2016) of $487$254 million, $498$496 million and $521$462 million for 2015, 20142018, 2017 and 2013,2016, respectively.
(2)
Interest rates and amounts include the effects of risk management activitiesexpense 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.

101


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 rates201520142013201520142013201520142013
Liabilities         
Deposits         
In U.S. offices(5)
$273,122
$289,669
$262,544
$1,291
$1,432
$1,754
0.47%0.49%0.67%
In offices outside the U.S.(6)
425,053
465,144
481,134
3,761
4,260
4,482
0.88
0.92
0.93
Total$698,175
$754,813
$743,678
$5,052
$5,692
$6,236
0.72%0.75%0.84%
Federal funds purchased and securities loaned or sold under agreements to repurchase(7)
      





In U.S. offices$108,286
$102,246
$126,742
$721
$656
$677
0.67%0.64%0.53%
In offices outside the U.S.(6)
66,200
87,777
102,623
893
1,239
1,662
1.35
1.41
1.62
Total$174,486
$190,023
$229,365
$1,614
$1,895
$2,339
0.93%1.00%1.02%
Trading account liabilities(8)(9)
      





In U.S. offices$25,837
$30,451
$24,834
$111
$75
$93
0.43%0.25%0.37%
In offices outside the U.S.(6)
44,126
45,205
47,908
105
93
76
0.24
0.21
0.16
Total$69,963
$75,656
$72,742
$216
$168
$169
0.31%0.22%0.23%
Short-term borrowings(10)
      





In U.S. offices$66,086
$79,028
$77,439
$234
$161
$176
0.35%0.20%0.23%
In offices outside the U.S.(6)
50,043
39,220
35,551
288
419
421
0.58
1.07
1.18
Total$116,129
$118,248
$112,990
$522
$580
$597
0.45%0.49%0.53%
Long-term debt(11)
      





In U.S. offices$182,371
$194,295
$194,140
$4,309
$5,093
$6,602
2.36%2.62%3.40%
In offices outside the U.S.(6)
7,643
7,761
10,194
208
262
234
2.72
3.38
2.30
Total$190,014
$202,056
$204,334
$4,517
$5,355
$6,836
2.38%2.65%3.35%
Total interest-bearing liabilities$1,248,767
$1,340,796
$1,363,109
$11,921
$13,690
$16,177
0.95%1.02%1.19%
Demand deposits in U.S. offices$26,124
$26,216
$21,948
      
Other non-interest-bearing liabilities(8)
329,756
317,351
299,052
      
Total liabilities from discontinued operations—
—
362
      
Total liabilities$1,604,647
$1,684,363
$1,684,471
      
Citigroup stockholders’ equity(12)
$217,875
$210,863
$196,884
      
Noncontrolling interest1,315
1,689
1,941
      
Total equity(12)
$219,190
$212,552
$198,825
      
Total liabilities and stockholders’ equity$1,823,837
$1,896,915
$1,883,296
      
Net interest revenue as a percentage of average interest-earning assets(13)
         
In U.S. offices$923,334
$953,394
$926,291
$28,495
$27,497
$25,591
3.09%2.88%2.76%
In offices outside the U.S.(6)
682,503
718,800
731,570
18,624
20,993
21,723
2.73
2.92
2.97
Total$1,605,837
$1,672,194
$1,657,861
$47,119
$48,490
$47,314
2.93%2.90%2.85%
(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 $487 million, $498 million and $521 million for 2015, 2014 and 2013, 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.

102


(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 thatwhich are classified as Long-term debt, as these obligations areand accounted for in changes inat fair value, recorded in Principal transactions.is reported together
(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)
 2015 vs. 20142014 vs. 2013
 
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)
$(154)$(78)$(232)$109
$(176)$(67)
Federal funds sold and securities borrowed or
  purchased under agreements to resell
      
In U.S. offices$(23)$200
$177
$(32)$(67)$(99)
In offices outside the U.S.(4)
(246)219
(27)(106)5
(101)
Total$(269)$419
$150
$(138)$(62)$(200)
Trading account assets(5)
      
In U.S. offices$(8)$481
$473
$(337)$81
$(256)
In offices outside the U.S.(4)
(342)(55)(397)(159)14
(145)
Total$(350)$426
$76
$(496)$95
$(401)
Investments(1)
      
In U.S. offices$464
$(121)$343
$319
$69
$388
In offices outside the U.S.(4)
(332)(224)(556)(31)(103)(134)
Total$132
$(345)$(213)$288
$(34)$254
Loans (net of unearned income)(6)
      
In U.S. offices$(521)$(997)$(1,518)$512
$(377)$135
In offices outside the U.S.(4)
(1,432)(1,303)(2,735)253
(1,190)(937)
Total$(1,953)$(2,300)$(4,253)$765
$(1,567)$(802)
Other interest-earning assets(7)
$239
$1,093
$1,332
$32
$(127)$(95)
Total interest revenue$(2,355)$(785)$(3,140)$560
$(1,871)$(1,311)
(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 ofwith any 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.

103


Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3)
 2015 vs. 20142014 vs. 2013
 
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$(80)$(61)$(141)$168
$(490)$(322)
In offices outside the U.S.(4)
(358)(141)(499)(147)(75)(222)
Total$(438)$(202)$(640)$21
$(565)$(544)
Federal funds purchased and securities loaned or sold under agreements to repurchase      
In U.S. offices$40
$25
$65
$(144)$123
$(21)
In offices outside the U.S.(4)
(293)(53)(346)(224)(199)(423)
Total$(253)$(28)$(281)$(368)$(76)$(444)
Trading account liabilities(5)
      
In U.S. offices$(13)$49
$36
$18
$(36)$(18)
In offices outside the U.S.(4)
(2)14
12
(4)21
17
Total$(15)$63
$48
$14
$(15)$(1)
Short-term borrowings(6)
      
In U.S. offices$(30)$103
$73
$4
$(19)$(15)
In offices outside the U.S.(4)
96
(227)(131)41
(43)(2)
Total$66
$(124)$(58)$45
$(62)$(17)
Long-term debt      
In U.S. offices$(301)$(483)$(784)$5
$(1,514)$(1,509)
In offices outside the U.S.(4)
(4)(50)(54)(65)93
28
Total$(305)$(533)$(838)$(60)$(1,421)$(1,481)
Total interest expense$(945)$(824)$(1,769)$(348)$(2,139)$(2,487)
Net interest revenue$(1,410)$39
$(1,371)$908
$268
$1,176
(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.


104

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 from derivatives counterparties and all associated hedges, fair value option loans, hedges to the loan portfolio and the leverage finance pipeline within capital markets origination withinas part of ICGPrincipal transactions .
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 revenues 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 qualityConsolidated Statements of counterparties as well as any associated hedges to that CVA. In addition, it excludes feesIncome and other revenue associated with capital markets origination activities. Trading-related revenues are driven by both customer flows and the changesis therefore not reflected in valuation of the trading inventory. As shown Interest expense in the chart, positive trading-related revenue was achieved for 97% of the trading days in 2015.



Daily Trading-Related Revenue (Loss) (1)— Twelve Months ended December 31, 2015
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.
(2)Occurred on January 15, 2015, principally related to the impact of the Swiss National Bank’s announcement removing the minimum exchange rate of Swiss franc per Euro.




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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 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 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 17% 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 and year-end Trading VAR decreased from 2014 to 2015, mainly due to changes in interest rate and credit spread exposures in the markets and securities services businesses within ICG. Trading and Credit Portfolio VAR also declined, although the decrease from Trading VAR was partially offset by additional hedging related to lending activities in 2015.




In millions of dollarsDecember 31, 20152015 AverageDecember 31, 20142014 Average
Interest rate$37
$44
$68
N/A
Credit spread56
69
87
N/A
Covariance adjustment(1)
(25)(26)(36)N/A
Fully diversified interest rate and credit spread$68
$87
$119
$114
Foreign exchange27
34
27
31
Equity17
17
17
24
Commodity17
19
23
16
Covariance adjustment(1)
(53)(65)(56)(73)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$76
$92
$130
$112
Specific risk-only component(3)
$11
$6
$10
$12
Total trading VAR—general market risk factors only (excluding credit portfolios)(2)
$65
$86
$120
$100
Incremental impact of the credit portfolio(4)
$22
$25
$18
$21
Total trading and credit portfolio VAR$98
$117
$148
$133

(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 from ICG and Citi Holdings, 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.table above.
(3)The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
(4)
The credit portfolioCiti’s net interest margin (NIM) 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.
calculated by dividing net interest revenue by average interest-earning assets.


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Citi’s net interest revenue in the fourth quarter of 2018 increased 5% to $11.9 billion ($12.0 billion on a taxable equivalent basis) versus the prior-year period. Excluding the impact of FX translation, net interest revenue increased 8%, or approximately $0.9 billion. This increase was primarily due to higher net interest revenue ($11.7 billion, up approximately 14% or $1.4 billion) from Citi’s core accrual activities, which is mainly generated by its deposit and lending businesses. The table below provides the range of market factor VARsincrease in core accrual net interest revenue was partially offset by lower trading-related net interest revenue ($0.1 billion, down approximately 83% or $0.4 billion), largely due to higher wholesale funding costs, and lower net interest revenue associated with Citi’s total trading VAR, inclusivethe wind-down of specific risk:legacy assets in Corporate/Other ($0.1 billion, down approximately 45% or
 20152014
In millions of dollarsLowHighLowHigh
Interest rate$28
$84
N/A
N/A
Credit spread56
94
N/A
N/A
Fully diversified interest rate and credit spread$65
$127
$84
$158
Foreign exchange20
54
20
59
Equity9
35
14
48
Commodity12
37
11
27
Total trading$70
$140
$84
$163
Total trading and credit portfolio89
158
96
188
Note: No covariance adjustment can be inferred from$0.1 billion). The increase in core accrual net interest revenue was mainly driven by the above tabledeployment of cash into better yielding assets, including loans, an improved loan mix and higher interest rates, as well as the high and lowimpact of elimination of the FDIC surcharge. As previously disclosed, in 2016, the FDIC commenced imposing a surcharge on depository institutions, including Citibank, to increase the deposit insurance fund reserve ratio until it reached 1.35%, which occurred as of the end of the third quarter of 2018.
Citi’s net interest revenue for each market factor will be from different closethe full year increased 3% to $46.6 billion ($46.8 billion on a taxable equivalent basis) versus the prior year. Excluding the impact of business dates.FX translation, Citi’s net interest revenue increased by approximately $2.0 billion, as higher core accrual net interest revenue

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, 2015
Total—all market risk factors, including general and specific risk$71
Average—during year$85
High—during year129
Low—during year65

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 multiple sub-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(approximately $44.1 billion, up 10% or $4.1 billion) was offset 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,lower trading-related net interest feesrevenue (approximately $1.0 billion, down 62% or $1.7 billion), largely driven by higher wholesale funding costs, 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.


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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 2015. As of December 31, 2015, there was one back-testing exception observed for Citi’s Regulatory VAR for the prior 12 months. As previously disclosed, trading losses on January 15, 2015 exceeded the VAR estimate at the Citigroup level following the Swiss National Bank’s announcement removing the minimum exchange rate of Swiss franc per Euro.
The difference between the38%of days with buy-and-hold gains for Regulatory VAR back-testing and the 97% of days with trading,lower net interest and other revenue associated with legacy assets in Corporate/Other (approximately $0.8 billion, down 38% or $0.5 billion). The increase in core accrual net interest revenue was primarily due to loan growth, an improved loan mix, and higher interest rates.
Citi’s trading businesses shownNIM was 2.71% on a taxable equivalent basis in the histogramfourth quarter of daily2018, an increase of 1 basis point (bp) from the third quarter of 2018, driven primarily by the increase in core accrual net interest revenue, and the impact of the elimination of the FDIC surcharge, partially offset by lower trading-related revenue above reflects, among other things, that a significant portionNIM. Citi’s core accrual NIM was 3.72%, an increase of Citi’s trading-related revenue is not generated12 bps from daily price movements on these positionsthe third quarter of 2018, primarily driven by the deployment of cash into better yielding assets, including loans, an improved loan mix and exposures,higher interest rates, as well as differencesthe impact of elimination of the FDIC surcharge. On a full-year basis, Citi’s NIM was 2.69% on a taxable equivalent basis, compared to 2.73% in 2017, a decrease of 4 bps. Citi’s full-year core accrual NIM was 3.61%, an increase of 13 bps from the portfolio compositionprior year, primarily driven by loan growth, an improved loan mix and higher interest rates. (Citi’s core accrual net interest revenue and core accrual NIM are non-GAAP financial measures. Citi believes the presentation of Regulatory VARits net interest revenue and Risk Management VAR.

NIM on a core accrual basis provides a meaningful depiction for investors of the underlying fundamentals of its businesses).


Regulatory Trading VAR and Associated Buy-and-Hold Profit and Loss (1)—12 Months ended December 31, 2015
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 chart below of Daily Trading-related revenue.





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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 performed 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.



High-Quality Liquid Assets (HQLA)
 CitibankNon-bank and OtherTotal
In billions of dollarsDec. 31, 2018Sept. 30, 2018Dec. 31, 2017Dec. 31, 2018Sept. 30, 2018Dec. 31, 2017Dec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Available cash$97.1
$105.1
$94.3
$27.6
$35.1
$30.9
$124.7
$140.2
$125.2
U.S. sovereign103.2
102.2
113.2
24.0
29.7
27.9
127.2
131.9
141.1
U.S. agency/agency MBS60.0
56.4
80.8
5.8
6.5
0.5
65.8
62.9
81.3
Foreign government debt(1)
76.8
74.9
80.5
6.3
9.6
16.4
83.2
84.5
96.9
Other investment grade1.5
0.2
0.7
1.3
1.1
1.2
2.8
1.3
1.9
Total HQLA (AVG)$338.6
$338.8
$369.5
$65.1
$82.0
$76.9
$403.7
$420.8
$446.4

Note: The amounts set forth in the table above are presented on an average basis. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts that would be required for securities financing transactions.
(1)Foreign government debt includes securities issued or guaranteed by foreign sovereigns, agencies and multilateral development banks. Foreign government debt securities are held largely to support local liquidity requirements and Citi’s local franchises and principally include government bonds from Hong Kong, Singapore, Korea, Taiwan, India, Mexico and Brazil.

The table above includes average amounts of HQLA held at Citigroup’s operating entities that are eligible for inclusion in the calculation of Citigroup’s consolidated LCR, pursuant to the U.S. LCR rules. These amounts include the HQLA needed to meet the minimum requirements at these entities and any amounts in excess of these minimums that are assumed to be transferable to Citigroup. While available liquidity resources at operating entities remained largely unchanged, the amount of HQLA included in the table above declined both year-over-year and quarter-over-quarter as less HQLA in the operating entities was eligible for inclusion in the consolidated metric. Quarter-over-quarter, the decline in HQLA was also driven by balance sheet optimization as Citi deployed cash to fund loan growth and reduce debt levels.
Citi’s HQLA does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLBs) of which Citi is a member, which was approximately $29 billion as of December 31, 2018 (unchanged from September 30, 2018 and compared to $10 billion as of December 31, 2017) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.
In general, Citi’s liquidity is fungible across legal entities within its bank group. Citi’s bank subsidiaries, including Citibank, can lend to the Citi parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act. As of December 31, 2018, the capacity available for lending to these entities under Section 23A was approximately $15 billion, unchanged from both September 30, 2018 and December 31, 2017, subject to certain eligible non-cash collateral requirements.

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%.
The table below details the components of Citi’s LCR calculation and HQLA in excess of net outflows for the periods indicated:
In billions of dollarsDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
HQLA$403.7
$420.8
$446.4
Net outflows334.8
350.8
364.3
LCR121%120%123%
HQLA in excess of net outflows$68.9
$70.0
$82.1

Note: The amounts are presented on an average basis.


Citi’s LCR decreased year-over-year, driven by a decline in average HQLA, partially offset by a decline in modeled net outflows. Quarter-over-quarter, Citi’s LCR increased slightly, as a decline in modeled net outflows more than offset the decline in average HQLA (see “High-Quality Liquid Assets” above).

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 and encumbrance period 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, 2018, it will need to evaluate a final version of the rules, which are expected to be released in 2019. Citi expects that the NSFR final rules implementation period will be communicated along with the final version of the rules.

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 details the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
In billions of dollarsDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Global Consumer Banking   
North America$195.7
$192.8
$189.7
Latin America25.1
26.3
25.7
Asia(1)
87.6
87.7
87.9
Total$308.4
$306.8
$303.3
Institutional Clients Group   
Corporate lending$130.0
$130.9
$124.9
Treasury and trade solutions (TTS)77.0
76.9
77.0
Private bank94.7
92.8
85.9
Markets and securities services and other
49.3
45.6
40.4
Total$351.0
$346.2
$328.2
Total Corporate/Other
$16.1
$17.3
$22.5
Total Citigroup loans (AVG)$675.5
$670.3
$654.0
Total Citigroup loans (EOP)$684.2
$674.9
$667.0

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

Loans increased 3% year-over-year and 1% quarter-over-quarter in the fourth quarter, on both an end-of-period as well as on an average basis.
Excluding the impact of FX translation, average loans increased 4% year-over-year, driven by 6% aggregate across GCB and ICG. Within GCB, average loans grew 3%, with growth across all regions and businesses, with particular strength in North America GCB driven by Citi-branded cards and Citi retail services, including the impact of the L.L.Bean card portfolio acquisition.
Average ICG loans increased 8% year-over-year, with continued growth across businesses. Corporate lending and private bank loan growth remained strong on a year-over-year basis, with corporate lending unchanged quarter-over-quarter due to the episodic nature of repayments relative to originations. TTS loans grew year-over-year, however growth moderated to 2%, despite continued strong origination volumes, as Citi utilized its distribution capabilities to optimize the balance sheet and drive returns. Finally, strong year-over-year Markets and securities services loan growth was driven by Community Reinvestment Act lending activities as well as residential warehouse lending.
Average Corporate/Other loans continued to decline (down 32%), driven by the wind-down of legacy assets.


Deposits
The table below details the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
In billions of dollarsDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Global Consumer Banking   
North America$180.6
$180.2
$182.7
Latin America28.2
29.4
27.8
Asia(1)
97.7
97.6
96.0
Total$306.5
$307.2
$306.5
Institutional Clients Group   
Treasury and trade solutions (TTS)$470.8
$456.7
$444.5
Banking ex-TTS128.4
124.6
126.9
Markets and securities services86.7
86.7
82.9
Total$685.9
$668.0
$654.4
Total Corporate/Other
$13.3
$10.6
$12.4
Total Citigroup deposits (AVG)$1,005.7
$985.7
$973.3
Total Citigroup deposits (EOP)$1,013.2
$1,005.2
$959.8
(1)
Includes deposits in certain EMEA countriesfor all periods presented.

End-of-period deposits increased 6% year-over-year and 1% quarter-over-quarter. On an average basis, deposits increased 3% year-over-year and 2% quarter-over-quarter.
Excluding the impact of FX translation, average deposits increased 5% year-over-year. In GCB, deposits increased 1%, as strong growth in Asia GCB and Latin America GCB more than offset a 1% decline in North America GCB, as clients transferred cash into investment accounts.
In ICG, deposits increased 6%, primarily driven by continued high-quality deposit growth in TTS.

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 maturity of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year was approximately 6.8 years as of December 31, 2018, a slight decline from 6.9 years as of September 30, 2018 and unchanged from the prior year.
Citi’s long-term debt outstanding at the parent company includes senior and subordinated debt and what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and supplements benchmark debt issuance as a source of funding for Citi’s non-bank entities.
Citi’s long-term debt at the bank also includes benchmark senior debt, FHLB advances and securitizations.

Long-Term Debt Outstanding
The following table details Citi’s end-of-period total long-term debt outstanding for each of the dates indicated:
In billions of dollarsDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Parent and other(1)
   
Benchmark debt:   
Senior debt$104.6
$107.2
$109.8
Subordinated debt24.5
25.1
26.9
Trust preferred1.7
1.7
1.7
Customer-related debt37.1
35.4
30.7
Local country and other(2)
2.9
3.8
1.8
Total parent and other$170.8
$173.2
$170.9
Bank   
FHLB borrowings$10.5
$10.5
$19.3
Securitizations(3)
28.4
27.4
30.3
CBNA benchmark senior debt18.8
21.0
12.5
Local country and other(2)
3.5
3.2
3.7
Total bank$61.2
$62.1
$65.8
Total long-term debt$232.0
$235.3
$236.7
Note: Amounts represent the current value of long-term debt on Citi’s Consolidated Balance Sheet which, for certain debt instruments, includes consideration of fair value, hedging impacts and unamortized discounts and premiums.
(1)“Parent and other” 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 December 31, 2018, “parent and other” included $27.0 billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Citi’s total long-term debt outstanding decreased both year-over-year and quarter-over-quarter. The decrease year-over-year was primarily driven by a decline in long-term debt at the bank, as declines in FHLB advances more than offset an increase in unsecured senior benchmark debt. At the parent, long-term debt remained largely unchanged year-over-year, as declines in unsecured benchmark debt were largely offset by increases in customer-related debt. Quarter-over-quarter, the decrease was driven primarily by declines in unsecured senior debt at the parent and 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. During 2018, Citi repurchased an aggregate of approximately $5.4 billion of its outstanding long-term debt, including early redemptions of FHLB advances.


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:
 201820172016
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other      
Benchmark debt:      
Senior debt$18.5
$14.8
$14.1
$21.6
$14.9
$26.0
Subordinated debt2.9
0.6
1.6
1.3
3.2
4.0
Customer-related debt6.6
16.9
7.6
12.3
10.2
10.5
Local country and other1.2
2.3
1.2
0.1
2.1
2.2
Total parent and other$29.2
$34.6
$24.5
$35.3
$30.4
$42.7
Bank      
FHLB borrowings$15.8
$7.9
$7.8
$5.5
$10.5
$14.3
Securitizations8.6
6.8
5.3
12.2
10.7
3.3
CBNA benchmark senior debt2.3
8.5
—
12.6
—
—
Local country and other2.2
2.9
3.4
2.4
3.9
3.4
Total bank$28.9
$26.1
$16.5
$32.7
$25.1
$21.0
Total$58.1
$60.7
$41.0
$68.0
$55.5
$63.7

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) in 2018, as well as its aggregate expected annual long-term debt maturities as of December 31, 2018:
 Maturities
In billions of dollars201820192020202120222023ThereafterTotal
Parent and other        
Benchmark debt:        
Senior debt$18.5
$14.1
$8.8
$14.1
$8.1
$12.5
$46.9
$104.6
Subordinated debt2.9
—
—
—
0.7
1.1
22.6
24.5
Trust preferred—
—
—
—
—
—
1.7
1.7
Customer-related debt6.6
3.7
6.8
3.4
2.6
2.8
17.8
37.1
Local country and other1.2
2.0
0.1
0.2
0.1
—
0.7
2.9
Total parent and other$29.2
$19.8
$15.7
$17.7
$11.5
$16.4
$89.7
$170.8
Bank        
FHLB borrowings$15.8
$5.6
$4.9
$—
$—
$—
$—
$10.5
Securitizations8.6
7.9
6.0
5.7
2.2
2.5
4.0
28.4
CBNA benchmark senior debt2.3
4.7
8.7
5.0
—
—
0.3
18.8
Local country and other2.2
0.6
2.0
0.2
0.4
0.1
0.4
3.5
Total bank$28.9
$18.8
$21.6
$10.9
$2.6
$2.6
$4.7
$61.2
Total long-term debt$58.1
$38.6
$37.3
$28.6
$14.1
$19.0
$94.4
$232.0

Resolution Plan
Citi is required under Title I of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act) and the rules promulgated by the FDIC and FRB to periodically submit a plan for Citi’s rapid and orderly resolution under the U.S. Bankruptcy Code in the event of material financial distress or failure. For additional information on Citi’s resolution plan submissions, see “Risk Factors—Strategic Risks” above. Citigroup’s preferred resolution strategy is “single point of entry” under the U.S. Bankruptcy Code. 
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 FRB’s and FDIC’s 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. Accordingly, any value realized by holders of its unsecured long-term debt may not be sufficient to repay the amounts owed to such debt holders in the event of a bankruptcy or other resolution proceeding of Citigroup.
The FDIC has also indicated that it was developing a single point of entry strategy to implement its resolution authority under Title II of the Dodd-Frank Act.
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:

(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 2016, the Federal Reserve Board imposed minimum external TLAC and long-term debt (LTD) requirements on U.S. global systemically important bank holding companies (GSIBs), including Citi, effective as of January 1, 2019. As a result, 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, as described further below. The intended purpose of the requirements is to facilitate the orderly resolution of U.S. GSIBs under the U.S. Bankruptcy Code and Title II of the Dodd-Frank Act. Citi believes it exceeded the minimum TLAC and LTD requirements as of December, 31, 2018. For additional information, see “Risk Factors—Compliance, Conduct and Legal Risks” above.

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 for 2019). Accordingly, Citi estimates its total current minimum TLAC requirement is 22.5% of RWA for 2019.

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 for 2019), for a total current requirement of 9% of RWA for Citi, and (ii) 4.5% of the GSIB’s total leverage exposure.
For additional discussion of the method 1 and method 2 GSIB capital surcharge methodologies, see “Capital Resources—Current Regulatory Capital Standards” above.


Secured Funding Transactions and Short-Term Borrowings
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 17 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 decreased both year-over-year (27% decrease) and quarter-over-quarter (4% decrease), driven primarily by Citi’s continued efforts to optimize its funding profile.

Secured Funding
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to efficiently fund both (i) secured lending activity and (ii) a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which 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 $178 billion as of December 31, 2018 increased 14% from the prior year and 1% from the prior quarter. Excluding the impact of FX translation, secured funding increased 17% from the prior year and 2% from the prior quarter, both driven by normal business activity. Average balances for secured funding were $177 billion for the quarter ended December 31, 2018.
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, 2018.
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.


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 years:
 
Federal funds purchased and securities sold under
agreements to repurchase
Short-term borrowings(1)
Commercial paper(2)
Other short-term borrowings(3)
In billions of dollars201820172016201820172016201820172016
Amounts outstanding at year end$177.8
$156.3
$141.8
$13.2
$9.9
$10.0
$19.1
$34.5
$20.7
Average outstanding during the year(4)(5)
172.1
157.7
158.1
11.8
10.0
10.0
26.5
23.2
14.8
Maximum month-end outstanding191.2
163.0
171.7
13.2
10.1
10.2
34.0
34.5
20.9
Weighted-average interest rate         
During the year(4)(5)(6)
2.84%1.69%1.21%2.19%1.27%0.80%4.17%2.81%2.32%
At year end(7)
   1.95
1.28
0.79
2.99
1.62
1.39

(1)Original maturities of less than one year.
(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 sold under agreements to repurchase are reported net pursuant to ASC 210-20-45; average rates exclude the impact of 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.




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 shows the ratings for Citigroup and Citibank as of December 31, 2018. While not included in the table below, the long- and short-term ratings of Citigroup Global Markets Holding Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/F1 at Fitch as of December 31, 2018.
.
Citigroup Inc.Citibank, N.A.
Ratings as of December 31, 2018
Senior
debt
Commercial
paper
Outlook
Long-
term
Short-
term
Outlook
Fitch Ratings (Fitch)AF1StableA+F1Stable
Moody’s Investors Service (Moody’s)Baa1P-2Under reviewA1P-1
Under
review
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable

Recent Credit Ratings Developments
On November 29, 2018, Moody's placed the long-term ratings of Citigroup and Citibank, N.A. on "Review for Possible Upgrade." Over the course of the review period, Moody’s will assess, among other things, Citi’s ability to achieve its medium-term efficiency and profitability targets while maintaining strong governance and risk controls.
On February 21, 2019, Moody’s upgraded the ratings for long-term debt, deposits and counterparty risk of Citigroup and certain of its subsidiaries, as well as the baseline credit assessment (BCA) of Citibank, N.A. In addition, Moody's affirmed all short-term ratings and assessments of Citigroup and those subsidiaries. The ratings outlook was changed to “Stable” from “Review for Possible Upgrade.”

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

 Citigroup Inc. and Citibank—Potential Derivative Triggers
As of December 31, 2018, 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 $0.2 billion, compared to $0.4 billion as of September 30, 2018. 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, 2018, 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 $0.5 billion, compared to $1.2 billion as of September 30, 2018.
In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in increased aggregate cash obligations and collateral requirements of approximately $0.7 billion, compared to $1.6 billion as of September 30, 2018 (see also Note 22 to the Consolidated Financial Statements). As detailed under “High-Quality Liquid Assets” above, the liquidity resources that are eligible for inclusion in the calculation of Citi’s consolidated HQLA were approximately $339billion for Citibank and $65 billion for Citi’s non-bank and other entities, for a total of approximately $404 billion as of December 31, 2018. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to,

selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.
Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential downgrade of Citibank’s senior debt/long-term rating across any of the three major rating agencies could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of December 31, 2018, Citibank had liquidity commitments of approximately $13.2 billion to consolidated asset-backed commercial paper conduits, compared to $12.1 billion as of September 30, 2018 (as referenced in Note 21 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.


MARKET RISK

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. Market risk emanates from both Citi’s trading and non-trading portfolios. For additional information on market risk, see “Risk Factors” above.
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 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 debt securities 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 shows the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio, each assuming an unanticipated parallel instantaneous 100 bps increase in interest rates:
In millions of dollars, except as otherwise notedDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Estimated annualized impact to net interest revenue   
U.S. dollar(1)
$758
$879
$1,471
All other currencies661
649
598
Total$1,419
$1,528
$2,069
As a percentage of average interest-earning assets0.08%0.09%0.12%
Estimated initial impact to AOCI (after-tax)(2)(3)
$(3,920)$(4,597)$(4,853)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(28)(31)(35)
(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 $(242) million for a 100 bps instantaneous increase in interest rates as of December 31, 2018.
(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.

The 2018 decrease in the estimated impact to net interest revenue primarily reflected changes in Citi’s balance sheet composition, including increased sensitivity in deposits combined with loan growth, and Citi Treasury positioning. The 2018 changes in the estimated impact to AOCI and the Common Equity Tier 1 Capital ratio primarily reflected the impact of 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, 2018, Citi expects that the negative $3.9 billion impact to AOCI in such a scenario could potentially be offset over approximately 18 months.
The following table shows the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio under four different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies.
In millions of dollars, except as otherwise notedScenario 1Scenario 2Scenario 3Scenario 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$758
$755
$40
$(52)
All other currencies661
585
37
(36)
Total$1,419
$1,340
$77
$(88)
Estimated initial impact to AOCI (after-tax)(1)
$(3,920)$(2,405)$(1,746)$1,252
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(28)(16)(14)9
Note: Each scenario assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year rate are interpolated.
(1)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.

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


Changes in Foreign Exchange Rates—Impacts on AOCI
and Capital
As of December 31, 2018, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.4 billion, or 1.0%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro and the Australian dollar.
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further affect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 19 to the Consolidated Financial Statements.
 For the quarter ended
In millions of dollars, except as otherwise notedDec. 31, 2018Sept. 30, 2018Dec. 31, 2017
Change in FX spot rate(1)
(1.6)%(0.2)%(1.2)%
Change in TCE due to FX translation, net of hedges$(491)$(354)$(498)
As a percentage of TCE(0.3)%(0.2)%(0.3)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
  to changes in FX translation, net of hedges (bps)
(1)—
(5)

(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
abs2018a01.jpg
In millions of dollars, except as otherwise noted2018 2017 2016 Change 
 2018 vs. 2017		 Change 
 2017 vs. 2016		 
Interest revenue(1)
$71,082
 $62,075
 $58,450
 15% 6 % 
Interest expense(2)
24,266
 16,518
 12,512
 47
 32
 
Net interest revenue$46,816
 $45,557
 $45,938
 3% (1)% 
Interest revenue—average rate4.08% 3.71% 3.67% 37
bps4
bps
Interest expense—average rate1.77
 1.28
 1.03
 49
bps25
bps
Net interest margin(3)
2.69
 2.73
 2.88
 (4)bps(15)bps
Interest rate benchmarks          
Two-year U.S. Treasury note—average rate2.53% 1.40% 0.83% 113
bps57
bps
10-year U.S. Treasury note—average rate2.91
 2.33
 1.83
 58
bps50
bps
10-year vs. two-year spread38
bps93
bps100
bps 
   

Note: All interest expense amounts include FDIC insurance assessments, as well as similar deposit insurance assessments outside of the U.S. As of the fourth quarter of 2018, Citi’s FDIC surcharge was eliminated (approximately $130 million per quarter).
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 2018 and 35% in 2017 and 2016) of $254 million, $496 million and $462 million for 2018, 2017 and 2016, 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 net interest revenue by average interest-earning assets.

Citi’s net interest revenue in the fourth quarter of 2018 increased 5% to $11.9 billion ($12.0 billion on a taxable equivalent basis) versus the prior-year period. Excluding the impact of FX translation, net interest revenue increased 8%, or approximately $0.9 billion. This increase was primarily due to higher net interest revenue ($11.7 billion, up approximately 14% or $1.4 billion) from Citi’s core accrual activities, which is mainly generated by its deposit and lending businesses. The increase in core accrual net interest revenue was partially offset by lower trading-related net interest revenue ($0.1 billion, down approximately 83% or $0.4 billion), largely due to higher wholesale funding costs, and lower net interest revenue associated with the wind-down of legacy assets in Corporate/Other ($0.1 billion, down approximately 45% or
$0.1 billion). The increase in core accrual net interest revenue was mainly driven by the deployment of cash into better yielding assets, including loans, an improved loan mix and higher interest rates, as well as the impact of elimination of the FDIC surcharge. As previously disclosed, in 2016, the FDIC commenced imposing a surcharge on depository institutions, including Citibank, to increase the deposit insurance fund reserve ratio until it reached 1.35%, which occurred as of the end of the third quarter of 2018.
Citi’s net interest revenue for the full year increased 3% to $46.6 billion ($46.8 billion on a taxable equivalent basis) versus the prior year. Excluding the impact of FX translation, Citi’s net interest revenue increased by approximately $2.0 billion, as higher core accrual net interest revenue

(approximately $44.1 billion, up 10% or $4.1 billion) was offset by lower trading-related net interest revenue (approximately $1.0 billion, down 62% or $1.7 billion), largely driven by higher wholesale funding costs, and lower net interest revenue associated with legacy assets in Corporate/Other (approximately $0.8 billion, down 38% or $0.5 billion). The increase in core accrual net interest revenue was primarily due to loan growth, an improved loan mix, and higher interest rates.
Citi’s NIM was 2.71% on a taxable equivalent basis in the fourth quarter of 2018, an increase of 1 basis point (bp) from the third quarter of 2018, driven primarily by the increase in core accrual net interest revenue, and the impact of the elimination of the FDIC surcharge, partially offset by lower trading-related NIM. Citi’s core accrual NIM was 3.72%, an increase of 12 bps from the third quarter of 2018, primarily driven by the deployment of cash into better yielding assets, including loans, an improved loan mix and higher interest rates, as well as the impact of elimination of the FDIC surcharge. On a full-year basis, Citi’s NIM was 2.69% on a taxable equivalent basis, compared to 2.73% in 2017, a decrease of 4 bps. Citi’s full-year core accrual NIM was 3.61%, an increase of 13 bps from the prior year, primarily driven by loan growth, an improved loan mix and higher interest rates. (Citi’s core accrual net interest revenue and core accrual NIM are non-GAAP financial measures. Citi believes the presentation of its net interest revenue and NIM on a core accrual basis provides a meaningful depiction for investors of the underlying fundamentals of its businesses).

Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)
Taxable Equivalent Basis
 Average volumeInterest revenue% Average rate
In millions of dollars, except rates201820172016201820172016201820172016
Assets         
Deposits with banks(4)
$177,294
$169,385
$131,925
$2,203
$1,635
$971
1.24%0.97%0.74%
Federal funds sold and securities borrowed or purchased under agreements to resell(5)
         
In U.S. offices$149,879
$141,308
$147,940
$3,818
$1,922
$1,483
2.55%1.36%1.00%
In offices outside the U.S.(4)
117,695
106,606
85,142
1,674
1,327
1,060
1.42
1.24
1.24
Total$267,574
$247,914
$233,082
$5,492
$3,249
$2,543
2.05%1.31%1.09%
Trading account assets(6)(7)
         
In U.S. offices$94,065
$99,755
$105,774
$3,706
$3,531
$3,791
3.94%3.54%3.58%
In offices outside the U.S.(4)
115,601
104,197
98,832
2,615
2,117
2,095
2.26
2.03
2.12
Total$209,666
$203,952
$204,606
$6,321
$5,648
$5,886
3.01%2.77%2.88%
Investments         
In U.S. offices         
Taxable$228,686
$226,227
$225,764
$5,331
$4,450
$3,980
2.33%1.97%1.76%
Exempt from U.S. income tax17,199
18,152
19,079
706
775
693
4.10
4.27
3.63
In offices outside the U.S.(4)
104,033
106,040
106,159
3,600
3,309
3,157
3.46
3.12
2.97
Total$349,918
$350,419
$351,002
$9,637
$8,534
$7,830
2.75%2.44%2.23%
Loans (net of unearned income)(8)
         
In U.S. offices$385,350
$371,711
$360,751
$28,627
$25,944
$24,240
7.43%6.98%6.72%
In offices outside the U.S.(4)
285,505
267,774
262,715
17,129
15,904
15,951
6.00
5.94
6.07
Total$670,855
$639,485
$623,466
$45,756
$41,848
$40,191
6.82%6.54%6.45%
Other interest-earning assets(9)
$67,269
$60,626
$50,003
$1,673
$1,161
$1,029
2.49%1.92%2.06%
Total interest-earning assets$1,742,576
$1,671,781
$1,594,084
$71,082
$62,075
$58,450
4.08%3.71%3.67%
Non-interest-earning assets(6)
$177,654
$203,657
$214,641
      
Total assets$1,920,230
$1,875,438
$1,808,725
      
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 2018 and 35% in 2017 and 2016) of $254 million, $496 million and $462 million for 2018, 2017 and 2016, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(6)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)Includes cash-basis loans.
(9)Includes brokerage receivables.

Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)
Taxable Equivalent Basis
 Average volumeInterest expense% Average rate
In millions of dollars, except rates201820172016201820172016201820172016
Liabilities         
Deposits         
In U.S. offices(4)
$338,060
$313,094
$288,817
$4,500
$2,530
$1,630
1.33%0.81%0.56%
In offices outside the U.S.(5)
453,793
436,949
429,608
5,116
4,057
3,670
1.13
0.93
0.85
Total$791,853
$750,043
$718,425
$9,616
$6,587
$5,300
1.21%0.88%0.74%
Federal funds purchased and securities loaned or sold under agreements to repurchase(6)
         
In U.S. offices$102,843
$96,258
$100,472
$3,320
$1,574
$1,024
3.23%1.64%1.02%
In offices outside the U.S.(5)
69,264
61,434
57,588
1,569
1,087
888
2.27
1.77
1.54
Total$172,107
$157,692
$158,060
$4,889
$2,661
$1,912
2.84%1.69%1.21%
Trading account liabilities(7)(8)
         
In U.S. offices$37,305
$33,399
$29,481
$612
$380
$242
1.64%1.14%0.82%
In offices outside the U.S.(5)
58,919
57,149
44,669
389
258
168
0.66
0.45
0.38
Total$96,224
$90,548
$74,150
$1,001
$638
$410
1.04%0.70%0.55%
Short-term borrowings(9)
         
In U.S. offices$85,009
$74,825
$61,015
$1,885
$684
$203
2.22%0.91%0.33%
In offices outside the U.S.(5)
23,402
22,837
19,184
324
375
274
1.38
1.64
1.43
Total$108,411
$97,662
$80,199
$2,209
$1,059
$477
2.04%1.08%0.59%
Long-term debt(10)
         
In U.S. offices$197,933
$192,079
$175,342
$6,386
$5,382
$4,180
3.23%2.80%2.38%
In offices outside the U.S.(5)
4,895
4,615
6,426
165
191
233
3.37
4.14
3.63
Total$202,828
$196,694
$181,768
$6,551
$5,573
$4,413
3.23%2.83%2.43%
Total interest-bearing liabilities$1,371,423
$1,292,639
$1,212,602
$24,266
$16,518
$12,512
1.77%1.28%1.03%
Demand deposits in U.S. offices$33,398
$37,824
$38,120
      
Other non-interest-bearing liabilities(7)
315,862
316,129
328,538
      
Total liabilities$1,720,683
$1,646,592
$1,579,260
      
Citigroup stockholders’ equity$198,681
$227,849
$228,346
      
Noncontrolling interests866
997
1,119
      
Total equity$199,547
$228,846
$229,465
      
Total liabilities and stockholders’ equity$1,920,230
$1,875,438
$1,808,725
      
Net interest revenue as a percentage of average interest-earning assets(11)
         
In U.S. offices$992,543
$970,439
$944,891
$28,157
$27,551
$27,929
2.84%2.84%2.96%
In offices outside the U.S.(5)
750,033
701,342
649,193
18,659
18,006
18,009
2.49
2.57
2.77
Total$1,742,576
$1,671,781
$1,594,084
$46,816
$45,557
$45,938
2.69%2.73%2.88%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rates of 21% in 2018 and 35% in 2017 and 2016) of $254 million, $496 million and $462 million for 2018, 2017 and 2016, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.
(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.

(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes brokerage payables.
(10)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as the changes in fair value for these obligations are recorded in Principal transactions.
(11)Includes allocations for capital and funding costs based on the location of the asset.

Analysis of Changes in Interest Revenue(1)(2)(3)
Taxable Equivalent Basis
 2018 vs. 20172017 vs. 2016
 
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)
$79
$489
$568
$317
$347
$664
Federal funds sold and securities borrowed or
  purchased under agreements to resell
      
In U.S. offices$123
$1,773
$1,896
$(69)$508
$439
In offices outside the U.S.(4)
146
201
347
267
—
267
Total$269
$1,974
$2,243
$198
$508
$706
Trading account assets(5)
      
In U.S. offices$(209)$384
$175
$(214)$(46)$(260)
In offices outside the U.S.(4)
245
253
498
111
(89)22
Total$36
$637
$673
$(103)$(135)$(238)
Investments(1)
      
In U.S. offices$32
$780
$812
$(9)$561
$552
In offices outside the U.S.(4)
(64)355
291
(4)156
152
Total$(32)$1,135
$1,103
$(13)$717
$704
Loans (net of unearned income)(6)
      
In U.S. offices$974
$1,709
$2,683
$749
$955
$1,704
In offices outside the U.S.(4)
1,062
163
1,225
304
(351)(47)
Total$2,036
$1,872
$3,908
$1,053
$604
$1,657
Other interest-earning assets(7)
$137
$375
$512
$207
$(75)$132
Total interest revenue$2,525
$6,482
$9,007
$1,659
$1,966
$3,625
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rates of 21% in 2018 and 35% in 2017 and 2016, 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)
Taxable Equivalent Basis
 2018 vs. 20172017 vs. 2016
 
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$216
$1,754
$1,970
$147
$753
$900
In offices outside the U.S.(4)
162
897
1,059
64
323
387
Total$378
$2,651
$3,029
$211
$1,076
$1,287
Federal funds purchased and securities loaned or
  sold under agreements to repurchase
      
In U.S. offices$115
$1,631
$1,746
$(45)$595
$550
In offices outside the U.S.(4)
151
331
482
62
137
199
Total$266
$1,962
$2,228
$17
$732
$749
Trading account liabilities(5)
      
In U.S. offices$49
$183
$232
$35
$103
$138
In offices outside the U.S.(4)
8
123
131
52
38
90
Total$57
$306
$363
$87
$141
$228
Short-term borrowings(6)
      
In U.S. offices$105
$1,096
$1,201
$55
$426
$481
In offices outside the U.S.(4)
9
(60)(51)57
44
101
Total$114
$1,036
$1,150
$112
$470
$582
Long-term debt      
In U.S. offices$168
$836
$1,004
$424
$778
$1,202
In offices outside the U.S.(4)
11
(37)(26)(72)30
(42)
Total$179
$799
$978
$352
$808
$1,160
Total interest expense$994
$6,754
$7,748
$779
$3,227
$4,006
Net interest revenue$1,531
$(272)$1,259
$880
$(1,261)$(381)
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 21% in 2018 and 35% in 2017 and 2016, 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 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, new product
approval, permitted product lists, and pre-trade approval for larger, more complex and less liquid transactions.
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 98.1% of the trading days in 2018.


Daily Trading-Related Revenue (Loss)(1)— Twelve Months ended December 31, 2018
In millions of dollars

varchart2018.jpg

(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 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 450,000 market factors, making use of approximately 350,000 time series, with sensitivities updated daily, volatility parameters updated intra-month 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 shown in the table below, Citi’s average trading VAR modestly decreased in 2018 compared to the prior year, mainly due to a minor reduction in average credit spreads, partially offset by a minor increase in interest rate exposure within ICG. Additionally, among secondary factors with limited contribution to Citi’s average VAR, equity risk increased mainly due to exposure changes in the Equities business, partially offset by a modest decrease in commodity exposures within ICG. The decrease in Citi’s average trading and credit portfolio VAR from 2018 was in line with the decrease in average trading VAR, as the average incremental impact of the credit portfolio was unchanged.



Year-end and Average Trading VAR and Trading and Credit Portfolio VAR
In millions of dollarsDecember 31, 20182018 AverageDecember 31, 20172017 Average
Interest rate$48
$60
$69
$58
Credit spread55
47
54
48
Covariance adjustment(1)
(23)(24)(25)(20)
Fully diversified interest rate and credit spread(2)
$80
$83
$98
$86
Foreign exchange18
25
25
25
Equity25
22
17
15
Commodity23
19
17
22
Covariance adjustment(1)
(66)(67)(63)(64)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$80
$82
$94
$84
Specific risk-only component(3)
$4
$4
$—
$1
Total trading VAR—general market risk factors only (excluding credit portfolios)$76
$78
$94
$83
Incremental impact of the credit portfolio(4)
$18
$10
$11
$10
Total trading and credit portfolio VAR$98
$92
$105
$94

(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, 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 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:
 20182017
In millions of dollarsLowHighLowHigh
Interest rate$34
$89
$29
$97
Credit spread38
64
38
63
Fully diversified interest rate and credit spread$59
$118
$59
$109
Foreign exchange13
44
16
49
Equity15
33
6
27
Commodity13
27
13
31
Total trading$56
$120
$58
$116
Total trading and credit portfolio66
124
67
123
Note: No covariance adjustment can be inferred 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, 2018
Total—all market risk factors, including general and specific risk$79
Average—during year$81
High—during year120
Low—during year55

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 model validation group within Citi’s Model Risk Management. 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 validation 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 2018. As of December 31, 2018, there was one back-testing exception observed for Citi’s Regulatory VAR for the prior 12 months, due to market moves triggered by political events in Italy.

The difference between the 49.8% of days with buy-and-hold gains for Regulatory VAR back-testing and the 98.1% 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, 2018
In millions of dollars
a2018buyandholdhistograma01.jpg
(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 Market Riskmarket risk management, 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 an 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-month timewhose market value changes are defined over a two-month 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.



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OPERATIONAL RISK

Overview
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 Citi’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 activity;
employment practices and workplace environment;
clients, products and business practices;
physical assets and infrastructure; and
execution, delivery and process management.

Citi manages operational risk consistent 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 Citi’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, Citi maintains a system ofhas 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 assessment (MCA) process (as described under “Compliance, Conduct(a process through which managers at Citi identify, monitor, measure, report on and Legal Risk—Compliance Risk” below)manage risks and the related controls) to help managers self-assess significant 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.
Each 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 indicators;
implement a process for early problem recognition and timely escalation;
produce comprehensive operational risk 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 Management Committee has been established to provide oversight for operational risk across 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 Committee 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 their organizations. These members cover multiple dimensions of risk management and include business and regional Chief Risk Officers and senior operational risk managers.
In addition, Riskrisk management, including Operational Risk Management, works proactively with 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 and the respective Chief Risk Officers to ensure effective implementation of the Operational Risk Management framework by focusing on (i) identification, analysis and assessment of operational risks;risks, (ii) effective challenge of key control issues and operational risks;risks and (iii) anticipation and mitigation of operational risk events.
Information 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. Projected operational risk losses under stress scenarios are also required as part of the Federal Reserve Board’s CCAR process.





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COUNTRY RISK

Emerging Markets 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 assets as of December 31, 2015. For
purposes of the table below, loan amounts are 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. Trading account assets and investment securities are generally categorized below based on the domicile of the issuer of the security or the underlying reference entity (for additional information on Citi’s operational risks, see “Risk Factors—Operational Risk” above.

Cybersecurity Risk
Cybersecurity risk is the business risk associated with the threat posed by a cyber attack, cyber breach or the failure to protect Citi’s most vital business information assets includedor operations, resulting in the table,a financial or reputational loss(for additional information, see the footnotesoperational systems and cybersecurity risk factors in “Risk Factors—Operational Risks” above). With an evolving threat landscape, ever increasing sophistication of cybersecurity attacks and use of new technologies to conduct financial transactions, Citi and its clients, customers and third parties are and will continue to be at risk for cyber attacks and information security incidents. Citi recognizes the table below).significance of these risks and, therefore, employs an intelligence-led strategy to prevent, detect, respond to, and recover from cyber attacks. Further, Citi actively participates in financial industry, government, and cross-sector knowledge sharing groups to enhance individual and collective cyber resilience.
Citi’s technology and cybersecurity risk management program is built on three lines of defense. Citi’s first line of defense includes its Information Protection Directorate and

As of December 31, 2015As of Sept. 30, 2015As of Dec. 31, 2014
GCB NCL Rate
In billions of dollars
Trading account assets(1)
Investment securities(2)
Corporate loans(3)
GCB loans
Aggregate(4)
Aggregate(4)
Aggregate(4)
4Q'153Q'154Q'14
Mexico$4.5
$16.5
$8.0
$25.5
$54.5
$55.1
$58.1
4.7 %4.7 %5.7 %
Korea1.5
9.3
3.0
19.7
33.5
34.4
34.8
0.4
0.5
0.8
India3.1
8.1
9.1
6.3
26.6
26.7
25.1
0.8
0.6
0.9
Singapore—
5.6
5.3
13.5
24.4
25.3
26.6
0.3
0.3
0.2
Hong Kong1.6
4.6
7.3
10.7
24.2
24.0
23.1
0.7
0.3
0.5
Brazil2.8
2.7
13.5
2.8
21.8
20.9
24.7
9.0
5.4
6.8
China2.2
3.4
7.1
4.8
17.5
18.8
19.6
0.9
0.6
0.9
Taiwan1.2
0.7
3.5
7.7
13.1
13.6
13.4
0.4
0.3
0.2
Poland0.7
4.1
1.5
2.7
9.0
9.1
10.0
(0.7)0.4
(1.7)
Malaysia0.4
0.3
1.6
4.6
6.9
6.5
8.3
0.7
0.8
0.7
Colombia—
0.4
2.4
1.6
4.4
4.6
4.8
3.4
3.0
3.4
Thailand0.2
1.2
0.9
1.9
4.2
4.4
4.5
3.2
2.9
2.8
UAE(0.2)—
2.6
1.6
4.0
3.9
3.8
3.4
2.7
1.9
Russia(5)
0.2
0.5
2.4
0.9
4.0
4.7
6.2
3.1
3.4
2.8
Indonesia0.1
0.7
1.7
1.2
3.7
3.9
4.4
7.8
6.7
3.3
Turkey(0.3)0.3
2.5
0.7
3.2
3.6
5.6
0.5
(0.3)(0.1)
Argentina(5)
0.4
0.4
1.3
1.1
3.2
3.8
2.9
0.4
0.6
1.0
Philippines0.1
0.4
0.6
1.0
2.1
2.2
2.5
3.6
3.7
3.8
South Africa—
0.8
1.1
—
1.9
2.7
3.3
—
—
—
Chile—
—
1.8
—
1.8
1.6
1.1
—
—
—

Note: Aggregate may not cross-foot due
Global Information Security group, which provides frontline business, operational and technical controls and capabilities to rounding. Prior periods have been reclassifiedprotect against cybersecurity risks, and to conformrespond to cyber incidents and data breaches. Citi manages these threats through state-of-the-art Fusion Centers, which serve as central command for monitoring and coordinating responses to cyber threats. The enterprise information security team is responsible for infrastructure defense and security controls, performing vulnerability assessments and third-party information security assessments, employee awareness and training programs, and security incident management, in each case working in coordination with a network of information security officers that are embedded within the businesses and functions on a global basis.
Citi’s Operational Risk Management-Technology and Cyber (ORM-T/C) and Independent Compliance Risk Management-Technology and Information Security (ICRM-T) groups serve as the second line of defense, and actively evaluate, anticipate and challenge Citi’s risk mitigation practices and capabilities. Internal audit serves as the third line of defense and independently provides assurance on how effectively the organization as a whole manages cybersecurity risk. Citi’s Information Security Risk Operating Committee (ISROC) has overall responsibility for information security across Citi, and facilitates communication, discussion, escalation and management of cyber risks across these functions.
Citi seeks to proactively identify and remediate technology and cybersecurity risks before they materialize as incidents that negatively affect business operations. Accordingly, the ORM-T/C team independently challenges and monitors capabilities in accordance with Citi’s defined Technology and Cyber Risk Appetite statements. To address evolving cybersecurity risks and corresponding regulations, ORM-T/C also monitors cyber legal and regulatory requirements, defines and identifies emerging risks, executes strategic cyber threat assessments, performs new products and initiative reviews, performs data management risk oversight, and conducts cyber risk assurance reviews (inclusive of third-party assessments). In addition, ORM-T/C employs and develops tools and metrics that are both tailored to cybersecurity and technology, and aligned with Citi’s overall operational risk management framework to effectively track, identify and manage risk.

COMPLIANCE RISK
Compliance riskis the risk to current period presentation.
(1)
Trading account assets are shown on a net basis and include derivative exposures where the underlying reference entity is located in that country. Does not include counterparty credit exposures.
(2)
Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost. Does not include investments accounted for under the equity method.
(3)
Corporate loans reflect funded loans within ICG, excluding the private bank, net of unearned income. In addition to the funded loans disclosed in the table above, through its ICG businesses (excluding the private bank), Citi had unfunded commitments to corporate customers in the emerging markets of approximately $34 billion as of December 31, 2015 (compared to $32 billion and $33 billion as of September 30, 2015 and December 31, 2014, respectively); no single country accounted for more than $4 billion of this amount. For information on private bank loans, see the narrative to the table below.
(4)
Aggregate of Trading account assets, Investment securities,Corporate loans and GCB loans, based on the methodologies described above.
(5)For additional information on Citi’s exposures in Russia and Argentina, see below.


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Emerging Markets Trading Account Assetsor projected financial condition and Investment Securities
Inresilience arising from violations of laws or regulations, or from nonconformance with prescribed practices, internal policies and procedures, or ethical standards. This risk exposes a bank to fines, civil money penalties, payment of damages, and the ordinary coursevoiding of business, Citi holds securities in its trading accounts and investment accounts, including those above. Trading account assets are markedcontracts. Compliance risk is not limited 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 orrisk from failure to comply with local regulatory requirements. Inconsumer protection laws; it encompasses the markets in the table above, approximately 99%risk of Citi’s investment securities were related to sovereign issuers as of December 31, 2015.

Emerging Markets Consumer Lending
GCB’s strategy within the emerging markets is consistentnoncompliance 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 affluentall laws 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, 2015, GCB had approximately $110 billion of consumer loans outstanding to borrowers in the emerging markets, or approximately 38% of GCB’s total loans, largely unchanged from September 30, 2015 and compared to $118 billion (41%) as of December 31, 2014. Of the approximate $110 billion as of December 31, 2015, the five largest emerging markets—Mexico, Korea, Singapore, Hong Kong and Taiwan—comprised approximately 27% of GCB’s total loans. Within the emerging markets, 30% of Citi’s GCB loans were mortgages, 26% were commercial markets loans, 24% were personal loans and 20% were credit card loans, each as of December 31, 2015.
Overall consumer credit quality remained generally stable in the fourth quarter of 2015, as net credit losses in the emerging markets were 1.9% of average loans, compared to 1.8% and 2.2% in the third quarter of 2015 and fourth quarter of 2014, respectively, consistent with Citi’s target market strategy and risk appetite framework. The increase in net credit losses in certain emerging market countries in Asia, such as Hong Kong and Indonesia, primarily related to Citi’s commercial banking business in such countries and was primarily due to the impact of lower commodity pricesregulations, as well as prudent ethical standards and contractual obligations. It also includes the slowdown in growth in the region. The increase in net credit losses in Brazil also relatedexposure to the commerciallitigation (known as legal risk) from all aspects of banking, businesstraditional and largely related to a wind-down portfolio in Brazil, where the losses were mostly offset by the release of previously-established loan loss reserves.nontraditional.
 
Emerging Markets Corporate Lending
Consistent with ICG’s overall strategy,Compliance risk spans across all risk types in Citi’s corporate clientsrisk governance framework and the risk categories outlined in the emerging marketsGovernance, Risk, Compliance (GRC) taxonomy. Citi seeks to operate with integrity, maintain strong ethical standards, and adhere to applicable policies, regulatory and legal requirements. Citi must maintain and execute a proactive Compliance Risk Management (CRM) Framework that is designed to change the way in which compliance risk is managed across Citi, with a view to fundamentally strengthen the compliance risk management culture across the lines of defense, taking into account Citi’s risk governance framework and regulatory requirements. Independent Compliance Risk Management’s (ICRM) primary objectives 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 managementto:

Establish, manage 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 manageoversee 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, 2015, corporate loans (excluding the private bank) were approximately $93 billion in the emerging markets, representing approximately 43% of total corporate loans outstanding, compared to $97 billion (43%) and $99 billion (47%) as of September 30, 2015 and December 31, 2014, respectively. No single emerging markets country accounted for more than 6% of Citi’s corporate loans asexecution of the end of the fourth quarter of 2015.
As of December 31, 2015, approximately 75% of Citi’s emerging markets corporate credit portfolio (excluding the private bank), including loans and unfunded lending commitments, was rated investment grade, which Citi considers to be ratings of BBBCRM Framework that facilitates enterprise-wide compliance with local, national or better according to its internal risk measurement system and methodology (for additional information oncross-border laws, rules or regulations, Citi’s internal risk measurement system for corporate credit, see “Corporate Credit” above). The majority of the remainder was rated BB or B according to Citi’s internal risk measurement systempolicies, standards and methodology.
The private bank, which is part of ICGprocedures and primarily serves high-net-worth individuals, had approximately $17 billion of loans in the emerging markets as of December 31, 2015, representing approximately 25% of the business’s total loans outstanding, unchanged from September 30, 2015 and compared to $17 billion (27%) as of December 31, 2014. Private bank loans are typically secured by liquid collateral or real estate and, consistent with the rest of the ICG loan portfolio, the business has a well-established risk appetite framework around its lending activities, including risk-based limits and approval authorities and portfolio concentration boundaries.
Overall ICG net credit losses in the emerging markets were 0.1% of average loans in the fourth quarter of 2015, compared to 0.0% and 0.4% in the third quarter of 2015 and fourth quarter of 2014, respectively. The ratio of non-accrual ICG loans to total loans in the emerging markets remained stable at 0.4% as of December 31, 2015.




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Argentina
As of December 31, 2015, Citi’s net investment in its Argentine operations was approximately $747 million, compared to $917 million at September 30, 2015 and $780 million at December 31, 2014.
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. Over the last several years, the Argentine government has imposed strict foreign exchange controls which have limited Citi’s ability to access U.S. dollars and other foreign currencies, repatriate capital and hedge its currency risk, among other impacts. In the latter part of 2015, however, Argentina elected a new president and the Argentine government took steps to loosen some of these foreign exchange controls. While these actions were encouraging, they did result in a devaluation of the Argentine peso to 13 pesos per one U.S. dollar at December 31, 2015, compared to 9.4 pesos per one U.S. dollar at September 30, 2015 and 8.6 pesos per one U.S. dollar at December 31, 2014.
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, 2015, Citi had cumulative translation losses related to its investment in Argentina, net of qualifying net investment hedges, of approximately $1.88 billion (pretax), which were recorded in stockholders’ equity. This compared to $1.66 billion (pretax) as of September 30, 2015 and $1.51 billion (pretax) as of December 31, 2014. 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. As of December 31, 2015, Citi’s total hedges against its net investment in Argentina were approximately $821 million (compared to $972 million as of September 30, 2015 and $810 million as of December 31, 2014). Of this amount, approximately $567 million consisted of foreign currency forwards that were recorded as net investment hedges under ASC 815 (compared to approximately $562 million as of September 30, 2015 and $420 million as of December 31, 2014). The remaining hedges of approximately $254 million as of December 31, 2015 (compared to $410 million as of September 30, 2015 and $390 million as of December 31, 2014) were net U.S. dollar-denominated assets and foreign currency futures in Citi Argentina that do not qualify for hedge accounting under ASC 815.
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 November 30, 2015, based on statistics published by INDEC, was approximately 57% (compared to 52% as of December 31, 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, 2015, Citi had total third-party assets of approximately $4.4 billion in Citi Argentina (unchanged from September 30, 2015 and compared to $4.1 billion at December 31, 2014), 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 $918 million, compared to approximately $562 million at September 30, 2015 and $550 million at December 31, 2014. The sequential increase in U.S. dollar-denominated assets was largely due to the Argentine government’s loosening of foreign exchange controls toward the end of 2015, as referenced above. (For additional information on Citi’s exposures related to Argentina, see “Emerging Markets Exposures” above.)
In addition to these foreign exchange and other economic risks, as widely reported, Argentina continues to be 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. Although Argentina has been in technical default of the U.S. court’s ruling since mid-2014, Argentina’s new president has announced that it will be a priority for his administration to attempt to settle the dispute, and in February 2016, Argentina restarted negotiations with its creditors, including the “holdout” investors.
Citi Argentina acted 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 Argentine law and payable in Argentina. In 2015, the U.S. court overseeing the Argentina litigation ruled that Citi Argentina’s processing of interest payments on these bonds, as custodian, was prohibited by the court’s order. As a result, Citi
announced its intention to exit its custody business in


113


Argentina, which such exit is not expected to have a material impact on Citi Argentina’s results of operations. Upon such announcement, the prior Argentine government took a number of adverse actions against Citi Argentina, including filing a lawsuit against Citi Argentina and suspending certain of its activities. While the new government has, to date, indicated a willingness to settle these matters, it remains uncertain as to when these matters will be resolved and what impact, if any, such resolution will have on Citi or its franchise in Argentina.

Venezuela
The Venezuelan government operates 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, other than for its customers’ needs.
As of December 31, 2015, the Venezuelan government operated 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 rate, which was 13.5 bolivars to one U.S. dollar; and
the SIMADI rate, which was 199 bolivars to one U.S. dollar.

Citi uses the U.S. dollar as the functional currency for its operations in Venezuela. As of December 31, 2015, Citi uses the SICAD rate to remeasure its net bolivar-denominated monetary assets as the SICAD 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 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. Citi has been unable to hedge the currency risk in its net investment in Venezuela due to the lack of effective market hedging mechanisms.
At December 31, 2015, Citi’s net investment in its Venezuelan operations was approximately $200 million (compared to $187 million at September 30, 2015 and $180 million at December 31, 2014), which included net monetary assets denominated in Venezuelan bolivars of approximately $177 million (compared to approximately $160 million at September 30, 2015 and $140 million at December 31, 2014). Total third-party assets of Citi Venezuela were approximately $1.0 billion at December 31, 2015 (unchanged from September 30, 2015 and compared to $0.9 billion at December 31, 2014), primarily composed of cash on deposit with the Central Bank of Venezuela, corporate and consumer loans, and government bonds. A significant portion of these assets was funded with local deposits.
On February 17, 2016, the Venezuelan government announced changes to its foreign exchange controls. Based on the announcement, the CENCOEX rate would increase to 10 bolivars per U.S. dollar, the SICAD rate would no longer
exist and the SIMADI rate is expected to become a free floating rate of at least 202 bolivars per U.S. dollar at inception.
Based on this announcement, Citi expects to begin using the SIMADI rate in the first quarter of 2016 to remeasure its net bolivar-denominated monetary assets, despite the possibly limited availability of U.S. dollars (notwithstanding the fact that it has been described as a free floating rate) and although the new SIMADI rate may not necessarily be reflective of economic reality. At the expected minimum new SIMADI rate of 202 bolivars per U.S. dollar, Citi estimates that it will incur an approximate $172 million foreign currency loss in the first quarter of 2016, which could increase if the bolivar continues to devalue in the new SIMADI market. Additionally, Citi expects its revenues and expenses will be translated at the SIMADI rate beginning in the first quarter of 2016. Because the new foreign exchange control rules have not yet been officially published and are thus not yet effective, however, the impact to Citi’s results of operations as a result of the February 17th announcement is not yet certain.

Russia
During 2015, political events led to the imposition of international sanctions against Russia (as well as Russian entities, business sectors, individuals or otherwise). These ongoing sanctions, coupled with lower oil and other commodity prices, particularly during the second half of 2015, have had a significant impact on Russia’s economy, and could continue to do so. During 2015, the Russian ruble depreciated by 22% against the U.S. dollar.
Citibank operates in Russia through a subsidiary, which uses the Russian ruble as its functional currency. Citibank’s net investment in Russia was approximately $0.8 billion at December 31, 2015, compared to $0.9 billion at September 30, 2015 and $1.1 billion at December 31, 2014. As of December 31, 2015, substantially all of Citibank’s net investment was hedged (subject to related tax adjustments) using forward foreign exchange contracts. Total third-party assets of the Russian Citibank subsidiary were approximately $5.0 billion as of December 31, 2015, unchanged from September 30, 2015 and compared to $6.1 billion at December 31, 2014. These assets were primarily composed of corporate and consumer loans, Russian government debt securities, and cash on deposit with the Central Bank of Russia. The large majority of these assets were funded by local deposits. (For additional information on Citi’s exposures related to Russia, see “Emerging Markets Exposures” above.)


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FFIEC—Cross-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 securities financing transactions (i.e., repurchase agreements, reverse repurchase agreements and securities loaned and borrowed) and are reported based on notional amounts.
Netting of derivatives 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.



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The tables below set forth each country whose total outstandings exceeded 0.75% of total Citigroup assets:
 December 31, 2015
 Cross-Border Claims on Third Parties and Local Country Assets
In billions of U.S. dollarsBanks (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$25.1
$20.4
$56.2
$19.3
$12.0
$57.8
$121.0
$23.9
$85.5
$85.2
Mexico7.6
22.5
6.7
34.9
6.5
34.5
71.7
17.9
7.1
6.5
Cayman Islands0.1
—
59.0
2.1
1.5
39.8
61.2
2.5
—
—
Germany11.0
18.8
8.8
7.0
5.3
17.2
45.6
10.5
66.3
66.3
France20.4
3.7
17.3
3.3
3.6
27.4
44.7
11.0
71.3
71.1
Korea1.1
17.5
0.8
23.4
1.7
34.1
42.8
12.8
11.6
9.7
Japan11.4
18.8
4.1
2.5
6.3
26.7
36.8
3.2
27.5
27.2
China9.5
10.7
3.5
11.4
5.3
26.4
35.1
4.1
11.8
12.5
India6.4
12.7
3.5
12.4
5.8
24.4
35.0
7.7
2.2
1.8
Singapore2.3
12.7
2.1
14.7
0.3
22.4
31.8
13.0
1.6
1.5
Australia6.4
6.3
3.2
15.4
4.1
9.1
31.3
11.2
25.1
24.7
Netherlands5.1
10.2
8.3
6.7
2.6
12.7
30.3
8.1
27.6
27.5
Brazil4.5
9.0
1.1
14.2
3.6
17.7
28.8
4.8
12.1
10.2
Hong Kong1.3
7.8
3.4
15.6
3.2
19.5
28.1
12.8
2.7
1.9
Switzerland5.3
16.1
1.5
4.5
0.6
19.8
27.4
5.3
21.9
22.1
Canada5.2
4.2
5.8
6.0
2.1
9.1
21.2
12.8
7.1
8.0
Taiwan2.0
5.6
2.1
9.8
1.4
11.9
19.5
12.5
0.1
0.1
Italy2.8
11.3
0.6
1.5
6.1
8.0
16.2
3.0
69.3
67.0
 December 31, 2014
 Cross-Border Claims on Third Parties and Local Country Assets
In billions of U.S. dollarsBanks (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$23.7
$17.7
$47.7
$28.8
$12.8
$59.1
$117.9
$19.4
$104.0
$105.5
Mexico7.9
29.7
6.5
37.3
8.9
41.4
81.4
21.4
6.8
6.3
Cayman Islands0.1
—
46.0
2.5
1.9
35.5
48.6
2.3
—
—
Germany12.3
17.3
5.9
6.2
7.0
15.7
41.7
10.8
80.0
81.0
France23.1
3.5
16.6
6.3
7.0
29.8
49.5
12.5
87.0
88.0
Korea1.0
18.5
0.8
27.7
2.1
39.1
48.0
14.9
11.4
9.2
Japan12.8
32.0
9.5
4.7
7.0
42.9
59.0
23.9
22.5
21.7
China8.9
10.5
2.2
13.3
4.8
24.1
34.9
3.5
11.5
12.0
India5.7
11.4
2.7
15.1
5.8
23.1
34.9
8.3
1.8
1.5
Singapore2.5
12.3
1.6
17.3
0.7
20.1
33.7
10.7
1.4
1.3
Australia8.0
5.3
3.6
16.9
6.6
12.7
33.8
10.8
12.1
11.7
Netherlands9.5
7.6
8.4
6.9
2.3
11.3
32.4
7.3
30.4
30.6
Brazil5.2
11.5
1.3
14.5
4.6
20.5
32.5
5.6
11.8
10.2
Hong Kong1.1
8.0
2.4
16.6
4.5
17.1
28.1
12.2
2.6
1.9
Switzerland5.0
13.8
0.8
4.0
0.5
16.2
23.6
4.8
25.9
26.4
Canada6.5
4.5
6.1
7.3
4.8
11.3
24.4
13.7
6.7
7.1
Taiwan1.9
6.9
1.1
9.8
1.7
13.3
19.7
13.3
0.1
—
Italy2.0
12.0
0.8
0.9
4.5
5.9
15.7
3.5
71.3
68.2

(1)Non-bank financial institutions.
(2)Included in total outstanding.
(3)Total outstanding includes cross-border claims on third parties, as well as local country assets. Cross-border claims on third parties include cross-border loans, securities, deposits with banks and other monetary assets, as well as net revaluation gains on foreign exchange and derivative products.

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(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.



117

COMPLIANCE, CONDUCT AND LEGAL RISK

COMPLIANCE RISK

Compliance Risk Appetite Framework
Citi’s compliance risk appetite framework outlines Citi’s compliance risk appetite, how Citi manages its adherence to its compliance risk appetite and how Citi evaluates the effectiveness of its controls for managing compliance risks. This framework is comprised of three pillars:

Setting risk appetite: Citi establishes its compliance risk appetite by setting limits on the types of business in which Citi will engage, the products and services Citi will offer, the types of customers which Citi will service, the counterparties with which Citi will deal, and the locations where Citi will do business. These limits are guided by Citi’s mission and value proposition and the principle of responsible finance, Citi’s adherence to relevant standards of conduct, as well as to relevant and applicable laws, rules, regulations, andconduct;
Support Citi’s internal policies.
Adhering to risk appetite: Citi manages adherence to its compliance risk appetite throughoperations by assisting in the execution of its compliance program, which includes governance arrangements, a policy framework, customer onboarding and maintenance processes, product development processes, transaction and communication surveillance processes, conduct- and culture-related programs, monitoring regulatory changes, and new products, services, and complex transactions approval processes. At Citi, it is the responsibility of each employee to escalate breaches of the compliance risk appetite in a timely manner.
Evaluating the effectiveness of risk appetite controls: Each business and Compliance evaluate the effectiveness of controls for managing compliance risk through the manager’s control assessment (MCA) process—a process through which managers at Citi identify, monitor, measure, report on, and manage risks. Citi also relies on compliance risk assessments; a policy framework; compliance testing and monitoring processes; compliance metrics related to key operating risks, key risk indicators, and control-effectiveness indicators; and Internal Audit examinations and reports.

Compliance Program
Compliance aims to operate Citi’s compliance risk appetite— and thus minimize, mitigate or manage compliance risks— through Citi’s compliance program. To achieve this mission, Compliance seeks to:

Understand the regulatory environment, requirements and expectations 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 assessmentmanagement of compliance risk Compliance works with the businessesacross products, business lines, functions and other independent control functions to review significant compliancegeographies, supported by globally consistent systems and regulatory issuesprocesses; and the results of testing, monitoring,
Drive and internal and external exams and audits.
Define Citi’s appetite, in conjunction with Citigoup’s Board of Directors and senior management, for prudent compliance and regulatoryembed a risk consistent with its culture of compliance, control and responsible finance. As noted above,ethical conduct throughout Citi.

To anticipate, control and mitigate compliance risk, Citi has developed aestablished the CRM Framework to achieve standardization and centralization of methodologies and processes, and to enable more consistent and comprehensive execution of compliance risk appetite framework that is designed to minimize, mitigate or manage compliance risk.
management.
Develop controls and execute programs reasonably designed to promote conduct that is consistent with Citi’s compliance risk appetite and promptly detect and mitigate behavior that is inconsistent with this appetite. ComplianceCiti has product-related compliance functions, namely the corporate compliance group and compliance programs for Global Consumer Banking and the Institutional Clients Group. Compliance also has regional programs together with thematic groups and programs, such as the conduct, governance and emerging risk management group and programs that focus on anti-bribery and corruption, ethics, privacy and sanctions. Each of these functions, programs and groups aims to mitigate Citi’s exposure to conduct that is inconsistent with Citi’s 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.
Engage with the Citigroup 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,a commitment, as well as the performance of thean obligation, to identify, assess, and mitigate compliance program, to the Citigroup Board of Directors, including the Audit and Ethics and Culture Committees, as well as other committees of the Board. Compliance also engagesrisks associated with business management on an ongoing basis through various mechanisms, including governance committees, and supports and advises theits businesses and otherfunctions. ICRM is responsible for Citi’s CRM Framework, while each business and 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 relevant 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 conduct itself in accordance with the highest standards of ethical behavior.


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Compliance plays a key role in developing company-wide initiatives designed to further embed ethics in Citi’s culture, such as an interactive course on ethics and leadership for employees, which included training on using an ethical decision-making framework to challenge decisions by Citi’s businesses.
Enhance the compliance program. Compliance fulfills its obligation to enhance the compliance program in part by using results from its annual compliance risk assessment to shape annual and multi-year program enhancements.

Volcker Compliance Program
The Volcker rule required Citi to develop and provide for an enhanced compliance program reasonably designed to ensure and monitor compliance with the rule’s prohibitions and restrictions on proprietary trading and covered fund activities and investments.  Citi’s Volcker rule office, which reports to business management, has responsibility for overall coordination and monitoring under its compliance program, including project management and process support, and providing assistance in coordinating engagement with and among Citi’s second line of defense.  For additional information, see “Risk Factors—Regulatory Risks” and “—Compliance, Conduct and Legal Risks” above. 

