UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF
THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended June 30, 20162017
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)


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 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
Number of shares of Citigroup Inc. common stock outstanding on June 30, 2016: 2,905,374,0382017: 2,724,556,095

Available on the web at www.citigroup.com
 


CITIGROUP’S SECOND QUARTER 2016—2017—FORM 10-Q
OVERVIEW
2
MANAGEMENT'S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
4
Executive Summary
4
Summary of Selected Financial Data
97
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
119
SEGMENT BALANCE SHEET
13
CITICORP
1411
Global Consumer Banking (GCB)
1513
North America GCB
1715
Latin America GCB
1917
Asia GCB
2119
Institutional Clients Group
2321
Corporate/Other
28
CITI HOLDINGS
2926
OFF-BALANCE SHEET
  ARRANGEMENTS
3127
CAPITAL RESOURCES
3228
Managing Global Risk Table of Contents
MANAGING GLOBAL RISK TABLE OF
  CONTENTS
5047
MANAGING GLOBAL RISK
5148
INCOME TAXES
9289
DISCLOSURE CONTROLS AND
  PROCEDURES
9390
DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT
9390
FORWARD-LOOKING STATEMENTS
9491
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
9694
CONSOLIDATED FINANCIAL STATEMENTS
9895
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
107103
UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASES OF EQUITY SECURITIES AND DIVIDENDS
241213



OVERVIEW

This Quarterly Report on Form 10-Q should be read in conjunction with Citigroup’s Annual Report on Form 10-K for the year ended December 31, 2015,2016, including the historical audited consolidated financial statements of Citigroup reflecting certain realignments and reclassifications set forth in Citigroup’s Current Report on Form 8-K filed with the SEC on June 17, 2016 (201516, 2017 (2016 Annual Report on Form 10-K), and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 20162017 (First Quarter of 20162017 Form 10-Q).
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 SEC,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 and disclosures to conform to the current period’s presentation. For additional information on certain recent reclassifications, see Note 3 to the Consolidated Financial Statements.Statements in Citi’s 2016 Annual Report on Form 10-K.
Throughout this report, “Citigroup,” “Citi” and “the Company” refer to Citigroup Inc. and its consolidated subsidiaries.




Citigroup is managed pursuant to the following segments:
citisegmentsa20.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citigroupregionsa07.jpg

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


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

EXECUTIVE SUMMARY

Second Quarter of 2016—2017—Solid Performance in Continued Challenging EnvironmentAcross Citi’s Businesses
As described further throughout this Executive Summary, Citi reported solid operating results in the second quarter of 2016 despite a2017, reflecting continued challenging environment characterized by market volatility, macroeconomic uncertainties and a low interest rate environment. The referendum in the United Kingdom on June 23, 2016 further added to the uncertainty duringmomentum across its businesses, notably those where Citi has been making investments. During the quarter, although capital markets activity increased in the days precedingCiti had loan and following the referendum vote, contributing to year-over-year revenue growth in Citi’s market sensitive businesses, primarily its markets businesses inboth Global Consumer Banking (GCB) and the Institutional Clients Group (ICG).compared to the prior-year quarter, while continuing to wind-down the legacy assets in Corporate/Other.
As described further throughout this Executive Summary, despite the market environment, Citi showed continued progress in several areas. In North America Global Consumer Banking (GCB)GCB, Citi’s ongoing investments inretail banking showed significant growth outside of mortgage operations, while Citi-branded cards drove growth in average loans and purchase sales. North America GCB also completedcontinued to benefit from the acquisition of the Costco portfolio and renewed and extended several of its partnership programs, including with American Airlines and The Home Depot.portfolio. International GCB generated positive operating leverage highlighteddriven by solid year-over-year revenue growth in Mexico. Inboth, ICGLatin America and Asia, Citi continued to win new mandates and support clients around the world, generating year-over-year growth in treasury and trade solutions and fixed income markets, particularly in rates and currencies.
In Citicorp, loans and deposits both increased 4%. Excludingexcluding the impact of foreign currency translation into U.S. dollars for reporting purposes (FX translation), Citicorp loans. ICG had a strong quarter with revenue growth across all Banking businesses, particularly in investment banking, partially offset by declines in fixed income and deposits both increasedequity markets revenues. These increases in revenues were partially offset by lower revenues in Corporate/Other,reflecting the continued wind-down of legacy non-core assets.
Citi also continued to generate significant regulatory capital during the quarter driven mostly by earnings. Citi generated approximately $4.7 billion in regulatory capital during the quarter, before returning approximately $2.2 billion to its common shareholders in the form of common stock repurchases and dividends. Citi repurchased approximately 29 million common shares, as outstanding common shares declined 1% from the prior quarter and 6%. (Citi’s results of operations excluding from the impact of FX translation are non-GAAP financial measures.) Citi Holdings decreased further, constituting only 2%prior-year period. Despite this capital return, each of Citigroup’s net income in the current quarter and 4% of Citigroup’s GAAP assetskey regulatory capital metrics remained strong as of the end of the second quarter of 2016. During the quarter,2017 (see “Capital” below). Citi utilized approximately $900$100 million inof deferred tax assets (DTAs), which contributed to a net increase during the quarter and $900 million of $1.5 billionits DTAs during the first half of regulatory capital, and each of Citigroup’s key regulatory capital metrics further increased. For additional information on Citi’s DTAs, see “Income Taxes” below.2017.
Citi was also pleased to learn that theThe Federal Reserve Board did not object to the capital plan Citi submitted as part of the 20162017 Comprehensive Capital Analysis and Review (CCAR). As a result, andAccordingly, as previously disclosed, Citi intends to return approximately $10.4$18.9 billion of capital to its common shareholders over the next four quarters beginning with the third quarter of 20162017 (for additional information, see “Equity Security Repurchases” and “Dividends” below). This result, combined with the feedback Citi received during the quarter that neither the Federal Reserve Board nor the FDIC found any deficiencies in Citi’s 2015 resolution plan, further demonstrates the progress Citi
While economic sentiment has made.
As noted above, however, while market activity increased following the referendum in the United Kingdom, Citi expects
the operating environment to continueimproved, there continues to be challenging, as many risksvarious economic and political uncertainties remain, including significant uncertainties arising from the vote in favor of the United Kingdom’s withdrawal from the European Union.and changes that could impact Citi’s businesses. For a more detailed discussion of these risks and uncertainties, see each respective business’business’s results of operations “Managing Global Risk” (including “Country Risk”) and “Forward-Looking Statements” below, as well as each respective business’s results of operations and the “Managing Global Risk” and “Risk Factors” sectionsections in Citi’s 20152016 Annual Report on Form 10-K.

Second Quarter 2016of 2017 Summary Results

Citigroup
Citigroup reported net income of $3.9 billion, or $1.28 per share, compared to $4.0 billion, or $1.24 per share, compared to $4.8 billion, or $1.51 per share, in the prior-year period. ResultsThe 3% decrease in the second quarter of 2015 included $312 million ($196 million after-tax) of CVA/DVA.
Excluding the impact of CVA/DVA innet income from the prior-year period was primarily driven by higher credit costs and operating expenses, as well as a higher effective tax rate, partially offset by higher revenues. Earnings per share increased 3% largely due to a 6% reduction in average shares outstanding.
Citigroup reported net incomerevenues of $4.0$17.9 billion in the second quarter of 2016, or $1.24 per share, compared2017 increased 2%, driven by a 6% increase in ICG, as well as a 5% increase in GCB, partially offset by a 45% decrease in Corporate/Other due primarily to $4.7the continued wind-down of legacy non-core assets.
Citigroup’s end-of-period loans increased 2% to $645 billion or $1.45 per share, inversus the prior-year period. Excluding the impact of FX translation, Citigroup’s end-of-period loans also grew 2%, as 4% growth in both GCB and ICG was partially offset by the continued wind-down of legacy assets in Corporate/Other. (Citi’s results of operations excluding the impact of CVA/DVAFX translation are non-GAAP financial measures.) The 14% decrease fromCitigroup’s end-of-period deposits increased 2% to $959 billion versus the prior-year period was primarily driven by lower revenues and a slightly higher effective tax rate (see “Income Taxes” below), partially offset by lower cost of credit and lower expenses.
Citi’s revenues were $17.5 billion in the second quarter of 2016, a decrease of 10% from the prior-year period driven by a 5% decline in Citicorp and a 57% decline in Citi Holdings.period. Excluding CVA/DVA in the second quarter of 2015, revenues were down 8% from the prior-year period, as Citicorp revenues decreased 3% and Citi Holdings revenues also decreased 57%. Excluding CVA/DVA in the second quarter of 2015 and the impact of FX translation, (which lowered revenues by approximately $537 million in the second quarter of 2016 compared to the prior-year period)Citigroup’s deposits were also up 2%, Citigroup revenues decreased 6% from the prior-year period, driven by a 56% decrease3% increase in Citi Holdings, while Citicorp revenues were largely unchanged versus the prior-year period.both GCB and ICG deposits, slightly offset by a decline in Corporate/Other deposits.

Expenses
CitigroupCitigroup’s operating expenses decreased 5%were up slightly at $10.5 billion versus the prior-year period, as lower expenses in Citi Holdings and a benefit from the impact of FX translationhigher volume-related expenses, performance-based compensation and ongoing investments were partially offset by ongoing investments in Citicorp. FX translation lowered expenses by approximately $316 million in the second quarter of 2016 compared to the prior-year period.
Citicorp expenses decreased 1% reflecting efficiency savings and a benefit from the impactwind-down of FX translation, partially offset by ongoing investments in the franchise.
Citi Holdings’legacy assets. Year-over-year, GCB and ICG operating expenses were $858 million, down 37% from the prior-year period, primarily driven by the ongoing decline in Citi Holdings assets, partially offset by a modest increase in legal and related expenses. Citi Holdings’ legal


up each 5% while Corporate/Other operating expenses declined 24%.

and related expenses in the second quarterCost of 2016 were $116 million, compared to $79 million in the prior-year period.

Credit Costs
Citi’s total provisions for credit losses and for benefits and claims of $1.4$1.7 billion decreased 15%increased 22% from the prior-year period, as lowerperiod. The increase was driven by an increase in net credit losses were partially offset by lowerof $94 million and a net loan loss reserve releases.release of $16 million, compared to a net release of $256 million mostly related to legacy assets in the prior-year period.
Net credit losses of $1.6$1.7 billion declined 16%increased 6% versus the prior-year period. Consumer net credit losses declined 19% to $1.5of $1.6 billion mostly reflecting continued improvementsincreased 11%, primarily driven by the Costco portfolio acquisition, organic volume growth and seasoning, and the impact of changes in North America Citi-branded cards and Citi retail services in Citicorp as well as continued improvementcollections processes in the North America cards mortgage portfolio and ongoing divestiture activity within Citi Holdings.businesses, partially offset by the continued wind-down of legacy assets in Corporate/Other. Corporate net credit losses increased 33% to $142 million, mostly related to the energy portfolio, with roughly two-thirds of the corporate net credit losses offset by related reserve releases (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 $256 million in the second quarter of 2016, compared to a $453 million release in the prior-year period. Citicorp’s net reserve release was $27 million, compared to a net loan loss reserve release of $270 million in the prior-year period. The smaller net reserve release in the second quarter of 2016 was primarily driven by the absence of prior-period net loan loss reserve releases in GCB and a smaller net reserve release in ICG. Citi’s credit quality largely remained favorable across the franchise during the quarter. The allowance for loan losses attributable to energy and energy-related loans in ICGdecreased to 3.9% of funded exposures as of the second quarter of 2016, compared to 4.2% of funded exposures as of the first quarter of 2016, as net credit losses in the portfolio were offset by previously-established reserves.
Citi Holdings’ net reserve release increased $46 million45% from the prior-year period to $229$77 million, primarily reflecting the impact of asset salesdriven by improvement in the current quarter.energy sector. Citi


expects consumer cost of credit to increase in the near term due to continued volume growth.
For additional information on Citi’s consumer (including commercial) and corporate credit costs and allowance for loan losses, see “Credit Risk” below.