CONDUCT RISK
Citi manages its exposure to conduct risk through the three lines of defense, as discussed above. Each employee in each line of defense is guided by Citi’s mission and value proposition and the principle of responsible finance. Citi’s leadership standards, which are aligned with Citi’s mission and value proposition, outline Citi’s expectations of employees’ behavior, and employees’ performance is evaluated against those standards. Citi’s businesses and functions are responsible for managing their conduct risks. Compliance advises Citi’s businesses and other functions on conductcompliance risks and associated controls. Internal Audit, among other things, assessesensure they are operating within the adequacyCompliance Risk Appetite.
Citi carries out its objectives and effectiveness of Citi’sfulfills its responsibilities through the integrated CRM Framework, which is based upon four components: (i) governance and organization; (ii) compliance risk ethics and conduct risk; (iii) processes and activities; and (iv) resources and capabilities. To achieve this, Citi follows the following CRM Framework process steps:

Identifying regulatory changes and performing the impact assessment, as well as capturing and monitoring adherence to existing regulatory requirements.
Establishing, maintaining and adhering to policies, standards and procedures for the management of and controls for conduct risk.
In 2015, Citi issued a conduct risk policy to further the objectives of its Compliance-led conduct risk program, which was established in 2014 to enhance Citi’s culture of compliance and control through the management, minimization, and mitigation of Citi’s exposure to conduct risk. Citi uses the MCA process to assess the design and operation of controls that are utilized to manage the institution’s conduct risks. 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 cannot be reliably estimated or measured based on forecasts rather than actual results using statistical methods and does not lend itself to an appetite expressed through a numerical limit. As such, Citi seeks to manage this risk, in accordance with its qualitative risk appetite principle, which generally state that activities in which Citi engagespolicy governance requirements.
Developing and providing training to support the risks those activities generate must be consistent with Citi’s underlying
commitmenteffective execution of roles and responsibilities related to the principleidentification, control, reporting and escalation of responsible finance and managed with a goalmatters related 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.compliance risks.
Self-assessment (e.g., Managers Control Assessment) of compliance risk.

ICRM and other independent control functions are responsible for independently assessing the management of compliance risks.
Independently testing and monitoring that Citi is operating within the Compliance Risk Appetite. Identifying instances of non-conformance with Laws, regulations, rules and breaches of internal policies.
Escalating 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.

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.  To support this, Citi has defined a reputational risk appetite approach. Under this approach, each major business segment has implemented a risk appetite statement and related key indicators to monitor and address weaknesses that may result in significant reputational risks. The responsibility for maintaining Citi’s reputation is shared by all employees, who are guided by Citi’s Code of Conduct.  Employees are required to exercise sound judgment and common sense in every action they take and issuesapproach requires that present potential franchise,each business segment or region escalate significant reputational and/risks that require review or systemic risks are to be appropriately escalated.  mitigation through its business practice committee or equivalent.
The business practices committees for each of Citi’s businesses and regions are part of the governance infrastructure that Citi has in place to properly review business activities, sales practices, product design, perceived conflicts of interest and other potential franchise or reputational risks that arise in these businesses and regions.risks. These committees may also raise potential franchise, reputational or systemic risks for due consideration by the business practices committee at the corporate level. All of these committees, which are composed of Citi’s most senior executives, provide the guidance necessary for Citi’s business practices to meet the highest standards of professionalism, integrity and ethical behavior consistent with Citi’s mission and value proposition.

Further, the responsibility for maintaining Citi’s reputation is shared by all employees, who are guided by Citi’s code of conduct. Employees are expected to exercise sound judgment and common sense in decision and action. They are also expected to promptly and appropriately escalate all issues that present potential franchise, reputational and/or systemic risk.

STRATEGIC RISK

Overview
Citi senior management, led by Citi’s CEO, is responsible for the development and execution of the strategy of the Company. Significant strategic actions are reviewed and approved by, or notified to, the Citigroup and Citibank Boards 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 monitored through various mechanisms, including regular updates to senior management and the Board of Directors on performance against the operating plan, quarterly business reviews between the Citi CEO and business and regional CEOs in which the performance and risks of each major business and region are discussed, ongoing reporting to senior management and executive management scorecards.

Potential Exit of U.K. from EU
As a result of a 2016 U.K. referendum, Citi has reorganized certain U.K. and EU operations and implemented contingency plans to address the U.K.’s potential exit from the EU, regardless of outcome. In addition, Citi has established a formal program with senior level sponsorship and governance to deliver a coordinated response to the U.K.’s potential exit.
Until negotiations are finalized and an agreement is ratified, Citi continues to plan for a “hard” exit scenario as of March 29, 2019. Citi’s strategy focuses on providing continuity of services to its EU and U.K. clients with minimal disruption. Consequently, Citi has been migrating certain business activities to alternative legal entities and branches with appropriate regulatory permissions to carry out such activity and establishing required capabilities in the EU and U.K. Citi’s plans for a U.K. exit from the EU are well progressed for implementation and primarily cover:

enhancement of Citi’s European bank in Ireland supported by its substantial European branch network to ensure business continuity for its EU clients;
conversion of Citi’s banking subsidiary in Germany into Citi’s EU investment firm to support broker-dealer activities with EU clients;
establishment of a new U.K. consumer bank to focus on servicing consumer business clients in the U.K.; and
amendments to existing U.K. legal entities or branches, where required, to ensure continuity of services to U.K. and non-EU clients.

Citi continues to work closely with clients, regulators and other relevant stakeholders in execution of its plans to prepare for the U.K.’s potential exit from the EU. In addition, Citi continues to monitor macroeconomic scenarios and market events and has been undertaking stress testing to assess potential impacts on its businesses. For additional information, see “Risk Factors—Strategic Risk” above.



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LIBOR Transition Risk
Citi recognizes that discontinuance of LIBOR, or any other IBOR-based rate, presents significant risks and challenges that could have an impact on its businesses globally (for information about the risks to Citi from discontinuation of LIBOR or any other benchmark, see “Risk Factors—Strategic Risk” above). Accordingly, in 2018, Citi established a LIBOR governance and implementation program that includes senior management involvement. Citi’s Asset and Liability Committee oversees the program, and includes reporting to the Citigroup Board of Directors. The program operates globally across Citi’s businesses and functions. In addition, Citi has developed an initial set of LIBOR transition action plans and associated roadmap under nine key workstreams: transition strategy and risk management; customer management; internal communications and training; financial exposures and risk management; regulatory and industry engagement; operations and technology; finance, tax and treasury; legal and contract management; and product management. Citi has also been participating in a number of working groups formed by global regulators, including the Alternative Reference Rates Committee convened by the Federal Reserve Board. These working groups have been established to promote and advance development of alternative reference rates and to identify and address potential challenges from any transition to such rates.


Country Risk

Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of December 31, 2018. The total exposure as of December 31, 2018 to the top 25 countries disclosed below, in combination with the U.S., would represent approximately 96% of Citi’s exposure to all countries.
For purposes of the table, loan amounts are reflected in the country where the loan is booked, which is generally based on the domicile of the borrower. For example, a loan to a Chinese subsidiary of a Switzerland-based corporation will generally be categorized as a loan in China. In addition, Citi has developed regional booking centers in certain countries,
most significantly in the United Kingdom (U.K.) and Ireland, in order to more efficiently serve its corporate customers. As an example, with respect to the U.K., only 27% of corporate
loans presented in the table below are to U.K. domiciled
entities (27% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 83% of the total U.K. funded loans and 91% of
the total U.K. unfunded commitments were investment grade
as of December 31, 2018. Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.

In billions of U.S. dollars
ICG
loans(1)
GCB loans
Other funded(2)
Unfunded(3)
Net MTM on derivatives/repos(4)
Total hedges (on loans and CVA)
Investment securities(5)
Trading account assets(6)
Total
as of
4Q18
Total
as of
3Q18
Total
as of
4Q17
Total as a % of Citi as of 4Q18
United Kingdom$40.4
$—
$4.7
$56.5
$12.8
$(3.7)$4.0
$(3.1)$111.6
$123.7
$113.2
6.9%
Mexico9.5
25.3
0.3
7.1
0.8
(0.6)12.4
4.8
59.6
61.9
58.4
3.7
Hong Kong16.5
12.6
0.8
8.4
2.4
(0.2)7.1
0.5
48.1
45.9
42.2
3.0
Singapore12.8
12.4
0.3
4.7
1.3
(0.2)7.8
1.6
40.7
41.0
41.4
2.5
Korea1.9
18.6
0.2
3.0
1.2
(0.5)8.6
0.8
33.8
33.7
35.3
2.1
Ireland13.7
—
1.4
17.8
0.4
—
—
0.4
33.7
31.1
31.9
2.1
India4.4
7.0
0.6
4.9
2.4
(0.8)9.7
2.0
30.2
27.2
30.3
1.9
Brazil12.7
—
—
2.7
4.6
(1.0)3.3
3.7
26.0
25.9
24.7
1.6
Australia5.5
9.9
0.1
6.3
1.4
(0.4)1.5
(0.8)23.5
24.1
25.2
1.5
China5.9
4.6
0.4
1.6
1.0
(0.5)4.7
0.3
18.0
18.8
19.4
1.1
Japan2.7
—
0.1
2.6
3.4
(1.3)5.8
4.3
17.6
18.4
17.7
1.1
Taiwan4.7
9.0
0.1
1.0
0.3
(0.1)1.5
0.9
17.4
17.8
17.3
1.1
Germany0.2
—
—
4.5
3.5
(3.6)8.9
3.9
17.4
19.7
19.1
1.1
Canada2.2
0.6
0.3
6.9
2.6
(0.3)3.1
0.6
16.0
16.4
16.3
1.0
Poland3.7
1.9
0.1
3.6
0.1
(0.1)3.7
0.2
13.2
14.4
14.0
0.8
Jersey6.9
—
0.3
3.2
—
—
—
—
10.4
10.3
4.8
0.6
Malaysia1.8
4.7
0.3
1.2
0.1
(0.1)1.6
0.4
10.0
9.6
10.0
0.6
United Arab Emirates4.6
1.5
0.1
3.3
0.2
(0.1)—
—
9.6
9.8
7.0
0.6
Thailand0.8
2.6
0.1
1.5
0.1
—
1.7
0.6
7.4
7.2
7.4
0.5
Indonesia2.5
1.0
—
1.5
—
(0.1)1.2
0.2
6.3
5.8
6.3
0.4
Philippines0.7
1.3
0.1
0.4
0.9
(0.1)1.5
0.5
5.3
4.9
3.8
0.3
Luxembourg0.1
—
—
—
0.4
(0.3)4.1
0.6
4.9
5.1
5.4
0.3
Russia1.6
0.8
—
1.1
0.8
(0.1)0.6
(0.2)4.6
4.1
6.6
0.3
South Africa1.7
—
—
1.2
0.2
(0.1)1.4
0.1
4.5
5.0
4.3
0.3
Italy0.2
—
—
2.2
4.5
(4.4)0.1
1.1
3.7
3.7
3.8
0.2
           Total
35.6%

(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of December 31, 2018, private bank loans in the table above totaled $24.6 billion, concentrated in Hong Kong ($7.3 billion), Singapore ($6.4 billion) and the U.K. ($5.9 billion).                    
(2)
Other funded includes other direct exposure such as accounts receivable, loans HFS, other loans in Corporate/Other and investments accounted for under the equity method.                                        
(3)Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.            

(4)Net mark-to-market counterparty risk on OTC derivatives and securities lending/borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.                                        
(5)Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.    
(6)Trading account assets are shown on a net basis and include issuer risk on cash products and derivative exposure where the underlying reference entity/issuer is located in that country.

Venezuela
Citi continues to monitor the political and economic environment and uncertainties in Venezuela. As of December 31, 2018, Citi’s net investment in its on-shore Venezuelan operations was approximately $40 million. In addition, in early 2015, the Central Bank of Venezuela (BCV) sold gold held at the Bank of England to a Citi entity in the U.K., giving Citi ownership and full legal title to the gold for $1.6 billion. Simultaneously, the BCV entered into forward purchase agreements (collectively, the Agreements) with Citi, requiring the BCV to purchase the same quantity of gold from Citi on predetermined dates. The next such date will be in March 2019 at which time the BCV will be required to purchase a significant amount of gold from Citi under the terms of the Agreements. Citi believes it is protected against market and credit risk related to the Agreements. The Agreements were accounted for as a financing on Citi’s books under ASC 470-40.


FFIEC—Cross-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). The following summarizes some of the FFIEC key reporting guidelines:

Amounts are based on the domicile of the ultimate obligor, counterparty, collateral (only including qualifying liquid collateral), issuer or guarantor, as applicable (e.g., a security recorded by a Citi U.S. entity but issued by the U.K. government is considered U.K. exposure; a loan recorded by a Citi Mexico entity to a customer domiciled in Mexico where the underlying collateral is held in Germany is considered German exposure).
Amounts do not consider the benefit of collateral received for secured financing transactions (i.e., repurchase agreements, reverse repurchase agreements and securities loaned and borrowed) and are reported based on notional amounts.
Netting of derivative 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.
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.


The tables below show each country whose total outstandings exceeded 0.75% of total Citigroup assets:
 December 31, 2018
 Cross-border claims on third parties and local country assets
In billions of U.S. dollarsBanks (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$14.6
$24.3
$35.7
$21.6
$12.3
$67.8
$96.2
$25.1
$74.3
$76.4
Cayman Islands—
—
81.6
9.2
5.4
62.5
90.8
5.0
—
—
Japan31.4
28.8
8.4
7.8
13.6
40.7
76.4
4.0
19.9
18.3
Mexico2.4
24.0
7.4
35.8
6.0
29.1
69.6
20.2
7.3
7.6
Germany6.3
46.4
7.5
7.6
6.6
50.4
67.8
10.7
51.3
50.2
France12.4
8.5
30.7
5.6
9.1
49.5
57.2
30.7
59.9
58.5
Korea South1.5
17.8
3.0
22.6
1.8
33.2
44.9
12.1
12.2
12.2
Singapore1.4
22.5
4.4
13.4
1.7
31.5
41.7
11.4
1.9
1.9
India3.3
12.7
3.3
15.3
4.3
22.5
34.6
9.7
2.5
2.0
Hong Kong0.9
11.2
3.2
16.9
3.9
27.5
32.2
14.6
2.2
2.2
China5.0
11.3
3.0
12.3
4.5
20.6
31.6
4.2
15.6
14.6
Australia3.1
7.8
4.8
13.4
7.1
14.4
29.1
12.1
10.6
10.5
Brazil3.8
10.4
1.4
10.9
5.0
16.8
26.5
2.6
8.4
8.1
Taiwan0.7
7.4
3.2
12.6
1.6
18.7
23.9
13.0
0.1
0.1
Netherlands6.8
9.0
3.2
4.7
3.7
14.7
23.7
8.6
28.4
28.3
Canada3.2
4.0
9.9
5.2
2.8
15.5
22.3
13.8
5.3
6.2
Switzerland1.4
13.9
1.1
3.6
1.6
5.1
20.0
6.0
19.7
19.6
Italy3.4
11.0
0.8
1.6
7.9
10.5
16.8
2.5
51.3
51.5
 December 31, 2017
 
Cross-border claims on third parties and local country assets

In billions of U.S. dollarsBanks (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$15.4
$23.0
$33.9
$19.7
$13.5
$62.7
$92.0
$31.3
$74.9
$77.1
Cayman Islands—
—
62.9
8.5
4.3
45.3
71.4
4.4
—
—
Germany7.1
38.3
8.9
11.7
10.2
45.5
66.0
12.4
54.6
54.1
Japan25.4
26.4
5.4
8.5
13.3
49.6
65.7
6.3
22.9
22.3
Mexico6.0
18.5
7.9
33.0
4.7
42.8
65.4
19.6
6.4
6.2
France12.6
5.1
20.9
6.3
8.7
37.4
44.9
23.9
59.8
60.6
South Korea2.8
15.8
1.9
24.4
1.4
38.5
44.9
17.3
14.4
12.4
Singapore1.9
22.4
4.3
14.7
0.4
33.2
43.3
11.5
1.8
1.8
India6.0
12.7
4.4
16.0
5.6
25.8
39.1
9.3
2.5
2.1
Australia4.7
8.1
4.7
14.2
7.3
18.6
31.7
13.3
13.2
13.3
China5.2
9.2
3.2
13.8
3.6
24.5
31.4
4.5
14.2
14.5
Hong Kong0.7
9.8
3.0
15.8
5.0
23.6
29.3
13.5
2.5
2.3
Brazil3.7
11.4
0.9
10.6
5.5
17.3
26.6
2.2
10.6
9.6
Netherlands7.2
9.5
4.7
6.1
4.1
15.9
27.5
10.5
27.3
27.8
Taiwan0.9
6.1
2.2
13.3
2.7
16.9
22.5
14.0
0.1
0.1
Canada4.2
4.7
7.6
5.0
2.9
11.1
21.5
14.0
5.4
6.2
Switzerland1.5
13.6
1.3
4.3
1.7
17.2
20.7
5.8
19.3
19.4
Italy3.2
11.3
0.6
1.3
7.5
9.4
16.4
2.8
59.6
58.4

(1)Non-bank financial institutions.
(2)Included in total outstanding.
(3)Total outstanding includes cross-border claims on third parties, as well as local country assets. Cross-border claims on third parties include 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)Credit Default Swaps (CDS) are not included in total outstanding.

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—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.

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 certain markets, continued through 2015. 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 2014,2017 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 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


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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 interim assessments 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. During 2015, interim tests were2018, the annual test was performed, which resulted in $31 million of totalno goodwill impairment recorded in Operating expensesas a result of reorganization and disposal of a significant portion of a reporting unit described in Note 1716 to the Consolidated Financial Statements.
As of December 31, 2015, Citigroup consists of2018, 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
Citi utilizes allocated to Citi’s 11equity as a proxy for the carrying value of its reporting units atfor purposes of goodwill impairment testing. The allocated equity in the datereporting units is determined based on the capital the business would require if it were operating as a standalone entity, incorporating sufficient capital to be in compliance with both current and expected regulatory capital requirements, including capital for specifically identified goodwill is recorded. Once goodwill has beenand intangible assets. The capital allocated to the reporting units, it generally no longer retains its identification with a particular acquisition, but instead becomes identified withbusinesses is incorporated into the reporting unit as a whole. As a result, allannual budget process, which is approved by Citi’s Board of the fair value of each reporting unit is available to support the allocated goodwill.
The carrying value used in the impairment test for the 11 reporting units and Corporate/Other (together the “components”) is generally derived by allocating Citigroup’s total stockholders’ equity to each component as follows: First, Citigroup’s total Tangible Common Equity (TCE) is allocated to each component based on its Basel III risk-weighted assets and adding back any specifically identified Basel III capital deductions for each component. Second, once total Citigroup’s TCE is allocated to each component, the reported goodwill and intangibles associated with each reporting unit are added to their respective carrying amounts. Lastly, any remaining stockholders’ equity is allocated to each component based on its relative allocated TCE. Thus, the combined equity allocated to each component is equal to Citigroup’s total stockholders’ equity.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 Citi to reflect current economic conditions as of the testing date. Citi uses 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.
Similar to the prior year,2017, Citigroup engaged an independent valuation specialist in 20152018 to assist in Citi’s valuation for most ofall the reporting units with goodwill balances, employing both the market approach and the DCF method. Citi believes that the DCF method, using management projections for the selected 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 reporting units where both methods were utilized in 2015, theThe resulting fair values 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 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, 2015 exceeded the overall market capitalization of Citi as of July 1, 2015.2018. 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 17Notes 1 and 16 to the Consolidated Financial Statements for additional information on goodwill, including the changes in the goodwill balance year-over-year and the reporting unitunits’ goodwill balances as of December 31, 2015.2018.

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


121


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 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 one-time, non-cash charge to continuing operations of $22.6 billion in the fourth quarter of 2017, composed of (i) a $12.4 billion remeasurement due to the reduction of the U.S. corporate tax rate and the change to a “quasi-territorial tax system,” (ii) 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 (iii) 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 this one-time charge, $16.4 billion was considered provisional pursuant to Staff Accounting Bulletin (SAB) 118.

Citi completed its accounting for Tax Reform under SAB 118 during the fourth quarter of 2018 and recorded a one-time, non-cash tax benefit of $94 million in Corporate/Other, related to amounts that were considered provisional pursuant to SAB 118.
The table below details the fourth quarter of 2018 changes to Citi’s provisional impact from Tax Reform.

Provisional Impact of Tax Reform
In billions of dollars
Provisional amounts
included in the
2017 Form 10-K
SAB 118 impact to fourth quarter of 2018
tax provision
Quasi-territorial tax system$6.2
$0.2
Valuation allowance7.9
(1.2)
Deemed repatriation2.3
0.9
Total of provisional items$16.4
$(0.1)

Citi has an overall domestic loss (ODL) of approximately $47 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.
As a result of Tax Reform, beginning in 2018, Citi is 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 are 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 the majority of Citi’s non-U.S. subsidiary earnings are classified as Global Intangible Low Taxed Income (GILTI), Citi 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. Finally, Citi does not expect the Base Erosion Anti-Abuse Tax (BEAT) to affect its tax provision. For additional information on the BEAT, see “Risk Factors—Strategic Risks” above.

DTAs
At December 31, 2015,2018, Citi had recorded net DTAs of $47.8$22.9 billion. In the fourth quarter of 2015,2018, Citi’s DTAs increased $600 million,decreased $0.1 billion, driven primarily by movementsgains in AOCI, partially offset by earnings.AOCI. On a full-year basis, Citi’s DTAs decreased $1.5increased $0.4 billion from $49.3$22.5 billion at December 31, 2014.2017. The decreaseincrease in total DTAs year-over-year was primarily due to the earnings in Citicorp and Citi Holdingsaccounting change for Intra-Entity Transfers of Assets under ASU 2016-16.
Citi’s total valuation allowance at December 31, 2018 was $9.3 billion, a decrease of $0.1 billion from $9.4 billion at December 31, 2017. The decrease was driven by a reduction due to the SAB 118 adjustment, partially offset by anthe 2018 change in DTAs relating to Citi’s non-U.S. branches.
Citi’s valuation allowance of $6.0 billion against FTC carry-forwards increased by $0.3 billion in 2018. The increase primarily relates to its non-U.S. branches, partially offset by SAB 118 adjustments. Citi expects that the absolute amount will increase in AOCI.future years as it generates additional FTCs relating to the higher overall local tax rate of its non-U.S. branches, reduced by the statutory expiration of FTC carry-forwards. With respect to the portion of the valuation allowance established on Citi’s FTC carry-forwards that are available for use in the general basket, changes in the amount of earnings from sources outside the U.S. could alter the amount of valuation allowance that is eventually needed against such FTCs.
Foreign tax credits (FTCs)Recognized FTCs comprised approximately $15.9$6.8 billion of Citi’s DTAs as of December 31, 2015,2018, compared to approximately $17.6$7.6 billion as of December 31, 2014.2017. The decrease in FTCs year-over-year was primarily due to the generation of U.S. taxable incomeadjustments under SAB 118 and represented $1.7 billion of the $1.5 billion decrease in Citi’s overall DTAs noted above, partially offset by the increase in the AOCI-related DTAs.current-year usage. The FTCsFTC carry-forward periods represent the most time-sensitive component of Citi’s DTAs. Accordingly, in 2016,
Citi will continuebelieves the U.S. federal and New York State and City net operating loss carry-forward period of 20 years provides enough time to prioritize reducingfully utilize the FTC carry-forward componentnet DTAs pertaining to the existing net operating loss carry-forwards. This is due to Citi’s forecast of the DTAs. Secondarily, Citi’s actions will focus on reducing other DTA components and, thereby, reduce the total DTAs. Citi’s DTAs will decline primarily as additional domestic GAAPsufficient U.S. taxable income is generated.
Whileand the continued taxation of 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.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 $47.8

$22.9 billion at December 31, 20152018 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 from expiring.
. Citi has concluded that it has the necessary positive evidence to support the full realization of its DTAs. Specifically, 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 optimizenet DTAs after taking its U.S. taxable earnings. In general, Citi would need to generate approximately $59 billion of U.S. taxable income during the FTCs carry-forward periods to prevent Citi’s FTCs from expiring.
In addition to its forecasted U.S. taxable income, Citi has tax planning strategies available to it under ASC 740 thatvaluation allowances into consideration.
 
would be implemented, if necessary, to prevent a carry-forward from expiring. These strategies include: (i) repatriating low-taxed foreign source earnings for which an assertion that the earnings have been indefinitely reinvested has not been made; (ii) 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); (iii) accelerating deductible temporary differences outside the U.S.; and (iv) 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 DTAs pertaining to the existing net operating loss carry-forwards and any net operating loss that would be created by the reversal 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 within the 10-year carry-forward period to be able to fully utilize the FTCs, in addition to any FTCs produced in such period, which must be used prior to any carry-forward utilization.
For additional information on Citi’s income taxes, including its income tax provision, tax assets and liabilities and a tabular summary of Citi’s net DTAs balance as of December 31, 20152018 (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.

2017 Impact of Tax Reform
The table below discloses the as-reported GAAP results for 2018 and 2017, as well as the 2017 adjusted results excluding the one-time 2017 impact of Tax Reform. The table below does not reflect any adjustment to 2018 results.
In millions of dollars, except per share amounts and as otherwise noted
2018
as reported(1)
2017
as reported
2017 one-time impact of
Tax Reform
 
2017
adjusted results(2)
2018 increase (decrease)
vs. 2017 ex-Tax Reform
 
$ Change% Change 
Net income (loss)$18,045
$(6,798)$(22,594) $15,796
$2,249
14 % 
Diluted earnings per share:      

 
  Income (loss) from continuing operations6.69
(2.94)(8.31) 5.37
1.32
25
 
  Net income (loss)6.68
(2.98)(8.31) 5.33
1.35
25
 
  Effective tax rate22.8%129.1 %(9,930)bps29.8% (700)bps
  Global Consumer Banking—Net income
$5,755
$3,869
$(750) $4,619
$1,136
25 % 
  North America GCB—Net income
3,340
1,991
(750) 2,741
599
22
 
  Institutional Clients Group—Net income
12,183
9,009
(2,000) 11,009
1,174
11
 
  Corporate/Other—Net income (loss)
107
(19,676)(19,844) 168
(61)(36) 
         
Performance and other metrics:        
  Return on average assets0.94%(0.36)%(120)bps0.84% 10
bps
  Return on average common stockholders’ equity9.4
(3.9)(1,090) 7.0
 240
 
  Return on average total stockholders’ equity9.1
(3.0)(1,000) 7.0
 210
 
  Return on average tangible common equity11.0
(4.6)(1,270) 8.1
 290
 
  Dividend payout ratio23.1
(32.2)(5,020) 18.0
 510
 
  Total payout ratio109.1
(213.9)(33,140) 117.5
 840
 

(1)
2018 includes the one-time benefit of $94 million, due to the finalization of the provisional component of the impact based on Citi’s analysis as well as additional guidance received from the U.S. Treasury Department related to Tax Reform, which impacted the tax line within Corporate/Other.
(2)2017 excludes the one-time impact of Tax Reform.

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 Changes and Future Application offor Financial Instruments—Credit Losses
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses(Topic 326). The ASU introduces a new credit loss methodology, the Current Expected Credit Losses (CECL) methodology, which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities and other receivables measured at amortized cost at the time the financial asset is originated or acquired. The allowance for credit losses is adjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. Within the life cycle of a loan or other financial asset, the ASU will generally result in the earlier recognition of the provision for credit losses and the related allowance for credit losses than current practice. For available-for-sale debt securities that Citi intends to hold and where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.
The CECL methodology represents a significant change from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will depend upon the state of the economy, forecasted macroeconomic conditions and Citi’s portfolios at the date of adoption. Based on a preliminary analysis performed in the fourth quarter of 2018 and forecasts of macroeconomic conditions and exposures at that time, the overall impact was estimated to be an approximate 10% to 20% increase in expected credit loss reserves. The ASU will be effective for Citi as of January 1, 2020. This increase would be reflected as a decrease to opening Retained earnings, net of income taxes, at January 1, 2020.
Implementation efforts are underway, including model development, fulfillment of additional data needs for new disclosures and reporting requirements, and drafting of accounting policies. Substantial progress has been made in model development. Model validations and user acceptance testing commenced in the first quarter of 2019, with parallel runs to begin in the third quarter of 2019. The Company intends to utilize a single macroeconomic scenario in estimating expected credit losses. Reasonable and supportable forecast periods and methods to revert to historical averages to arrive at lifetime expected credit losses vary by product.
For additional information on regulatory capital treatment, see “Capital Resources—Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit Losses (CECL) Methodology” above.

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 right-of-use assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. On January 1, 2019, the Company adopted the guidance prospectively with a cumulative adjustment to Retained earnings. At adoption, Citi recognized a lease liability and a corresponding right-of-use asset, related to its future minimum lease commitments of approximately $4.4 billion. Additionally, the Company recorded a $155 million increase in Retained earnings due to the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions.

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

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



122


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, 20152018 and, based on that evaluation, the CEO and CFO have concluded that at that date Citigroup’s disclosure controls and procedures were effective.






123


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, 20152018 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, 2015,2018, 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, 20152018 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, 20152018 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, 2015.2018.



124


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 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.















































125


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

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, 2015,2018, 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, 2018, 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, 2018 and 2017, 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, 2018, and the related notes (collectively, the “consolidated financial statements”), and our report dated February 22, 2019 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, 2015, 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 sheet of Citigroup as of December 31, 2015 and 2014, 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, 2015, and our report dated February 26, 2016 expressed an unqualified opinion on those consolidated financial statements.


/s/ KPMG LLP
New York, New York
February 26, 201622, 2019



126


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—
CONSOLIDATED FINANCIAL STATEMENTS
kpmgpica04.jpg

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” or “Citigroup”) as of December 31, 20152018 and 2014,2017, 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, 2015. 2018, 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, 2018 and 2017, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2018, 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, 2018, 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 22, 2019 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, 2015 and 2014, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2015, 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, 2015, 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 26, 2016 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 26, 201622, 2019





127


FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS 
Consolidated Statement of Income—
For the Years Ended December 31, 2015, 20142018, 2017 and 20132016
129124
Consolidated Statement of Comprehensive Income—
For the Years Ended December 31, 2015, 20142018, 2017 and 20132016
131125
Consolidated Balance Sheet—December 31, 20152018 and 20142017
132126
Consolidated Statement of Changes in Stockholders’ Equity—For the Years Ended December 31, 2015, 20142018, 2017 and 20132016
134128
Consolidated Statement of Cash Flows—
For the Years Ended December 31, 2015, 20142018, 2017 and 20132016
136130

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS 
Note 1—Summary of Significant Accounting Policies
138132
Note 2—Discontinued Operations and Significant Disposals
150144
Note 3—Business Segments
152146
Note 4—Interest Revenue and Expense
153147
Note 5—Commissions and Fees; Administration and Other
                  Fiduciary Fees
154148
Note 6—Principal Transactions
155151
Note 7—Incentive Plans
156152
Note 8—Retirement Benefits
160156
Note 9—Income Taxes
176168
Note 10—Earnings per Share
181172
Note 11—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
182173
Note 12—Brokerage Receivables and Brokerage Payables
185177
Note 13—Trading Account Assets and LiabilitiesInvestments
185178
Note 14—InvestmentsLoans
186191
Note 15—LoansAllowance for Credit Losses
198203
 


  
Note 16—Allowance for Credit LossesGoodwill and Intangible Assets
206
Note 17—Debt
208
Note 18—Regulatory Capital
210
Note 19—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
211
Note 17—Goodwill and Intangible Assets20—Preferred Stock
214
Note 18—Debt
217
Note 19—Regulatory Capital
219
Note 20—Changes in Accumulated Other Comprehensive
Income (Loss)
220
Note 21—Preferred Stock
223
Note 22—Securitizations and Variable Interest Entities
225216
Note 22—Derivatives Activities
228
Note 23—Derivatives Activities
238
Note 24—Concentrations of Credit Risk
252243
Note 24—Fair Value Measurement
244
Note 25—Fair Value Measurement
253
Note 26—Fair Value Elections
276265
Note 27—26—Pledged Assets, Collateral, Guarantees and
                   Commitments
280269
Note 27—Contingencies
276
Note 28—Contingencies
286
Note 29—Condensed Consolidating Financial Statements
297283
Note 30—Subsequent Event
307
Note 31—29—Selected Quarterly Financial Data (Unaudited)
307292


128


CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOMECitigroup Inc. and Subsidiaries

CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries

CONSOLIDATED STATEMENT OF INCOME Citigroup Inc. and Subsidiaries
Years ended December 31,Years ended December 31,
In millions of dollars, except per share amounts201520142013201820172016
Revenues(1)
 
 
 
 
 
 
Interest revenue$58,551
$61,683
$62,970
$70,828
$61,579
$57,988
Interest expense11,921
13,690
16,177
24,266
16,518
12,512
Net interest revenue$46,630
$47,993
$46,793
$46,562
$45,061
$45,476
Commissions and fees$11,848
$13,032
$12,941
$11,857
$12,707
$11,678
Principal transactions6,008
6,698
7,302
9,062
9,475
7,857
Administration and other fiduciary fees3,648
4,013
4,089
3,580
3,584
3,294
Realized gains on sales of investments, net682
570
748
421
778
949
Other-than-temporary impairment losses on investments 
 
 
Impairment losses on investments  
 
Gross impairment losses(265)(432)(633)(132)(63)(620)
Less: Impairments recognized in AOCI—
8
98
Net impairment (losses) recognized in earnings$(265)$(424)$(535)
Insurance premiums$1,845
$2,110
$2,280
Net impairment losses recognized in earnings$(132)$(63)$(620)
Other revenue5,958
3,227
3,106
$1,504
$902
$2,163
Total non-interest revenues$29,724
$29,226
$29,931
$26,292
$27,383
$25,321
Total revenues, net of interest expense$76,354
$77,219
$76,724
$72,854
$72,444
$70,797
Provisions for credit losses and for benefits and claims 
 
 
 
 
 
Provision for loan losses$7,108
$6,828
$7,604
$7,354
$7,503
$6,749
Policyholder benefits and claims731
801
830
101
109
204
Provision (release) for unfunded lending commitments74
(162)80
113
(161)29
Total provisions for credit losses and for benefits and claims$7,913
$7,467
$8,514
$7,568
$7,451
$6,982
Operating expenses(1)
 
 
 
 
 
 
Compensation and benefits$21,769
$23,959
$23,967
$21,154
$21,181
$20,970
Premises and equipment2,878
3,178
3,165
2,324
2,453
2,542
Technology/communication6,581
6,436
6,136
7,193
6,909
6,701
Advertising and marketing1,547
1,844
1,888
1,545
1,608
1,632
Other operating10,840
19,634
13,252
9,625
10,081
10,493
Total operating expenses$43,615
$55,051
$48,408
$41,841
$42,232
$42,338
Income from continuing operations before income taxes$24,826
$14,701
$19,802
$23,445
$22,761
$21,477
Provision for income taxes7,440
7,197
6,186
5,357
29,388
6,444
Income from continuing operations$17,386
$7,504
$13,616
Income (loss) from continuing operations$18,088
$(6,627)$15,033
Discontinued operations 
 
 
 
 
 
Income (loss) from discontinued operations$(83)$10
$(242)
Gain on sale—
—
268
Loss from discontinued operations$(26)$(104)$(80)
Provision (benefit) for income taxes(29)12
(244)(18)7
(22)
Income (loss) from discontinued operations, net of taxes$(54)$(2)$270
Net income before attribution of noncontrolling interests$17,332
$7,502
$13,886
Loss from discontinued operations, net of taxes$(8)$(111)$(58)
Net income (loss) before attribution of noncontrolling interests$18,080
$(6,738)$14,975
Noncontrolling interests90
192
227
35
60
63
Citigroup’s net income$17,242
$7,310
$13,659
Citigroup’s net income (loss)$18,045
$(6,798)$14,912
Basic earnings per share(2)
 
 
 
 
 
 
Income from continuing operations$5.43
$2.21
$4.26
Income (loss) from discontinued operations, net of taxes(0.02)—
0.09
Net income$5.41
$2.21
$4.35
Weighted average common shares outstanding3,004.0
3,031.6
3,035.8
Income (loss) from continuing operations
$6.69
$(2.94)$4.74
Loss from discontinued operations, net of taxes—
(0.04)(0.02)
Net income (loss)$6.69
$(2.98)$4.72
Weighted average common shares outstanding (in millions)
2,493.3
2,698.5
2,888.1

129


Diluted earnings per share(2)
 
 
 
Income from continuing operations$5.42
$2.20
$4.25
Income (loss) from discontinued operations, net of taxes(0.02)—
0.09
Net income$5.40
$2.20
$4.34
Adjusted weighted average common shares outstanding3,007.7
3,037.0
3,041.6


CONSOLIDATED STATEMENT OF INCOME (Continued) 
Citigroup Inc. and Subsidiaries

 
 Years ended December 31,
In millions of dollars, except per share amounts201820172016
Diluted earnings per share(2)
 
 
 
Income (loss) from continuing operations
$6.69
$(2.94)$4.74
Income (loss) from discontinued operations, net of taxes—
(0.04)(0.02)
Net income (loss)$6.68
$(2.98)$4.72
Adjusted weighted average common shares outstanding
  (in millions)
2,494.8
2,698.5
2,888.3

(1)Certain prior-period revenue and expense lines and totals were reclassified to conform to the current period’s presentation. See NoteNotes 1 and 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.


130


CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars201520142013
Net income before attribution of noncontrolling interests$17,332
$7,502
$13,886
Add: Citigroup’s other comprehensive income (loss)



 
Net change in unrealized gains and losses on investment securities, net of taxes$(964)$1,697
$(2,237)
Net change in cash flow hedges, net of taxes292
336
1,048
Benefit plans liability adjustment, net of taxes(1)
43
(1,170)1,281
Net change in foreign currency translation adjustment, net of taxes and hedges(5,499)(4,946)(2,329)
Citigroup’s total other comprehensive income (loss)$(6,128)$(4,083)$(2,237)
Total comprehensive income before attribution of noncontrolling interests$11,204
$3,419
$11,649
Less: Net income attributable to noncontrolling interests90
192
227
Citigroup’s comprehensive income$11,114
$3,227
$11,422
 Years ended December 31,
In millions of dollars201820172016
Citigroup’s net income (loss)$18,045
$(6,798)$14,912
Add: Citigroup’s other comprehensive income (loss)   
Net change in unrealized gains and losses on investment securities, net of taxes(1)(4)
$(1,089)$(863)$108
Net change in debt valuation adjustment (DVA), net of taxes(1)
1,113
(569)(337)
Net change in cash flow hedges, net of taxes(30)(138)57
Benefit plans liability adjustment, net of taxes(2)
(74)(1,019)(48)
Net change in foreign currency translation adjustment, net of taxes and hedges(2,362)(202)(2,802)
Net change in excluded component of fair value hedges, net of taxes

(57)—
—
Citigroup’s total other comprehensive income (loss)(3)
$(2,499)$(2,791)$(3,022)
Citigroup’s total comprehensive income (loss)

$15,546
$(9,589)$11,890
Add: Other comprehensive income (loss) attributable to noncontrolling interests$(43)$114
$(56)
Add: Net income attributable to noncontrolling interests35
60
63
Total comprehensive income (loss)$15,538
$(9,415)$11,897
(1)    Reflects adjustments based onSee Note 1 to the actuarial valuations of the Company’s 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 2017. See Note 1 to the Consolidated Financial Statements.
(4)For the year ended December 31, 2018, amount represents the net change in unrealized gains and losses on available-for-sale (AFS) debt securities. Effective January 1, 2018, the AFS category is eliminated for equity securities under ASU 2016-01.


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


131


CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
December 31,December 31,
In millions of dollars2015201420182017
Assets 
 
 
 
Cash and due from banks (including segregated cash and other deposits)$20,900
$32,108
$23,645
$23,775
Deposits with banks112,197
128,089
164,460
156,741
Federal funds sold and securities borrowed or purchased under agreements to resell (including $137,964 and $144,191 as of December 31, 2015 and December 31, 2014, respectively, at fair value)219,675
242,570
Federal funds sold and securities borrowed and purchased under agreements to resell (including $147,701 and $132,949 as of December 31, 2018 and 2017, respectively, at fair value)270,684
232,478
Brokerage receivables27,683
28,419
35,450
38,384
Trading account assets (including $92,123 and $106,217 pledged to creditors at December 31, 2015 and December 31, 2014, respectively)249,956
296,786
Trading account assets (including $112,932 and $99,460 pledged to creditors at December 31, 2018 and 2017, respectively)256,117
252,790
Investments:  
Available for sale (including $10,698 and $13,808 pledged to creditors as of December 31, 2015 and December 31, 2014, respectively)299,136
300,143
Held to maturity (including $3,630 and $2,974 pledged to creditors as of December 31, 2015 and December 31, 2014, respectively)36,215
23,921
Non-marketable equity securities (including $2,088 and $2,758 at fair value as of December 31, 2015 and December 31, 2014, respectively)7,604
9,379
Available-for-sale debt securities (including $9,289 and $9,493 pledged to creditors as of December 31, 2018 and 2017, respectively)288,038
290,725
Held-to-maturity debt securities (including $971 and $435 pledged to creditors as of December 31, 2018 and 2017, respectively)63,357
53,320
Equity securities (including $1,109 and $1,395 at fair value as of December 31, 2018 and 2017, respectively, of which $189 was available for sale as of December 31, 2017)7,212
8,245
Total investments$342,955
$333,443
$358,607
$352,290
Loans: 
 
 
 
Consumer (including $34 and $43 as of December 31, 2015 and December 31, 2014, respectively, at fair value)329,783
369,970
Corporate (including $4,971 and $5,858 as of December 31, 2015 and December 31, 2014, respectively, at fair value)287,834
274,665
Consumer (including $20 and $25 as of December 31, 2018 and 2017, respectively, at fair value)330,487
333,656
Corporate (including $3,203 and $4,349 as of December 31, 2018 and 2017, respectively, at fair value)353,709
333,378
Loans, net of unearned income$617,617
$644,635
$684,196
$667,034
Allowance for loan losses(12,626)(15,994)(12,315)(12,355)
Total loans, net$604,991
$628,641
$671,881
$654,679
Goodwill22,349
23,592
22,046
22,256
Intangible assets (other than MSRs)3,721
4,566
Mortgage servicing rights (MSRs)1,781
1,845
Other assets (including $6,121 and $7,762 as of December 31, 2015 and December 31, 2014, respectively, at fair value)125,002
122,122
Intangible assets (including MSRs of $584 and $558 as of December 31, 2018 and 2017,
respectively, at fair value)
5,220
5,146
Other assets (including $20,788 and $18,559 as of December 31, 2018 and 2017, respectively,
at fair value)
109,273
103,926
Total assets$1,731,210
$1,842,181
$1,917,383
$1,842,465

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 dollars2015201420182017
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$153
$300
$270
$52
Trading account assets583
671
917
1,129
Investments5,263
8,014
1,796
2,498
Loans, net of unearned income 
 
 
 
Consumer58,772
66,383
49,403
54,656
Corporate22,008
29,596
19,259
19,835
Loans, net of unearned income$80,780
$95,979
$68,662
$74,491
Allowance for loan losses(2,135)(2,793)(1,852)(1,930)
Total loans, net$78,645
$93,186
$66,810
$72,561
Other assets150
619
151
154
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$84,794
$102,790
$69,944
$76,394
Statement continues on the next page.

132


CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
December 31,December 31,
In millions of dollars, except shares and per share amounts2015201420182017
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$139,249
$128,958
$105,836
$126,880
Interest-bearing deposits in U.S. offices (including $923 and $994 as of December 31, 2015 and December 31, 2014, respectively, at fair value)280,234
284,978
Interest-bearing deposits in U.S. offices (including $717 and $303 as of December 31, 2018 and 2017, respectively, at fair value)361,573
318,613
Non-interest-bearing deposits in offices outside the U.S.71,577
70,925
80,648
87,440
Interest-bearing deposits in offices outside the U.S. (including $667 and $690 as of December 31, 2015 and December 31, 2014, respectively, at fair value)416,827
414,471
Interest-bearing deposits in offices outside the U.S. (including $758 and $1,162 as of December 31, 2018 and 2017, respectively, at fair value)465,113
426,889
Total deposits$907,887
$899,332
$1,013,170
$959,822
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $36,843 and $36,725 as of December 31, 2015 and December 31, 2014, respectively, at fair value)146,496
173,438
Federal funds purchased and securities loaned and sold under agreements to repurchase (including $44,510 and $40,638 as of December 31, 2018 and 2017, respectively, at fair value)177,768
156,277
Brokerage payables53,722
52,180
64,571
61,342
Trading account liabilities117,512
139,036
144,305
125,170
Short-term borrowings (including $1,207 and $1,496 as of December 31, 2015 and December 31, 2014, respectively, at fair value)21,079
58,335
Long-term debt (including $25,293 and $26,180 as of December 31, 2015 and December 31, 2014, respectively, at fair value)201,275
223,080
Other liabilities (including $1,624 and $1,776 as of December 31, 2015 and December 31, 2014, respectively, at fair value)60,147
85,084
Short-term borrowings (including $4,483 and $4,627 as of December 31, 2018 and 2017, respectively,
at fair value)
32,346
44,452
Long-term debt (including $38,229 and $31,392 as of December 31, 2018 and 2017, respectively,
at fair value)
231,999
236,709
Other liabilities (including $15,906 and $13,961 as of December 31, 2018 and 2017, respectively,
at fair value)
56,150
57,021
Total liabilities$1,508,118
$1,630,485
$1,720,309
$1,640,793
Stockholders’ equity 
 
 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 668,720 as of December 31, 2015 and 418,720 as of December 31, 2014, at aggregate liquidation value
$16,718
$10,468
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,482,042 as of December 31, 2015 and 3,082,037,568 as of December 31, 2014
31
31
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 738,400 as of December 31, 2018 and 770,120 as of December 31, 2017, at aggregate liquidation value
$18,460
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,567,177 as of December 31, 2018 and 3,099,523,273 as of December 31, 2017
31
31
Additional paid-in capital108,288
107,979
107,922
108,008
Retained earnings133,841
117,852
151,347
138,425
Treasury stock, at cost: December 31, 2015—146,203,311 shares and December 31, 2014—58,119,993 shares
(7,677)(2,929)
Accumulated other comprehensive income (loss)(29,344)(23,216)
Treasury stock, at cost: 731,099,833 shares as of December 31, 2018 and 529,614,728 shares as of
December 31, 2017
(44,370)(30,309)
Accumulated other comprehensive income (loss) (AOCI)(37,170)(34,668)
Total Citigroup stockholders’ equity$221,857
$210,185
$196,220
$200,740
Noncontrolling interest1,235
1,511
854
932
Total equity$223,092
$211,696
$197,074
$201,672
Total liabilities and equity$1,731,210
$1,842,181
$1,917,383
$1,842,465

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 dollars2015201420182017
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup 
 
 
 
Short-term borrowings$11,965
$20,254
$13,134
$10,142
Long-term debt31,273
40,078
28,514
30,492
Other liabilities2,099
901
697
611
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup$45,337
$61,233
$42,345
$41,245
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.

133


CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY Citigroup Inc. and Subsidiaries
 Years ended December 31,
 AmountsShares
In millions of dollars, except shares in thousands201820172016201820172016
Preferred stock at aggregate liquidation value 
 
 
 
 
 
Balance, beginning of year$19,253
$19,253
$16,718
770
770
669
Issuance of preferred stock—
—
2,535
—
—
101
Redemption of preferred stock(793)—
—
(32)—
—
Balance, end of period$18,460
$19,253
$19,253
738
770
770
Common stock and additional paid-in capital 
 
 
 
 
 
Balance, beginning of year$108,039
$108,073
$108,319
3,099,523
3,099,482
3,099,482
Employee benefit plans(94)(27)(251)44
41
—
Preferred stock issuance expense—
—
(37)—
—
—
Other8
(7)42
—
—
—
Balance, end of period$107,953
$108,039
$108,073
3,099,567
3,099,523
3,099,482
Retained earnings 
 
 
 
 
 
Balance, beginning of year$138,425
$146,477
$133,841
   
Adjustment to opening balance, net of taxes(1)
(84)(660)15
   
Adjusted balance, beginning of period$138,341
$145,817
$133,856
 
 
 
Citigroup’s net income (loss)18,045
(6,798)14,912
 
 
 
Common dividends(2)
(3,865)(2,595)(1,214) 
 
 
Preferred dividends(1,174)(1,213)(1,077) 
 
 
Impact of Tax Reform related to AOCI reclassification(3)
—
3,304
—
 
 
 
Other(4)
—
(90)—
   
Balance, end of period$151,347
$138,425
$146,477
 
 
 
Treasury stock, at cost 
 
 
 
 
 
Balance, beginning of year$(30,309)$(16,302)$(7,677)(529,615)(327,090)(146,203)
Employee benefit plans(5)
484
531
826
10,557
11,651
14,256
Treasury stock acquired(6)
(14,545)(14,538)(9,451)(212,042)(214,176)(195,143)
Balance, end of period$(44,370)$(30,309)$(16,302)(731,100)(529,615)(327,090)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
 
 
Balance, beginning of year$(34,668)$(32,381)$(29,344) 
 
 
Adjustment to opening balance, net of taxes(1)
(3)504
(15)   
Adjusted balance, beginning of period$(34,671)$(31,877)$(29,359)   
Citigroup’s total other comprehensive income (loss)(3)
(2,499)(2,791)(3,022) 
 
 
Balance, end of period$(37,170)$(34,668)$(32,381) 
 
 
Total Citigroup common stockholders’ equity$177,760
$181,487
$205,867
2,368,467
2,569,908
2,772,392
Total Citigroup stockholders’ equity$196,220
$200,740
$225,120
   
Noncontrolling interests 
 
 
 
 
 
Balance, beginning of year$932
$1,023
$1,235
 
 
 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary—
(28)(11)   
Transactions between Citigroup and the noncontrolling-interest shareholders(50)(121)(130) 
 
 
Net income attributable to noncontrolling-interest shareholders35
60
63
 
 
 
Dividends paid to noncontrolling-interest shareholders(38)(44)(42) 
 
 
Other comprehensive income (loss) attributable to
   noncontrolling-interest shareholders
(43)114
(56) 
 
 
Other18
(72)(36) 
 
 
Net change in noncontrolling interests$(78)$(91)$(212) 
 
 
Balance, end of period$854
$932
$1,023
 
 
 
Total equity$197,074
$201,672
$226,143
   
 Years ended December 31,
 AmountsShares
In millions of dollars, except shares in thousands201520142013201520142013
Preferred stock at aggregate liquidation value 
 
 
 
 
 
Balance, beginning of year$10,468
$6,738
$2,562
419
270
102
Issuance of new preferred stock6,250
3,730
4,270
250
149
171
Redemption of preferred stock—
—
(94)—
—
(3)
Balance, end of period$16,718
$10,468
$6,738
669
419
270
Common stock and additional paid-in capital 
 
 
 
 
 
Balance, beginning of year$108,010
$107,224
$106,421
3,082,038
3,062,099
3,043,153
Employee benefit plans357
798
878
17,438
19,928
18,930
Preferred stock issuance expense(23)(31)(78)—
—
—
Other(25)19
3
6
11
16
Balance, end of period$108,319
$108,010
$107,224
3,099,482
3,082,038
3,062,099
Retained earnings 
 
 
 
 
 
Balance, beginning of year$117,852
$110,821
$97,809
   
Adjustment to opening balance, net of taxes(1)
—
—
(332)   
Adjusted balance, beginning of period$117,852
$110,821
$97,477
 
 
 
Citigroup’s net income17,242
7,310
13,659
 
 
 
Common dividends(2)
(484)(122)(120) 
 
 
Preferred dividends(769)(511)(194) 
 
 
Tax benefit—
353
—
 
 
 
Other—
1
(1)   
Balance, end of period$133,841
$117,852
$110,821
 
 
 
Treasury stock, at cost 
 
 
 
 
 
Balance, beginning of year$(2,929)$(1,658)$(847)(58,119)(32,856)(14,269)
Employee benefit plans(3)
704
(39)26
13,318
(483)(1,629)
Treasury stock acquired(4)
(5,452)(1,232)(837)(101,402)(24,780)(16,958)
Balance, end of period$(7,677)$(2,929)$(1,658)(146,203)(58,119)(32,856)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
 
 
Balance, beginning of year$(23,216)$(19,133)$(16,896) 
 
 
Citigroup’s total other comprehensive income (loss)(6,128)(4,083)(2,237) 
 
 
Balance, end of period$(29,344)$(23,216)$(19,133) 
 
 
Total Citigroup common stockholders’ equity$205,139
$199,717
$197,254
2,953,279
3,023,919
3,029,243
Total Citigroup stockholders’ equity$221,857
$210,185
$203,992
 
 
 
Noncontrolling interests 
 
 
 
 
 
Balance, beginning of year$1,511
$1,794
$1,948
 
 
 
Initial origination of a noncontrolling interest—
—
6
 
 
 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary—
—
(2)   
Transactions between Citigroup and the noncontrolling-interest shareholders(164)(96)(118) 
 
 
Net income attributable to noncontrolling-interest shareholders90
192
227
 
 
 
Dividends paid to noncontrolling-interest shareholders(78)(91)(63) 
 
 
Other comprehensive income (loss) attributable to
   noncontrolling-interest shareholders
(83)(106)(17) 
 
 
Other(41)(182)(187) 
 
 
Net change in noncontrolling interests$(276)$(283)$(154) 
 
 
Balance, end of period$1,235
$1,511
$1,794
 
 
 
Total equity$223,092
$211,696
$205,786
   


134


(1)
Citi adopted ASU 2014-01 Investments-Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Affordable Housing, in the first quarter of 2015 on a retrospective basis. This adjustment to opening Retained earnings represents the impact to periods prior to January 1, 2013 and is shown as an adjustment to the opening balance since 2013 is the earliest period presented in this statement. See Note 1 to the Consolidated Financial Statements for additional information.
details.
(2)
Common dividends declared were $0.01$0.32 per share in the first quarter and $0.05bothsecond quarters and $0.45 per share in the second, third andfourth quarters of 2015 and $0.012018; $0.16 per share in each quarterthe first and second quarters and $0.32 per share in the third and fourth quarters of 2014.2017; and $0.05 in the first and second quarters and $0.16 per share in the third and fourth quarters of 2016.
(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.
(3)(4)
Includes the impact of ASU No. 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. 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.
(4)(6)For the twelve months ended December 31, 2015, 20142018, 2017, and 2013,2016, 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.

135


CONSOLIDATED STATEMENT OF CASH FLOWS Citigroup Inc. and Subsidiaries
Years ended December 31,Years ended December 31,
In millions of dollars201520142013201820172016
Cash flows from operating activities of continuing operations 
 
 
 
 
 
Net income before attribution of noncontrolling interests$17,332
$7,502
$13,886
Net income (loss) before attribution of noncontrolling interests$18,080
$(6,738)$14,975
Net income attributable to noncontrolling interests90
192
227
35
60
63
Citigroup’s net income$17,242
$7,310
$13,659
Citigroup’s net income (loss)$18,045
$(6,798)$14,912
Loss from discontinued operations, net of taxes(54)(2)(90)(8)(111)(58)
Gain on sale, net of taxes—
—
360
Income from continuing operations—excluding noncontrolling interests$17,296
$7,312
$13,389
Income (loss) from continuing operations—excluding noncontrolling interests$18,053
$(6,687)$14,970
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
 
 
 
Gains on significant disposals(1)
(3,210)(452)—
Amortization of deferred policy acquisition costs and present value of future profits191
210
194
Additions to deferred policy acquisition costs(62)(64)(54)
Net gains on significant disposals(1)
(247)(602)(404)
Depreciation and amortization3,506
3,589
3,303
3,754
3,659
3,720
Deferred tax provision2,794
3,347
2,699
Deferred tax provision(2)
(51)24,877
1,459
Provision for loan losses7,108
6,828
7,604
7,354
7,503
6,749
Realized gains from sales of investments(682)(570)(748)(421)(778)(948)
Net impairment losses on investments, goodwill and intangible assets318
426
535
132
91
621
Change in trading account assets46,830
(10,858)35,001
(3,469)(7,038)(3,092)
Change in trading account liabilities(21,524)30,274
(6,787)19,135
(15,375)21,409
Change in brokerage receivables net of brokerage payables2,278
(4,272)(6,490)
Change in loans held-for-sale (HFS)(7,207)(1,144)4,321
Change in brokerage receivables, net of brokerage payables6,163
(5,307)2,226
Change in loans HFS770
247
6,603
Change in other assets(32)(1,690)13,028
(5,791)(3,364)(6,676)
Change in other liabilities(1,135)7,973
(7,880)(871)(3,044)96
Other, net(6,732)5,434
5,129
(7,559)(2,956)7,000
Total adjustments$22,441
$39,031
$49,855
$18,899
$(2,087)$38,763
Net cash provided by operating activities of continuing operations$39,737
$46,343
$63,244
Net cash provided by (used in) operating activities of continuing operations$36,952
$(8,774)$53,733
Cash flows from investing activities of continuing operations 
 
 
 
 
 
Change in deposits with banks$15,488
$40,916
$(66,871)
Change in federal funds sold and securities borrowed or purchased under agreements to resell22,895
14,467
4,274
$(38,206)$4,335
$(17,138)
Change in loans1,353
1,170
(30,198)(29,002)(58,062)(39,761)
Proceeds from sales and securitizations of loans9,610
4,752
9,123
4,549
8,365
18,140
Purchases of investments(242,362)(258,992)(220,823)(186,987)(185,740)(211,402)
Proceeds from sales of investments141,470
135,824
131,100
Proceeds from sales of investments(3)
61,491
107,368
132,183
Proceeds from maturities of investments82,047
94,117
84,831
118,104
84,369
65,525
Proceeds from significant disposals(1)
5,932
346
—
314
3,411
265
Payments due to transfers of net liabilities associated with significant disposals(1)(2)
(18,929)(1,255)—
Capital expenditures on premises and equipment and capitalized software(3,198)(3,386)(3,490)(3,774)(3,361)(2,756)
Proceeds from sales of premises and equipment, subsidiaries and affiliates,
and repossessed assets
577
623
716
Net cash provided by (used in) investing activities of continuing operations$14,883
$28,582
$(91,338)
Proceeds from sales of premises and equipment, subsidiaries and affiliates
and repossessed assets
212
377
667
Other, net181
187
142
Net cash used in investing activities of continuing operations$(73,118)$(38,751)$(54,135)
Cash flows from financing activities of continuing operations 
 
 
 
 
 
Dividends paid$(1,253)$(633)$(314)$(5,020)$(3,797)$(2,287)
Issuance of preferred stock6,227
3,699
4,192
Redemption of preferred stock—
—
(94)
Issuance (redemption) of preferred stock(793)—
2,498
Treasury stock acquired(5,452)(1,232)(837)(14,433)(14,541)(9,290)
Stock tendered for payment of withholding taxes(428)(508)(452)(482)(405)(316)
Change in federal funds purchased and securities loaned or sold under agreements to repurchase(26,942)(30,074)(7,724)21,491
14,456
(4,675)
Issuance of long-term debt60,655
67,960
63,806
Payments and redemptions of long-term debt(58,132)(40,986)(55,460)
Change in deposits53,348
30,416
24,394
Change in short-term borrowings(12,106)13,751
9,622

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   Issuance of long-term debt44,619
66,836
54,405
   Payments and redemptions of long-term debt(52,843)(58,923)(63,994)
   Change in deposits8,555
(48,336)37,713
   Change in short-term borrowings(37,256)(1,099)199
Net cash provided by (used in) financing activities of continuing operations$(64,773)$(70,270)$23,094
Effect of exchange rate changes on cash and cash equivalents$(1,055)$(2,432)$(1,558)
Discontinued operations 
 
 
Net cash used in discontinued operations$—
$—
$(10)
Change in cash and due from banks$(11,208)$2,223
$(6,568)
Cash and due from banks at beginning of period32,108
29,885
36,453
Cash and due from banks at end of period$20,900
$32,108
$29,885
Supplemental disclosure of cash flow information for continuing operations 
 
 
Cash paid during the year for income taxes$4,978
$4,632
$4,495
Cash paid during the year for interest12,031
14,001
15,655
Non-cash investing activities 
 
 
Change in loans due to consolidation/deconsolidation of VIEs$—
$(374)$6,718
Decrease in net loans associated with significant disposals reclassified to HFS(9,063)—
—
Decrease in investments associated with significant disposals reclassified to HFS(1,402)—
—
Decrease in goodwill and intangible assets associated with significant disposals reclassified to HFS(223)—
—
Decrease in deposits with banks with significant disposals reclassified to HFS(404)—
—
Transfers to loans HFS from loans28,600
15,100
17,300
Transfers to OREO and other repossessed assets276
321
325
Non-cash financing activities   
Decrease in long-term debt associated with significant disposals reclassified to HFS$(4,673)$—
$—
Decrease in deposits associated with reclassification to HFS—
(20,605)—
Increase in short-term borrowings due to consolidation of VIEs—
500
6,718
Decrease in long-term debt due to deconsolidation of VIEs—
(864)—
CONSOLIDATED STATEMENT OF CASH FLOWS
(Continued)

Citigroup Inc. and Subsidiaries

 
 Years ended December 31,
In millions of dollars201820172016
Net cash provided by financing activities of continuing operations$44,528
$66,854
$28,292
Effect of exchange rate changes on cash and cash equivalents$(773)$693
$(493)
Change in cash, due from banks and deposits with banks(4)
$7,589
$20,022
$27,397
Cash, due from banks and deposits with banks at beginning of period(4)
180,516
160,494
133,097
Cash, due from banks and deposits with banks at end of period(4)
$188,105
$180,516
$160,494
Cash and due from banks$23,645
$23,775
$23,043
Deposits with banks$164,460
$156,741
$137,451
Cash, due from banks and deposits with banks at end of period$188,105
$180,516
$160,494
Supplemental disclosure of cash flow information for continuing operations 
 
 
Cash paid during the year for income taxes$4,313
$2,083
$4,359
Cash paid during the year for interest22,963
15,675
12,067
Non-cash investing activities 
 
 
Transfers to loans HFS from loans$4,200
$5,900
$13,900
Transfers to OREO and other repossessed assets151
113
165

(1) See Note 1 to the Consolidated Financial Statements for the adoption of ASU No. 2014-08 in the second quarter of 2014 and Note 2 for further information on significant disposals.
(2) The payments associated with significant disposals result primarily from the sale of deposit liabilities.
(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) in 2017. 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)
Includes the impact of ASU 2016-18, Restricted Cash. See Notes 1 and 26 to the Consolidated Financial Statements.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.



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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
Citibank, N.A. (Citibank) is a commercial bank and wholly owned subsidiary of Citigroup. Citibank’s principal offerings include: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 (VIEs)
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 loan obligations (CLOs), 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.operation, at which point such amounts related to the foreign entity are reclassified into earnings. 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.



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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.
InvestmentFixed income 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 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 marketablehedges. Interest income on such securities is included in Interest revenue.

Prior to January 1, 2018, equity securities were classified and accounted for as follows:

Marketable equity securities classified as “available-for-sale” arewere 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 dividendDividend income on such securities iswas 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 arewere carried at fair value, since the Company has elected to apply fair value accounting. Changes in fair value of such investments arewere recorded in earnings.
Certain non-marketable equity securities were carried at cost.

As of January 1, 2018, equity securities are classified and accounted for as follows:

Marketable equity securities are measured at fair value with changes in fair value recognized in earnings. The available-for-sale category was eliminated for equity securities.
Non-marketable equity securities are measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. Non-marketable equity securities under the measurement alternative are carried at cost andplus or minus changes resulting from observed prices for orderly transactions for the identical or a similar investment of the same issuer.
Certain investments that would otherwise have been accounted for using the equity method are periodically assessed for other-than-temporary impairment, as describedcarried at fair value with changes in Note 14fair value recognized in earnings, since the Company elected to the Consolidated Financial Statements.apply fair value accounting.

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 not measured at fair value through earnings, such as securities held in HTM, AFS or under the new measurement alternative, are subject to evaluation for other-than-temporary impairment as described in Note 1413 to the Consolidated Financial Statements. Realized gains and losses on sales of investments are included in earnings, primarily on a specific identification basis.
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.



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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 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) 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,HFS, 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 Citi Holdings.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 discharged through Chapter 7are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy, other than FHA-insured loans, are classified as non-accrual.loans. Commercial marketbanking 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


140


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 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, realReal 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 marketbanking 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)(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 costcarrying value 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-saleHFS 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-saleHFS 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-saleHFS loans are accounted for at the lower of cost or market value, with any


141


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 toin 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 (formerly SFAS 114), 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 marketbanking 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 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 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 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


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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 isare 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 Consumerconsumer loans, where concessions were granted due to the borrowers’ financial difficulties.
The above-mentionedaforementioned 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 20142017 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 account during this review. Changes in these estimates could


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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 the Provision for unfunded lending commitments.

Mortgage Servicing Rights (MSRs)
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.

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 disposed business based on the ratio of the fair value of the disposed business 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 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, 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,HFS, 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.



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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 rightsIntangible assets 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 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,(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 opinionsthat opinion 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;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-rateinterest 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.


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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 agreements 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 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. 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 Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses(Topic 326). The ASU introduces a new credit loss methodology, the Current Expected Credit Losses (CECL) methodology, which requires earlier recognition of 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 debt securities and other postretirement benefit plans (which are accruedreceivables measured at amortized cost at the time the financial asset is originated or acquired. The allowance for credit losses is adjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. Within the life cycle of a loan or other financial asset, the ASU will generally result in the earlier recognition of the provision for credit losses and the related allowance for credit losses than current practice. For available-for-sale debt securities that Citi intends to hold and where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.
The CECL methodology represents a significant change from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will depend upon the state of the economy, forecasted macroeconomic conditions and Citi’s portfolios at the date of adoption. Based on a current basis)preliminary analysis performed in the fourth quarter of 2018 and forecasts of macroeconomic conditions and exposures at that time, the overall impact was estimated to be an approximate 10% to 20% increase in expected credit loss reserves. The ASU will be effective for Citi as of January 1, 2020. This increase would be reflected as a decrease to opening Retained earnings, contributionsnet of income taxes, at January 1, 2020.
Implementation efforts are underway, including model development, fulfillment of additional data needs for new disclosures and unrestricted awards under other employee plans,reporting requirements, and drafting of accounting policies. Substantial progress has been made in model development. Model validations and user acceptance testing commenced in the amortizationfirst quarter of restricted stock awards2019, with parallel runs to begin in the third quarter of 2019. The Company intends to utilize a single macroeconomic scenario in estimating expected credit losses. Reasonable and costssupportable forecast periods and methods to revert to historical averages to arrive at lifetime expected credit losses vary by product.
For additional information on regulatory capital treatment, see “Capital Resources—Regulatory Capital Treatment—Implementation and Transition of other employee benefits.the Current Expected Credit Losses (CECL) Methodology” above.

Lease Accounting
For its most significant pensionIn February 2016, the FASB issued ASU No. 2016-02, Leases (Topic 842), which is intended to increase transparency and postretirement benefit plans (Significant Plans), Citigroup measures and discloses plan obligations, plancomparability of accounting for lease transactions. The ASU will require lessees to recognize leases on the balance sheet as right-of-use assets and periodic plan expense quarterly, insteadlease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. On January 1, 2019, the Company adopted the guidance prospectively with a cumulative adjustment to Retained earnings. At adoption, Citi recognized a lease liability and a corresponding right-of-use asset, related to its future minimum lease commitments of annually. Theapproximately $4.4 billion. Additionally, the Company recorded a $155 million increase in Retained earnings due to the cumulative effect of remeasuringrecognizing previously deferred gains on sale/leaseback transactions.

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

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


DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of December 31, 2018 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, 2018 based on the criteria set forth by updatingthe 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, 2018, 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, 2018 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, 2018 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, 2018.


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
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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, 2018, 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, 2018, 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, 2018 and 2017, 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, 2018, and the related notes (collectively, the “consolidated financial statements”), and our report dated February 22, 2019 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 actuarial assumptionsand 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.



/s/ KPMG LLP
New York, New York
February 22, 2019


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—
CONSOLIDATED FINANCIAL STATEMENTS
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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, 2018 and 2017, 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, 2018, 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, 2018 and 2017, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2018, 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, 2018, 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 22, 2019 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 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 22, 2019




FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income—
For the Years Ended December 31, 2018, 2017 and 2016
124
Consolidated Statement of Comprehensive Income—
For the Years Ended December 31, 2018, 2017 and 2016
125
Consolidated Balance Sheet—December 31, 2018 and 2017
126
Consolidated Statement of Changes in Stockholders’ Equity—For the Years Ended December 31, 2018, 2017 and 2016
128
Consolidated Statement of Cash Flows—
For the Years Ended December 31, 2018, 2017 and 2016
130

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Note 1—Summary of Significant Accounting Policies
132
Note 2—Discontinued Operations and Significant Disposals
144
Note 3—Business Segments
146
Note 4—Interest Revenue and Expense
147
Note 5—Commissions and Fees; Administration and Other
                  Fiduciary Fees
148
Note 6—Principal Transactions
151
Note 7—Incentive Plans
152
Note 8—Retirement Benefits
156
Note 9—Income Taxes
168
Note 10—Earnings per Share
172
Note 11—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
173
Note 12—Brokerage Receivables and Brokerage Payables
177
Note 13—Investments
178
Note 14—Loans
191
Note 15—Allowance for Credit Losses
203


Note 16—Goodwill and Intangible Assets
206
Note 17—Debt
208
Note 18—Regulatory Capital
210
Note 19—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
211
Note 20—Preferred Stock
214
Note 21—Securitizations and Variable Interest Entities
216
Note 22—Derivatives Activities
228
Note 23—Concentrations of Credit Risk
243
Note 24—Fair Value Measurement
244
Note 25—Fair Value Elections
265
Note 26—Pledged Assets, Collateral, Guarantees and
                   Commitments
269
Note 27—Contingencies
276
Note 28—Condensed Consolidating Financial Statements
283
Note 29—Selected Quarterly Financial Data (Unaudited)
292


CONSOLIDATED FINANCIAL STATEMENTS

CONSOLIDATED STATEMENT OF INCOME          Citigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars, except per share amounts201820172016
Revenues(1)
 
 
 
Interest revenue$70,828
$61,579
$57,988
Interest expense24,266
16,518
12,512
Net interest revenue$46,562
$45,061
$45,476
Commissions and fees$11,857
$12,707
$11,678
Principal transactions9,062
9,475
7,857
Administration and other fiduciary fees3,580
3,584
3,294
Realized gains on sales of investments, net421
778
949
Impairment losses on investments  
 
Gross impairment losses(132)(63)(620)
Net impairment losses recognized in earnings$(132)$(63)$(620)
Other revenue$1,504
$902
$2,163
Total non-interest revenues$26,292
$27,383
$25,321
Total revenues, net of interest expense$72,854
$72,444
$70,797
Provisions for credit losses and for benefits and claims 
 
 
Provision for loan losses$7,354
$7,503
$6,749
Policyholder benefits and claims101
109
204
Provision (release) for unfunded lending commitments113
(161)29
Total provisions for credit losses and for benefits and claims$7,568
$7,451
$6,982
Operating expenses(1)
 
 
 
Compensation and benefits$21,154
$21,181
$20,970
Premises and equipment2,324
2,453
2,542
Technology/communication7,193
6,909
6,701
Advertising and marketing1,545
1,608
1,632
Other operating9,625
10,081
10,493
Total operating expenses$41,841
$42,232
$42,338
Income from continuing operations before income taxes$23,445
$22,761
$21,477
Provision for income taxes5,357
29,388
6,444
Income (loss) from continuing operations$18,088
$(6,627)$15,033
Discontinued operations 
 
 
Loss from discontinued operations$(26)$(104)$(80)
Provision (benefit) for income taxes(18)7
(22)
Loss from discontinued operations, net of taxes$(8)$(111)$(58)
Net income (loss) before attribution of noncontrolling interests$18,080
$(6,738)$14,975
Noncontrolling interests35
60
63
Citigroup’s net income (loss)$18,045
$(6,798)$14,912
Basic earnings per share(2)
 
 
 
Income (loss) from continuing operations
$6.69
$(2.94)$4.74
Loss from discontinued operations, net of taxes—
(0.04)(0.02)
Net income (loss)$6.69
$(2.98)$4.72
Weighted average common shares outstanding (in millions)
2,493.3
2,698.5
2,888.1



CONSOLIDATED STATEMENT OF INCOME (Continued) 
Citigroup Inc. and Subsidiaries

 
 Years ended December 31,
In millions of dollars, except per share amounts201820172016
Diluted earnings per share(2)
 
 
 
Income (loss) from continuing operations
$6.69
$(2.94)$4.74
Income (loss) from discontinued operations, net of taxes—
(0.04)(0.02)
Net income (loss)$6.68
$(2.98)$4.72
Adjusted weighted average common shares outstanding
  (in millions)
2,494.8
2,698.5
2,888.3

(1)Certain prior-period revenue and expense lines and totals were reclassified to conform to the current period’s presentation. See Notes 1 and 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 dollars201820172016
Citigroup’s net income (loss)$18,045
$(6,798)$14,912
Add: Citigroup’s other comprehensive income (loss)   
Net change in unrealized gains and losses on investment securities, net of taxes(1)(4)
$(1,089)$(863)$108
Net change in debt valuation adjustment (DVA), net of taxes(1)
1,113
(569)(337)
Net change in cash flow hedges, net of taxes(30)(138)57
Benefit plans liability adjustment, net of taxes(2)
(74)(1,019)(48)
Net change in foreign currency translation adjustment, net of taxes and hedges(2,362)(202)(2,802)
Net change in excluded component of fair value hedges, net of taxes

(57)—
—
Citigroup’s total other comprehensive income (loss)(3)
$(2,499)$(2,791)$(3,022)
Citigroup’s total comprehensive income (loss)

$15,546
$(9,589)$11,890
Add: Other comprehensive income (loss) attributable to noncontrolling interests$(43)$114
$(56)
Add: Net income attributable to noncontrolling interests35
60
63
Total comprehensive income (loss)$15,538
$(9,415)$11,897
(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 2017. See Note 1 to the Consolidated Financial Statements.
(4)For the year ended December 31, 2018, amount represents the net change in unrealized gains and losses on available-for-sale (AFS) debt securities. Effective January 1, 2018, the AFS category is eliminated for equity securities under ASU 2016-01.