Capital
As noted above, Citi continued to grow its regulatory capital during the second quarter of 2016, even as it returned approximately $1.5 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 14.1%13.1% and 14.7% as of June 30, 2017 (based on Basel III Standardized Approach for determining risk-weighted assets), respectively, compared to 12.5% and 14.1% as of June 30, 2016 respectively, compared to 12.5% and 11.4% as of June 30, 2015 (all based(based on the Basel III Advanced Approaches for determining risk-weighted assets). Citigroup’s Supplementary Leverage ratio as of June 30, 2016,2017, on a fully implemented basis, was 7.5%7.2%, compared to 6.7%7.5% as of June 30, 2015.2016. 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
CiticorpGCB net income decreased 17% from the prior-year period12% to $3.9 billion. CVA/DVA, recorded in ICG,was $303 million ($190 million after-tax) in second quarter of 2015 (for a summary of CVA/DVA$1.1 billion, as higher revenues were more than offset by business within ICG, see “Institutional Clients Group” below). Excluding CVA/DVA in the second quarter of 2015, Citicorp’s net income decreased 13% from the prior-year period, primarily driven by the lower revenues and higher cost of credit partially offset by lowerand higher operating expenses.
Citicorp revenues decreased Operating expenses were $4.5 billion, an increase of 5% from the prior-year period to $16.7 billion driven byon both a 6% decline in GCB revenues, a 1% decline in ICG revenuesreported basis and lower revenues in Corporate/Other. Excluding CVA/DVA in the second quarter of 2015, Citicorp revenues decreased 3% from the prior-year period, driven by a 6% decrease in GCB revenues, partially offset by a 2% increase in ICG revenues. As referenced above, excluding CVA/DVA in the prior-year period and the impact of FX, translation, Citicorp’srevenues were approximately unchanged versusdriven by the prior-year period, asaddition of the Costco portfolio, volume growth in the ICG franchise wasand continued investments, partially offset by lower GCB revenues as well as the absence of prior-period real estate gains in Corporate/Other.ongoing efficiency savings.
GCB revenues of $7.7$8.0 billion decreased 6%increased 5% versus the prior-year period. Excluding the impact of FX translation, GCB revenues decreased 2%also increased 5%, as decreasesdriven by a 5% increase in both North America GCB and international Asia GCB werepartially offset by an increase in Latin America GCB. North America GCB revenues decreased 3%increased 5% to $4.8$4.9 billion, drivenas higher revenues in Citi-branded cards and Citi retail services were partially offset by lower revenues in Citi-branded cards, Citi retail services and retail banking.banking, driven by lower mortgage revenues. Citi-branded cards revenues of $1.9$2.1 billion were down 1%up 10% versus the prior-year period, as a modest benefit fromreflecting the previously disclosed acquisitionimpact of the Costco portfolio (acquired June 17, 2016) wasacquisition as well as modest organic growth in core portfolios, partially offset by the continued impactrun-off of higher rewards costs and higher payment rates.non-core portfolios. Citi retail services revenues of $1.5$1.6 billion decreasedincreased 4% versus the prior-year period, primarily driven by the impact of renewingreflecting continued loan growth and extending several partnership programs (including The Home Depot as referenced above) as well as the absence of revenues associated with two portfolios sold in the first quarter of 2016.a favorable prior period comparison. Retail banking revenues decreased 4%2% from the prior-year period, to $1.3 billion asmainly driven by the lower mortgage activity was only partially offsetrevenues. Excluding mortgage revenues, retail banking revenues were up 7% from the prior-year period, driven by continued growth in consumeraverage loans, deposits and commercial banking.assets under management, as well as a benefit from higher interest rates.
North America GCB average deposits of $182$185 billion were up 2% versus the prior-year period, average retail loans of $56 billion grew 1% year-over-year2%, and average retail banking loansassets under management of $54$57 billion grew 10%. Average Citibranded card loans of $83 billion increased 25%, while branded card purchase sales of $81 billion increased 52% versus the prior-year period, both driven by the Costco portfolio acquisition as well as organic growth. Average retail services loans of $43$45 billion andwere up 4%, while retail services purchase sales of $20$21 billion were each largely unchanged versus the prior-year period. Average Citi-branded card loans of $67 billion increased 6%, while Citi-branded card purchase sales of $53 billion increased 15% versus the prior-year period, each including the impact of the Costco portfolio acquisition.up 2%. For additional information on the results of operations of North
America GCB for the second quarter of 2016, including the impact of the Costco acquisition to North America GCB’s loans and purchase sales,2017, see “Global Consumer Banking—Banking—North America GCB” below.



International GCB revenues (consisting of Latin America GCB and Asia GCB (which includes the results of operations in certain EMEA GCB for reporting purposes)countries)) decreased 9%increased 4% to $3.1 billion versus the prior-year period to $3.0 billion driven by declines in Latin America GCB (13%) and Asia GCB (7%).period. Excluding the impact of FX translation, international GCB revenues were approximately unchangedincreased 5% versus the prior-year period. Latin America GCB revenues increased 4%8% versus the prior-year period,, as the impact ofdriven by growth in retail banking loans and deposits, and card purchase sales wasas well as improved deposit spreads, partially offset by a continuedmodest decline in card balances, driven by ongoing higher payment rates.cards revenues. Asia GCB revenues declined 4%increased 3% versus the prior-year period, driven bylower improvement in cards and wealth management andrevenues, partially offset by lower retail lending revenues, while card revenues were unchanged from the prior-year period.revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the second quarter of 2016,2017, including the impact of FX translation, see “Global Consumer BankingBanking—Latin America GCB” and “—Asia GCB” below. Excluding the impact of FX translation,
Year-over-year, international GCB average deposits of $117$122 billion increased 4%7%, average retail loans of $87 billion decreased 1%, investment saleswere roughly flat, assets under management of $13$96 billion decreased 28%increased 7%, average card loans of $23$24 billion increased 1%6% and card purchase sales of $23$24 billion increased 3%.7%, all excluding the impact of FX translation.

Institutional Clients Group
ICG net income of $2.8 billion increased 6%, driven by higher revenues, partially offset by higher operating expenses. ICG operating expenses increased 5% to $5.0 billion, as higher incentive compensation, investments and volume-related expenses were partially offset by efficiency savings.
ICG revenues were $8.8$9.2 billion in the second quarter of 2016, down 1%2017, up 6% from the prior-year period, driven by a 2%19% increase in Markets and securities services and 5% decline in Banking. Excluding CVA/DVA in the second quarter of 2015, ICG revenues increased 2% driven by a 10% increase in Markets and securities services revenues partially offset by a 5% decrease in BankingMarkets and securities services revenues. The increase in
Banking revenues of $4.4 billion (excluding CVA/DVA in the second quarter of 2015 andincluded the impact of $9 million of mark-to-market gains / (losses) on loan hedges related to accrual loans within corporate lending (see below)) decreased 2% compared to the prior-year period, primarily driven by lower industry-wide investment banking activity during the current quarter and lower corporate lending revenues, partially offset by growthlosses of $203 million in treasury and trade solutions. Investment banking revenues of $1.2 billion decreased 6% versus the prior-year period. Advisory
Banking revenues decreased 7% to $238 million driven by lower activity inof $4.8 billion (excluding the current quarter. Equity underwriting revenues decreased 41% to $174 million, largely driven by lower industry-wide equity underwriting activity. Debt underwriting revenues increased 9% to $805 million, largely reflecting an increase in wallet share.
Private bank revenues decreased 1% (also 1% excluding CVA/DVA in the second quarter of 2015) to $738 million from the prior-year period, primarily driven by lower capital markets and managed investment revenues. Corporate lending revenues decreased 55% to $186 million, including $203 millionimpact of mark-to-market losses on hedges related to accrual loans within corporate lending) increased 13% compared to $66 millionthe prior-year period, driven by significant growth in investment banking as well as solid performance in treasury and trade solutions and the private bank. Investment banking revenues of losses in$1.5 billion increased 22% versus the prior-year period. Advisory revenues increased 32% to $314 million, equity underwriting revenues increased 70% to $295 million and debt underwriting revenues increased 9% to $877 million, all versus the prior-year period.
Private bank revenues increased 17% versus the prior-year period to $788 million, driven by loan and deposit growth, improved spreads and increased investment activity. Corporate lending revenues increased $306 million to $486 million. Excluding the mark-to-market impact of mark-to-market losses on loan hedges, corporate lending revenues decreased 18%increased 25% to $477 million versus the prior-year period reflecting lower hedging costs as higher loan volumes were more than offset by anwell as the absence of a prior period adjustment to the residual value of a lease financing as well as higher hedging costs.financing. Treasury and trade solutions


revenues of $2.0increased 3% to $2.1 billion increased 5% fromversus the prior-year period. Excluding the impact of FX translation, treasury
and trade solutions revenues increased 9%period, reflecting continued volume growth in transaction volumes.and improved deposit spreads.
Markets and securities services revenues of $4.7decreased 5% to $4.4 billion (excluding CVA/DVA in the second quarter of 2015) increased 10% fromversus the prior-year period. Fixed income markets revenues of $3.5decreased 6% to $3.2 billion increased 4% (14% excluding CVA/DVAversus the prior-year period, primarily reflecting lower G10 currencies revenue, given low volatility in the secondcurrent quarter of 2015) fromand the comparison to higher Brexit-related activity a year ago. Equity markets revenues decreased 11% to $691 million versus the prior-year period, reflecting episodic activity in the prior-year period, as well as low volatility in the current quarter. Securities services revenues increased 10% to $584 million versus the prior-year period, driven by an increasegrowth in corporate client activity in rates and currencies as well as a better trading environment involumes across the current quarter, partially offset by lower revenues in securitized products driven by decreased trading opportunities. Equity markets revenues of $788 million increased 19% (21% excluding CVA/DVA in the second quarter of 2015) versus the prior-year period. The second quarter of 2015 included a previously disclosed charge to revenues of $175 million for valuation adjustments related to certain financing transactions. Excluding this adjustment, equity markets revenues decreased 4% driven by lower market activity as well as the comparison to strong trading performance in Asia in the prior-year period. Securities services revenues of $531 million decreased 7% versus the prior-year period. Excluding the impact of FX translation, securities services revenues declined 3% largely reflecting the absence of revenues from divested businesses.global custody business. For additional information on the results of operations of ICG for the second quarter of 2016,2017, see “Institutional Clients Group” below.

Corporate/Other
Corporate/Other net loss was $15 million in the second quarter of 2017, compared to net income of $116 million in the prior-year period, reflecting lower revenues, partially offset by lower operating expenses and lower cost of credit. Expenses of $990 million declined 24% from the prior-year period, reflecting the wind-down of legacy assets.
Corporate/Other revenues were $126$653 million, down 66%45% from the prior-year period, mostly reflecting the wind-down of legacy assets, divestiture activity and the absence of real estate gains related to debt buybacks in the prior-year period.
Corporate/Other end-of-period assets decreased 21% to $92 billion from the prior-year period as well as lower debt buyback activity.Citi continued to wind-down legacy assets. For additional information on the results of operations of Corporate/Otherfor the second quarter of 2016,2017, see “Corporate/Other” below.
Citicorp end-of-period loans increased 4% to $592 billion from the prior-year period, driven by a 5% increase in corporate loans and a 4% increase in consumer loans. Excluding the impact of FX translation, Citicorp loans grew 6%, with 6% growth in both corporate and consumer loans.

Citi Holdings
Citi Holdings’ net income was $93 million in the second quarter of 2016, compared to net income of $156 million in the prior-year period. CVA/DVAwas $9 million ($6 million after-tax) in the second quarter of 2015. Excluding the impact of CVA/DVA in the prior-year period, Citi Holdings’ net income was $93 million, compared to $150 million in the prior-year period, primarily reflecting lower revenues, partially offset by lower expenses and lower credit costs.
Citi Holdings’ revenues were $843 million down 57% from the prior-year period. Excluding CVA/DVA in the second quarter of 2015, Citi Holdings’ revenues also decreased 57% from the prior-year period, mainly reflecting continued reductions in Citi Holdings assets and lower net gains on asset sales. For additional information on the results of operations of Citi Holdings for the second quarter of 2016, see “Citi Holdings” below.
At the end of the current quarter, Citi Holdings’ assets were $66 billion, 47% below the prior-year period, and represented approximately 4% of Citi’s total GAAP assets. Citi Holdings’ risk-weighted assets were $121 billion as of



June 30, 2016, a decrease of 31% from the prior-year period, and represented 10% of Citi’s risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).















































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RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
Second Quarter Six Months Second Quarter Six Months 
In millions of dollars, except per-share amounts and ratios20162015% Change20162015% Change20172016% Change20172016% Change
Net interest revenue$11,236
$11,822
(5)%$22,463
$23,394
(4)%$11,165
$11,236
(1)%$22,022
$22,463
(2)%
Non-interest revenue6,312
7,648
(17)12,640
15,812
(20)6,736
6,312
7
13,999
12,640
11
Revenues, net of interest expense$17,548
$19,470
(10)%$35,103
$39,206
(10)%$17,901
$17,548
2 %$36,021
$35,103
3 %
Operating expenses10,369
10,928
(5)20,892
21,812
(4)10,506
10,369
1
20,983
20,892
—
Provisions for credit losses and for benefits and claims1,409
1,648
(15)3,454
3,563
(3)1,717
1,409
22
3,379
3,454
(2)
Income from continuing operations before income taxes$5,770
$6,894
(16)%$10,757
$13,831
(22)%$5,678
$5,770
(2)%$11,659
$10,757
8 %
Income taxes1,723
2,036
(15)3,202
4,156
(23)1,795
1,723
4
3,658
3,202
14
Income from continuing operations$4,047
$4,858
(17)%$7,555
$9,675
(22)%$3,883
$4,047
(4)%$8,001
$7,555
6 %
Income (loss) from discontinued operations,
net of taxes(1)
(23)6
NM
(25)1
NM
21
(23)NM
3
(25)NM
Net income before attribution of noncontrolling
interests
$4,024
$4,864
(17)%$7,530
$9,676
(22)%$3,904
$4,024
(3)%$8,004
$7,530
6 %
Net income attributable to noncontrolling interests26
18
44
31
60
(48)32
26
23
42
31
35
Citigroup’s net income$3,998
$4,846
(17)%$7,499
$9,616
(22)%$3,872
$3,998
(3)%$7,962
$7,499
6 %
Less: 

   

  
Preferred dividends—Basic$322
$202
59 %$532
$330
61 %$320
$322
(1)%$621
$532
17 %
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS53
64
(17)93
126
(26)48
53
(9)103
93
11
Income allocated to unrestricted common shareholders
for basic and diluted EPS
$3,623
$4,580
(21)%$6,874
$9,160
(25)%$3,504
$3,623
(3)%$7,238
$6,874
5 %
Earnings per share 

  
  

  
 
Basic 

  
  

  
 
Income from continuing operations$1.25
$1.51
(17)$2.36
$3.03
(22)$1.27
1.25
2
$2.63
2.36
11
Net income1.24
1.52
(18)2.35
3.03
(22)1.28
1.24
3
2.63
2.35
12
Diluted 

   

  
Income from continuing operations$1.25
$1.51
(17)%$2.36
$3.02
(22)%$1.27
$1.25
2 %$2.63
$2.36
11 %
Net income1.24
1.51
(18)2.35
3.02
(22)1.28
1.24
3
2.63
2.35
12
Dividends declared per common share0.05
0.05
—
0.10
0.06
67
0.16
0.05
NM
0.32
0.10
NM

Statement continues on the next page, including notes to the table.


SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated Subsidiaries
Citigroup Inc. and Consolidated SubsidiariesCitigroup Inc. and Consolidated Subsidiaries
Second Quarter Six Months Second Quarter Six Months 
In millions of dollars, except per-share amounts, ratios and
direct staff
20162015% Change20162015% Change20172016% Change20172016% Change
At June 30:        
Total assets$1,818,771
$1,829,370
(1)%  $1,864,063
$1,818,771
2 %  
Total deposits937,852
908,037
3
  958,743
937,852
2
  
Long-term debt207,448
211,845
(2)  225,179
207,448
9
  
Citigroup common stockholders’ equity212,635
205,472
3
  210,766
212,635
(1)  
Total Citigroup stockholders’ equity231,888
219,440
6
  230,019
231,888
(1)  
Direct staff (in thousands)
220
238
(8)  214
220
(3)  
Performance metrics 

   

  
Return on average assets0.89%1.06%

0.84%1.05% 0.83%0.89%

0.87%0.84% 
Return on average common stockholders’ equity(2)
7.0
9.1


6.7
9.2
 6.8
7.0


7.1
6.7
 
Return on average total stockholders’ equity(2)
7.0
8.9


6.7
9.0
 6.8
7.0


7.1
6.7
 
Efficiency ratio (Total operating expenses/Total revenues)59
56


60
56
 59
59


58
60
 
Basel III ratios—full implementation        
Common Equity Tier 1 Capital(3)
12.54%11.37%   13.06%12.53%   
Tier 1 Capital(3)
14.12
12.54
   14.74
14.12
   
Total Capital(3)
16.14
14.14
   16.93
16.13
   
Supplementary Leverage ratio(4)
7.48
6.72
   7.24
7.48
   
Citigroup common stockholders’ equity to assets11.69%11.23% 

  11.31%11.69% 

  
Total Citigroup stockholders’ equity to assets12.75
12.00
 

  12.34
12.75
 

  
Dividend payout ratio(5)
4.0
3.3
 4.3
2.0
 12.5
4.0
 12.2%4.3% 
Total payout ratio(6)
63
40
 61
42
 
Book value per common share$73.19
$68.27
7 %

  $77.36
$73.19
6 %

  
Tangible book value (TBV) per share(6)
$63.53
$59.18
7 %  
Tangible book value (TBV) per share(7)
67.32
63.53
6
  
Ratio of earnings to fixed charges and preferred stock dividends2.63x
3.05x
 2.59x
3.09x
 2.28x
2.63x
 2.39x
2.59x
 
(1)See Note 2 to the Consolidated Financial Statements for additional information on Citi’s discontinued operations.
(2)The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(3)Citi’s regulatory capitalreportable Common Equity Tier 1 (CET1) Capital and Tier 1 Capital ratios reflect full implementation ofwere the lower derived under the U.S. Basel III rules. Risk-weighted assets are based onStandardized Approach at June 30, 2017, and U.S. Basel III Advanced Approaches at June 30, 2016. Citi’s reportable Total Capital ratios were derived under the U.S. Basel III Advanced Approaches for determining total risk-weighted assets.both periods presented. This reflects the U.S. Basel III requirement to report the lower of risk-based capital ratios under both the Standardized Approach and Advanced Approaches in accordance with the Collins Amendment of the Dodd-Frank Act.
(4)Citi’s Supplementary Leverage ratio reflects full implementation of the U.S. Basel III rules.
(5)Dividends declared per common share as a percentage of net income per diluted share.
(6)Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders. See “Consolidated Statement of Changes in Stockholders’ Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
(7)For information on 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.
(6) For information on TBV, see “Capital Resources—Tangible Common Equity, Tangible Book Value Per Share and Book Value Per Share” below.

NM Not Meaningful




SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
Second Quarter Six Months Second Quarter Six Months 
In millions of dollars20162015% Change20162015% Change20172016% Change20172016% Change
Income (loss) from continuing operations    
CITICORP    
Income from continuing operations    
Global Consumer Banking        
North America$842
$1,085
(22)%$1,702
$2,238
(24)%$670
$815
(18)%$1,297
$1,648
(21)%
Latin America184
190
(3)340
410
(17)136
173
(21)266
319
(17)
Asia(1)
297
336
(12)512
675
(24)323
297
9
569
512
11
Total$1,323
$1,611
(18)%$2,554
$3,323
(23)%$1,129
$1,285
(12)%$2,132
$2,479
(14)%
Institutional Clients Group

 



 



 



 

North America$1,059
$1,079
(2)%$1,643
$2,106
(22)%$1,112
$1,005
11 %$2,212
$1,551
43 %
EMEA720
695
4
1,119
1,630
(31)779
695
12
1,634
1,069
53
Latin America396
430
(8)733
805
(9)333
392
(15)808
722
12
Asia540
656
(18)1,179
1,293
(9)556
523
6
1,137
1,142
—
Total$2,715
$2,860
(5)%$4,674
$5,834
(20)%$2,780
$2,615
6 %$5,791
$4,484
29 %
Corporate/Other(89)231
NM
(118)212
NM
(26)147
NM
78
592
(87)
Total Citicorp$3,949
$4,702
(16)%$7,110
$9,369
(24)%
Citi Holdings$98
$156
(37)%$445
$306
45 %
Income from continuing operations$4,047
$4,858
(17)%$7,555
$9,675
(22)%$3,883
$4,047
(4)%$8,001
$7,555
6 %
Discontinued operations$(23)$6
NM
$(25)$1
NM
$21
$(23)NM
$3
$(25)NM
Net income attributable to noncontrolling interests26
18
44 %31
60
(48)%32
26
23
42
31
35
Citigroup’s net income$3,998
$4,846
(17)%$7,499
$9,616
(22)%$3,872
$3,998
(3)%$7,962
$7,499
6 %

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


CITIGROUP REVENUES
Second Quarter Six Months Second Quarter Six Months 
In millions of dollars20162015% Change20162015% Change20172016% Change20172016% Change
CITICORP    
Global Consumer Banking        
North America$4,756
$4,895
(3)%$9,630
$9,955
(3)%$4,944
$4,709
5 %$9,888
$9,539
4 %
Latin America1,248
1,432
(13)2,489
2,864
(13)1,290
1,236
4
2,441
2,465
(1)
Asia(1)
1,729
1,857
(7)3,384
3,667
(8)1,801
1,729
4
3,523
3,384
4
Total$7,733
$8,184
(6)%$15,503
$16,486
(6)%$8,035
$7,674
5 %$15,852
$15,388
3 %
Institutional Clients Group

 

 



 

 