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 dollars20182017
Assets 
 
Cash and due from banks (including segregated cash and other deposits)$23,645
$23,775
Deposits with banks164,460
156,741
Federal funds sold and securities borrowed and purchased under agreements to resell (including $147,701 and $132,949 as of December 31, 2018 and 2017, respectively, at fair value)270,684
232,478
Brokerage receivables35,450
38,384
Trading account assets (including $112,932 and $99,460 pledged to creditors at December 31, 2018 and 2017, respectively)256,117
252,790
Investments:  
  Available-for-sale debt securities (including $9,289 and $9,493 pledged to creditors as of December 31, 2018 and 2017, respectively)288,038
290,725
Held-to-maturity debt securities (including $971 and $435 pledged to creditors as of December 31, 2018 and 2017, respectively)63,357
53,320
Equity securities (including $1,109 and $1,395 at fair value as of December 31, 2018 and 2017, respectively, of which $189 was available for sale as of December 31, 2017)7,212
8,245
Total investments$358,607
$352,290
Loans: 
 
Consumer (including $20 and $25 as of December 31, 2018 and 2017, respectively, at fair value)330,487
333,656
Corporate (including $3,203 and $4,349 as of December 31, 2018 and 2017, respectively, at fair value)353,709
333,378
Loans, net of unearned income$684,196
$667,034
Allowance for loan losses(12,315)(12,355)
Total loans, net$671,881
$654,679
Goodwill22,046
22,256
Intangible assets (including MSRs of $584 and $558 as of December 31, 2018 and 2017,
  respectively, at fair value)
5,220
5,146
Other assets (including $20,788 and $18,559 as of December 31, 2018 and 2017, respectively,
  at fair value)
109,273
103,926
Total assets$1,917,383
$1,842,465

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 dollars20182017
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
Cash and due from banks$270
$52
Trading account assets917
1,129
Investments1,796
2,498
Loans, net of unearned income 
 
Consumer49,403
54,656
Corporate19,259
19,835
Loans, net of unearned income$68,662
$74,491
Allowance for loan losses(1,852)(1,930)
Total loans, net$66,810
$72,561
Other assets151
154
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$69,944
$76,394
Statement continues on the next page.

CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
 December 31,
In millions of dollars, except shares and per share amounts20182017
Liabilities 
 
Non-interest-bearing deposits in U.S. offices$105,836
$126,880
Interest-bearing deposits in U.S. offices (including $717 and $303 as of December 31, 2018 and 2017, respectively, at fair value)361,573
318,613
Non-interest-bearing deposits in offices outside the U.S.80,648
87,440
Interest-bearing deposits in offices outside the U.S. (including $758 and $1,162 as of December 31, 2018 and 2017, respectively, at fair value)465,113
426,889
Total deposits$1,013,170
$959,822
Federal funds purchased and securities loaned and sold under agreements to repurchase (including $44,510 and $40,638 as of December 31, 2018 and 2017, respectively, at fair value)177,768
156,277
Brokerage payables64,571
61,342
Trading account liabilities144,305
125,170
Short-term borrowings (including $4,483 and $4,627 as of December 31, 2018 and 2017, respectively,
  at fair value)
32,346
44,452
Long-term debt (including $38,229 and $31,392 as of December 31, 2018 and 2017, respectively,
  at fair value)
231,999
236,709
Other liabilities (including $15,906 and $13,961 as of December 31, 2018 and 2017, respectively,
  at fair value)
56,150
57,021
Total liabilities$1,720,309
$1,640,793
Stockholders’ equity 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 738,400 as of December 31, 2018 and 770,120 as of December 31, 2017, at aggregate liquidation value
$18,460
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,567,177 as of December 31, 2018 and 3,099,523,273 as of December 31, 2017
31
31
Additional paid-in capital107,922
108,008
Retained earnings151,347
138,425
Treasury stock, at cost: 731,099,833 shares as of December 31, 2018 and 529,614,728 shares as of
    December 31, 2017
(44,370)(30,309)
Accumulated other comprehensive income (loss) (AOCI)(37,170)(34,668)
Total Citigroup stockholders’ equity$196,220
$200,740
Noncontrolling interest854
932
Total equity$197,074
$201,672
Total liabilities and equity$1,917,383
$1,842,465

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 dollars20182017
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup 
 
Short-term borrowings$13,134
$10,142
Long-term debt28,514
30,492
Other liabilities697
611
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup$42,345
$41,245
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 thousands201820172016201820172016
Preferred stock at aggregate liquidation value 
 
 
 
 
 
Balance, beginning of year$19,253
$19,253
$16,718
770
770
669
Issuance of preferred stock—
—
2,535
—
—
101
Redemption of preferred stock(793)—
—
(32)—
—
Balance, end of period$18,460
$19,253
$19,253
738
770
770
Common stock and additional paid-in capital 
 
 
 
 
 
Balance, beginning of year$108,039
$108,073
$108,319
3,099,523
3,099,482
3,099,482
Employee benefit plans(94)(27)(251)44
41
—
Preferred stock issuance expense—
—
(37)—
—
—
Other8
(7)42
—
—
—
Balance, end of period$107,953
$108,039
$108,073
3,099,567
3,099,523
3,099,482
Retained earnings 
 
 
 
 
 
Balance, beginning of year$138,425
$146,477
$133,841
   
Adjustment to opening balance, net of taxes(1)
(84)(660)15
   
Adjusted balance, beginning of period$138,341
$145,817
$133,856
 
 
 
Citigroup’s net income (loss)18,045
(6,798)14,912
 
 
 
Common dividends(2)
(3,865)(2,595)(1,214) 
 
 
Preferred dividends(1,174)(1,213)(1,077) 
 
 
Impact of Tax Reform related to AOCI reclassification(3)
—
3,304
—
 
 
 
Other(4)
—
(90)—
   
Balance, end of period$151,347
$138,425
$146,477
 
 
 
Treasury stock, at cost 
 
 
 
 
 
Balance, beginning of year$(30,309)$(16,302)$(7,677)(529,615)(327,090)(146,203)
Employee benefit plans(5)
484
531
826
10,557
11,651
14,256
Treasury stock acquired(6)
(14,545)(14,538)(9,451)(212,042)(214,176)(195,143)
Balance, end of period$(44,370)$(30,309)$(16,302)(731,100)(529,615)(327,090)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
 
 
Balance, beginning of year$(34,668)$(32,381)$(29,344) 
 
 
Adjustment to opening balance, net of taxes(1)
(3)504
(15)   
Adjusted balance, beginning of period$(34,671)$(31,877)$(29,359)   
Citigroup’s total other comprehensive income (loss)(3)
(2,499)(2,791)(3,022) 
 
 
Balance, end of period$(37,170)$(34,668)$(32,381) 
 
 
Total Citigroup common stockholders’ equity$177,760
$181,487
$205,867
2,368,467
2,569,908
2,772,392
Total Citigroup stockholders’ equity$196,220
$200,740
$225,120
   
Noncontrolling interests 
 
 
 
 
 
Balance, beginning of year$932
$1,023
$1,235
 
 
 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary—
(28)(11)   
Transactions between Citigroup and the noncontrolling-interest shareholders(50)(121)(130) 
 
 
Net income attributable to noncontrolling-interest shareholders35
60
63
 
 
 
Dividends paid to noncontrolling-interest shareholders(38)(44)(42) 
 
 
Other comprehensive income (loss) attributable to
   noncontrolling-interest shareholders
(43)114
(56) 
 
 
Other18
(72)(36) 
 
 
Net change in noncontrolling interests$(78)$(91)$(212) 
 
 
Balance, end of period$854
$932
$1,023
 
 
 
Total equity$197,074
$201,672
$226,143
   


(1)See Note 1 to the Consolidated Financial Statements for additional details.
(2)Common dividends declared were $0.32 per share in the first and second quarters and $0.45 per share in the third and fourth quarters of 2018; $0.16 per share in the first and second quarters and $0.32 per share in the third and fourth quarters of 2017; and $0.05 in the first and second quarters and $0.16 per share in the third and fourth quarters of 2016.
(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, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. 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 2018, 2017, and 2016, 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 dollars201820172016
Cash flows from operating activities of continuing operations 
 
 
Net income (loss) before attribution of noncontrolling interests$18,080
$(6,738)$14,975
Net income attributable to noncontrolling interests35
60
63
Citigroup’s net income (loss)$18,045
$(6,798)$14,912
Loss from discontinued operations, net of taxes(8)(111)(58)
Income (loss) from continuing operations—excluding noncontrolling interests$18,053
$(6,687)$14,970
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
Net gains on significant disposals(1)
(247)(602)(404)
Depreciation and amortization3,754
3,659
3,720
Deferred tax provision(2)
(51)24,877
1,459
Provision for loan losses7,354
7,503
6,749
Realized gains from sales of investments(421)(778)(948)
Net impairment losses on investments, goodwill and intangible assets132
91
621
Change in trading account assets(3,469)(7,038)(3,092)
Change in trading account liabilities19,135
(15,375)21,409
Change in brokerage receivables, net of brokerage payables6,163
(5,307)2,226
Change in loans HFS770
247
6,603
Change in other assets(5,791)(3,364)(6,676)
Change in other liabilities(871)(3,044)96
Other, net(7,559)(2,956)7,000
Total adjustments$18,899
$(2,087)$38,763
Net cash provided by (used in) operating activities of continuing operations$36,952
$(8,774)$53,733
Cash flows from investing activities of continuing operations 
 
 
   Change in federal funds sold and securities borrowed or purchased under agreements to resell$(38,206)$4,335
$(17,138)
   Change in loans(29,002)(58,062)(39,761)
   Proceeds from sales and securitizations of loans4,549
8,365
18,140
   Purchases of investments(186,987)(185,740)(211,402)
   Proceeds from sales of investments(3)
61,491
107,368
132,183
   Proceeds from maturities of investments118,104
84,369
65,525
   Proceeds from significant disposals(1)
314
3,411
265
   Capital expenditures on premises and equipment and capitalized software(3,774)(3,361)(2,756)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
212
377
667
   Other, net181
187
142
Net cash used in investing activities of continuing operations$(73,118)$(38,751)$(54,135)
Cash flows from financing activities of continuing operations 
 
 
   Dividends paid$(5,020)$(3,797)$(2,287)
   Issuance (redemption) of preferred stock(793)—
2,498
   Treasury stock acquired(14,433)(14,541)(9,290)
   Stock tendered for payment of withholding taxes(482)(405)(316)
   Change in federal funds purchased and securities loaned or sold under agreements to repurchase21,491
14,456
(4,675)
   Issuance of long-term debt60,655
67,960
63,806
   Payments and redemptions of long-term debt(58,132)(40,986)(55,460)
   Change in deposits53,348
30,416
24,394
   Change in short-term borrowings(12,106)13,751
9,622

CONSOLIDATED STATEMENT OF CASH FLOWS
(Continued)

Citigroup Inc. and Subsidiaries

 
 Years ended December 31,
In millions of dollars201820172016
Net cash provided by financing activities of continuing operations$44,528
$66,854
$28,292
Effect of exchange rate changes on cash and cash equivalents$(773)$693
$(493)
Change in cash, due from banks and deposits with banks(4)
$7,589
$20,022
$27,397
Cash, due from banks and deposits with banks at beginning of period(4)
180,516
160,494
133,097
Cash, due from banks and deposits with banks at end of period(4)
$188,105
$180,516
$160,494
Cash and due from banks$23,645
$23,775
$23,043
Deposits with banks$164,460
$156,741
$137,451
Cash, due from banks and deposits with banks at end of period$188,105
$180,516
$160,494
Supplemental disclosure of cash flow information for continuing operations 
 
 
Cash paid during the year for income taxes$4,313
$2,083
$4,359
Cash paid during the year for interest22,963
15,675
12,067
Non-cash investing activities 
 
 
Transfers to loans HFS from loans$4,200
$5,900
$13,900
Transfers to OREO and other repossessed assets151
113
165

(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) in 2017. 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)
Includes the impact of ASU 2016-18, Restricted Cash. See Notes 1 and 26 to the Consolidated Financial Statements.
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.

Stock-Based CompensationCitibank
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 (VIEs)
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 recognizes compensation expenseconsolidates 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, at which point such amounts related to stockthe foreign entity are reclassified into earnings. Revenues and option awards overexpenses 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 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 accruedfunctional currency, including transactions denominated in the year priorlocal 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 grant date,U.S. dollar as their functional currency, with the effects of changes in the same mannerexchange 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 the accrual for cash incentive compensation. Certain stock awards with performance conditions orwell as certain clawback provisionsloan-backed and structured securities that are subject to variable accounting, pursuantprepayment risk. Equity securities include common and nonredeemable preferred stock.
Fixed income 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 which the associated compensation expense fluctuateshold until maturity and are carried at amortized cost. Interest income on such securities is included in Interest revenue.
Fixed income securities classified as “available-for-sale” are carried at fair value with changes in Citigroup’sfair value

reported in Accumulated other comprehensive income (loss), a component of stockholders’ equity, net of applicable income taxes and hedges. Interest income on such securities is included in Interest revenue.

Prior to January 1, 2018, equity securities were classified and accounted for as follows:

Marketable equity securities classified as “available-for-sale” were 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. Dividend income on such securities was 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 were carried at fair value, since the Company elected to apply fair value accounting. Changes in fair value of such investments were recorded in earnings.
Certain non-marketable equity securities were carried at cost.

As of January 1, 2018, equity securities are classified and accounted for as follows:

Marketable equity securities are measured at fair value with changes in fair value recognized in earnings. The available-for-sale category was eliminated for equity securities.
Non-marketable equity securities are measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock price. Seeor certain exchange seats that continue to be carried at cost. Non-marketable equity securities under the measurement alternative are carried at cost plus or minus changes resulting from observed prices for orderly transactions for the identical or a similar investment of the same issuer.
Certain investments that would otherwise have been accounted for using the equity method are carried at fair value with changes in fair value recognized in earnings, since the Company elected to apply fair value accounting.

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 not measured at fair value through earnings, such as securities held in HTM, AFS or under the new measurement alternative, are subject to evaluation for impairment as described in Note 713 to the Consolidated Financial Statements. Realized gains and losses on sales of investments are included in earnings, primarily on a specific identification basis.
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.

Income TaxesTrading Account Assets and Liabilities
The Company is subjectTrading 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 income tax laws ofConsolidated Financial Statements, certain assets that Citigroup has elected to carry at fair value under the U.S.fair value option, such as loans and its states and municipalities, and the foreign jurisdictionspurchased guarantees, are also included 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


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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 expenseTrading account assets.
Deferred taxesTrading 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 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 HFS, 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 are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy, other than FHA-insured loans. Commercial banking 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 banking 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 carrying value 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 HFS 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 HFS 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, HFS 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 in 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 banking 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 are 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 aforementioned representatives for these business areas present recommended reserve balances for their funded and unfunded lending portfolios along with supporting quantitative and qualitative data discussed below:

Estimated 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 2017 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 (MSRs)
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 consequences of eventsprofits, 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 been recognized for financial statements or tax returns, based upon enacted tax lawsindefinite useful lives, primarily trade names, are not amortized and rates. Deferred tax assets are recognized subject to management’s judgment that realization is more-likely-than-not. FASB Interpretation No. 48, “Accounting for Uncertainty in Income Taxes” (FIN 48) (now incorporated into ASC 740, Income Taxes), sets out a consistent frameworkannual 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 determine the appropriate level of tax reserves to maintain for uncertain tax positions. This interpretation uses a two-step approach wherein a tax benefitamortization, 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 HFS, 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 Intangible assets 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, that opinion 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 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 Notes to the Consolidated Financial Statements. 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 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 transactions, charges for operational support and the borrowing and lending of funds, and are entered into in the ordinary course of business.

ACCOUNTING CHANGES

Debt Issuance Costs
In April 2015, the FASB issued Accounting Standards Update (ASU) 2015-03, Interest—Imputation of Interest (Subtopic 835-30): Simplifying the Presentation of Debt Issuance Costs, to conform the presentation of debt issuance costs to that of debt discounts and premiums. Thus, the ASU requires that debt issuance costs related to a recognized debt liability be presented in the balance sheet as a direct deduction from the carrying amount of that debt liability. The guidance is effective beginning on January 1, 2016; however, Citi elected to early adopt the ASU on July 1, 2015 which resulted in an approximately $150 million reclassification from Other assets to Long-term debt. The retrospective application was deemed immaterial and, as such, prior periods were not restated.

Accounting for Investments in Tax Credit Partnerships
In January 2014, the FASB issued ASU No. 2014-01, Investments—Equity Method and Joint Ventures (Topic 323): Accounting for Investments in Qualified Affordable Housing Projects. 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 apply a new alternative method, the proportional amortization method, under which the cost of the investment


147


is amortized to tax expense in proportion to 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 were previously accounted for under the equity method, which resulted in losses (due to amortization of the investment) being recognized in Other revenue and tax credits and benefits being recognized in 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.
The adoption of this ASU was applied retrospectively and cumulatively reduced Retained earnings by approximately $349 million, Other assets by approximately $178 million, and deferred tax assets by approximately $171 million.

Accounting for Repurchase-to-Maturity Transactions
In June 2014, the FASB issued ASU No. 2014-11, Transfers and Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. The ASU changes the accounting for repurchase-to-maturity transactions and linked repurchase financings to secured borrowing accounting, which is consistent with the accounting for other repurchase agreements. The ASU also requires disclosures about transfers accounted for as sales in transactions that are economically similar to repurchase agreements (see Note 23 to the Consolidated Financial Statements) and about the types of collateral pledged in repurchase agreements and similar transactions accounted for as secured borrowings (see Note 11 to the Consolidated Financial Statements). The ASU’s provisions became effective for Citi in the first quarter of 2015, with the exception of the collateral disclosures which became effective in the second quarter of 2015. The effect of adopting the ASU is required to be reflected as a cumulative effect adjustment to retained earnings as of the beginning of the period of adoption. Adoption of the ASU did not have a material effect on the Company’s financial statements.

Disclosures for Investments in Certain Entities That Calculate Net Asset Value (NAV) per Share
In May 2015, the FASB issued ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent), which is intended to reduce diversity in practice related to the categorization of investments measured at NAV within the fair value hierarchy. The ASU removes the current requirement to categorize investments for which fair value is measured using the NAV per share practical expedient within the fair value hierarchy. Citi elected to early adopt the ASU in the second quarter of 2015. The adoption of the ASU was applied retrospectively and reduced Level 3 assets by $1.0 billion and $1.1 billion as of December 31, 2015 and December 31, 2014, respectively.

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.

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.



148


FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Financial Instruments—Credit Losses
In June 2016, the Financial Accounting Standards Board (FASB) issued ASU No. 2016-13, Financial Instruments—Credit Losses(Topic 326). The ASU introduces a new credit loss methodology, the Current Expected Credit Losses (CECL) methodology, which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The CECL methodology utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity debt securities and other receivables measured at amortized cost at the time the financial asset is originated or acquired. The allowance for credit losses is adjusted each period for changes in expected lifetime credit losses. This methodology replaces the multiple existing impairment methods in current GAAP, which generally require that a loss be incurred before it is recognized. Within the life cycle of a loan or other financial asset, the ASU will generally result in the earlier recognition of the provision for credit losses and the related allowance for credit losses than current practice. For available-for-sale debt securities that Citi intends to hold and where fair value is less than cost, credit-related impairment, if any, will be recognized through an allowance for credit losses and adjusted each period for changes in credit risk.
The CECL methodology represents a significant change from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will depend upon the state of the economy, forecasted macroeconomic conditions and Citi’s portfolios at the date of adoption. Based on a preliminary analysis performed in the fourth quarter of 2018 and forecasts of macroeconomic conditions and exposures at that time, the overall impact was estimated to be an approximate 10% to 20% increase in expected credit loss reserves. The ASU will be effective for Citi as of January 1, 2020. This increase would be reflected as a decrease to opening Retained earnings, net of income taxes, at January 1, 2020.
Implementation efforts are underway, including model development, fulfillment of additional data needs for new disclosures and reporting requirements, and drafting of accounting policies. Substantial progress has been made in model development. Model validations and user acceptance testing commenced in the first quarter of 2019, with parallel runs to begin in the third quarter of 2019. The Company intends to utilize a single macroeconomic scenario in estimating expected credit losses. Reasonable and supportable forecast periods and methods to revert to historical averages to arrive at lifetime expected credit losses vary by product.
For additional information on regulatory capital treatment, see “Capital Resources—Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit Losses (CECL) Methodology” above.

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 right-of-use assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. On January 1, 2019, the Company adopted the guidance prospectively with a cumulative adjustment to Retained earnings. At adoption, Citi recognized a lease liability and a corresponding right-of-use asset, related to its future minimum lease commitments of approximately $4.4 billion. Additionally, the Company recorded a $155 million increase in Retained earnings due to the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions.

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

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


DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of December 31, 2018 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, 2018 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, 2018, 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, 2018 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, 2018 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, 2018.


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
kpmgpic.jpg

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, 2018, 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, 2018, 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, 2018 and 2017, 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, 2018, and the related notes (collectively, the “consolidated financial statements”), and our report dated February 22, 2019 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 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 22, 2019


REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM—
CONSOLIDATED FINANCIAL STATEMENTS
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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, 2018 and 2017, 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, 2018, 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, 2018 and 2017, and the results of its operations and its cash flows for each of the years in the three-year period ended December 31, 2018, 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, 2018, 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 22, 2019 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 22, 2019




FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income—
For the Years Ended December 31, 2018, 2017 and 2016
124
Consolidated Statement of Comprehensive Income—
For the Years Ended December 31, 2018, 2017 and 2016
125
Consolidated Balance Sheet—December 31, 2018 and 2017
126
Consolidated Statement of Changes in Stockholders’ Equity—For the Years Ended December 31, 2018, 2017 and 2016
128
Consolidated Statement of Cash Flows—
For the Years Ended December 31, 2018, 2017 and 2016
130

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Note 1—Summary of Significant Accounting Policies
132
Note 2—Discontinued Operations and Significant Disposals
144
Note 3—Business Segments
146
Note 4—Interest Revenue and Expense
147
Note 5—Commissions and Fees; Administration and Other
                  Fiduciary Fees
148
Note 6—Principal Transactions
151
Note 7—Incentive Plans
152
Note 8—Retirement Benefits
156
Note 9—Income Taxes
168
Note 10—Earnings per Share
172
Note 11—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
173
Note 12—Brokerage Receivables and Brokerage Payables
177
Note 13—Investments
178
Note 14—Loans
191
Note 15—Allowance for Credit Losses
203


Note 16—Goodwill and Intangible Assets
206
Note 17—Debt
208
Note 18—Regulatory Capital
210
Note 19—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
211
Note 20—Preferred Stock
214
Note 21—Securitizations and Variable Interest Entities
216
Note 22—Derivatives Activities
228
Note 23—Concentrations of Credit Risk
243
Note 24—Fair Value Measurement
244
Note 25—Fair Value Elections
265
Note 26—Pledged Assets, Collateral, Guarantees and
                   Commitments
269
Note 27—Contingencies
276
Note 28—Condensed Consolidating Financial Statements
283
Note 29—Selected Quarterly Financial Data (Unaudited)
292


CONSOLIDATED FINANCIAL STATEMENTS

CONSOLIDATED STATEMENT OF INCOME          Citigroup Inc. and Subsidiaries
 Years ended December 31,
In millions of dollars, except per share amounts201820172016
Revenues(1)
 
 
 
Interest revenue$70,828
$61,579
$57,988
Interest expense24,266
16,518
12,512
Net interest revenue$46,562
$45,061
$45,476
Commissions and fees$11,857
$12,707
$11,678
Principal transactions9,062
9,475
7,857
Administration and other fiduciary fees3,580
3,584
3,294
Realized gains on sales of investments, net421
778
949
Impairment losses on investments  
 
Gross impairment losses(132)(63)(620)
Net impairment losses recognized in earnings$(132)$(63)$(620)
Other revenue$1,504
$902
$2,163
Total non-interest revenues$26,292
$27,383
$25,321
Total revenues, net of interest expense$72,854
$72,444
$70,797
Provisions for credit losses and for benefits and claims 
 
 
Provision for loan losses$7,354
$7,503
$6,749
Policyholder benefits and claims101
109
204
Provision (release) for unfunded lending commitments113
(161)29
Total provisions for credit losses and for benefits and claims$7,568
$7,451
$6,982
Operating expenses(1)
 
 
 
Compensation and benefits$21,154
$21,181
$20,970
Premises and equipment2,324
2,453
2,542
Technology/communication7,193
6,909
6,701
Advertising and marketing1,545
1,608
1,632
Other operating9,625
10,081
10,493
Total operating expenses$41,841
$42,232
$42,338
Income from continuing operations before income taxes$23,445
$22,761
$21,477
Provision for income taxes5,357
29,388
6,444
Income (loss) from continuing operations$18,088
$(6,627)$15,033
Discontinued operations 
 
 
Loss from discontinued operations$(26)$(104)$(80)
Provision (benefit) for income taxes(18)7
(22)
Loss from discontinued operations, net of taxes$(8)$(111)$(58)
Net income (loss) before attribution of noncontrolling interests$18,080
$(6,738)$14,975
Noncontrolling interests35
60
63
Citigroup’s net income (loss)$18,045
$(6,798)$14,912
Basic earnings per share(2)
 
 
 
Income (loss) from continuing operations
$6.69
$(2.94)$4.74
Loss from discontinued operations, net of taxes—
(0.04)(0.02)
Net income (loss)$6.69
$(2.98)$4.72
Weighted average common shares outstanding (in millions)
2,493.3
2,698.5
2,888.1



CONSOLIDATED STATEMENT OF INCOME (Continued) 
Citigroup Inc. and Subsidiaries

 
 Years ended December 31,
In millions of dollars, except per share amounts201820172016
Diluted earnings per share(2)
 
 
 
Income (loss) from continuing operations
$6.69
$(2.94)$4.74
Income (loss) from discontinued operations, net of taxes—
(0.04)(0.02)
Net income (loss)$6.68
$(2.98)$4.72
Adjusted weighted average common shares outstanding
  (in millions)
2,494.8
2,698.5
2,888.3

(1)Certain prior-period revenue and expense lines and totals were reclassified to conform to the current period’s presentation. See Notes 1 and 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 dollars201820172016
Citigroup’s net income (loss)$18,045
$(6,798)$14,912
Add: Citigroup’s other comprehensive income (loss)   
Net change in unrealized gains and losses on investment securities, net of taxes(1)(4)
$(1,089)$(863)$108
Net change in debt valuation adjustment (DVA), net of taxes(1)
1,113
(569)(337)
Net change in cash flow hedges, net of taxes(30)(138)57
Benefit plans liability adjustment, net of taxes(2)
(74)(1,019)(48)
Net change in foreign currency translation adjustment, net of taxes and hedges(2,362)(202)(2,802)
Net change in excluded component of fair value hedges, net of taxes

(57)—
—
Citigroup’s total other comprehensive income (loss)(3)
$(2,499)$(2,791)$(3,022)
Citigroup’s total comprehensive income (loss)

$15,546
$(9,589)$11,890
Add: Other comprehensive income (loss) attributable to noncontrolling interests$(43)$114
$(56)
Add: Net income attributable to noncontrolling interests35
60
63
Total comprehensive income (loss)$15,538
$(9,415)$11,897
(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 2017. See Note 1 to the Consolidated Financial Statements.
(4)For the year ended December 31, 2018, amount represents the net change in unrealized gains and losses on available-for-sale (AFS) debt securities. Effective January 1, 2018, the AFS category is eliminated for equity securities under ASU 2016-01.


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 dollars20182017
Assets 
 
Cash and due from banks (including segregated cash and other deposits)$23,645
$23,775
Deposits with banks164,460
156,741
Federal funds sold and securities borrowed and purchased under agreements to resell (including $147,701 and $132,949 as of December 31, 2018 and 2017, respectively, at fair value)270,684
232,478
Brokerage receivables35,450
38,384
Trading account assets (including $112,932 and $99,460 pledged to creditors at December 31, 2018 and 2017, respectively)256,117
252,790
Investments:  
  Available-for-sale debt securities (including $9,289 and $9,493 pledged to creditors as of December 31, 2018 and 2017, respectively)288,038
290,725
Held-to-maturity debt securities (including $971 and $435 pledged to creditors as of December 31, 2018 and 2017, respectively)63,357
53,320
Equity securities (including $1,109 and $1,395 at fair value as of December 31, 2018 and 2017, respectively, of which $189 was available for sale as of December 31, 2017)7,212
8,245
Total investments$358,607
$352,290
Loans: 
 
Consumer (including $20 and $25 as of December 31, 2018 and 2017, respectively, at fair value)330,487
333,656
Corporate (including $3,203 and $4,349 as of December 31, 2018 and 2017, respectively, at fair value)353,709
333,378
Loans, net of unearned income$684,196
$667,034
Allowance for loan losses(12,315)(12,355)
Total loans, net$671,881
$654,679
Goodwill22,046
22,256
Intangible assets (including MSRs of $584 and $558 as of December 31, 2018 and 2017,
  respectively, at fair value)
5,220
5,146
Other assets (including $20,788 and $18,559 as of December 31, 2018 and 2017, respectively,
  at fair value)
109,273
103,926
Total assets$1,917,383
$1,842,465

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 dollars20182017
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
Cash and due from banks$270
$52
Trading account assets917
1,129
Investments1,796
2,498
Loans, net of unearned income 
 
Consumer49,403
54,656
Corporate19,259
19,835
Loans, net of unearned income$68,662
$74,491
Allowance for loan losses(1,852)(1,930)
Total loans, net$66,810
$72,561
Other assets151
154
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$69,944
$76,394
Statement continues on the next page.

CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
 December 31,
In millions of dollars, except shares and per share amounts20182017
Liabilities 
 
Non-interest-bearing deposits in U.S. offices$105,836
$126,880
Interest-bearing deposits in U.S. offices (including $717 and $303 as of December 31, 2018 and 2017, respectively, at fair value)361,573
318,613
Non-interest-bearing deposits in offices outside the U.S.80,648
87,440
Interest-bearing deposits in offices outside the U.S. (including $758 and $1,162 as of December 31, 2018 and 2017, respectively, at fair value)465,113
426,889
Total deposits$1,013,170
$959,822
Federal funds purchased and securities loaned and sold under agreements to repurchase (including $44,510 and $40,638 as of December 31, 2018 and 2017, respectively, at fair value)177,768
156,277
Brokerage payables64,571
61,342
Trading account liabilities144,305
125,170
Short-term borrowings (including $4,483 and $4,627 as of December 31, 2018 and 2017, respectively,
  at fair value)
32,346
44,452
Long-term debt (including $38,229 and $31,392 as of December 31, 2018 and 2017, respectively,
  at fair value)
231,999
236,709
Other liabilities (including $15,906 and $13,961 as of December 31, 2018 and 2017, respectively,
  at fair value)
56,150
57,021
Total liabilities$1,720,309
$1,640,793
Stockholders’ equity 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 738,400 as of December 31, 2018 and 770,120 as of December 31, 2017, at aggregate liquidation value
$18,460
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,567,177 as of December 31, 2018 and 3,099,523,273 as of December 31, 2017
31
31
Additional paid-in capital107,922
108,008
Retained earnings151,347
138,425
Treasury stock, at cost: 731,099,833 shares as of December 31, 2018 and 529,614,728 shares as of
    December 31, 2017
(44,370)(30,309)
Accumulated other comprehensive income (loss) (AOCI)(37,170)(34,668)
Total Citigroup stockholders’ equity$196,220
$200,740
Noncontrolling interest854
932
Total equity$197,074
$201,672
Total liabilities and equity$1,917,383
$1,842,465

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 dollars20182017
Liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup 
 
Short-term borrowings$13,134
$10,142
Long-term debt28,514
30,492
Other liabilities697
611
Total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citigroup$42,345
$41,245
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 thousands201820172016201820172016
Preferred stock at aggregate liquidation value 
 
 
 
 
 
Balance, beginning of year$19,253
$19,253
$16,718
770
770
669
Issuance of preferred stock—
—
2,535
—
—
101
Redemption of preferred stock(793)—
—
(32)—
—
Balance, end of period$18,460
$19,253
$19,253
738
770
770
Common stock and additional paid-in capital 
 
 
 
 
 
Balance, beginning of year$108,039
$108,073
$108,319
3,099,523
3,099,482
3,099,482
Employee benefit plans(94)(27)(251)44
41
—
Preferred stock issuance expense—
—
(37)—
—
—
Other8
(7)42
—
—
—
Balance, end of period$107,953
$108,039
$108,073
3,099,567
3,099,523
3,099,482
Retained earnings 
 
 
 
 
 
Balance, beginning of year$138,425
$146,477
$133,841
   
Adjustment to opening balance, net of taxes(1)
(84)(660)15
   
Adjusted balance, beginning of period$138,341
$145,817
$133,856
 
 
 
Citigroup’s net income (loss)18,045
(6,798)14,912
 
 
 
Common dividends(2)
(3,865)(2,595)(1,214) 
 
 
Preferred dividends(1,174)(1,213)(1,077) 
 
 
Impact of Tax Reform related to AOCI reclassification(3)
—
3,304
—
 
 
 
Other(4)
—
(90)—
   
Balance, end of period$151,347
$138,425
$146,477
 
 
 
Treasury stock, at cost 
 
 
 
 
 
Balance, beginning of year$(30,309)$(16,302)$(7,677)(529,615)(327,090)(146,203)
Employee benefit plans(5)
484
531
826
10,557
11,651
14,256
Treasury stock acquired(6)
(14,545)(14,538)(9,451)(212,042)(214,176)(195,143)
Balance, end of period$(44,370)$(30,309)$(16,302)(731,100)(529,615)(327,090)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
 
 
Balance, beginning of year$(34,668)$(32,381)$(29,344) 
 
 
Adjustment to opening balance, net of taxes(1)
(3)504
(15)   
Adjusted balance, beginning of period$(34,671)$(31,877)$(29,359)   
Citigroup’s total other comprehensive income (loss)(3)
(2,499)(2,791)(3,022) 
 
 
Balance, end of period$(37,170)$(34,668)$(32,381) 
 
 
Total Citigroup common stockholders’ equity$177,760
$181,487
$205,867
2,368,467
2,569,908
2,772,392
Total Citigroup stockholders’ equity$196,220
$200,740
$225,120
   
Noncontrolling interests 
 
 
 
 
 
Balance, beginning of year$932
$1,023
$1,235
 
 
 
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary—
(28)(11)   
Transactions between Citigroup and the noncontrolling-interest shareholders(50)(121)(130) 
 
 
Net income attributable to noncontrolling-interest shareholders35
60
63
 
 
 
Dividends paid to noncontrolling-interest shareholders(38)(44)(42) 
 
 
Other comprehensive income (loss) attributable to
   noncontrolling-interest shareholders
(43)114
(56) 
 
 
Other18
(72)(36) 
 
 
Net change in noncontrolling interests$(78)$(91)$(212) 
 
 
Balance, end of period$854
$932
$1,023
 
 
 
Total equity$197,074
$201,672
$226,143
   


(1)See Note 1 to the Consolidated Financial Statements for additional details.
(2)Common dividends declared were $0.32 per share in the first and second quarters and $0.45 per share in the third and fourth quarters of 2018; $0.16 per share in the first and second quarters and $0.32 per share in the third and fourth quarters of 2017; and $0.05 in the first and second quarters and $0.16 per share in the third and fourth quarters of 2016.
(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, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. 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 2018, 2017, and 2016, 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 dollars201820172016
Cash flows from operating activities of continuing operations 
 
 
Net income (loss) before attribution of noncontrolling interests$18,080
$(6,738)$14,975
Net income attributable to noncontrolling interests35
60
63
Citigroup’s net income (loss)$18,045
$(6,798)$14,912
Loss from discontinued operations, net of taxes(8)(111)(58)
Income (loss) from continuing operations—excluding noncontrolling interests$18,053
$(6,687)$14,970
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
Net gains on significant disposals(1)
(247)(602)(404)
Depreciation and amortization3,754
3,659
3,720
Deferred tax provision(2)
(51)24,877
1,459
Provision for loan losses7,354
7,503
6,749
Realized gains from sales of investments(421)(778)(948)
Net impairment losses on investments, goodwill and intangible assets132
91
621
Change in trading account assets(3,469)(7,038)(3,092)
Change in trading account liabilities19,135
(15,375)21,409
Change in brokerage receivables, net of brokerage payables6,163
(5,307)2,226
Change in loans HFS770
247
6,603
Change in other assets(5,791)(3,364)(6,676)
Change in other liabilities(871)(3,044)96
Other, net(7,559)(2,956)7,000
Total adjustments$18,899
$(2,087)$38,763
Net cash provided by (used in) operating activities of continuing operations$36,952
$(8,774)$53,733
Cash flows from investing activities of continuing operations 
 
 
   Change in federal funds sold and securities borrowed or purchased under agreements to resell$(38,206)$4,335
$(17,138)
   Change in loans(29,002)(58,062)(39,761)
   Proceeds from sales and securitizations of loans4,549
8,365
18,140
   Purchases of investments(186,987)(185,740)(211,402)
   Proceeds from sales of investments(3)
61,491
107,368
132,183
   Proceeds from maturities of investments118,104
84,369
65,525
   Proceeds from significant disposals(1)
314
3,411
265
   Capital expenditures on premises and equipment and capitalized software(3,774)(3,361)(2,756)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
212
377
667
   Other, net181
187
142
Net cash used in investing activities of continuing operations$(73,118)$(38,751)$(54,135)
Cash flows from financing activities of continuing operations 
 
 
   Dividends paid$(5,020)$(3,797)$(2,287)
   Issuance (redemption) of preferred stock(793)—
2,498
   Treasury stock acquired(14,433)(14,541)(9,290)
   Stock tendered for payment of withholding taxes(482)(405)(316)
   Change in federal funds purchased and securities loaned or sold under agreements to repurchase21,491
14,456
(4,675)
   Issuance of long-term debt60,655
67,960
63,806
   Payments and redemptions of long-term debt(58,132)(40,986)(55,460)
   Change in deposits53,348
30,416
24,394
   Change in short-term borrowings(12,106)13,751
9,622

CONSOLIDATED STATEMENT OF CASH FLOWS
(Continued)

Citigroup Inc. and Subsidiaries

 
 Years ended December 31,
In millions of dollars201820172016
Net cash provided by financing activities of continuing operations$44,528
$66,854
$28,292
Effect of exchange rate changes on cash and cash equivalents$(773)$693
$(493)
Change in cash, due from banks and deposits with banks(4)
$7,589
$20,022
$27,397
Cash, due from banks and deposits with banks at beginning of period(4)
180,516
160,494
133,097
Cash, due from banks and deposits with banks at end of period(4)
$188,105
$180,516
$160,494
Cash and due from banks$23,645
$23,775
$23,043
Deposits with banks$164,460
$156,741
$137,451
Cash, due from banks and deposits with banks at end of period$188,105
$180,516
$160,494
Supplemental disclosure of cash flow information for continuing operations 
 
 
Cash paid during the year for income taxes$4,313
$2,083
$4,359
Cash paid during the year for interest22,963
15,675
12,067
Non-cash investing activities 
 
 
Transfers to loans HFS from loans$4,200
$5,900
$13,900
Transfers to OREO and other repossessed assets151
113
165

(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) in 2017. 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)
Includes the impact of ASU 2016-18, Restricted Cash. See Notes 1 and 26 to the Consolidated Financial Statements.
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 (VIEs)
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 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, at which point such amounts related to the foreign entity are reclassified into earnings. 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.
Fixed income 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 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. Interest income on such securities is included in Interest revenue.

Prior to January 1, 2018, equity securities were classified and accounted for as follows:

Marketable equity securities classified as “available-for-sale” were 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. Dividend income on such securities was 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 were carried at fair value, since the Company elected to apply fair value accounting. Changes in fair value of such investments were recorded in earnings.
Certain non-marketable equity securities were carried at cost.

As of January 1, 2018, equity securities are classified and accounted for as follows:

Marketable equity securities are measured at fair value with changes in fair value recognized in earnings. The available-for-sale category was eliminated for equity securities.
Non-marketable equity securities are measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. Non-marketable equity securities under the measurement alternative are carried at cost plus or minus changes resulting from observed prices for orderly transactions for the identical or a similar investment of the same issuer.
Certain investments that would otherwise have been accounted for using the equity method are carried at fair value with changes in fair value recognized in earnings, since the Company elected to apply fair value accounting.

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 not measured at fair value through earnings, such as securities held in HTM, AFS or under the new measurement alternative, are subject to evaluation for impairment as described in Note 13 to the Consolidated Financial Statements. Realized gains and losses on sales of investments are included in earnings, primarily on a specific identification basis.
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.

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 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 HFS, 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 are classified as non-accrual within 60 days of notification that the borrower has filed for bankruptcy, other than FHA-insured loans. Commercial banking 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 banking 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 carrying value 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 HFS 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 HFS 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, HFS 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 in 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 banking 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 are 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 aforementioned representatives for these business areas present recommended reserve balances for their funded and unfunded lending portfolios along with supporting quantitative and qualitative data discussed below:

Estimated 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 2017 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 (MSRs)
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 HFS, 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 Intangible assets 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, that opinion 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 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 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 are 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.
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 and fees 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. 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 and predominately all of Deposits with 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

SEC Staff Accounting Bulletin 118
On December 22, 2017, the SEC issued Staff Accounting Bulletin (SAB) 118, which set forth the accounting for the changes in tax law caused by the enactment of the Tax Cuts and Jobs Act (Tax Reform). SAB 118 provided guidance where the accounting under ASC 740 was incomplete for certain income tax effects of Tax Reform, at the time of the issuance of an entity’s financial statements for the period in which Tax Reform was enacted (provisional items). Citi disclosed several provisional items recorded as part of its $22.6 billion fourth quarter 2017 charge related to Tax Reform.
Citi completed its accounting for Tax Reform under SAB 118 during the fourth quarter of 2018 and recorded a one-time, non-cash tax benefit of $94 million in Corporate/Other related to amounts that were considered provisional pursuant to SAB 118. The adjustments related to the provisional amounts consisted of a $1.2 billion benefit relating to a reduction of the valuation allowance against Citi’s FTC carry-forwards and its U.S. residual DTAs related to its non-U.S. branches, offset by an additional $0.2 billion charge related to the impact of a change to a “quasi-territorial tax system” and an additional $0.9 billion charge related to the impact of deemed repatriation of undistributed earnings of non-U.S. subsidiaries.
Also, Citi has made a policy election to account for taxes on GILTI as incurred.

Revenue Recognition
In May 2014, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) 2014-09, Revenue from Contracts with Customers (Revenue Recognition), which outlines a single comprehensive model for entities to use in accounting for revenue arising from contracts with customers. The core principle of the revenue model is that an entity recognizes revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. The ASU defines the promised good or service as the performance obligation under the contract.
While the guidance replaces most existing revenue recognition guidance in GAAP, the ASU is not applicable to financial instruments and, therefore, does not impact a majority of the Company’s revenues, including net interest income, loan fees, gains on sales and mark-to-market accounting.

In accordance with the new revenue recognition standard, Citi has identified the specific performance obligation (promised services) associated with the contract with the customer and has determined when that specific performance obligation has been satisfied, which may be at a point in time or over time depending on how the performance obligation is defined. The contracts with customers also contain the transaction price, which consists of fixed consideration and/or consideration that may vary (variable consideration), and is defined as the amount of consideration an entity expects to be entitled to when or as the performance obligation is satisfied, excluding amounts collected on behalf of third parties (including transaction taxes). The amounts recognized at the point in time the performance obligation is satisfied may differ from the ultimate transaction price associated with that performance obligation when a portion of it is based on variable consideration. For example, some consideration is based on the client’s month-end balance or market values which are unknown at the time the contract is executed. The remaining transaction price amount, if any, will be recognized as the variable consideration becomes determinable. In certain transactions, the performance obligation is considered satisfied at a point in time in the future. In this instance, Citi defers revenue on the balance sheet that will only be recognized upon completion of the performance obligation.
The new revenue recognition standard further clarified the guidance related to reporting revenue gross as principal versus net as an agent. In many cases, Citi outsources a component of its performance obligations to third parties. The Company has determined that it acts as principal in the majority of these transactions and therefore presents the amounts paid to these third parties gross within operating expenses.
The Company has retrospectively adopted this standard as of January 1, 2018 and as a result was required to report amounts paid to third parties where Citi is principal to the contract within Operating expenses. The adoption resulted in an increase in both revenue and expenses of approximately $1 billion for each of the years ended December 31, 2018 and 2017 with similar amounts for prior years. Prior to adoption, these expense amounts were reported as contra revenue primarily within Commissions and fees and Administration and other fiduciary fees revenues. Accordingly, prior periods have been reclassified to conform to the new presentation.
See Note 5 to the Consolidated Financial Statements for a description of the Company’s revenue recognition policies for Commissions and fees and Administration and other fiduciary fees.

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 and was adopted as of that date. The impact of this standard was an increase of DTAs by
approximately $300 million, a decrease of Retained earnings by approximately $80 million and a decrease of prepaid tax assets by approximately $380 million. 

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, then 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.
Citi adopted the ASU upon its effective date on January 1, 2018, prospectively. The ongoing 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. There was no impact during 2018 from the adoption of this ASU.

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 are required to be presented outside of Compensation and benefits and are presented in Other operating expenses. Since both of these income statement line items are part of Operating expenses, total Operating expenses and Net income will not change. This change in presentation did not have a material effect on Compensation and benefits and Other operating expenses and is applied prospectively. The components of the net benefit expense are currently disclosed in Note 8 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 does not have a material effect on the Company’s Consolidated Financial Statements and related disclosures.

Pension Accounting
In August 2018, the FASB issued ASU 2018-14, Defined
Benefit Plans (Topic 715-20): Disclosure Framework -
Changes to the Disclosure Requirements for Defined
Benefit Plans. The amendments modify certain disclosure
requirements for defined benefit plans and are effective
January 1, 2021, with early adoption permitted. The
Company adopted this ASU as of December 31, 2018 and
the adoption of this standard did not have a material impact
on the Company.

Hedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which better aligns 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 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 pre-payable mortgage-backed securities and municipal bonds from held-to-maturity (HTM) into available-for-sale (AFS) securities classification as permitted as a one-time transfer upon adoption of the standard, as these assets were deemed to be eligible to be hedged under the last-of-layer hedge strategy. The impact to opening Retained earnings was immaterial. See Note 19 to the Consolidated Financial Statements for more information.

Recognition and Measurement of Financial Assets and Financial Liabilities
In January 2016, the FASB issued ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, which addresses certain aspects of recognition, measurement, presentation and disclosure of financial instruments. In February 2018, the FASB issued ASU No. 2018-03, Technical Corrections and Improvements to Financial Instruments—Overall (Subtopic 825-10), to clarify certain provisions in ASU 2016-01.
This ASU willThe ASUs require entities to present separately in OCIAOCI the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk (DVA) when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments. It willThe ASUs also require equity investments (except those accounted for under the equity method of accounting or those that result in consolidation of the investee) to be measured at fair value with changes in fair value recognized in net income, thus eliminating eligibilitythe AFS
category for the current available-for-sale category.equity investments. However, Federal Reserve Bank and Federal Home Loan Bank stock, as well as certain exchange seats, will continue to be presented at cost. As a practical expedient,The ASUs also provide an entity may chooseinstrument-by-instrument election to measure non-marketable equity investments that do not have readily determinable fair valuesusing a measurement alternative. Under the measurement alternative, the investment is carried at cost minus impairment, if any, plus or minus changes resulting from observable price changesprices in orderly transactions for the identical or a similar investment of the same issuer. Equity securities under the measurement alternative are also assessed for impairment. Finally, the ASUs require that fair value disclosures for financial instruments not measured at fair value on the balance sheet be presented at their exit prices (e.g., held-for-investment loans).
The guidance is effective beginning on January 1, 2018; however,Citi early adoption is permitted only foradopted the amendment in theprovisions of ASU 2016-01
related to presentation of DVAthe change in fair value of liabilities for financial liabilities measured underwhich the fair value option. Citi expectsoption was elected, related to early adopt this amendment as ofchanges in Citigroup’s own credit spreads in Accumulated other comprehensive income (loss) (AOCI) effective January 1, 2016. Accordingly, these amounts have been reflected as a component of AOCI, whereas these amounts were previously recognized in Citigroup’s revenues and net income. The impact of adopting this amendment is not expectedresulted in a cumulative catch-up reclassification from Retained earnings to be material to Citi’s balance sheetAOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016; however, in subsequent2016. Financial statements for periods prior to 2016 were not subject to restatement under the provisions of this ASU. For additional information, see Notes 19, 24 and 25 to the Consolidated Financial Statements.
Citi adopted the other provisions of ASU 2016-01 and ASU 2018-03 as of January 1, 2018. Accordingly, as of the first quarter of 2018, the changes to accounting for equity securities and fair value disclosures have been reflected in DVA are dependent on changesCitigroup’s financial statements. The impact of adopting the change to AFS equity securities resulted in Citi’s credit spreadsa cumulative catch-up reclassification from AOCI to Retained earnings of an accumulated after-tax gain of approximately $3 million at January 1, 2018. Citi elected the measurement alternative for all non-marketable equity investments that no longer qualify for cost measurement under the ASUs. This provision in the ASUs was adopted prospectively. Financial statements for periods prior to 2018 were not subject to restatement under the provisions of the ASUs. For additional information, see Notes 13, 19 and could be material in any given period.24to the Consolidated Financial Statements.

ConsolidationStatement of Cash Flows
In February 2015,November 2016, the FASB issued ASU No. 2015-02,2016-18, Consolidation (Topic 810): AmendmentsRestricted Cash,which requires that companies present cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents (restricted cash) when reconciling beginning-of-period and end-of-period totals on the Statement of Cash Flows. In connection with the adoption of the ASU, Citigroup also changed its definition of cash and cash equivalents to include all of Cash and due from banks and predominately all of Deposits with banks. The Company has retrospectively adopted this ASU

as of January 1, 2018 and as a result Net cash provided by investing activities of continuing operations on the Statement of Cash Flows for the years ended December 31, 2017 and 2016 increased by $19.3 billion and $25.3 billion, respectively.
In August 2016, the FASB issued ASU No. 2016-15, Classification of Certain Cash Receipts and Cash Payments,which provides guidance on the classification and presentation of certain cash receipts and payments on the Statement of Cash Flows. The Company has retrospectively adopted this ASU as of January 1, 2018, which resulted in immaterial changes to Citi’s Consolidated Statement of Cash Flows.

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 newly enacted corporate tax rate in Tax Reform and other stranded tax amounts related to the Consolidation Analysisapplication of 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. Citi elected to early adopt the ASU effective December 31, 2017, which affected only the period that the effects related to the one-time Tax Reform charge were recognized. In addition to the reclassification of deferred taxes recorded in AOCI that exceed the current federal tax rate, Citi 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.

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 intendedamends the amortization period for certain purchased callable debt securities held at a premium. The ASU requires entities to improve certain areasamortize premiums on debt securities by the first call date when the securities have fixed and determinable call dates and prices. The scope of consolidation guidance for legal entitiesthe ASU includes all accounting premiums, such as limited partnerships, limited liability companies,purchase premiums and securitization structures.cumulative fair value hedge adjustments. The ASU reduceddoes not change the numberaccounting for discounts, which continue to be recognized over the contractual life of consolidation modelsa security.
Citi early adopted the ASU in the second quarter of 2017, with an effective date of January 1, 2017. Adoption of the ASU is on a modified retrospective basis through a
cumulative effect adjustment to Retained earnings as of the beginning of the year of adoption. Adoption of the ASU primarily affected Citi’s AFS and HTM portfolios of callable state and municipal debt 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 debt securities.

Accounting for Stock-Based Compensation
In March 2016, the FASB issued ASU No. 2016-09, Compensation—Stock Compensation (Topic 718): Improvements 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, 2016. Adoption2017. 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 period 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.

Fair Value Measurement
In August 2018, the FASB issued ASU 2015-02No. 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure Requirements for Fair Value Measurement. The amendments modify certain disclosure requirements for fair value measurements and are effective January 1, 2020, with early adoption permitted. The Company early adopted this ASU as of December 31, 2018 in its entirety. The adoption of this standard did not have a material impact on the Company’s Consolidated Financial Statements.Company.

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
recognition guidance in GAAP when it becomes effective on January 1, 2018. Early application is permitted for annual periods beginning after December 15, 2016; however, the Company does not expect to early adopt. The ASU is not applicable to financial instruments and, therefore, is not expected to impact a majority of the Company’s revenue, including net interest income. The Company is evaluating the effect that ASU 2014-09 will have on its consolidated financial statements and related disclosures.

Accounting for Financial Instruments—Credit Losses
In December 2012, 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 proposal and provide comments to the FASB and 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, credit-related impairment would be recognized in an allowance for credit losses and adjusted each period for changes in credit risk. 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 represents 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 Company expects that the final ASU will be effective for Citi as of January 1, 2019.

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 all leases to be recognized 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 is evaluating whether to early adopt and the effect that ASU 2016-02 will have on its consolidated financial statements, regulatory capital and related disclosures.


149


2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

Summary of Discontinued Operations
The followingCompany’s Discontinued operations are recorded withinconsisted of residual activities related to the Corporate/Other segment.

Salesales of the Brazil Credicard Business
Citi sold its non-Citibank-branded cards and consumer finance business in Brazil (Credicard) in 2013, and reported it as Discontinued operations. Residual costs and resolution of certain contingencies from the disposal resulted in income from Discontinued operations, net of taxes, of $6 million and $52 million for 2015 and 2014, respectively.

Sale of Certain Citi Capital Advisors Business
Citi sold its liquid strategies business within Citi Capital Advisors (CCA) pursuant to two separate transactions in 2013 and reported them as Discontinued operations. Residual costs from the disposals resulted in income and losses from Discontinued operations, net of taxes, of $1 million and $4 million for 2015 and 2014, respectively.

Sale of Egg Banking plc Credit Card Business
Citi completed the sale of the Egg Banking plc (Egg) credit card business in 2011 and reported it as Discontinued operations. Residual costs from the disposal resultedGerman Retail Banking business in losses from Discontinued operations, net of taxes, of $61 million and $30 million for 2015 and 2014, respectively.

Audit of Citi German Consumer Tax Group
Citi completed the sale of its German retail banking operations in 2008 and reported them as Discontinued operations. During 2014, residual costs from the disposal resulted in a tax expense of $20 million.

Combined Results for Discontinued Operations
The following is summarized financial information for Credicard, CCA, Egg and previous2008. All Discontinued operations results are recorded within Corporate/Other.
The following summarizes financial information for which Citi continues to have minimal residual costs associated with the sales:all Discontinued operations:
In millions of dollars201520142013
Total revenues, net of interest expense(1)
$—
$74
$1,086
Income (loss) from discontinued operations$(83)$10
$(242)
Gain on sale—
—
268
Provision (benefit) for income taxes(29)12
(244)
Income (loss) from discontinued operations, net of taxes$(54)$(2)$270

(1) Total revenues include gain or loss on sale, if applicable.
In millions of dollars

201820172016
Total revenues, net of interest expense$—
$—
$—
Loss from discontinued operations$(26)$(104)$(80)
Provision (benefit) for income taxes(18)7
(22)
Loss from discontinued operations, net of taxes$(8)$(111)$(58)

Cash flows for thefrom Discontinued operations were not material for all periods presented.

Significant Disposals
The following sales completed during 2015 and 2014transactions described below were identified as significant disposals.disposals during 2018, 2017 and 2016. The major classes of assetsAssets and liabilitiesLiabilities derecognized from the Consolidated Balance Sheet at closing, and the income (loss) before taxes related to each business until the disposal date, are presented below.

Sale of OneMain FinancialMexico Asset Management Business
On November 15, 2015,September 21, 2018, Citi soldcompleted the sale of its OneMain FinancialMexico asset management business, which was part of Latin America GCB. As part of the sale, Citi Holdings,derecognized total assets of $137 million, including 1,100 retail branches, 5,500 employees,goodwill of $32 million, which were classified as held-for-sale beginning in the fourth quarter of 2017, and approximately 1.3 million customer accounts. One Main Financial had approximately $10.2 billiontotal liabilities of assets, including $7.8 billion of loans (net of allowance), and $1.4 billion of available-for-sale securities. The total amount of liabilities sold was $8.4 billion, including $6.2 billion of long-term debt, and $1.1 billion of short-term borrowings.$41 million. The transaction generatedresulted in a pre-taxpretax gain on sale of $2.6 billion,approximately $250 million (approximately $150 million after-tax) recorded in Other revenue ($1.6 billion after-tax). However, when combinedin the third quarter of 2018. Further, Citi and the buyer entered into a 10-year services framework agreement, with Citi acting as the loss on redemption of certain long-term debt supporting remaining Citi Holdings’ assets, the resulting net after-tax gain was $0.8 billion.distributor in exchange for an ongoing fee.
Income before taxes, excluding the pretax gain on sale, and loss on redemption of debt, isfor the divested business was as follows:
In millions of dollars201520142013201820172016
Income before taxes$663
$890
$923
$123
$164
$155



150


Sale of Japan CardsFixed Income Analytics and Index Business
On December 14, 2015,August 31, 2017, Citi sold its Japan cardscompleted the sale of a fixed income analytics business which wasand 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 $1,350goodwill of $72 million, of consumer loans (net of allowance), approximately 720,000 customer accounts and 840 employees.while the derecognized liabilities were $18 million. The transaction generatedresulted in a pretax gain on sale of $180approximately $580 million ($355 million after-tax) recorded in Other revenue ($155 million after-tax). Income (loss) before taxes, excluding the pretax gain on sale, is as follows:
In millions of dollars201520142013
Income (loss) before taxes$(5)$—
$46


Sale of Japan Retail Banking Business
On November 1, 2015, Citi sold its Japan retail banking business, which was part of Citi Holdings, 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 revenueICG ($276 million after-tax). Income (loss) before taxes (benefits), excluding the pretax gain on sale, is as follows:during 2017.
In millions of dollars201520142013
Income (loss) before taxes$(57)$(5)$31


Sale of Spain Consumer Operations
On September 22, 2014, Citi sold its consumer operations in Spain, which were part of Citi Holdings, including $1.7 billion 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 the buyer assuming the related current pension commitments at closing. The transaction generated a pretax gain on sale of $243 million, recorded in Other revenue ($131 million after-tax). Income before taxes excluding the pretax gain on sale is as follows:for the divested businesses was immaterial for the periods presented.

In millions of dollars201520142013
Income before taxes$—
$130
$59
Exit of U.S. Mortgage Service Operations
Citigroup 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 sale, 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 the periods presented.


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), $1.1and 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 assets under management, $1.2 billiondebt issued through loan securitizations. The sale 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. The transactionCitiFinancial generated a pretax gain on sale of $209approximately $350 million recorded in Other revenue ($91178 million after-tax). during 2017.
Income (loss) before taxes, excluding the pretax gain on sale isfor the divested business, was as follows:
In millions of dollars201520142013201820172016
Income (loss) before taxes$—
$(76)$(113)
Income before taxes$—
$41
$139




151


3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the following business segments: GCB, ICG, Global Consumer Banking (GCB) and Institutional Clients Group (ICG). In addition, Corporate/Other includes activities not assigned to a specific business segment, as well as certain North America loan portfolios, discontinued operations and other legacy assets.
The 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 composedconsists of fourthree GCB businesses: North America EMEA,, Latin America and Asia(including consumer banking activities in certain EMEA countries).
ICG is composedconsists of Banking and Markets and securities services and provides corporate, institutional, public sector and high-net-worth clients in approximately 10098 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-itemline-
item reclassifications and eliminations, the results of certain North America 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 for all periods to the current period’s presentation. Effective January 1, 2015,2018, financial data was reclassified from Citicorp to Citi Holdings for reflect:

the consumer businessesadoption of ASU No. 2014-09, Revenue Recognition, which occurred on January 1, 2018 on a retrospective basis. See “Accounting Changes” in 11 markets andNote 1 to the consumer finance business in Korea in Consolidated Financial Statements;
GCB and certain businesses in ICG that Citi had plans to exit, changes in Citi’s charge-outthe re-attribution of certain assets and non-interest revenues from thecosts between Corporate/Other segment to Citi’s businesses, changes in charge-outs of certain administrative, operations and technology costs among Citi’s businesses, the re-attribution of regional results withinGCB ICGand ICG; and
certain other immaterial reclassifications.

Citi’s consolidated results remainednet income (loss) reported in its 2017 Annual Report on Form 10-K remains unchanged for all periods presented as a result of the changes and reclassifications discussed above.
In addition, as discussed in Note 1 to the Consolidated Financial Statements, Citi adopted ASU 2014-01 in the first quarter of 2015. The ASU is applicable to Citi’s portfolio of low income housing tax credit partnership interests. Citi’s disclosures reflect the retrospective application of the ASU and impacts Citi’s consolidated assets, revenues, provision for income taxes and net income for all periods presented.
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 billions2015201420132015201420132015201420132015201420182017201620182017201620182017201620182017
Global Consumer Banking$33,862
$36,017
$36,305
$3,393
$3,414
$3,361
$6,382
$6,819
$6,576
$394
$406
$33,777
$32,838
$31,624
$1,839
$3,316
$2,639
$5,762
$3,878
$4,931
$432
$428
Institutional Clients Group33,748
33,052
33,322
4,383
4,070
4,174
9,451
9,534
9,425
1,211
1,257
36,994
36,474
33,940
3,631
7,008
4,260
12,200
9,066
9,525
1,394
1,336
Corporate/Other907
301
322
(1,339)(344)(216)495
(5,375)(514)52
50
2,083
3,132
5,233
(113)19,064
(455)126
(19,571)577
91
78
Total Citicorp$68,517
$69,370
$69,949
$6,437
$7,140
$7,319
$16,328
$10,978
$15,487
$1,657
$1,713
Citi Holdings7,837
7,849
6,775
1,003
57
(1,133)1,058
(3,474)(1,871)74
129
Total$76,354
$77,219
$76,724
$7,440
$7,197
$6,186
$17,386
$7,504
$13,616
$1,731
$1,842
$72,854
$72,444
$70,797
$5,357
$29,388
$6,444
$18,088
$(6,627)$15,033
$1,917
$1,842
(1)
Includes Citicorp (excluding Corporate/Other) total revenues, net of interest expense (excluding Corporate/Other), in North America of $32.6$33.4 billion, $32.6$34.2 billion and $31.1$32.6 billion; in EMEA of $10.8$11.8 billion, $10.6$10.9 billion and $11.3$10.0 billion; in Latin America of $11.2$10.3 billion, $9.6 billion and $12.6 billion and $13.3$9.1 billion; and in Asia of $13.0$15.3 billion, $13.3$14.6 billion and $13.9 billion in 2015, 20142018, 2017 and 2013,2016, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Corporate/Other, GCB and ICG 2017 results include the one-time impact of Tax Reform.
(3)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $5.8$7.6 billion, $5.8$7.6 billion and $6.6$6.4 billion; in the ICG results of $929 $184
million, $57($15) million and $78$486 million; and in Citi HoldingsCorporate/Other results of $1.2 billion, $1.6 billion($202) million, ($175) million and $1.9 billion$69 million in 2015, 20142018, 2017 and 2013,2016, respectively.

152


4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
In millions of dollars201520142013201820172016
Interest revenue   
Loan interest, including fees$40,510
$44,776
$45,580
$45,682
$41,736
$40,125
Deposits with banks727
959
1,026
2,203
1,635
971
Federal funds sold and securities borrowed or purchased under agreements to resell2,516
2,366
2,566
5,492
3,249
2,543
Investments, including dividends7,017
7,195
6,919
9,494
8,295
7,582
Trading account assets(1)
5,942
5,880
6,277
6,284
5,501
5,738
Other interest(2)
1,839
507
602
1,673
1,163
1,029
Total interest revenue$58,551
$61,683
$62,970
$70,828
$61,579
$57,988
Interest expense   
Deposits(3)(2)
$5,052
$5,692
$6,236
$9,616
$6,587
$5,300
Federal funds purchased and securities loaned or sold under agreements to repurchase1,614
1,895
2,339
4,889
2,661
1,912
Trading account liabilities(1)
216
168
169
1,001
638
410
Short-term borrowings522
580
597
2,209
1,059
477
Long-term debt4,517
5,355
6,836
6,551
5,573
4,413
Total interest expense$11,921
$13,690
$16,177
$24,266
$16,518
$12,512
Net interest revenue$46,630
$47,993
$46,793
$46,562
$45,061
$45,476
Provision for loan losses7,108
6,828
7,604
7,354
7,503
6,749
Net interest revenue after provision for loan losses$39,522
$41,165
$39,189
$39,208
$37,558
$38,727
(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) were reclassified into Other interest.
(3)Includes deposit insurance fees and charges of $1,118$1,182 million, $1,249 million and $1,038 million and $1,132$1,145 million for 2015, 20142018, 2017 and 2013,2016, respectively.




153


5.   COMMISSIONS AND FEES; ADMINISTRATION AND OTHER FIDUCIARY FEES
The primary components of Commissions and fees revenue are investment banking fees, trading-related fees, credit cardbrokerage commissions, credit- and bank card feesbank-card income and fees related to trade and securities services in ICG.deposit-related fees.
Investment banking fees are substantially composed of underwriting and advisory revenues andrevenues. Such fees are recognized at the point in time 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-reimbursableReimbursed 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 advisoryrelated to these transactions are recorded as revenue and are included within investment banking fees. In certain instances for advisory contracts, Citi will receive amounts in Other operating expenses, netadvance of client reimbursements.the deal’s closing. In these instances, the amounts received will be recognized as a liability and not recognized in revenue until the transaction closes. The contract liability amount for the periods presented was negligible. Out-of-pocket expenses associated with underwriting activity are deferred and recognized at the time the related revenue is recognized.recognized, while out-of-pocket expenses associated with advisory arrangements are expensed as incurred. In general, expenses incurred related to investment banking transactions, that fail to close (arewhether consummated or not, consummated) are recorded gross in Other operating expenses. The Company has determined that it acts as principal in the majority of these transactions and therefore presents expenses gross within

Other operating expenses.
Trading-related feesBrokerage commissions 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 feesBrokerage commissions are recognized when earned in Commissions and fees. at the point in time the associated service is fulfilled, generally on the trade execution date. Gains or losses, if any, on these transactions are included in Principal transactions (see Note 6 to the Consolidated Financial Statements). Sales of certain investment products include a portion of variable consideration associated with the underlying product. In these instances, a portion of the revenue associated with the sale of the product is not recognized until the variable consideration becomes fixed. The Company recognized $521 million, $416 million and $371 million of revenue related to such variable consideration for the years ended December 31, 2018, 2017 and 2016, respectively. These amounts primarily relate to performance obligations satisfied in prior periods.
Credit card









Credit- and bank card fees arebank-card income is primarily composed of
interchange revenuefees, which are earned by card issuers based on
purchase sales, and certain card fees, including annual fees, reduced byfees.
Costs related to customer reward program costsprograms and certain partner payments.
payments to partners (primarily based on program sales,
profitability and customer acquisitions) are recorded as a
reduction of credit- and bank-card income. Interchange revenue and fees
revenues are recognized as earned on a daily basis when earned.Citi's
performance obligation to transmit funds to the payment
networks has been satisfied. Annual card fees, net of
origination costs, are deferred and amortized on a straight-line
basis over a 12-month period. Reward costsCosts related to card reward
programs are recognized when pointsthe rewards are earned by the customers.
cardholders. Payments to partners are recognized when
incurred.
Deposit-related fees consist of service charges on deposit
accounts and fees earned from performing cash management
activities and other deposit account services. Such fees are
recognized in the period in which the related service is
provided.
Transactional service fees primarily consist of fees
charged for processing services such as cash management,
global payments, clearing, international funds transfer and
other trade services. Such fees are recognized as/when the
associated service is satisfied, which normally occurs at the
point in time the service is requested by the customer and
provided by Citi.
Insurance distribution revenue consists of commissions
earned from third-party insurance companies for marketing
and selling insurance policies on behalf of such entities. Such
commissions are recognized in Commissions and fees at the
point in time the associated service is fulfilled, generally when
the insurance policy is sold to the policyholder. Sales of
certain insurance products include a portion of variable
consideration associated with the underlying product. In these
instances, a portion of the revenue associated with the sale of
the policy is not recognized until the variable consideration
becomes determinable. The Company recognized $386 million, $440 million and $479 million of revenue related to such variable consideration for the years ended December 31, 2018, 2017 and 2016, respectively. These amounts primarily relate to performance obligations in prior periods.
Insurance premiums consist of premium income from
insurance policies that Citi has underwritten and sold to
policyholders.




The following table presents Commissions and fees revenue:

In millions of dollars201520142013
Investment banking$3,423
$3,687
$3,315
Trading-related2,345
2,503
2,563
Credit cards and bank cards1,786
2,227
2,472
Trade and securities services1,735
1,871
1,847
Other consumer(1)
685
885
911
Corporate finance(2)
493
531
516
Checking-related497
531
551
Loan servicing404
380
500
Other480
417
266
Total commissions and fees$11,848
$13,032
$12,941
 201820172016
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Investment banking$3,568
$—
$—
$3,568
$3,817
$—
$—
$3,817
$3,000
$—
$—
$3,000
Brokerage commissions1,977
815
—
2,792
1,889
826
3
2,718
1,748
636
11
2,395
Credit- and bank-card
  income
   

   

   

     Interchange fees1,072
8,117
11
9,200
950
7,526
99
8,575
837
6,189
164
7,190
     Card-related loan fees63
627
12
702
53
693
48
794
27
784
65
876
     Card rewards and partner
       payments
(503)(8,254)(12)(8,769)(425)(7,243)(57)(7,725)(361)(6,084)(111)(6,556)
Deposit-related fees(1)
949
654
1
1,604
947
726
14
1,687
818
721
19
1,558
Transactional service fees718
98
4
820
738
91
49
878
700
84
136
920
Corporate finance(2)
729
5
—
734
761
5
—
766
741
4
—
745
Insurance distribution
  revenue(3)
14
565
11
590
12
562
68
642
10
584
90
684
Insurance premiums(3)
—
119
—
119
—
122
—
122
—
136
144
280
Loan servicing156
122
37
315
146
101
95
342
147
127
77
351
Other25
143
14
182
(38)99
30
91
31
90
114
235
Total commissions and
  fees(4)
$8,768
$3,011
$78
$11,857
$8,850
$3,508
$349
$12,707
$7,698
$3,271
$709
$11,678

(1)Primarily consistsIncludes overdraft fees of $128 million, $135 million and $133 million for the years ended December 31, 2018, 2017 and 2016, respectively. Overdraft fees are accounted for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card services.under ASC 310.
(2)Consists primarily of fees earned from structuring and underwriting loan syndications.syndications or related financing activity. This activity is accounted for under ASC 310.
(3)Previously reported as insurance premiums in the Consolidated Statement of Income.
(4)
Commissions and fees includes $(6,766) million, $(5,568) million and $(4,169) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the years ended December 31, 2018, 2017 and 2016, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, card reward programs and certain partner payments, corporate finance fees, insurance premiums and loan servicing fees.


154
Administration and Other Fiduciary Fees
Administration and other fiduciary fees are primarily composed of custody fees and fiduciary fees.
The custody product is composed of numerous services related to the administration, safekeeping and reporting for both U.S. and non-U.S. denominated securities. The services offered to clients include trade settlement, safekeeping, income collection, corporate action notification, record-keeping and reporting, tax reporting and cash management. These services are provided for a wide range of securities, including but not limited to equities, municipal and corporate bonds, mortgage- and asset-backed securities, money market instruments, U.S. Treasuries and agencies, derivative instruments, mutual funds, alternative investments and precious metals. Custody fees are recognized as or when the associated promised service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi.
Fiduciary fees consist of trust services and investment management services. As an escrow agent, Citi receives, safe-
keeps, services and manages clients’ escrowed assets such as cash, securities, property (including intellectual property), contracts or other collateral. Citi performs its escrow agent duties by safekeeping the funds during the specified time period agreed upon by all parties and therefore earns its revenue evenly during the contract duration.
Investment management services consist of managing assets on behalf of Citi’s retail and institutional clients. Revenue from these services primarily consists of asset-based fees for advisory accounts, which are based on the market value of the client’s assets and recognized monthly, when the market value is fixed. In some instances, the Company contracts with third-party advisors and with third-party custodians. The Company has determined that it acts as principal in the majority of these transactions and therefore presents the amounts paid to third parties gross within Other operating expenses.
The following table presents Administration and other fiduciary fees:

 201820172016
In millions of dollarsICGGCBCorp/OtherTotalICGGCBCorp/OtherTotalICGGCBCorp/OtherTotal
Custody fees$1,494
$136
$65
$1,695
$1,505
$167
$56
$1,728
$1,353
$163
$48
$1,564
Fiduciary fees645
597
43
1,285
593
575
91
1,259
554
539
50
1,143
Guarantee fees536
57
7
600
535
54
8
597
523
54
10
587
Total administration
  and other fiduciary fees(1)
$2,675
$790
$115
$3,580
$2,633
$796
$155
$3,584
$2,430
$756
$108
$3,294
(1)
Administration and other fiduciary fees includes $600 million, $597 million and $587 million for the years ended December 31, 2018, 2017 and 2016, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.



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 whichthat are managed on a portfolio basis characterized by primary risk. Not included in the table below is the impact of net interest revenue related to trading activities, which is an integral part of trading activities’ profitability. See For additional information regarding Principal transactions revenue, see
Note 4 to the Consolidated Financial Statements for information about
net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments on derivatives), and FVA (funding valuation adjustments) on over-the-counter derivatives and DVA (debt valuation adjustments on issued liabilities for which the fair value option has been elected).derivatives. These adjustments are discussed further in Note 2524 to the Consolidated Financial Statements.
The following table presents principal Principaltransactions revenue:

In millions of dollars201520142013201820172016
Global Consumer Banking$636
$699
$762
Institutional Clients Group5,823
5,905
6,489
Corporate/Other(444)(380)(75)
Subtotal Citicorp$6,015
$6,224
$7,176
Citi Holdings(7)474
126
Total Citigroup$6,008
$6,698
$7,302
Interest rate risks(1)
$3,798
$3,657
$4,055
$5,186
$5,301
$4,229
Foreign exchange risks(2)
1,532
2,008
2,307
1,423
2,435
1,699
Equity risks(3)
(303)(260)319
1,346
525
330
Commodity and other risks(4)
750
590
277
662
425
899
Credit products and risks(5)
231
703
344
445
789
700
Total$6,008
$6,698
$7,302
$9,062
$9,475
$7,857
(1)Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as FXforeign currency translation (FX translation) gains and losses.
(3)Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5)Includes revenues from structured credit products.

155


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 uponon 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 at least 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 six12 months).
Deferred annual incentive awards may 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 six12 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 and deferred cash stock unit awards, made to certain employees, in February 2013 and later, and deferred cash 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.

Sign-on and Long-Term Retention Awards
Stock awards and deferred cash awards 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-employmentpost employment vesting by retirement-eligible participants.





