North America$3,478
$3,523
(1)%$6,524
$6,914
(6)%$3,568
$3,393
5 %$7,023
$6,373
10 %
EMEA2,615
2,565
2
4,822
5,465
(12)2,837
2,577
10
5,644
4,744
19
Latin America1,033
1,027
1
2,008
2,018
—
1,042
1,022
2
2,169
1,984
9
Asia1,720
1,831
(6)3,528
3,626
(3)1,766
1,697
4
3,503
3,483
1
Total$8,846
$8,946
(1)%$16,882
$18,023
(6)%$9,213
$8,689
6 %$18,339
$16,584
11 %
Corporate/Other126
371
(66)400
583
(31)653
1,185
(45)1,830
3,131
(42)
Total Citicorp$16,705
$17,501
(5)%$32,785
$35,092
(7)%
Citi Holdings$843
$1,969
(57)%$2,318
$4,114
(44)%
Total Citigroup Net Revenues$17,548
$19,470
(10)%$35,103
$39,206
(10)%
Total Citigroup net revenues$17,901
$17,548
2 %$36,021
$35,103
3 %
(1)
For reporting purposes, Asia GCB includes the results of operations of EMEA 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$9,730
$63,802
$75,797
$149,329
$804
$—
$150,133
$9,260
$65,850
$110,972
$—
$186,082
Federal funds sold and securities borrowed or purchased under agreements to resell213
227,715
—
227,928
755
—
228,683
358
233,076
631
—
234,065
Trading account assets5,859
261,906
481
268,246
3,518
—
271,764
6,414
251,170
2,022
—
259,606
Investments8,178
112,605
229,927
350,710
5,583
—
356,293
10,255
113,078
228,377
—
351,710
Loans, net of unearned income and    
allowance for loan losses277,581
304,077
—
581,658
39,553
—
621,211
Loans, net of unearned income and
allowance for loan losses

290,001
316,842
25,827
—
632,670
Other assets42,136
87,812
47,374
177,322
13,365
—
190,687
38,143
103,046
58,741
—
199,930
Liquidity assets(4)
57,856
244,154
(304,566)(2,556)2,556
—
—
64,378
269,709
(334,087)—
—
Total assets$401,553
$1,302,071
$49,013
$1,752,637
$66,134
$—
$1,818,771
$418,809
$1,352,771
$92,483
$—
$1,864,063
Liabilities and equity        
Total deposits$301,979
$606,817
$22,680
$931,476
$6,376
$—
$937,852
$309,320
$623,533
$25,890
$—
$958,743
Federal funds purchased and securities loaned or sold under agreements to repurchase3,885
154,076
—
157,961
40
—
158,001
4,061
150,711
8
—
154,780
Trading account liabilities(3)135,064
555
135,616
691
—
136,307
13
136,273
459
—
136,745
Short-term borrowings44
18,362
—
18,406
2
—
18,408
602
20,455
15,462
—
36,519
Long-term debt(3)
1,448
32,286
20,913
54,647
4,115
148,686
207,448
1,178
34,179
42,565
147,257
225,179
Other liabilities18,037
87,108
17,508
122,653
5,081
—
127,734
17,999
83,118
19,873
—
120,990
Net inter-segment funding (lending)(3)
76,163
268,358
(13,776)330,745
49,829
(380,574)—
85,636
304,502
(12,862)(377,276)—
Total liabilities$401,553
$1,302,071
$47,880
$1,751,504
$66,134
$(231,888)$1,585,750
$418,809
$1,352,771
$91,395
$(230,019)$1,632,956
Total equity(5)
—
—
1,133
1,133
—
231,888
233,021
—
—
1,088
230,019
231,107
Total liabilities and equity$401,553
$1,302,071
$49,013
$1,752,637
$66,134
$—
$1,818,771
$418,809
$1,352,771
$92,483
$—
$1,864,063

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of June 30, 2016.2017. The respective segment information depicts the assets and liabilities managed by each segment as of such date.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within the Corporate/Other segment..
(3)The total stockholders’ equity and the majority of long-term debt of Citigroup reside in the Citigroup parent company Consolidated Balance Sheet. Citigroup allocates stockholders’ equity and long-term debt to its businesses through inter-segment allocations as shown above.
(4)Represents the attribution of Citigroup’s liquidity assets (primarily consisting of cash and available-for-sale securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
(5)Citicorp
Corporate/Other equity represents noncontrolling interests.




CITICORP

Citicorp is Citigroup’s global bank for consumers and businesses and represents Citi’s core franchises. Citicorp is focused on providing best-in-class products and services to customers and leveraging Citigroup’s unparalleled global network, including many of the world’s emerging economies. Citicorp is physically present in approximately 100 countries, many for over 100 years, and offers services in over 160 countries and jurisdictions. Citi believes this global network provides a strong foundation for servicing the broad financial services needs of its large multinational clients and for meeting the needs of retail, private banking, commercial, public sector and institutional clients around the world.
Citicorp consists of the following operating businesses: Global Consumer Banking (which consists of consumer banking businesses in North America, EMEA, Latin America (consisting of Citi’s consumer banking businesses in Mexico) and Asia) and Institutional Clients Group (which includes Banking and Markets and securities services). Citicorp also includes Corporate/Other. At June 30, 2016, Citicorp had approximately $1.8 trillion of assets and $932 billion of deposits, representing approximately 96% of Citi’s total assets and 99% of Citi’s total deposits.











 Second Quarter Six Months 
In millions of dollars except as otherwise noted20162015% Change20162015% Change
Net interest revenue$10,687
$10,622
1 %$21,317
$20,935
2 %
Non-interest revenue6,018
6,879
(13)11,468
14,157
(19)
Total revenues, net of interest expense$16,705
$17,501
(5)%$32,785
$35,092
(7)%
Provisions for credit losses and for benefits and claims

 

  

Net credit losses$1,514
$1,586
(5)%$3,095
$3,074
1 %
Credit reserve build (release)(2)(220)99
191
(250)NM
Provision for loan losses$1,512
$1,366
11 %$3,286
$2,824
16 %
Provision for benefits and claims20
21
(5)48
49
(2)
Provision for unfunded lending commitments(25)(50)50
48
(82)NM
Total provisions for credit losses and for benefits and claims$1,507
$1,337
13 %$3,382
$2,791
21 %
Total operating expenses$9,511
$9,566
(1)%$19,206
$19,065
1 %
Income from continuing operations before taxes$5,687
$6,598
(14)%$10,197
$13,236
(23)%
Income taxes1,738
1,896
(8)3,087
3,867
(20)
Income from continuing operations$3,949
$4,702
(16)%$7,110
$9,369
(24)%
Income (loss) from discontinued operations, net of taxes(23)6
NM
(25)1
NM
Noncontrolling interests21
18
17
25
59
(58)
Net income$3,905
$4,690
(17)%$7,060
$9,311
(24)%
Balance sheet data (in billions of dollars)


 

  

Total end-of-period (EOP) assets$1,753
$1,705
3 % 



Average assets$1,736
$1,714
1
$1,718
$1,717
—
Return on average assets0.90%1.10%

0.83%1.09%

Efficiency ratio57%55%

59%54%

Total EOP loans$592
$568
4
 



Total EOP deposits$932
$896
4
  


NM Not meaningful















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GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB)consists of Citigroup’s four geographical consumer bankingbusinesses that providein North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, including commercial banking, and Citi-branded cards and Citi retail services (for additional information on these businesses, see “Citigroup Segments” above). GCB is focused on its priority markets in the U.S., Mexico and Asia with 2,6812,570 branches in 19 countries and jurisdictions as of June 30, 2016.2017. At June 30, 2016,2017, GCB had approximately $402$419 billion ofin assets and $302$309 billion ofin deposits.
GCB’s overall strategy is to leverage Citi’s global footprint and seek to be the preeminent bank for the emerging affluent and affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies.

Second Quarter Six Months Second Quarter Six Months 
In millions of dollars except as otherwise noted20162015% Change20162015% Change20172016% Change20172016% Change
Net interest revenue$6,364
$6,457
(1)%$12,770
$12,918
(1)%$6,699
$6,308
6 %$13,221
$12,660
4 %
Non-interest revenue1,369
1,727
(21)2,733
3,568
(23)1,336
1,366
(2)%2,631
2,728
(4)%
Total revenues, net of interest expense$7,733
$8,184
(6)%$15,503
$16,486
(6)%$8,035
$7,674
5 %$15,852
$15,388
3 %
Total operating expenses$4,304
$4,338
(1)%$8,712
$8,643
1 %$4,497
$4,297
5 %$8,912
$8,698
2 %
Net credit losses$1,373
$1,504
(9)%$2,743
$2,993
(8)%$1,615
$1,374
18 %$3,218
$2,745
17 %
Credit reserve build (release)24
(97)NM
109
(246)NM
125
23
NM
302
108
NM
Provision (release) for unfunded lending commitments8
(4)NM
10
(4)NM
(1)8
NM
5
9
(44)%
Provision for benefits and claims20
21
(5)48
49
(2)23
20
15 %52
48
8 %
Provisions for credit losses and for benefits and claims$1,425
$1,424
— %$2,910
$2,792
4 %$1,762
$1,425
24 %$3,577
$2,910
23 %
Income from continuing operations before taxes$2,004
$2,422
(17)%$3,881
$5,051
(23)%$1,776
$1,952
(9)%$3,363
$3,780
(11)%
Income taxes681
811
(16)1,327
1,728
(23)647
667
(3)1,231
1,301
(5)
Income from continuing operations$1,323
$1,611
(18)%$2,554
$3,323
(23)%$1,129
$1,285
(12)%$2,132
$2,479
(14)%
Noncontrolling interests1
5
(80)3
1
NM
4
1
NM
5
3
67
Net income$1,322
$1,606
(18)%$2,551
$3,322
(23)%$1,125
$1,284
(12)%$2,127
$2,476
(14)%
Balance Sheet data (in billions of dollars)


 

 



 

 

Total EOP assets$419
$399
5 % 

Average assets$388
$381
2 %$383
$381
1 %414
387
7
$413
$382
8 %
Return on average assets1.37%1.69%

1.34%1.76%

1.09%1.33%

1.04%1.30%

Efficiency ratio56%53%

56%52%

56%56%

56%57%

Total EOP assets$402
$382
5
 

Average deposits$299
$298
—
$297
$298
—
$307
$297
3 %$305
$296
3 %
Net credit losses as a percentage of average loans2.02%2.21%

2.03%2.21%

2.20%2.02%

2.22%2.03%

Revenue by business

 

 



 

 

Retail banking$3,272
$3,533
(7)%$6,488
$7,071
(8)%$3,299
$3,242
2 %$6,454
$6,429
— %
Cards(1)
4,461
4,651
(4)9,015
9,415
(4)4,736
4,432
7
9,398
8,959
5
Total$7,733
$8,184
(6)%$15,503
$16,486
(6)%$8,035
$7,674
5 %$15,852
$15,388
3 %
Income from continuing operations by business

 

 



 

 

Retail banking$489
$549
(11)%$806
$1,128
(29)%$420
$472
(11)%$759
$770
(1)%
Cards(1)
834
1,062
(21)1,748
2,195
(20)709
813
(13)1,373
1,709
(20)
Total$1,323
$1,611
(18)%$2,554
$3,323
(23)%$1,129
$1,285
(12)%$2,132
$2,479
(14)%
Table continues on the next page.



Foreign currency (FX) translation impact 

   

  
Total revenue—as reported$7,733
$8,184
(6)%$15,503
$16,486
(6)%$8,035
$7,674
5 %$15,852
$15,388
3 %
Impact of FX translation(2)
—
(299)

—
(597)

—
(23)

—
(126)

Total revenues—ex-FX(3)
$7,733
$7,885
(2)%$15,503
$15,889
(2)%$8,035
$7,651
5 %$15,852
$15,262
4 %
Total operating expenses—as reported$4,304
$4,338
(1)%$8,712
$8,643
1 %$4,497
$4,297
5 %$8,912
$8,698
2 %
Impact of FX translation(2)
—
(135)

—
(276)

—
(9)

—
(50)

Total operating expenses—ex-FX(3)
$4,304
$4,203
2 %$8,712
$8,367
4 %$4,497
$4,288
5 %$8,912
$8,648
3 %
Total provisions for LLR & PBC—as reported$1,425
$1,424
— %$2,910
$2,792
4 %$1,762
$1,425
24 %$3,577
$2,910
23 %
Impact of FX translation(2)
—
(57)

—
(121)

—
(7)

—
(37)

Total provisions for LLR & PBC—ex-FX(3)
$1,425
$1,367
4 %$2,910
$2,671
9 %$1,762
$1,418
24 %$3,577
$2,873
25 %
Net income—as reported$1,322
$1,606
(18)%$2,551
$3,322
(23)%$1,125
$1,284
(12)%$2,127
$2,476
(14)%
Impact of FX translation(2)
—
(73)

—
(135)

—
(6)

—
(30)

Net income—ex-FX(3)
$1,322
$1,533
(14)%$2,551
$3,187
(20)%$1,125
$1,278
(12)%$2,127
$2,446
(13)%
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the second quarter of 20162017 and year-to-date 2017 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NM Not meaningful



NORTH AMERICA GCB
North America GCB provides traditional retail banking, including commercial banking, and its Citi-branded cards 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 Costco 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, Macy’s and Best Buy) within Citi retail services. As previously announced, the Hilton Honors co-brand credit card partnership with Citi will terminate as of year-end 2017.  The termination is not expected to have a material impact to North America GCB’s results of operations or financial condition. 
As of June 30, 2016,2017, North America GCB’s 729695 retail bank branches are concentrated in the six key metropolitan areas of New York, Chicago, Miami, Washington, D.C., Los Angeles and San Francisco. Also as of June 30, 2016,2017, North America GCB had approximately 10.89.5 million retail banking customer accounts, $54.8$55.6 billion ofin retail banking loans and $183.3$185.2 billion ofin deposits. In addition, North America GCB had approximately 120.7120 million Citi-branded and Citi retail services credit card accounts (including approximately 8 million as a result of Citi’s completion of the acquisition of the Costco portfolio on June 17, 2016) with $120.8$130.8 billion in outstanding card loan balances (including approximately $11 billion as a result of the Costco portfolio acquisition).balances.

Second Quarter% ChangeSix Months% ChangeSecond Quarter Six Months 
In millions of dollars, except as otherwise noted201620152016201520172016% Change20172016% Change
Net interest revenue$4,377
$4,312
2 %$8,819
$8,648
2 %$4,633
$4,331
7 %$9,250
$8,729
6 %
Non-interest revenue379
583
(35)811
1,307
(38)311
378
(18)638
810
(21)
Total revenues, net of interest expense$4,756
$4,895
(3)%$9,630
$9,955
(3)%$4,944
$4,709
5 %$9,888
$9,539
4 %
Total operating expenses$2,432
$2,316
5 %$4,938
$4,657
6 %$2,577
$2,426
6 %$5,153
$4,926
5 %
Net credit losses$953
$999
(5)%$1,885
$1,959
(4)%$1,181
$954
24 %$2,371
$1,887
26 %
Credit reserve build (release)50
(108)NM
129
(207)NM
101
49
NM
253
128
98
Provision for unfunded lending commitments7
—
NM
8
1
NM
2
7
(71)9
7
29
Provisions for benefits and claims8
9
(11)17
19
(11)8
8
— %14
17
(18)
Provisions for credit losses and for benefits and claims$1,018
$900
13 %$2,039
$1,772
15 %$1,292
$1,018
27 %$2,647
$2,039
30 %
Income from continuing operations before taxes$1,306
$1,679
(22)%$2,653
$3,526
(25)%$1,075
$1,265
(15)%$2,088
$2,574
(19)%
Income taxes464
594
(22)951
1,288
(26)405
450
(10)791
926
(15)
Income from continuing operations$842
$1,085
(22)%$1,702
$2,238
(24)%$670
$815
(18)%$1,297
$1,648
(21)%
Noncontrolling interests(1)—
(100)(1)1
NM
—
(1)NM
—
(1)NM
Net income$843
$1,085
(22)%$1,703
$2,237
(24)%$670
$816
(18)%$1,297
$1,649
(21)%
Balance Sheet data (in billions of dollars)


 

  




 

  


Average assets$219
$207
6 %$216
$208
4 %$243
$218
11 %$244
$215
13 %
Return on average assets1.55%2.10%

1.59%2.17%

1.11%1.51%

1.07%1.54%

Efficiency ratio51%47%

51%47%

52%52%

52%52%

Average deposits$182.1
$179.9
1
$181.4
$180.2
1
$185.1
$182.1
2 %$185.3
$181.4
2 %
Net credit losses as a percentage of average loans2.34%2.58%

2.33%2.54%

2.58%2.34%

2.61%2.33%

Revenue by business

 

  




 

  


Retail banking$1,330
$1,379
(4)%$2,637
$2,793
(6)%$1,291
$1,313
(2)%$2,547
$2,603
(2)%
Citi-branded cards1,907
1,933
(1)3,787
3,942
(4)2,079
1,886
10
4,175
3,746
11
Citi retail services1,519
1,583
(4)3,206
3,220
—
1,574
1,510
4
3,166
3,190
(1)
Total$4,756
$4,895
(3)%$9,630
$9,955
(3)%$4,944
$4,709
5 %$9,888
$9,539
4 %
Income from continuing operations by business

 

  




 

  


Retail banking$178
$207
(14)%$276
$417
(34)%$140
$172
(19)%$223
$261
(15)%
Citi-branded cards334
499
(33)700
1,038
(33)305
320
(5)553
673
(18)
Citi retail services330
379
(13)726
783
(7)225
323
(30)521
714
(27)
Total$842
$1,085
(22)%$1,702
$2,238
(24)%$670
$815
(18)%$1,297
$1,648
(21)%


NM Not meaningful



2Q162Q17 vs. 2Q152Q16
Net income decreased by 22%18% due to lower revenues,significantly higher expensescost of credit, driven by the impact of the Costco portfolio acquisition (completed June 17, 2016), and a net loan loss reserve build,higher expenses, partially offset by lower net credit losses.higher revenues.
Revenues decreased 3%increased 5%, reflecting lowerhigher revenues in retail banking, Citi-branded cards and Citi retail services.services, partially offset by lower revenues in retail banking.
Retail banking revenues decreased 4%.declined 2%, reflecting lower mortgage revenues. The decrease was primarily driven by a decline in mortgage gain onrevenues was driven by lower origination activity and higher cost of funds, as well as the impact of the previously announced sale revenues due to lower mortgage originations and lowerof a portion of Citi’s mortgage servicing revenues.rights (MSR). Excluding mortgage revenues, retail banking revenues were up 7%, driven by continued growth in average loans (6%), deposits (2%), and asset under management (10%), as well as a benefit from higher interest rates. Citi expects higher interest rates and the impact of the MSR sale to continue to negatively impact mortgage revenues during the remainder of 2017.
Cards revenues increased 8%. In Citi-branded cards, revenues increased 10%, largely reflecting the impact of the Costco portfolio acquisition and modest organic growth in Citi’s core portfolios. This declineincrease in retail banking revenues was partially offset by continued growth in consumer and commercial banking, including growth in average loans (10%) and average checking deposits (9%), as well as improvement in spreads driven by improved deposit mix and higher interest rates.
Cards revenues decreased 3%. In Citi-branded cards, revenues decreased 1%, primarily reflecting the continued impactrunoff of higher rewards costs and higher customer payment rates, partially offset by a modest benefit fromnon-core portfolios, which is expected to be an ongoing headwind during the previously disclosed acquisitionremainder of the Costco portfolio.2017. Average active accounts grew 10% (5% excluding the Costco portfolio acquisition), average loans grew 6%25% (3% excluding Costco) and purchase sales grew 15% (10%52% (3% excluding Costco), in each case driven by the continued investment spending (discussed below).
Citi retail services revenues decreasedincreased 4%. The decrease was, primarily due to the impact of renewingdriven by continued loan growth and extending several partnerships in a competitive environment, principally that with The Home Depot, as well as the absence of revenues associated with two portfolios sold in the first quarter of 2016. Purchase sales and average loans were largely unchanged. North America GCB expects revenues within Citi retail services to remain relatively unchanged to the current quarter level during at least the remainder of 2016 as expected overall volume growth is likely to befavorable prior-period comparison, partially offset by the continued impact of absorbing the more competitive termspreviously disclosed renewal and extension of certain partnerships within the partnership renewals.portfolio. Average loans were up 4% and purchase sales were up 2%.
Expenses increased 5%6%, primarily due todriven by the continued investment spending (including foraddition of the Costco portfolio, acquisitionvolume growth and continued marketing investments, among other areas), partially offset by efficiency savings.North America GCB expects continued higher expenses related to Costco and other Citi-branded cards investments in the near term. In addition, during the second quarter of 2016, Citi renewed and extended its partnership with American Airlines. North America GCB currently expects the impact of the renewal could lower pretax earnings in Citi-branded cards modestly during the remainder of 2016, primarily due to higher expenses.
Provisions increased 13%, largely due to27% from the prior-year period, driven by higher net credit losses and a higher net loan loss reserve build ($57 million), compared to a loan loss reserve release in the prior-year period ($108 million), partially offset by lower netbuild.
Net credit losses (5%)increased 24%, primarily driven by higher losses in each of Citi-branded cards and Citi retail services. In Citi-branded cards, net credit losses increased 31% to $611 million, primarily due to the Costco portfolio acquisition, organic volume growth and seasoning. In Citi retail services, net credit losses increased 20% to $531 million, primarily due to volume growth and seasoning and the impact of changes in collection processes. The net loan loss reserve build in the second quarter of 2017 was driven by Citi-branded cards due$103 million, compared to a build of $56 million in the prior-year period, largely supporting volume growth and the impact of the Costco portfolio.changes in collections processes in Citi retail services.
For additional information on North America GCBexpects to incur net loan loss reserve builds in’s retail banking, including commercial banking, and its Citi-branded cards in the near term due in part to the need to establish loan lossand Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.
 
reserves related to new loans originated in the Costco portfolio.
For information on Citi’s energy and energy-related exposures within commercial banking within North AmericaGCB, see “Credit Risk—Commercial Credit” below.