156


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 is presented below:
Unvested stock awardsShares
Weighted-
average grant
date fair
value per share
Shares
Weighted-
average grant
date fair
value per share
Unvested at January 1, 201550,004,393
$42.52
Unvested at December 31, 201736,931,040
$47.89
Granted(1)
17,815,456
50.33
12,896,599
73.87
Canceled(2,005,875)44.71
(1,315,456)54.50
Vested(2)
(23,953,683)42.53
(16,783,587)49.54
Unvested at December 31, 201541,860,291
$45.73
Unvested at December 31, 201831,728,596
$57.30

(1)The weighted-average fair value of the shares granted during 20142017 and 20132016 was $49.65$59.12 and $43.96,$37.35, respectively.
(2)The weighted-average fair value of the shares vesting during 20152018 was approximately $48.09$77.65 per share.
Total unrecognized compensation cost related to unvested stock awards excluding the impact of forfeiture estimates, was $634$538 million at December 31, 2015.2018. The cost is expected to be recognized over a weighted-average period of 1.51.7 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 2015 to 2018, 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 value of each PSU is equal to the value of one share of Citi common stock.
PSUs were granted onin February 16, 2016 for performance in 2015. The 2016 PSUs 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.
The PSUs granted in February 2018 are earned over a three-year performance period based half on return on tangible common equity performance in 2020, and the remaining half on cumulative earnings per share over 2018 to 2020.
For the PSUs awarded in 2016, 2017 and 2018, 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. Dividend 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 the 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 Assumptions201520142013
Valuation assumptions201820172016
Expected volatility27.13%39.12%42.65%24.93%25.79%24.37%
Expected dividend yield0.08%0.08%0.12%1.75
1.30
0.40







 
A summary of the performance share unit activity for 20152018 is presented below:
Performance Share UnitsUnits
Weighted-
average grant
date fair
value per unit
Performance share unitsUnits
Weighted-
average grant
date fair
value per unit
Outstanding, beginning of period843,793
$46.28
1,786,726
$40.94
Granted(1)
513,464
44.07
495,099
83.24
Canceled—
—
(25,160)44.07
Payments—
—
(488,304)44.07
Outstanding, end of period1,357,257
$45.45
1,768,362
$51.88

(1)
The weighted-average grant date fair value per unit awarded in 2017 and 2016 was $59.22 and $27.03, 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 weighted-average grant date fairadjustments were intended to reproduce the expected value per unit awardedof the awards immediately prior to the passage of Tax Reform. The PSUs granted in 2014 and 2013 was $48.34 and $42.26, respectively.2016 were not impacted by Tax Reform.

Stock Option Programs
Stock options have not been granted to Citi’s employees as part of the annual incentive award programs since 2009.
All 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 a six-year term, with some stock options subject to various transfer restrictions. Cash received from employee stock option exercises under this program for the year ended December 31, 2015 was approximately $634 million.



157


InformationThe following table presents information with respect to stock option activity under Citigroup’s stock option programs follows:programs: 
201520142013201820172016
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 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
$—
Canceled(7,901)40.80
—
(28,257)40.80
—
(50,914)212.35
—
—
—
—
—
—
—
(25,334)40.80
—
Expired(1,646,581)40.85
—
(602,093)242.43
—
(86,964)528.40
—
(376,588)283.63
—
—
—
—
(2,613,909)48.80
—
Exercised(18,203,048)41.39
13.03
(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
Outstanding, end of period6,656,588
$67.92
$—
26,514,119
$48.00
$6.11
31,508,106
$50.72
$1.39
762,225
$101.84
$—
1,138,813
$161.96
$—
1,527,396
$131.78
$—
Exercisable, end of period6,656,588
  
26,514,119
 
 
30,662,588
 
 
762,225
  
1,138,813
 
 
1,527,396
 
 


The following table summarizes information about stock options outstanding under Citigroup’s stock option programs at December 31, 2015:2018:
  Options outstandingOptions exercisable
Range of exercise prices
Number
outstanding
Weighted-average
contractual life
remaining
Weighted-average
exercise price
Number
exercisable
Weighted-average
exercise price
$39.00—$49.99 
5,763,424
1.0 year$48.16
5,763,424
$48.16
$50.00—$99.9966,660
5.4 years56.25
66,660
56.25
$100.00—$199.99502,416
3.0 years147.13
502,416
147.13
$200.00—$299.99124,088
2.1 years240.28
124,088
240.28
$300.00—$399.99200,000
2.1 years335.50
200,000
335.50
Total at December 31, 20156,656,588
1.3 years$67.92
6,656,588
$67.92
  Options outstandingOptions exercisable
Range of exercise prices
Number
outstanding
Weighted-average
contractual life
remaining
Weighted-average
exercise price
Number
exercisable
Weighted-average
exercise price
$39.00–$99.99312,309
2.1 years$43.56
312,309
$43.56
$100.00–$199.99449,916
0.0 years142.30
449,916
142.30
Total at December 31, 2018762,225
0.9 years$101.84
762,225
$101.84

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 the 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
 
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.
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, 2015,2018, approximately 54.442.4 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 in 2012 to 2015. Treasury shares were used to settle vestings infrom 2016 to 2018, and for the first quarter of 2016.2019, 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.



158


Incentive Compensation Cost
The following table shows components of compensation expense, relating to certain of the above incentive compensation programs recorded during 2015, 2014 and 2013:

described above:
In millions of dollars201520142013201820172016
Charges for estimated awards to retirement-eligible employees$541
$525
$468
$669
$659
$555
Amortization of deferred cash awards, deferred cash stock units and performance stock units325
311
323
202
354
336
Immediately vested stock award expense(1)
61
51
54
75
70
73
Amortization of restricted and deferred stock awards(2)
461
668
862
435
474
509
Option expense—
1
10
Other variable incentive compensation773
803
1,076
640
694
710
Profit sharing plan—
1
78
Total$2,161
$2,360
$2,871
$2,021
$2,251
$2,183
(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 2015 and 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). Citi's expected future expenses, excluding the impact of forfeitures, cancellations, 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.
In millions of dollars201620172018
2019 and beyond(1)
Total(2)
Awards granted in 2015 and prior:   
Deferred stock awards$339
$201
$88
$12
$640
Deferred cash awards215
121
45
4
385
Future expense related to awards already granted$554
$322
$133
$16
$1,025
Future expense related to awards granted in 2016(3)
297
211
166
113
787
Total$851
$533
$299
$129
$1,812

(1)Principally 2019.
(2)
$1.6 billion of which is attributable to ICG.
(3)Refers to awards granted on or about February 16, 2016, as part of Citi's discretionary annual incentive awards for services performed in 2015.



159


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 U.S.
The U.S. qualified defined benefit plan was frozen effective January 1, 2008 for most employees. Accordingly, no additional compensation-based contributions have 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 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.
 
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.
The plan obligations, plan assets and periodic plan expense for the Company’s most significant pension and postretirement benefit plans (Significant Plans) are measured and disclosed quarterly, instead of annually. The Significant Plans captured approximately 90% of the Company’s global pension and postretirement plan obligations as of December 31, 2015.2018. All other plans (All Other Plans) are measured 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 pension and postretirement plans, for Significant Plans and All Other Plans, for the periods indicated.Plans:


 Pension plans Postretirement benefit plans
 U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
In millions of dollars201520142013 201520142013 201520142013 201520142013
Qualified plans 
 
 
  
 
 
  
 
 
  
 
 
Benefits earned during the year$4
$6
$8
 $168
$178
$210
 $—
$—
$—
 $12
$15
$43
Interest cost on benefit obligation553
541
538
 317
376
384
 33
33
33
 108
120
146
Expected return on plan assets(893)(878)(863) (323)(384)(396) (3)(1)(2) (105)(121)(133)
Amortization of unrecognized 
 
 
  
 
 
  
 
 
  
 
 
Prior service (benefit) cost(3)(3)(4) 2
1
4
 —
—
(1) (11)(12)—
Net actuarial loss139
105
104
 73
77
95
 —
—
—
 43
39
45
Curtailment loss (gain)(1)
14
—
21
 —
14
4
 —
—
—
 (1)—
—
Settlement loss (gain)(1)
—
—
—
 44
53
13
 —
—
—
 —
—
(1)
Special termination benefits(1)
—
—
—
 —
9
8
 —
—
—
 —
—
—
Net qualified plans (benefit) expense$(186)$(229)$(196)
$281
$324
$322
 $30
$32
$30
 $46
$41
$100
Nonqualified plans expense43
45
46
 —
—
—
 —
—
—
 —
—
—
Cumulative effect of change in accounting policy(2)
—
—
(23) —
—
—
 —
—
—
 —
—
3
Total net (benefit) expense$(143)$(184)$(173) $281
$324
$322
 $30
$32
$30
 $46
$41
$103
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars201820172016201820172016201820172016201820172016
Benefits earned during the year$1
$3
$4
$146
$153
$154
$—
$—
$—
$9
$9
$10
Interest cost on benefit obligation514
533
548
292
295
282
26
26
25
102
101
94
Expected return on plan assets(844)(865)(886)(291)(299)(287)(14)(6)(9)(88)(89)(86)
Amortization of unrecognized 
 
 
 
 
 
 
 
 
 
 
 
Prior service cost (benefit)2
2
2
(4)(3)(1)—
—
—
(10)(10)(10)
Net actuarial loss (gain)165
173
169
53
61
69
(1)—
(1)29
35
30
Curtailment loss (gain)(1)
1
6
13
(1)—
(2)—
—
—
—
—
—
Settlement loss(1)
—
—
—
7
12
6
—
—
—
—
—
—
Total net (benefit) expense$(161)$(148)$(150)$202
$219
$221
$11
$20
$15
$42
$46
$38
(1)Losses (gains)and gains due to curtailment settlement and special termination benefitssettlement relate to repositioning and divestiture actions.
(2)Cumulative effect of adopting quarterly measurement for Significant Plans.

The estimated net actuarial loss and prior service cost that will be amortized from Accumulated other comprehensive income (loss) into net expense in 2016 are approximately $226 million and $1 million, respectively, for defined benefit
pension plans. For postretirement plans, the estimated 2016 net actuarial loss and prior service cost (benefit) amortizations are approximately $35 million and $(11) million, respectively.














160


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 20152018 or 2014.2017.
 

The following table summarizes the actual Company contributions for the years ended December 31, 20152018 and 2014,2017, as well as estimated expected Company contributions
for 2016.2019. Expected contributions are subject to change, since contribution decisions are affected by various factors, such as market performance, tax considerations and regulatory requirements.




Summary of Company Contributions
Pension plans(1)
 
Postretirement benefit 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 dollars201620152014 201620152014 201620152014 201620152014201920182017201920182017201920182017201920182017
Contributions made by the Company$—
$—
$100
 $78
$92
$130
 $—
$174
$—
 $3
$4
$6
$—
$—
$50
$97
$140
$90
$—
$145
$140
$4
$3
$4
Benefits paid directly by the Company55
52
58
 59
42
100
 —
61
56
 6
5
6
57
55
55
47
42
45
6
5
36
6
6
5

(1)Amounts reported for 20162019 are expected amounts.     
(2)The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans.


Funded Status and Accumulated Other Comprehensive Income (AOCI)
The following tables summarize the funded status and amounts recognized in the Consolidated Balance Sheet for the Company’s pension and postretirement plans.



Net Amount Recognizedplans:
Pension plansPostretirement benefit plans
Pension plans Postretirement benefit plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollarsU.S. plans Non-U.S. plans U.S. plans Non-U.S. plans20182017201820172018201720182017
20152014 20152014 20152014 20152014
Change in projected benefit obligation 
 
  
 
  
 
  
 
 
 
 
 
 
 
 
 
Qualified plans       
Projected benefit obligation at beginning of year$14,060
$12,137
 $7,252
$7,194
 $917
$780
 $1,527
$1,411
$14,040
$14,000
$7,433
$6,522
$699
$686
$1,261
$1,141
Benefits earned during the year4
6
 168
178
 —
—
 12
15
1
3
146
153
—
—
9
9
Interest cost on benefit obligation553
541
 317
376
 33
33
 108
120
514
533
292
295
26
26
102
101
Plan amendments—
—
 6
2
 —
—
 —
(14)—
—
7
4
—
—
—
—
Actuarial loss (gain)(1)
(649)2,077
 (28)790
 (55)184
 (88)262
Benefits paid, net of participants’ contributions(751)(701) (294)(352) (90)(91) (57)(93)
Expected government subsidy—
—
 —
—
 12
11
 —
—
Actuarial (gain) loss(1,056)536
(99)127
(1)43
(123)19
Benefits paid, net of participants’ contributions and government subsidy(1)
(845)(769)(293)(278)(62)(56)(68)(64)
Divestitures—
—
 (147)(18) —
—
 —
(1)—
—
—
(29)—
—
—
(4)
Settlement (gain) loss(2)
—
—
 (61)(184) —
—
 —
—
Curtailment (gain) loss(2)
14
—
 (8)(58) —
—
 —
(3)
Special termination benefits(2)
—
—
 —
9
 —
—
 —
—
Foreign exchange impact and other—
—
 (671)(685) —
—
 (211)(170)
Settlement gain(2)
—
—
(121)(192)—
—
—
—
Curtailment loss (gain)(2)
1
6
(1)(3)—
—
—
—
Foreign exchange impact and other(3)
—
(269)(215)834
—
—
(22)59
Projected benefit obligation at year end$12,655
$14,040
$7,149
$7,433
$662
$699
$1,159
$1,261
Change in plan assets 
 
 
 
 
 
 
 
Plan assets at fair value at beginning of year$12,725
$12,363
$7,128
$6,149
$262
$129
$1,119
$1,015
Actual return on plan assets(445)1,295
(11)462
(5)13
(26)113
Company contributions55
105
182
135
150
176
9
9
Benefits paid, net of participants’ contributions and government subsidy(1)
(845)(769)(293)(278)(62)(56)(68)(64)
Divestitures—
—
—
(31)—
—
—
—
Settlement(2)
—
—
(121)(192)—
—
—
—
Foreign exchange impact and other(3)
—
(269)(186)883
—
—
2
46
Plan assets at fair value at year end$11,490
$12,725
$6,699
$7,128
$345
$262
$1,036
$1,119
Funded status of the plans       
Qualified plans(4)
$(483)$(565)$(450)$(305)$(317)$(437)$(123)$(142)
Nonqualified plans(5)
(682)(750)—
—
—
—
—
—
Funded status of the plans at year end$(1,165)$(1,315)$(450)$(305)$(317)$(437)$(123)$(142)
Net amount recognized 
 
 
 
 
 
 
 
Qualified plans       
Benefit asset$—
$—
$806
$900
$—
$—
$175
$181
Benefit liability(483)(565)(1,256)(1,205)(317)(437)(298)(323)
Qualified plans$13,231
$14,060
 $6,534
$7,252
 $817
$917
 $1,291
$1,527
$(483)$(565)$(450)$(305)$(317)$(437)$(123)$(142)
Nonqualified plans712
779
 —
—
 —
—
 —
—
(682)(750)—
—
—
—
—
—
Projected benefit obligation at year end$13,943
$14,839
 $6,534
$7,252

$817
$917
 $1,291
$1,527
Net amount recognized on the balance sheet$(1,165)$(1,315)$(450)$(305)$(317)$(437)$(123)$(142)
Amounts recognized in AOCIAmounts recognized in AOCI 
 
 
 
Net transition obligation$—
$—
$(1)$(1)$—
$—
$—
$—
Prior service benefit(13)(15)12
22
—
—
83
92
Net actuarial (loss) gain(6,892)(6,823)(1,420)(1,318)53
72
(340)(382)
Net amount recognized in equity (pretax)$(6,905)$(6,838)$(1,409)$(1,297)$53
$72
$(257)$(290)
       
Accumulated benefit obligation at year end

$12,646
$14,034
$6,720
$7,038
$662
$699
$1,159
$1,261

(1)2014 amounts for the U.S. Postretirement benefit plans include impactwas net of the adoptionEmployer Group Waiver Plan subsidy of updated mortality tables (see “Mortality Tables” below).$15 million in 2018 and 2017.
(2)Curtailment and settlement (gains)/losses and special termination benefits relate to repositioning and divestiture activities.

161


 Pension plans Postretirement benefit plans
 U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
In millions of dollars20152014 20152014 20152014 20152014
Change in plan assets 
 
  
 
  
 
  
 
Qualified plans           
Plan assets at fair value at beginning of year$13,071
$12,731
 $7,057
$6,918
 $10
$32
 $1,384
$1,472
Actual return on plan assets(183)941
 56
1,108
 (1)2
 (5)166
Company contributions—
100
 134
230
 235
56
 9
12
Plan participants’ contributions—
—
 5
5
 49
51
 —
—
Divestitures—
—
 (131)(11) —
—
 —
—
Settlements—
—
 (61)(184) —
—
 —
—
Benefits paid, net of government subsidy(751)(701) (299)(357) (127)(131) (57)(93)
Foreign exchange impact and other—
—
 (657)(652) —
—
 (198)(173)
Qualified plans$12,137
$13,071
 $6,104
$7,057
 $166
$10
 $1,133
$1,384
Nonqualified plans—
—
 —
—
 —
—
 —
—
Plan assets at fair value at year end$12,137
$13,071
 $6,104
$7,057
 $166
$10
 $1,133
$1,384
            
Funded status of the plans           
Qualified plans(2)
$(1,094)$(989) $(430)$(195) $(651)$(907) $(158)$(143)
Nonqualified plans(1)
(712)(779) —
—
 —
—
 —
—
Funded status of the plans at year end$(1,806)$(1,768) $(430)$(195) $(651)$(907) $(158)$(143)
            
Net amount recognized 
 
  
 
  
 
  
 
Qualified plans           
Benefit asset$—
$—
 $726
$921
 $—
$—
 $115
$196
Benefit liability(1,094)(989) (1,156)(1,116) (651)(907) (273)(339)
Qualified plans$(1,094)$(989) $(430)$(195) $(651)$(907) $(158)$(143)
Nonqualified plans(712)(779) —
—
 —
—
 —
—
Net amount recognized on the balance sheet$(1,806)$(1,768) $(430)$(195) $(651)$(907) $(158)$(143)
            
Amounts recognized in Accumulated other comprehensive income (loss)
  
  
 
  
 
  
 
Qualified plans           
Net transition obligation$—
$—
 $(1)$(1) $—
$—
 $—
$—
Prior service benefit—
3
 5
13
 —
—
 125
157
Net actuarial gain (loss)(6,107)(5,819) (1,613)(1,690) 3
(56) (547)(658)
Qualified plans$(6,107)$(5,816) $(1,609)$(1,678) $3
$(56) $(422)$(501)
Nonqualified plans(266)(325) —
—
 —
—
 —
—
Net amount recognized in equity (pretax)$(6,373)$(6,141) $(1,609)$(1,678) $3
$(56) $(422)$(501)
            
Accumulated benefit obligation           
Qualified plans$13,226
$14,050
 $6,049
$6,699
 $817
$917
 $1,291
$1,527
Nonqualified plans706
771
 —
—
 —
—
 —
—
Accumulated benefit obligation at year end$13,932
$14,821
 $6,049
$6,699
 $817
$917
 $1,291
$1,527
(1)(3)The nonqualified plans ofWith respect to the Company are unfunded.U.S. Plan, de-risking activities during 2017 resulted in a reduction to plan obligations and assets.
(2)(4)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act (ERISA) funding rules as of January 1, 20162019 and no minimum required funding is expected for 2016.2019.
(5)The nonqualified plans of the Company are unfunded.


162


The following table shows the change in AOCIAccumulated other comprehensive income (loss) related to the 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 dollars2015 2014 2013201820172016
     
Beginning of year balance, net of tax(1)(2)
$(5,159) $(3,989) $(5,270)$(6,183)$(5,164)$(5,116)
Cumulative effect of change in accounting policy(3)
—
 —
 (22)
Actuarial assumptions changes and plan experience(4)
898
 (3,404) 2,380
Net asset gain (loss) due to difference between actual and expected returns(1,457) 833
 (1,084)
Net amortizations236
 202
 271
Actuarial assumptions changes and plan experience1,288
(760)(854)
Net asset (loss) gain due to difference between actual and expected returns(1,732)625
400
Net amortization214
229
232
Prior service (cost) credit(6) 13
 360
(7)(4)28
Curtailment/settlement gain(5)
57
 67
 —
Curtailment/settlement gain(3)
7
17
17
Foreign exchange impact and other291
 459
 74
136
(93)99
Impact of Tax Reform(4)
—
(1,020)—
Change in deferred taxes, net24
 660
 (698)20
(13)30
Change, net of tax$43
 $(1,170) $1,281
$(74)$(1,019)$(48)
End of year balance, net of tax(1)(2)
$(5,116) $(5,159) $(3,989)$(6,257)$(6,183)$(5,164)
(1)
See Note 2019 to the Consolidated Financial Statements for further discussion of net Accumulated other comprehensive income (loss)AOCI balance.
(2)Includes net-of-tax amounts for certain profit sharing plans outside the U.S.
(3)Represents the cumulative effect of the change in accounting policy dueCurtailment and settlement relate to adoption of quarterly measurement for Significant Plans.repositioning and divestiture activities.
(4)Includes $46 million, $(111) million and $58 million
In the fourth quarter of actuarial gains (losses) 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 2015, 2014 and 2013, respectively.
(5)Curtailment and settlement gains relate to repositioning and divestiture activities.Consolidated Financial Statements.

At December 31, 20152018 and 2014,2017, 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 PBO in excess of plan assets and for all defined benefit pension plans with an ABO in excess of plan assets as follows:






PBO exceeds fair value of plan assets ABO exceeds fair value of plan assetsPBO exceeds fair value of plan assetsABO exceeds fair value of plan assets
U.S. plans(1)
 Non-U.S. plans 
U.S. plans(1)
 Non-U.S. plans
U.S. plans(1)
Non-U.S. plans
U.S. plans(1)
Non-U.S. plans
In millions of dollars20152014 20152014 20152014 2015201420182017201820172018201720182017
Projected benefit obligation$13,943
$14,839
 $3,918
$2,756
 $13,943
$14,839
 $2,369
$2,570
$12,655
$14,040
$3,904
$2,721
$12,655
$14,040
$3,718
$2,596
Accumulated benefit obligation13,932
14,821
 3,488
2,353
 13,932
14,821
 2,047
2,233
12,646
14,034
3,528
2,381
12,646
14,034
3,387
2,296
Fair value of plan assets12,137
13,071
 2,762
1,640
 12,137
13,071
 1,243
1,495
11,490
12,725
2,648
1,516
11,490
12,725
2,478
1,407
(1)At December 31, 20152018 and 2014,2017, for both the U.S. qualified plan and nonqualified plans, the aggregate PBO and the aggregate ABO exceeded plan assets.


At December 31, 2015 and 2014, combined ABO for the U.S. and non-U.S. qualified pension plans, were more than plan assets by $1 billion and $0.6 billion, respectively.






163


Plan Assumptions
The Company utilizes a number of assumptions to determine plan obligations and 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) 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 actualactuarial assumptions for the non-U.S. pension and postretirement plans relate to the Significant Plans that are measured quarterly and All Other Plans that 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 end2015201420182017
Discount rate  
U.S. plans  
Qualified pension4.40%4.00%4.25%3.60%
Nonqualified pension4.353.904.253.60
Postretirement4.203.804.203.50
Non-U.S. pension plans  
Range0.25 to 42.001.00 to 32.500.25 to 12.000.00 to 10.20
Weighted average4.764.744.474.17
Non-U.S. postretirement plans  
Range2.00 to 13.202.25 to 12.001.75 to 10.751.75 to 10.10
Weighted average7.907.509.058.10
Future compensation increase rate(1)  
U.S. plansN/AN/A
Non-U.S. pension plans  
Range1.00 to 40.001.00 to 30.001.30 to 13.671.17 to 13.67
Weighted average3.243.273.163.08
Expected return on assets  
U.S. plans7.007.00
Qualified pension6.706.80
Postretirement(2)
6.70/3.006.80/3.00
Non-U.S. pension plans  
Range1.60 to 11.501.30 to 11.501.00 to 11.500.00 to 11.50
Weighted average4.955.084.304.52
Non-U.S. postretirement plans  
Range8.00 to 10.708.50 to 10.408.00 to 9.208.00 to 9.80
Weighted average8.018.518.018.01

(1)Not material for U.S. plans.
(2)The expected rate of return for the VEBA Trust was 3.00%.

 
During the year201820172016
Discount rate   
U.S. plans   
Qualified pension3.60%/3.95%/ 4.25%/4.30%4.10%/4.05%/ 3.80%/3.75%4.40%/3.95%/ 3.65%/3.55%
Nonqualified pension3.60/3.95/ 4.25/4.304.00/3.95/ 3.75/3.654.35/3.90/ 3.55/3.45
Postretirement3.50/3.90/ 4.20/4.203.90/3.85/ 3.60/3.554.20/3.75/ 3.40/3.30
Non-U.S. pension plans(1)
  
Range0.00 to 10.750.25 to 72.500.25 to 42.00
Weighted average4.174.404.76
Non-U.S. postretirement plans(1)
  
Range1.75 to 10.101.75 to 11.052.00 to 13.20
Weighted average8.108.277.90
Future compensation increase rate(2)
 
Non-U.S. pension plans(1)
  
Range1.17 to 13.671.25 to 70.001.00 to 40.00
Weighted average3.083.213.24
Expected return on assets  
U.S. plans


Qualified pension(3)
6.80/6.706.807.00
Postretirement(3)(4)
6.80/6.70/3.006.807.00
Non-U.S. pension plans(1)
  
Range0.00 to 11.601.00 to 11.501.60 to 11.50
Weighted average4.524.554.95
Non-U.S. postretirement plans(1)
  
Range8.00 to 9.808.00 to 10.308.00 to 10.70
Weighted average8.018.028.01
During the year201520142013
Discount rate   
U.S. plans   
Qualified pension4.00%/3.85%/ 4.45%/4.35%4.75%/4.55%/ 4.25%/4.25%3.90%/4.20%/ 4.75%/ 4.80%
Nonqualified pension3.90/3.70/ 4.30/4.254.753.90
Postretirement3.80/3.65/ 4.20/4.104.35/4.15/ 3.95/4.003.60/3.60/ 4.40/ 4.30
Non-U.S. pension plans   
Range1.00 to 32.501.60 to 29.251.50 to 28.00
Weighted average4.745.605.24
Non-U.S. postretirement plans   
Range2.25 to 12.003.50 to 11.903.50 to 10.00
Weighted average7.508.657.46
Future compensation increase rate   
U.S. plansN/AN/AN/A
Non-U.S. pension plans   
Range1.00 to 30.001.00 to 26.001.20 to 26.00
Weighted average3.273.403.93
Expected return on assets   
U.S. plans7.007.007.00
Non-U.S. pension plans   
Range1.30 to 11.501.20 to 11.500.90 to 11.50
Weighted average5.085.685.76
Non-U.S. postretirement plans   
Range8.50 to 10.408.50 to 8.908.50 to 9.60
Weighted average8.518.508.50


(1)Reflects rates utilized to determine the quarterly expense for Significant non-U.S. pension and postretirement plans.
(2)Not material for U.S. plans.
(3)The expected rate of return for the U.S. pension and postretirement plans was lowered from 6.80% to 6.70% effective in the second quarter of 2018 to reflect a change in target asset allocation.
(4)In 2017, the VEBA Trust was funded with an expected rate of return on assets of 3.00%.



164


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. 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 in 2015, Citi rounds the discount rate for all the Significant Plans
The established rounding convention is to the nearest 5 basis points. Discount ratesbps for All Other Plans are rounded to the nearest 10 basis points for plans in the six largesttop five non-U.S. countries, and to the nearest 25 basis pointsbps for the remaining non-USall 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 7.00%6.70% at December 31, 2015, 20142018 and 2013.6.80% at December 31, 2017 and 2016. 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 2015, 20142018, 2017 and 20132016 reflects deductions of $893$844 million, $878$865 million and $863$886 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 2015, 20142018, 2017 and 20132016 for the U.S. pension and postretirement plans:
201520142013
U.S. plans201820172016
Expected rate of return7.00 %7.00%7.00%
Actual rate of return(1)
(1.70)7.80
6.00
U.S. pension and postretirement trust6.80%/6.70%6.80%7.00%
VEBA trust(1)
3.003.00—
Actual rate of return(2)

U.S. pension and postretirement trust-3.4010.904.90
VEBA trust(1)
0.43 to 1.41—
(1)In December 2017, the VEBA Trust was funded for postretirement benefits with an expected rate of return on assets of 3.00%.
(2)Actual rates of return are presented net of fees.

For the non-U.S. pension plans, pension expense for 20152018 was reduced by the expected return of $323$291 million, compared with the actual return of $56$(11) million. Pension expense for 20142017 and 20132016 was reduced by expected returns of $384$299 million and $396$287 million, respectively.

Mortality Tables
At December 31, 2015,2018, the Company maintained the Retirement Plan 2014 (RP-2014) mortality table and adopted the Mortality Projection 2015 (MP-2015)2018 (MP-2018) projection table for the U.S. plans.
 U.S. Plansplans
20152018(1)
2017(2)
2014(3)
Mortality(1)
  
PensionRP-2014/MP-2015MP-2018RP-2014/MP-2014MP-2017
PostretirementRP-2014/MP-2015MP-2018RP-2014/MP-2014MP-2017

(1)The RP-2014 table is the white-collar RP-2014 table,table. The MP-2018 projection scale is projected from 2006, with a 4% increase in ratesconvergence to reflect the lower Citigroup-specific mortality experience.0.75% ultimate rate of annual improvement by 2034.
(2)The MP-2015RP-2014 table is the white-collar RP-2014 table, The MP-2017 projection scale is projected from 2011,2006, with convergence to 0.5%0.75% ultimate rate of annual improvement by 2029.
(3)The MP-2014 projection scale includes a phase-out of the assumed rates of improvements from 2015 to 2027.2033.

Adjustments were made to the RP-2014 tables and to the long-term rate of mortality improvement to reflect the 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 increased by approximately $73 million.















165


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 2015 2014 2013201820172016
U.S. plans $26
 $28
 $16
$25
$29
$31
Non-U.S. plans (32) (39) (52)(22)(27)(33)
      One-percentage-point decrease
 One-percentage-point decrease
In millions of dollars 2015 2014 2013201820172016
U.S. plans $(44) $(45) $(57)$(37)$(44)$(47)
Non-U.S. plans 44
 56
 79
32
41
37

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 increase
In millions of dollars201820172016
U.S. plans$(126)$(127)$(127)
Non-U.S. plans(64)(64)(61)
 One-percentage-point decrease
In millions of dollars201820172016
U.S. plans$126
$127
$127
Non-U.S. plans64
64
61
  One-percentage-point increase
In millions of dollars 2015 2014 2013
U.S. plans $(128) $(129) $(123)
Non-U.S. plans (63) (67) (68)
  One-percentage-point decrease
In millions of dollars 2015 2014 2013
U.S. plans $128
 $129
 $123
Non-U.S. plans 63
 67
 68
 
Health Care Cost Trend Rate
Assumed health care cost-trendcost trend rates were as follows:
 20152014
Health care cost increase rate for 
U.S. plans
  
Following year7.00%7.50%
Ultimate rate to which cost increase is assumed to decline5.005.00
Year in which the ultimate rate is reached(1)
20202020

(1)Weighted average for plans with different following year and ultimate rates.
 20152014
Health care cost increase rate for 
Non-U.S. plans (weighted average)
  
Following year6.87%6.94%
Ultimate rate to which cost increase is assumed to decline6.866.93
Range of years in which the ultimate rate is reached2016–20292015–2027
 20182017
Health care cost increase rate for 
  U.S. plans
  
Following year7.00%6.50%
Ultimate rate to which cost increase is
  assumed to decline
5.005.00
Year in which the ultimate rate is
  reached
20272023
   
Health care cost increase rate for 
  Non-U.S. plans (weighted average)
  
Following year6.90%6.87%
Ultimate rate to which cost increase is
  assumed to decline
6.906.87
Range of years in which the ultimate rate
  is reached
20192018–2019

 A one-percentage-pointInterest Crediting Rate
The Company has cash balance plans and other plans with promised interest crediting rates. For these plans, the interest crediting rates are set in line with plan rules or country legislation and do not change in assumed health care cost trend rates would have the following effects:with market conditions.

 
One-percentage-
point increase
 
One-
percentage-
point decrease
In millions of dollars20152014 20152014
Effect on benefits earned and interest cost for U.S. postretirement plans$2
$2
 $(2)$(1)
Effect on accumulated postretirement benefit obligation for U.S. postretirement plans45
40
 (38)(34)
      
 
One-percentage-
point increase
 
One-
percentage-
point decrease
In millions of dollars20152014 20152014
Effect on benefits earned and interest cost for non-U.S. postretirement plans$15
$17
 $(12)$(14)
Effect on accumulated postretirement benefit obligation for non-U.S. postretirement plans156
197
 (128)(161)
 Weighted average interest crediting rate
At year end201820172016
U.S. plans3.25%2.60%3.10%
Non-U.S. plans1.681.741.75

















166


Plan Assets
Citigroup’s pension and postretirement plans’ asset allocations for the U.S. plans and the target allocations 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)
2016 20152014 2015201420192018201720182017
Equity securities(2)
0–30% 19%20% 19%20%0–26%15%20%15%20%
Debt securities(3)25–73 46
44
 46
44
35–8257
48
57
48
Real estate0–7 4
4
 4
4
0–75
5
5
5
Private equity0–10 6
8
 6
8
0–103
3
3
3
Other investments0–22 25
24
 25
24
0–3020
24
20
24
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 20152018 and 2014.2017.
(3)The VEBA Trust for postretirement benefits are primarily invested in debt securities which are not reflected in the table above.

Third-party investment managers and advisersadvisors provide their services to Citigroup’s U.S. pension and postretirement plans. Assets are rebalanced as the 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
 
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, and the weighted-average target allocations by asset category based on asset fair values, are as follows:

Non-U.S. pension plansNon-U.S. pension plans
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)
2016 20152014 2015201420192018201720182017
Equity securities0–63 % 
0–68%
0–67% 16%17%0–63%0–66%
0–67%
13%15%
Debt securities0–100 
0–100
0–100 77
77
0–1000–100
0–99
80
79
Real estate0–19 
0–18
0–21 1
—
0–150–12
0–18
1
1
Other investments0–100 
0–100
0–100 6
6
0–1000–100
0–100
6
5
Total
 
 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.
Non-U.S. postretirement plansNon-U.S. postretirement plans
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)
2016 20152014 2015201420192018201720182017
Equity securities0–41% 
0–41%
0–42% 41%42%0–30%0–35%
0–38%
35%38%
Debt securities56–100 
56–100
54–100 56
54
64–10062–100
58–100
62
58
Other investments0–3 
0–3
0–4 3
4
0–60–3
0–4
3
4
Total
 
 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.





167


Fair Value Disclosure
For information on fair value measurements, including descriptions of Levels 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 removesremoved the current requirement to categorize within the fair value hierarchy investments for which fair value is measured using the NAV per share practical expedient within the fair value hierarchy.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 2015 and 2014.
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, 2015
Asset categoriesLevel 1Level 2Level 3Total
Equity securities 
 
 
 
U.S. equity$694
$—
$—
$694
Non-U.S. equity816
—
—
816
Mutual funds223
—
—
223
Debt securities    
U.S. Treasuries1,172
—
—
1,172
U.S. agency—
105
—
105
U.S. corporate bonds—
1,681
—
1,681
Non-U.S. government debt—
309
—
309
Non-U.S. corporate bonds—
440
—
440
State and municipal debt—
124
—
124
Asset-backed securities—
42
—
42
Mortgage-backed securities—
60
—
60
Annuity contracts—
—
27
27
Derivatives6
521
—
527
Other investments—
—
147
147
Total investments$2,911
$3,282
$174
$6,367
Cash and short-term investments$138
$1,064
$—
$1,202
Other investment liabilities(10)(515)—
(525)
Net investments at fair value$3,039
$3,831
$174
$7,044
Other investment receivables valued at NAV   $18
Securities valued at NAV   5,241
Total net assets   $12,303
 
U.S. pension and postretirement benefit plans(1)
In millions of dollarsFair value measurement at December 31, 2018
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities

$625
$—
$—
$625
Non-U.S. equities

481
—
—
481
Mutual funds and other registered investment companies

215
—
—
215
Commingled funds

—
1,344
—
1,344
Debt securities

1,346
3,475
—
4,821
Annuity contracts—
—
1
1
Derivatives16
252
—
268
Other investments—
—
127
127
Total investments$2,683
$5,071
$128
$7,882
Cash and short-term investments$93
$865
$—
$958
Other investment liabilities(100)(254)—
(354)
Net investments at fair value$2,676
$5,682
$128
$8,486
Other investment receivables redeemed at NAV   $80
Securities valued at NAV   3,269
Total net assets   $11,835
(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2015,2018, the allocable interests of the U.S. pension and postretirement plans were 98.6%98.0% and 1.4%2.0%, respectively. The investments of the VEBA Trust for the postretirement benefits are reflected in the above table.


168


 
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. equity588
—
—
588
Mutual funds216
—
—
216
Debt securities    
U.S. Treasuries1,178
—
—
1,178
U.S. agency—
113
—
113
U.S. corporate bonds—
1,534
—
1,534
Non-U.S. government debt—
357
—
357
Non-U.S. corporate bonds—
417
—
417
State and municipal debt—
132
—
132
Asset-backed securities—
41
—
41
Mortgage-backed securities—
76
—
76
Annuity contracts—
—
59
59
Derivatives12
637
—
649
Other investments—
—
161
161
Total investments$2,767
$3,307
$220
$6,294
Cash and short-term investments$111
$1,287
—
$1,398
Other investment liabilities(17)(618)—
(635)
Net investments at fair value$2,861
$3,976
$220
$7,057
Other investment receivables valued at NAV   $63
Securities valued at NAV    5,961
Total net assets   $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

821
—
—
821
Mutual funds and other registered investment companies


376
—
—
376
Commingled funds—
1,184
—
1,184
Debt securities1,381
3,080
—
4,461
Annuity contracts—
—
1
1
Derivatives11
323
—
334
Other investments—
—
148
148
Total investments$3,315
$4,587
$149
$8,051
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
$149
$8,909
Other investment receivables redeemed at NAV   $16
Securities valued at NAV    4,062
Total net assets   $12,987
(1)The investments of the U.S. pension and postretirement plans are commingled in one trust. At December 31, 2014,2017, the allocable interests of the U.S. pension and postretirement plans were 99.9%99.0% and .01%1.0%, respectively. The investments of the VEBA Trust for the postretirement benefits are reflected in the above table.



 Non-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2018
Asset categoriesLevel 1Level 2Level 3Total
U.S. equities$4
$9
$—
$13
Non-U.S. equities100
100
—
200
Mutual funds and other registered investment companies2,887
63
—
2,950
Commingled funds21
—
—
21
Debt securities5,145
1,500
9
6,654
Real estate—
3
1
4
Annuity contracts—
1
10
11
Derivatives—
156
—
156
Other investments1
—
210
211
Total investments$8,158
$1,832
$230
$10,220
Cash and short-term investments$91
$3
$—
$94
Other investment liabilities(1)(2,589)—
(2,590)
Net investments at fair value$8,248
$(754)$230
$7,724
Securities valued at NAV    $11
Total net assets   $7,735

169


Non-U.S. pension and postretirement benefit plansNon-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2015Fair value measurement at December 31, 2017
Asset categoriesLevel 1 Level 2 Level 3 TotalLevel 1Level 2Level 3Total
Equity securities 
  
  
  
U.S. equity$5
 $11
 $—
 $16
Non-U.S. equity74
 222
 47
 343
U.S. equities$4
$12
$—
$16
Non-U.S. equities103
122
1
226
Mutual funds and other registered investment companies

3,098
74
—
3,172
Commingled funds5
 —
 —
 5
24
—
—
24
Debt securities       3,999
1,555
7
5,561
U.S. Treasuries—
 1
 —
 1
U.S. corporate bonds—
 360
 —
 360
Non-U.S. government debt2,886
 171
 —
 3,057
Non-U.S. corporate bonds87
 683
 5
 775
Real estate—
 3
 1
 4
—
3
1
4
Mortgage-backed securities22
 —
 —
 22
Annuity contracts—
 1
 41
 42
—
1
9
10
Derivatives1
3,102
—
3,103
Other investments1
 —
 163
 164
1
—
214
215
Total investments$3,080
 $1,452
 $257
 $4,789
$7,230
$4,869
$232
$12,331
Cash and short-term investments$73
 $2
 $—
 $75
$119
$3
$—
$122
Other investment liabilities—
 (690) —
 (690)(2)(4,220)—
(4,222)
Net investments at fair value$3,153
 $764
 $257
 $4,174
$7,347
$652
$232
$8,231
Other investment receivables valued at NAV      $97
Securities valued at NAV       2,966
 $16
Total net assets      $7,237
 $8,247





170


 Non-U.S. pension and postretirement benefit plans
In millions of dollarsFair value measurement at December 31, 2014
Asset categoriesLevel 1 Level 2 Level 3 Total
Equity securities 
  
  
  
U.S. equity$5
 $13
 $—
 $18
Non-U.S. equity83
 257
 48
 388
Mutual funds—
 24
 —
 24
Commingled funds10
 —
 —
 10
Debt securities       
U.S. corporate bonds—
 350
 —
 350
Non-U.S. government debt3,213
 220
 1
 3,434
Non-U.S. corporate bonds99
 765
 5
 869
Real estate—
 3
 —
 3
Mortgage-backed securities—
 1
 —
 1
Annuity contracts—
 1
 32
 33
Derivatives11
 —
 —
 11
Other investments1
 1
 165
 167
Total investments$3,422
 $1,635
 $251
 $5,308
Cash and short-term investments$112
 $2
 $—
 $114
Other investment liabilities(3) (723) —
 (726)
Net investments at fair value$3,531
 $914
 $251
 $4,696
Other investment receivables valued at NAV      $114
Securities valued at NAV       3,631
Total net assets      $8,441




171


Level 3 Rollforward
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, 2014(1)
 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, 2015
Beginning Level 3 fair value at
Dec. 31, 2017
Realized gains (losses)Unrealized gains (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2018
Annuity contracts$59
 $—
 $(4) $(28) $—
 $27
$1
$—
$—
$—
$—
$1
Other investments161
 (1) (9) (4) —
 147
148
(2)(18)(1)—
127
Total investments$220
 $(1) $(13) $(32) $—
 $174
$149
$(2)$(18)$(1)$—
$128
 
(1)Beginning balance was adjusted to exclude $2,496 million of investments valued at NAV.

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(1)
 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
Annuity contracts$91
 $—
 $(1) $(31) $—
 $59
$1
$—
$—
$—
$—
$1
Other investments150
 (1) (4) 16
 —
 161
129
—
—
19
—
148
Total investments$241
 $(1) $(5) $(15) $—
 $220
$130
$—
$—
$19
$—
$149

 (1)Beginning balance was adjusted to exclude $3,284 million of investments valued at NAV.
 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categoriesBeginning Level 3 fair value at
Dec. 31, 2017		Unrealized gains (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3
Ending Level 3 fair value at
Dec. 31, 2018
Non-U.S. equities$1
$—
$—
$(1)$—
Debt securities7
(1)3
—
9
Real estate1
—
—
—
1
Annuity contracts9
(1)1
1
10
Other investments214
(3)(1)—
210
Total investments$232
$(5)$3
$—
$230


In millions of dollarsNon-U.S. pension and postretirement benefit plansNon-U.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at Dec. 31, 2014(1)
 Unrealized gains (losses) Purchases, sales, and issuances Transfers in and/or out of Level 3 Ending Level 3 fair value at Dec. 31, 2015
Beginning Level 3 fair value at
Dec. 31, 2016
Unrealized gains (losses)Purchases, sales and issuancesTransfers in and/or out of Level 3Ending Level 3 fair value at Dec. 31, 2017
Equity securities 
  
  
  
  
Non-U.S. equity$48
 $(1) $—
 $—
 $47
Non-U.S. equities$1
$—
$—
$—
$1
Debt securities 
        7
—
—
—
7
Non-U.S. government debt1
 —
 (1) —
 —
Non-U.S. corporate bonds5
 (1) 1
 —
 5
Real estate—
 —
 —
 1
 1
1
—
—
—
1
Annuity contracts32
 2
 4
 3
 41
8
1
—
—
9
Other investments165
 (2) 2
 (2) 163
187
31
(4)—
214
Total investments$251
 $(2) $6
 $2
 $257
$204
$32
$(4)$—
$232

(1)Beginning balance was adjusted to exclude $5 million of investments valued at NAV.


172


 In millions of dollarsNon-U.S. pension and postretirement benefit plans
Asset categories
Beginning Level 3 fair value at
Dec. 31, 2013(1)
 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) $—
 $2
 $48
Debt securities 
        
Non-U.S. government bonds—
 —
 —
 1
 1
Non-U.S. corporate bonds5
 —
 1
 (1) 5
Annuity contracts32
 —
 —
 —
 32
Other investments202
 —
 (37) —
 165
Total investments$288
 $(3) $(36) $2
 $251

(1)Beginning balance was adjusted to exclude $11 million of investments valued at NAV.






Investment Strategy
The Company’s global pension and postretirement funds’ investment strategy 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 equityreal estate 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. 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 pension 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. 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.


173


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
2016$903
 $377
 $71
 $63
2017818
 337
 70
 67
2018828
 359
 68
 72
2019848
 382
 67
 77
2020876
 415
 65
 83
2021–20254,523
 2,467
 303
 523
 Pension plansPostretirement benefit plans
In millions of dollarsU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
2019$797
$435
$62
$70
2020828
417
62
75
2021847
426
61
80
2022857
448
59
86
2023873
471
57
92
2024–20284,365
2,557
252
547


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 $5 million as of December 31, 2015 and 2014 and the postretirement expense by approximately $0.2 million for 2015 and 2014.
The following table shows the estimated future benefit payments for the Medicare Part D of the U.S. postretirement plan.
In millions of
dollars
Expected U.S.
postretirement benefit payments
 Before Medicare Part D subsidy
Medicare Part D subsidy
After Medicare Part D subsidy
2016$71
$—
$71
201770
—
70
201868
—
68
201967
—
67
202065
—
65
2021–2025303
2
301
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 for 2015 and 2014 was $11.6 million and $11.0 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, 20152018 and 2014,2017, the plans’ funded status recognized in the Company’s Consolidated Balance Sheet was $(183)$(32) million and $(256)$(46) million, respectively. The pretax amounts recognized in Accumulated other comprehensive income (loss) as of December 31, 20152018 and 20142017 were $45$(15) million and $24$3 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 dollars2015 2014 2013
Service related expense 
  
  
Service cost$—
 $—
 $20
Interest cost4
 5
 10
Prior service (benefit)(31) (31) (3)
Net actuarial loss12
 14
 17
Total service related expense$(15) $(12) $44
Non-service related expense (benefit)$3
 $37
 $(14)
Total net (benefit) expense$(12) $25
 $30
 Net expense
In millions of dollars201820172016
Service-related expense 
 
 
Interest cost on benefit obligation$2
$2
$3
Expected return on plan assets(1)—
—
Amortization of unrecognized   
   Prior service (benefit) cost(23)(31)(31)
   Net actuarial loss2
2
5
Total service-related benefit$(20)$(27)$(23)
Non-service-related expense2
30
21
Total net expense (benefit)$(18)$3
$(2)


174


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: 
2015201420182017
Discount rate3.70%3.45%3.95%3.20%
Expected return on assets3.003.00
 
Health care cost increase rate    
Following year7.00%7.50%7.006.50
Ultimate rate to which cost increase is assumed to decline5.005.005.005.00
Year in which the ultimate rate is reached2020202020272023

 
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 sponsored by the Company is the Citi Retirement Savings Plan in the U.S. (formerly known as the Citigroup 401(k) Plan). sponsored by the Company in the U.S.
Under the Citi Retirement Savings Plan, eligible U.S. employees received matching contributions of up to 6% of their eligible compensation for 20152018 and 2014,2017, 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 following table summarizes the Company contributions tofor the U.S. and non-U.S. plans.

defined contribution plans:
U.S. plansU.S. plans
In millions of dollars201520142013201820172016
Company contributions$380
$383
$394
$396
$383
$371
  
Non U.S. plansNon-U.S. plans
In millions of dollars201520142013201820172016
Company contributions$375
$385
$402
$283
$270
$268



175


9. INCOME TAXES

Income Tax Provision
Details of the Company’s income tax provision are presented below:

Income Tax Provision
In millions of dollars201520142013201820172016
Current 
 
 
 
 
 
Federal$861
$181
$(260)$834
$332
$1,016
Foreign3,397
3,281
3,788
Non-U.S.4,290
3,910
3,585
State388
388
(41)284
269
384
Total current income taxes$4,646
$3,850
$3,487
$5,408
$4,511
$4,985
Deferred 
 
 
 
 
 
Federal$3,019
$2,510
$2,867
$(620)$24,902
$1,280
Foreign(4)361
(716)
Non-U.S.371
(377)53
State(221)476
548
198
352
126
Total deferred income taxes$2,794
$3,347
$2,699
$(51)$24,877
$1,459
Provision for income tax on continuing operations before non-controlling interests(1)
$7,440
$7,197
$6,186
Provision for income tax on continuing operations before noncontrolling interests(1)
$5,357
$29,388
$6,444
Provision (benefit) for income taxes on discontinued operations(29)12
(244)(18)7
(22)
Income tax expense (benefit) reported in stockholders’ equity related to: 
 
 
 
 
 
FX translation(906)65
(48)(263)188
(402)
Investment securities(498)1,007
(1,300)(346)(149)59
Employee stock plans(35)(87)28
(2)(4)13
Cash flow hedges176
207
625
(8)(12)27
Benefit plans(24)(660)698
(20)13
(30)
FVO DVA302
(250)(201)
Excluded fair value hedges(17)—
—
Retained earnings(2)
—
(353)—
(305)(295)—
Income taxes before non-controlling interests$6,124
$7,388
$5,945
Income taxes before noncontrolling interests$4,680
$28,886
$5,888
(1)Includes the effect of securities transactions and other-than-temporary-impairment losses resulting in a provision (benefit) of $239$104 million and $(93)$(32) million in 2015, $2002018, $272 million and $(148)$(22) million in 20142017 and $262$332 million and $(187)$(217) million in 2013,2016, respectively.
(2)2018 reflects the tax effect of the accounting change for ASU 2016-16 and the tax effect of the accounting change for ASU 2018-03, to report the net unrealized gains on former AFS equity securities. 2017 reflects the tax effect of the accounting change for ASU 2017-08. 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-controllingnoncontrolling interests and the cumulative effect of accounting changes) for each of the periods indicated is as follows:
201520142013201820172016
Federal statutory rate35.0 %35.0 %35.0 %21.0 %35.0 %35.0 %
State income taxes, net of federal benefit1.7
3.4
1.7
1.8
1.1
1.8
Foreign income tax rate differential(4.6)(0.3)(2.3)
Audit settlements(1)
(1.7)(2.4)(0.7)
Effect of tax law changes(2)
0.4
1.2
(0.3)
Nondeductible legal and related expenses0.3
18.3
0.8
Non-U.S. income tax rate differential5.3
(1.6)(3.6)
Effect of tax law changes(1)
(0.6)99.7
—
Basis difference in affiliates—
(2.5)—
(2.4)(2.1)(0.1)
Tax advantaged investments(1.8)(3.6)(3.0)(2.0)(2.2)(2.4)
Other, net0.7
(0.1)—
(0.3)(0.8)(0.7)
Effective income tax rate30.0 %49.0 %31.2 %22.8 %129.1 %30.0 %
(1)For 2015, primarily relates2018 includes one-time Tax Reform benefits of $94 million for amounts that were considered provisional pursuant to the conclusion of a New York City tax audit for 2009-2011. For 2014, 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 tax audit for 2006-2008. For 2013, relates to the settlement of U.S. federal issues for 2003-2005 and IRS appeals.
(2)
For 2015,SAB 118. 2017 includes the results of tax reforms enacted in New York City and several states, which resulted in a DTAone-time $22,594 million charge of approximately $101 million. For 2014, includes the results of tax reforms enacted in New York State and South Dakota, which resulted in a DTA charge of approximately $210 million.
for Tax Reform.
 
As set forth in the table above, Citi’s effective tax rate for 20152018 was 30.0%22.8% (23.3% excluding the effect of provisional amounts pursuant to SAB 118). The declinerate is lower than the 29.8% reported in 2017 (excluding the effective tax rate from 2014 wasone-time impact of Tax Reform) primarily due to a lower levelthe U.S. statutory rate reduction from 35% to 21% as part of non-deductible legal and related expenses in 2015.Tax Reform.



176


Deferred Income Taxes
Deferred income taxes at December 31 related to the following:
In millions of dollars2015201420182017
Deferred tax assets 
 
 
 
Credit loss deduction$6,058
$7,010
$3,419
$3,423
Deferred compensation and employee benefits4,110
4,676
1,975
1,585
Repositioning and settlement reserves1,429
1,599
428
454
Unremitted foreign earnings8,403
6,368
U.S. tax on non-U.S. earnings2,080
2,452
Investment and loan basis differences3,248
4,808
4,891
3,384
Cash flow hedges359
529
240
233
Tax credit and net operating loss carry-forwards23,053
23,395
20,759
21,575
Fixed assets and leases1,356
2,093
1,006
1,090
Other deferred tax assets3,176
2,334
2,145
1,988
Gross deferred tax assets$51,192
$52,812
$36,943
$36,184
Valuation allowance—
—
$9,258
$9,387
Deferred tax assets after valuation allowance$51,192
$52,812
$27,685
$26,797
Deferred tax liabilities 
 
 
 
Deferred policy acquisition costs and value of insurance in force$(327)$(415)
Intangibles(1,146)(1,636)$(975)$(1,247)
Debt issuances(850)(866)(530)(294)
Non-U.S. withholding taxes(1,040)(668)
Interest-related items(594)(562)
Other deferred tax liabilities(1,020)(559)(1,643)(1,545)
Gross deferred tax liabilities$(3,343)$(3,476)$(4,782)$(4,316)
Net deferred tax assets$47,849
$49,336
$22,903
$22,481

Unrecognized Tax Benefits
The following is a rollforward of the Company’s unrecognized tax benefits.benefits:
In millions of dollars201820172016
Total unrecognized tax benefits at January 1$1,013
$1,092
$1,235
Net amount of increases for current year’s tax positions40
43
34
Gross amount of increases for prior years’ tax positions46
324
273
Gross amount of decreases for prior years’ tax positions(174)(246)(225)
Amounts of decreases relating to settlements(283)(199)(174)
Reductions due to lapse of statutes of limitation(23)(11)(21)
Foreign exchange, acquisitions and dispositions(12)10
(30)
Total unrecognized tax benefits at December 31$607
$1,013
$1,092
In millions of dollars201520142013
Total unrecognized tax benefits at January 1$1,060
$1,574
$3,109
Net amount of increases for current year’s tax positions32
135
58
Gross amount of increases for prior years’ tax positions311
175
251
Gross amount of decreases for prior years’ tax positions(61)(772)(716)
Amounts of decreases relating to settlements(45)(28)(1,115)
Reductions due to lapse of statutes of limitation(22)(30)(15)
Foreign exchange, acquisitions and dispositions(40)6
2
Total unrecognized tax benefits at December 31$1,235
$1,060
$1,574

The total amounts of unrecognized tax benefits at December 31, 2015, 20142018, 2017 and 20132016 that, if recognized, would affect Citi’s effective tax rate,expense, are $0.9$0.4 billion, $0.8 billion and $0.8 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. 

201520142013201820172016
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$269
$169
$277
$173
$492
$315
Total interest and penalties on the Consolidated Balance Sheet at January 1$121
$101
$260
$164
$233
$146
Total interest and penalties in the Consolidated Statement of Income(29)(18)(1)(1)(108)(72)6
6
5
21
105
68
Total interest and penalties in the Consolidated Balance Sheet at December 31(1)
233
146
269
169
277
173
Total interest and penalties on the Consolidated Balance Sheet at December 31(1)
103
85
121
101
260
164
(1)Includes $2 million, $3 million $2 million, and $2$3 million for foreignnon-U.S. penalties in 2015, 20142018, 2017 and 2013, respectively.2016. Also includes $1 million, $3 million and $3 million for state penalties in 20152018, 2017 and 2014, and $4 million in 2013.2016.

As of December 31, 2015,2018, Citi iswas 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.rate.
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, 2015 for the items that may be resolved are as much as $97 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 and $94 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, 2015 are as much as $222 million. In addition there is gross interest of as much as $16 million. The potential tax benefit to
continuing operations could be anywhere between $0 and $155 million, including interest. Furthermore, Citi may conclude certain foreign audits within the next 12 months. The gross uncertain positions at December 31, 2015 are as much as $119 million. In addition there is gross interest of as much as $18 million. The potential tax benefit to continuing operations could be anywhere between $0 and $22 million, including interest. The potential tax benefit to discontinued operations could be anywhere between $0 and $76 million, including interest.


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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
Mexico20092013
New York State and City20062009
United Kingdom20142015
India2011
Brazil20112015
Singapore20102011
Hong Kong20092012
Ireland20112014
Foreign

Non-U.S. Earnings
ForeignNon-U.S. pretax earnings approximated $11.3$16.1 billion in 2015, $10.12018 (of which a $21 million loss was recorded in Discontinued operations), $13.7 billion in 20142017 and $13.1$11.6 billion in 2013.2016. 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 byof non-U.S. branches. Beginning in 2018, there is a separate foreign branch. Pretax earnings oftax credit (FTC) basket for branches. Also, dividends from a foreignnon-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, 2015, $45.22018, $15.5 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 $12.7$4.3 billion would have to be provided if such earningsbasis differences were remitted currently. The current year’s effect on the income tax expense from continuing operations is included in the “Foreign income tax rate differential” line in the reconciliation of the federal statutory rate to the Company’s effective income tax rate in the table above.realized.
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, 2015,2018, 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, 2015 and 2014,2018, Citi had noa valuation allowance of $9.3 billion, composed of valuation allowances of $6.0 billion on its DTAs.FTC carry-forwards, $1.7 billion on its U.S. residual DTA related to its non-U.S. branches, $1.5 billion on local non-U.S. DTAs and $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 the 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. The following table summarizes Citi’s DTAs.DTAs:
In billions of dollars  
Jurisdiction/component(1)DTAs balance December 31, 2015DTAs balance December 31, 2014DTAs balance December 31, 2018DTAs balance December 31, 2017
U.S. federal(1)(2)
 
 
 
 
Net operating losses (NOLs)(2)(3)
$3.4
$2.3
$2.6
$2.3
Foreign tax credits (FTCs)(3)
15.9
17.6
6.8
7.6
General business credits (GBCs)1.3
1.6
1.0
1.4
Future tax deductions and credits20.7
21.1
6.7
4.8
Total U.S. federal$41.3
$42.6
$17.1
$16.1
State and local 
 
 
 
New York NOLs$2.4
$1.5
$2.0
$2.3
Other state NOLs0.3
0.4
0.2
0.2
Future tax deductions1.2
2.0
1.4
1.3
Total state and local$3.9
$3.9
$3.6
$3.8
Foreign 
 
APB 23 subsidiary NOLs$0.2
$0.2
Non-APB 23 subsidiary NOLs0.4
0.5
Non-U.S. 
 
NOLs$0.6
$0.6
Future tax deductions2.0
2.1
1.6
2.0
Total foreign$2.6
$2.8
Total non-U.S.$2.2
$2.6
Total$47.8
$49.3
$22.9
$22.5
 
(1)All amounts are net of valuation allowances.
(2)Included in the net U.S. federal DTAs of $41.3$17.1 billion as of December 31, 20152018 were deferred tax liabilities of $2$2.8 billion that will reverse in the relevant carry-forward period and may be used to support the DTAs.
(2)(3)Includes $0.5 billion and $0.6 billion for 2015 and 2014, respectively, 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 $2.9 billion and $1.7 billionConsists of non-consolidated tax return NOL carry-forwards for 2015 and 2014, respectively, that are eventually expected to be utilized in Citigroup’s consolidated tax return.
(3)Includes $1.7 billion and $1.0 billion for 2015 and 2014, respectively, of non-consolidated tax return FTC carry-forwards that are eventually expected to be utilized in Citigroup’s consolidated tax return.



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The following table summarizes the amounts of tax carry-forwards and their expiration dates: 
In billions of dollars  
Year of expirationDecember 31, 2015December 31, 2014December 31, 2018December 31, 2017
U.S. tax return foreign tax credit carry-forwards(1) 
 
 
 
2017$—
$1.9
20184.8
5.2
$—
$0.4
20191.2
1.2
0.9
1.3
20203.1
3.1
2.6
3.2
20211.7
1.8
1.8
2.0
20223.4
3.4
3.3
3.4
2023(1)
0.4
1.0
2025(1)
1.3
—
2023(2)
0.4
0.4
2025(2)
1.4
1.4
2027(2)
1.1
1.2
20281.3
—
Total U.S. tax return foreign tax credit carry-forwards$15.9
$17.6
$12.8
$13.3
U.S. tax return general business credit carry-forwards 
 
 
 
2030$—
$0.4
20310.2
0.3
20320.4
0.4
$—
$0.2
20330.3
0.3
—
0.3
20340.2
0.2
—
0.2
20350.2
—
—
0.2
20360.1
0.2
20370.4
0.3
20380.5
—
Total U.S. tax return general business credit carry-forwards$1.3
$1.6
$1.0
$1.4
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
20311.5
1.7
20320.1
0.1
20331.7
1.9
1.6
1.6
20342.3
2.3
2.1
2.3
20353.6
—
3.3
3.3
Total U.S. subsidiary separate federal NOL carry-forwards(2)
$9.7
$6.5
New York State NOL carry-forwards 
 
20362.1
2.1
20371.0
1.0
Unlimited carry-forward period1.7
—
Total U.S. subsidiary separate federal NOL carry-forwards(3)
$12.5
$11.0
New York State NOL carry-forwards(3)
 
 
2034$14.6
$12.3
$11.7
$13.6
Total New York State NOL carry-forwards(2)
$14.6
$12.3
New York City NOL carry-forwards 
 
2028$—
$3.8
2031—
0.1
2032—
0.5
New York City NOL carry-forwards(3)
 
 
203413.3
—
$11.5
$13.1
Total New York City NOL carry-forwards(2)
$13.3
$4.4
APB 23 subsidiary NOL carry-forwards 
 
Non-U.S. NOL carry-forwards(1)
 
 
Various$0.2
$0.2
$2.0
$2.0
Total APB 23 subsidiary NOL carry-forwards$0.2
$0.2

(1)Before valuation allowance.
(2)The $1.7$2.9 billion in FTC carry-forwards that expire in 2023, 2025 and 20252027 are in a non-consolidated tax return entity but are eventually expected towill 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, theThe time remaining for utilization of the FTC component has shortened, given the passage of time, particularly with respect to the foreign tax credit (FTC) component of the DTAs.time. Although realization is not assured, Citi believes that the realization of the recognized net DTAs of $47.8$22.9 billion at December 31, 20152018 is more-likely-than-not, based upon expectations as to future

taxable income in the jurisdictions in which the DTAs arise and consideration of available tax planning strategies (as defined in ASC 740, Income Taxes) that would be implemented, if necessary, to prevent a carry-forward from expiring..
Citi has concluded that it has the necessary positive evidence to support the full realization of its DTAs. Specifically, 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. In general, Citi would need to generate approximately $59 billion of U.S. taxable income during the FTC carry-forward periods to prevent this most time-sensitive component of Citi’s FTCs from expiring.
In addition to its forecasted U.S. taxable income, Citi has 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: (i) repatriating low-taxed foreign source earnings for which an assertion that the earnings have been indefinitely reinvested has not been made; (ii) 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); (iii) accelerating deductible temporary differences outside the U.S.; and (iv) 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 stateState and cityCity 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 by the reversal of the future net deductions that have not yet been taken on aNew York State and City continue to tax return.Citi’s non-U.S. income.
With respect to the FTCs component of the DTAs, the carry-forward period is 10 years. Utilization of FTCs in any year is restricted to 35%21% of foreign source taxable income in that year. However, overall domestic losses that Citi has incurred of approximately $54$47 billion as of December 31, 20152018 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.FTC carry-forwards after valuation allowance. As noted in the tabletables above, Citi’s FTC carry-forwards were $6.8 billion ($12.8 billion before valuation allowance) as of December 31, 2018, compared to $15.97.6 billion as of December 31, 2015, compared to $17.6 billion as of December 31, 2014. This decrease represented $1.7 billion of the $1.5 billion decrease in Citi’s overall DTAs during 2015,


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partially offset by an increase in AOCI related DTAs.2017. Citi believes that it will generate sufficient U.S. taxable income within the 10-year carry-forward period to be able to fully utilize the net FTCs in addition toafter the valuation allowance, after considering any FTCs produced in the tax return for such period, which must be used prior to any carry-forward utilization.



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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:
In millions, except per-share amounts201520142013
Income from continuing operations before attribution of noncontrolling interests$17,386
$7,504
$13,616
Less: Noncontrolling interests from continuing operations90
192
227
Net income from continuing operations (for EPS purposes)$17,296
$7,312
$13,389
Income (loss) from discontinued operations, net of taxes(54)(2)270
Citigroup's net income$17,242
$7,310
$13,659
Less: Preferred dividends(1)
769
511
194
Net income available to common shareholders$16,473
$6,799
$13,465
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS224
111
263
Net income allocated to common shareholders for basic EPS$16,249
$6,688
$13,202
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
1
Net income allocated to common shareholders for diluted EPS$16,249
$6,689
$13,203
Weighted-average common shares outstanding applicable to basic EPS3,004.0
3,031.6
3,035.8
Effect of dilutive securities(3)
 
  
Options(2)
3.6
5.1
5.3
Other employee plans0.1
0.3
0.5
Adjusted weighted-average common shares outstanding applicable to diluted EPS3,007.7
3,037.0
3,041.6
Basic earnings per share(4)
 
    
Income from continuing operations$5.43
$2.21
$4.26
Discontinued operations(0.02)—
0.09
Net income$5.41
$2.21
$4.35
Diluted earnings per share(4)
     
Income from continuing operations$5.42
$2.20
$4.25
Discontinued operations(0.02)—
0.09
Net income$5.40
$2.20
$4.34
In millions, except per share amounts201820172016
Income (loss) from continuing operations before attribution of noncontrolling interests$18,088
$(6,627)$15,033
Less: Noncontrolling interests from continuing operations35
60
63
Net income (loss) from continuing operations (for EPS purposes)$18,053
$(6,687)$14,970
Income (loss) from discontinued operations, net of taxes(8)(111)(58)
Citigroup's net income (loss)$18,045
$(6,798)$14,912
Less: Preferred dividends(1)
1,173
1,213
1,077
Net income (loss) available to common shareholders$16,872
$(8,011)$13,835
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS200
37
195
Net income (loss) allocated to common shareholders for basic and diluted EPS$16,672
$(8,048)$13,640
Weighted-average common shares outstanding applicable to basic EPS (in millions)
2,493.3
2,698.5
2,888.1
Effect of dilutive securities 
  
Options(2)
0.1
—
0.1
Other employee plans1.4
—
0.1
Adjusted weighted-average common shares outstanding applicable to diluted EPS(3)
2,494.8
2,698.5
2,888.3
Basic earnings per share(4)
 
   
Income (loss) from continuing operations$6.69
$(2.94)$4.74
Discontinued operations—
(0.04)(0.02)
Net income (loss)$6.69
$(2.98)$4.72
Diluted earnings per share(4)
    
Income (loss) from continuing operations$6.69
$(2.94)$4.74
Discontinued operations—
(0.04)(0.02)
Net income (loss)$6.68
$(2.98)$4.72
(1)See Note 2120 to the Consolidated Financial Statements for the potential future impact of preferred stock dividends.
(2)During 2015, 20142018, 2017 and 2013,2016, weighted-average options to purchase 0.90.5 million, 2.80.8 million and 4.84.2 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 $199.16, $153.91$145.69, $204.80 and $101.11$98.01 per share, respectively, were anti-dilutive.
(3)Warrants issuedDue to the U.S. Treasury as part of the Troubled Asset Relief Program (TARP)rounding, common shares outstanding applicable to basic EPS and the loss-sharing agreement (alleffect of which were subsequently solddilutive securities may not sum to the public in January 2011), with exercise prices of $178.50 and $106.10 per share for approximately 21.0 million and 25.5 millioncommon shares of Citigroup common stock, respectively. Both warrants were not included in the computation of earnings per share in 2015, 2014 and 2013 because they were anti-dilutive.outstanding applicable to diluted EPS.
(4)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.


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11. FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS
Federal funds sold and securities borrowed orand purchased under agreements to resell, at their respective carrying values, consisted of the following:
December 31,December 31,
In millions of dollars2015201420182017
Federal funds sold$25
$—
$—
$—
Securities purchased under agreements to resell119,777
123,979
159,364
130,984
Deposits paid for securities borrowed99,873
118,591
111,320
101,494
Total$219,675
$242,570
Total(1)
$270,684
$232,478

Federal funds purchased and securities loaned orand sold under agreements to repurchase, at their respective carrying values, consisted of the following:
December 31,December 31,
In millions of dollars2015201420182017
Federal funds purchased$189
$334
$—
$326
Securities sold under agreements to repurchase131,650
147,204
166,090
142,646
Deposits received for securities loaned14,657
25,900
11,678
13,305
Total$146,496
$173,438
Total(1)
$177,768
$156,277
(1)
The above tables do not include securities-for-securities lending transactions of $15.9 billion and $14.0 billion at December 31, 2018 and 2017, 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-backedmortgage- 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 Notes 2524 and 2625 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


182


rights by the non-defaulting party to terminate and close-outclose 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 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.
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. 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, 2015As of December 31, 2018
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(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$176,167
$56,390
$119,777
$92,039
$27,738
$246,788
$87,424
$159,364
$124,557
$34,807
Deposits paid for securities borrowed99,873
—
99,873
16,619
83,254
111,320
—
111,320
35,766
75,554
Total$276,040
$56,390
$219,650
$108,658
$110,992
$358,108
$87,424
$270,684
$160,323
$110,361

In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(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$188,040
$56,390
$131,650
$60,641
$71,009
$253,514
$87,424
$166,090
$82,823
$83,267
Deposits received for securities loaned14,657
—
14,657
3,226
11,431
11,678
—
11,678
3,415
8,263
Total$202,697
$56,390
$146,307
$63,867
$82,440
$265,192
$87,424
$177,768
$86,238
$91,530

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

183


(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 tables above.
(3)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(4)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

The following table presentstables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by remaining contractual maturity as of December 31, 2015:maturity:

As of December 31, 2018
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotalOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$89,732
$54,336
$21,541
$22,431
$188,040
$108,405
$70,850
$29,898
$44,361
$253,514
Deposits received for securities loaned9,096
1,823
2,324
1,414
14,657
6,296
774
2,626
1,982
11,678
Total$98,828
$56,159
$23,865
$23,845
$202,697
$114,701
$71,624
$32,524
$46,343
$265,192

 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

The following table presentstables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by class of underlying collateral as of December 31, 2015:collateral:

As of December 31, 2018
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotalRepurchase agreementsSecurities lending agreementsTotal
U.S Treasury and federal agency$67,005
$—
$67,005
State and municipal403
—
403
Foreign government66,633
789
67,422
U.S. Treasury and federal agency securities$86,785
$41
$86,826
State and municipal securities2,605
—
2,605
Foreign government securities99,131
179
99,310
Corporate bonds15,355
1,085
16,440
21,719
749
22,468
Equity securities10,297
12,484
22,781
12,920
10,664
23,584
Mortgage-backed securities19,913
—
19,913
19,421
—
19,421
Asset-backed securities4,572
—
4,572
6,207
—
6,207
Other3,862
299
4,161
4,726
45
4,771
Total$188,040
$14,657
$202,697
$253,514
$11,678
$265,192


184
 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



12. BROKERAGE RECEIVABLES AND BROKERAGE
PAYABLES

The Company has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business. 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 CompanyCiti 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:
December 31,December 31,
In millions of dollars2015201420182017
Receivables from customers$10,435
$10,380
$14,415
$19,215
Receivables from brokers, dealers, and clearing organizations17,248
18,039
Receivables from brokers, dealers and clearing organizations21,035
19,169
Total brokerage receivables(1)
$27,683
$28,419
$35,450
$38,384
Payables to customers$35,653
$33,984
$40,273
$38,741
Payables to brokers, dealers, and clearing organizations18,069
18,196
Payables to brokers, dealers and clearing organizations24,298
22,601
Total brokerage payables(1)
$53,722
$52,180
$64,571
$61,342

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

13.   INVESTMENTS

Overview
Citi adopted ASU 2016-01 and ASU 2018-03 as of January 1, 2018. The ASUs require fair value changes on marketable equity securities to be recognized in earnings. The available-for-sale category was eliminated for equity securities. Also, non-marketable equity securities are required to be measured
 
13.   TRADING ACCOUNT ASSETS AND LIABILITIES
Trading account assets and Trading account liabilities are carried at fair value other than physical commodities accounted for at the lower of cost orwith changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and consist ofFederal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. See Note 1 to the following:Consolidated Financial Statements for additional details.

The following tables present Citi’s investments by category:
In millions of dollarsDecember 31, 2018
Debt securities available-for-sale (AFS)$288,038
Debt securities held-to-maturity (HTM)(1)
63,357
Marketable equity securities carried at fair value(2)
220
Non-marketable equity securities carried at fair value(2)
889
Non-marketable equity securities measured using the measurement alternative(3)
538
Non-marketable equity securities carried at cost(4)
5,565
Total investments$358,607

 December 31,
In millions of dollars20152014
Trading account assets  
Mortgage-backed securities(1)
  
U.S. government-sponsored agency guaranteed$24,767
$27,053
Prime803
1,271
Alt-A543
709
Subprime516
1,382
Non-U.S. residential523
1,476
Commercial2,855
4,343
Total mortgage-backed securities$30,007
$36,234
U.S. Treasury and federal agency securities  
U.S. Treasury$15,791
$18,906
Agency obligations2,005
1,568
Total U.S. Treasury and federal agency securities$17,796
$20,474
State and municipal securities$2,696
$3,402
Foreign government securities56,609
64,937
Corporate14,437
27,797
Derivatives(2)
56,184
67,957
Equity securities56,495
57,846
Asset-backed securities(1)
3,956
4,546
Other trading assets(3)
11,776
13,593
Total trading account assets$249,956
$296,786
Trading account liabilities  
Securities sold, not yet purchased$57,827
$70,944
Derivatives(2)
57,592
68,092
Other trading liabilities(3)
2,093
—
Total trading account liabilities$117,512
$139,036
(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 22 to the Consolidated Financial Statements.
(2)Presented net, pursuant to enforceable master netting agreements. See Note 23 to the Consolidated Financial Statements for a discussion regarding the accounting and reporting for derivatives.
(3)Includes positions related to 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.


185


14.   INVESTMENTS


Overview
The following table presents the Company’s investments by category:
December 31,
In millions of dollars20152014December 31, 2017
Securities available-for-sale (AFS)$299,136
$300,143
$290,914
Debt securities held-to-maturity (HTM)(1)
36,215
23,921
53,320
Non-marketable equity securities carried at fair value(2)
2,088
2,758
1,206
Non-marketable equity securities carried at cost(3)
5,516
6,621
Non-marketable equity securities carried at cost(4)
6,850
Total investments$342,955
$333,443
$352,290
(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)Impairment losses and adjustments to the carrying value as a result of observable price changes are recognized in earnings.
(4)Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks foreign central banks and various clearing housescertain exchanges of which Citigroup is a member.