20162017 YTD vs. 20152016 YTD
Year-to-date, North America GCB has experienced similar trends to those described above. Net income decreased 24%21% due to lower revenues,higher cost of credit and higher expenses, and a net loan loss reserve build,partially offset by higher revenues.
Revenues increased 4%, reflecting higher revenues in cards, partially offset by lower net credit losses.
Revenues decreased 3%, reflecting lower revenues in retail banking and Citi-branded cards, while Citi retail services revenues were largely unchanged.banking. Retail banking revenues decreased 6%. Excluding the previously disclosed $110 million gain on sale of branches in Texas in the first quarter of 2015, revenues decreased 2%, driven by the same factors described above. Cards revenues decreased 2%increased 6%. In Citi-branded cards, revenues decreased 4%increased 11%, driven by the same factors described above. Citi retail services revenues were largely unchanged, primarily due todown 1%, driven by the continued impact of the renewal and extension of certain partnerships, as well as the absence of gains on sales of two cards portfolios in the first quarter of 2016, partially offset by the impact of the partnership renewals.loan growth.
Expenses increased 6%5%, primarily due to higher repositioning charges anddriven by the continued investment spending, higher volume-related expenses and higher regulatory and compliance costs, partially offset by ongoing cost reduction initiatives, including as a result of the business’ branch rationalization strategy.same factors described above.
Provisions increased 15%30%, largely due to adriven by the same factors described above. Net credit losses increased 26% and the net loan loss reserve build ($137 million), compared to a net loan loss reserve release in the prior-year period ($206 million), partially offset by lower net credit losses (4%) largely in Citi-branded cards. The net loan loss reserve build was driven by energy and energy-related exposures in the commercial banking portfolio within retail banking in the first quarter of 2016 as well as volume growth and the impact of the Costco portfolio, as described above.$262 million increased $127 million.








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 in Mexico through Banco Nacional de Mexico, or Banamex,Citibanamex, one of Mexico’s second-largest bank.largest banks.
At June 30, 2016,2017, Latin America GCB had 1,4911,496 retail branches in Mexico, with approximately 28.428.0 million retail banking customer accounts, $19.5$21.0 billion in retail banking loans and $28.2$28.7 billion in deposits. In addition, the business had approximately 5.7 million Citi-branded card accounts with $5.0$5.5 billion in outstanding loan balances.

Second Quarter% ChangeSix Months% ChangeSecond Quarter Six Months% Change
In millions of dollars, except as otherwise noted201620152016201520172016% Change20172016
Net interest revenue$871
$991
(12)%$1,734
$1,981
(12)%$917
$861
7 %$1,717
$1,714
— %
Non-interest revenue377
441
(15)755
883
(14)373
375
(1)%724
751
(4)%
Total revenues, net of interest expense$1,248
$1,432
(13)%$2,489
$2,864
(13)%$1,290
$1,236
4 %$2,441
$2,465
(1)%
Total operating expenses$726
$846
(14)%$1,446
$1,643
(12)%$735
$725
1 %$1,394
$1,443
(3)%
Net credit losses$260
$316
(18)%$538
$672
(20)%$277
$260
7 %$530
$538
(1)%
Credit reserve build (release)(2)19
NM
15
11
36
50
(2)NM
62
15
NM
Provision (release) for unfunded lending commitments1
—
100
2
(3)NM
(1)1
NM
(1)2
NM
Provision for benefits and claims12
12
—
31
30
3
15
12
25 %38
31
23 %
Provisions for credit losses and for benefits and claims (LLR & PBC)$271
$347
(22)%$586
$710
(17)%$341
$271
26 %$629
$586
7 %
Income from continuing operations before taxes$251
$239
5 %$457
$511
(11)%$214
$240
(11)%$418
$436
(4)%
Income taxes67
49
37
117
101
16
78
67
16
152
117
30
Income from continuing operations$184
$190
(3)%$340
$410
(17)%$136
$173
(21)%$266
$319
(17)%
Noncontrolling interests1
2
(50)2
2
—
2
1
100
3
2
50
Net income$183
$188
(3)%$338
$408
(17)%$134
$172
(22)%$263
$317
(17)%
Balance Sheet data (in billions of dollars)


 

  




 

  


Average assets$50
$55
(9)%$50
$56
(11)%$46
$50
(8)%$45
$50
(10)%
Return on average assets1.47%1.37%

1.36%1.47%

1.17%1.38%

1.18%1.27%

Efficiency ratio58%59%

58%57%

57%59%

57%59%

Average deposits$27.4
$28.7
(5)$27.6
$29.0
(5)$27.8
$25.9
7 %$26.6
$26.0
2 %
Net credit losses as a percentage of average loans4.25%4.66%

4.38%4.95%

4.36%4.30%

4.38%4.43%

Revenue by business

 

 



 

 

Retail banking$865
$975
(11)%$1,733
$1,947
(11)%$923
$853
8 %$1,759
$1,709
3 %
Citi-branded cards383
457
(16)756
917
(18)367
383
(4)682
756
(10)
Total$1,248
$1,432
(13)%$2,489
$2,864
(13)%$1,290
$1,236
4 %$2,441
$2,465
(1)%
Income from continuing operations by business

 

  




 

  


Retail banking$107
$121
(12)%$206
$269
(23)%$87
$96
(9)%$173
$186
(7)%
Citi-branded cards77
69
12
134
141
(5)49
77
(36)93
133
(30)
Total$184
$190
(3)%$340
$410
(17)%$136
$173
(21)%$266
$319
(17)%
FX translation impact

 

  


Total revenues—as reported$1,248
$1,432
(13)%$2,489
$2,864
(13)%
Impact of FX translation(1)
—
(234)

—
(453)

Total revenues—ex-FX(2)
$1,248
$1,198
4 %$2,489
$2,411
3 %
Total operating expenses—as reported$726
$846
(14)%$1,446
$1,643
(12)%
Impact of FX translation(1)
—
(85)

—
(171)

Total operating expenses—ex-FX(2)
$726
$761
(5)%$1,446
$1,472
(2)%
Provisions for LLR & PBC—as reported$271
$347
(22)%$586
$710
(17)%
Impact of FX translation(1)
—
(49)

—
(104)

Provisions for LLR & PBC—ex-FX(2)
$271
$298
(9)%$586
$606
(3)%
Net income—as reported$183
$188
(3)%$338
$408
(17)%
Impact of FX translation(1)
—
(71)

—
(130)

Net income—ex-FX(2)
$183
$117
56 %$338
$278
22 %


FX translation impact

 

  


Total revenues—as reported$1,290
$1,236
4 %$2,441
$2,465
(1)%
Impact of FX translation(1)
—
(37)

—
(160)

Total revenues—ex-FX(2)
$1,290
$1,199
8 %$2,441
$2,305
6 %
Total operating expenses—as reported$735
$725
1 %$1,394
$1,443
(3)%
Impact of FX translation(1)
—
(18)

—
(73)

Total operating expenses—ex-FX(2)
$735
$707
4 %$1,394
$1,370
2 %
Provisions for LLR & PBC—as reported$341
$271
26 %$629
$586
7 %
Impact of FX translation(1)
—
(8)

—
(39)

Provisions for LLR & PBC—ex-FX(2)
$341
$263
30 %$629
$547
15 %
Net income—as reported$134
$172
(22)%$263
$317
(17)%
Impact of FX translation(1)
—
(9)

—
(37)

Net income—ex-FX(2)
$134
$163
(18)%$263
$280
(6)%
(1)Reflects the impact of FX translation into U.S. dollars at the second quarter of 20162017 and year-to-date 2017 average exchange rates for all periods presented.
(2)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.

2Q162Q17 vs. 2Q152Q16
Net income decreased 18%, primarily driven by higher credit costs and expenses, partially offset by higher revenues.
Revenuesincreased 56%8%, driven by higher revenues lower expenses and lower cost of credit.in
Revenues increased 4%, primarily due to higher revenues in retail banking, partially offset by modestly lower revenues in cards.
cards.
Retail banking revenues increased 7% drivengrew by volume12%, reflecting continued growth in volumes, including an increase in average loans (8%), largely driven by the commercial and small business portfolios, and an increase in average deposits (10%) and, as well as improved deposit spreads, partially offset by a decline in loan spreads. Cards revenues decreased 3% driven1%, reflecting continued higher cost to fund non-revolving loans, largely offset by continued lower volumes (average loans down 1%), although increased purchase sales (7%(10%) are expected to begin to lead to increased. Average card loans grew 6%. While revolving card loan growthbalance trends continued to improve during the remainder of 2016, despite continuingquarter, Latin America GCB expects cards revenues to remain under pressure from higher payment rates.in the near term.
Expenses decreased 5%increased 4%, primarily due to lower legalas ongoing investment spending and related costs, lower repositioning charges, the impact of business divestitures and ongoinggrowth were partially offset by efficiency savings.
Provisions decreased 9%increased 30%, primarily driven by a lowerhigher net loan loss reserve build (increase of $51 million) and lowerhigher net credit losses. The net loan loss reserve build decreased $18 million, primarily due to releases related to the commercial banking portfolio and mortgages. Net credit losses decreased 5%(10%), largely reflecting lower net credit losses in the cards portfolio due to a focusvolume growth and seasonality.
For additional information on higher credit quality customers.

LatinAmerica GCB’s retail banking, including commercial banking, and its Citi-branded
 
cards portfolios, see “Credit Risk—Consumer Credit” below.

2016
2017 YTD vs. 20152016 YTD
Year-to-date, Latin America GCB has experienced similar trends to those described above. Net income increased 22%decreased 6%, driven by the same factors described above.
Revenues increased 3%6%, primarily due to higher revenues in retail banking, partially offset by lower revenues in cards. Retail banking revenues increased 6%10%, driven by the same factors described above as well as the impact of business divestitures. Cards revenues decreased 3%, driven by continued higher payment rates resulting from the business’ focus on higher credit quality customers which also drove a decline in average loans (2%).same factors described above.
Expenses decreasedincreased 2%, primarily due to lower legal and related expenses, the impact of business divestitures andas ongoing efficiency savings,investment spending was partially offset by repositioning charges, higher marketing costs and higher volume-related costs.efficiency savings.
Provisions decreased 3% as lower net credit losses were partially offsetincreased 15% largely driven by a higher net loan loss reserve build. Net credit losses decreased 7%, largely reflecting lower net credit losses in the cards and payroll portfolios due to the focus on higher credit quality customers. The net loan loss reserve build increased $10 million, primarily due to a net loan loss reserve build for cards and a lower release related to the commercial banking portfolio.same factors described above.





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. AsDuring the second quarter of June 30, 2016,2017, Citi’s most significant revenues in the region were from Singapore, Hong Kong, Singapore, Korea, Australia, India, Taiwan, India, Indonesia, Philippines, Thailand Malaysia and the Philippines. In addition, EMEA GCB, reportedMalaysia. Included within Asia GCB,, provides traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily in Poland, Russia and the United Arab Emirates.
At June 30, 2016,2017, on a combined basis, the businesses had 461379 retail branches, approximately 17.116.3 million retail banking customer accounts, $67.5$66.8 billion in retail banking loans and $90.5$95.4 billion in deposits. In addition, the businesses had approximately 16.616.7 million Citi-branded card accounts with $17.6$18.8 billion in outstanding loan balances.