The following table presents interest and dividend income on investments:
In millions of dollars201520142013201820172016
Taxable interest$6,414
$6,311
$5,750
$8,704
$7,538
$6,858
Interest exempt from U.S. federal income tax215
439
732
521
535
549
Dividend income388
445
437
269
222
175
Total interest and dividend income$7,017
$7,195
$6,919
$9,494
$8,295
$7,582

The following table presents realized gains and losses on the sale of investments. The gross realized investment losses exclude losses from other-than-temporary impairment (OTTI):investments, which excludes OTTI losses:
In millions of dollars201520142013201820172016
Gross realized investment gains$1,124
$1,020
$1,606
$682
$1,039
$1,460
Gross realized investment losses(442)(450)(858)(261)(261)(511)
Net realized gains on sale of investments$682
$570
$748
$421
$778
$949

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 debt securities were reclassified to AFS investments in response to
 

significant credit deterioration. Because the Company generally intends to sell these reclassified debt securities, Citi recorded OTTI on the securities. The following table sets forth,presents, for the periods indicated, the carrying value of HTM debt securities sold and reclassified to AFS, as well as the related gain (loss) or the OTTI losses recorded on these securities.securities:

In millions of dollars201520142013
Carrying value of HTM securities sold$392
$8
$935
Net realized gain (loss) on sale of HTM securities10
—
(128)
Carrying value of securities reclassified to AFS243
889
989
OTTI losses on securities reclassified to AFS(15)(25)(156)
In millions of dollars201820172016
Carrying value of HTM debt securities sold$61
$81
$49
Net realized gain (loss) on sale of HTM debt securities—
13
14
Carrying value of debt securities reclassified to AFS8
74
150
OTTI losses on debt securities reclassified to AFS—
—
(6)

186


Securities Available-for-Sale
The amortized cost and fair value of AFS securities at December 31 were as follows:
2015201420182017
In millions of dollars
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Amortized
cost
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
Debt securities AFS   
Securities AFS   
Mortgage-backed securities(1)
      
U.S. government-sponsored agency guaranteed$39,584
$367
$237
$39,714
$35,647
$603
$159
$36,091
$43,504
$241
$725
$43,020
$42,116
$125
$500
$41,741
Prime2
—
—
2
12
—
—
12
—
—
—
—
11
6
—
17
Alt-A50
5
—
55
43
1
—
44
1
—
—
1
26
90
—
116
Non-U.S. residential5,909
31
11
5,929
8,247
67
7
8,307
1,310
4
2
1,312
2,744
13
6
2,751
Commercial573
2
4
571
551
6
3
554
173
1
2
172
334
—
2
332
Total mortgage-backed securities$46,118
$405
$252
$46,271
$44,500
$677
$169
$45,008
$44,988
$246
$729
$44,505
$45,231
$234
$508
$44,957
U.S. Treasury and federal agency securities      
U.S. Treasury$113,096
$254
$515
$112,835
$110,492
$353
$127
$110,718
$109,376
$33
$1,339
$108,070
$108,344
$77
$971
$107,450
Agency obligations10,095
22
37
10,080
12,925
60
13
12,972
9,283
1
132
9,152
10,813
7
124
10,696
Total U.S. Treasury and federal agency securities$123,191
$276
$552
$122,915
$123,417
$413
$140
$123,690
$118,659
$34
$1,471
$117,222
$119,157
$84
$1,095
$118,146
State and municipal(2)
$12,099
$132
$772
$11,459
$13,526
$150
$977
$12,699
$9,372
$96
$262
$9,206
$8,870
$140
$245
$8,765
Foreign government92,384
410
593
92,201
90,249
734
286
90,697
100,872
415
596
100,691
100,615
508
590
100,533
Corporate15,859
121
177
15,803
12,033
215
91
12,157
11,714
42
157
11,599
14,144
51
86
14,109
Asset-backed securities(1)
9,261
5
92
9,174
12,534
30
58
12,506
845
2
4
843
3,906
14
2
3,918
Other debt securities688
—
—
688
661
—
—
661
3,973
—
1
3,972
297
—
—
297
Total debt securities AFS$299,600
$1,349
$2,438
$298,511
$296,920
$2,219
$1,721
$297,418
$290,423
$835
$3,220
$288,038
$292,220
$1,031
$2,526
$290,725
Marketable equity securities AFS(3)$602
$26
$3
$625
$2,461
$308
$44
$2,725
$—
$—
$—
$—
$186
$4
$1
$189
Total securities AFS$300,202
$1,375
$2,441
$299,136
$299,381
$2,527
$1,765
$300,143
$290,423
$835
$3,220
$288,038
$292,406
$1,035
$2,527
$290,914
(1)The Company invests in mortgage-backedmortgage- and asset-backed securities. These securitizationssecuritization entities 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-backedmortgage- and asset-backed securitizations in which the Company has other involvement, see Note 2221 to the Consolidated Financial Statements.
(2)
The gross unrealized lossesIn the second quarter of 2017, Citi early adopted ASU 2017-08, Receivable—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. 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 on callable state and municipal debt securities are primarily attributablesecurities. See Note 1 to the effectsConsolidated Financial Statements.
(3)
Citi adopted ASU 2016-01 and ASU 2018-03 as 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 recordedJanuary 1, 2018, resulting in a cumulative effect adjustment from AOCI to Retained earnings were substantially offset by for net unrealized gains on the state and municipal debtmarketable equity 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 debtAFS. The AFS category was eliminated for equity 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 relateeffective January 1, 2018. See Note 1 to the unhedged components of these securities. Consolidated Financial Statements for additional details.


At December 31, 2015,2018, the amortized cost of approximately 5,212 investments in equity and fixed income securities exceeded their fair value by $2,441$3,220 million. Of the $2,441$3,220 million, the gross unrealized losses on equity securities were $3 million. Of the remainder, $1,331$752 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, 94%92% were rated investment grade; and $1,107$2,468 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, 90%98% were rated investment grade. Of the $1,107$2,468 million mentioned above, $746$1,297 million represent state and municipalrepresents U.S. Treasury securities.
At December 31, 2015, the AFS mortgage-backed securities portfolio fair value balance of $46,271 million
    
consisted of $39,714 million of government-sponsored agency securities, and $6,557 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 the security. For other debt securities with OTTI, the entire impairment is recognized in the Consolidated Statement of Income.


187


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: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, 2015   
Securities AFS   
December 31, 2018     
Debt securities AFS(1)
     
Mortgage-backed securities        
U.S. government-sponsored agency guaranteed$17,816
$141
$2,618
$96
$20,434
$237
$4,022
$286
$13,143
$439
$17,165
$725
Prime—
—
1
—
1
—
Non-U.S. residential2,217
7
825
4
3,042
11
284
2
2
—
286
2
Commercial291
3
55
1
346
4
79
1
82
1
161
2
Total mortgage-backed securities$20,324
$151
$3,499
$101
$23,823
$252
$4,385
$289
$13,227
$440
$17,612
$729
U.S. Treasury and federal agency securities         
U.S. Treasury$59,384
$505
$1,204
$10
$60,588
$515
$8,389
$42
$77,883
$1,297
$86,272
$1,339
Agency obligations6,716
30
196
7
6,912
37
277
2
8,660
130
8,937
132
Total U.S. Treasury and federal agency securities$66,100
$535
$1,400
$17
$67,500
$552
$8,666
$44
$86,543
$1,427
$95,209
$1,471
State and municipal$635
$26
$4,450
$746
$5,085
$772
$1,614
$34
$1,303
$228
$2,917
$262
Foreign government35,491
429
4,642
164
40,133
593
40,655
265
15,053
331
55,708
596
Corporate5,586
132
1,298
45
6,884
177
4,547
115
2,077
42
6,624
157
Asset-backed securities5,311
58
2,247
34
7,558
92
441
4
55
—
496
4
Other debt securities27
—
—
—
27
—
1,790
1
—
—
1,790
1
Marketable equity securities AFS132
3
1
—
133
3
Total securities AFS$133,606
$1,334
$17,537
$1,107
$151,143
$2,441
December 31, 2014 
 
 
 
 
 
Total debt securities AFS$62,098
$752
$118,258
$2,468
$180,356
$3,220
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
Marketable equity securities AFS51
4
218
40
269
44
Other debt securities—
—
—
—
—
—
Marketable equity securities AFS(1)
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

188

(1)
Citi adopted ASU 2016-01 and ASU 2018-03 as of January 1, 2018, resulting in a cumulative effect adjustment from AOCI to Retained earnings for net unrealized gains on marketable equity securities AFS. The AFS category was eliminated for equity securities effective January 1, 2018. See Note 1 to the Consolidated Financial Statements for additional details.


The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
December 31,December 31,
2015201420182017
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$114
$114
$44
$44
$14
$14
$45
$45
After 1 but within 5 years1,408
1,411
931
935
662
661
1,306
1,304
After 5 but within 10 years1,750
1,751
1,362
1,387
2,779
2,828
1,376
1,369
After 10 years(2)
42,846
42,995
42,163
42,642
41,533
41,002
42,504
42,239
Total$46,118
$46,271
$44,500
$45,008
$44,988
$44,505
$45,231
$44,957
U.S. Treasury and federal agency securities      
Due within 1 year$3,016
$3,014
$13,070
$13,084
$41,941
$41,867
$4,913
$4,907
After 1 but within 5 years107,034
106,878
104,982
105,131
76,139
74,800
111,236
110,238
After 5 but within 10 years12,786
12,684
2,286
2,325
489
462
3,008
3,001
After 10 years(2)
355
339
3,079
3,150
90
93
—
—
Total$123,191
$122,915
$123,417
$123,690
$118,659
$117,222
$119,157
$118,146
State and municipal      
Due within 1 year$3,289
$3,287
$652
$651
$2,586
$2,586
$1,792
$1,792
After 1 but within 5 years1,781
1,781
4,387
4,381
1,676
1,675
2,579
2,576
After 5 but within 10 years502
516
524
537
585
602
514
528
After 10 years(2)
6,527
5,875
7,963
7,130
4,525
4,343
3,985
3,869
Total$12,099
$11,459
$13,526
$12,699
$9,372
$9,206
$8,870
$8,765
Foreign government      
Due within 1 year$26,322
$26,329
$31,355
$31,382
$39,078
$39,028
$32,130
$32,100
After 1 but within 5 years44,801
44,756
41,913
42,467
50,125
49,962
53,034
53,165
After 5 but within 10 years18,935
18,779
16,008
15,779
10,153
10,149
12,949
12,680
After 10 years(2)
2,326
2,337
973
1,069
1,516
1,552
2,502
2,588
Total$92,384
$92,201
$90,249
$90,697
$100,872
$100,691
$100,615
$100,533
All other(3)
      
Due within 1 year$1,930
$1,931
$1,248
$1,251
$6,166
$6,166
$3,998
$3,991
After 1 but within 5 years12,748
12,762
10,442
10,535
8,459
8,416
9,047
9,027
After 5 but within 10 years7,867
7,782
7,282
7,318
1,474
1,427
3,415
3,431
After 10 years(2)
3,263
3,190
6,256
6,220
433
405
1,887
1,875
Total$25,808
$25,665
$25,228
$25,324
$16,532
$16,414
$18,347
$18,324
Total debt securities AFS$299,600
$298,511
$296,920
$297,418
$290,423
$288,038
$292,220
$290,725
(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.


189


Debt Securities Held-to-Maturity

The carrying value and fair value of debt securities HTM 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
December 31, 2015     
Debt securities held-to-maturity      
Mortgage-backed securities(3)
      
U.S. government agency guaranteed$17,648
$138
$17,786
$71
$(100)$17,757
Prime121
(78)43
3
(1)45
Alt-A433
(1)432
259
(162)529
Subprime2
—
2
13
—
15
Non-U.S. residential1,330
(60)1,270
37
—
1,307
Commercial—
—
—
—
—
—
Total mortgage-backed securities$19,534
$(1)$19,533
$383
$(263)$19,653
State and municipal(4)
$8,581
$(438)$8,143
$245
$(87)$8,301
Foreign government4,068
—
4,068
28
(3)4,093
Asset-backed securities(3)
4,485
(14)4,471
34
(41)4,464
Total debt securities held-to-maturity$36,668
$(453)$36,215
$690
$(394)$36,511
December 31, 2014  
 
 
 
 
Debt securities held-to-maturity 
 
 
 
 
 
Mortgage-backed securities(3)
 
 
 
 
 
 
U.S. government agency guaranteed$8,795
$95
$8,890
$106
$(6)$8,990
Prime60
(12)48
6
(1)53
Alt-A1,125
(213)912
537
(287)1,162
Subprime6
(1)5
15
—
20
Non-U.S. residential983
(137)846
92
—
938
Commercial8
—
8
1
—
9
Total mortgage-backed securities$10,977
$(268)$10,709
$757
$(294)$11,172
State and municipal$8,443
$(494)$7,949
$227
$(57)$8,119
Foreign government4,725
—
4,725
77
—
4,802
Asset-backed securities(3)
556
(18)538
50
(10)578
Total debt securities held-to-maturity(5)
$24,701
$(780)$23,921
$1,111
$(361)$24,671
In millions of dollars
Carrying
value
Gross
unrealized
gains
Gross
unrealized
losses
Fair
value
December 31, 2018    
Debt securities HTM    
Mortgage-backed securities(1)(2)
    
U.S. government agency guaranteed$34,239
$199
$578
$33,860
Alt-A—
—
—
—
Non-U.S. residential1,339
12
1
1,350
Commercial368
—
—
368
Total mortgage-backed securities$35,946
$211
$579
$35,578
State and municipal$7,628
$167
$138
$7,657
Foreign government1,027
—
24
1,003
Asset-backed securities(1)
18,756
8
112
18,652
Total debt securities HTM$63,357
$386
$853
$62,890
December 31, 2017 
 
 
 
Debt securities HTM 
 
 
 
Mortgage-backed securities(1)
 
 
 
 
U.S. government agency guaranteed$23,880
$40
$157
$23,763
Alt-A141
57
—
198
Non-U.S. residential1,841
65
—
1,906
Commercial237
—
—
237
Total mortgage-backed securities$26,099
$162
$157
$26,104
State and municipal(3)
$8,897
$378
$73
$9,202
Foreign government740
—
18
722
Asset-backed securities(1)
17,584
162
22
17,724
Total debt securities HTM$53,320
$702
$270
$53,752
(1)
For securities transferred to HTM from Trading account assets, 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, 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 other-than-temporary impairment recognized in earnings.
(2)HTM securities are carried on the Consolidated Balance Sheet at 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-backedmortgage- and asset-backed securities. These securitizationssecuritization entities 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-backedmortgage- and asset-backed securitizations in which the Company has other involvement, see Note 2221 to the Consolidated Financial Statements.
(4)(2)The netIn November 2018, Citibank transferred $10 billion of agency residential mortgage-backed securities (RMBS) and commercial mortgage-backed securities (CMBS) from AFS classification to HTM classification in accordance with ASC 320. At the time of transfer, the securities were in an unrealized losses recognizedloss position of $598 million. This amount will remain in AOCI on state and municipal debt securities are primarily attributable tobe amortized over 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 valueremaining life 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.

190


(5)(3)
DuringIn the second quarter of 2015, securities with2017, Citi early adopted ASU 2017-08.Upon adoption, a total fair value of approximately $7.1 billion were transferred from AFS to HTM, consisting of $7.0 billion of U.S. government agency mortgage-backed securities and $0.1 billion of obligations of U.S. states and municipalities. During the second quarter of 2014, securities with a total fair value of approximately $11.8 billion were transferred from AFS to HTM, consisting of $5.4 billion of U.S. government agency mortgage-backed securities and $6.4 billion of obligations of U.S. states and municipalities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call in ordercumulative effect adjustment was recorded to reduce Retained earnings, effective January 1, 2017, for the impact of price volatility on AOCI and 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 theincremental amortization of differences between the carrying values at the transfer datepurchase premiums and the par values of each security as an adjustment of yield over the remaining contractual life of each security. 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 overthat would have been recorded under the remaining contractual life of each security as an adjustment of yield in a manner consistent withASU on callable state and municipal debt securities. See Note 1 to the amortization of any premium or discount.Consolidated Financial Statements.


The Company has the positive intent and ability to hold these securities to maturity or, where applicable, theto 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 debt securities that have suffered credit impairment recorded in earnings. The AOCI balance related to HTM debt 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 HTM that have been in an unrecognized loss position 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, 2015     
Debt securities held-to-maturity     
December 31, 2018     
Debt securities HTM     
Mortgage-backed securities$935
$1
$10,301
$262
$11,236
$263
$2,822
$20
$18,086
$559
$20,908
$579
State and municipal881
20
1,826
67
2,707
87
981
34
1,242
104
2,223
138
Foreign government180
3
—
—
180
3
1,003
24
—
—
1,003
24
Asset-backed securities132
13
3,232
28
3,364
41
13,008
112
—
—
13,008
112
Total debt securities held-to-maturity$2,128
$37
$15,359
$357
$17,487
$394
December 31, 2014     
Debt securities held-to-maturity     
Total debt securities HTM$17,814
$190
$19,328
$663
$37,142
$853
December 31, 2017     
Debt securities HTM     
Mortgage-backed securities$4
$—
$1,134
$294
$1,138
$294
$8,569
$50
$6,353
$107
$14,922
$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
Total debt securities HTM$9,716
$76
$7,322
$194
$17,038
$270
Note: Excluded from the gross unrecognized losses presented in the above table are $(453)$(653) million and $(780)$(117) million of net unrealized losses recorded in AOCI as of December 31, 20152018 and December 31, 2014,2017, respectively, primarily related to the difference between the amortized cost and carrying value of HTM debt securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at December 31, 20152018 and December 31, 2014.2017.


191


The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
December 31,December 31,
2015201420182017
In millions of dollarsCarrying valueFair valueCarrying valueFair valueCarrying valueFair valueCarrying valueFair value
Mortgage-backed securities      
Due within 1 year$—
$—
$—
$—
$3
$3
$—
$—
After 1 but within 5 years172
172
—
—
539
540
720
720
After 5 but within 10 years660
663
863
869
997
1,011
148
149
After 10 years(1)
18,701
18,818
9,846
10,303
34,407
34,024
25,231
25,235
Total$19,533
$19,653
$10,709
$11,172
$35,946
$35,578
$26,099
$26,104
State and municipal      
Due within 1 year$309
$305
$205
$205
$37
$37
$407
$425
After 1 but within 5 years336
335
243
243
168
174
259
270
After 5 but within 10 years262
270
140
144
540
544
512
524
After 10 years(1)
7,236
7,391
7,361
7,527
6,883
6,902
7,719
7,983
Total$8,143
$8,301
$7,949
$8,119
$7,628
$7,657
$8,897
$9,202
Foreign government      
Due within 1 year$—
$—
$—
$—
$60
$36
$381
$381
After 1 but within 5 years4,068
4,093
4,725
4,802
967
967
359
341
After 5 but within 10 years—
—
—
—
—
—
—
—
After 10 years(1)
—
—
—
—
—
—
—
—
Total$4,068
$4,093
$4,725
$4,802
$1,027
$1,003
$740
$722
All other(2)
      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
—
—
—
—
After 5 but within 10 years—
—
—
—
2,535
2,539
1,669
1,680
After 10 years(1)
4,471
4,464
538
578
16,221
16,113
15,915
16,044
Total$4,471
$4,464
$538
$578
$18,756
$18,652
$17,584
$17,724
Total debt securities held-to-maturity$36,215
$36,511
$23,921
$24,671
Total debt securities HTM$63,357
$62,890
$53,320
$53,752
(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.



192


Evaluating Investments for Other-Than-Temporary Impairment

Overview
The Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other-than-temporary. These reviews apply to all securities that are not measured at fair value through earnings. Effective January 1, 2018, the AFS category was eliminated for equity securities and, therefore, other-than-temporary impairment (OTTI) review is not required for those securities. See Note 1 to the Consolidated Financial Statements for additional details.
An unrealized loss exists when the current fair value of an individual security is less than its amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS securities. LossesTemporary losses related to HTM debt securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM debt securities with credit-related losses,impairment, the credit loss is recognized in earnings as OTTI, and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For debt securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For debt securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any impairment recognized in earnings.
Regardless of the classification of 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.

The Company’s review for impairment generally entails:

identification and evaluation of impaired investments;
analysis of individual investments that have fair values less than 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-temporaryother-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 amortized cost basis and fair value is recognized in earnings as OTTI for impaired debt securities that the Company has an intent to sell, or for which the Company believes it will more-likely-than-not be required to sell prior to recovery of the amortized cost basis. However, for those securities that the Company does not intend to sell and is not likely to be required to sell, only the credit-related impairment is recognized in earnings and any non-credit-related impairment is recorded in AOCI.
For debt securities, credit impairment exists where management does not expect to receive contractual principal and interest cash flows sufficient to recover the entire amortized cost basis of a security.

AFS Equity Securities and Equity Method Investments
For AFS equity securities, prior to January 1, 2018, management considersconsidered the various factors described above, including its intent and ability to hold thean equity security for a period of time sufficient for recovery to cost, or whether it iswas more-likely-than-not that the Company will bewould have been required to sell the security prior to recovery of its cost basis. Where management lackslacked that intent or ability, the security’s decline in fair value iswas deemed to be other-than-temporary and iswas recorded in earnings. Effective January 1, 2018, the AFS category has been eliminated for equity securities deemedand, therefore, OTTI review is not required for those securities. See Note 1 to be other-than-temporarily impaired are written down to fair value, with the full difference between fair value and cost recognized in earnings.Consolidated Financial Statements for additional details.
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:indicators:


the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;
the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and


193


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, 2015.2018.

Mortgage-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 30–59 day delinquent loans, (iii) 70% of 60–90 day delinquent loans and (iv) 100% of 91+ day delinquent loans. These estimates are extrapolated along a default timing curve to estimate the total lifetime pool default
rate. Other assumptions contemplate the actual collateral attributes, including geographic concentrations, rating actions and current market prices.
Cash flow projections are developed using different stress test scenarios. Management evaluates the results of those stress tests (including the severity of any cash shortfall indicated and the likelihood of the stress scenarios actually occurring based on the underlying pool’s characteristics and performance) to assess whether management expects to recover the amortized cost basis of the security. If cash flow projections indicate that the Company does not expect to recover its amortized cost basis, the Company recognizes the estimated credit loss in earnings.

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


Recognition and Measurement of OTTI
The following tables present total OTTI recognized in earnings are as follows:earnings:
OTTI on Investments and Other AssetsYear ended 
  December 31, 2015		Year ended 
  December 31, 2018
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:  
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:   
Total OTTI losses recognized during the period$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, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise182
43
6
231
Total impairment losses recognized in earnings$215
$44
$6
$265
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise125
—
—
125
Total OTTI losses recognized in earnings$125
$—
$—
$125

(1)Includes OTTI on non-marketableFor the year ended December 31, 2018, amounts represent AFS debt securities. Effective January 1, 2018, the AFS category was eliminated for equity securities. See Note 1 to the Consolidated Financial Statements for additional details.


194



OTTI on Investments and Other AssetsYear ended 
  December 31, 2014		Year ended 
  December 31, 2017
In millions of dollars
AFS(1)
HTMOther
assets		Total
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$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, would be more likely than not required to sell or will be subject to an issuer call deemed probable of exercise380
26
—
406
Total impairment losses recognized in earnings$393
$31
$—
$424
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 OTTI losses recognized in earnings$61
$2
$—
$63

(1)Includes OTTI on non-marketable equity securities.

OTTI on Investments and Other Assets
Year ended
December 31, 2013
Year 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
246
38
332
616
Total impairment losses recognized in earnings$278
$56
$201
$535
Total OTTI losses recognized in earnings$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 2016.
(3)The impairment charge relatesis related to the carrying value of Citi’s then-remaining 35% interestan equity investment sold in the MSSB joint venture, offset by the equity pickup from MSSB during the respective periods that was recorded in Other revenue.2016.






195



The following are 12-month rollforwards of the credit-related impairments recognized in earnings for AFS and HTM debt securities held that the Company does not intend to sell nor likely will be required to sell:

Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDec. 31, 2014 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, 2015 balance
Dec. 31, 2017 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired
Credit
impairments
recognized in
earnings on
securities 
that have been previously
impaired
Reductions due to
credit-impaired
securities sold,
transferred or
matured(1)
Dec. 31, 2018 balance
AFS debt securities      
Mortgage-backed securities(2)$295
$—
$(1)$—
$294
$38
$—
$—
$(37)$1
State and municipal—
8
—
—
8
4
—
—
(4)—
Foreign government securities171
—
—
(1)170
—
—
—
—
—
Corporate118
2
(2)(6)112
4
—
—
—
4
All other debt securities149
22
(1)—
170
2
—
—
(2)—
Total OTTI credit losses recognized for AFS debt securities$733
$32
$(4)$(7)$754
$48
$—
$—
$(43)$5
HTM debt securities        
Mortgage-backed securities(1)(3)
$670
$1
$(1)$(2)$668
$54
$—
$—
$(54)$—
Corporate—
—
—
—
—
All other debt securities133
—
—
(1)132
State and municipal3
—
—
(3)—
Total OTTI credit losses recognized for HTM debt securities$803
$1
$(1)$(3)$800
$57
$—
$—
$(57)$—
(1)
Includes $18 million in cumulative OTTI reclassified from HTM to AFS due to the transfer of the related debt securities from HTM to AFS. Citi adopted ASU 2017-12, Targeted Improvements to Accounting for Hedging Activities, on January 1, 2018 and transferred approximately $4 billion of HTM debt securities into AFS classification as permitted as a one-time transfer under the standard.
(2)Primarily consists of Prime securities.
(3)Primarily consists of Alt-A securities.


Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDec. 31, 2013 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, 2014 balance
Dec. 31, 2016 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired
Credit
impairments
recognized in
earnings on
securities 
that have
been previously
impaired
Reductions due to
credit-impaired
securities sold,
transferred or
matured(1)
Dec. 31, 2017 balance
AFS debt securities      
Mortgage-backed securities(2)$295
$—
$—
$—
$295
$—
$—
$—
$38
$38
State and municipal—
—
—
—
—
4
—
—
—
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 municipal

3
—
—
—
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.

196


Non-Marketable Equity Securities Not Carried at
Fair Value
Effective January 1, 2018, non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. See Note 1 to the Consolidated Financial Statements for additional details.
The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer. The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.
Equity securities under the measurement alternative are also assessed for impairment. On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. Impairment indicators that are considered include, but are not limited to, the following:

a significant deterioration in the earnings performance, credit rating, asset quality or business prospects of the investee;
a significant adverse change in the regulatory, economic or technological environment of the investee;
a significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates;
a bona fide offer to purchase, an offer by the investee to sell or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment; and
factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies or noncompliance with statutory capital requirements or debt covenants.
When the qualitative assessment indicates that impairment exists, the investment is written down to fair value, with the full difference between the fair value of the investment and its carrying amount recognized in earnings.
Below is the carrying value of non-marketable equity securities measured using the measurement alternative at December 31, 2018, and amounts recognized in earnings for the year ended December 31, 2018:
In millions of dollarsYear Ended
December 31, 2018
Measurement alternative: 
Balance as of December 31, 2018

$538
Impairment losses(1)
7
Downward changes for observable prices(1)
18
Upward changes for observable prices(1)
219

(1)See Note 24 to the Consolidated Financial Statements for additional information on these nonrecurring fair value measurements.

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the year ended December 31, 2018, there was no impairment loss recognized in earnings for non-marketable equity securities carried at cost.

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. Some of these investments are in “covered funds” for purposes of the
Volcker Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with, covered funds. On April 21, 2017, Citi’s request for extension of the permitted holding period under the Volcker Rule for certain of its investments in illiquid funds where it is not probable thatwas approved, allowing the Company will sell an investment at a price other thanto hold such investments until the NAV.earlier of five years from the July 21, 2017 expiration date of the general conformance period, or the date such investments mature or are otherwise conformed with the Volcker Rule.

Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollarsDecember 31, 2015December 31, 2014December 31, 2015December 31, 2014 December 31, 2018December 31, 2017December 31, 2018December 31, 2017 
Hedge funds$3
$8
$—
$—
Generally quarterly10–95 days$—
$1
$—
$—
Generally quarterly10–95 days
Private equity funds(2)(1)
762
891
173
205
—168
372
62
62
—
Real estate funds (3)(2)
130
166
21
24
—14
31
19
20
—
Total(4)
$895
$1,065
$194
$229
—
Mutual/collective
investment funds
25
—
—
—
 
Total$207
$404
$81
$82
—
(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 $0.9 billion and $0.8 billion of fund assets that are valued using NAVs provided by third-party asset managers as of December 31, 2015 and December 31, 2014, respectively.

197


15.14.   LOANS
Citigroup loans are reported in two categories—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 GCB 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,December 31,
In millions of dollars2015201420182017
In U.S. offices   
Mortgage and real estate(1)
$80,281
$96,533
$60,127
$65,467
Installment, revolving credit, and other3,480
14,450
Installment, revolving credit and other3,398
3,398
Cards112,800
112,982
143,788
139,006
Commercial and industrial6,407
5,895
8,256
7,840
$202,968
$229,860
Total$215,569
$215,711
In offices outside the U.S.    
Mortgage and real estate(1)
$47,062
$54,462
$43,379
$44,081
Installment, revolving credit, and other29,480
31,128
Installment, revolving credit and other27,609
26,556
Cards27,342
32,032
25,400
26,257
Commercial and industrial21,679
22,561
17,773
20,238
Lease financing427
609
49
76
$125,990
$140,792
Total$114,210
$117,208
Total consumer loans$328,958
$370,652
$329,779
$332,919
Net unearned income$825
$(682)$708
$737
Consumer loans, net of unearned income$329,783
$369,970
$330,487
$333,656
(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, 20152018 and 2014,2017, the Company sold and/or reclassified to held-for-sale $25.8HFS $3.2 billion and $10.3$4.9 billion, respectively, of consumer loans. The Company did not have significant purchases of consumer loans during the years ended December 31, 2015 and 2014.

 
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 Bankers 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 that 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 marketbanking 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 a 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.








198


The following tables provide details on Citigroup’s consumer loan delinquency and non-accrual loans:
Consumer Loan Delinquency and Non-Accrual Details at December 31, 20152018
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)$53,146
$846
$564
$2,318
$56,874
$1,216
$1,997
$45,953
$420
$253
$786
$47,412
$583
$549
Home equity loans(5)(7)
22,335
136
277
—
22,748
1,017
—
11,135
161
247
—
11,543
527
—
Credit cards110,814
1,296
1,243
—
113,353
—
1,243
141,106
1,687
1,764
—
144,557
—
1,764
Installment and other4,236
80
33
—
4,349
56
2
3,394
43
16
—
3,453
22
—
Commercial market loans8,241
16
61
—
8,318
222
17
Commercial banking loans9,662
20
46
—
9,728
109
—
Total$198,772
$2,374
$2,178
$2,318
$205,642
$2,511
$3,259
$211,250
$2,331
$2,326
$786
$216,693
$1,241
$2,313
In offices outside North America      
Residential first mortgages(5)$39,698
$241
$178
$—
$40,117
$390
$—
$35,624
$203
$145
$—
$35,972
$383
$—
Credit cards25,810
478
442
—
26,730
261
278
24,131
425
370
—
24,926
312
235
Installment and other29,067
317
192
—
29,576
226
—
25,085
254
107
—
25,446
152
—
Commercial market loans27,401
62
63
—
27,526
277
—
Commercial banking loans27,345
51
53
—
27,449
138
—
Total$121,976
$1,098
$875
$—
$123,949
$1,154
$278
$112,185
$933
$675
$—
$113,793
$985
$235
Total GCB and Citi Holdings consumer
$320,748
$3,472
$3,053
$2,318
$329,591
$3,665
$3,537
Total GCB and Corporate/Other—Consumer
$323,435
$3,264
$3,001
$786
$330,486
$2,226
$2,548
Other(6)(8)
178
7
7
—
192
25
—
1
—
—
—
1
—
—
Total Citigroup$320,926
$3,479
$3,060
$2,318
$329,783
$3,690
$3,537
$323,436
$3,264
$3,001
$786
$330,487
$2,226
$2,548
(1)Loans less than 30 days past due are presented as current.
(2)Includes $34$20 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.3$0.2 billion and 90 days or more past due of $2.0$0.6 billion.
(5)Includes 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.
(6)(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Citi HoldingsCorporate/Other consumer credit metrics.

199


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
Commercial banking loans9,395
51
65
—
9,511
213
—
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
$2,538
In offices outside North America      
Residential first mortgages(5)$44,782
$312
$223
$—
$45,317
$454
$—
$37,062
$209
$148
$—
$37,419
$400
$—
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
—
Commercial banking loans27,449
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
Total GCB and Corporate/Other—
Consumer
$326,091
$3,304
$3,035
$1,225
$333,655
$2,690
$2,797
Other(6)(8)
238
10
11
—
259
30
—
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
$2,797
(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)Includes 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.
(6)(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in the Citi HoldingsCorporate/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, 2015 and 2014based on end-of-period receivables (commercial marketbanking loans are not included inexcluded from the tabletables since theythe customers are business basedbusinesses 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, 2015
In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$3,483
$3,036
$45,047
Home equity loans2,067
1,782
17,837
Credit cards7,341
10,072
93,194
Installment and other337
270
2,662
Total$13,228
$15,160
$158,740
FICO score distribution in U.S. portfolio(1)(2)
December 31, 2018
In millions of dollars
Less than
680
680 to 760Greater
than 760
Residential first mortgages$4,530
$13,848
$26,546
Home equity loans2,438
4,296
4,471
Credit cards32,686
58,722
51,299
Installment and other625
1,097
1,121
Total$40,279
$77,963
$83,437


FICO score distribution in U.S. portfolio(1)(2)
December 31, 2017

In millions of dollars
Less than
680
680 to 760Greater
than 760
Residential first mortgages$5,603
$14,423
$26,271
Home equity loans3,347
5,439
5,650
Credit cards30,875
56,443
48,989
Installment and other716
1,020
1,275
Total$40,541
$77,325
$82,185
(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.


200


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 LTSCs(LTSC) with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where FICO was not available. Such amounts are not material.

Loan to Value (LTV) Ratios
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. 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, 2015
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$46,559
$4,478
$626
Home equity loans13,904
5,147
2,527
Total$60,463
$9,625
$3,153
(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, 2018
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$42,379
$2,474
$197
Home equity loans9,465
1,287
390
Total$51,844
$3,761
$587
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.



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 marketbanking 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.


201


The following tables present information about total impaired consumer loans and for interest income recognized on impaired consumer loans:




At and for the year ended December 31, 2015At and for the year ended December 31, 2018
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Interest income
recognized(5)
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$6,038
$6,610
$739
$8,932
$439
$2,130
$2,329
$178
$2,483
$81
Home equity loans1,399
1,972
406
1,778
64
684
946
122
698
12
Credit cards1,950
1,986
604
2,079
179
1,818
1,842
677
1,815
105
Installment and other 
    
Individual installment and other464
519
202
449
54
400
434
146
414
22
Commercial market loans352
587
113
372
13
Commercial banking252
432
55
286
14
Total$10,203
$11,674
$2,064
$13,610
$749
$5,284
$5,983
$1,178
$5,696
$234
(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)$1,151484 million of residential first mortgages, $459$263 million of home equity loans and $86$2 million of commercial market loans do not have a specific allowance.
(3) Included in the Allowance for loan losses.
(4) Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.
(5) Includes amounts recognized on both an accrual and cash basis.


 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
$1,920
$15,389
$690
Home equity loans2,029
2,674
602
2,075
74
Credit cards2,407
2,447
862
2,732
196
Installment and other    
Individual installment and other948
963
445
975
124
Commercial market loans423
599
88
381
22
Total$19,358
$21,070
$3,917
$21,552
$1,106
(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)$1,896 million of residential first mortgages, $554 million of home equity loans and $158 million of commercial marketbanking 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)
(5)Includes amounts recognized on both an accrual and cash basis.

(6) Interest income recognized for the year ended December 31, 2013 was $1,280
 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)(6)
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 banking334
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)$607 million of residential first mortgages, $370 million of home equity loans and $10 million of commercial banking 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)Interest income recognized for the year ended December 31, 2016 was $402 million.





202


Consumer Troubled Debt Restructurings
The following tables present consumer TDRs occurring:
At and for the year ended December 31, 2015At and for the year ended December 31, 2018
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
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 mortgages9,487
$1,282
$9
$4
$25
1%2,019
$300
$2
$—
$—
—%
Home equity loans4,317
157
1
—
3
2
1,381
130
5
—
—
1
Credit cards188,502
771
—
—
—
16
243,253
978
—
—
—
18
Installment and other revolving4,287
37
—
—
—
13
1,320
10
—
—
—
5
Commercial markets(6)
300
47
—
—
—
—
Commercial banking(6)
43
6
—
—
—
—
Total(8)
206,893
$2,294
$10
$4
$28
 248,016
$1,424
$7
$—
$—
 
International      
Residential first mortgages3,918
$104
$—
$—
$—
—%2,572
$85
$—
$—
$—
—%
Credit cards142,851
374
—
—
7
13
77,823
323
—
—
9
16
Installment and other revolving65,895
280
—
—
5
5
30,344
182
—
—
7
10
Commercial markets(6)
239
87
—
—
—
1
Commercial banking(6)
526
70
—
—
—
1
Total(8)
212,903
$845
$—
$—
$12
 
111,265
$660
$—
$—
$16
 

At and for the year ended December 31, 2014At 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)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
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 mortgages20,114
$2,478
$52
$36
$16
1%4,063
$580
$6
$—
$2
1%
Home equity loans7,444
279
3
—
14
2
2,807
247
16
—
1
1
Credit cards185,962
808
—
—
—
15
230,042
880
—
—
—
17
Installment and other revolving46,838
351
—
—
—
7
1,088
8
—
—
—
5
Commercial markets(6)
191
35
—
—
1
—
Commercial banking(6)
112
117
—
—
—
—
Total(8)
260,549
$3,951
$55
$36
$31
 238,112
$1,832
$22
$—
$3
 
International      
Residential first mortgages3,217
$114
$—
$—
$1
1%4,477
$123
$—
$—
$—
—%
Credit cards139,128
447
—
—
9
13
115,941
399
—
—
7
11
Installment and other revolving61,563
292
—
—
7
9
44,880
254
—
—
11
9
Commercial markets(6)
346
200
—
—
—
—
Commercial banking(6)
370
50
—
—
—
—
Total(8)
204,254
$1,053
$—
$—
$17
 165,668
$826
$—
$—
$18
 

(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $209$38 million of residential first mortgages and $55$12 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2015.2018. These amounts include $126$27 million of residential first mortgages and $47$10 million of home equity loans that were newly classified as TDRs during 2015,2018, based on previously received OCC guidance.
(3)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6) Commercial markets 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 $322 million of residential first mortgages and $80 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2014. These amounts include $179 million of residential first mortgages and $69 million of home equity loans that were newly classified as TDRs during 2014,
(6)Commercial banking loans are generally borrower-specific modifications and incorporate changes in the amount and/or timing of principal and/or interest.
(7)
Post-modification balances in North America include $53 million of residential first mortgages and $21 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the year ended December 31, 2017. These amounts include $36 million of residential first mortgages and $18 million of home equity loans that were newly classified as TDRs during 2017, 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)The above tables reflect activity for loans outstanding that were considered TDRs as of the end of the reporting period.




203


The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial marketsbanking loans, where default is defined as 90 days past due.
Years ended December 31,
In millions of dollars2015201420182017
North America  
Residential first mortgages$420
$715
$136
$253
Home equity loans38
72
23
46
Credit cards187
194
241
221
Installment and other revolving8
95
3
2
Commercial markets9
9
Commercial banking22
2
Total$662
$1,085
$425
$524
International  
Residential first mortgages$22
$24
$9
$11
Credit cards141
217
198
185
Installment and other revolving88
104
80
96
Commercial markets28
105
Commercial banking17
1
Total$279
$450
$304
$293



204


Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
In millions of dollarsDecember 31,
2015		December 31,
2014		December 31,
2018		December 31,
2017
In U.S. offices  
Commercial and industrial$41,147
$35,055
$52,063
$51,319
Financial institutions36,396
36,272
48,447
39,128
Mortgage and real estate(1)
37,565
32,537
50,124
44,683
Installment, revolving credit and other33,374
29,207
33,247
33,181
Lease financing1,780
1,758
1,429
1,470
$150,262
$134,829
Total$185,310
$169,781
In offices outside the U.S.  
Commercial and industrial$78,420
$79,239
$94,701
$93,750
Financial institutions28,704
33,269
36,837
35,273
Mortgage and real estate(1)
5,106
6,031
7,376
7,309
Installment, revolving credit and other20,853
19,259
25,684
22,638
Lease financing238
356
103
190
Governments and official institutions4,911
2,236
4,520
5,200
$138,232
$140,390
Total$169,221
$164,360
Total corporate loans$288,494
$275,219
$354,531
$334,141
Net unearned income(660)(554)$(822)$(763)
Corporate loans, net of unearned income$287,834
$274,665
$353,709
$333,378
(1)Loans secured primarily by real estate.
 
The Company sold and/or reclassified to held-for-sale $2.8 billion and $4.8$1.0 billion of corporate loans during each of the years ended December 31, 20152018 and 2014,2017, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the years ended December 31, 20152018 or 2014.2017.

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.


205


Corporate Loan Delinquency and Non-Accrual Details at December 31, 2015
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$87
$4
$91
$1,039
$114,564
$115,694
Financial institutions16
—
16
173
64,128
64,317
Mortgage and real estate137
7
144
232
42,095
42,471
Leases—
—
—
76
1,941
2,017
Other29
—
29
44
58,286
58,359
Loans at fair value









4,971
Purchased distressed loans









5
Total$269
$11
$280
$1,564
$281,014
$287,834
Corporate Loan Delinquency and Non-Accrual Details at December 31, 20142018
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
$365
$42
$407
$919
$143,960
$145,286
Financial institutions2
—
2
250
67,580
67,832
87
7
94
102
83,672
83,868
Mortgage and real estate86
—
86
252
38,135
38,473
128
5
133
215
57,116
57,464
Leases—
—
—
51
2,062
2,113
5
10
15
—
1,516
1,531
Other49
1
50
55
49,844
49,949
151
52
203
75
62,079
62,357
Loans at fair value









5,858
  3,203
Purchased distressed loans









51
Total$187
$1
$188
$1,183
$267,385
$274,665
$736
$116
$852
$1,311
$348,343
$353,709
Corporate Loan Delinquency and Non-Accrual Details at December 31, 2017
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$249
$13
$262
$1,506
$139,554
$141,322
Financial institutions93
15
108
92
73,557
73,757
Mortgage and real estate147
59
206
195
51,563
51,964
Leases68
8
76
46
1,533
1,655
Other70
13
83
103
60,145
60,331
Loans at fair value     4,349
Total$627
$108
$735
$1,942
$326,352
$333,378
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are ≥ 90 days 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.



 








206


Corporate Loans Credit Quality Indicators
Recorded investment in loans(1)
Recorded investment in loans(1)
In millions of dollarsDecember 31, 2015December 31,
2014		December 31, 2018December 31,
2017
Investment grade(2)
  
Commercial and industrial$81,927
$80,812
$102,722
$101,313
Financial institutions53,522
56,154
73,080
60,404
Mortgage and real estate18,869
16,068
25,855
23,213
Leases1,660
1,669
1,036
1,090
Other51,449
46,284
57,299
56,306
Total investment grade$207,427
$200,987
$259,992
$242,326
Non-investment grade(2)
  
Accrual  
Commercial and industrial$32,726
$29,003
$41,645
$38,503
Financial institutions10,622
11,429
10,686
13,261
Mortgage and real estate2,800
3,587
3,793
2,881
Leases282
393
496
518
Other6,867
3,609
4,981
3,924
Non-accrual  
Commercial and industrial1,039
575
919
1,506
Financial institutions173
250
102
92
Mortgage and real estate232
252
215
195
Leases76
51
—
46
Other44
55
75
103
Total non-investment grade$54,861
$49,204
$62,912
$61,029
Private bank loans managed on a delinquency basis(2)
$20,575
$18,616
Non-rated private bank loans managed on a delinquency basis(2)
$27,602
$25,674
Loans at fair value4,971
5,858
3,203
4,349
Corporate loans, net of unearned income$287,834
$274,665
$353,709
$333,378
(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.
 
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 costcarrying value 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.


207

Non-Accrual Corporate Loans

The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
Non-Accrual Corporate Loans
At and for the year ended December 31, 2015At and for the year ended December 31, 2018
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$1,039
$1,224
$246
$825
$7
$919
$1,070
$183
$1,099
$35
Financial institutions173
196
10
194
—
102
123
35
99
—
Mortgage and real estate232
336
21
240
4
215
323
39
233
1
Lease financing76
76
54
62
—
—
28
—
21
—
Other44
114
32
39
—
75
165
6
83
6
Total non-accrual corporate loans$1,564
$1,946
$363
$1,360
$11
$1,311
$1,709
$263
$1,535
$42
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

December 31, 2015December 31, 2014December 31, 2018December 31, 2017
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$539
$246
$224
$155
$603
$183
$1,017
$368
Financial institutions18
10
37
7
76
35
88
41
Mortgage and real estate60
21
70
24
100
39
51
11
Lease financing75
54
47
29
—
—
46
4
Other40
32
55
21
24
6
13
2
Total non-accrual corporate loans with specific allowance$732
$363
$433
$236
$803
$263
$1,215
$426
Non-accrual corporate loans without specific allowance      
Commercial and industrial$500
 
$351
 
$316
 
$489
 
Financial institutions155
 
213
 
26
 
4
 
Mortgage and real estate172
 
182
 
115
 
144
 
Lease financing1
 
4
 
—
 
—
 
Other4
 
—
 
51
 
90
 
Total non-accrual corporate loans without specific allowance$832
N/A
$750
N/A
$508
N/A
$727
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, 20132016 was $43$40 million.
N/A Not Applicableapplicable


208


Corporate Troubled Debt Restructurings
The following table presents corporate TDR activity at and for the year ended December 31, 2018:
In millions of dollarsCarrying value of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$113
$5
$8
$100
Mortgage and real estate60
3
—
57
Total$173
$8
$8
$157

The following table presents corporate TDR activity at and for the year ended December 31, 2015:2017:
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 of TDRs modified during the period
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$120
$67
$—
$53
$509
$131
$7
$371
Financial institutions15
—
—
15
Mortgage and real estate47
3
—
44
36
—
—
36
Total$167
$70
$—
$97
$560
$131
$7
$422
(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 loans.  Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.

The following table presents corporate TDR activity at and for the year ended December 31, 2014:
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$48
$30
$17
$1
Mortgage and real estate8
5
1
2
Total$56
$35
$18
$3
(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 loans. Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.


The following table presents total corporate loans modified in a TDR as well as those TDRs that defaulted and for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial marketsbanking loans, where default is defined as 90 days past due.
In millions of dollarsTDR balances at December 31, 2015TDR loans in payment default during the year ended December 31, 2015
TDR balances at
December 31, 2014
TDR loans in payment default during the year ended December 31, 2014TDR balances at December 31, 2018TDR loans in payment default during the year ended December 31, 2018
TDR balances at
December 31, 2017
TDR loans in payment default during the year ended December 31, 2017
Commercial and industrial$135
$—
$117
$—
$414
$70
$617
$72
Loans to financial institutions5
1
—
—
Financial institutions25
—
48
—
Mortgage and real estate138
—
107
—
123
—
101
—
Lease financing—
—
7
—
Other308
—
355
—
2
—
45
—
Total(1)
$586
$1
$579
$—
$564
$70
$818
$72

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


209


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 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 ASC 310-30, 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 $234 million and $361 million, net of an allowance of $16 million and $60 million, at December 31, 2015 and 2014, respectively.



The changes in the accretable yield, related allowance and carrying amount net of accretable yield were as follows:

In millions of dollarsAccretable
yield		Carrying
amount of loan
receivable		Allowance
Balance at December 31, 2013$107
$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 translation/other(9)(45)(11)
Balance at December 31, 2014(2)
$56
$421
$60
Purchases(1)
$3
$54
$—
Disposals/payments received(5)(162)(9)
Accretion(13)13
—
Builds (reductions) to the allowance—
—
9
Increase to expected cash flows1
—
—
FX translation/other(9)(76)(44)
Balance at December 31, 2015(2)
$33
$250
$16

(1)The balance reported in the column “Carrying amount of loan receivable” consists of $54 million and $46 million in 2015 and 2014, respectively, of purchased loans accounted for under the level-yield method. No purchased loans 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 $56 million and $46 million in 2015 and 2014, respectively.
(2) The balance reported in the column “Carrying amount of loan receivable” consists of $245 million and $413 million of loans accounted for under the level-yield method and $5 million and $8 million accounted for under the cost-recovery method in 2015 and 2014, respectively.



210


16.15. ALLOWANCE FOR CREDIT LOSSES
 
In millions of dollars201520142013201820172016
Allowance for loan losses at beginning of period$15,994
$19,648
$25,455
$12,355
$12,060
$12,626
Gross credit losses(9,041)(11,108)(12,769)(8,665)(8,673)(8,222)
Gross recoveries(1)
1,739
2,135
2,306
1,552
1,597
1,661
Net credit losses (NCLs)$(7,302)$(8,973)$(10,463)$(7,113)$(7,076)$(6,561)
NCLs$7,302
$8,973
$10,463
$7,113
$7,076
$6,561
Net reserve builds (releases)139
(1,879)(1,961)394
544
340
Net specific reserve releases(333)(266)(898)(153)(117)(152)
Total provision for loan losses$7,108
$6,828
$7,604
$7,354
$7,503
$6,749
Other, net(2)(3)
(3,174)(1,509)(2,948)
Other, net (see table below)(281)(132)(754)
Allowance for loan losses at end of period$12,626
$15,994
$19,648
$12,315
$12,355
$12,060
Allowance for credit losses on unfunded lending commitments at beginning of period$1,063
$1,229
$1,119
$1,258
$1,418
$1,402
Provision (release) for unfunded lending commitments74
(162)80
113
(161)29
Other, net(3)
265
(4)30
(4)1
(13)
Allowance for credit losses on unfunded lending commitments at end of period(4)(2)
$1,402
$1,063
$1,229
$1,367
$1,258
$1,418
Total allowance for loans, leases, and unfunded lending commitments$14,028
$17,057
$20,877
Total allowance for loans, leases and unfunded lending commitments$13,682
$13,613
$13,478

(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)
2015 includes reductions of approximately $2.4 billion related to the sale or transfer to held-for-sale (HFS) of various loan portfolios, including 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. 2014 includes reductions of approximately $1.1 billion related to the sale or transfer to HFS of various loan portfolios, including 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. 2013 includes reductions of approximately $2.4 billion related to the sale or transfer to HFS of various loan portfolios, including 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.
(3)2015 includes a reclassification of $271 million of Allowance for Loan Losses to Allowance 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 change in the underlying credit performance of these portfolios.
(4)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

211


Allowance for Credit Losses and Investment in Loans at December 31, 2015
In millions of dollarsCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,389
$13,605
$15,994
Charge-offs(331)(8,710)(9,041)
Recoveries97
1,642
1,739
Replenishment of net charge-offs234
7,068
7,302
Net reserve builds (releases)523
(384)139
Net specific reserve builds (releases)86
(419)(333)
Other(288)(2,886)(3,174)
Ending balance$2,710
$9,916
$12,626
Allowance for loan losses 
 
 
Determined in accordance with ASC 450$2,345
$7,839
$10,184
Determined in accordance with ASC 310-10-35362
2,064
2,426
Determined in accordance with ASC 310-303
13
16
Total allowance for loan losses$2,710
$9,916
$12,626
Loans, net of unearned income   
Loans collectively evaluated for impairment in accordance with ASC 450$281,066
$319,301
$600,367
Loans individually evaluated for impairment in accordance with ASC 310-10-351,792
10,203
11,995
Loans acquired with deteriorated credit quality in accordance with ASC 310-305
245
250
Loans held at fair value4,971
34
5,005
Total loans, net of unearned income$287,834
$329,783
$617,617
Other, net details   
In millions of dollars201820172016
Sales or transfers of various consumer loan portfolios to HFS   
Transfer of real estate loan portfolios$(91)$(106)$(106)
Transfer of other loan portfolios(110)(155)(468)
Sales or transfers of various consumer loan portfolios to HFS$(201)$(261)$(574)
FX translation, consumer(60)115
(199)
Other(20)14
19
Other, net$(281)$(132)$(754)


Allowance for Credit Losses and Investment inEnd-of-Period Loans at December 31, 20142018
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,584
$17,064
$19,648
Allowance for loan losses at beginning of year$2,486
$9,869
$12,355
Charge-offs(427)(10,681)(11,108)(271)(8,394)(8,665)
Recoveries139
1,996
2,135
102
1,450
1,552
Replenishment of net charge-offs288
8,685
8,973
169
6,944
7,113
Net reserve releases(133)(1,746)(1,879)
Net specific reserve releases(20)(246)(266)
Net reserve builds (releases)56
338
394
Net specific reserve builds (releases)(159)6
(153)
Other(42)(1,467)(1,509)(18)(263)(281)
Ending balance$2,389
$13,605
$15,994
$2,365
$9,950
$12,315
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
Collectively evaluated in accordance with ASC 450$2,102
$8,770
$10,872
Individually evaluated in accordance with ASC 310-10-35263
1,178
1,441
Purchased credit impaired in accordance with ASC 310-30—
2
2
Total allowance for loan losses$2,389
$13,605
$15,994
$2,365
$9,950
$12,315
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
Collectively evaluated in accordance with ASC 450$349,292
$325,055
$674,347
Individually evaluated in accordance with ASC 310-10-351,214
5,284
6,498
Purchased credit impaired in accordance with ASC 310-30—
128
128
Held at fair value3,203
20
3,223
Total loans, net of unearned income$274,665
$369,970
$644,635
$353,709
$330,487
$684,196


Allowance for Credit Losses and End-of-Period Loans at December 31, 2017
In millions of dollarsCorporateConsumerTotal
Allowance for loan losses at beginning of year$2,702
$9,358
$12,060
Charge-offs(491)(8,182)(8,673)
Recoveries112
1,485
1,597
Replenishment of net charge-offs379
6,697
7,076
Net reserve builds (releases)(267)811
544
Net specific reserve builds (releases)28
(145)(117)
Other23
(155)(132)
Ending balance$2,486
$9,869
$12,355
Allowance for loan losses 
 
 
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$2,486
$9,869
$12,355
Loans, net of unearned income   
Collectively evaluated in accordance with ASC 450$327,142
$326,884
$654,026
Individually evaluated 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$333,378
$333,656
$667,034




212


Allowance for Credit Losses at December 31, 20132016

In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,776
$22,679
$25,455
Allowance for loan losses at beginning of year$2,791
$9,835
$12,626
Charge-offs(369)(12,400)(12,769)(580)(7,642)(8,222)
Recoveries168
2,138
2,306
67
1,594
1,661
Replenishment of net charge-offs201
10,262
10,463
513
6,048
6,561
Net reserve releases(199)(1,762)(1,961)
Net specific reserve releases(1)(897)(898)
Net reserve builds (releases)(85)425
340
Net specific reserve builds (releases)—
(152)(152)
Other8
(2,956)(2,948)(4)(750)(754)
Ending balance$2,584
$17,064
$19,648
$2,702
$9,358
$12,060




213


17.16.   GOODWILL AND INTANGIBLE ASSETS
Goodwill
The changes in Goodwill were as follows:
In millions of dollars 
Balance at December 31, 2012$25,673
Foreign currency translation(577)
Divestitures, purchase accounting adjustments and other(1)
(25)
Sale of Brazil Credicard(62)
Balance at December 31, 2013$25,009
Foreign currency translation and other$(1,214)
Divestitures and purchase accounting adjustments(1)
(203)
Balance at December 31, 2014$23,592
Foreign currency translation and other$(1,000)
Impairment of goodwill(31)
Divestitures(2)
(212)
Balance at December 31, 2015$22,349
In millions of dollars 
Balance at December 31, 2015$22,349
Foreign exchange translation and other$(613)
Divestitures(1)
(77)
Balance at December 31, 2016$21,659
Foreign exchange translation and other

$729
Divestitures(2)
(104)
Impairment of goodwill (3)
(28)
Balance at December 31, 2017$22,256
Foreign exchange translation and other$(194)
Divestitures(4)
(16)
Balance at December 31, 2018$22,046

The changes in Goodwill by segment were as follows:
In millions of dollarsGlobal Consumer BankingInstitutional Clients GroupCiti HoldingsTotal
Balance at December 31, 2013$13,985
$10,868
$156
$25,009
Foreign currency translation and other(505)(711)2
$(1,214)
Divestitures and purchase accounting adjustments(1)
(86)(1)(116)(203)
Balance at December 31, 2014$13,394
$10,156
$42
$23,592
Impact of reorganization at January 1, 2015(3)
$(177)$—
$177
$—
Foreign currency translation and other(355)(644)(1)(1,000)
Impairment of goodwill—
—
(31)(31)
Divestitures(2)
(24)(1)(187)(212)
Balance at December 31, 2015$12,838
$9,511
$—
$22,349
In millions of dollarsGlobal Consumer BankingInstitutional Clients GroupCorporate/OtherTotal
Balance at December 31, 2016$12,530
$9,085
$44
$21,659
Foreign exchange translation and other$286
$443
$—
$729
Divestitures(2)
(32)(72)—
(104)
Impairment of goodwill(3)
—
—
(28)(28)
Balance at December 31, 2017$12,784
$9,456
$16
$22,256
Foreign exchange translation and other$(41)$(153)$—
$(194)
Divestitures(4)
—
—
(16)(16)
Balance at December 31, 2018$12,743
$9,303
$—
$22,046

(1)Primarily related to the salessale of the Spain consumer operations and the Japan retail banking business. See Note 2 to the Consolidated Financial Statements.
(2)Primarily related to the sales of the Latin America Retirement Services and Japan cards businessesprivate equity services business completed during the year,in 2016 and agreements to sell certain businesses in Citi HoldingsArgentina and Brazil consumer operations as of December 31, 2015. See Note 2 to the Consolidated Financial Statements.2016.
(2) Primarily related to the sale of a fixed income analytics business and a fixed income index business completed in 2017 and agreement to sell a Mexico asset management business as of December 31, 2017. See Note 2 to the Consolidated Financial Statements.
(3)
Goodwill allocation associated withRelated to the transferstransfer of certainthe mortgage servicing business from North America GCB businesses to Citi HoldingsCorporate/Other effective January 1, 2015, as described above. See Note 32017.
(4)Primarily related to the Consolidated Financial Statements.sale of consumer operations in Colombia in 2018.


Goodwill impairment testing is performed at the level below each business segment (referred to as a reporting unit). See Note 3 for further information on business segments.
The Company performed its annual goodwill impairment test as of July 1, 2015 resulting in no impairment for any of the reporting units. The reporting unit structure in 2015 was the same as the reporting unit structure in 2014, except for the effect of the January 1, 2015 reorganization noted below and the sales involving the Citi Holdings—Cards, Latin America Retirement Services, and Citi Holdings—Consumer Japan reporting units during the third quarter of 2014 and second and fourth quarter of 2015, respectively.
Furthermore, interim goodwill impairment tests were performed during the year, which resulted in $31 million of total goodwill impairment recorded in Operating expenses,
as discussed below. No goodwill was deemed impaired in 2014 and 2013.
Effective January 1, 2015, certain consumer banking and institutional businesses were transferred to Citi Holdings and aggregated to form 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. An interim goodwill impairment test was performed as of January 1, 2015 under the legacy and new reporting structures, which resulted in full impairment of the new Citi Holdings—Consumer Finance South Korea reporting unit's $16 million of goodwill. Additionally,


214


during the third quarter of 2015, Citi signed definitive agreements to sell most of its businesses reported in Citi Holdings—Consumer Latin America and allocated $55 million of goodwill to these disposals, which are classified as held-for-sale. This resulted in full impairment of the remaining $15 million of goodwill within the Citi Holdings—Consumer Latin America reporting unit.
2018. The fair values of the Company’s reporting units substantially exceeded their carrying values by approximately 14% to 243% and did not indicate ano reporting unit is at risk of impairment based on current valuations. The following table shows reporting units withimpairment. Further, there were no triggering events identified and no goodwill balances as of December 31, 2015 andwas impaired during the fair value as a percentage of allocated book value as of the annual impairment test.
In millions of dollars  
Reporting unit(1)(2)
Fair value as a % of allocated book valueGoodwill
North America Global Consumer Banking182%$6,706
EMEA Global Consumer Banking199
293
Asia Global Consumer Banking229
4,513
Latin America Global Consumer Banking146
1,326
Banking237
3,052
Markets and Securities Services145
6,459
Total

$22,349

(1)
Citi Holdings—Other andCiti Holdings—ICG areexcluded from the table as there is no goodwill allocated to them.
(2)
Citi Holdings—Consumer EMEA, Citi Holdings — Consumer Latin America, andCiti Holdings—Consumer Finance South Korea are excluded from the table as the allocated goodwill was either impaired or classified as held-for-sale as of December 31, 2015.


year.
 







Intangible Assets
The components of intangible assets were as follows:
December 31, 2015December 31, 2014December 31, 2018December 31, 2017
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$7,606
$6,520
$1,086
$7,626
$6,294
$1,332
$5,733
$3,936
$1,797
$5,375
$3,836
$1,539
Credit card contract related intangibles(1)
5,225
2,791
2,434
5,045
2,456
2,589
Core deposit intangibles1,050
969
81
1,153
1,021
132
419
415
4
639
628
11
Other customer relationships471
252
219
579
331
248
470
299
171
459
272
187
Present value of future profits37
31
6
233
154
79
32
29
3
32
28
4
Indefinite-lived intangible assets234
—
234
290
—
290
218
—
218
244
—
244
Other(1)
4,709
2,614
2,095
5,217
2,732
2,485
Other84
75
9
100
86
14
Intangible assets (excluding MSRs)$14,107
$10,386
$3,721
$15,098
$10,532
$4,566
$12,181
$7,545
$4,636
$11,894
$7,306
$4,588
Mortgage servicing rights (MSRs)(2)
1,781
—
1,781
1,845
—
1,845
584
—
584
558
—
558
Total intangible assets$15,888
$10,386
$5,502
$16,943
$10,532
$6,411
$12,765
$7,545
$5,220
$12,452
$7,306
$5,146
(1)IncludesPrimarily reflects contract-related intangible assets.intangibles associated with the American Airlines, The Home Depot, Costco, Sears and AT&T credit card program agreements, which represented 97% of the aggregate net carrying amount as of December 31, 2018.
(2)For additional information on Citi’s MSRs, including the rollforward from 2014 to 2015, see Note 2221 to the Consolidated Financial Statements.



215


Intangible assets amortization expense was $625$557 million, $756$603 million and $808$595 million for 2015, 20142018, 2017 and 2013,2016, respectively. Intangible assets amortization expense is estimated to be $528 million in 2016, $840 million in 2017, $348 million in 2018, $334$533 million in 2019, and $141$394 million in 2020.





2020, $376 million in 2021, $915 million in 2022 and $214 million in 2023.



The changes in intangible assets during the twelve months ended December 31, 2015 were as follows:
Net carrying
amount at		 
Net carrying
amount at
Net carrying
amount at		 
Net carrying
amount at
In millions of dollarsDecember 31, 2014
Acquisitions/
divestitures
AmortizationImpairments
FX translation and
other
December 31,
2015		December 31, 2017Acquisitions/ divestituresAmortizationFX translation and otherDecember 31,
2018
Purchased credit card relationships(1)$1,332
$—
$(261)$—
$15
$1,086
$1,539
$429
$(173)$2
$1,797
Credit card contract-related intangibles(2)
2,589
185
(339)(1)2,434
Core deposit intangibles132
—
(41)—
(10)81
11
—
(8)1
4
Other customer relationships248
—
(24)—
(5)219
187
—
(25)9
171
Present value of future profits79
(68)(4)—
(1)6
4
—
—
(1)3
Indefinite-lived intangible assets290
—
—
(17)(39)234
244
—
—
(26)218
Other2,485
(108)(295)(5)18
2,095
14
—
(12)7
9
Intangible assets (excluding MSRs)$4,566
$(176)$(625)$(22)$(22)$3,721
$4,588
$614
$(557)$(9)$4,636
Mortgage servicing rights (MSRs)(1)
1,845
 1,781
Mortgage servicing rights (MSRs)(3)
558
 584
Total intangible assets$6,411
 $5,502
$5,146
 $5,220
(1)Reflects intangibles for the value of cardholder relationships, which are discrete from partner contract intangibles and include credit card accounts primarily in the Costco, Macy’s and Sears portfolios. The increase since December 31, 2017 reflects the purchase of certain rights related to credit card accounts in the Sears portfolio.    
(2)Primarily reflects contract-related intangibles associated with the American Airlines, Costco, The Home Depot, Sears and AT&T credit card program agreements, which represent 97% of the aggregate net carrying amount as of December 31, 2018.
(3)For additional information on Citi’s MSRs, including the rollforward from 20142017 to 2015,2018, see Note 2221 to the Consolidated Financial Statements.



216

17.   DEBT

18.   DEBT
Short-Term Borrowings

20152014
In millions of dollarsBalanceWeighted average couponBalanceWeighted average coupon
Commercial paper



Citibank, N.A.$9,995
0.22%$16,085
0.22%
Non-bank and other(1)
—
—
70
0.95
Total commercial paper$9,995
0.22%$16,155
0.23%
Other borrowings(2)
11,084
1.50
42,180
0.53
Total$21,079
 $58,335

 December 31,

20182017
In millions of dollarsBalanceWeighted average couponBalanceWeighted average coupon
Commercial paper$13,238
1.95%$9,940
1.28%
Other borrowings(1)
19,108
2.99
34,512
1.62
Total$32,346
 $44,452


(1)Includes parent holding company (Citigroup Inc.), Citi’s broker-dealer subsidiaries and other non-bank subsidiaries that are consolidated into Citigroup Inc., as well as Banamex and Citibank (Switzerland) AG.
(2)Includes borrowings from the Federal Home Loan Banks and other market participants. At December 31, 2014,2018 and 2017, collateralized short-term advances from the Federal Home Loan Banks were $11.2 billion. At December 31, 2015, no amounts were outstanding.$9.5 billion and $23.8 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. 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
Maturities20152014
Weighted
average
coupon(1)
Maturities20182017
Citigroup Inc.(1)(2)






Senior debt3.84%2016-2098$113,569
$122,323
3.40%2019-2098$117,511
$123,488
Subordinated debt(2)(3)
4.48
2016-204426,875
25,464
4.70
2019-204824,545
26,963
Trust preferred
securities
6.90
2036-20671,713
1,725
8.44
2036-20671,711
1,712
Bank(3)(4)
      
Senior debt1.58
2016-203855,131
65,146
2.71
2019-203861,237
65,856
Broker-dealer(4)(5)
      
Senior debt3.25
2016-20423,968
8,399
3.25
2019-206726,947
18,666
Subordinated debt(2)(3)
1.18
2016-203719
23
5.35
2021-204748
24
Total3.32% $201,275
$223,080
3.87% $231,999
$236,709
Senior debt  $172,668
$195,868
  $205,695
$208,010
Subordinated debt(2)(3)
  26,894
25,487
  24,593
26,987
Trust preferred
securities
  1,713
1,725
  1,711
1,712
Total  $201,275
$223,080
  $231,999
$236,709

(1)Parent holding company, Citigroup Inc.The weighted average contractual rates exclude structured notes accounted for at fair value.
(2)Represents the parent holding company.
(3)Includes notes that are subordinated within certain countries, regions or subsidiaries.
(3)(4)Represents Citibank entities as well as other bank entities. At December 31, 20152018 and December 31, 2014,2017, collateralized long-term advances from the Federal Home Loan Banks were $17.8$10.5 billion and $19.8$19.3 billion, respectively.
(4)(5)Represents broker-dealer and other non-bank subsidiaries that are consolidated into Citigroup Inc., the parent holding company.

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-rate debt to variable-rate debt and variable-rate debt to fixed-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, 2015,2018, the Company’s overall weighted average interest rate for long-term debt, excluding structured notes accounted for at fair value, was 3.32%3.87% on a contractual basis and 2.55%3.84% including the effects of derivative contracts.




217


Aggregate annual maturities of long-term debt obligations (based on final maturity dates) including trust preferred securities are as follows:
In millions of dollars2016
2017
2018
2019
2020
Thereafter
Total
20192020202120222023ThereafterTotal
Citigroup Inc.$14,144
$9,266
$14,758
$9,944
$14,361
$81,295
$143,768
Bank$24,577
$14,614
$9,341
$2,280
$448
$3,871
$55,131
18,809
21,620
10,877
2,595
2,572
4,764
61,237
Broker-dealer951
294
806
640
103
1,193
3,987
5,637
6,417
2,907
1,556
2,128
8,349
26,994
Citigroup Inc.18,009
19,437
21,269
16,233
8,826
58,383
142,157
Total$43,537
$34,345
$31,416
$19,153
$9,377
$63,447
$201,275
$38,590
$37,303
$28,542
$14,095
$19,061
$94,408
$231,999


The following table summarizes the Company’s outstanding trust preferred securities at December 31, 2015:2018:
    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 XVIIIJune 200799,901
148
6.829
50
148
June 28, 2067June 28, 2017June 200799,901
127
3 mo LIBOR + 88.75 bps
50
127
June 28, 2067June 28, 2017
Total obligated  
$2,588
  $2,594
   
$2,567
  $2,573
 

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.

218


19.18. REGULATORY CAPITAL
 
Citigroup is subject to risk-based capital and leverage standards 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, are subject to similar standards issued by their respective primary federal bank regulatory agencies. These standards 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’sCitibank the regulatory capital tiers, total risk-weighted assets, quarterly adjusted average total assets, Total Leverage Exposure, risk-based capital ratios and leverage ratios in accordance with current regulatory standards (reflecting Basel III Transition Arrangements):ratios:

 
In millions of dollars, except ratios
Stated
minimum
CitigroupCitibank
Well
capitalized
minimum
December 31, 2015
Well
capitalized
minimum(1)
December 31, 2015
Common Equity Tier 1 Capital 
 
$173,862
 
$126,496
Tier 1 Capital 
 
176,420
 
126,496
Total Capital (Tier 1 Capital + Tier 2 Capital)
 
 
198,746
 
148,916
Total risk-weighted assets  1,190,853
 998,181
Quarterly adjusted average total assets(2)
  1,732,933
 1,297,733
Total Leverage Exposure(3)
  2,326,072
 1,838,114
Common Equity Tier 1 Capital ratio(4)
4.5%    N/A
14.60%6.5%12.67%
Tier 1 Capital ratio(4)
6.0
6.0%14.81
8.0
12.67
Total Capital ratio(4)
8.0
10.0
16.69
10.0
14.92
Tier 1 Leverage ratio4.0
N/A
10.18
5.0
9.75
Supplementary Leverage ratio(5)
N/A
N/A
7.58
N/A
6.88
In millions of dollars, except ratios
Stated
minimum
CitigroupCitibank
Well-
capitalized
minimum
December 31, 2018
Well-
capitalized
minimum
December 31, 2018
Common Equity Tier 1 Capital 
 
$139,252
 
$129,217
Tier 1 Capital 
 
158,122
 
131,341
Total Capital (Tier 1 Capital + Tier 2 Capital)—Standardized Approach
  195,440
 155,280
Total Capital (Tier 1 Capital + Tier 2 Capital)—Advanced Approaches
  183,144
 144,485
Total risk-weighted assets—Standardized Approach  1,174,448
 1,030,514
Total risk-weighted assets—Advanced Approaches  1,131,933
 927,931
Quarterly adjusted average total assets(1)
  
1,896,959
 1,399,029
Total Leverage Exposure(2)
  2,465,641
 1,914,817
Common Equity Tier 1 Capital ratio(3)
4.5%    N/A
11.86%6.5%12.54%
Tier 1 Capital ratio(3)
6.0
6.0%13.46
8.0
12.75
Total Capital ratio(3)
8.0
10.0
16.18
10.0
15.07
Tier 1 Leverage ratio4.0
N/A
8.34
5.0
9.39
Supplementary Leverage ratio3.0
N/A
6.41
6.0
6.86

(1)Beginning January 1, 2015, 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%, 10% and 5%, respectively, to be considered “well capitalized.”
(2)Tier 1 Leverage ratio denominator.
(3)(2)Supplementary Leverage ratio denominator.
(4)(3)As of December 31, 2015,2018, Citigroup’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. As of December 31, 2015, Citibank’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Standardized Approach framework.
(5)Commencing with 2015, Citi and Citibank are required to publicly disclose their Supplementary Leverage ratios. Beginning on January 1, 2018, Citi and Citibank will be required to maintain a stated minimum Supplementary Leverage ratio of 3%, and Citibank will be required to maintain a Supplementary Leverage ratio of 6% to be considered “well capitalized.”Approach.
N/A  Not Applicableapplicable

As indicated in the table above, Citigroup and Citibank were “well capitalized” under the current federal bank regulatory agency definitions as of December 31, 2015.2018.

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 $13.5$8.3 billion and $8.9$7.5 billion in dividends from Citibank during 20152018 and 2014,2017, respectively.



219


20.19.   CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss): were as follows:
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)(4)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2012$597
$(2,293)$(5,270)$(9,930)$(16,896)
Change, net of taxes(5)
(1,962)512
1,098
(2,534)(2,886)
Increase (decrease) due to amounts reclassified from
  AOCI(5)
(275)536
183
205
649
Change, net of taxes(5)
$(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, 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 at December 31, 2015$(907)$(617)$(5,116)$(22,704)$(29,344)
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Excluded component of fair value hedges(5)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2015$(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
$531
$(335)$(88)$(208)$(2,802)$—
$(2,902)
Increase (decrease) due to amounts
  reclassified from AOCI 
(423)(2)145
160
—
—
(120)
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(6)
$504
$—
$—
$—
$—
$—
$504
Adjusted balance, beginning of period$(295)$(352)$(560)$(5,164)$(25,506)$—
$(31,877)
Impact of Tax Reform(7)
(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)$—
$(34,668)
Adjustment to opening balance, net
  of taxes(8)
(3)—
—
—
—
—
(3)
Adjusted balance, beginning of period$(1,161)$(921)$(698)$(6,183)$(25,708)$—
$(34,671)
Other comprehensive income before
  reclassifications
(866)1,081
(135)(240)(2,607)(57)(2,824)
Increase (decrease) due to amounts
  reclassified from AOCI(9)
(223)32
105
166
245
—
325
Change, net of taxes$(1,089)$1,113
$(30)$(74)$(2,362)$(57)$(2,499)
Balance at December 31, 2018$(2,250)$192
$(728)$(6,257)$(28,070)$(57)$(37,170)
(1)Changes in DVA are reflected as a component of AOCI, pursuant to the adoption of only the provisions of ASU 2016-01 relating to the presentation of DVA on fair value option liabilities. See Note 1 to the Consolidated Financial Statements.
(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.
(3)(4)Primarily reflects the movements in (by order of impact) the Brazilian real, Indian rupee, Mexican peso, Brazilian real, Korean won and EuroAustralian dollar against the U.S. dollar and changes in related tax effects and hedges for the year ended December 31, 2015.2018. 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 dollarEuro, 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.
(4)During 2014, $137 million ($84 million net of tax) was reclassified to reflect the allocation of FX translation between net unrealized gains (losses) on investment securities to foreign currency translation adjustment (CTA).2016.
(5)On December 20, 2013,
Beginning in the salefirst quarter of Credicard2018, changes in the excluded component of fair value hedges are reflected as a component of AOCI, pursuant to the early adoption of ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities. See Note 1 of the Consolidated Financial Statements for further information regarding this change.
(6)
In the second quarter of 2017, Citi early adopted ASU No. 2017-08. Upon adoption, a cumulative effect adjustment was completed (seerecorded 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 21 to the Consolidated Financial Statements)Statements.
(7)
In the fourth quarter of 2017, Citi adopted ASU 2018-02, which transferred these amounts from AOCI to Retained earnings. The total impactSee Note 1 to the gross CTA (net CTA including hedges)Consolidated Financial Statements.
(8)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was a pretax lossrecorded from AOCI to Retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.
(9)Includes the impact of $314 million ($205 million netthe release upon meeting the accounting trigger for substantial liquidation of tax).Citi’s Japan Consumer Finance business during the fourth quarter of 2018. See Note 1 to the Consolidated Financial Statements.