Second Quarter% ChangeSix Months% ChangeSecond Quarter Six Months% Change
In millions of dollars, except as otherwise noted(1)
201620152016201520172016% Change20172016
Net interest revenue$1,116
$1,154
(3)%$2,217
$2,289
(3)%$1,149
$1,116
3 %$2,254
$2,217
2 %
Non-interest revenue613
703
(13)1,167
1,378
(15)652
613
6
1,269
1,167
9
Total revenues, net of interest expense$1,729
$1,857
(7)%$3,384
$3,667
(8)%$1,801
$1,729
4 %$3,523
$3,384
4 %
Total operating expenses$1,146
$1,176
(3)%$2,328
$2,343
(1)%$1,185
$1,146
3 %$2,365
$2,329
2 %
Net credit losses$160
$189
(15)%$320
$362
(12)%$157
$160
(2)%$317
$320
(1)%
Credit reserve build (release)(24)(8)NM
(35)(50)30
(26)(24)(8)(13)(35)63
Provision (release) for unfunded lending commitments—
(4)100
—
(2)100
(2)—
NM
(3)—
NM
Provisions for credit losses$136
$177
(23)%$285
$310
(8)%$129
$136
(5)%$301
$285
6 %
Income from continuing operations before taxes$447
$504
(11)%$771
$1,014
(24)%$487
$447
9 %$857
$770
11 %
Income taxes150
168
(11)259
339
(24)164
150
9
288
258
12
Income from continuing operations$297
$336
(12)%$512
$675
(24)%$323
$297
9 %$569
$512
11 %
Noncontrolling interests1
3
(67)2
(2)NM
2
1
100
2
2
—
Net income$296
$333
(11)%$510
$677
(25)%$321
$296
8 %$567
$510
11 %
Balance Sheet data (in billions of dollars)






  








  


Average assets$119
$119
— %$118
$117
1 %$125
$119
5 %$124
$118
5 %
Return on average assets1.00%1.12%

0.87%1.17%

1.03%1.00%

0.92%0.87%

Efficiency ratio66%63% 69%64%

66%66% 67%69%

Average deposits$89.4
$89.3
—
$88.3
$88.8
(1)$94.3
$89.4
5 %$93.5
$88.3
6 %
Net credit losses as a percentage of average loans0.76%0.84%

0.76%0.81%

0.74%0.76%

0.76%0.76%

Revenue by business   

   

Retail banking$1,077
$1,179
(9)%$2,118
$2,331
(9)%$1,085
$1,076
1 %$2,148
$2,117
1 %
Citi-branded cards652
678
(4)1,266
1,336
(5)716
653
10
1,375
1,267
9
Total$1,729
$1,857
(7)%$3,384
$3,667
(8)%$1,801
$1,729
4 %$3,523
$3,384
4 %
Income from continuing operations by business





 







 

Retail banking$204
$221
(8)%$324
$442
(27)%$193
$204
(5)%$363
$323
12 %
Citi-branded cards93
115
(19)188
233
(19)130
93
40
206
189
9
Total$297
$336
(12)%$512
$675
(24)%$323
$297
9 %$569
$512
11 %


FX translation impact

 



 

Total revenues—as reported$1,729
$1,857
(7)%$3,384
$3,667
(8)%$1,801
$1,729
4 %$3,523
$3,384
4 %
Impact of FX translation(2)
—
(65)

—
(144)

—
14


—
34


Total revenues—ex-FX(3)
$1,729
$1,792
(4)%$3,384
$3,523
(4)%$1,801
$1,743
3 %$3,523
$3,418
3 %
Total operating expenses—as reported$1,146
$1,176
(3)%$2,328
$2,343
(1)%$1,185
$1,146
3 %$2,365
$2,329
2 %
Impact of FX translation(2)
—
(50)

—
(105)

—
9


—
23


Total operating expenses—ex-FX(3)
$1,146
$1,126
2 %$2,328
$2,238
4 %$1,185
$1,155
3 %$2,365
$2,352
1 %
Provisions for loan losses—as reported$136
$177
(23)%$285
$310
(8)%$129
$136
(5)%$301
$285
6 %
Impact of FX translation(2)
—
(8)

—
(17)

—
1


—
2


Provisions for loan losses—ex-FX(3)
$136
$169
(20)%$285
$293
(3)%$129
$137
(6)%$301
$287
5 %
Net income—as reported$296
$333
(11)%$510
$677
(25)%$321
$296
8 %$567
$510
11 %
Impact of FX translation(2)
—
(2)

—
(5)

—
3


—
7


Net income—ex-FX(3)
$296
$331
(11)%$510
$672
(24)%$321
$299
7 %$567
$517
10 %

(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 second quarter of 20162017 and year-to-date 2017 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NMNot meaningful


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.

2Q162Q17 vs. 2Q152Q16
Net income decreased 11%increased 7%, primarily due to lowerreflecting higher revenues and lower cost of credit, partially offset by higher expenses,expenses.
Revenues increased 3%, driven by improvement in cards and wealth management revenues, partially offset by lower cost of credit.retail lending revenues.
Revenues decreased 4%,Retail banking revenues were largely unchanged, primarily due to lower retail banking revenues as cards revenues were unchanged. Retail banking revenues decreased 6%, mainly due to a decline (16%)an increase in investment sales revenues within the wealth management business due to lower client activity, particularly in Hong Kong, China, Korea and Taiwan. Retail banking revenues, excluding wealth management declined 2%, largely reflectingoffset by the repositioning of the retail loan portfolio. Wealth management revenues increased due to improvement in investor sentiment, stronger equity markets and an increase in assets under management (9%) and investment sales (27%). These increases were offset by continued lower lending revenues (down 3%), reflecting continued lower average loans (decrease of 2%) due to the optimization of this portfolio away from lower returnlower-yielding mortgage loans as well as de-risking in the commercial portfolio towards the end of 2015, partially offset by growth in higher returnto focus on growing higher-return personal loans (3%). This decrease in revenues was also partially offset by growth in insurance revenues as well as deposit products (3% increase in average deposits), despite continued optimization of the branch footprint. Asia GCB expects wealth management revenues within its retail banking business could continue to be impacted by market uncertainty during the remainder of 2016.loans.
Cards revenues were largely unchanged. While the overall negative impact from regulatory changesincreased 9%, reflecting 6% growth in the region continued to abate,average loans and 7% growth in purchase sales, slowed duringboth of which benefited from the current quarter, in part due to actions the business took to lower the value of rewards on certain productspreviously disclosed portfolio acquisition in Australia in response to regulation that capped interchange rates. Purchase sales werethe first quarter of 2017. Cards revenues also negatively impacted by slower economic growthbenefitted from a modest gain from the sale of merchant acquiring businesses in the region. The slower purchase sales growth and a reduction in promotional rate balances resulted in more modest loan growth (increase of 1%) in the current quarter.certain countries.
Expenses increased 2%3%, primarily due to higher repositioning costsresulting from volume growth and higher regulatory and compliance costs,ongoing investment spending, partially offset by efficiency savings.
Provisions decreased 20%6%, primarily due to a higherdriven by an increase in net loan loss reserve releasereleases and lower net credit losses. Overall credit quality continued to remain stable in the region.
For additional information on AsiaGCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.


20162017 YTD vs. 20152016 YTD
Year-to-date, Asia GCB has experienced similar trends to
those described above. Net income decreased 24%increased 10% due to lowerhigher revenues, and higher expenses, partially offset by lowerhigher expenses and cost of credit.
Revenues decreased 4%increased 3%, primarily due to the slowdownan increase in investment sales revenues, lower retail lending revenues and lower cards revenues. Retail banking revenues decreased 6%,were largely unchanged, driven by the same factors described above. Cards revenues decreased 1%, primarily due to spread compression and slower purchase sales growth, mostly offset by the stabilizing payment rates and modest loan growth (2%) across the region.
Expensesincreased 4%8%, driven by the same factors described above.
Expenses increased 1%, driven by business volumes.
Provisions decreased 3%increased 5%, primarily due to lower net credit losses, partially offset by a lowerhigher net loan loss reserve release.build in the first quarter of 2017 related to the card portfolio acquisition in Australia, partially offset by lower net credit losses.














INSTITUTIONAL CLIENTS GROUP

Institutional Clients Group (ICG) includes Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.
ICG revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients in clearing transactions, providing brokerage and investment banking services and other such activities. Revenue generated from these activities is recorded in Commissions and fees and Investment banking. Revenue is also generated from transaction processing and assets under custody and administration. Revenue generated from these activities is primarily recorded in Administration and other fiduciary fees. In addition, as a market maker, ICG facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions(for additional information on Principal transactions revenue, see Note 6 to the Consolidated Financial Statements). Other primarily includes mark-to-market gains and losses on certain credit derivatives, gains and losses on available-for-sale (AFS) securities and other non-recurring gains and losses. Interest income earned on inventory and loansassets held less interest paid to customers on deposits and long-termlong- and short-term debt is recorded as Net interest revenue. Revenue is also generated from transaction processing
The amount and assets under custodytypes of Markets revenues are impacted by a variety of interrelated factors, including market liquidity; changes in market variables such as interest rates, foreign exchange rates, equity prices, commodity prices and administration.credit spreads, as well as their implied volatilities; investor confidence; and other macroeconomic conditions. Assuming all other market conditions do not change, increases in client activity levels or bid/offer spreads generally result in increases in revenues. However, changes in market conditions can significantly impact client activity levels, bid/offer spreads and the fair value of product inventory. For example, a decrease in market liquidity may increase bid/offer spreads, decrease client activity levels and widen credit spreads on product inventory positions.
ICG’s management of the Markets businesses involves daily monitoring and evaluating of the above factors at the trading desk as well as the country level. ICG does not separately track the impact on total Markets revenues of the volume of transactions, bid/offer spreads, fair value changes of product inventory positions and economic hedges because, as noted above, these components are interrelated and are not deemed useful or necessary individually to manage the Markets businesses at an aggregatelevel.
In the Markets businesses, client revenues are those revenues directly attributable to client transactions at the time of inception, including commissions, interest or fees earned. Client revenues do not include the results of client facilitation activities (for example, holding product inventory in anticipation of client demand) or the results of certain economic hedging activities.
ICG’s international presence is supported by trading floors in approximately 80 countries and a proprietary network in over 10098 countries and jurisdictions. At June 30, 2016,2017, ICG had approximately $1.3$1.4 trillion of assets and $607$624 billion of deposits, while two of its businesses, businesses—securities services and issuer services, services—managed approximately $15.3$16.5 trillion of assets under custody compared to $15.5$15.3 trillion at the end of the prior-year period. The decline in assets under custody from the prior-year period was primarily due to business divestitures.
 Second Quarter% ChangeSix Months% Change
In millions of dollars, except as otherwise noted2016201520162015
Commissions and fees$955
$990
(4)%$1,958
$1,987
(1)%
Administration and other fiduciary fees638
663
(4)1,235
1,276
(3)
Investment banking1,029
1,120
(8)1,769
2,254
(22)
Principal transactions1,911
1,793
7
3,485
3,990
(13)
Other(1)
46
193
(76)38
450
(92)
Total non-interest revenue$4,579
$4,759
(4)%$8,485
$9,957
(15)%
Net interest revenue (including dividends)4,267
4,187
2
8,397
8,066
4
Total revenues, net of interest expense$8,846
$8,946
(1)%$16,882
$18,023
(6)%
Total operating expenses$4,760
$4,842
(2)%$9,629
$9,494
1 %
Net credit losses$141
$82
72 %$352
$81
NM
Credit reserve build (release)(26)(123)79
82
(4)NM
Provision (release) for unfunded lending commitments(33)(46)28
38
(78)NM
Provisions for credit losses$82
$(87)NM
$472
$(1)NM
Income from continuing operations before taxes$4,004
$4,191
(4)%$6,781
$8,530
(21)%
Income taxes1,289
1,331
(3)2,107
2,696
(22)
Income from continuing operations$2,715
$2,860
(5)%$4,674
$5,834
(20)%
Noncontrolling interests17
15
13
27
50
(46)
Net income$2,698
$2,845
(5)%$4,647
$5,784
(20)%
Average assets (in billions of dollars)
$1,299
$1,284
1 %$1,285
$1,282
— %
Return on average assets0.84%0.89%