220


The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) arewere as follows:
In millions of dollarsPretaxTax effectAfter-taxPretax
Tax effect(1)
After-tax
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
$(31,877)
Change in net unrealized gains (losses) on investment securities2,704
(1,007)1,697
(1,088)225
(863)
Debt valuation adjustment (DVA)(680)111
(569)
Cash flow hedges543
(207)336
(37)(101)(138)
Benefit plans(1,830)660
(1,170)14
(1,033)(1,019)
Foreign currency translation adjustment(4,881)(65)(4,946)1,795
(1,997)(202)
Change$(3,464)$(619)$(4,083)$4
$(2,795)$(2,791)
Balance, December 31, 2014$(31,060)$7,844
$(23,216)
Change in net unrealized gains (losses) on investment securities(1,462)498
(964)
Balance, December 31, 2017$(41,228)$6,560
$(34,668)
Adjustment to opening balance(4)
(4)1
(3)
Adjusted balance, beginning of period$(41,232)$6,561
$(34,671)
Change in net unrealized gains (losses) on AFS debt securities(1,435)346
(1,089)
Debt valuation adjustment (DVA)1,415
(302)1,113
Cash flow hedges468
(176)292
(38)8
(30)
Benefit plans19
24
43
(94)20
(74)
Foreign currency translation adjustment(6,405)906
(5,499)(2,624)262
(2,362)
Excluded component of fair value hedges(74)17
(57)
Change$(7,380)$1,252
$(6,128)$(2,850)$351
$(2,499)
Balance, December 31, 2015$(38,440)$9,096
$(29,344)
Balance, December 31, 2018$(44,082)$6,912
$(37,170)
(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.
(4)
Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to Retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.






221


During 2015, 2014 and 2013 theThe Company recognized pretax losses of $155 million ($92 million net of tax), $542 million ($334 million gain net of tax) and $1,071 million ($649 million net of tax), respectively,gains (losses) related to amounts in AOCI reclassified out of Accumulated other comprehensive income (loss) intoto the Consolidated Statement of Income. See details in the table below:Income as follows:
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of IncomeIncrease (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
Year ended December 31,Year ended December 31,
In millions of dollars201520142013201820172016
Realized (gains) losses on sales of investments$(682)$(570)$(748)$(421)$(778)$(949)
OTTI gross impairment losses265
424
334
Gross impairment losses125
63
288
Subtotal, pretax$(417)$(146)$(414)$(296)$(715)$(661)
Tax effect148
53
139
73
261
238
Net realized (gains) losses on investment securities, after-tax(1)
$(269)$(93)$(275)
Net realized (gains) losses on investments, after-tax(1)
$(223)$(454)$(423)
Realized DVA (gains) losses on fair value option liabilities$41
$(7)$(3)
Subtotal, pretax$41
$(7)$(3)
Tax effect(9)3
1
Net realized DVA, after-tax$32
$(4)$(2)
Interest rate contracts$186
$260
$700
$131
$126
$140
Foreign exchange contracts146
149
176
7
10
93
Subtotal, pretax$332
$409
$876
$138
$136
$233
Tax effect(123)(158)(340)(33)(50)(88)
Amortization of cash flow hedges, after-tax(2)
$209
$251
$536
$105
$86
$145
Amortization of unrecognized  
Prior service cost (benefit)$(40)$(40)$—
$(34)$(42)$(40)
Net actuarial loss276
243
271
248
271
272
Curtailment/settlement impact(3)
57
76
44
6
17
18
Cumulative effect of change in accounting policy(3)
—
—
(20)
Subtotal, pretax$293
$279
$295
$220
$246
$250
Tax effect(107)(103)(112)(54)(87)(90)
Amortization of benefit plans, after-tax(3)
$186
$176
$183
$166
$159
$160
Foreign currency translation adjustment$(53)$—
$314
Tax effect19
—
(109)
Foreign currency translation adjustment(4)
$34
$—
$—
Tax effect(4)
211
—
—
Foreign currency translation adjustment$(34)$—
$205
$245
$—
$—
Total amounts reclassified out of AOCI, pretax$155
$542
$1,071
$137
$(340)$(181)
Total tax effect(63)(208)(422)188
127
61
Total amounts reclassified out of AOCI, after-tax$92
$334
$649
$325
$(213)$(120)
(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 Note 8 to the Consolidated Financial Statements for additional details.
(4)Includes the impact of the release upon meeting the accounting trigger for substantial liquidation of Citi’s Japan Consumer Finance business during the fourth quarter of 2018. See Note 1 to the Consolidated Financial Statements.



222


21.20.   PREFERRED STOCK

The following table summarizes the Company’s preferred stock outstanding:
   Redemption
price per		 
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		 depositary
share/preference share		Number
of depositary
shares		December 31,
2015		December 31,
2014		Issuance dateRedeemable by issuer beginningDividend
rate		Number
of depositary
shares		December 31,
2018		December 31,
2017
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
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
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
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
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
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
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
—
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
—
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
—
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
—
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
  
 
 
$16,718
$10,468
  
 
 $18,460
$19,253
(1)
Issued as depositary shares, each representing a 1/1,000th interestThe Series AA preferred stock was redeemed in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterlyfull on February 15, May 15, August 15 and November 15, in each case when, as and if declared by the Citi Board of Directors.
2018.
(2)
Issued as depositary shares, each representing a 1/25th interestThe Series E preferred stock was redeemed in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annuallyfull 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.
2018.
(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 interestThe Series C preferred stock was redeemed in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterlyfull on January 22, April 22, July 22 and October 22 when, as and if declared by the Citi Board of Directors.
November 1, 2018.
(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 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, 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 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, 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 semi-annuallysemiannually 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 semi-annuallysemiannually 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.

223


(14)
Issued as depositorydepositary shares, each representing a 1/25th25th 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 ratedrate 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 depositorydepositary shares, each representing a 1/25th25th 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 ratedrate 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.

On January 26, 2016, Citi issued $1 billion of Series S Preferred Stock as depositary shares, each representing 1/1000th interest in a share of corresponding series of non-cumulative perpetual preferred stock. The dividend rate is 6.3% payable quarterly on February 12, May 12, August 12 and November 12, beginning May 12, 2016, in each case when, as and if declared by the Citi Board of Directors.
During 2015,2018, Citi distributed $769$1,173 million in dividends on its outstanding preferred stock. Based on its preferred stock outstanding as of December 31, 2015,2018, Citi estimates it will distribute preferred dividends of approximately $1,027$1,109 million during 2016, in each case2019, assuming such dividends are declared by the Citi Board of Directors.




224


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.


225


Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:
As of December 31, 2015 As of December 31, 2018
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures(2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$55,050
$54,916
$134
$—
$—
$—
$—
$—
$46,232
$46,232
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
    
U.S. agency-sponsored236,225
—
236,225
3,582
—
—
95
3,677
116,563
—
116,563
3,038
—
—
60
3,098
Non-agency-sponsored14,305
1,586
12,719
528
—
—
1
529
30,886
1,498
29,388
431
—
—
1
432
Citi-administered asset-backed commercial paper conduits (ABCP)21,280
21,280
—
—
—
—
—
—
18,750
18,750
—
—
—
—
—
—
Collateralized loan obligations (CLOs)20,564
—
20,564
3,154
—
—
86
3,240
21,837
—
21,837
5,891
—
—
9
5,900
Asset-based financing83,397
1,364
82,033
25,923
270
3,891
436
30,520
73,199
628
72,571
21,640
715
9,757
—
32,112
Municipal securities tender option bond trusts (TOBs)8,572
3,830
4,742
2
—
3,100
—
3,102
7,998
1,776
6,222
9
—
4,262
—
4,271
Municipal investments22,935
44
22,891
2,275
2,512
2,338
—
7,125
18,044
3
18,041
2,813
3,922
2,738
—
9,473
Client intermediation1,965
335
1,630
49
—
—
—
49
858
614
244
172
—
—
2
174
Investment funds(5)
27,569
842
26,727
13
318
102
—
433
1,272
440
832
12
—
1
1
14
Other4,986
597
4,389
292
554
—
52
898
63
3
60
37
—
23
—
60
Total(6)
$496,848
$84,794
$412,054
$35,818
$3,654
$9,431
$670
$49,573
$335,702
$69,944
$265,758
$34,043
$4,637
$16,781
$73
$55,534
As of December 31, 2014 As of December 31, 2017
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures(2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$60,503
$60,271
$232
$—
$—
$—
$—
$—
$50,795
$50,795
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
    
U.S. agency-sponsored264,848
—
264,848
5,213
—
—
110
5,323
116,610
—
116,610
2,647
—
—
74
2,721
Non-agency-sponsored17,888
1,304
16,584
577
—
—
1
578
22,251
2,035
20,216
330
—
—
1
331
Citi-administered asset-backed commercial paper conduits (ABCP)29,181
29,181
—
—
—
—
—
—
19,282
19,282
—
—
—
—
—
—
Collateralized loan obligations (CLOs)19,736
—
19,736
1,965
—
—
86
2,051
20,588
—
20,588
5,956
—
—
9
5,965
Asset-based financing63,900
1,151
62,749
22,928
66
2,271
333
25,598
60,472
633
59,839
19,478
583
5,878
—
25,939
Municipal securities tender option bond trusts (TOBs)12,280
6,671
5,609
3
—
3,670
—
3,673
6,925
2,166
4,759
138
—
3,035
—
3,173
Municipal investments23,706
70
23,636
2,014
2,197
2,225
—
6,436
19,119
7
19,112
2,709
3,640
2,344
—
8,693
Client intermediation1,745
137
1,608
10
—
—
10
20
958
824
134
32
—
—
9
41
Investment funds(5)
31,992
1,096
30,896
16
382
124
—
522
1,892
616
1,276
14
7
13
—
34
Other8,298
2,909
5,389
183
1,451
23
73
1,730
677
36
641
27
9
34
47
117
Total(6)
$534,077
$102,790
$431,287
$32,909
$4,096
$8,313
$613
$45,931
$319,569
$76,394
$243,175
$31,331
$4,239
$11,304
$140
$47,014



(1)The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s December 31, 20152018 and 20142017 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)Citigroup mortgage securitizations also include agency and non-agency (private-label)(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.
(6) Citi’s total involvement with Citicorp SPE assets was $460.5 billion and $481.3 billion as of December 31, 2015 and 2014, respectively, with the remainder related to Citi Holdings.


226



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-backedmortgage- 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 ICG-sponsored mortgage-backedmortgage- 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 $12$7 billion and $14$9 billion at December 31, 20152018 and 2014,2017, respectively;
certain representations and warranties exposures in Citigroup residential mortgage securitizations, wherein which the original mortgage loan balances are no longer outstanding; and
VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.

 

The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., 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, 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.


227


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:
December 31, 2015December 31, 2014December 31, 2018December 31, 2017
In millions of dollars
Liquidity
facilities
Loan / equity
commitments
Liquidity
facilities
Loan / equity
commitments
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$5
$3,886
$5
$2,266
$—
$9,757
$—
$5,878
Municipal securities tender option bond trusts (TOBs)3,100
—
3,670
—
4,262
—
3,035
—
Municipal investments—
2,338
—
2,225
—
2,738
—
2,344
Investment funds—
102
—
124
—
1
—
13
Other—
—
—
23
—
23
—
34
Total funding commitments$3,105
$6,326
$3,675
$4,638
$4,262
$12,519
$3,035
$8,269
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’sCiti’s Consolidated Balance Sheet, and any proceeds received are recognized as secured liabilities. The consolidated VIEs included in the tables below represent hundreds ofmore than a hundred 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
 
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:liabilities.

In billions of dollarsDecember 31, 2015December 31, 2014
Cash$0.2
$0.3
Trading account assets0.6
0.7
Investments5.3
8.0
Total loans, net of allowance78.6
93.2
Other0.1
0.6
Total assets$84.8
$102.8
Short-term borrowings$14.0
$22.7
Long-term debt31.3
40.1
Other liabilities2.1
0.9
Total liabilities(1)
$47.4
$63.7


(1)The total liabilities of consolidated VIEs for which creditors or beneficial interest holders do not have recourse to the general credit of Citi were $45.3 billion and $61.2 billion as of December 31, 2015 and 2014, respectively. Liabilities of consolidated VIEs for which creditors or beneficial interest holders have recourse to the general credit of Citi comprise two items included in the above table: (i) credit enhancements provided to consolidated Citi-administered commercial paper conduits in the form of letters of credit of $1.9 billion and $2.3 billion at December 31, 2015 and 2014, respectively; and (ii) credit guarantees provided by Citi to certain consolidated municipal tender option bond trusts of $82 million and $198 million at December 31, 2015 and 2014, respectively.

Significant Interests in Unconsolidated VIEs—Balance Sheet Classification
The following table presents the carrying amounts and classification of significant variable interests in unconsolidated VIEs:
In billions of dollarsDecember 31, 2015December 31, 2014December 31, 2018December 31, 2017
Cash$0.1
$—
$—
$—
Trading account assets6.2
7.6
8.7
8.5
Investments3.0
2.6
5.0
4.4
Total loans, net of allowance28.4
25.0
24.5
22.2
Other1.8
2.0
0.5
0.5
Total assets$39.5
$37.2
$38.7
$35.6

228


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’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 on 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:

In billions of dollarsDecember 31, 2015December 31, 2014December 31, 2018December 31, 2017
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$29.7
$37.0
$27.3
$28.8
Retained by Citigroup as trust-issued securities9.4
10.1
7.6
7.6
Retained by Citigroup via non-certificated interests16.5
14.2
11.3
14.4
Total$55.6
$61.3
$46.2
$50.8

The following tables summarizetable summarizes selected cash flow information related to Citigroup’s credit card securitizations:
In billions of dollars201520142013201820172016
Proceeds from new securitizations$—
$12.6
$11.7
$6.8
$11.1
$3.3
Pay down of maturing notes(7.4)(7.8)(2.2)(8.3)(5.0)(10.3)

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, substantially all of which is also part of Citicorp.Trust. The liabilities of the trusts are included inon the Consolidated Balance Sheet, excluding those retained by Citigroup.
    

 

Master Trust Liabilities (at Par Value)
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 2.43.0 years as of December 31, 20152018 and 2.82.6 years as of December 31, 2014.2017.
In billions of dollarsDec. 31, 2018Dec. 31, 2017
Term notes issued to third parties$25.8
$27.8
Term notes retained by Citigroup affiliates5.7
5.7
Total Master Trust liabilities$31.5
$33.5

MasterOmni Trust Liabilities (at Par Value)
In billions of dollarsDec. 31, 2015Dec. 31, 2014
Term notes issued to third parties$28.4
$35.7
Term notes retained by Citigroup affiliates7.5
8.2
Total Master Trust liabilities$35.9
$43.9

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 0.91.4 years as of December 31, 20152018 and 1.9 years as of December 31, 2014.

Omni Trust Liabilities (at Par Value)2017.
In billions of dollarsDec. 31, 2015Dec. 31, 2014Dec. 31, 2018Dec. 31, 2017
Term notes issued to third parties$1.3
$1.3
$1.5
$1.0
Term notes retained by Citigroup affiliates1.9
1.9
1.9
1.9
Total Omni Trust liabilities$3.2
$3.2
$3.4
$2.9



229


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’s
Citi’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. Citi’s ICG business may hold investment securities pursuant to credit risk retention rules or in connection with secondary market-making activities.
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), or private-label (non-agency-sponsored mortgages) securitization. The CompanyCiti is not the primary beneficiary
of its U.S. agency-sponsored mortgage securitizationssecuritization entities because Citigroup does not have the power to direct the activities of the VIE that most significantly impact the entity’s economic performance. Therefore, Citi does not consolidate these U.S. agency-sponsored mortgage securitizations.securitization entities. 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 agency-sponsored 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 securitizationssecuritization entities 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; 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 securitizationssecuritization entities and, therefore, is the primary beneficiary and, thus, consolidates the VIE.


The following tables summarize selected cash flow information and retained interests related to Citigroup mortgage securitizations:
201520142013201820172016
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		Agency- and non-agency-sponsored mortgagesU.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
Principal securitized$4.0
$5.6
$7.8
$7.3
$14.8
$0.3
Proceeds from new securitizations(1)
$25.6
$12.1
$39.6
$72.7
4.2
7.1
8.1
7.3
15.4
0.3
Contractual servicing fees received0.5
—
0.5
0.7
0.1
—
0.2
—
0.4
—
Cash flows received on retained interests and other net cash flows0.1
—
0.1
0.1
Purchases of previously transferred financial assets

0.2
—
0.4
—
0.5
—

Note: Excludes re-securitization transactions.

(1) The proceeds from new securitizations in 20152016 include $0.7$0.3 billion related to personal loan securitizations.

For non-consolidated mortgage securitization entities where the transfer of loans to the VIE meets the conditions for sale accounting, Citi recognizes a gain or loss based on the difference between the carrying value of the transferred assets and the proceeds received (generally cash but may be beneficial interests or servicing rights).

Agency and non-agency securitization gains for the year ended December 31, 20152018 were $150$17 million and $44$36 million, respectively.

Agency and non-agency securitization gains for the yearsyear ended December 31, 2014 and 20132017 were $267$28 million and $223$70 million, respectively.respectively, and $76 million and $(5) million, respectively, for the year ended December 31, 2016.
 December 31, 2018December 31, 2017
  
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollarsU.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests(2)
$564
$300
$51
$529
$132
$30

(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Retained interests consist of Level 2 or Level 3 assets depending on the observability of significant inputs. See Footnote 24 for more information about fair value measurements.


Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
 December 31, 2015
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate0.0% to 11.3%
2.0% to 3.2%
2.9% to 12.1%
   Weighted average discount rate8.0%2.9%5.2%
Constant prepayment rate5.7% to 34.9%
—
2.8% to 8.0%
   Weighted average constant prepayment rate11.7%—
3.5%
Anticipated net credit losses(2)
   NM
40.0%38.1% to 92.0%
   Weighted average anticipated net credit losses   NM
40.0%70.6%
Weighted average life3.5 to 10.4 years
2.5 to 9.8 years
8.9 to 12.9 years
 December 31, 2018
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate9.6%2.8%4.4%
Weighted average constant prepayment rate5.8%8.0%9.1%
Weighted average anticipated net credit losses(2)
   NM
4.4%3.4%
Weighted average life7.2 to 7.7 years
2.5 to 9.9 years
2.5 to 15.7 years

230


 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
Weighted average discount rate13.7%3.1%3.9%
Weighted average constant prepayment rate6.7%4.3%4.3%
Weighted average anticipated net credit losses(2)
   NM
7.0%8.7%
Weighted average life6.5 to 7.5 years
4.3 to 9.4 years
4.3 to 10.0 years

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

The interests retained by the CompanyCiti range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
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 forthpresented in the tables
 
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, 2015
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate   0.0% to 22.1%
   1.6% to 67.6%
   2.0% to 24.9%
   Weighted average discount rate5.7%7.6%8.4%
Constant prepayment rate6.5% to 27.8%
   4.2% to 100.0%
   0.5% to 20.8%
   Weighted average constant prepayment rate12.5%14.0%7.5%
Anticipated net credit losses(2)
   NM
   0.2% to 89.1%
   3.8% to 92.0%
   Weighted average anticipated net credit losses   NM
48.9%54.4%
Weighted average life1.3 to 21.0 years
   0.3 to 18.1 years
   0.9 to 19.0 years
 December 31, 2018
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate7.8%9.3%—
Weighted average constant prepayment rate9.1%8.0%—
Weighted average anticipated net credit losses(2)
   NM
40.0%—
Weighted average life3.6 to 7.5 years
6.6 years
—
 December 31, 2014
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate   0.0% to 21.2%
   1.1% to 47.1%
   1.3% to 19.6%
   Weighted average discount rate8.4%7.7%8.2%
Constant prepayment rate6.0% to 41.4%
   2.0% to 100.0%
   0.5% to 16.2%
   Weighted average constant prepayment rate15.3%10.9%7.2%
Anticipated net credit losses(2)
   NM
   0.0% to 92.4%
   13.7% to 83.8%
   Weighted average anticipated net credit losses   NM
51.7%52.5%
Weighted average life0.0 to 16.0 years
   0.3 to 14.4 years
   0.0 to 24.4 years
 December 31, 2017
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Weighted average discount rate12.0%5.8%—
Weighted average constant prepayment rate11.2%8.9%—
Weighted average anticipated net credit losses(2)
   NM
46.9%—
Weighted average life3.8 to 6.9 years
   4.8 to 5.3 years
—

Note: Citi Holdings held no subordinated interests in mortgage securitizations as of December 31, 2015 and 2014.
(1)Disclosure of non-agency-sponsored mortgages as senior and subordinated interests is indicative of the interests’ position in the capital structure of the securitization.
(2)Anticipated net credit losses represent estimated loss severity associated with defaulted mortgage loans underlying the mortgage securitizations disclosed above. Anticipated net credit losses, in this instance, do not represent total credit losses incurred to date, nor do they represent credit losses expected on retained interests in mortgage securitizations.
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.

231


 
Non-agency-sponsored mortgages(1)
December 31, 2018
In millions of dollars at December 31, 2015
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests$2,563
$179
$553
Discount rates 
 Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate 
Adverse change of 10%$(65)$(8)$(25)$(16)$—
$—
Adverse change of 20%(127)(15)(49)(32)—
—
Constant prepayment rate  
Adverse change of 10%(102)(3)(9)(21)—
—
Adverse change of 20%(196)(6)(18)(41)—
—
Anticipated net credit losses  
Adverse change of 10%NM
(6)(7)NM
—
—
Adverse change of 20%NM
(11)(14)NM
—
—


 
Non-agency-sponsored mortgages(1)
December 31, 2017
In millions of dollars at December 31, 2014
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests$2,374
$310
$554
Discount rates 
 Non-agency-sponsored mortgages
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate 
Adverse change of 10%$(69)$(7)$(30)$(21)$(2)$—
Adverse change of 20%(134)(13)(57)(40)(4)—
Constant prepayment rate  
Adverse change of 10%(93)(3)(9)(21)(1)—
Adverse change of 20%(179)(5)(18)(40)(1)—
Anticipated net credit losses  
Adverse change of 10%NM
(6)(9)NM
(3)—
Adverse change of 20%NM
(10)(16)NM
(7)—

Note: Citi Holdings held no subordinated interests in mortgage securitizations as of December 31, 2015 and December 31, 2014.
(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.
NMAnticipated net credit losses are not meaningful due to U.S. agency guarantees.

The following table includes information about loan delinquencies and liquidation losses for assets held in non-consolidated, non-agency-sponsored securitization entities as of December 31, 2018 and 2017:
 Securitized assets90 days past dueLiquidation losses
In billions of dollars201820172018201720182017
Securitized assets      
Residential mortgage$5.2
$4.9
$0.4
$0.4
$0.1
$0.1
Commercial and other13.1
6.8
—
—
—
—
Total$18.3
$11.7
$0.4
$0.4
$0.1
$0.1

Mortgage Servicing Rights (MSRs)
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 assetassets referred to as mortgage servicing rights (MSRs),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$584 million and $558 million at December 31, 20152018 and 2014. Of these amounts, approximately $1.7 billion was specific to Citicorp, with the remainder to Citi Holdings as of December 31, 2015 and 2014.2017, respectively. The MSRs correspond to principal loan balances of $198$62 billion and $224$66 billion as of December 31, 20152018 and 2014,2017, respectively.
The following table summarizes the changes in capitalized MSRs:
In millions of dollars2015201420182017
Balance, beginning of year$1,845
$2,718
$558
$1,564
Originations214
217
58
96
Changes in fair value of MSRs due to changes in inputs and assumptions110
(344)54
65
Other changes(1)
(350)(429)(68)(110)
Sale of MSRs(2)(38)(317)(18)(1,057)
Balance, as of December 31$1,781
$1,845
$584
$558

(1)Represents changes due to customer payments and passage of time.


232
(2)See Note 2 to the Consolidated Financial Statements for additional information on the exit of the U.S. mortgage servicing operations and sale of MSRs.


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 were as follows:
In millions of dollars201520142013201820172016
Servicing fees$552
$638
$800
$172
$276
$484
Late fees16
25
42
4
10
14
Ancillary fees31
56
100
8
13
17
Total MSR fees$599
$719
$942
$184
$299
$515

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

Re-securitizations
The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. DuringCiti did not transfer non-agency (private label) securities to re-securitization entities during the years ended December 31, 20152018 and 2014, Citi transferred non-agency (private-label) securities with an original par value of approximately $885 million and $1.2 billion, respectively, to re-securitization entities.2017. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of December 31, 2015,2018, the fair value of Citi-retained interests in private-labelprivate label re-securitization transactions structured by Citi totaled approximately $428$16 million (including $132 million(all related to re-securitization transactions executed in 2015)prior to 2016), which has been recorded in Trading account assets. Of this amount, approximately $18 million was related to senior beneficial interests and approximately $410 millionall was related to subordinated beneficial interests. As of December 31, 2014,2017, the fair value of Citi-retained interests in private-labelprivate 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). Of this amount, approximately $133 million was related to senior beneficial interests, and approximately $412 millionsubstantially all was related to subordinated beneficial interests. The original par value of private-labelprivate label re-securitization transactions in which Citi holds a retained interest as of December 31, 20152018 and 20142017 was approximately $3.7 billion$271 million and $5.1 billion,$887 million, respectively.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the years ended December 31, 20152018 and 2014,2017, Citi transferred agency securities with a fair value of approximately $17.8$26.3 billion and $22.5$26.6 billion, respectively, to re-securitization entities.
As of December 31, 2015,2018, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $1.8$2.5 billion (including $1.5$1.4 billion related to re-securitization transactions executed in 2015)2018) compared to $1.8$2.1 billion as of December 31, 20142017 (including $1.5 billion$854 million related to re-securitization transactions executed in 2014)2017), 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, 20152018 and 20142017 was approximately $65.0$70.9 billion and $73.0$68.3 billion, respectively.
As of December 31, 20152018 and 2014,2017, the Company did not consolidate any private-labelprivate label or agency re-securitization entities.

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


233


Company’sCiti’s internal risk ratings. At December 31, 20152018 and 2014,2017, the conduits had approximately $21.3$18.8 billion and $29.2$19.3 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $11.6$14.0 billion and $13.5$14.5 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At December 31, 20152018 and 2014,2017, the weighted average remaining lives of the

commercial paper issued by the conduits were approximately 5653 and 5751 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.9 billion and $2.3$1.7 billion as of December 31, 20152018 and 2014, respectively.2017. 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 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, 20152018 and 2014,2017, the Company owned $11.4$5.5 billion and $10.6$9.3 billion, respectively, of the commercial paper issued by its administered conduits. The Company's investments were not
driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.
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 has the power to direct the activities that most significantly impact the entities’ economic performance. These powers include 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 result of all the Company’s involvement described above, it was concluded that the CompanyCiti 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.

Collateralized Loan Obligations (CLOs)
A collateralized loan obligation (CLO) is a VIE that purchases a portfolio of assets consisting primarily of non-investment grade corporate loans. The CLO issuesCLOs issue multiple tranches of debt and equity to investors to fund the asset purchases and pay upfront expenses associated with forming the CLO. A third-party asset manager is contracted by the CLO to purchase the underlying assets from the open market and monitor the credit risk associated with those assets. Over the term of thea CLO, the asset manager directs purchases and sales of assets in a manner consistent with the CLO’s asset management agreement and indenture. In general, the CLO asset manager will have the power to direct the activities of the entity that most significantly impact the economic performance of the CLO. Investors in thea CLO, through their ownership of debt and/or equity in the CLO,it, can also direct certain activities of the CLO, including removing the CLOits asset manager under limited circumstances, optionally redeeming the notes, voting on amendments to the CLO’s operating documents and other activities. TheA CLO has a finite life, typically 12 years.
Citi serves as a structuring and placement agent with respect to the CLO.CLOs. Typically, the debt and equity of the CLOCLOs are sold to third-party investors. On occasion, certain Citi entities may purchase some portion of thea CLO’s liabilities for investment purposes. In addition, Citi may purchase, typically in the secondary market, certain securities issued by the CLOCLOs to 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 CLOs, as this power is generally held by a third-party asset manager of the CLO. As such, those CLOs are not consolidated.
The following tables summarize selected cash flow information and retained interests related to Citigroup CLOs:
In millions of dollars201820172016
Principal securitized$—
$133
$—
Proceeds from new securitizations—
133
—
Cash flows received on retained interests and other net cash flows127
107
39
In millions of dollarsDec. 31, 2018Dec. 31, 2017
Carrying value of retained interests$3,142
$4,079

Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of CLOs were as follows:
Dec. 31, 2018Dec. 31, 2017
Weighted average discount rate—
1.4%


234


Key Assumptions and Retained Interests
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:

Dec. 31, 20152018Dec. 31, 20142017
DiscountWeighted average discount rate   1.4% to 49.6%—1.4% to 49.2%
1.1%
In millions of dollarsDec. 31, 2015Dec. 31, 2014Dec. 31, 2018Dec. 31, 2017
Carrying value of retained interests$918
$1,555
Discount rates  
Adverse change of 10%$(5)$(10)$—
$(1)
Adverse change of 20%(10)(20)—
(1)

All of Citi’s retained interests were held-to-maturity securities as of December 31, 2018 and substantially all were held-to-maturity securities as of December 31, 2017.

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.
The primary types of Citigroup’sCiti’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement and the Company’sCiti’s maximum exposure to loss 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, 2015December 31, 2018
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$41,695
$11,454
$23,918
$6,928
Corporate loans1,274
1,871
6,731
5,744
Hedge funds and equities385
55
388
53
Airplanes, ships and other assets38,679
17,140
41,534
19,387
Total(1)
$82,033
$30,520
$72,571
$32,112
December 31, 2014December 31, 2017
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$26,146
$9,476
$15,370
$5,445
Corporate loans460
473
4,725
3,587
Hedge funds and equities—
—
542
58
Airplanes, ships and other assets36,143
15,649
39,202
16,849
Total$62,749
$25,598
$59,839
$25,939

(1)The increase in the total unconsolidated VIE assets and related maximum exposure to unconsolidated VIEs is due to normal, yet increased, client activity.
 
The following table summarizes selected cash flow information related to asset-based financings:
In billions of dollars201520142013
Proceeds from new securitizations$—
$0.5
$0.5
Cash flows received on retained interests and other net cash flows—
0.3
1.0

There were no gains recognized on the securitizations of asset-based financings for the years ended December 31, 2015, 2014 and 2013.

Municipal Securities Tender Option Bond (TOB) Trusts
Municipal TOB trusts may hold fixed- or floating-rate, taxable or tax-exempt securities issued by state and local governments and municipalities. TOB trusts are typically structured as single-issuer entities whose assets are purchased from either the Company or from other investors in the municipal securities market. TOB trusts finance the purchase of their municipal assets by issuing two classes of certificates: long-dated, floating rate certificates (“Floaters”) that are putable pursuant to a liquidity facility and residual interest certificates (“Residuals”). The Floaters are purchased by third-party investors, typically tax-exempt money market funds. The Residuals are purchased by the original owner of the municipal securities that are being financed.
From the Company’sCitigroup’s perspective, there are two types of TOB trusts: customer TOB trusts and non-customer TOB trusts.non-customer. Customer TOB trusts are those trusts utilized by customers of the Company to finance their securities, generally municipal securities investments.securities. The Residuals issued by these trusts are purchased by the customer being financed. Non-customer TOB trusts are trusts that aregenerally used by the Company to finance its own municipal securities investments; the Residuals issued by non-customer TOB trusts are purchased by the Company.
With respect to both customer and non-customer TOB trusts, the CompanyCiti may provide remarketing agent services. If Floaters are optionally tendered and the Company, in its role as remarketing agent, is unable to find a new investor to purchase the optionally tendered Floaters within a specified period of time, the CompanyCitigroup may, but is not obligated to, purchase the tendered Floaters into its own inventory. The level of the Company’s inventory of such Floaters fluctuates. At December 31, 2015 and 2014, the Company held $2 million and $3 million, respectively, of Floaters related to customer and non-customer TOB trusts.
For certain customer TOB trusts, the CompanyCiti 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, 2015, the Company2018, Citi had no outstanding voluntary advances to customer TOB trusts.
For certain non-customer trusts, the Company also provides credit enhancement. At December 31, 20152018 and 2014, approximately $82 million and $198 million, respectively,2017, none of the municipal bonds owned by non-customer TOB trusts arewere subject to a credit guarantee provided by the Company.


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The CompanyCitigroup also provides liquidity services to many customer and non-customer trusts. If a trust is unwound early due to an event other than a credit event on the underlying municipal bonds, the underlying municipal bonds are sold out of the Trusttrust and bond sale proceeds are used to redeem the outstanding Trusttrust certificates. If this results in a shortfall between the bond sale proceeds and the redemption price of the tendered Floaters, the Company, pursuant to the liquidity agreement, would be obligated to make a payment to the trust to satisfy that shortfall. For certain customer TOB trusts, the CompanyCitigroup has also executed a reimbursement agreement with the holder of the Residual, pursuant to which the Residual holder is obligated to reimburse the Company for any payment the Company makes under the liquidity arrangement. These reimbursement agreements may be subject to daily margining based on changes in the market value of the underlying

municipal bonds. In cases where a third party provides liquidity to a non-customer TOB trust, a similar reimbursement arrangement may be executed, whereby the Company (or a consolidated subsidiary of the Company), as Residual holder, would absorb any losses incurred by the liquidity provider.
For certain other non-customer TOB trusts, the CompanyCiti 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, 20152018 and 2014,2017, liquidity agreements provided with respect to customer TOB trusts totaled $3.1$4.3 billion and $3.7$3.2 billion, respectively, of which $2.2$2.3 billion and $2.6$2.0 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.
The CompanyCiti 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 $8.1 billion and $7.4$6.1 billion as of December 31, 20152018 and 2014, respectively.2017. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.

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’s client intermediation transactions for the years ended December 31, 2015 and 2014 totaled approximately $2.0 billion.



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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.



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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 andthat 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 own 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 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 derivativesderivative 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 whichthat 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.


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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.
As of January 1, 2018, Citigroup early adopted ASU 2017-12, Targeted Improvements to Accounting for Hedge Activities. This standard primarily impacts Citi’s accounting for derivatives designated as cash flow hedges and fair value hedges. Refer to the respective sections below for details.

















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Information pertaining to Citigroup’s derivative activity,activities, based on notional amounts, is presented in the table below. Derivative notional amounts are reference amounts from which contractual payments are derived and do not represent a complete 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
 
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 minimis overall market risk. Aggregate derivative notional amounts can fluctuate from period to period in the normal course of business based on Citi’s market share, levels of client activity and other factors. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet.



Derivative Notionals
Hedging instruments under
ASC 815(1)(2)
Other derivative instruments

Trading derivatives
Management hedges(3)
Hedging instruments under
ASC 815		Trading derivative instruments
In millions of dollarsDecember 31,
2015		December 31,
2014		December 31,
2015		December 31,
2014		December 31,
2015		December 31,
2014		December 31,
2018		December 31,
2017		December 31,
2018		December 31,
2017
Interest rate contracts        
Swaps$166,576
$163,348
$22,208,794
$31,906,549
$28,969
$31,945
$273,636
$189,779
$18,138,686
$18,754,219
Futures and forwards—
—
6,868,340
7,044,990
38,421
42,305
—
—
4,632,257
6,460,539
Written options—
—
3,033,617
3,311,904
2,606
3,913
—
—
3,018,469
3,516,131
Purchased options—
—
2,887,605
3,171,184
4,575
4,910
—
—
2,532,479
3,234,025
Total interest rate contract notionals$166,576
$163,348
$34,998,356
$45,434,627
$74,571
$83,073
$273,636
$189,779
$28,321,891
$31,964,914
Foreign exchange contracts          
Swaps$23,007
$25,157
$4,765,687
$4,567,977
$23,960
$23,990
$57,153
$37,162
$6,738,158
$5,576,357
Futures, forwards and spot(4)
72,124
73,219
2,563,649
3,003,295
3,034
7,069
Futures, forwards and spot41,410
33,103
5,115,504
3,097,700
Written options448
—
1,125,664
1,343,520
—
432
1,726
3,951
1,566,717
1,127,728
Purchased options819
—
1,131,816
1,363,382
—
432
2,104
6,427
1,543,516
1,148,686
Total foreign exchange contract notionals$96,398
$98,376
$9,586,816
$10,278,174
$26,994
$31,923
$102,393
$80,643
$14,963,895
$10,950,471
Equity contracts          
Swaps$—
$—
$180,963
$131,344
$—
$—
$—
$—
$217,580
$215,834
Futures and forwards—
—
33,735
30,510
—
—
—
—
52,053
72,616
Written options—
—
298,876
305,627
—
—
—
—
454,675
389,961
Purchased options—
—
265,062
275,216
—
—
—
—
341,018
328,154
Total equity contract notionals$—
$—
$778,636
$742,697
$—
$—
$—
$—
$1,065,326
$1,006,565
Commodity and other contracts          
Swaps$—
$—
$70,561
$90,817
$—
$—
$—
$—
$79,133
$72,431
Futures and forwards789
1,089
106,474
106,021
—
—
802
23
146,647
153,248
Written options—
—
72,648
104,581
—
—
—
—
62,629
62,045
Purchased options—
—
66,051
95,567
—
—
—
—
61,298
60,526
Total commodity and other contract notionals$789
$1,089
$315,734
$396,986
$—
$—
$802
$23
$349,707
$348,250
Credit derivatives(5)
      
Credit derivatives(1)
    
Protection sold$—
$—
$950,922
$1,063,858
$—
$—
$—
$—
$724,939
$735,142
Protection purchased—
—
981,586
1,100,369
23,628
16,018
—
—
795,649
777,713
Total credit derivatives$—
$—
$1,932,508
$2,164,227
$23,628
$16,018
$—
$—
$1,520,588
$1,512,855
Total derivative notionals$263,763
$262,813
$47,612,050
$59,016,711
$125,193
$131,014
$376,831
$270,445
$46,221,407
$45,783,055

(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-denominated debt instrument. The notional amount of such debt was $2,102 million and $3,752 million at December 31, 2015 and December 31, 2014, respectively.
(2)
Derivatives in hedge accounting relationships accounted for under ASC 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)Foreign exchange notional contracts include spot contract notionals of $335 billion and $849 billion at December 31, 2015 and December 31, 2014, respectively. Previous presentations of foreign exchange derivative notional contracts did not include spot contracts. There was no impact to the Consolidated Financial Statements related to this updated presentation.
(5)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.


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, 20152018 and December 31, 2014. Under ASC 210-20-45, gross2017. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount, if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the following tables reflect rule changes adopted by clearing organizations that require or allow entities to treat derivative assets, liabilities and the related variation margin as settlement of the related derivative fair value 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 tables reflect a reduction of approximately $100 billion as of both December 31, 2018 and 2017, respectively, 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 tables also includepresent 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 that an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.


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Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at December 31, 2015
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, 2018
Derivatives classified
in Trading account assets/liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$262
$105
$2,328
$106
$1,631
$172
Cleared4,607
1,471
5
—
238
53
Interest rate contracts$4,869
$1,576
$2,333
$106
$1,869
$225
Over-the-counter$2,688
$364
$95
$677
$1,402
$736
Cleared—
4
Foreign exchange contracts$2,688
$364
$95
$677
$1,402
$740
Total derivative instruments designated as ASC 815 hedges$7,557
$1,940
$2,428
$783
Total derivatives instruments designated as ASC 815 hedges$3,271
$965
Derivatives instruments not designated as ASC 815 hedges


 
Over-the-counter$289,124
$267,761
$182
$12
$161,183
$146,909
Cleared120,848
126,532
244
216
8,489
7,594
Exchange traded53
35
—
—
91
99
Interest rate contracts$410,025
$394,328
$426
$228
$169,763
$154,602
Over-the-counter$126,474
$133,361
$—
$66
$159,099
$156,904
Cleared134
152
—
—
1,900
1,671
Exchange traded21
36
—
—
53
40
Foreign exchange contracts$126,629
$133,549
$—
$66
$161,052
$158,615
Over-the-counter$14,560
$20,107
$—
$—
$18,253
$21,527
Cleared28
3
—
—
17
32
Exchange traded7,297
6,406
—
—
11,623
12,249
Equity contracts$21,885
$26,516
$—
$—
$29,893
$33,808
Over-the-counter$16,794
$18,641
$—
$—
$16,661
$19,894
Exchange traded1,216
1,912
—
—
894
795
Commodity and other contracts$18,010
$20,553
$—
$—
$17,555
$20,689
Over-the-counter$31,072
$30,608
$711
$245
$6,967
$6,155
Cleared3,803
3,560
131
318
3,798
4,196
Credit derivatives(4)
$34,875
$34,168
$842
$563
Credit derivatives$10,765
$10,351
Total derivatives instruments not designated as ASC 815 hedges$611,424
$609,114
$1,268
$857
$389,028
$378,065
Total derivatives$618,981
$611,054
$3,696
$1,640
$392,299
$379,030
Cash collateral paid/received(5)(6)
$4,911
$13,628
$8
$37
Less: Netting agreements(7)
(524,481)(524,481)—
—
Less: Netting cash collateral received/paid(8)
(43,227)(42,609)(1,949)(53)
Net receivables/payables included on the consolidated balance sheet(9)
$56,184
$57,592
$1,755
$1,624
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet 
Cash collateral paid/received(3)
$11,518
$13,906
Less: Netting agreements(4)
(311,089)(311,089)
Less: Netting cash collateral received/paid(5)
(38,608)(29,911)
Net receivables/payables included on the Consolidated Balance Sheet(6)
$54,120
$51,936
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet 
Less: Cash collateral received/paid$(779)$(2)$—
$—
$(767)$(164)
Less: Non-cash collateral received/paid(9,855)(5,131)(270)—
(13,509)(13,354)
Total net receivables/payables(9)
$45,550
$52,459
$1,485
$1,624
Total net receivables/payables(6)
$39,844
$38,418
(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)(3)The credit derivatives trading assets comprise $17,957 million related to protection purchased and $16,918 million related to protection sold as of December 31, 2015. The credit derivatives trading liabilities comprise $16,968 million related to protection purchased and $17,200 million related to protection sold as of December 31, 2015.
(5)For the trading account assets/liabilities, reflectsReflects the net amount of the $47,520$41,429 million and $56,855$52,514 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $42,609$29,911 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $43,227$38,608 million was used to offset trading derivative assets.

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(6)
For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $61 million of 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 $1,986 million of gross cash collateral received, of which $1,949 million is netted against OTC non-trading derivative positions within Other assets.
(7)(4)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $391$296 billion, $126$4 billion and $7$11 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)(5)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 and liabilities, respectively.

(9)(6)The net receivables/payables include approximately $10$5 billion of derivative asset and $10$7 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

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)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$1,508
$204
$3,117
$414
$1,969
$134
Cleared4,300
868
—
25
110
92
Interest rate contracts$5,808
$1,072
$3,117
$439
$2,079
$226
Over-the-counter$3,885
$743
$678
$588
$1,143
$1,150
Foreign exchange contracts$3,885
$743
$678
$588
$1,143
$1,150
Total derivative instruments designated as ASC 815 hedges$9,693
$1,815
$3,795
$1,027
Total derivatives instruments designated as ASC 815 hedges$3,222
$1,376
Derivatives instruments not designated as ASC 815 hedges


 
Over-the-counter$376,778
$359,689
$106
$—
$195,677
$173,937
Cleared255,847
261,499
6
21
7,129
10,381
Exchange traded20
22
141
164
102
95
Interest rate contracts$632,645
$621,210
$253
$185
$202,908
$184,413
Over-the-counter$151,736
$157,650
$—
$17
$119,092
$117,473
Cleared366
387
—
—
1,690
2,028
Exchange traded7
46
—
—
34
121
Foreign exchange contracts$152,109
$158,083
$—
$17
$120,816
$119,622
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
$12,972
$12,958
Cleared4,106
3,991
13
171
7,562
8,575
Credit derivatives(4)
$43,518
$43,430
$278
$555
$20,534
$21,533
Total derivatives instruments not designated as ASC 815 hedges$876,544
$881,378
$531
$757
$385,339
$373,968
Total derivatives$886,237
$883,193
$4,326
$1,784
$388,561
$375,344
Cash collateral paid/received(6)(3)
$6,523
$9,846
$123
$7
$7,541
$14,308
Less: Netting agreements(7)(4)
(777,178)(777,178)—
—
(306,401)(306,401)
Less: Netting cash collateral received/paid(8)(5)
(47,625)(47,769)(1,791)(15)(38,532)(35,666)
Net receivables/payables included on the Consolidated Balance Sheet(9)(6)
$67,957
$68,092
$2,658
$1,776
$51,169
$47,585
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet 
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet 
Less: Cash collateral received/paid$(867)$(11)$—
$—
$(872)$(121)
Less: Non-cash collateral received/paid(10,043)(6,264)(1,293)—
(12,739)(6,929)
Total net receivables/payables(9)(6)
$57,047
$61,817
$1,365
$1,776
$37,558
$40,535
(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 eitherpreviously reported within Other assets/Other liabilitieshave been reclassified to or Trading account assets/Trading account liabilities.to conform with the current-period presentation.
(3)(2)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,

243


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)(3)For the trading account assets/liabilities, reflectsReflects the net amount of the $54,292$43,207 million and $57,471$52,840 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $47,769$35,666 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $47,625$38,532 million was used to offset trading derivative assets.
(6)
For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $138 million of the gross cash collateral paid, of which $15 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 $1,798 million of gross cash collateral received of which $1,791 million is netted against non-trading derivative positions within Other assets.
(7)(4)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-tradedexchange traded derivatives, respectively.

(8)(5)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 OTC and cleared derivative liabilities, respectively.
(9)(6)The net receivables/payables include approximately $11$6 billion of derivative asset and $10$8 billion of liability fair values not subject to enforceable master netting agreements.agreements, respectively.


For the years ended December 31, 2015, 20142018, 2017 and 2013,2016, 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 wayhow these portfolios are risk managed.
The amounts recognized in Other revenue in the Consolidated Statement of Income related to derivatives not designated in a qualifying hedging relationship are shown below. The table below does not include any offsetting gains/lossesgains (losses) on the economically hedged items to the extent that such amounts are also recorded in Other revenue.

















Gains (losses) included in
Other revenue

Gains (losses) included in
Other revenue
Year ended December 31,
In millions of dollars201520142013201820172016
Interest rate contracts$117
$(227)$208
$(25)$(73)$51
Foreign exchange(39)14
(41)(197)2,062
(847)
Credit derivatives476
(150)(594)(155)(538)(1,174)
Total Citigroup$554
$(363)$(427)
Total$(377)$1,451
$(1,970)

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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 hedging 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 hedged item that are unrelated to the risks being hedged and the changes in fair value of the derivative associated with time value. Prior to January 1, 2018, these excluded items were recognized in current earnings for the hedging derivative, as well aswhile changes in the value of the relateda hedged item duethat were not related to the hedged risk being hedged, are reflected in current earnings. For cash flow hedges and net investment hedges,were not recorded. Upon adoption of ASC 2017-12, Citi excludes changes in the valuecross currency basis associated with cross currency swaps from the assessment of the hedging derivative are reflectedhedge effectiveness and records it inAccumulated other comprehensive income (loss) in Citigroup’s stockholders’ equity to the extent the hedge is highly effective.income.

Discontinued Hedge ineffectiveness, in either case, is reflected in current earnings.Accounting
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 aA 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 ineffectiveness resulting from the hedging relationship is captured in current earnings.
Alternatively, for management hedges that do not meet the ASC 815 hedging criteria, 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 change in fair value of the debt is reported in earnings. The related interest rate swap, with changes in fair value, is also reflected in earnings, which provides a natural offset to the debt’s fair value change. To the extent the two offsets 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.
The key requirements to achieve ASC 815 hedge accounting are documentation of a hedging strategy and specific hedge relationships at hedge inception and substantiating hedge effectiveness on an ongoing basis. A derivative 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 hedging 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 Risk
CitigroupCitigroup’s fair value hedges exposure toare primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale debt securities or loans.
For qualifying fair value hedges of interest rate risk, the changes in the fair value of outstanding fixed-rate issued debt. These hedges are designated as fair value hedges of the benchmark interest rate risk associated withderivative and the currency of the hedged liability. The fixed cash flows of the hedged items are converted to benchmark variable-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. 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 exposure to changeschange in the fair value of fixed-rate assets duethe hedged item attributable to the hedged risk, either total cash flows or benchmark only cash flows, are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability. Prior to the adoption of ASU 2017-12, the fair value of the derivative was presented in Other revenue or Principal transactions and the difference between the changes in benchmark interest rates, including available-for-sale debt securitiesthe hedged item and loans. The hedging instruments used are 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.derivative was defined as ineffectiveness.


245


Hedging of Foreign Exchange Risk
Citigroup hedges the change in fair value attributable to foreign-exchangeforeign exchange rate movements in available-for-sale debt securities and long-term debt that are denominated in currencies other than the functional currency of the entity holding the securities or issuing the debt, which may be within or outside the U.S. The hedging instrument employed is generallymay be a forward foreign-exchange contract. In this hedge, the change in fair value of the hedged available-for-sale security attributable to the portion of foreign exchange risk hedged is reported in earnings, and not Accumulated other comprehensive income (loss)—which serves to offset the change in fair value of the forward contract that is also reflected in earnings.or a cross-currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and reflected directly in earnings. The dollar-offset method is used to assessearnings over the life of the hedge. Beginning January 1, 2018, Citi excludes changes in cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness. Since that assessment is based on changeseffectiveness and records it in Other comprehensive income.

Hedging of Commodity Price Risk
Citigroup hedges the change in fair value attributable to spot price movements in physical commodities inventory. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. Although the change in the fair value of the hedging instrument recorded in earnings includes changes in spotforward rates, on bothCitigroup excludes the available-for-sale securitiesdifferential between the spot and the contractual forward contracts forrates under the portionfutures contract from the assessment of hedge effectiveness and amortizes it directly into earnings over the life of the relationship hedged, the amount of hedge ineffectiveness is not significant.hedge.

The following table summarizes the gains (losses) on the Company’s fair value hedges:
Gains (losses) on fair value hedges(1)

Gains (losses) on fair value hedges(1)
Year Ended December 31,
Year ended December 31,2018
2017(2)
2016(2)
In millions of dollars201520142013Other revenueNet interest revenue
Other
revenue
Other
revenue
Gain (loss) on the derivatives in designated and qualifying fair value hedges     
Interest rate contracts$(847)$1,546
$(3,288)
Foreign exchange contracts1,315
1,367
265
Commodity contracts41
(221)—
Interest rate hedges$—
$794
$(891)$(753)
Foreign exchange hedges(225)—
(824)(1,415)
Commodity hedges(140)—
(17)182
Total gain (loss) on the derivatives in designated and qualifying fair value hedges$509
$2,692
$(3,023)$(365)$794
$(1,732)$(1,986)
Gain (loss) on the hedged item in designated and qualifying fair value hedges     
Interest rate hedges$792
$(1,496)$3,204
$—
$(747)$853
$668
Foreign exchange hedges(1,258)(1,422)(185)99
—
969
1,573
Commodity hedges(35)250
—
124
—
18
(210)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$(501)$(2,668)$3,019
$223
$(747)$1,840
$2,031
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges 
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges    
Interest rate hedges$(47)$53
$(84)$—
$(5)$(7)$(1)
Foreign exchange hedges(23)(16)(4)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges$(70)$37
$(88)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges 
Interest rate contracts$(8)$(3)$—
Foreign exchange contracts(2)
80
(39)84
Commodity hedges(2)
6
29
—
Foreign exchange hedges(3)
14
—
96
154
Commodity hedges7
—
1
(28)
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges$78
$(13)$84
$21
$(5)$90
$125
(1)
AmountsBeginning January 1, 2018, gain (loss) amounts for interest rate risk hedges are included in Interest income/Interest expense, while the remaining amounts including the amounts for interest rate hedges prior to January 1, 2018 are included in Other revenueor Principal transactions on the Consolidated Statement of Income. The accrued interest income on fair value hedges both prior to and after January 1, 2018 is recorded in Net interest revenue and is excluded from this table.
(2)Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges for the year ended December 31, 2017 was $(31) million for interest rate hedges and $49 million for foreign exchange hedges, for a total of $18 million. Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges for the year ended December 31, 2016 was $(84) million for interest rate hedges and $4 million for foreign exchange hedges, for a total of $(80) million.
(3)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. After January 1, 2018, amounts include cross-currency basis, which is recognized in accumulated other comprehensive income. The amount of cross-currency basis that was included in AOCI was $(74) million for the year ended December 31, 2018, none of which was recognized in earnings.

246

Cumulative Basis Adjustment
Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative impact of changes in the hedged risk. The hedge basis adjustment, whether arising from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is derecognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at December 31, 2018, along with the cumulative hedge basis adjustments included in the carrying value of those hedged assets and liabilities.


In millions of dollars as of December 31, 2018
Balance sheet line item in which hedged item is recordedCarrying amount of hedged asset/ liabilityCumulative fair value hedging adjustment increasing (decreasing) the carrying amount
ActiveDe-designated
Debt securities
  AFS
$81,632
$(196)$295
Long-term
  debt
149,054
1,211
869

Cash Flow Hedges

Hedging of Benchmark 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 certain variable interest rates, associated with hedged items, do not qualify as benchmark interest rates,Prior to the adoption of ASU 2017-12, Citigroup designatesdesignated the risk being hedged as the risk of overall changesvariability in the hedged cash flows. Since efforts are made to matchflows for certain items.
With the termsadoption of ASU 2017-12, Citigroup hedges the variability from changes in a contractually specified rate and recognizes the entire change in fair value of the cash flow hedging instruments in AOCI. Prior to the adoption of ASU 2017-12, to the extent that these derivatives to thosewere not fully effective, changes in their fair values in excess of changes in the value of the hedged forecasted cash flows as closely as possible,transactions were immediately included in Other revenue. With the amountadoption of hedge ineffectiveness is not significant.

Hedging of Foreign Exchange Risk
Citigroup locksASU 2017-12, such amounts are no longer required to be immediately recognized in income, but instead the full change in the functional currency equivalent cash flows of long-term debt and short-term borrowings that are denominated in currencies other than the functional currencyvalue of the issuing entity. Depending on the risk management objectives, these types of hedges are designated as either cash flow hedges of only foreign exchange risk or cash flow hedges of both foreign exchangehedging instrument is required to be recognized in AOCI, 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 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 hedgesthen recognized in earnings forin the years ended December 31, 2015, 2014 and 2013 is not significant.same period that the cash flows impact earnings. The pretax change in Accumulated other comprehensive income (loss)AOCI from cash flow hedges is presented below:


 Year ended December 31,
In millions of dollars201520142013
Effective portion of cash flow hedges included in AOCI   
Interest rate contracts$357
$299
$749
Foreign exchange contracts(220)(167)34
Credit derivatives—
2
14
Total effective portion of cash flow hedges included in AOCI$137
$134
$797
Effective portion of cash flow hedges reclassified from AOCI to earnings   
Interest rate contracts$(186)$(260)$(700)
Foreign exchange contracts(146)(149)(176)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)
$(332)$(409)$(876)
 Year ended December 31,
In millions of dollars201820172016
Amount of gain (loss) recognized in AOCI on derivative   
Interest rate contracts(1)
$(361)$(165)$(219)
Foreign exchange contracts5 (8)69
Total gain (loss) recognized in AOCI$(356)$(173)$(150)
Amount of gain (loss) reclassified from AOCI to earnings
Other
revenue
Net interest
revenue
Other
revenue
Other
revenue
Interest rate contracts(1)
$—
$(301)$(126)$(140)
Foreign exchange contracts(17)—
(10)(93)
Total gain (loss) reclassified from AOCI into earnings$(17)$(301)$(136)$(233)
(1)
IncludedAfter January 1, 2018, all amounts reclassified into earnings for interest rate contracts are included in Interest income/Interest expense (Net interest revenue). For all other hedges, including interest rate hedges prior to January 1, 2018, the amounts reclassified to earnings are 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 (loss) associated with cash flow hedges expected to be reclassified from Accumulated other comprehensive income (loss)AOCI within 12 months of December 31, 20152018 is approximately $0.3 billion.$404 million. 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.


247


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 that 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 $2,475$1,207 million, $2,890$2,528 million and $2,370$(220) million for the years ended December 31, 2015 20142018, 2017 and 2013,2016, 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.
Citigroup 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 that 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 HFS 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, 20152018 and December 31, 2014,2017, 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:
Fair valuesNotionalsFair valuesNotionals
In millions of dollars at December 31, 2015
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at December 31, 2018
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty


 
Banks$18,377
$16,988
$513,335
$508,459
$4,785
$4,432
$214,842
$218,273
Broker-dealers5,895
6,697
155,195
152,604
1,706
1,612
62,904
63,014
Non-financial128
123
3,969
2,087
64
87
2,687
1,192
Insurance and other financial institutions11,317
10,923
332,715
287,772
4,210
4,220
515,216
442,460
Total by industry/counterparty$35,717
$34,731
$1,005,214
$950,922
$10,765
$10,351
$795,649
$724,939
By instrument


 
Credit default swaps and options$34,849
$34,158
$981,999
$940,650
$10,030
$9,755
$771,865
$712,623
Total return swaps and other868
573
23,215
10,272
735
596
23,784
12,316
Total by instrument$35,717
$34,731
$1,005,214
$950,922
$10,765
$10,351
$795,649
$724,939
By rating


 
Investment grade$12,694
$13,142
$764,040
$720,521
$4,725
$4,544
$637,790
$568,849
Non-investment grade23,023
21,589
241,174
230,401
6,040
5,807
157,859
156,090
Total by rating$35,717
$34,731
$1,005,214
$950,922
$10,765
$10,351
$795,649
$724,939
By maturity


 
Within 1 year$3,871
$3,559
$265,632
$254,225
$2,037
$2,063
$251,994
$225,597
From 1 to 5 years27,991
27,488
669,834
639,460
6,720
6,414
493,096
456,409
After 5 years3,855
3,684
69,748
57,237
2,008
1,874
50,559
42,933
Total by maturity$35,717
$34,731
$1,005,214
$950,922
$10,765
$10,351
$795,649
$724,939

(1)The fair value amount receivable is composed of $18,799$5,126 million under protection purchased and $16,918$5,639 million under protection sold.
(2)The fair value amount payable is composed of $17,531$5,882 million under protection purchased and $17,200$4,469 million under protection sold.


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

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(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.


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’“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.



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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, 20152018 and December 31, 20142017 was $22$33 billion and $30$29 billion, respectively. The Company had posted $19$33 billion and $27$28 billion as collateral for this exposure in the normal course of business as of December 31, 20152018 and December 31, 2014,2017, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three major rating agencies as of December 31, 2015,2018, the Company could be required to post an additional $1.8$0.6 billion as either collateral or settlement of the derivative transactions. Additionally, the Company could be required to segregate with third-party custodians collateral previously received from existing derivative counterparties in the amount of $0.1 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.9$0.7 billion.

Derivatives Accompanied by Financial Asset Transfers
The Company executes total return swaps whichthat 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

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 as a sale by the Company, as a sale, whereand for which the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale with the same counterparty and still outstanding, as of December 31, 2015, both the asset carrying amounts derecognized and gross cash proceeds received as of the date of derecognition were $1.0 billion. $4.1 billion and $3.0 billion as of December 31, 2018 and 2017, respectively.
At December 31, 2015,2018, the fair value of these previously derecognized assets was $1.0$4.1 billion. The fair value of the total return swaps as of December 31, 2018 was $55 million recorded as gross derivative assets and $9 million recorded as gross derivative liabilities. 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 $7$89 million recorded as gross derivative assets and $35$15 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.



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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, 2015,2018, 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 $223.0$250.0 billion and $216.3$227.8 billion at December 31, 20152018 and 2014,2017, respectively. The MexicanGerman and United KingdomJapanese 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 MexicoGermany amounted to $22.5$46.4 billion and $29.7$38.3 billion at December 31, 20152018 and 2014,2017, respectively, and was composed of investment securities, loans and trading assets. The Company’s exposure to the United KingdomJapan amounted to $20.4$28.8 billion and $18.0$25.8 billion at December 31, 20152018 and 2014,2017, respectively, and was composed of investment securities, loans and trading assets.
The Company’s exposure to states and municipalities amounted to $29.3$27.9 billion and $31.0$30.6 billion at December 31, 20152018 and 2014,2017, 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.date, and therefore represents an exit price. 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 as 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;markets, quoted prices for identical or similar instruments in markets that are not active;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 fair value using the procedures set out below, irrespective of whether the 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 uses quoted market prices to determine fair value and classifies such items as Level 1. In some specific 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 activityfrequency and the amountsize of the bid-ask spreadtransactions are among the factors considered in determiningthat are driven by the liquidity of markets and determine the observabilityrelevance of observed prices fromin those markets. If relevant and observable prices are available, those valuations may be classified as Level 2. When that is not the case, and there are one or more significant unobservable “price” inputs, then those valuations will be classified as Level 3. Furthermore, 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. Vendors’ and brokers’ valuations may be based on a variety of inputs ranging from observed prices to proprietary valuation models.
models, and the Company assesses the quality and relevance of this information in determining the estimate of fair value. 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 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, such as derivatives, 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.assumptions.


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LiquidityValuation adjustments are applied to items inclassified as Level 2 or Level 3 ofin 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 isexited. These valuation adjustments are based on the bid/offer spread for an instrument.instrument in the market. When Citi has elected to measure certain portfolios of financial investments, such as derivatives, on the basis of the net open risk position, the liquidityvaluation adjustment may 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 the relevant population of 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.-dollar derivatives). As not all counterparties have the same credit risk as that implied by the relevant base curve, a CVA is necessarywhere adjustments to incorporate the market view of bothreflect counterparty credit risk, and Citi’s own credit risk inand term funding risk are required to estimate fair value. This principally includes derivatives with a base valuation (e.g., discounted using overnight indexed swap (OIS)) requiring adjustment for these effects, such as uncollateralized interest rate swaps. The CVA represents a portfolio-level adjustment to reflect the valuation. risk premium associated with the counterparty’s (assets) or Citi’s (liabilities) non-performance risk.
FVA reflectsreflect a market funding risk premium inherent in the uncollateralized portion of a derivative portfolio and in certain collateralized derivative portfolios and in collateralized derivativesthat do not include standard credit support annexes (CSAs), such as where the terms of the agreement doCSA does not permit the reuse of collateral received. Citi’s FVA methodology leverages the existing CVA methodology to estimate a funding exposure profile. The calculation of this exposure profile considers collateral agreements in which the terms do not permit the Company to reuse the collateral received.received, including where counterparties post collateral to third-party custodians.
Citi’s CVA and FVA methodology is composedconsists of two steps.steps:

First, the 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 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., 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 at December 31, 20152018 and 2014:2017:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsDecember 31,
2015		December 31,
2014		December 31,
2018		December 31,
2017
Counterparty CVA$(1,470)$(1,853)$(1,085)$(970)
Asset FVA(584)(518)(544)(447)
Citigroup (own-credit) CVA471
580
482
287
Liability FVA106
19
135
47
Total CVA—derivative instruments(1)
$(1,477)$(1,772)$(1,012)$(1,083)

(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 years indicated:
Credit/funding/debt valuation
adjustments gain (loss)
Credit/funding/debt valuation
adjustments gain (loss)
In millions of dollars201520142013201820172016
Counterparty CVA$(115)$(43)$291
$(109)$276
$157
Asset FVA(66)(518)—
46
90
47
Own-credit CVA(28)(65)(223)178
(153)17
Liability FVA98
19
—
56
(15)(44)
Total CVA—derivative instruments$(111)$(607)$68
$171
$198
$177
DVA related to own FVO liabilities(1)$366
$217
$(410)$1,415
$(680)$(538)
Total CVA and DVA(1)(2)
$255
$(390)$(342)$1,586
$(482)$(361)

(1)See Notes 1 and 17 to the Consolidated Financial Statements.

(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.


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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 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 Agreements to Resell and Securities Sold Under Agreements to Repurchase
No quoted prices exist for these 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. These 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 recorded 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 Assets and Liabilities—Trading Securities and Trading Loans
When available, the Company 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 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.models. 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.
When 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


255


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 Assets and Liabilities—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 uponon 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, includingsuch as derivative pricing models (e.g., Black-Scholes and Monte Carlo simulation.simulations).
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 typically uses overnight indexed swap (OIS)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 London Interbank Offered Rate for U.S. dollar derivatives) as the discount rate for uncollateralized derivatives.
As referenced above, during the third quarter of 2014, 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. The charge incurred in connection with the implementation of FVA 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 firm to reuse the collateral received, including where counterparties post collateral to third-party custodians.


Investments
The investments category includes available-for-sale debt and marketable equity securities whose fair values 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 judgment, as no quoted prices exist and such securities are generally 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.
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 No. 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 Borrowings and Long-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.


256


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.



257


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, 20152018 and December 31, 2014.2017. The Company’s hedging ofCompany may hedge positions that have been classified in the Level 3 category is not limited towith other financial instruments (hedging
 
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 tables:



Fair Value Levels
In millions of dollars at December 31, 2015
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2018Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$177,538
$1,337
$178,875
$(40,911)$137,964
Federal funds sold and securities borrowed and purchased under agreements to resell$—
$214,570
$115
$214,685
$(66,984)$147,701
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed—
24,023
744
24,767
—
24,767
—
24,090
156
24,246
—
24,246
Residential—
1,059
1,326
2,385
—
2,385
—
709
268
977
—
977
Commercial—
2,338
517
2,855
—
2,855
—
1,323
77
1,400
—
1,400
Total trading mortgage-backed securities$—
$27,420
$2,587
$30,007
$—
$30,007
$—
$26,122
$501
$26,623
$—
$26,623
U.S. Treasury and federal agency securities$14,208
$3,587
$1
$17,796
$—
$17,796
$26,439
$4,802
$1
$31,242
$—
$31,242
State and municipal—
2,345
351
2,696
—
2,696
—
3,782
200
3,982
—
3,982
Foreign government35,715
20,697
197
56,609
—
56,609
43,309
21,179
31
64,519
—
64,519
Corporate302
13,759
376
14,437
—
14,437
1,026
14,510
360
15,896
—
15,896
Equity securities50,429
2,382
3,684
56,495
—
56,495
36,342
7,308
153
43,803
—
43,803
Asset-backed securities—
1,217
2,739
3,956
—
3,956
—
1,429
1,484
2,913
—
2,913
Other trading assets(2)—
9,293
2,483
11,776
—
11,776
3
12,198
818
13,019
—
13,019
Total trading non-derivative assets$100,654
$80,700
$12,418
$193,772
$—
$193,772
$107,119
$91,330
$3,548
$201,997
$—
$201,997
Trading derivatives
 


  
Interest rate contracts$9
$412,802
$2,083
$414,894
 $101
$169,860
$1,671
$171,632
  
Foreign exchange contracts5
128,189
1,123
129,317
 —
162,108
346
162,454
  
Equity contracts2,422
17,866
1,597
21,885
 647
28,903
343
29,893
  
Commodity contracts204
16,706
1,100
18,010
 —
16,788
767
17,555
  
Credit derivatives—
31,082
3,793
34,875
 —
9,839
926
10,765
  
Total trading derivatives$2,640
$606,645
$9,696
$618,981
 $748
$387,498
$4,053
$392,299
  
Cash collateral paid(3)
 $4,911
   $11,518
  
Netting agreements $(524,481)    $(311,089) 
Netting of cash collateral received (43,227)    (38,608) 
Total trading derivatives$2,640
$606,645
$9,696
$623,892
$(567,708)$56,184
$748
$387,498
$4,053
$403,817
$(349,697)$54,120
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$—
$39,575
$139
$39,714
$—
$39,714
$—
$42,988
$32
$43,020
$—
$43,020
Residential—
5,982
4
5,986
—
5,986
—
1,313
—
1,313
—
1,313
Commercial—
569
2
571
—
571
—
172
—
172
—
172
Total investment mortgage-backed securities$—
$46,126
$145
$46,271
$—
$46,271
$—
$44,473
$32
$44,505
$—
$44,505
U.S. Treasury and federal agency securities$111,536
$11,375
$4
$122,915
$—
$122,915
$107,577
$9,645
$—
$117,222
$—
$117,222
State and municipal—
9,267
2,192
11,459
—
11,459
—
8,498
708
9,206
—
9,206
Foreign government42,073
49,868
260
92,201
—
92,201
58,252
42,371
68
100,691
—
100,691
Corporate3,605
11,595
603
15,803
—
15,803
4,410
7,033
156
11,599
—
11,599
Equity securities430
71
124
625
—
625
Marketable equity securities206
14
—
220
—
220
Asset-backed securities—
8,578
596
9,174
—
9,174
—
656
187
843
—
843
Other debt securities—
688
—
688
—
688
—
3,972
—
3,972
—
3,972
Non-marketable equity securities(4)
—
58
1,135
1,193
—
1,193
—
96
586
682
—
682
Total investments$157,644
$137,626
$5,059
$300,329
$—
$300,329
$170,445
$116,758
$1,737
$288,940
$—
$288,940

258Table continues on the next page, including footnotes.


In millions of dollars at December 31, 2015
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2018Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans(5)
$—
$2,839
$2,166
$5,005
$—
$5,005
$—
$2,946
$277
$3,223
$—
$3,223
Mortgage servicing rights—
—
1,781
1,781
—
1,781
—
—
584
584
—
584
Non-trading derivatives and other financial assets measured on a recurring basis, gross$—
$7,882
$180
$8,062
 
Cash collateral paid(6)
 8
 
Netting of cash collateral received $(1,949) 
Non-trading derivatives and other financial assets measured on a recurring basis$—
$7,882
$180
$8,070
$(1,949)$6,121
$15,839
$4,949
$—
$20,788
$—
$20,788
Total assets$260,938
$1,013,230
$32,637
$1,311,724
$(610,568)$701,156
$294,151
$818,051
$10,314
$1,134,034
$(416,681)$717,353
Total as a percentage of gross assets(7)
20.0%77.5%2.5%





Total as a percentage of gross assets(5)
26.2%72.9%0.9%





Liabilities      
Interest-bearing deposits$—
$1,156
$434
$1,590
$—
$1,590
$—
$980
$495
$1,475
$—
$1,475
Federal funds purchased and securities loaned or sold under agreements to repurchase—
76,507
1,247
77,754
(40,911)36,843
Federal funds purchased and securities loaned and sold under agreements to repurchase—
110,511
983
111,494
(66,984)44,510
Trading account liabilities      
Securities sold, not yet purchased$48,452
$9,176
$199
$57,827
$—
$57,827
78,872
11,364
586
90,822
—
90,822
Other trading liabilities—
2,093
—
2,093
—
2,093
—
1,547
—
1,547
—
1,547
Total trading liabilities$48,452
$11,269
$199
$59,920
$—
$59,920
$78,872
$12,911
$586
$92,369
$—
$92,369
Trading derivatives      
Interest rate contracts$5
$393,321
$2,578
$395,904
 $71
$152,931
$1,825
$154,827
  
Foreign exchange contracts6
133,404
503
133,913
 —
159,003
352
159,355
  
Equity contracts2,244
21,875
2,397
26,516
 351
32,330
1,127
33,808
  
Commodity contracts263
17,329
2,961
20,553
 —
19,904
785
20,689
  
Credit derivatives—
30,682
3,486
34,168
 —
9,486
865
10,351
  
Total trading derivatives$2,518
$596,611
$11,925
$611,054
 $422
$373,654
$4,954
$379,030
  
Cash collateral received(8)
 $13,628
 
Cash collateral received(6)
  $13,906
  
Netting agreements $(524,481)    $(311,089) 
Netting of cash collateral paid (42,609)    (29,911) 
Total trading derivatives$2,518
$596,611
$11,925
$624,682
$(567,090)$57,592
$422
$373,654
$4,954
$392,936
$(341,000)$51,936
Short-term borrowings$—
$1,198
$9
$1,207
$—
$1,207
$—
$4,446
$37
$4,483
$—
$4,483
Long-term debt—
18,342
6,951
25,293
—
25,293
—
25,659
12,570
38,229
—
38,229
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$—
$1,626
$14
$1,640
 
Cash collateral received(9)
 37
 
Netting of cash collateral paid $(53) 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$—
$1,626
$14
$1,677
$(53)$1,624
$15,839
$67
$—
$15,906
$—
$15,906
Total liabilities$50,970
$706,709
$20,779
$792,123
$(608,054)$184,069
$95,133
$528,228
$19,625
$656,892
$(407,984)$248,908
Total as a percentage of gross liabilities(7)
6.5%90.8%2.7% 
Total as a percentage of gross liabilities(5)
14.8%82.1%3.1%   

(1)In 2015, the Company transferred assets of approximately $3.3 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. In 2015, the Company transferred assets of approximately $4.4 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. In 2015, the Company transferred liabilities of approximately $0.6 billion from Level 2 to Level 1. In 2015, the Company transferred liabilities of approximately $0.4 billion from Level 1 to Level 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;repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 25 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $47,520$41,429 million of gross cash collateral paid, of which $42,609$29,911 million was used to offset trading derivative liabilities.
(4)
Amounts exclude $0.90.2 billion of investments measured at Net Asset Value (NAV)NAV in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).See Note 1 to the Consolidated Financial Statements.
(5)There is no allowance for loan losses recorded for loans reported at fair value.
(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.
(8)(6)Reflects the net amount of $56,855$52,514 million of gross cash collateral received, of which $43,227$38,608 million was used to offset trading derivative assets.
(9)Reflects the net amount of $1,986 million of gross cash collateral received, of which $1,949 million was used to offset non-trading derivative assets.

259


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, 2017Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$187,922
$3,398
$191,320
$(47,129)$144,191
Federal funds sold and securities borrowed and purchased under agreements to resell$—
$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 government37,995
26,736
206
64,937
—
64,937
39,347
20,843
16
60,206
—
60,206
Corporate1,337
25,640
820
27,797
—
27,797
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(2)—
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
$203,134
$1,708
$204,987
  
Foreign exchange contracts—
154,744
1,250
155,994
 19
121,363
577
121,959
  
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
 —
19,624
910
20,534
  
Total trading derivatives$3,469
$871,499
$11,269
$886,237
 $2,810
$381,543
$4,208
$388,561
  
Cash collateral paid(3)
 $6,523
   $7,541
  
Netting agreements $(777,178)    $(306,401) 
Netting of cash collateral received(8)
 (47,625)    (38,532) 
Total trading derivatives$3,469
$871,499
$11,269
$892,760
$(824,803)$67,957
$2,810
$381,543
$4,208
$396,102
$(344,933)$51,169
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$—
$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 government37,280
52,739
678
90,697
—
90,697
56,456
43,985
92
100,533
—
100,533
Corporate1,739
9,746
672
12,157
—
12,157
1,911
12,127
71
14,109
—
14,109
Equity securities1,770
274
681
2,725
—
2,725
Marketable equity securities176
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)(4)
—
233
1,460
1,693
—
1,693
—
121
681
802
—
802
Total investments$151,499
$144,064
$6,273
$301,836
$—
$301,836
$165,507
$123,772
$2,437
$291,716
$—
$291,716

260


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, 2017Level 1Level 2Level 3Gross
inventory
Netting(1)
Net
balance
Loans(6)
$—
$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
 
Cash collateral paid(7)
 123
 
Netting of cash collateral received(8)
 $(1,791) 
Non-trading derivatives and other financial assets measured on a recurring basis$—
$9,352
$78
$9,553
$(1,791)$7,762
$13,903
$4,640
$16
$18,559
$—
$18,559
Total assets$261,637
$1,322,433
$41,328
$1,632,044
$(873,723)$758,321
$292,700
$790,217
$11,059
$1,101,517
$(400,571)$700,946
Total as a percentage of gross assets(7)
16.1%81.4%2.5% 
Total as a percentage of gross assets(5)
26.8%72.2%1.0%   
Liabilities      
Interest-bearing deposits$—
$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
Federal funds purchased and securities loaned and sold under agreements to repurchase—
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$59,463
$11,057
$424
$70,944
$—
$70,944
$65,843
$11,715
$27
$77,585
$—
$77,585
Trading account derivatives      
Interest rate contracts$77
$617,933
$4,272
$622,282
 $137
$182,372
$2,130
$184,639
  
Foreign exchange contracts—
158,354
472
158,826
 9
120,316
447
120,772
  
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
 —
19,824
1,709
21,533
  
Total trading derivatives$3,701
$865,562
$13,930
$883,193
 $2,691
$363,466
$9,187
$375,344
  
Cash collateral received(8)
 $9,846
 
Cash collateral received(6)
  $14,308
  
Netting agreements $(777,178)    $(306,401) 
Netting of cash collateral paid(3)
 (47,769) 
Netting of cash collateral paid   (35,666) 
Total trading derivatives$3,701
$865,562
$13,930
$893,039
$(824,947)$68,092
$2,691
$363,466
$9,187
$389,652
$(342,067)$47,585
Short-term borrowings$—
$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
 
Cash collateral received(9)
 7
 
Netting of cash collateral paid(7)
 $(15) 
Non-trading derivatives and other financial liabilities measured on a recurring basis$—
$1,777
$7
$1,791
$(15)$1,776
$13,903
$50
$8
$13,961
$—
$13,961
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(4)
5.9%91.9%2.2% 
Total as a percentage of gross liabilities(5)
13.7%82.4%3.9%   

(1)In 2014, the Company transferred assets of approximately $4.1 billion from Level 1 to Level 2, primarily related to foreign government securities not traded with sufficient frequency to constitute an active market and Citi refining its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. In 2014, the Company transferred assets of approximately $4.2 billion from Level 2 to Level 1, primarily related to foreign government bonds traded with sufficient frequency to constitute a liquid market. In 2014, the Company transferred liabilities of approximately $1.4 billion from Level 1 to Level 2, as Citi refined its methodology for certain equity contracts to reflect the prevalence of off-exchange trading. In 2014, there were no material liability transfers from Level 2 to Level 1.
(2)Represents netting of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase;repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(2)Includes positions related to investments in unallocated precious metals, as discussed in Note 25 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(3)Reflects the net amount of $54,292$43,207 million of gross cash collateral paid, of which $47,769$35,666 million was used to offset trading derivative liabilities.
(4)
Amounts exclude $0.4 billion of investments measured at NAV in accordance with ASU 2015-07.
(5)Because the amount of the cash collateral paid/received has not been allocated to the Level 1, 2 and 3 subtotals, these percentages are calculated based on total assets and liabilities measured at fair value on a recurring basis, excluding the cash collateral paid/received on derivatives.
(5)
Amounts exclude $1.1 billion investments measured at Net Asset Value (NAV) in accordance with ASU No. 2015-07, Fair Value Measurement (Topic 820): Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). See Note 1 to the Consolidated Financial Statements.
(6)There is no allowance for loan losses recorded for loans reported at fair value.
(7)
Reflects the net amount of $138 million of gross cash collateral paid, of which $15 million was used to offset non-trading derivative liabilities.
(8)Reflects the net amount of $57,471$52,840 million of gross cash collateral received, of which $47,625$38,532 million was used to offset trading derivative assets.
(9)Reflects the net amount of $1,798 million of gross cash collateral received, of which $1,791 million was used to offset non-trading derivative assets.

261


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, 20152018 and 2014. 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.2017. 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:


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, 2014Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2015Dec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2018
Assets  
Federal funds sold and securities borrowed or purchased under agreements to resell$3,398
$(147)$—
$279
$(2,856)$784
$—
$—
$(121)$1,337
$(5)
Federal funds sold and securities borrowed and purchased under agreements to resell$16
$17
$—
$50
$—
$95
$—
$16
$(79)$115
$9
Trading non-derivative assets  
Trading mortgage-backed securities  
U.S. government-sponsored agency guaranteed1,085
24
—
872
(1,277)796
—
(756)—
744
(4)163
5
—
92
(107)281
—
(278)—
156
186
Residential2,680
254
—
370
(480)1,574
—
(3,072)—
1,326
(101)164
112
—
124
(133)154
—
(153)—
268
4
Commercial440
18
—
252
(157)697
—
(733)—
517
(7)57
(7)—
24
(49)110
—
(58)—
77
—
Total trading mortgage-backed securities$4,205
$296
$—
$1,494
$(1,914)$3,067
$—
$(4,561)$—
$2,587
$(112)$384
$110
$—
$240
$(289)$545
$—
$(489)$—
$501
$190
U.S. Treasury and federal agency securities$—
$—
$—
$2
$(1)$1
$—
$(1)$—
$1
$—
$—
$—
$—
$6
$(4)$1
$—
$—
$(2)$1
$—
State and municipal241
—
—
67
(35)183
—
(105)—
351
(7)274
22
—
—
(96)45
—
(45)—
200
9
Foreign government206
(10)—
53
(100)271
—
(169)(54)197
6
16
(2)—
5
(13)75
—
(50)—
31
(28)
Corporate820
111
—
186
(288)802
—
(1,244)(11)376
(29)275
(72)—
138
(122)596
(40)(415)—
360
(32)
Equity securities2,219
547
—
344
(371)1,377
—
(432)—
3,684
464
120
2
—
25
(62)290
—
(222)—
153
(56)
Asset-backed securities3,294
141
—
663
(282)4,426
—
(5,503)—
2,739
(174)1,590
28
—
77
(90)1,238
—
(1,359)—
1,484
(21)
Other trading assets4,372
180
—
968
(3,290)2,504
51
(2,110)(192)2,483
(45)615
276
—
197
(82)598
8
(777)(17)818
91
Total trading non-derivative assets$15,357
$1,265
$—
$3,777
$(6,281)$12,631
$51
$(14,125)$(257)$12,418
$103
$3,274
$364
$—
$688
$(758)$3,388
$(32)$(3,357)$(19)$3,548
$153
Trading derivatives, net(4)
  
Interest rate contracts$(211)$(492)$—
$(124)$15
$24
$—
$141
$152
$(495)$553
$(422)$414
$—
$(6)$(193)$8
$17
$(32)$60
$(154)$336
Foreign exchange contracts778
(245)—
(11)27
393
—
(381)59
620
(12)130
(99)—
(29)77
11
—
(89)(7)(6)(72)
Equity contracts(863)148
—
(126)66
496
—
(334)(187)(800)41
(2,027)479
—
(131)1,114
25
(44)(17)(183)(784)52
Commodity contracts(1,622)(753)—
214
(28)—
—
—
328
(1,861)(257)(1,861)(505)—
(32)2,180
62
—
(19)157
(18)(171)
Credit derivatives(743)555
—
9
61
1
—
(3)427
307
442
(799)261
—
(7)391
2
—
1
212
61
87
Total trading derivatives, net(4)
$(2,661)$(787)$—
$(38)$141
$914
$—
$(577)$779
$(2,229)$767
$(4,979)$550
$—
$(205)$3,569
$108
$(27)$(156)$239
$(901)$232

262Table 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, 2014Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2015Dec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsDec. 31, 2018
Investments  
Mortgage-backed securities  
U.S. government-sponsored agency guaranteed$38
$—
$29
$171
$(118)$62
$—
$(43)$—
$139
$(2)$24
$—
$10
$—
$—
$—
$—
$(2)$—
$32
$14
Residential8
—
(1)4
—
11
—
(18)—
4
—
—
—
—
—
—
—
—
—
—
—
—
Commercial1
—
—
4
(3)—
—
—
—
2
—
3
—
2
1
(1)—
—
(5)—
—
—
Total investment mortgage-backed securities$47
$—
$28
$179
$(121)$73
$—
$(61)$—
$145
$(2)$27
$—
$12
$1
$(1)$—
$—
$(7)$—
$32
$14
U.S. Treasury and federal agency securities$6
$—
$—
$—
$—
$6
$—
$(8)$—
$4
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal2,180
—
(23)834
(721)842
—
(671)(249)2,192
9
737
—
(20)—
(18)211
—
(202)—
708
(29)
Foreign government678
—
45
(5)(270)601
—
(519)(270)260
(1)92
—
(3)3
(4)141
—
(161)—
68
4
Corporate672
—
(7)15
(52)144
—
(134)(35)603
(4)71
—
(1)61
(66)101
—
(10)—
156
—
Equity securities681
—
(22)12
(14)7
—
(540)—
124
(120)
Marketable equity securities2
—
1
—
—
—
—
(2)(1)—
—
Asset-backed securities549
—
(17)45
(58)202
—
(125)—
596
14
827
—
(21)10
(524)63
—
(168)—
187
—
Other debt securities—
—
—
—
—
10
—
(10)—
—
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities1,460
—
(50)76
6
5
—
(58)(304)1,135
26
681
—
(95)193
—
91
—
(234)(50)586
55
Total investments$6,273
$—
$(46)$1,156
$(1,230)$1,890
$—
$(2,126)$(858)$5,059
$(78)$2,437
$—
$(127)$268
$(613)$607
$—
$(784)$(51)$1,737
$44
Loans$3,108
$—
$(303)$689
$(805)$1,190
$461
$(807)$(1,367)$2,166
$24
$550
$—
$(319)$—
$13
$140
$—
$(103)$(4)$277
$236
Mortgage servicing rights1,845
—
110
—
—
—
214
(38)(350)1,781
(390)558
—
54
—
—
—
58
(18)(68)584
59
Other financial assets measured on a recurring basis78
—
100
201
(66)6
208
(85)(262)180
582
16
—
51
—
(11)4
12
(12)(60)—
63
Liabilities  
Interest-bearing deposits$486
$—
$10
$1
$(1)$—
$36
$—
$(78)$434
$(154)$286
$—
$14
$13
$(1)$—
$215
$—
$(4)$495
$(355)
Federal funds purchased and securities loaned or sold under agreements to repurchase1,043
(23)—
—
—
—
—
302
(121)1,247
134
Federal funds purchased and securities loaned and sold under agreements to repurchase726
(8)—
1
—
—
243
(31)36
983
24
Trading account liabilities  
Securities sold, not yet purchased424
88
—
311
(231)—
—
385
(602)199
(25)22
(454)—
187
(172)7
226
(39)(99)586
(238)
Other trading liabilities5
5
—
—
—
—
—
—
—
—
—
Short-term borrowings344
11
—
23
(30)—
1
—
(318)9
(4)18
53
—
72
(46)—
86
—
(40)37
25
Long-term debt7,290
539
—
2,311
(3,958)—
3,407
—
(1,560)6,951
(347)13,082
(182)—
2,850
(3,514)36
(18)(45)(3)12,570
(2,871)
Other financial liabilities measured on a recurring basis7
—
(11)10
(4)(5)5
2
(12)14
(4)8
—
(2)1
(10)—
2
—
(3)—
(8)
(1)
Changes in fair value for available-for-sale investments are recorded in Accumulated other comprehensive income (loss),AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments onin the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue onin 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, 2015.
2018.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.




263


 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
Federal funds sold and securities borrowed and purchased under agreements to resell$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)$17,516
$26
$(18,292)$(436)$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)
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)
Marketable equity securities9
—
(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 securities2,508
—
211
67
—
416
—
(768)(974)1,460
81
1,331
—
(170)2
—
19
—
(233)(268)681
44
Total investments$7,902
$—
$344
$1,304
$(1,110)$3,183
$—
$(2,838)$(2,512)$6,273
$5
$3,861
$—
$(175)$186
$(1,021)$1,812
$—
$(1,958)$(268)$2,437
$99

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
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
178
(18)(283)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)
Federal funds purchased and securities loaned and sold under agreements to repurchase849
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)7
(3)(2)1
(3)(8)7
(4)8
—
—
5
—
—
5
(1)(9)8
(1)
(1)
Changes in fair value of available-for-sale investments are recorded in Accumulated other comprehensive income (loss),AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments onin the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue onin 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 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, 20142017 to December 31, 2015:2018:

Transfers of Federal Funds sold and securities borrowed or purchased under agreements to resellEquity Contract Derivatives of $2.9$1.1 billion from Level 3 to Level 2 related to shortening ofequity derivatives where 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; thus, these positions are generally classified as Level 2.unobservable components were deemed insignificant.
Transfers of U.S. government-sponsored agency guaranteed MBS in Trading account assetsCommodity Contract Derivatives of $0.9$2.2 billion from Level 3 to Level 2 related to commodity derivatives where the unobservable component of the derivatives were deemed insignificant.
Transfers of Long-Term Debt of $2.9 billion from Level 2 to Level 3, and of $1.3 billion from Level 3 to Level 2 primarily related to changes in observability due to market trading activity.
Transfers of other trading assets of $1.0 billion from Level 2 to Level 3, and of $3.3 billion from Level 3 to Level 2 primarily related to trading loans for which there were changes in volume of and transparency into market quotations.
Transfers of Long-term debt of $2.3 billion from Level 2 to Level 3, and of $4.0 billion from Level 3 to Level 2, mainly related to structured debt, reflecting certain unobservable inputs becoming less significant and certain underlying market inputs being more observable.


The following were the significant Level 3 transfers for the period December 31, 2013 to December 31, 2014:

Transfers of Long-term debt of $2.7 billion from Level 2 to Level 3, and of $4.2$3.5 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, 2016 to December 31, 2017:

Transfers of other trading assets Federal funds sold and securities borrowed or purchased under agreements to resell of $2.6$1.2 billion from Level 23 to Level 3,2, related to the significance of unobservable inputs as well as certain underlying market inputs becoming more observable and shortening of $2.3the 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.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 $1.3 billion from Level 2 to Level 3, and of $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.






265


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 complexity. The
valuation methodologies used to measure the fair value of
these positions include discounted cash flow 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. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets      
Federal funds sold and securities borrowed and purchased under agreements to resell$115
Model-basedInterest rate2.52 %7.43%5.08 %
    





Mortgage-backed securities$313
Price-basedPrice$11.25
$110.35
$90.07
 198
Yield analysisYield2.27 %8.70%3.74 %
State and municipal, foreign government, corporate and other debt securities$1,212
Price-basedPrice$—
$103.75
$91.39
 938
Model-basedCredit spread35 bps
446 bps
238 bps
Equity securities(5)
$108
Price-basedPrice$—
$20,255.00
$1,247.85
 45
Model-basedWAL1.47 years
1.47 years
1.47 years
Asset-backed securities$1,608
Price-basedPrice$2.75
$101.03
$66.18
Non-marketable equity$293
Comparables analysisDiscount to price— %100.00%0.66 %
 255
Price-basedEBITDA multiples5.00x
34.00x
9.73x
   Net operating income multiple24.70x
24.70x
24.70x
   Price$2.38
$1,073.80
$420.24
   Revenue multiple2.25x
16.50x
7.06x
Derivatives—gross(6)
      
Interest rate contracts (gross)$3,467
Model-basedMean reversion1.00 %20.00%10.50 %
   Inflation volatility0.22 %2.65%0.77 %
   IR normal volatility0.16 %86.31%56.24 %
Foreign exchange contracts (gross)$626
Model-basedForeign exchange (FX) volatility3.15 %17.35%11.37 %
 73
Cash flowIR-IR correlation(51.00)%40.00%32.69 %
   IR-FX correlation40.00 %60.00%50.00 %
   Credit spread39 bps
676 bps
423 bps
   IR basis(0.65)%0.11%(0.17)%
   Yield6.98 %7.48%7.23 %
Equity contracts (gross)(7)
$1,467
Model-basedEquity volatility3.00 %78.39%37.53 %
   Forward price64.66 %144.45%98.55 %
   Equity-Equity correlation(81.39)%100.00%35.49 %
   Equity-FX correlation(86.27)%70.00%(1.20)%
   WAL1.47 years
1.47 years
1.47 years
Commodity contracts (gross)$1,552
Model-basedForward price15.30 %585.07%145.08 %
   Commodity volatility8.92 %59.86%20.34 %
   Commodity correlation(51.90)%92.11%40.71 %

Valuation Techniques and Inputs for Level 3 Fair Value Measurements
As of December 31, 2015
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$1,337
Model-basedIR log-normal volatility29.02 %137.02%37.90 %
   Interest rate— %2.03%0.27 %
Mortgage-backed securities$1,287
Price-basedPrice$3.45
$109.21
$78.25
 1,377
Yield analysisYield0.50 %14.07%4.83 %
State and municipal, foreign government, corporate and other debt securities$3,761
Price-basedPrice$—
$217.00
$79.41
 1,719
Cash flowCredit spread20 bps
600 bps
251 bps
Equity securities(5)
$3,499
Model-basedWAL1.5 years
1.5 years
1.5 years
 


Redemption rate41.21 %41.21%41.21 %
Asset-backed securities$3,075
Price-basedPrice$5.55
$100.21
$71.57
Non-marketable equity$633
Comparables analysisEBITDA multiples6.80x10.80x9.05x
 473
Price-basedDiscount to price— %90.00%10.89 %
 


Price-to-book ratio0.19x
1.09x
0.60x
   Price$—
$132.78
$46.66
Derivatives—gross(6)
      
Interest rate contracts (gross)$4,553
Model-basedIR log-normal volatility17.41 %137.02%37.60 %
   Mean reversion(5.52)%20.00%0.71 %
Foreign exchange contracts (gross)$1,326
Model-basedForeign exchange (FX) volatility0.38 %25.73%11.63 %
 275
Cash flowInterest rate7.50 %7.50%7.50 %
   Forward price1.48 %138.09%56.80 %
   Credit spread3 bps
515 bps
235 bps
   IR-IR correlation(51.00)%77.94%32.91 %
   IR-FX correlation(20.30)%60.00%48.85 %
Equity contracts (gross)(7)
$3,976
Model-basedEquity volatility11.87 %49.57%27.33 %
 


Equity-FX correlation(88.17)%65.00%(21.09)%
   Equity forward82.72 %100.53%95.20 %
   Equity-equity correlation(80.54)%100.00%49.54 %
Commodity contracts (gross)$4,061
Model-basedForward price35.09 %299.32%112.98 %
   Commodity volatility5.00 %83.00%24.00 %
   Commodity correlation(57.00)%91.00%30.00 %
Credit derivatives (gross)$5,849
Model-basedRecovery rate1.00 %75.00%32.49 %
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Credit derivatives (gross)$1,089
Model-basedCredit correlation5.00 %85.00%41.06 %
 701
Price-basedUpfront points7.41 %99.04%58.95 %
   Credit spread2 bps
1,127 bps
87 bps
   Recovery rate5.00 %65.00%46.40 %
   Price$16.59
$98.00
$81.19
Loans and leases$248
Model-basedCredit spread138 bps
255 bps
147 bps
 29
Price-basedYield0.30 %0.47%0.32 %
   Price$55.83
$110.00
$92.40
Mortgage servicing rights$501
Cash flowYield4.60 %12.00%7.79 %
 84
Model-basedWAL3.55 years
7.45 years
6.39 years
Liabilities      
Interest-bearing deposits$495
Model-basedMean reversion1.00 %20.00%10.50 %
   Forward price64.66 %144.45%98.55 %
   Equity volatility3.00 %78.39%43.49 %
Federal funds purchased and securities loaned and sold under agreements to repurchase$983
Model-basedInterest rate2.52 %3.21%2.87 %
Trading account liabilities      
Securities sold, not yet purchased$509
Model-basedForward price15.30 %585.07%105.69 %
 77
Price-basedEquity volatility3.00 %78.39%43.49 %
   Equity-Equity correlation(81.39)%100.00%34.04 %
   Equity-FX correlation(86.27)%70.00%(1.20)%
   Commodity volatility8.92 %59.86%20.34 %
   Commodity correlation(51.90)%92.11%40.71 %
   Equity-IR correlation(40.00)%70.37%30.80 %
       
Short-term borrowings and long-term debt$12,289
Model-basedMean reversion1.00 %20.00%10.50 %
   IR normal volatility0.16 %86.31%56.61 %
   Forward price64.66 %144.45%98.58 %
   Equity volatility3.00 %78.39%43.24 %

266


As of December 31, 2015
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
 1,424
Price-basedCredit correlation5.00 %90.00%43.48 %
   Price$0.33
$101.00
$61.52
   Credit spread1 bps
967 bps
133 bps
   Upfront points7.00 %99.92%66.75 %
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$194
Model-basedRecovery rate7.00 %40.00%10.72 %
 

Redemption rate27.00 %99.50%74.80 %
   Interest rate5.26 %5.28%5.27 %
Loans$750
Price-basedYield1.50 %4.50%2.52 %
 892
Model-basedPrice$—
$106.98
$40.69
 524
Cash flowCredit spread29 bps
500 bps
105 bps
Mortgage servicing rights$1,690
Cash flowYield— %23.32%6.83 %
   WAL3.38 years
7.48 years
5.5 years
Liabilities      
Interest-bearing deposits$434
Model-basedEquity-IR correlation23.00 %39.00%34.51 %
   Forward price35.09 %299.32%112.72 %
   Commodity correlation(57.00)%91.00%30.00 %
   Commodity volatility5.00 %83.00%24.00 %
Federal funds purchased and securities loaned or sold under agreements to repurchase$1,245
Model-basedInterest rate1.27 %2.02%1.92 %
Trading account liabilities      
Securities sold, not yet purchased$152
Price-basedPrice$—
$217.00
$87.78
Short-term borrowings and long-term debt$7,004
Model-basedMean reversion(5.52)%20.00%7.80 %
   Equity volatility9.55 %42.56%22.26 %
   Equity forward82.72 %100.80%94.48 %
   Equity-equity correlation(80.54)%100.00%49.16 %
   Forward price35.09 %299.32%106.32 %
   Equity-FX correlation(88.20)%56.85%(31.76)%
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 and 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%
Marketable equity securities(5)
$65
Priced-basedPrice$—
$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 multiples6.90x
12.80x
8.66x












267


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
Derivatives—gross(6)
   


Interest rate contracts (gross)$8,309
Model-basedInterest rate (IR) log-normal 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 %
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
Non-trading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$74
Model-basedRedemption rate13.00 %99.50%68.73 %
 
 Forward Price107.00 %107.10%107.05 %
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 






268


As of December 31, 2014
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
223
Price-basedDiscount to price— %100.00%11.83%
  Price-to-book ratio0.05x
1.00x
0.32x
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
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$1,750
Cash flowYield5.19 %21.40%10.25 %$471
Cash flowYield8.00 %16.38%11.47%
  WAL3.31 years
7.89 years
5.17 years
87
Model-basedWAL3.83 years
6.89 years
5.93 years
Liabilities

 





  





Interest-bearing deposits$486
Model-basedEquity-IR correlation34.00 %37.00%35.43 %$286
Model-basedMean reversion1.00 %20.00%10.50%

 Commodity correlation(57.00)%91.00%30.00 %

 Forward price99.56 %99.95%99.72%

 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 %
Federal funds purchased and securities loaned and sold under agreements to repurchase$726
Model-basedInterest rate1.43 %2.16%2.09%
Trading account liabilities

 





  





Securities sold, not yet purchased$251
Model-basedCredit-IR correlation(70.49)%8.81%47.17 %$21
Price-basedPrice$1.00
$287.64
$88.19
$142
Price-basedPrice$—
$117.00
$70.33
Short-term borrowings and long-term debt$7,204
Model-basedIR log-normal volatility18.05 %90.65%30.21 %$13,100
Model-basedForward price69.74 %161.11%100.70%
  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 %
(1)The fair value amounts presented in these tables represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Some inputs are shown as zero due to rounding.
(3)When the low and high inputs are the same, there is either a constant input applied to all positions or the methodology involving the input applies to only one large position.
(4)Weighted averages are calculated based on the fair values of the instruments.
(5)For equity securities, the price 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.


269


SensitivityUncertainty of Fair Value Measurements Relating to Unobservable Inputs
Valuation uncertainty arises when there is insufficient or disperse market data to allow a precise determination of the exit value of a fair-valued position or portfolio in today’s market. This is especially prevalent in Level 3 fair value instruments, where uncertainty exists in valuation inputs that may be both unobservable and Interrelationships between Unobservable Inputs
significant to the instrument’s (or portfolio’s) overall fair value measurement. The impact ofuncertainties associated with 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 impactuncertainty 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 interrelationshipssome of the most significant unobservable inputs used by the Company in Level 3 fair value measurements.

Correlation
Correlation is a measure of the extent to which two or more 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-exchangeforeign exchange options, CDOs backed by loans or bonds, mortgages, subprime mortgages and many other instruments. For almost all of these instruments, correlations are not directly observable in the market and must be calculated using alternative sources, including historical information. Estimating correlation can be especially difficult where it may vary over time. Calculatingtime, and calculating correlation information from market data requires significant assumptions regarding the informational efficiency of the market (for example,(e.g., swaption markets). Uncertainty therefore exists when an estimate of the appropriate level of correlation as an input into some fair value measurements is required.
Changes in correlation levels can have a majorsubstantial 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 largergreater losses in the event of default and a partportion 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. observable and need to be estimated using alternative methods, such as using comparable instruments, historical analysis or other sources of market information. This leads to uncertainty around the final fair value measurement of instruments with unobservable volatilities.
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 largergreater 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,(e.g., 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


270


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 on 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.



271


Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and therefore are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity securities that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-saleHFS and other real estate owned that are measured at the lower of cost or market.
The following table presentstables present the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
December 31, 2015 
Loans held-for-sale$10,326
$6,752
$3,574
December 31, 2018 
Loans HFS(1)
$5,055
$3,261
$1,794
Other real estate owned107
15
92
78
62
16
Loans(1)(2)
1,173
836
337
390
139
251
Non-marketable equity securities measured using the measurement alternative261
192
69
Total assets at fair value on a nonrecurring basis$11,606
$7,603
$4,003
$5,784
$3,654
$2,130
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
December 31, 2014 
Loans held-for-sale$4,152
$1,084
$3,068
December 31, 2017 
Loans HFS(1)
$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
(1)
(1)Net of fair value amounts on the unfunded portion of loans HFS, 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, primarily real estate secured loans.

The fair value of loans-held-for-saleloans HFS 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.
The fair value of non-marketable equity securities under the measurement alternative is based on observed transaction prices for the identical or similar investment of the same issuer, or an internal valuation technique in the case of an impairment. Where significant adjustments are made to the observed transaction price or when an internal valuation technique is used, the security is classified as Level 3. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.


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, 2015
Fair value(1)
 (in millions)
MethodologyInput
Low(5)
High
Weighted
average(2)
Loans held-for-sale$3,486
Price-basedPrice$—
$100.00
$81.05
Other real estate owned90
Price-based
Discount to price(4)
0.34%13.00%2.86%
 2
 Appraised value$—
$8,518,230
$3,813,045
Loans(3)
$157
Recovery analysisRecovery rate11.79%60.00%23.49%
 87
Price-based
Discount to price(4)
13.00%34.00%7.99%
As of December 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$1,729
Price-basedPrice$0.79
$100.00
$69.52
Other real estate owned$15
Price-based
Appraised value(4)
$8,394,102
$8,394,102
$8,394,102
 2
Recovery analysis
Discount to price(5)
13.00%13.00%13.00%
   Price$56.30
$83.08
$58.27
Loans(6)
$251
Recovery analysisRecovery rate30.60%100.00%50.51%
 
 Price$2.60
$85.04
$28.21
Non-marketable equity securities measured using the measurement alternative$66
Price-basedPrice$45.80
$1,514.00
$570.26
(1)
The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Weighted averages are calculated based on the fair values of the instruments.
(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.
(5)Some inputs are shown as zero due to rounding.


272


As of December 31, 2014
Fair value(1)
 (in millions)
MethodologyInputLowHigh
Weighted
average(2)
Loans held-for-sale$2,740
Price-basedPrice$92.00
$100.00
$99.54


 Credit spread5 bps
358 bps
175 bps
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans HFS$3,186
Price-basedPrice$77.93
$100.00
$99.26
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)(4)
$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)Some inputs are shown as zero due to rounding.
(3)Weighted averages are calculated based on the fair values of the instruments.
(3)(4)Appraised values are disclosed in whole dollars.
(5)Includes estimated costs to sell.
(6)Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.collateral, primarily real estate secured loans.
(4)Includes estimated costs to sell.


Nonrecurring Fair Value Changes
The following table presentstables present total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:
 Year ended December 31,
In millions of dollars2018
Loans HFS$(13)
Other real estate owned(2)
Loans(1)
(22)
Non-marketable equity securities measured using the measurement alternative

194
Total nonrecurring fair value gains (losses)$157
 Year ended December 31,
In millions of dollars2015
Loans held-for-sale$(79)
Other real estate owned(17)
Loans(1)
(142)
Total nonrecurring fair value gains (losses)$(238)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate loans.



Year ended December 31,Year ended December 31,
In millions of dollars20142017
Loans held-for-sale$34
Loans HFS$(26)
Other real estate owned(16)(4)
Loans(1)
(533)(87)
Non-marketable equity securities measured using the measurement alternative—
Total nonrecurring fair value gains (losses)$(515)$(117)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate loans.


273


Estimated Fair Value of Financial Instruments Notnot Carried at Fair Value
The table below presentsfollowing tables present the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The tabletables below therefore excludesexclude 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 excludestables exclude 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 estimatesFair values vary from period to period based on changes in a wide range of methodologiesfactors, including interest rates, credit quality and assumptions. The
carrying valuemarket perceptions 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 interestas existing assets and liabilities run off and new transactions are used to discount contractual cash flows.entered into.

December 31, 2015Estimated fair valueDecember 31, 2018Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$41.7
$42.7
$3.5
$36.4
$2.8
$68.9
$68.5
$1.0
$65.4
$2.1
Federal funds sold and securities borrowed or purchased under agreements to resell81.7
81.7
—
77.4
4.3
Federal funds sold and securities borrowed and purchased under agreements to resell123.0
123.0
—
121.6
1.4
Loans(1)(2)
597.5
595.7
—
6.0
589.7
667.1
666.9
—
5.6
661.3
Other financial assets(2)(3)
186.5
186.5
6.9
126.2
53.4
249.7
250.1
172.3
15.8
62.0
Liabilities  
Deposits$906.3
$896.7
$—
$749.4
$147.3
$1,011.7
$1,009.5
$—
$847.1
$162.4
Federal funds purchased and securities loaned or sold under agreements to repurchase109.7
109.7
—
109.4
0.3
133.3
133.3
—
133.3
—
Long-term debt(4)
176.0
180.8
—
153.8
27.0
193.8
193.7
—
178.4
15.3
Other financial liabilities(5)
97.6
97.6
—
18.0
79.6
103.8
103.8
—
17.2
86.6

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
Federal funds sold and securities borrowed and purchased under agreements to resell99.5
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
$894.4
$—
$766.7
$127.7
$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
Federal funds purchased and securities loaned and sold under agreements to repurchase115.6
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

274


(1)
The carrying value of loans is net of the Allowance for loan losses of $12.6$12.3 billion for December 31, 20152018 and $16.0$12.4 billion for December 31, 2014.2017. In addition, the carrying values exclude $2.4$1.6 billion and $2.7$1.7 billion of lease finance receivables at December 31, 20152018 and December 31, 2014,2017, 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, 20152018 and December 31, 20142017 were liabilities of $7.0$7.8 billion and $5.5$3.2 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 cancellablecancelable by providing notice to the borrower.



275


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 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 associated withof those items for which the fair value option washas been elected:
Changes in fair value gains (losses) for the
Changes in fair value gains (losses) for the years ended
December 31,
years ended December 31,
In millions of dollars201520142018 2017
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
$(153)$(154)
Federal funds sold and securities borrowed and purchased under agreements to resell$(6) $(133)
Trading account assets(305)190
(337) 1,622
Investments57
30
—
 (3)
Loans

 
Certain corporate loans(1)
(192)(135)(116) (537)
Certain consumer loans(1)
3
(41)—
 3
Total loans$(189)$(176)$(116) $(534)
Other assets

 
MSRs$104
$(344)$54
 $65
Certain mortgage loans held for sale(2)
331
474
Certain mortgage loans HFS(1)
38
 142
Other assets—
 —
Total other assets$435
$130
$92
 $207
Total assets$(155)$20
$(367) $1,159
Liabilities    
Interest-bearing deposits$(94)$(77)$20
 $(69)
Federal funds purchased and securities loaned or sold under agreements to repurchase
selected portfolios of securities sold under agreements to repurchase and securities loaned
3
(5)
Federal funds purchased and securities loaned and sold under agreements to repurchase

(118) 223
Trading account liabilities(60)29
(13) 70
Short-term borrowings(59)8
150
 (116)
Long-term debt343
(307)
Long-term debt(2)
3,048
 (1,491)
Total liabilities$133
$(352)$3,087
 $(1,383)
(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.

276
(2)Includes $1.4 billion and ($0.7) billion of DVA which is included in AOCI for the years ended December 31, 2018 and 2017, respectively.



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. 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) waswere a gain of $367$1,415 million and $218a loss of $680 million for the years ended December 31, 20152018 and 2014,2017, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.

The Fair Value Option for Financial Assets and Financial Liabilities

Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Non-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-rateinterest 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 Interest expense in the Consolidated Statement of Income.

Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.

The following table provides information about certain credit products carried at fair value:
December 31, 2015December 31, 2014December 31, 2018December 31, 2017
In millions of dollarsTrading assetsLoansTrading assetsLoansTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$9,314
$5,005
$10,290
$5,901
$10,108
$3,224
$8,851
$4,374
Aggregate unpaid principal balance in excess of (less than) fair value980
280
234
125
Aggregate unpaid principal balance in excess of fair value435
741
623
682
Balance of non-accrual loans or loans more than 90 days past due5
2
13
3
—
1
—
1
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due13
1
28
1
—
—
—
1
In addition to the amounts reported above, $2,113$1,137 million and $2,335$508 million of unfunded commitments related to certain credit products selected for fair value accounting were outstanding as of December 31, 20152018 and 2014,2017, 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, 20152018 and 20142017 due to instrument-specific credit risk totaled to a loss of $221$27 million and $155a gain of $10 million, respectively.



277


Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.6$0.4 billion and $1.2$0.9 billion at December 31, 20152018 and 2014,2017, 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, 2015,2018, there were approximately $10.6$13.7 billion and $9.2$10.3 billion in notional amounts of such forward purchase and forward sale derivative contracts outstanding, respectively.

 
Certain Investments in Private Equity and Real Estate Ventures and Certain Equity Method and Other 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 electselected 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. Effective January 1, 2018 under ASU 2016-01 and ASU 2018-03, a fair value option election is no longer required to measure these non-marketable equity securities through earnings. See Note 1 to the Consolidated Financial Statements for additional details.

Certain Mortgage Loans HFSHeld-for-Sale
Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications.


The following table provides information about certain mortgage loans HFS carried at fair value:
In millions of dollarsDecember 31,
2015		December 31, 2014December 31,
2018		December 31, 2017
Carrying amount reported on the Consolidated Balance Sheet$745
$1,447
$556
$426
Aggregate fair value in excess of unpaid principal balance20
67
Aggregate fair value in excess of (less than) unpaid principal balance21
14
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, 20152018 and 20142017 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.


278


Certain Structured Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option, because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (Trading account liabilities) on the Company’s Consolidated Balance Sheet according to their legal form.

The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument:
In billions of dollarsDecember 31, 2015December 31, 2014December 31, 2018December 31, 2017
Interest rate linked$9.6
$10.9
$17.3
$13.9
Foreign exchange linked0.3
0.3
0.5
0.3
Equity linked9.9
8.0
14.8
13.0
Commodity linked1.4
1.4
1.2
0.2
Credit linked1.6
2.5
1.9
1.9
Total$22.8
$23.1
$35.7
$29.3
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) is reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions. Changes in the fair value of these structured liabilities include an economic component for accrued interest, which is also included in the change in fair value reported in Principal transactions.

Certain Non-Structured Liabilities
The Company has elected the fair value option for certain non-structured liabilities with fixed and floating interest rates. The Company has elected the fair value option where the interest-rateinterest
rate risk of such liabilities ismay 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. The changeportion of the changes in the fair value attributable to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of these non-structured liabilities isAOCI while all other changes in fair value will continue to be reported in Principal transactions in the Company’s Consolidated Statement of Income. Related interest.
Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.


The following table provides information about long-term debt carried at fair value:
In millions of dollarsDecember 31, 2015December 31, 2014December 31, 2018December 31, 2017
Carrying amount reported on the Consolidated Balance Sheet$25,293
$26,180
$38,229
$31,392
Aggregate unpaid principal balance in excess of (less than) fair value1,569
(151)3,814
(579)

The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsDecember 31, 2015December 31, 2014December 31, 2018December 31, 2017
Carrying amount reported on the Consolidated Balance Sheet$1,207
$1,496
$4,483
$4,627
Aggregate unpaid principal balance in excess of (less than) fair value130
31
861
74

279


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. The approximate carrying values of the significant components of pledged assets recognized on the Company’sCiti’s Consolidated Balance Sheet included:included the following:
In millions of dollars20152014December 31, 2018December 31,
2017
Investment securities$210,604
$173,015
$148,756
$138,807
Loans203,568
214,530
227,840
229,552
Trading account assets97,205
111,832
120,292
104,360
Total$511,377
$499,377
$496,888
$472,719

Restricted Cash
Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash includes minimum reserve requirements with the Federal
Reserve Bank and certain other central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the United States Securities and Exchange Commission (SEC), the Commodities Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority.
Restricted cash is included on the Consolidated Balance Sheet within the following balance sheet lines:
In millions of dollarsDecember 31,
2018
December 31,
2017
Cash and due from banks$4,000
$3,151
Deposits with banks27,208
27,664
Total$31,208
$30,815

In addition, included in Cash and due from banks and Deposits with banksat December 31, 20152018 and 20142017 were $5.0$8.3 billion and $6.2$7.4 billion, respectively, of cash segregated under federal and other brokerage regulations or deposited with clearing organizations.

Collateral
At December 31, 20152018 and 2014,2017, the approximate fair value of collateral received by the CompanyCiti that may be resold or repledged, excluding the impact of allowable netting, was $347.5$526.0 billion and $346.7$457.5 billion, respectively. This collateral was received in connection with resale agreements, securities borrowings and loans, securities for securities lending transactions, derivative transactions and margined broker loans.
At December 31, 20152018 and 2014,2017, 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, 20152018 and 2014, the Company2017, Citi had pledged $405$373.7 billion and $378$363.3 billion,
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 $1.3$1.0 billion, $1.4$1.1 billion and $1.5$1.1 billion for the years ended December 31, 2015, 20142018, 2017 and 2013,2016, respectively.
Future minimum annual rentals under noncancellablenon-cancelable leases, net of sublease income, are as follows:
In millions of dollars  
2016$1,238
20171,002
2018778
2019698
$925
2020567
748
2021657
2022525
2023394
Thereafter4,483
1,890
Total$8,766
$5,139

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:

 Maximum potential amount of future payments 
In billions of dollars at December 31, 2018, 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$31.8
$65.3
$97.1
$131
Performance guarantees7.7
4.2
11.9
29
Derivative instruments considered to be guarantees23.5
87.4
110.9
567
Loans sold with recourse—
1.2
1.2
9
Securities lending indemnifications(1)
98.3
—
98.3
—
Credit card merchant processing(1)(2)
95.0
—
95.0
—
Credit card arrangements with partners0.3
0.8
1.1
162
Custody indemnifications and other—
35.4
35.4
41
Total$256.6
$194.3
$450.9
$939

 Maximum potential amount of future payments 
In billions of dollars at December 31, 2015 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$23.8
$73.0
$96.8
$153
Performance guarantees7.4
4.1
11.5
24
Derivative instruments considered to be guarantees3.6
74.9
78.5
1,779
Loans sold with recourse—
0.2
0.2
17
Securities lending indemnifications(1)
79.0
—
79.0
—
Credit card merchant processing(1)
84.2
—
84.2
—
Custody indemnifications and other—
51.7
51.7
56
Total$198.0
$203.9
$401.9
$2,029

280


Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at December 31, 2014 except carrying value in millionsExpire 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 millionsExpire 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
—
1.4
1.4
9
Securities lending indemnifications(1)
115.9
—
115.9
—
103.7
—
103.7
—
Credit card merchant processing(1)(2)
86.0
—
86.0
—
85.5
—
85.5
—
Credit card arrangements with partners

0.3
1.1
1.4
205
Custody indemnifications and other—
48.9
48.9
54
—
36.0
36.0
59
Total$246.9
$206.1
$453.0
$3,146
$235.6
$193.4
$429.0
$809
(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, 2018 and 2017, this maximum potential exposure was estimated to be $95 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 Letters of Credit
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 (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 Guarantees
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 Considered to Be 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 Sold with Recourse
Loans sold with recourse represent Citi’s obligations to reimburse the buyers for loan losses under certain circumstances. Recourse refers to the clause in a sales agreement under which a seller/lender will fully reimburse the buyer/investor for any losses resulting from the purchased loans. This may be accomplished by the seller taking back any loans that become delinquent.
In addition to the amounts shown in the tables above, Citi has recorded a repurchase reserve for its potential repurchases or make-whole liability regarding residential mortgage representation and warranty claims related to its whole loan sales to the U.S. government-sponsored enterprises (GSEs) and, to a lesser extent, private investors. The repurchase reserve was approximately $152$49 million and $224$66 million at December 31, 20152018 and 2014,2017, respectively, and these amounts are included in Other liabilities on the Consolidated Balance Sheet.

Securities Lending 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 Processing
Credit card merchant processing guarantees represent the Company’s indirect obligations in connection with:with (i) providing transaction processing services to various merchants with respect to its private-label cards;private label cards and


281


(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-labelprivate 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-labelprivate label merchant is unable to deliver products, services or a refund to its private-labelprivate 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-labelprivate 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, 20152018 and 2014,2017, this maximum potential exposure was estimated to be $84$95 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. 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, 20152018 and 2014,2017, 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 Indemnifications
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 Guarantees and Indemnifications

Credit Card Protection Programs
Citi, through its credit card businesses, provides various
cardholder protection programs on several of its card
products, including programs that provide insurance
coverage for rental cars, coverage for certain losses
associated with purchased products, price protection for
certain purchases and protection for lost luggage. These
guarantees are not included in the table, since the total
outstanding amount of the guarantees and Citi’s maximum
exposure to loss cannot be quantified. The protection is
limited to certain types of purchases and losses, and it is not
possible to quantify the purchases that would qualify for
these benefits at any given time. Citi assesses the probability
and amount of its potential liability related to these programs
based on the extent and nature of its historical loss
experience. At December 31, 20152018 and 2014,2017, 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 (VTNs)
Citi is a member of, or shareholder in, hundreds of value-transfer networks (VTNs) (payment, clearing and settlement systems as well as exchanges) around the world. As a condition of membership, many of these VTNs require that members stand ready to pay a pro rata share of the losses incurred by the organization due to another member’s default on its obligations. Citi’s potential obligations may be limited to its membership interests in the VTNs, contributions to thea VTN’s funds, or, in limited cases, the obligation may be
unlimited. The maximum exposure cannot be estimated as this would require an assessment of future claims that have not yet


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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, 20152018 or 20142017 for potential obligations that could arise from Citi’s involvement with VTNVTNs 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 $6.3of the Genworth Trusts is approximately $7.5 billion atas of December 31, 2015, compared to $6.2 billion at December 31, 2014) is2018 and 2017. 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, 20152018 and 20142017 related to this indemnification. Citi continues to closely monitor its potential exposure under this indemnification obligation.
Separately, Genworth announced that it had agreed to be purchased by China Oceanwide Holdings Co., Ltd, subject to a series of conditions and regulatory approvals. Citi is monitoring these developments.

Futures and Over-the-Counter Derivatives Clearing
Citi provides clearing services on central clearing parties (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 (i) Citi will pass through to the client all interest paid by the CCP or depository institutions on the cash initial margin;margin, (ii) Citi will not utilize its right as a clearing member to transform cash margin into other assets; andassets, (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 $4.3$13.8 billion and $3.2$10.7 billion as of December 31, 20152018 and 2014,2017, 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, 20152018 and 2014,2017, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted to approximately $2.0$0.9 billion and $3.1$0.8 billion, respectively. The carrying value of financial and performance guarantees is included in Other liabilities,liabilities. as isFor loans sold with recourse, the carrying value of the liability for loans sold with recourse.is included in Other liabilities.



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Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $52$55 billion and $63$46 billion at December 31, 20152018 and 2014,2017, respectively. Securities and other marketable assets held as collateral amounted to $33$55 billion and $59$70 billion at December 31, 20152018 and 2014,2017, 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 $4.2$4.1 billion and $4.0$3.7 billion at December 31, 20152018 and 2014,2017, 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 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 paymentsMaximum potential amount of future payments
In billions of dollars at December 31, 2015
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at December 31, 2018
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$69.2
$15.4
$12.2
$96.8
$68.3
$11.8
$17.0
$97.1
Performance guarantees6.6
4.1
0.8
11.5
9.2
2.1
0.6
11.9
Derivative instruments deemed to be guarantees—
—
78.5
78.5
—
—
110.9
110.9
Loans sold with recourse—
—
0.2
0.2
—
—
1.2
1.2
Securities lending indemnifications—
—
79.0
79.0
—
—
98.3
98.3
Credit card merchant processing—
—
84.2
84.2
—
—
95.0
95.0
Credit card arrangements with partners—
—
1.1
1.1
Custody indemnifications and other51.6
0.1
—
51.7
22.2
13.2
—
35.4
Total$127.4
$19.6
$254.9
$401.9
$99.7
$27.1
$324.1
$450.9

Maximum potential amount of future paymentsMaximum potential amount of future payments
In billions of dollars at December 31, 2014
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$73.0
$15.9
$9.5
$98.4
$68.1
$10.9
$14.8
$93.8
Performance guarantees7.3
3.9
0.7
11.9
7.9
2.4
1.0
11.3
Derivative instruments deemed to be guarantees—
—
91.7
91.7
—
—
95.9
95.9
Loans sold with recourse—
—
0.2
0.2
—
—
1.4
1.4
Securities lending indemnifications—
—
115.9
115.9
—
—
103.7
103.7
Credit card merchant processing—
—
86.0
86.0
—
—
85.5
85.5
Credit card arrangements with partners

—
—
1.4
1.4
Custody indemnifications and other48.8
0.1
—
48.9
23.7
12.3
—
36.0
Total$129.1
$19.9
$304.0
$453.0
$99.7
$25.6
$303.7
$429.0


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Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
In millions of dollarsU.S.
Outside of 
U.S.
December 31,
2015		December 31,
2014		U.S.
Outside of 
U.S.
December 31,
2018		December 31, 2017
Commercial and similar letters of credit$1,248
$4,854
$6,102
$6,634
$823
$4,638
$5,461
$5,000
One- to four-family residential mortgages1,343
1,853
3,196
5,674
1,056
1,615
2,671
2,674
Revolving open-end loans secured by one- to four-family residential properties12,648
2,078
14,726
16,098
10,019
1,355
11,374
12,323
Commercial real estate, construction and land development9,177
1,345
10,522
9,242
9,565
1,728
11,293
11,151
Credit card lines481,897
91,160
573,057
612,049
605,857
90,150
696,007
678,300
Commercial and other consumer loan commitments178,957
92,119
271,076
243,680
185,849
102,918
288,767
272,655
Other commitments and contingencies3,943
6,039
9,982
10,663
2,560
761
3,321
3,071
Total$689,213
$199,448
$888,661
$904,040
$815,729
$203,165
$1,018,894
$985,174
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.
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, 2018, and 2017, Citigroup had $36.1 billion and $35.0 billion unsettled reverse repurchase and securities borrowing agreements, respectively, and $30.7 billion and $19.1 billion unsettled repurchase and securities lending agreements, respectively. For a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements, see Note 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 advisersadvisors 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


286


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, 2015,2018, Citigroup estimates that the reasonably possible unaccrued loss for these matters ranges up to approximately $3.5$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.

Allied Irish Bank LitigationANZ Underwriting Matter
In 2003, Allied Irish Bank (AIB)On June 1, 2018, charges were filed a complaint inby the United States District Court for the Southern DistrictAustralian
Commonwealth Director of New York seeking to hold Citibank 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. In December 2015, the remaining parties reached a settlement that released all claims against Citibank. A notice of voluntary dismissal with prejudice was filed on January 14, 2016. Additional information concerning this action is publicly available in court filings under docket number 03 Civ. 3748 (S.D.N.Y.) (Batts, J.).Public Prosecutions (CDPP)

Commodities Financing Contracts
Beginning in May 2014, Citigroup became aware of reports of potential fraud relating to the financing of physical metal stored at the Qingdao and Penglai ports in China.  Citibank andagainst Citigroup Global Markets Australia Pty Limited
(CGMA) for alleged criminal cartel offenses following a
referral by the Australian Competition and Consumer
Commission. CDPP alleges that the cartel conduct took place
following an institutional share placement by Australia and
New Zealand Banking Group Limited (CGML) have contracts (ANZ) in August 2015,
where CGMA acted as joint underwriter and lead manager
with a counterpartyother banks. CDPP has also charged other banks and
individuals, including current and former Citi employees.
Charges relating to CGMA are captioned R v. CITIGROUP
GLOBAL MARKETS AUSTRALIA PTY LIMITED
(2018/00175168). The matter is before the Downing Centre
Local Court in relation toSydney, Australia. Separately, the provision of financing to that counterparty, collateralized by physical metalAustralian
Securities and Investments Commission is conducting an
investigation, and CGMA is cooperating with the


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stored at these ports, 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, Citibank and CGML commenced proceedings in the Commercial Court in London to enforce their 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 obligations under these agreements. In early December 2014, the English court conducted a preliminary trial concerning, among other issues, the question of whether Citibank and/or CGML had appropriately accelerated their counterparty’s obligation to repay under the applicable agreements, given these facts and circumstances. The High Court in London issued a judgment on May 22, 2015 holding that the Citigroup affiliates had properly served bring forward event notices, but that because the metal had not been properly delivered, the counterparty did not yet have to pay Citibank and CGML. 
As a result of various filings by the parties, on January 15, 2016, Citibank and CGML were informed by the English Court of Appeal (i) that their application for permission to appeal certain aspects of the High Court’s 2015 judgment had been granted; and (ii) that the counterparty had also been given permission to appeal certain aspects of the 2015 judgment. Various procedural matters continue. Additional information concerning this action is publicly available in court filings under the claim reference: Mercuria Energy Trading PTE Ltd & Another v. Citibank, N.A. & Another, Claim No. 2014 Folio 709, Appeal Nos. 2015/2407 (Citigroup) and 2015/2395 (Mercuria) as regards the appeals.  
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 on the Consolidated Statement of Income in accordance with GAAP.

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 Citigroup’s common and preferred stock and debt, alleging violations of the federal securities laws, foreign laws, state securities and fraud law, and the Employee Retirement Income Security Act (ERISA); and (ii) individual investors and purported classes of 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, investment funds,
and other structured or leveraged instruments, which have suffered losses as a result of the credit crisis. These matters have been filed in state and federal courts across the U.S. and in foreign tribunals, as well as in arbitrations before the Financial Industry Regulatory Authority (FINRA) and other arbitration associations.
In addition to these litigations and arbitrations, 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 U.S. 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 and securitization of auto loans.December 31, 2018. 

Mortgage-Related Litigation and Other Matters
Mortgage-Backed Securities Actions: and CDO Investor Actions:Beginning in November 2007,2010, Citigroup and Related Parties were named as defendants in a variety of class and individual securities actions filed by investors in Citigroup’s equity and debt securities in state and federal courts relating to Citigroup’s disclosures regarding its exposure to subprime-related assets.
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.), 13-4488, 13-4504, and 15-2461 (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.
Mortgage-Backed Securities and CDO Investor Actions: Beginning in July 2010, Citigroup and Related Parties have been named as defendants in complaints filed by purchasers of MBSmortgage-backed securities (MBS) and CDOscredit default obligations (CDOs) sold or underwritten by Citigroup.  The complaints generally assert that defendants made material misrepresentations and omissions about the credit quality of


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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 settlementmotion practice or otherwise.settlement. As of December 31, 2015, theaggregate original purchase amount of the purchases at issuein the pending litigations was approximately $1.2 billion, and2018, the aggregate original purchase amount of the purchases covered by a tolling agreementsagreement with investorsan investor threatening litigation wasis approximately $500 million. Additional information concerning certain of these actions is publicly available in court filings under the docket numbers 13-1729-II (Tenn. Ch. Ct.) (McCoy, C.), 650212/2012 (N.Y. Sup. Ct.) (Kornreich, J.), and 12 Civ. 3868 (S.D.N.Y.) (Forrest, J.).
Mortgage-Backed Security Repurchase 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 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. The trustees accepted the settlement for 64 trusts in whole, and four in part. Pursuant to the terms of the settlement agreement, the trustees’ acceptance was subject to a judicial approval proceeding. On December 18, 2015, the court filed a decision and order approving the trustees’ entry into the settlement and finding that the trustees, in entering the settlement, had exercised their authority reasonably and in good faith. Additional information concerning this proceeding 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. Citigroup has reached an agreement with the trustees to resolve three of these actions, and those actions were dismissed with prejudice on January 26, 2016.  The remaining three actions are in various stages of discovery. In the aggregate, plaintiffs are
asserting repurchase claims in the remaining actions as to approximately 2,900 loans that were securitized into these three securitizations, as well as any other loans that are later found to have breached representations and warranties. 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: ActionsOn June 18,: In 2014, a group of investors in 48 RMBS27 residential MBS trusts for which Citibank 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 RMBS trustees, alleges that Citibank failed to pursue contractual remedies against securitization sponsors and servicers.  This action was withdrawn without prejudice, effective December 17, 2014. 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 similar claims relatingthat Citibank failed to 27 MBS trusts for which Citibank allegedly served or currently serves as trustee.  On September 8, 2015, the United States District Court for the Southern District of New York dismissedpursue contractual remedies against securitization sponsors and servicers. Subsequently, all claims were dismissed as to 2426 of the 27 truststrusts.  On March 22, 2018, the court granted Citibank's motion for summary judgment and allowed certain of the claims to proceed as to the other three trusts.denied plaintiffs’ motions for partial summary judgment and class certification, which plaintiffs have appealed. Additional information concerning this action is publicly available in court filings under the docket number 14-cv-9373 (S.D.N.Y.) (Furman, J.) and 18-1196 (2d Cir.).
On November 24,In 2015, largely the same group of investors filed anotheran action in the New York State Supreme Court, captioned FIXED INCOME SHARES: SERIES M, ET AL. V.v. CITIBANK N.A., related to the 24 trusts initially dismissed from the federal court action and one additional trust, asserting claims similar to the original complaintaction filed in statefederal court. In 2017, the court granted in part and denied in part Citibank’s motion to dismiss plaintiffs’ amended complaint. Citibank appealed as to the sustained claims, and on January 16, 2018, the New York State appeals court dismissed all of the remaining claims except the claim for breach of contract related to purported discovery of alleged underwriter breaches of representations and warranties.  Additional information concerning this action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.) (Ramos, J.).
On August 19,
In 2015, the Federal Deposit Insurance Corporation (FDIC), as receiver for a financial institution, filed a civil action against Citibank in the United States District Court for the Southern District of New York, captioned FEDERAL DEPOSIT INSURANCE CORPORATION AS RECEIVER FOR GUARANTY BANK V.v. CITIBANK N.A. The complaint concerns one RMBSresidential MBS trust for which Citibank formerly served as trustee, and alleges that Citibank failed to pursue contractual remedies against the sponsor and servicers of that trust. After the court granted Citibank’s motion to dismiss on grounds that the FDIC lacked standing to pursue its claims, the FDIC filed an amended complaint. In 2018, Citibank filed a motion to dismiss the amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 15-cv-6574 (S.D.N.Y.) (Carter, J.).

Counterparty and Investor Actions
In 2010, Abu Dhabi Investment Authority (ADIA) commenced an arbitration (ADIA I) against Citigroup before the International Center for Dispute Resolution (ICDR), alleging statutory and common law claims in connection with


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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. 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. Additional information concerning this action is publicly available in court filings under the docket numbers 12 Civ. 283 (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.).

Alternative Investment Fund-Related Litigation and Other Matters
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 asserted 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 sought to recover more than $400 million on behalf of a putative class of investors. On August 10, 2015, the parties entered into an agreement providing for a class action settlement of the litigation. The court held a final settlement hearing on December 17, 2015 and entered an order approving the settlement on January 28, 2016. Additional information concerning this action is publicly available in court filings under the docket number 12-cv-7717 (S.D.N.Y.) (Woods, 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 auction rate securities (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
On February 8, 2012, Citibank and certain Citigroup affiliates were named as defendants in an adversary proceeding asserting objections to proofs of claim totaling approximately $2.6 billion filed by Citibank and those affiliates, and claims under federal bankruptcy and state law to recover $2 billion deposited by Lehman Brothers Holdings Inc. (LBHI) with Citibank against which Citibank asserts a right of setoff. Plaintiffs also sought avoidance of a $500 million transfer and an amendment to a guarantee in favor of Citibank and other relief; plaintiffs dismissed, with prejudice, their claim to avoid the $500 million transfer pursuant to a stipulation entered by the court on March 12, 2015. Plaintiffs filed various amended complaints asserting additional claims and factual allegations, and amending certain previously asserted claims.
Discovery related to the remaining claims is ongoing. 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 on behalf of Lehman Brothers Finance AG against Citibank, Citibank Korea Inc. and CGML asserting that defendants improperly have withheld termination payments under certain derivatives contracts. An amended complaint was filed by plaintiff on August 6, 2014. Plaintiff seeks 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 14-02050 and 09-10583 (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 claims against Citigroup and certain of its affiliates arising out of the May 2007 auction of the music company, EMI, in which Citigroup affiliates 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 the defendants 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.).


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In August and September 2013, plaintiffs in the New York proceedings, together with their affiliates and principal, filed claims against CGML, Citibank and Citigroup arising out of the EMI auction in the High Court of Justice, Queen’s Bench Division and Manchester District Registry Mercantile Court in Manchester, England. 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 filed by Terra Firma in 2013 before the High Court of Justice, Queen’s Bench Division, consented to the service by plaintiffs of an amended complaint 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. A trial (which is based on allegations of fraudulent misrepresentations) is scheduled to begin in London on June 7, 2016.  Additional information concerning this action is publicly available in court filings under the claim reference Terra Firma Investments (GP) 2 Ltd. & Ors v Citigroup Global Markets Ltd. & Ors (CL-2013-000293).

Tribune Company Bankruptcy
Certain Citigroup affiliates (along with numerous other parties) 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 actions were consolidated as IN RE TRIBUNE COMPANY FRAUDULENT CONVEYANCE LITIGATION and transferred to the Litigation Trustee,United States District Court for the Southern District of New York.
In the adversary proceeding captioned KIRSCHNER v. FITZSIMONS, ET AL., 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, along with numerous other parties, are named as “Shareholder Defendants”shareholder defendants and are alleged to have tendered Tribune stock to Tribune as a part of the buyout. In 2017, the United States District Court for the Southern District of New York dismissed the actual fraudulent transfer claim against the shareholder defendants, including the Citigroup affiliates.
Several Citigroup affiliates, along with numerous other parties, 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-lawstate 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. The noteholders’ claims were previously dismissed, and an appeal towhich was affirmed on appeal. On May 15, 2018, the United States Court of Appeals for the Second Circuit is pending.  A motionwithdrew its 2016 transfer of jurisdiction to dismiss the district court.
Citigroup Global Markets Inc. (CGMI) was named as a defendant in a separate action against CGMI in connection with its role as advisor to Tribune is pending.
InTribune. On January 23, 2019, the FITZSIMONS action, claims against certain Citigroup affiliates have beencourt dismissed or reduced in amount by various orders.the action. 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,(Cote, J.), 12 MC 2296 (S.D.N.Y.) (Sullivan,(Cote, J.), and 13-3992, 13-3875, 13-4196 (2d Cir.) and 16-317 (U.S.).


Credit Default Swaps
Depositary Receipts Matters
In AprilRegulatory Actions: On November 7, 2018, the SEC entered an order accepting an offer of settlement from Citibank concerning the SEC’s investigation into activity relating to pre-released American Depositary Receipts from 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 banks and Markit, the leading provider of financial information 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, CGML, Citicorp North America Inc. and Citibank, as well as Markit, ISDA, and 12 other investment bank dealer groups, a statement of objections alleging that Citi 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 set forth the EC’s preliminary conclusions, did not prejudge the final outcome of the case, and did not benefit from the review and consideration of Citi’s arguments and defenses. Thereafter, Citi filed a reply and made oral submissions2015. Pursuant to the EC.settlement, Citibank paid $38.7 million in disgorgement and interest.
Other Litigation: In 2015, 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 December 4, 2015,March 23, 2018, the EC informed Citicourt granted in part and denied in part plaintiffs’ motion for class certification, certifying only a class of holders of Citi-sponsored American depositary receipts that it had closed its proceeding against Citi andplaintiffs own. On September 6, 2018, the other investment bank dealer groups, without further action.
In July 2009 and September 2011, the Antitrust Divisioncourt granted preliminary approval of the U.S. Department of Justice served Civil Investigative Demands (CIDs) on Citi concerning potential anticompetitive conduct in the CDS industry. 
In addition, putativea class action complaints were filed by various entities against Citigroup, CGMI and Citibank, among other defendants, alleging anticompetitive conduct in the CDS industry and asserting various claims under Sections 1 andsettlement.  On January 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 in the Southern District of New York for coordinated or consolidated pretrial proceedings before Judge Denise Cote. On September 30, 2015, the defendants, including Citigroup and Related Parties, entered into settlement agreements to settle all claims of the putative class, and on October 29, 2015,2019, the court granted plaintiffs’ motionrequest to adjourn the final approval hearing for preliminary approval of the proposed settlements.settlement.  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. and in other jurisdictions are conducting investigations or making inquiries regarding Citigroup’s foreign exchange business. Citigroup is fully cooperating with these and related investigations and inquiries.
Antitrust and Other Litigation: Numerous foreign exchange dealers and their affiliates, including Citigroup, Citibank, Citicorp and Citibank, areCGMI, were 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 caption IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION.The plaintiffs in these actions allege that the defendants colluded to manipulate the


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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 and declaratory and injunctive relief. On March 31, 2014, plaintiffs in the putative class actions filed a consolidated amended complaint.
Citibank, 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 class suffered losses as a result of the defendants’ alleged WMR manipulation. The plaintiff asserted federal and state antitrust claims, and sought compensatory damages, treble damages and declaratory and injunctive relief.
Additionally, Citibank and Citigroup, as well as numerous other foreign exchange dealers, were named as defendants in a putative class action captioned LARSEN v. BARCLAYS BANK PLC, ET AL. (LARSEN), that was proceeding before the same court. The plaintiff sought to represent a putative class of persons or entities in Norway who traded foreign currency with defendants, alleging that the class suffered losses as a result of defendants’ alleged WMR manipulation. The plaintiff asserted federal antitrust and unjust enrichment claims, and sought compensatory damages, treble damages and declaratory and injunctive relief.
Citigroup and Citibank, along with other defendants, moved to dismiss all of these actions. On January 28, 2015, the court issued an opinion and order denying the motion as to the IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION plaintiffs, but dismissing the claims of the SIMMTECH and LARSEN plaintiffs in their entirety on the grounds that their federal claims were barred by the Foreign Trade Antitrust Improvements Act and their state claims had an insufficient nexus to New York. Additional information concerning these actions is publicly available in court filings under the docket numbers 13 Civ. 7789, 13 Civ. 7953, and 14 Civ. 1364 (S.D.N.Y.) (Schofield, J.).
Additional actions have been consolidated in the IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION proceeding, including lawsuits brought by, or on behalf of putative classes of, investors that transacted in exchange-traded foreign exchange futures contracts and/or options on foreign exchange futures contracts on certain exchanges. The plaintiffs Plaintiffs allege that they suffered losses as a result of the defendants’ alleged manipulation of, and collusion with respect to, the foreign exchange market. The plaintiffs allege violations ofPlaintiffs assert claims under the Commodity Exchange Act, the Sherman Act, and/or theand Clayton Act, and seek compensatory damages, treble damages, and declaratory and injunctive relief.
On December 15, 2015,November 7, 2018, some of the court enteredinstitutional investors who opted out of an order preliminarily approving a proposedAugust 2018 settlement between thewith Citi defendants filed a lawsuit against Citigroup, Citibank, CGMI, and classes of plaintiffs who tradedother defendants under the caption ALLIANZ GLOBAL INVESTORS, ET AL. v. BANK OF AMERICA CORPORATION, ET AL. Plaintiffs allege that defendants manipulated, and colluded to manipulate, the foreign exchange instruments in the spot marketmarket. Plaintiffs assert Sherman Act and on exchanges.
The proposed settlement provides for the Citi defendants to receive a release in exchange for a paymentunjust enrichment claims and seek consequential and punitive damages and other forms of $394 million (which was made on December 18, 2015) plus a separate payment of $8 million (which is due upon final approval of the settlement by the court).
relief. Additional information concerning these actionsthis action is publicly available in court filings under the following docket numbers: 15number 18 Civ. 1350; 15 Civ. 2705; 15 Civ. 4230; 15 Civ. 4436; and 15 Civ. 492610364 (S.D.N.Y.) (Schofield, J.).
On May 21,December 31, 2018, a group of institutional investors issued (but did not serve) a claim in the High Court in London against Citibank, Citigroup, and other defendants, alleging that defendants manipulated, and colluded to manipulate, the foreign exchange market. Claimants allege breaches of EU
and UK competition law. The case is ALLIANZ GLOBAL INVESTORS GMBH AND OTHERS v. BARCLAYS BANK PLC AND OTHERS, case number CL-2018-000840, and will not commence unless and until it is served.
In 2018, two motions for certification of class actions alleging manipulation of foreign exchange markets were filed in the Tel Aviv Central District Court in Israel against Citigroup and CGMI, and Citibank, respectively. The cases are LANUEL, ET AL. v. BANK OF AMERICA CORPORATION, ET AL., CA 29013-09-18, and GERTLER, ET AL. v. DEUTSCHE BANK AG, C1A 1657-10-18.
In 2015, an action captioned NYPL v. JPMORGAN CHASE & CO., ET. ALET AL. was brought in the United States District Court for the Northern District of California (later transferred to the United States District Court for the Southern District of New York) against Citigroup, as well as numerous other foreign exchange dealers. The plaintiff seeksSubsequently, plaintiffs filed a third amended class action complaint, naming Citigroup, Citibank, and Citicorp as defendants. Plaintiffs seek to represent a putative class of “consumers and businesses in the United States who directly purchased supracompetitive foreign currency at Benchmark exchange rates” from defendants for their end use. The plaintiff filed an amended complaint on June 11, 2015, alleging violations of the Sherman Act,defendants. Plaintiffs allege claims under federal and California antitrust and consumer protection laws, and are seeking compensatory damages, treble damages, and declaratory and injunctive relief. On November 9, 2015, the court granted the defendants’ motion to transfer the action to the United States District Court for the Southern District of New York for possible consolidation with IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. 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 actionIn 2017, certain plaintiffs filed a consolidated amended complaint on behalf of purported classes of indirect purchasers of foreign exchange instruments sold by defendants, including Citigroup, Citibank, Citicorp, and CGMI as defendants, captioned ALLENCONTANT, ET AL. v. BANK OF AMERICA CORPORATION, ET AL. was brought in the United States District Court for the Southern District of New York against Citigroup, as well as numerous other foreign exchange dealers. The plaintiff seeks 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 its exercise of authority or control regarding an ERISA plan. The plaintiff alleges violations of ERISA, and seeks compensatory damages, restitution, disgorgement and declaratory and injunctive relief. On June 29, 2015, ALLEN was consolidated with IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION for discovery purposes only. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 4285 (S.D.N.Y.) (Schofield, J.).
In September 2015, putative class actions captioned BÉLAND v. ROYAL BANK OF CANADA, ET AL. and STAINES v. ROYAL BANK OF CANADA, ET AL. were filed in the Quebec Superior Court of Justice and the Ontario Superior Court of Justice, respectively, against Citigroup and Related Parties, as well as numerous other foreign exchange dealers. Plaintiffs allege that defendants conspiredengaged in a conspiracy to fix currency prices in violation of the prices and supply of currency purchased in the foreign exchange market, and that this manipulation caused investors to pay inflated rates for currency and/or to receive deflated rates for currency. Plaintiffs assert claims under the Canadian


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CompetitionSherman Act and various state antitrust laws. On November 15, 2018, the Quebec Civil Code and/orcourt denied plaintiffs’ motion for civil conspiracy, unjust enrichmentpreliminary approval of a proposed class settlement with the Citi defendants and waiver of tort. Plaintiffs seek compensatory and punitive damages, or disgorgement, on behalf of putative classes of all persons in Quebec or in Canada who entered into a foreign exchange instrument or participated in a fund or investment vehicle that entered into a foreign exchange instrument between January 1, 2003 and December 31, 2013.requested plaintiffs to provide additional information. Additional information concerning these actions is publicly available in court filings under the docket numbers 200-06-000189-152 (C.S.Q. Quebec)16 Civ. 7512 (S.D.N.Y.) (Schofield, J.), 17 Civ. 4392 (S.D.N.Y.) (Schofield, J.), and CV-15-536174 (Ont. S.C.J.).
On September 16, 2015, an action captioned NEGRETE v. CITIBANK, N.A. was filed in the United States District Court for the Southern District of New York. Plaintiffs allege that Citibank, N.A. engaged in conduct in connection with plaintiffs’ foreign exchange trading that caused them losses. Plaintiffs assert claims for fraud, breach of contract, and negligence, and seek compensatory damages, punitive damages and injunctive relief. On November 17 2015, Citi filed a motion to dismiss and a motion to stay discovery pending resolution of the motion to dismiss. On December 7, 2015, the court granted Citi’s motion for a stay of discovery. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 72503139 (S.D.N.Y.) (Sweet,(Schofield, J.).
Derivative Actions and Related Proceedings:In June 2015, Citigroup was named as a defendant in IRA FOR THE BENEFIT OF VICTORIA SHAEV V. CITIGROUP INC. The complaint was filed by a putative stockholder in New York Supreme Court seeking to inspect Citigroup’s books and records pursuant to Section 220 of Chapter 8 of the Delaware Corporations Law with regard to various matters, including Citigroup’s participation and activity in foreign exchange markets. On January 26, 2016, the court granted Citigroup’s motion to dismiss the complaint. Additional information concerning this action is publicly available in court filings under the docket number 652339/2015 (N.Y. Sup. Ct.).

Interbank Offered Rates-Related Litigation and Other Matters
Regulatory Actions: The CFTC and a consortium of state attorneys general, as well as government and regulatory agencies in other jurisdictions, are conducting investigations or making inquiries regarding submissions made by panel banks to bodies that publish various interbank offered rates and other benchmark rates. As members of a number of such panels, Citigroup subsidiaries have received requests for information anddocuments. Citigroup is cooperating with the investigations and inquiries and is responding to the requests.
Antitrust and Other Litigation: Citigroup and Citibank, 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). Consolidated amended complaints were filedLITIGATION. Plaintiffs, on behalf of two separatedifferent putative classes of plaintiffs: (i) over-the-counter (OTC) purchasers of derivative instruments tied to USD LIBOR; and (ii) purchasers of exchange-traded
derivative instruments tied to USD LIBOR. Each of these putative classes alleges that the panel bank defendants conspired to suppress USD LIBOR: (i) OTC purchasersindividually, 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 CommodityCommodities Exchange Act, and the Sherman Actstate antitrust, unfair competition, and for unjust enrichment. Individual actions commenced byrestraint-of-trade laws, as well as various Charles Schwab entities also were consolidated into the LIBOR MDL. The plaintiffscommon law claims, based on allegations that defendants suppressed or otherwise

manipulated USD LIBOR. Plaintiffs seek compensatory damages, and restitution, for losses caused by the alleged violations, as well as treble damages under the Sherman Act. The Schwabwhere authorized by statute, and OTC plaintiffs also seek injunctive relief.
Additional actions have been consolidated in the LIBOR MDL proceeding, including (i) lawsuits filed by, or on behalfOn December 5, 2018, a court granted preliminary approval of putative classesa settlement among Citigroup, Citibank and a class 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 suppressedinvestors who purchased USD LIBOR debt securities from non-defendant sellers, pursuant to which the Citi defendants paid $7.025 million. On December 20, 2018, a court granted final approval of a settlement among Citigroup, Citibank and a class of lending institutions with interests in violation of applicable law and seek compensatory and other damages.
Additional information relatingloans tied to these actions is publicly available in court filings underUSD LIBOR, pursuant to which 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 (S.D.N.Y.) (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, 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.); 13 Civ. 5278 (N.D. Cal.) (Vadas, J.); 15 Civ. 1334 (S.D.N.Y.) (Buchwald, J.); and 15 Civ. 2973 (S.D.N.Y.) (Buchwald, J.).
On August 4, 2015, the court in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION granted in part defendants’ motions to dismiss various individual actions that were previously stayed, dismissing plaintiffs’ antitrust claims for failure to state a claim, and holding that plaintiffs cannot pursue certain other claims based on lack of personal jurisdiction or the operation of the applicable statute of limitations. The court allowed certain of plaintiffs’ claims for common law fraud, breach of contract, unjust enrichment and tortious interference to proceed. On October 8, 2015, the City of Philadelphia and the Pennsylvania Intergovernmental Cooperation Authority amended their complaint in response to the court’s August 4, 2015 decision.Citi defendants paid $23 million. Additional information concerning these


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actions is publicly available in court filings under the docket number 11 MD 2262 (S.D.N.Y.) (Buchwald, 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. The Second Circuit heard oral argument on November 13, 2015. Additional information concerning this appealrelated 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, 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. On March 31,In 2015, the United States District Court for the Southern District of New York dismissed this action. On June 1, 2015, the plaintiff moved for leave to file a second amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 981 (Gardephe, J.).
On May 2, 2014, plaintiffs in the class action SULLIVAN v. BARCLAYS PLC, ET AL., pending in the United States District Court for the Southern District of New York, filed a secondfourth amended complaint naming Citigroup, Citibank, and Citibank, N.A.various other banks 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,In 2017, the court granted the U.S. Department of Justice’sin part and denied in part defendants’ motion to stay discovery for eight months, until May 12, 2015. Plaintiffs fileddismiss. On December 19, 2018, the court preliminarily approved a fourth amended complaint on August 13, 2015. Defendants filedsettlement among the Citi and JPMorgan defendants and plaintiffs pursuant to which the settling defendants collectively agreed to pay a motion to dismiss on October 14, 2015.total of $182.5 million. Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 2811 (S.D.N.Y.) (Castel, J.).

In 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 violations 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 May 22, 2018, the Citi defendants and plaintiffs entered into a settlement under which Citi agreed to pay $9.99 million. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 5263 (S.D.N.Y.) (Hellerstein, J.).
In 2016, Banque Delubac filed a summons against Citigroup, Citigroup Global Markets Limited (CGML), and Citigroup Europe Plc with the Commercial Court of Aubenas, France, alleging that defendants suppressed 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. On November 6, 2018, the Aubenas Court found that it lacked subject matter jurisdiction and transferred the case to the Commercial Court of Marseille. An appeal on jurisdiction is pending before the Court of Appeal of Nîmes. Proceedings before the Commercial Court of Marseille are stayed pending the appeal.
 
The case is SCS BANQUE DELUBAC & CIE v. CITIGROUP INC. ET AL.,Commercial Court of Marseille, RG no. 2018F02750.
On January 15, 2019, a putative class action captioned PUTNAM BANK v. INTERCONTINENTAL EXCHANGE, INC., ET AL., was filed in the United States District Court for the Southern District of New York against the Intercontinental Exchange, Inc. (ICE), Citigroup, Citibank, CGMI, and various other banks. Plaintiff asserts claims for violations of the Sherman Act and Clayton Act and unjust enrichment based on alleged suppression of the ICE LIBOR and seeks compensatory damages, disgorgement and treble damages where authorized by statute. Additional information relating to this action is publicly available in court filings under the docket number 19-cv-00439 (S.D.N.Y.) (Marrero, J.).

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).York. 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 unreasonably through various Visa and MasterCard rules governing merchant conduct, all in violation of Section 1 of the Sherman Act and certain California statutes. Plaintiffs further alleged violations of Section 2 of the Sherman Act.  Supplemental complaints also have been werefiled 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,In 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.
On July 28, 2015, various objectors to the class settlement filed motions in the U.S. District Court to vacate the court’s prior approval of the class settlement, alleging improprieties by two of the lawyers involved in the Interchange MDL. Various objectors appealed from the final class settlement approval order withto the United States Court of Appeals for the Second Circuit,Circuit.
In 2016, the Court of Appeals reversed the district court’s approval of the class settlement and remanded for further proceedings.  The district court thereafter appointed separate interim counsel for a putative class seeking damages and a putative class seeking injunctive relief.  Amended or new complaints on behalf of the putative classes and various individual merchants were subsequently filed, including a further amended complaint on behalf of a putative damages

class and a new complaint on behalf of a putative injunctive class, both of which heard oral argument regardingnamed Citigroup and affiliates.  In addition, numerous merchants have filed amended or new complaints against Visa, MasterCard, and in some instances one or more issuing banks. Three of these suits—7-ELEVEN, INC., ET AL. v. VISA INC., ET AL.; ROUNDY’S SUPERMARKETS, INC. v. VISA INC. ET AL.; and LUBY’S FUDDRUCKERS RESTAURANTS, LLC, v. VISA INC., ET AL—brought on behalf of numerous individual merchants, name Citigroup and affiliatesas defendants.
On January 24, 2019, the appealscourt granted the damages class plaintiffs’ motion for preliminary approval of a settlement with the defendants, including Citigroup.  The settlement involves the damages class only and does not settle the claims of the injunctive relief class or any actions brought on September 28, 2015.a non-class basis by individual merchants.  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 (CFTC) is conducting an investigation into alleged anticompetitive conduct in the trading and 12-4671 (2d Cir.).clearing of interest rate swaps (IRS) by investment banks.  Citigroup is cooperating with the investigation.
Numerous merchants,Antitrust and Other Litigation: Beginning in 2015, IRS market participants, including large national merchants,Citigroup, Citibank, CGMI, CGML and numerous other parties, 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. Oneall of these suits, 7-ELEVEN, INC.,actions seek treble damages, fees, costs and injunctive relief. On October 25, 2018, the putative class plaintiffs moved for leave to file a fourth consolidated class action complaint. On November 20, 2018, the district court granted in part and denied in part defendants’ motion to dismiss in TRUEEX LLC v. BANK OF AMERICA CORPORATION, ET AL. v. VISA INC., ET AL., brought on behalf of numerous individual merchants, names Citigroup as a defendant. On December 5, 2014, the Interchange MDL, including the opt-out cases, was transferred from Judge Gleeson to Judge Brodie. Additional information concerning these actions is publicly available in court filings under the docket numbers MDL 05-1720 (E.D.N.Y.) (Brodie, J.).



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ISDAFIX-Related Litigation and Other Matters
Regulatory Actions: Government and regulatory agencies in the U.S., including 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. On April 13, 2015, defendants filed a motion to dismiss the claims in plaintiffs’ amended consolidated complaint. Additional information concerning these actions is publicly available in court filings under the consolidated lead docket number 14 Civ. 712618-CV-5361 (S.D.N.Y.) (Furman,(Engelmayer, J.) and 16-MD-2704 (S.D.N.Y.) (Engelmayer, J.).

Money Laundering Inquiries
Regulatory Actions: Citigroup and Related Parties, including Citigroup’s indirect, wholly owned subsidiary Banamex USA (BUSA), a California state-chartered bank, have received grand jury subpoenas issued by the United States Attorney’s Office for the District of Massachusetts concerning, among other issues, policies, procedures and activities related to BUSA, Citibank and related parties’ compliance with Bank Secrecy Act (BSA) and anti-money laundering (AML) requirements under applicable federal laws and banking regulations. Citigroup and BUSA also have received inquiries and requests for information from other regulators, including the Financial Crimes Enforcement Network, concerning BSA- and AML-related issues. Citigroup is cooperating fully with these inquiries.
Citibank has received a subpoenasubpoenas from the United States Attorney for the Eastern District of New York in connection with its investigation of alleged bribery, corruption and money laundering associated with the FederationFédération Internationale de Football Association (FIFA), and the
potential involvement of financial institutions in that activity. The subpoena requestssubpoenas request information relating to, among other things, banking relationships and transactions at Citibank and its affiliates associated with certain individuals and entities identified as having had involvement with the alleged corrupt conduct. Citi is cooperating with the authorities in this matter.
Derivative Actions
Oceanografía Fraud and Related ProceedingsMatters
Regulatory Actions: On September 22, 2015,August 16, 2018, Citi resolved an SEC investigation into Citigroup’s announcement in the first quarter of 2014 of a derivative action captioned FIREMAN’S RETIREMENT SYSTEM OF ST. LOUIS, ET AL. v. CORBAT, ET AL.fraud discovered in a Petróleos
Mexicanos (Pemex) supplier program involving Oceanografía S.A. de C.V. (OSA), a Mexican oil services company and a key supplier to Pemex. As part of the resolution, Citi agreed to pay a civil penalty of $4.75 million.
Other Litigation: In 2016, a complaint was filed against Citigroup in the United States District Court for the Southern District of New YorkFlorida alleging that it conspired with OSA and others with respect to receivable financings and other financing arrangements related to OSA in a manner that injured bondholders and other creditors of OSA. The complaint asserts claims on behalf of Citigroup (as nominal defendant) against certain39 plaintiffs that are characterized variously as trade creditors of,
Citigroup’s investors in, or lenders to OSA. Plaintiffs collectively claim to have lost $1.1 billion as a result of OSA’s bankruptcy. The complaint asserts claims under the federal civil RICO law and certain of its affiliates’ presentseeks treble damages and former directorsother relief pursuant to that statute. The complaint also asserts claims for fraud and officers. The plaintiffs asserted claims derivatively for violation of Section 14(a) of the Securities Exchange Act of 1934, breach of fiduciary duty, waste of corporate assets, and unjust enrichment in connection with the defendants’ alleged failure to exercise appropriate oversight and management of BSA and AML laws and regulations and related consent decrees concerning Citigroup’s subsidiaries Banco Nacional de Mexico, or Banamex, and BUSA. On December 14, 2015,duty.
Subsequently, plaintiffs with the permission of the court, filed an amended complaint naming additional presentadding common law claims for fraud, aiding and former directorsabetting fraud, and officersconspiracy on behalf of Citigroup affiliates as defendants. Defendants’all plaintiffs. On January 30, 2018, the court granted Citigroup’s motion to dismiss the amended complaint, was filed on January 22, 2016.which plaintiffs appealed. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 7501 (S.D.N.Y.16-20725 (S.D. Fla.) (Furman,(Gayles, J.).

Oceanografia Fraud and Related Matters
Regulatory Actions: AsIn 2017, a result of Citigroup’s announcementcomplaint was filed against Citigroup in the first quarterUnited States District Court for the Southern District of 2014 of a fraud discovered in a Petróleos Mexicanos (Pemex) supplier program involving Oceanografía SA de CV (OSA), a Mexican oil services companyNew York by OSA and a key supplierits 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 Pemex, the SEC commenced a formal investigation and the U.S. Department of Justice requested information regarding Banamex’s dealings with OSA. The SEC inquiry has included requestscomplaint asserts claims for documentsmalicious prosecution and witness testimony. Citi continuestortious interference with existing and prospective business relationships. Plaintiffs later 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. On September 28, 2018, the court granted defendants motion to cooperate fully with these inquiries.
Derivative Actions and Related Proceedings: Beginning in April 2014, Citigroup has been named as a defendant in two complaints filed by its stockholders seeking to inspect Citigroup’s books and records pursuant to Section 220 of Chapter 8 of the Delaware Corporations Law with regard to various matters, including the OSA fraud. On April 24, 2015, in the action brought by Oklahoma Firefighters Pension & Retirement System, the Court of Chancery issued a decision adopting the Master in Chancery’s September 30, 2014 recommendation granting in part and denying in part plaintiff’s request to inspect Citigroup’s books and records. On May 5, 2015, Citigroup answered a similar complaint filed by Key West Municipal Firefighters & Police Officers’ Retirement Trust Fund. Additional information concerning these actions is publicly available in court filings under the docket numbers C.A. No. 9587-ML (Del. Ch.) (LeGrow, M.) and C.A. No. 10468-ML (Del. Ch.) (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. Parmalat has exhausted all appeals, and the judgment is now final.dismiss, which plaintiffs have appealed.  Additional information concerning this action is publicly available in court filings under the docket number 1:17-cv-01434 (S.D.N.Y.) (Sullivan, J.).

Parmalat Litigation
In 2004, an Italian commissioner appointed to oversee the administration of various Parmalat companies, filed a complaint against Citigroup and Related Parties alleging that


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A-2654-08T2 (N.J. Sup. Ct.). Following the defendants facilitated a number of frauds by Parmalat insiders. In 2008, a jury rendered a verdict awardingin Citigroup’s favor and awarded Citi $431 million in damages on Citigroup’s counterclaim,million. Citigroup has taken steps to enforce thatthe judgment in the Italian courts. On August 29,court. In 2014, the Courtan Italian court of Appeal of Bolognaappeal affirmed the decision in the full amount of $431 million, to be paid in Parmalat shares.which Parmalat has appealed the judgment to the Italian Supreme Court. Additional information concerning this action is publicly available in court filings under the docket number 27618/2014.
Prosecutors in Parma and Milan, Italy, brought criminal proceedings against certain current and former Citigroup employees (along with numerous other investment banks and certain of their current and former employees, as well as formerIn 2015, Parmalat officers and accountants).  On April 18, 2011, the Milan criminal court acquitted the sole Citigroup defendant of market-rigging charges. The Milan prosecutors appealed part of that judgment and sought administrative remedies against Citigroup under Italian Administrative Law 231.  On February 5, 2014, the Milan Court of Appeal restricted the remedy to an administrative fine of €500,000, which was later upheld by the Italian Supreme Court.
Additionally, the Parmalat administrator filed a purported civil complaint against Citigroup in the context of the Parma criminal proceedings. On March 5, 2015, the Parma criminal court accepted plea bargain agreements from each of the defendants (eight current and former Citigroup employees) and closed the criminal proceedings that had been commenced by prosecutors in Parma. As a result of the agreements entered into by the individuals, the Parma criminal court was no longer able to hear the civil complaint filed by the Parmalat administrator against Citigroup.  On June 16, 2015, the Parmalat administrator refiled the claim in an Italian civil court in Milan this time claiming damages of €1.8 billion against Citigroup and Related PartiesParties. On January 25, 2018, the Milan court dismissed Parmalat’s claim on grounds that it was duplicative of Parmalat’s previously unsuccessful claims. On March 2, 2018, Parmalat filed an appeal to the Milan Court of Appeal. Additional information concerning this action is publicly available in court filings under the docket number 1009/2018.

Referral Hiring Practices Investigations
Government and regulatory agencies in the U.S., including the SEC, are conducting investigations or making inquiries concerning compliance with the Foreign Corrupt Practices Act and other financial institutions.  A preliminary hearing in this new Milan proceeding is scheduled for April 19, 2016.

Regulatory Reviewlaws with respect to the hiring of Student Loan Servicing
Citibank is currently subjectcandidates referred by or related to regulatory investigation concerning certain student loan servicing practices. Citibankforeign government officials. Citigroup is cooperating with the investigation. Similar servicing practices have been the subject of an enforcement action against at least one other institution. In light of that actioninvestigations and the current regulatory focus on student loans, regulators may order that Citibank remediate customers and/or impose penalties or other relief.inquiries.

Sovereign Securities Matters
Regulatory Actions:Actions: Government and regulatory agencies in the U.S.United States and in other jurisdictions are conducting investigations or making inquiries regarding Citigroup’s sales and trading activities in connection with sovereign and other government-related securities. Citigroup is fully cooperating with these investigations and inquiries.
Antitrust and Other Litigation: Litigation: Beginning in July 2015, CGMI along withand numerous other U.S. Treasury primary dealer banks have beenwere named as defendants in a number of substantially similar putative class actions involving allegations that they colluded to manipulate U.S. Treasury securities markets. The cases were later consolidated in the United States District Court for the Southern District of New York. Plaintiffs then filed a consolidated complaint, which alleges that CGMI and other primary dealer defendants colluded to fix Treasury auction bids by sharing competitively sensitive information ahead of the 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 anonymous, all-to-all electronic trading platform in the Treasuries secondary market, and seeks damages, including treble damages where authorized by statute, and injunctive relief.  Defendants filed motions to dismiss on February 23, 2018. Additional information relating to this action is publicly available in court filings under the docket number 15-MD-2673 (S.D.N.Y.) (Gardephe, J.).
Beginning in 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 the defendants’ roles as registered primary dealersmarket makers and traders of U.S. Treasury securities
SSA bonds and assert claims of alleged collusion under the
antitrust laws and manipulationunjust enrichment and seek damages, including treble damages where authorized by statute, and disgorgement. These actions were later consolidated in the United States District Court for the Southern District of New York. Subsequently, plaintiffs filed a consolidated complaint that names Citigroup, Citibank, CGMI and CGML among the defendants. Plaintiffs filed a second amended consolidated complaint on November 6, 2018, which defendants moved to dismiss. Additional information relating to this action is publicly available in court filings under the Commodity Exchange Act.  These actionsdocket number 16-cv-03711 (S.D.N.Y.) (Ramos, J.).
In 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.). 
Also in 2017, a second similar action was initiated in Canadian Federal Court by the same law firm against the same Citi entities as the Ontario action, in addition to other defendants. The action asserts claims for breach of the competition act and breach of foreign law. Additional information relating to this action is publicly available in court filings under the docket number T-1871-17 (Fed. Ct.).
Beginning in March 2018, six complaints (later consolidated) were filed in the United States District Court for the Southern District of New York against numerous defendants, including Citigroup, CGMI, Citigroup Financial Products Inc., Citigroup Global Markets Holdings Inc., Citibanamex, and Grupo Banamex, related to the Northern District of Illinois, the Southern District of Alabama and the District of the Virgin Islands.
In December 2015, the cases were consolidated before Judge Paul G. GardepheMexican sovereign bond market. The complaints allege a conspiracy to fix prices in the United States District Court forMexican sovereign bond market from January 1, 2006 to April 19, 2017, and assert antitrust and unjust enrichment claims against the Southern DistrictCiti defendants, as well as a number of New York byother banks. Plaintiffs seek statutory treble damages, restitution, and injunctive relief. Defendants moved to dismiss the Judicial Panel on Multidistrict Litigation.consolidated amended complaint. Additional information relating to these actionsthis consolidated action is publicly available in court filings under the docket number: 15-MD-2673number 18 Civ. 2830 (S.D.N.Y.) (Gardephe,(Oetken, J.).

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

















296


29.28.   CONDENSED CONSOLIDATING FINANCIAL STATEMENTS

Citigroup expects to amendamended 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, 2015, 20142018, 2017 and 2013,2016, Condensed Consolidating Balance Sheet as of December 31, 20152018 and 20142017 and Condensed Consolidating Statement of Cash Flows for the years ended December 31, 2015, 20142018, 2017 and 20132016 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.


 



































297


Condensed Consolidating Statements of Income and Comprehensive Income
Year ended December 31, 2015Year ended December 31, 2018
In millions of dollarsCitigroup parent company
 CGMHI
 Other Citigroup subsidiaries and eliminations
 Consolidating adjustments
 Citigroup consolidated
Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$13,500
 $—
 $—
 $(13,500) $—
$22,854
 $—
 $—
 $(22,854) $—
Interest revenue9
 4,389
 54,153
 —
 58,551
67
 8,732
 62,029
 —
 70,828
Interest revenue—intercompany2,880
 272
 (3,152) —
 —
4,933
 1,659
 (6,592) —
 —
Interest expense4,563
 997
 6,361
 —
 11,921
4,783
 5,430
 14,053
 —
 24,266
Interest expense—intercompany(475) 1,295
 (820) —
 —
1,198
 3,539
 (4,737) —
 —
Net interest revenue$(1,199) $2,369
 $45,460
 $—
 $46,630
$(981) $1,422
 $46,121
 $—
 $46,562
Commissions and fees$—
 $4,854
 $6,994
 $—
 $11,848
$—
 $5,146
 $6,711
 $—
 $11,857
Commissions and fees—intercompany—
 214
 (214) —
 —
(2) 237
 (235) —
 —
Principal transactions1,012
 10,365
 (5,369) —
 6,008
(1,310) 1,599
 8,773
 —
 9,062
Principal transactions—intercompany(1,733) (8,709) 10,442
 —
 —
(929) 1,328
 (399) —
 —
Other income3,294
 426
 8,148
 —
 11,868
1,373
 710
 3,290
 —
 5,373
Other income—intercompany(3,054) 1,079
 1,975
 —
 —
(107) 143
 (36) —
 —
Total non-interest revenues$(481) $8,229
 $21,976
 $—
 $29,724
$(975) $9,163
 $18,104
 $—
 $26,292
Total revenues, net of interest expense$11,820
 $10,598
 $67,436
 $(13,500) $76,354
$20,898
 $10,585
 $64,225
 $(22,854) $72,854
Provisions for credit losses and for benefits and claims$—
 $—
 $7,913
 $—
 $7,913
$—
 $(22) $7,590
 $—
 $7,568
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$(58) $5,003
 $16,824
 $—
 $21,769
$4
 $4,484
 $16,666
 $—
 $21,154
Compensation and benefits—intercompany59
 —
 (59) —
 —
115
 —
 (115) —
 —
Other operating271
 1,948
 19,627
 —
 21,846
(192) 2,224
 18,655
 —
 20,687
Other operating—intercompany247
 1,164
 (1,411) —
 —
49
 2,312
 (2,361) —
 —
Total operating expenses$519
 $8,115
 $34,981
 $—
 $43,615
$(24) $9,020
 $32,845
 $—
 $41,841
Income (loss) before income taxes and equity in undistributed income of subsidiaries$11,301
 $2,483
 $24,542
 $(13,500) $24,826
Provision (benefit) for income taxes(1,340) 537
 8,243
 —
 7,440
Equity in undistributed income of subsidiaries4,601
 —
 —
 (4,601) —
$(2,163) $—
 $—
 $2,163
 $—
Income (loss) from continuing operations before income taxes$18,759
 $1,587
 $23,790
 $(20,691) $23,445
Provision for income taxes$714
 $1,123
 $3,520
 $—
 $5,357
Income (loss) from continuing operations$17,242
 $1,946
 $16,299
 $(18,101) $17,386
$18,045
 $464
 $20,270
 $(20,691) $18,088
Income (loss) from discontinued operations, net of taxes—
 —
 (54) —
 (54)
Loss from discontinued operations, net of taxes—
 —
 (8) —
 (8)
Net income (loss) before attribution of noncontrolling interests$17,242
 $1,946
 $16,245
 $(18,101) $17,332
$18,045
 $464
 $20,262
 $(20,691) $18,080
Net income attributable to noncontrolling interests—
 9
 81
 —
 90
Net income (loss) after attribution of noncontrolling interests$17,242
 $1,937
 $16,164
 $(18,101) $17,242
Noncontrolling interests—
 —
 35
 —
 35
Net income (loss)$18,045
 $464
 $20,227
 $(20,691) $18,045
Comprehensive income

 

 

 

 



 

 

 

 

Other comprehensive income (loss)$(6,128) $(125) $(6,367) $6,492
 $(6,128)
Comprehensive income$11,114
 $1,812
 $9,797
 $(11,609) $11,114
Add: Other comprehensive income (loss)$(2,499) $257
 $3,500
 $(3,757) $(2,499)
Total Citigroup comprehensive income (loss)$15,546

$721

$23,727

$(24,448)
$15,546
Add: Other comprehensive income (loss) attributable to noncontrolling interests$—

$—

$(43)
$—

$(43)
Add: Net income attributable to noncontrolling interests—

—

35

—

35
Total comprehensive income (loss)$15,546

$721

$23,719

$(24,448)
$15,538

298


Condensed Consolidating Statements of Income and Comprehensive Income
Year ended December 31, 2014Year ended December 31, 2017
In millions of dollarsCitigroup parent company
 CGMHI
 Other Citigroup subsidiaries and eliminations
 Consolidating adjustments
 Citigroup consolidated
Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$8,900
 $—
 $—
 $(8,900) $—
$22,499
 $—
 $—
 $(22,499) $—
Interest revenue12
 4,210
 57,461
 —
 61,683
1
 5,279
 56,299
 —
 61,579
Interest revenue—intercompany3,109
 144
 (3,253) —
 —
3,972
 1,178
 (5,150) —
 —
Interest expense5,055
 1,010
 7,625
 —
 13,690
4,766
 2,340
 9,412
 —
 16,518
Interest expense—intercompany(618) 1,258
 (640) —
 —
829
 2,297
 (3,126) —
 —
Net interest revenue$(1,316) $2,086
 $47,223
 $—
 $47,993
$(1,622) $1,820
 $44,863
 $—
 $45,061
Commissions and fees$—
 $5,185
 $7,847
 $—
 $13,032
$—
 $5,366
 $7,341
 $—
 $12,707
Commissions and fees—intercompany—
 95
 (95) —
 —
(2) 182
 (180) —
 —
Principal transactions13
 (1,115) 7,800
 —
 6,698
1,654
 1,183
 6,638
 —
 9,475
Principal transactions—intercompany(672) 3,822
 (3,150) —
 —
934
 1,200
 (2,134) —
 —
Other income1,037
 425
 8,034
 —
 9,496
(2,581) 867
 6,915
 —
 5,201
Other income—intercompany(131) 1,206
 (1,075) —
 —
5
 170
 (175) —
 —
Total non-interest revenues$247
 $9,618
 $19,361
 $—
 $29,226
$10
 $8,968
 $18,405
 $—
 $27,383
Total revenues, net of interest expense$7,831
 $11,704
 $66,584
 $(8,900) $77,219
$20,887
 $10,788
 $63,268
 $(22,499) $72,444
Provisions for credit losses and for benefits and claims$—
 $—
 $7,467
 $—
 $7,467
$—
 $—
 $7,451
 $—
 $7,451
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$158
 $5,156
 $18,645
 $—
 $23,959
$(107) $4,403
 $16,885
 $—
 $21,181
Compensation and benefits—intercompany38
 —
 (38) —
 —
120
 —
 (120) —
 —
Other operating1,572
 6,082
 23,438
 —
 31,092
(318) 2,184
 19,185
 —
 21,051
Other operating—intercompany212
 1,651
 (1,863) —
 —
(35) 2,231
 (2,196) —
 —
Total operating expenses$1,980
 $12,889
 $40,182
 $—
 $55,051
$(340) $8,818
 $33,754
 $—
 $42,232
Income (loss) before income taxes and equity in undistributed income of subsidiaries$5,851
 $(1,185) $18,935
 $(8,900) $14,701
Provision (benefit) for income taxes(643) 600
 7,240
 —
 7,197
Equity in undistributed income of subsidiaries816
 —
 

 (816) —
$(19,088) $—
 $—
 $19,088
 $—
Income (loss) from continuing operations before income taxes$2,139
 $1,970
 $22,063
 $(3,411) $22,761
Provision for income taxes$8,937
 $873
 $19,578
 $—
 $29,388
Income (loss) from continuing operations$7,310
 $(1,785) $11,695
 $(9,716) $7,504
$(6,798) $1,097
 $2,485
 $(3,411) $(6,627)
Income (loss) from discontinued operations, net of taxes—
 —
 (2) —
 (2)
Loss from discontinued operations, net of taxes—
 —
 (111) —
 (111)
Net income (loss) before attribution of noncontrolling interests$7,310
 $(1,785) $11,693
 $(9,716) $7,502
$(6,798) $1,097
 $2,374
 $(3,411) $(6,738)
Net income attributable to noncontrolling interests—
 8
 184
 —
 192
Net income (loss) after attribution of noncontrolling interests$7,310
 $(1,793) $11,509
 $(9,716) $7,310
Noncontrolling interests—
 (1) 61
 —
 60
Net income (loss)$(6,798) $1,098
 $2,313
 $(3,411) $(6,798)
Comprehensive income

 

 

 

 



 

 

 

 

Other comprehensive income (loss)$(4,083) $194
 $(4,760) $4,566
 $(4,083)
Comprehensive income$3,227
 $(1,599) $6,749
 $(5,150) $3,227
Add: Other comprehensive income (loss)$(2,791) $(117) $(4,160) $4,277
 $(2,791)
Total Citigroup comprehensive income (loss)$(9,589)
$981

$(1,847)
$866

$(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

$(1,672)
$866

$(9,415)


299


Condensed Consolidating Statements of Income and Comprehensive Income
Year ended December 31, 2013Year ended December 31, 2016
In millions of dollarsCitigroup parent company
 CGMHI
 Other Citigroup subsidiaries and eliminations
 Consolidating adjustments
 Citigroup consolidated
Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$13,044
 $—
 $—
 $(13,044) $—
$15,570
 $—
 $—
 $(15,570) $—
Interest revenue14
 4,475
 58,481
 —
 62,970
7
 4,590
 53,391
 —
 57,988
Interest revenue—intercompany3,220
 159
 (3,379) —
 —
3,008
 545
 (3,553) —
 —
Interest expense5,995
 1,067
 9,115
 —
 16,177
4,419
 1,418
 6,675
 —
 12,512
Interest expense—intercompany(436) 1,425
 (989) —
 —
209
 1,659
 (1,868) —
 —
Net interest revenue$(2,325) $2,142
 $46,976
 $—
 $46,793
$(1,613) $2,058
 $45,031
 $—
 $45,476
Commissions and fees$—
 $4,871
 $8,070
 $—
 $12,941
$—
 $4,536
 $7,142
 $—
 $11,678
Commissions and fees—intercompany—
 27
 (27) —
 —
(20) 246
 (226) —
 —
Principal transactions(257) 389
 7,170
 —
 7,302
(1,025) 5,718
 3,164
 —
 7,857
Principal transactions—intercompany(387) 1,491
 (1,104) —
 —
24
 (2,842) 2,818
 —
 —
Other income3,770
 571
 5,347
 —
 9,688
2,599
 191
 2,996
 —
 5,786
Other income—intercompany(2,987) 928
 2,059
 —
 —
(2,095) 306
 1,789
 —
 —
Total non-interest revenues$139
 $8,277
 $21,515
 $—
 $29,931
$(517) $8,155
 $17,683
 $—
 $25,321
Total revenues, net of interest expense$10,858
 $10,419
 $68,491
 $(13,044) $76,724
$13,440
 $10,213
 $62,714
 $(15,570) $70,797
Provisions for credit losses and for benefits and claims$—
 $18
 $8,496
 $—
 $8,514
$—
 $—
 $6,982
 $—
 $6,982
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$136
 $5,169
 $18,662
 $—
 $23,967
$22
 $4,719
 $16,229
 $—
 $20,970
Compensation and benefits—intercompany52
 —
 (52) —
 —
36
 —
 (36) —
 —
Other operating474
 3,461
 20,506
 —
 24,441
482
 1,983
 18,903
 —
 21,368
Other operating—intercompany189
 2,856
 (3,045) —
 —
217
 1,335
 (1,552) —
 —
Total operating expenses$851
 $11,486
 $36,071
 $—
 $48,408
$757
 $8,037
 $33,544
 $—
 $42,338
Income (loss) before income taxes and equity in undistributed income of subsidiaries$10,007
 $(1,085) $23,924
 $(13,044) $19,802
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(1,638) (249) 8,073
 —
 6,186
$(1,358) $746
 $7,056
 $—
 $6,444
Equity in undistributed income of subsidiaries2,014
 —
 —
 (2,014) —
Income (loss) from continuing operations$13,659
 $(836) $15,851
 $(15,058) $13,616
$14,912
 $1,430
 $15,132
 $(16,441) $15,033
Income (loss) from discontinued operations, net of taxes—
 —
 270
 —
 270
Loss from discontinued operations, net of taxes—
 —
 (58) —
 (58)
Net income (loss) before attribution of noncontrolling interests$13,659
 $(836) $16,121
 $(15,058) $13,886
$14,912
 $1,430
 $15,074
 $(16,441) $14,975
Net income attributable to noncontrolling interests—
 25
 202
 —
 227
Net income (loss) after attribution of noncontrolling interests$13,659
 $(861) $15,919
 $(15,058) $13,659
Noncontrolling interests—
 (13) 76
 —
 63
Net income (loss)$14,912
 $1,443
 $14,998
 $(16,441) $14,912
Comprehensive income

 

 

 

 



 

 

 

 

Other comprehensive income (loss)$(2,237) $(139) $(3,138) $3,277
 $(2,237)
Comprehensive income$11,422
 $(1,000) $12,781
 $(11,781) $11,422
Add: Other comprehensive income (loss)$(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



300


Condensed Consolidating Balance Sheet
December 31, 2015December 31, 2018
In millions of dollarsCitigroup parent company
 CGMHI
 Other Citigroup subsidiaries and eliminations
 Consolidating adjustments
 Citigroup consolidated
Citigroup parent company
 CGMHI
 Other Citigroup subsidiaries and eliminations
 Consolidating adjustments
 Citigroup consolidated
Assets                  
Cash and due from banks$—
 $592
 $20,308
 $—
 $20,900
$1
 $689
 $22,955
 $—
 $23,645
Cash and due from banks—intercompany124
 1,403
 (1,527) —
 —
19
 3,545
 (3,564) —
 —
Deposits with banks—

4,915

159,545

—

164,460
Deposits with banks—intercompany3,000

6,528

(9,528)
—

—
Federal funds sold and resale agreements—
 178,178
 41,497
 —
 219,675
—
 212,720
 57,964
 —
 270,684
Federal funds sold and resale agreements—intercompany—
 15,035
 (15,035) —
 —
—
 20,074
 (20,074) —
 —
Trading account assets(8) 124,731
 125,233
 —
 249,956
302
 146,233
 109,582
 —
 256,117
Trading account assets—intercompany1,032
 1,765
 (2,797) —
 —
627
 1,728
 (2,355) —
 —
Investments484
 402
 342,069
 —
 342,955
7
 224
 358,376
 —
 358,607
Loans, net of unearned income—
 1,068
 616,549
 —
 617,617
—
 1,292
 682,904
 —
 684,196
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 (3) (12,623) —
 (12,626)—
 —
 (12,315) —
 (12,315)
Total loans, net$—
 $1,065
 $603,926
 $—
 $604,991
$—
 $1,292
 $670,589
 $—
 $671,881
Advances to subsidiaries$104,405
 $—
 $(104,405) $—
 $—
$143,119
 $—
 $(143,119) $—
 $—
Investments in subsidiaries221,362
 —
 —
 (221,362) —
205,337
 —
 —
 (205,337) —
Other assets (1)
25,819
 36,860
 230,054
 —
 292,733
9,861
 59,734
 102,394
 —
 171,989
Other assets—intercompany58,207
 30,737
 (88,944) —
 —
3,037
 44,255
 (47,292) —
 —
Total assets$411,425
 $390,768
 $1,150,379
 $(221,362) $1,731,210
$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383
Liabilities and equity

 
 
 
 


 
 
 
 
Deposits$—
 $—
 $907,887
 $—
 $907,887
$—
 $—
 $1,013,170
 $—
 $1,013,170
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 122,459
 24,037
 —
 146,496
Federal funds purchased and securities loaned or sold—intercompany185
 22,042
 (22,227) —
 —
Federal funds purchased and securities loaned and sold—
 155,830
 21,938
 —
 177,768
Federal funds purchased and securities loaned and sold—intercompany—
 21,109
 (21,109) —
 —
Trading account liabilities—
 62,386
 55,126
 —
 117,512
1
 95,571
 48,733
 —
 144,305
Trading account liabilities—intercompany1,036
 2,045
 (3,081) —
 —
410
 1,398
 (1,808) —
 —
Short-term borrowings146
 188
 20,745
 —
 21,079
207
 3,656
 28,483
 —
 32,346
Short-term borrowings—intercompany—
 34,916
 (34,916) —
 —
—
 11,343
 (11,343) —
 —
Long-term debt141,914
 2,530
 56,831
 —
 201,275
143,768
 25,986
 62,245
 —
 231,999
Long-term debt—intercompany—
 51,171
 (51,171) —
 —
—
 73,884
 (73,884) —
 —
Advances from subsidiaries36,453
 —
 (36,453) —
 —
21,471
 —
 (21,471) —
 —
Other liabilities3,560
 55,482
 54,827
 —
 113,869
3,010
 66,732
 50,979
 —
 120,721
Other liabilities—intercompany6,274
 10,967
 (17,241) —
 —
223
 13,763
 (13,986) —
 —
Stockholders’ equity221,857
 26,582
 196,015
 (221,362) 223,092
196,220
 32,665
 173,526
 (205,337) 197,074
Total liabilities and equity$411,425
 $390,768
 $1,150,379
 $(221,362) $1,731,210
$365,310
 $501,937
 $1,255,473
 $(205,337) $1,917,383

(1)
Other assets for Citigroup parent company at December 31, 20152018 included $21.8$34.7 billion of placements to Citibank and its branches, of which $13.9$22.4 billion had a remaining term of less than 30 days.




301


Condensed Consolidating Balance Sheet
December 31, 2014December 31, 2017
In millions of dollarsCitigroup parent company
 CGMHI
 Other Citigroup subsidiaries and eliminations
 Consolidating adjustments
 Citigroup consolidated
Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets                  
Cash and due from banks$—
 $239
 $31,869
 $—
 $32,108
$—
 $378
 $23,397
 $—
 $23,775
Cash and due from banks—intercompany125
 1,512
 (1,637) —
 —
13
 3,750
 (3,763) —
 —
Deposits with banks—

3,348

153,393

—

156,741
Deposits with banks—intercompany11,000

5,219

(16,219)
—

—
Federal funds sold and resale agreements—
 194,649
 47,921
 —
 242,570
—
 182,685
 49,793
 —
 232,478
Federal funds sold and resale agreements—intercompany—
 6,601
 (6,601) —
 —
—
 16,091
 (16,091) —
 —
Trading account assets(103) 141,608
 155,281
 —
 296,786
—
 139,462
 113,328
 —
 252,790
Trading account assets—intercompany707
 4,956
 (5,663) —
 —
38
 2,711
 (2,749) —
 —
Investments830
 483
 332,130
 —
 333,443
27
 181
 352,082
 —
 352,290
Loans, net of unearned income—
 1,495
 643,140
 —
 644,635
—
 900
 666,134
 —
 667,034
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 (45) (15,949) —
 (15,994)—
 —
 (12,355) —
 (12,355)
Total loans, net$—
 $1,450
 $627,191
 $—
 $628,641
$—
 $900
 $653,779
 $—
 $654,679
Advances to subsidiaries$77,951
 $—
 $(77,951) $—
 $—
$139,722
 $—
 $(139,722) $—
 $—
Investments in subsidiaries211,004
 —
 —
 (211,004) —
210,537
 —
 —
 (210,537) —
Other assets(1)
26,734
 38,654
 243,245
 —
 308,633
10,844
 58,299
 100,569
 —
 169,712
Other assets—intercompany84,174
 22,081
 (106,255) —
 —
3,428
 43,613
 (47,041) —
 —
Total assets$401,422
 $412,233
 $1,239,530
 $(211,004) $1,842,181
$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465
Liabilities and equity
 
 
 
 —

 
 
 
 

Deposits$—
 $—
 $899,332
 $—
 $899,332
$—
 $—
 $959,822
 $—
 $959,822
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 149,773
 23,665
 —
 173,438
Federal funds purchased and securities loaned or sold—intercompany185
 22,170
 (22,355) —
 —
Federal funds purchased and securities loaned and sold—
 134,888
 21,389
 —
 156,277
Federal funds purchased and securities loaned and sold—intercompany—
 18,597
 (18,597) —
 —
Trading account liabilities3
 76,965
 62,068
 —
 139,036
—
 80,801
 44,369
 —
 125,170
Trading account liabilities—intercompany759
 4,853
 (5,612) —
 —
15
 2,182
 (2,197) —
 —
Short-term borrowings1,075
 2,042
 55,218
 —
 58,335
251
 3,568
 40,633
 —
 44,452
Short-term borrowings—intercompany—
 30,862
 (30,862) —
 —
—
 32,871
 (32,871) —
 —
Long-term debt149,512
 3,062
 70,506
 —
 223,080
152,163
 18,048
 66,498
 —
 236,709
Long-term debt—intercompany—
 39,145
 (39,145) —
 —
—
 60,765
 (60,765) —
 —
Advances from subsidiaries27,430
 —
 (27,430) —
 —
19,136
 —
 (19,136) —
 —
Other liabilities5,056
 49,968
 82,240
 —
 137,264
2,673
 62,113
 53,577
 —
 118,363
Other liabilities—intercompany7,217
 8,385
 (15,602) —
 —
631
 9,753
 (10,384) —
 —
Stockholders’ equity210,185
 25,008
 187,507
 (211,004) 211,696
200,740
 33,051
 178,418
 (210,537) 201,672
Total liabilities and equity$401,422
 $412,233
 $1,239,530
 $(211,004) $1,842,181
$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465

(1)
Other assets for Citigroup parent company at December 31, 20142017 included $42.7$29.7 billion of placements to Citibank and its branches, of which $33.9$18.9 billion had a remaining term of less than 30 days.



302


Condensed Consolidating Statement 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) $—
 $(242,362)
Proceeds from sales of investments—
 53
 141,417
 —
 141,470
Proceeds from maturities of investments237
 —
 81,810
 —
 82,047
Change in deposits with banks—
 (8,414) 23,902
 —
 15,488
Change in loans—
 —
 1,353
 —
 1,353
Proceeds from sales and securitizations of loans—
 —
 9,610
 —
 9,610
Proceeds from significant disposals—
 —
 5,932
 —
 5,932
Payments due to transfers of net liabilities associated with significant disposals—
 —
 (18,929) —
 (18,929)
Change in federal funds sold and resales—
 8,037
 14,858
 —
 22,895
Changes in investments and advances—intercompany(35,548) 1,044
 34,504
 —
 —
Other investing activities3
 (101) (2,523) —
 (2,621)
Net cash provided by (used in) investing activities of continuing operations$(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

303


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 HFS 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)



 Year ended December 31, 2018
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$21,314
 $13,287
 $2,351
 $—
 $36,952
Cash flows from investing activities of continuing operations         
Purchases of investments$(7,955) $(18) $(179,014) $—
 $(186,987)
Proceeds from sales of investments7,634
 3
 53,854
 —
 61,491
Proceeds from maturities of investments—
 —
 118,104
 —
 118,104
Change in loans—
 —
 (29,002) —
 (29,002)
Proceeds from sales and securitizations of loans—
 —
 4,549
 —
 4,549
Proceeds from significant disposals—
 —
 314
 —
 314
Change in federal funds sold and resales—
 (34,018) (4,188) —
 (38,206)
Changes in investments and advances—intercompany(5,566) (832) 6,398
 —
 —
Other investing activities556
 (59) (3,878) —
 (3,381)
Net cash used in investing activities of continuing operations$(5,331) $(34,924) $(32,863) $—
 $(73,118)
Cash flows from financing activities of continuing operations         
Dividends paid$(5,020) $—
 $—
 $—
 $(5,020)
Redemption of preferred stock(793) —
 —
 —
 (793)
Treasury stock acquired(14,433) —
 —
 —
 (14,433)
Proceeds (repayments) from issuance of long-term debt, net(5,099) 10,278
 (2,656) —
 2,523
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 10,708
 (10,708) —
 —
Change in deposits—
 —
 53,348
 —
 53,348
Change in federal funds purchased and repos—
 23,454
 (1,963) —
 21,491
Change in short-term borrowings32
 88
 (12,226) —
 (12,106)
Net change in short-term borrowings and other advances—intercompany1,819
 (19,111) 17,292
 —
 —
Capital contributions from parent—
 (798) 798
 —
 —
Other financing activities(482) —
 —
 —
 (482)
Net cash provided by (used in) financing activities of continuing operations$(23,976) $24,619
 $43,885
 $—
 $44,528
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(773) $—
 $(773)
Change in cash and due from banks and deposits with banks$(7,993) $2,982
 $12,600
 $—
 $7,589
Cash and due from banks and deposits with banks at
beginning of period
11,013
 12,695
 156,808
 —
 180,516
Cash and due from banks and deposits with banks at end of period$3,020
 $15,677
 $169,408
 $—
 $188,105
Cash and due from banks$20
 $4,234
 $19,391
 $—
 $23,645
Deposits with banks3,000
 11,443
 150,017
 —
 164,460
Cash and due from banks and deposits with banks at end of period$3,020
 $15,677
 $169,408
 $—
 $188,105
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 

Cash paid during the year for income taxes$(783) $458
 $4,638
 $—
 $4,313
Cash paid during the year for interest3,854
 8,671
 10,438
 —
 22,963
Non-cash investing activities

 

 

 

 

Transfers to loans HFS from loans$—
 $—
 $4,200
 $—
 $4,200
Transfers to OREO and other repossessed assets—
 —
 151
 —
 151


























304


Condensed Consolidating Statement of Cash Flows
Year ended December 31, 2014Year ended December 31, 2017
In millions of dollarsCitigroup parent company
 CGMHI
 Other Citigroup subsidiaries and eliminations
 Consolidating adjustments
 Citigroup consolidated
Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$5,940
 $(10,915) $51,318
 $—
 $46,343
$25,270
 $(33,365) $(679) $—
 $(8,774)
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $(188) $(258,804) $—
 $(258,992)$—
 $(14) $(185,726) $—
 $(185,740)
Proceeds from sales of investments41
 42
 135,741
 —
 135,824
132
 18
 107,218
 —
 107,368
Proceeds from maturities of investments155
 —
 93,962
 —
 94,117
—
 —
 84,369
 —
 84,369
Change in deposits with banks—
 4,183
 36,733
 —
 40,916
Change in loans—
 —
 1,170
 —
 1,170
—
 —
 (58,062) —
 (58,062)
Proceeds from sales and securitizations of loans—
 —
 4,752
 —
 4,752
—
 —
 8,365
 —
 8,365
Proceeds from significant disposals—
 —
 346
 —
 346
—
 —
 3,411
 —
 3,411
Payments due to transfers of net liabilities associated with significant disposals—
 —
 (1,255) —
 (1,255)
Change in federal funds sold and resales—
 8,832
 5,635
 —
 14,467
—
 9,731
 (5,396) —
 4,335
Changes in investments and advances—intercompany(7,986) 3,549
 4,437
 —
 —
(899) 9,755
 (8,856) —
 —
Other investing activities5
 (72) (2,696) —
 (2,763)—
 (24) (2,773) —
 (2,797)
Net cash provided by (used in) investing activities of continuing operations$(7,785) $16,346
 $20,021
 $—
 $28,582
$(767) $19,466
 $(57,450) $—
 $(38,751)
Cash flows from financing activities of continuing operations                  
Dividends paid$(633) $—
 $—
 $—
 $(633)$(3,797) $—
 $—
 $—
 $(3,797)
Issuance of preferred stock3,699
 —
 —
 —
 3,699
—
 —
 —
 —
 —
Treasury stock acquired(1,232) —
 —
 —
 (1,232)(14,541) —
 —
 —
 (14,541)
Proceeds (repayments) from issuance of long-term debt, net(3,636) (634) 12,183
 —
 7,913
6,544
 4,909
 15,521
 —
 26,974
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 1,131
 (1,131) —
 —
—
 (2,031) 2,031
 —
 —
Change in deposits—
 —
 (48,336) —
 (48,336)—
 —
 30,416
 —
 30,416
Change in federal funds purchased and repos—
 (15,268) (14,806) —
 (30,074)—
 5,748
 8,708
 —
 14,456
Change in short-term borrowings749
 143
 (1,991) —
 (1,099)49
 2,212
 11,490
 —
 13,751
Net change in short-term borrowings and other advances—intercompany3,297
 1,212
 (4,509) —
 —
(22,152) (8,615) 30,767
 —
 —
Capital contributions from parent—
 8,500
 (8,500) —
 —
—
 (748) 748
 —
 —
Other financing activities(507) —
 (1) —
 (508)(405) —
 —
 —
 (405)
Net cash provided by (used in) financing activities of continuing operations$1,737
 $(4,916) $(67,091) $—
 $(70,270)$(34,302) $1,475
 $99,681
 $—
 $66,854
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(2,432) $—
 $(2,432)$—
 $—
 $693
 $—
 $693
Change in cash and due from banks$(108) $515
 $1,816
 $—
 $2,223
Cash and due from banks at beginning of period233
 1,236
 28,416
 —
 29,885
Cash and due from banks at end of period$125
 $1,751
 $30,232
 $—
 $32,108
Change in cash and due from banks and deposits with banks$(9,799) $(12,424) $42,245
 $—
 $20,022
Cash and due from banks and deposits with banks at
beginning of period
20,812
 25,119
 114,563
 —
 160,494
Cash and due from banks and deposits with banks at end of period$11,013
 $12,695
 $156,808
 $—
 $180,516
Cash and due from banks$13
 $4,128
 $19,634
 $—
 $23,775
Deposits with banks11,000
 8,567
 137,174
 —
 156,741
Cash and due from banks and deposits with banks at end of period$11,013
 $12,695
 $156,808
 $—
 $180,516
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 



 

 

 

 

Cash paid during the year for income taxes$235
 $353
 $4,044
 $—
 $4,632
$(3,730) $678
 $5,135
 $—
 $2,083
Cash paid during the year for interest5,632
 2,298
 6,071
 —
 14,001
4,151
 4,513
 7,011
 —
 15,675
Non-cash investing activities

 

 

 

 

         
Change in loans due to consolidation/deconsolidation of VIEs$—
 $—
 $(374) $—
 $(374)
Transfers to loans held-for-sale from loans—
 —
 15,100
 —
 15,100
Transfers to loans HFS from loans$—
 $—
 $5,900
 $—
 $5,900
Transfers to OREO and other repossessed assets—
 —
 321
 —
 321
—
 —
 113
 —
 113
Non-cash financing activities

 

 

 

 

Decrease in deposits associated with reclassifications to HFS$—
 $—
 $(20,605) $—
 $(20,605)
Increase in short-term borrowings due to consolidation of VIEs—

—

500

—

500
Decrease in long-term debt due to deconsolidation of VIEs—

—

(864)
—

(864)

305


Condensed Consolidating Statements of Cash Flows
Year ended December 31, 2013Year ended December 31, 2016
In millions of dollarsCitigroup parent company
 CGMHI
 Other Citigroup subsidiaries and eliminations
 Consolidating adjustments
 Citigroup consolidated
Citigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$(7,881) $(5,692) $76,817
 $—
 $63,244
Net cash provided by operating activities of continuing operations$11,605
 $20,610
 $21,518
 $—
 $53,733
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $(34) $(220,789) $—
 $(220,823)$—
 $(14) $(211,388) $—
 $(211,402)
Proceeds from sales of investments385
 —
 130,715
 —
 131,100
3,024
 —
 129,159
 —
 132,183
Proceeds from maturities of investments233
 —
 84,598
 —
 84,831
234
 —
 65,291
 —
 65,525
Change in deposits with banks—
 6,242
 (73,113) —
 (66,871)
Change in loans—
 —
 (30,198) —
 (30,198)—
 —
 (39,761) —
 (39,761)
Proceeds from sales and securitizations of loans—
 —
 9,123
 —
 9,123
—
 —
 18,140
 —
 18,140
Change in federal funds sold and resales—
 (2,838) 7,112
 —
 4,274
—
 (15,294) (1,844) —
 (17,138)
Proceeds from significant disposals—
 —
 265
 —
 265
Payments due to transfers of net liabilities associated with significant disposals—
 —
 —
 —
 —
Changes in investments and advances—intercompany7,226
 (2,118) (5,108) —
 —
(18,083) (5,574) 23,657
 —
 —
Other investing activities4
 (171) (2,607) —
 (2,774)—
 57
 (2,004) —
 (1,947)
Net cash provided by (used in) investing activities of continuing operations$7,848
 $1,081
 $(100,267) $—
 $(91,338)
Net cash used in investing activities of continuing operations$(14,825) $(20,825) $(18,485) $—
 $(54,135)
Cash flows from financing activities of continuing operations                  
Dividends paid$(314) $—
 $—
 $—
 $(314)$(2,287) $—
 $—
 $—
 $(2,287)
Issuance of preferred stock4,192
 —
 —
 —
 4,192
2,498
 —
 —
 —
 2,498
Redemption of preferred stock(94) —
 —
 —
 (94)
Treasury stock acquired(837) —
 —
 —
 (837)(9,290) —
 —
 —
 (9,290)
Proceeds (repayments) from issuance of long-term debt, net(13,426) 53
 3,784
 —
 (9,589)7,005
 5,916
 (4,575) —
 8,346
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (202) 202
 —
 —
—
 (9,453) 9,453
 —
 —
Change in deposits—
 —
 37,713
 —
 37,713
—
 —
 24,394
 —
 24,394
Change in federal funds purchased and repos—
 2,768
 (10,492) —
 (7,724)—
 3,236
 (7,911) —
 (4,675)
Change in short-term borrowings(359) 1,130
 (572) —
 199
(164) 1,168
 8,618
 —
 9,622
Net change in short-term borrowings and other advances—intercompany11,402
 (13,149) 1,747
 —
 —
4,620
 680
 (5,300) —
 —
Capital contributions from parent—
 12,330
 (12,330) —
 —
Other financing activities(451) —
 (1) —
 (452)(316) —
 —
 —
 (316)
Net cash provided by (used in) financing activities of continuing operations$113
 $2,930
 $20,051
 $—
 $23,094
Net cash provided by financing activities of continuing operations$2,066
 $6,557
 $19,669
 $—
 $28,292
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(1,558) $—
 $(1,558)$—
 $—
 $(493) $—
 $(493)
Discontinued operations        —
Net cash used in discontinued operations$—
 $—
 $(10) $—
 $(10)
Change in cash and due from banks$80
 $(1,681) $(4,967) $—
 $(6,568)
Cash and due from banks at beginning of period153
 2,917
 33,383
 —
 36,453
Cash and due from banks at end of period$233
 $1,236
 $28,416
 $—
 $29,885
Change in cash and due from banks and deposits with banks$(1,154) $6,342
 $22,209
 $—
 $27,397
Cash and due from banks and deposits with banks at
beginning of period
21,966
 18,777
 92,354
 —
 133,097
Cash and due from banks and deposits with banks at end of period$20,812
 $25,119
 $114,563
 $—
 $160,494
Cash and due from banks$142
 $4,690
 $18,211
 $—
 $23,043
Deposits with banks20,670
 20,429
 96,352
 —
 137,451
Cash and due from banks and deposits with banks at end of period$20,812
 $25,119
 $114,563
 $—
 $160,494
Supplemental disclosure of cash flow information for continuing operations                  
Cash paid during the year for income taxes$(71) $(20) $4,586
 $—
 $4,495
$351
 $92
 $3,916
 $—
 $4,359
Cash paid during the year for interest6,514
 2,575
 6,566
 —
 15,655
4,397
 3,115
 4,555
 —
 12,067
Non-cash investing activities                  
Change in loans due to consolidation/deconsolidation of VIEs$—
 $—
 $6,718
 $—
 $6,718
Transfers to loans held-for-sale from loans—
 —
 17,300
 —
 17,300
$—
 $—
 $13,900
 $—
 $13,900
Transfers to OREO and other repossessed assets—
 —
 325
 —
 325
—
 —
 165
 —
 165
Non-cash financing activities         
Increase in short-term borrowings due to consolidation of VIEs—
 —
 6,718
 —
 6,718

306


30. SUBSEQUENT EVENT

Citi uses the U.S. dollar as the functional currency for its operations in Venezuela. On February 17, 2016, the Venezuelan government announced changes to its foreign exchange controls. Based on this announcement, Citi expects to begin using the SIMADI rate in the first quarter of 2016 to remeasure its net bolivar-denominated monetary assets, despite the possibly limited availability of U.S. dollars (notwithstanding the fact that it has been described as a free floating rate) and although the new SIMADI 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. At the
expected minimum new SIMADI rate of 202 bolivars per U.S. dollar, Citi estimates that it will incur an approximate $172 million foreign currency loss in the first quarter of 2016, which could increase if the bolivar continues to devalue in the new SIMADI market. Additionally, Citi expects its revenues and expenses will be translated at the SIMADI rate beginning in the first quarter of 2016. Because the new foreign exchange control rules have not yet been officially published and are thus not yet effective, however, the impact to Citi’s results of operations as a result of the February 17th announcement is not yet certain.




31.29. SELECTED QUARTERLY FINANCIAL DATA (UNAUDITED)

2015201420182017
In millions of dollars, except per share amountsFourthThirdSecondFirstFourthThirdSecondFirstFourthThirdSecondFirst
Fourth(1)
ThirdSecondFirst
Revenues, net of interest expense$18,456
$18,692
$19,470
$19,736
$17,899
$19,689
$19,425
$20,206
$17,124
$18,389
$18,469
$18,872
$17,504
$18,419
$18,155
$18,366
Operating expenses11,134
10,669
10,928
10,884
14,426
12,955
15,521
12,149
9,893
10,311
10,712
10,925
10,332
10,417
10,760
10,723
Provisions for credit losses and for benefits and claims2,514
1,836
1,648
1,915
2,013
1,750
1,730
1,974
1,925
1,974
1,812
1,857
2,073
1,999
1,717
1,662
Income from continuing operations before income taxes$4,808
$6,187
$6,894
$6,937
$1,460
$4,984
$2,174
$6,083
$5,306
$6,104
$5,945
$6,090
$5,099
$6,003
$5,678
$5,981
Income taxes1,403
1,881
2,036
2,120
1,077
2,068
1,921
2,131
1,001
1,471
1,444
1,441
23,864
1,866
1,795
1,863
Income from continuing operations$3,405
$4,306
$4,858
$4,817
$383
$2,916
$253
$3,952
Income (loss) from continuing operations$4,305
$4,633
$4,501
$4,649
$(18,765)$4,137
$3,883
$4,118
Income (loss) from discontinued operations, net of taxes(45)(10)6
(5)(1)(16)(22)37
(8)(8)15
(7)(109)(5)21
(18)
Net income before attribution of noncontrolling interests$3,360
$4,296
$4,864
$4,812
$382
$2,900
$231
$3,989
$4,297
$4,625
$4,516
$4,642
$(18,874)$4,132
$3,904
$4,100
Noncontrolling interests25
5
18
42
38
59
50
45
(16)3
26
22
19
(1)32
10
Citigroup’s net income$3,335
$4,291
$4,846
$4,770
$344
$2,841
$181
$3,944
Citigroup’s net income (loss)$4,313
$4,622
$4,490
$4,620
$(18,893)$4,133
$3,872
$4,090
Earnings per share(1)(2)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Basic 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Income from continuing operations$1.04
$1.36
$1.51
$1.51
$0.06
$0.89
$0.03
$1.23
Net income1.02
1.36
1.52
1.51
0.06
0.88
0.03
1.24
Income (loss) from continuing operations$1.65
$1.74
$1.62
$1.68
$(7.33)$1.42
$1.27
$1.36
Net income (loss)1.65
1.73
1.63
1.68
(7.38)1.42
1.28
1.35
Diluted 
 
 
 
 
 
 
 
   
 
 
 
Income from continuing operations1.03
1.36
1.51
1.51
0.06
0.88
0.03
1.22
Net income1.02
1.35
1.51
1.51
0.06
0.88
0.03
1.23
Common stock price per share 
 
 
 
 
 
 
 
High55.87
60.34
57.39
54.26
56.37
53.66
49.58
55.20
Low49.88
49.00
51.52
46.95
49.68
46.90
45.68
46.34
Close51.75
49.61
55.24
51.52
54.11
51.82
47.10
47.60
Dividends per share of common stock0.05
0.05
0.05
0.01
0.01
0.01
0.01
0.01
Income (loss) from continuing operations1.65
1.74
1.62
1.68
(7.33)1.42
1.27
1.36
Net income (loss)1.64
1.73
1.63
1.68
(7.38)1.42
1.28
1.35

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 sum to the totals reported for the full year.
(1)The fourth quarter of 2017 includes the one-time 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]


307


FINANCIAL DATA SUPPLEMENT

RATIOS
2015
2014
2013
201820172016
Citigroup’s net income to average assets(1)0.95%0.39%0.73%0.94%0.84%0.82%
Return on average common stockholders’ equity(1)(2)
8.1
3.4
7.0
9.4
7.0
6.6
Return on average total stockholders’ equity(2)(3)
7.9
3.5
6.9
9.1
7.0
6.5
Total average equity to average assets(3)(4)
11.9
11.1
10.5
10.3
12.1
12.6
Dividend payout ratio(4)(5)
3.0
1.8
0.9
23.1
18.0
8.9
(1)2017 excludes the one-time impact of Tax Reform. See “Significant Accounting Policies and Estimates—Income Taxes” 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) 
 2015
 2014
 2013
 2018 2017 2016
In millions of dollars at year end except ratiosAverage
interest rate
Average
balance
Average
interest rate
Average
balance
Average
interest rate
Average
balance
In millions of dollars at year end, except ratiosAverage
interest rate		Average
balance		Average
interest rate		Average
balance		Average
interest rate		Average
balance
Banks0.44%$46,664
0.48%$61,705
0.68%$63,759
1.35%$44,426
0.49%$36,063
0.34%$36,983
Other demand deposits0.48
249,498
0.58
229,880
0.57
220,599
0.61
287,665
0.52
293,389
0.49
278,745
Other time and savings deposits(2)
1.19
198,733
1.08
243,630
1.06
262,924
1.31
209,410
1.23
191,363
1.16
189,049
Total0.76%$494,895
0.80%$535,215
0.82%$547,282
0.94%$541,501
0.78%$520,815
0.73%$504,777
(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 IN U.S. OFFICES
  
In millions of dollars at December 31, 2015Under 3
months
Over 3 to 6
months
Over 6 to 12
months
Over 12
months
In millions of dollars at December 31, 2018Under 3
months		Over 3 to 6
months		Over 6 to 12
months		Over 12
months
Over $100,000  
Certificates of deposit$14,317
$639
$709
$2,007
$18,858
$6,952
$4,761
$2,755
Other time deposits3,880
37
65
805
6,007
—
—
717
Over $250,000  
Certificates of deposit$13,728
$264
$297
$1,625
$18,368
$5,455
$2,458
$1,613
Other time deposits3,864
—
57
711
6,022
—
—
60



308


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, 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. The Federal Deposit Insurance Corporation (FDIC). The FDIC also has examination authority for banking subsidiaries whose deposits it insures. Overseas branches of Citibank 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 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 General Data Protection Regulation. 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 liquidity, 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 (FCA), 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, CGMI, Citigroup Energy Inc. and CGML, also are 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—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 locatedin New York City at 388 Greenwich Street in New York City and are the subject of a leaseowned and fully occupied by Citi. Citi also has additional office space at 399 Park Avenue and 601 Lexington Avenue in New York City under a long-term lease and at 111 Wall Street in New York City under a lease of the entire building. Citibank leases a building in Long Island City, New York.
Citigroup Global Markets Holdings Inc.’s principal executive offices are locatedin New York City at 388 Greenwich Street and 390 Greenwich Street in New York City, which is also subject to a leaseare 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


309


Wharf, with both buildings subject to long-term leases. Citi is the largest tenant of these buildings.

In Asia, Citi’s principal executive offices are in leased premises located at Citibank PlazaChampion Tower in Hong Kong. Citi also has other significant leased premises, including in Singapore, 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 owned and 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 6352 million square feet of real estate in 10195 countries, consisting of over 9,4007,500 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 the firstsecond and secondthird quarters of 2015 in its related quarterly reports on Form 10-Q.2018.
In addition to Citi’s prior disclosures, During the fourth quarter of 2018, Citibank Europe plc, asubsidiary of Citi, Banco Nacional de México (Banamex), identified that it inadvertentlyCitibank, acting as an intermediary bank processed five domestic funds transfers toa transaction between two Irish banks involving the Iranian Embassy of Iran in Mexico during the third quarter of 2015.Ireland. The total value of these five funds transfersthe payment was approximately MXP 3,320 (approximately $177.00)EUR 90.00 (USD 104.24). ThreeThis transaction was for visa-related fees and is exempt pursuant to the travel exemption of the payments wereIranian Transactions and Sanctions Regulations. Citibank Europe plc realized nominal fees for visa services that are exempt under Officethe processing of Foreign Assets Control (OFAC) regulations and two were for consular services that going forward would be permissible under OFAC General License H for Banamex as a non-U.S. subsidiary of Citi.  The transactions, in aggregate, resulted in approximately MXP 10 (approximately $0.53) in revenue for Banamex.this payment.





310


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, 2015:2018:

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 2015  
October 2018  
Open market repurchases(1)
8.7
$51.35
$3,836
32.0
$68.78
$10,127
Employee transactions(2)
—
—
N/A
—
—
N/A
November 2015  
November 2018  
Open market repurchases(1)
8.1
53.84
3,399
20.7
64.81
8,784
Employee transactions(2)
—
—
N/A
—
—
N/A
December 2015  
December 2018  
Open market repurchases(1)
14.6
52.48
2,634
21.1
54.87
7,630
Employee transactions(2)
—
—
N/A
—
—
N/A
Amounts as of December 31, 201531.4
$52.52
$2,634
Total for 4Q18 and remaining program balance as of December 31, 201873.8
$63.70
$7,630
(1)Represents repurchases under the $7.8$17.6 billion 20152018 common stock repurchase program (2015(2018 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on March 11, 2015, whichJune 28, 2018. The 2018 Repurchase Program was part of the planned capital actions included by Citi in its 20152018 Comprehensive Capital Analysis and Review (CCAR). The 20152018 Repurchase Program extends through the second quarter of 2016.expires on June 30, 2019. Shares repurchased under the 20152018 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 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—RegulatoryStrategic 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.


 



311


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 81,805 common stockholders of record as of January 31, 2016, 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, 2015.2018. The graph and table assume that $100 was invested on December 31, 20102013 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
chart-c5e5863fc26e5147803.jpg

DATECITIS&P 500S&P FINANCIALSCITIS&P 500S&P FINANCIALS
31-Dec-2010100.00
100.00
100.00
30-Dec-201155.67
102.11
82.94
31-Dec-201283.81
118.45
106.84
31-Dec-2013110.49
156.82
144.90
100.0
100.0
100.0
31-Dec-2014           114.83
           178.28
           166.93
103.9
113.7
115.2
31-Dec-2015           110.14
           180.75
           164.39
99.7
115.3
113.4
31-Dec-2016115.5
129.0
139.3
31-Dec-2017146.8
157.2
170.2
31-Dec-2018

105.0
150.3
148.0



Note: Citi’s common stock is listed on the NYSE under the ticker symbol “C” and held by 70,194 common stockholders of record as of January 31, 2019.



312


CORPORATE INFORMATION

CITIGROUP EXECUTIVE OFFICERS
Citigroup’s executive officers as of February 26, 201622, 2019 are:
NameAgePosition and office held
Raja J. Akram46Controller and Chief Accounting Officer
Francisco Aristeguieta5053CEO, Asia Pacific
Stephen Bird4952CEO, Global Consumer Banking
Don Callahan59Head of Operations and Technology
Michael L. Corbat5558Chief Executive Officer
James C. Cowles6063CEO, Europe, Middle East and Africa
Barbara Desoer6366CEO, Citibank, N.A.
James A. Forese5355
President;
CEO, Institutional Clients Group
Jane Fraser4851CEO, Latin America
John C. Gerspach6265Chief Financial Officer
Bradford Hu5255Chief Risk Officer
William J. MillsSara Wechter60CEO, North America
J. Michael Murray5138Head of Human Resources
Jeffrey R. Walsh58Controller and Chief Accounting Officer
Rohan Weerasinghe6568General Counsel and Corporate Secretary
Mike Whitaker55
Head of Operations and Technology


Each executive officer has held executive or management positions with Citigroup for at least five years, except that:

Ms. DesoerWechter joined Citi in April 2014. Prior2004 and assumed her current position in July 2018. Previously, she had served as Citi's Head of Talent and Diversity as well as Chief of Staff to joining Citi Ms. Desoer had a 35-year career at BankCEO Michael Corbat. She served as Chief of America, whereStaff to both Michael O'Neill and Richard Parsons during their terms as Chairman of Citi's Board of Directors. In addition, she was President, Bank of America Home Loans, a Global Technology & Operations Executive,held roles in Citi's Institutional Clients Group, including Corporate M&A and President, Consumer Products, among other roles.Strategy and Investment Banking,
Mr. WeerasingheAkram joined Citi in June 2012. Prior to joining2006 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 Mr. Weerasinghe was Senior Partner at Shearman & Sterling.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.


 
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, 19th388 Greenwich Street, 17th Floor, New York, New York 10022.10013.









CITIGROUP BOARD OF DIRECTORS

Michael L. Corbat
Chief Executive Officer
Citigroup Inc.

Ellen M. Costello
Former President and CEO
BMO Financial Corporation and Former U.S. Country Head of
BMO Financial Group

John C. Dugan
Chair
Citigroup Inc.

Duncan P. Hennes
Co-Founder and Partner
Atrevida Partners, LLC


Peter Blair Henry
Dean Emeritus and W. R. Berkley Professor of Economics and Finance
New York University
Stern School of Business



Franz B. Humer
Former Chairman Retired
Roche Holding Ltd.

ReneeS. Leslie Ireland
Former Assistant Secretary for Intelligence and Analysis
U.S. Department of the Treasury

Lew W. (Jay) Jacobs, IV
Former President and Managing Director
Pacific Investment Management Company LLC (PIMCO)




Renée J. James
Chairman and CEO
Ampere Computing and Operating Executive
The Carlyle Group

Eugene M. McQuade
Former Chief Executive Officer Retired Citibank, N.A. and
Former Vice Chairman, Retired
Citigroup Inc.

Michael E. O’Neill
Chairman
Citigroup Inc.





Gary M. Reiner
Operating Partner
General Atlantic LLC

Judith Rodin
President
Rockefeller Foundation

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 ChairFormer Superintendent of Banks
Solera Capital, LLC

William S. Thompson, Jr.
Chief Executive Officer, Retired
Pacific Investment
  Management Company
  (PIMCO)State of New York

James S. Turley
Former Chairman and CEO
Ernst & Young

Deborah C. Wright
Managing Director of U.S. Jobs and Economic Opportunity Rockefeller Foundation

Ernesto Zedillo Ponce de Leon
Director, Center for the
Study of Globalization and
Professor in the Field
of International
Economics and Politics
Yale University



313


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 26th22nd day of February, 2016.2019.

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 26th22nd day of February, 2016.2019.

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 R. 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.

Ellen M. CostelloJudith RodinEugene M. McQuade
John C. DuganGary M. Reiner
Duncan P. HennesAnthony M. Santomero
Peter Blair HenryJoan E. SperoDiana L. Taylor
Franz B. HumerDiana L. Taylor
Renee J. JamesWilliam S. Thompson, Jr.
Eugene M. McQuadeJames S. Turley
Michael E. O’NeillS. Leslie IrelandDeborah C. Wright
Lew W. (Jay) Jacobs, IVErnesto Zedillo Ponce de Leon
Gary M. ReinerRenée J. James 


/s/ John C. Gerspach

John C. Gerspach



314


EXHIBIT INDEX
 
Exhibit  
Number Description of Exhibit
3.01+
 
Restated Certificate of Incorporation of the Company,Citigroup Inc., as amended, as in effect on the date hereof.
   
3.02
 
By-Laws of the Company, as amended, as in effect on the date hereof, incorporated by reference to Exhibit 3.01 to the Company’s Current Report on Form 8-K filed October 27, 2015January 18, 2019 (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 SupplementSupplemental Indenture, dated as of February 1, 2016, between the CompanyCitigroup 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. 001-09924)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).
   
4.04
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).
   
4.05
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).
   
4.064.10 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).
   

4.07
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).
   
4.084.12 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).
   
4.09
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).
   
4.10
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).
   
4.11
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).
   

315


4.12
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).
   
4.13
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).
   
4.14
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).
   
4.15
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).
   
4.16
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).
   
4.17
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).
   
4.18
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).
   
4.19
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).
   

4.20
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“Company’s 2014 10-K)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 28, 2015)24, 2018), incorporated by reference to Exhibit 4.110.1 to the Company’s Registration StatementCurrent Report on Form S-88-K filed May 1, 2015on April 30, 2018 (File No. 333-203791)001-09924).
   
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*
10.04*
 
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).

316


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*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 (File No. 001-09924).
10.04.5*Form of Citigroup Inc. 2016 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*
10.06*
 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*
10.06.1*
 Form of Citigroup Inc. Employee Option Grant Agreement (Executive Option Grant Program), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended June 30, 2011 (File No. 001-09924).
10.08.1*
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).
   
10.08.2*
10.06.2*
 
Form of Citigroup Inc. Performance Share Unit Award Agreement (awards dated February 18, 2014), incorporated by reference to Exhibit 10.01 to the Company’s Quarterly Report on Form 10-Q for the quarterly period ended
March 31, 2014 (File No. 001-09924).
10.08.3*Form of Citigroup Inc. Performance Share Unit Award Agreement (awards dated February 18, 2015)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, 20152017 (File No. 001-09924).
   
10.09*
10.07*
 
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).
   
10.10.1*
10.08.1*
 
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).
   
10.10.2*
10.08.2*
 
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”).
   
10.10.3*
10.08.3*
 
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 (File No. 001-09924).
   
10.10.4*
10.08.4*
 Nonqualified Plan
Amendment to the Citicorp Deferred Compensation Plan, adopted November 19,22, 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”).
   

10.11.1*
10.09.1*
 
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).
   
10.11.2*
10.09.2*
 
Amendment to the Citibank Supplemental ERISA Plan, (the 1999 Amended Citibank Supplemental ERISA Plan),effective January 1, 2000, incorporated by reference to Exhibit 10.21.2 to the Company’s 1999 10-K.
   

317


10.11.3*
10.09.3*
 Amendment to
Resolution Amending the 1999 Amended Citibank Supplemental ERISA Plan, (the 2005 Amended Citibank Supplemental ERISA 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).
   
10.11.4*
10.09.4*
 
Amendment to the 2005 Amended Citibank Supplemental ERISA Plan, as amendedeffective January 1, 2009, (the 2009 Amended Citibank Supplemental ERISA Plan), incorporated by reference to Exhibit 10.01.4 to the Company’s 2009 10-K.
   
10.11.5*
10.09.5*
 Nonqualified Plan
Amendment to the 2009 Amended Citibank Supplemental ERISA Plan, approvedeffective November 19,22, 2009, incorporated by reference to Exhibit 10.01.5 to the Company’s 2009 10-K.
   
10.11.6*
10.09.6*
 
Amendment No. 4 to the 2009 Amended Citibank Supplemental ERISA Plan, approvedeffective December 21,31, 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).
   
10.12*
10.09.7+
 
Amendment to the Citibank Supplemental ERISA Plan, effective December 31, 2018.
10.10*
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).
   
10.13*
10.11*
 
Letter Agreement, dated December 21, 2011, between the CompanyCitigroup 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).
   
10.14.1*
10.12*
 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).
10.14.2*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).
10.14.3*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).
10.15*
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).
   
10.16*
21.01+
 Letter Agreement dated May 28, 2015, between
Subsidiaries of the Company and Manuel Medina-Mora re Banamex Board Service, incorporated by reference to Exhibit 10.01 to the Company’s Current Report on Form 8-K filed May 29, 2015 (File No. 001-09924).Company.
   
12.01+
23.01+
 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.

318


   
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, 2015,2018, filed February 26, 2016,22, 2019, 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 20152018 Annual Report on Form 10-K) to security holders who make written request to Citigroup Inc., Corporate Governance, 153 East 53rd388 Greenwich Street, 19th Floor, New York, New York 10022.NY 10013.

* Denotes a management contract or compensatory plan or arrangement.
+ Filed herewith.



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