0.73%0.91%

Efficiency ratio54%54%

57%53%

CVA/DVA-after-tax$—
$190
(100)%$—
$146
(100)%
Net income ex-CVA/DVA (2)
$2,698
$2,655
2 %$4,647
$5,638
(18)%
Revenues by region  

  

North America$3,478
$3,523
(1)%$6,524
$6,914
(6)%
EMEA2,615
2,565
2
4,822
5,465
(12)
Latin America1,033
1,027
1
2,008
2,018
—
Asia1,720
1,831
(6)3,528
3,626
(3)
Total$8,846
$8,946
(1)%$16,882
$18,023
(6)%

Second Quarter Six Months% Change
In millions of dollars, except as otherwise noted20172016% Change20172016
Commissions and fees$1,020
$956
7 %$2,005
$1,960
2 %
Administration and other fiduciary fees719
638
13
1,363
1,235
10
Investment banking1,180
1,029
15
2,224
1,769
26
Principal transactions2,079
1,912
9
4,747
3,488
36
Other(1)
240
46
NM
235
39
NM
Total non-interest revenue$5,238
$4,581
14 %$10,574
$8,491
25 %
Net interest revenue (including dividends)3,975
4,108
(3)7,765
8,093
(4)
Total revenues, net of interest expense$9,213
$8,689
6 %$18,339
$16,584
11 %
Total operating expenses$5,019
$4,763
5 %$9,964
$9,635
3 %
Net credit losses$71
$141
(50)%$96
$352
(73)%
Credit reserve build (release)(15)(26)42
(191)82
NM
Provision (release) for unfunded lending commitments31
(33)NM
(23)38
NM
Provisions for credit losses$87
$82
6 %$(118)$472
NM
Income from continuing operations before taxes$4,107
$3,844
7 %$8,493
$6,477
31 %
Income taxes1,327
1,229
8
2,702
1,993
36
Income from continuing operations$2,780
$2,615
6 %$5,791
$4,484
29 %
Noncontrolling interests18
17
6
33
27
22
Net income$2,762
$2,598
6 %$5,758
$4,457
29 %
EOP assets (in billions of dollars)
$1,353
$1,303
4 %  
Average assets (in billions of dollars)
1,360
1,300
5
$1,339
$1,286
4 %
Return on average assets0.81%0.80%

0.87%0.70%

Efficiency ratio54
55


54
58


Revenues by region 

 

North America$3,568
$3,393
5 %$7,023
$6,373
10 %
EMEA2,837
2,577
10
5,644
4,744
19
Latin America1,042
1,022
2
2,169
1,984
9
Asia1,766
1,697
4
3,503
3,483
1
Total$9,213
$8,689
6 %$18,339
$16,584
11 %
Income from continuing operations by region 

  


 

  


North America$1,059
$1,079
(2)%$1,643
$2,106
(22)%$1,112
$1,005
11 %$2,212
$1,551
43 %
EMEA720
695
4
1,119
1,630
(31)779
695
12
1,634
1,069
53
Latin America396
430
(8)733
805
(9)333
392
(15)808
722
12
Asia540
656
(18)1,179
1,293
(9)556
523
6
1,137
1,142
—
Total$2,715
$2,860
(5)%$4,674
$5,834
(20)%$2,780
$2,615
6 %$5,791
$4,484
29 %
Average loans by region (in billions of dollars)
 

  


 

  


North America$133
$121
10 %$130
$118
10 %$146
$138
6 %$143
$135
6 %
EMEA67
63
6
65
62
5
67
67
—
66
65
2
Latin America42
41
2
43
41
5
37
38
(3)37
39
(5)
Asia61
63
(3)61
63
(3)62
61
2
61
61
—
Total$303
$288
5 %$299
$284
5 %$312
$304
3 %$307
$300
2 %
EOP deposits by business (in billions of dollars)
   

   

Treasury and trade solutions$405
$397
2 % 

$421
$407
3 % 

All other ICG businesses
202
191
6






203
202
—






Total$607
$588
3 %





$624
$609
2 %






(1)First quarter of 2016 includes a previously disclosed charge of approximately $180 million, primarily reflecting the write downwrite-down of Citi’s net investment in Venezuela as a result of changes in the exchange rate during the quarter.
(2)Excludes CVA/DVA in the second quarter and six months of 2015, consistent with current period presentation. For additional information, see Notes 1 and 22 to the Consolidated Financial Statements.
NM Not Meaningfulmeaningful


ICG Revenue Details—Excluding CVA/DVA and Gain/Gain (Loss) on Loan Hedges(1)
Second Quarter% ChangeSix Months% ChangeSecond Quarter Six Months% Change
In millions of dollars201620152016201520172016% Change20172016
Investment banking revenue details
        
Advisory$238
$257
(7)%$465
$552
(16)%$314
$238
32 %$560
$465
20 %
Equity underwriting174
296
(41)292
527
(45)295
174
70
530
292
82
Debt underwriting805
737
9
1,335
1,413
(6)877
803
9
1,610
1,331
21
Total investment banking$1,217
$1,290
(6)%$2,092
$2,492
(16)%$1,486
$1,215
22 %$2,700
$2,088
29 %
Treasury and trade solutions2,048
1,955
5
3,999
3,845
4
2,065
1,999
3
4,140
3,902
6
Corporate lending—excluding gain (loss)
on loan hedges(2)
389
476
(18)844
952
(11)
Corporate lending—excluding (loss) on loan hedges(1)
477
383
25
911
831
10
Private bank738
747
(1)1,484
1,456
2
788
674
17
1,532
1,358
13
Total banking revenues (ex-CVA/DVA and gain (loss)
on loan hedges)(1)
$4,392
$4,468
(2)%$8,419
$8,745
(4)%
Total banking revenues (ex-gain/(loss) on loan hedges)$4,816
$4,271
13 %$9,283
$8,179
13 %
Corporate lending—gain/(loss) on loan hedges(2)(1)
$(203)$(66)NM
$(269)$(14)NM
$9
$(203)NM
$(106)$(269)61 %
Total banking revenues (ex-CVA/DVA and including
gain (loss) on loan hedges)(1)
$4,189
$4,402
(5)%$8,150
$8,731
(7)%
Total banking revenues (including gain/(loss) on loan hedges)$4,825
$4,068
19 %$9,177
$7,910
16 %
Fixed income markets$3,468
$3,047
14 %$6,553
$6,531
— %$3,215
$3,432
(6)%$6,837
$6,483
5 %
Equity markets788
649
21
1,494
1,516
(1)691
776
(11)1,460
1,473
(1)
Securities services531
570
(7)1,093
1,113
(2)584
529
10
1,127
1,090
3
Other(3)(2)
(130)(25)NM
(408)(102)NM
(102)(116)12
(262)(372)30
Total Markets and securities services (ex-CVA/DVA)(1)
$4,657
$4,241
10 %$8,732
$9,058
(4)%
Total ICG (ex-CVA/DVA)
$8,846
$8,643
2 %$16,882
$17,789
(5)%
CVA/DVA (excluded as applicable in lines above)—
303
NM
—
234
NM
Fixed income markets—
289
NM
—
214
NM
Equity markets—
15
NM
—
17
NM
Private bank—
(1)NM
—
3
NM
Total markets and securities services revenues$4,388
$4,621
(5)%$9,162
$8,674
6 %
Total revenues, net of interest expense$8,846
$8,946
(1)%$16,882
$18,023
(6)%$9,213
$8,689
6 %$18,339
$16,584
11 %
Commissions and fees$154
$113
36 %$294
$237
24 %
Principal transactions(3)
1,890
1,765
7
4,208
3,109
35
Other181
213
(15)330
429
(23)
Total non-interest revenue$2,225
$2,091
6 %$4,832
$3,775
28 %
Net interest revenue990
1,341
(26)2,005
2,708
(26)
Total fixed income markets$3,215
$3,432
(6)%$6,837
$6,483
5 %
Rates and currencies$2,227
$2,461
(10)%$4,730
$4,697
1 %
Spread products / other fixed income988
971
2
2,107
1,786
18
Total fixed income markets$3,215
$3,432
(6)%$6,837
$6,483
5 %
Commissions and fees$313
$319
(2)%$629
$676
(7)%
Principal transactions(3)
(25)(48)48
141
3
NM
Other(7)127
NM
1
129
(99)
Total non-interest revenue$281
$398
(29)%$771
$808
(5)%
Net interest revenue410
378
8
689
665
4
Total equity markets$691
$776
(11)%$1,460
$1,473
(1)%

(1)Excludes CVA/DVA in the second quarter and six months of 2015, consistent with current period presentation. For additional information, see Notes 1 and 22 to the Consolidated Financial Statements.
(2)Hedges on accrual loans reflect the mark-to-market on credit derivatives used to economically hedge the corporate loan accrual portfolio. 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 gain/(loss) on loan hedges are non-GAAP financial measures.
(3)(2)First quarter of 2016 includes the previously disclosed charge of approximately $180 million, primarily reflecting the write downwrite-down of Citi’s net investment in Venezuela as a result of changes in the exchange rate during the quarter.
(3) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.
NM Not meaningful


The discussion of the results of operations for ICG below excludes the impact of CVA/DVA for the second quarter and year-to-date 2015. Presentations of the results of operations, excluding the impact of CVA/DVA and the impact of gains/(losses) on hedges on accrual loans, are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.

2Q162Q17 vs. 2Q152Q16
Net income increased 2%6%, primarily driven by higher revenues, and lower expenses, partially offset by higher credit costs.operating expenses.

Revenues increased 2%6%, reflecting higher revenues in Banking (increase of 19%; increase of 13% excluding gains and losses on hedges on accrual loans), offset by lower revenues in Markets and securities services (increase(decrease of 10%5%), partially offsetprimarily due to fixed income and equity markets. Banking revenues were driven by lower revenuesstrong performance in Banking (decrease of 5%, decrease of 2% excludingequity capital markets and M&A advisory as well as improved performance in corporate lending and the gains/(losses) on hedges on accrual loans).private bank. Citi expects revenues in ICG, particularly in its Markets and securities servicesbusinesses, will likely continue to reflect the overall market environment, including normal seasonal trends during the remainder of 2016.2017, although ICG revenues may also be impacted by uncertainty around interest rates and tax reform legislation along with continued low market volatility.

Within Banking:

Investment banking revenues decreased 6%increased 22%, largely reflecting an industry-wide slowdown in activity levels,strength across all products and regions, particularly in equity underwriting, partially offset by an increase in wallet share across all products. Advisory revenues decreased 7%, primarily reflecting the lower overall M&A market.Equity underwriting revenues decreased 41% driven by the lower market activity. Debt underwriting revenues increased 9%, driven by North America and EMEA, primarily due todespite a slight decline in overall market wallet from the prior-year period. Debt underwriting revenues increased 9%, reflecting continued momentum driven by wallet share gains. Equity underwriting revenues increased 70%, reflecting an increase in wallet share and higher overall market activity. Advisory revenues increased 32%, largely reflecting an increase in wallet share.
Treasury and trade solutions revenues increased 5%3%. Excluding the impact of FX translation, revenues increased 9% due to continued growth in transaction volumes, continued growth in deposit balances across all regions4%, improved spreads, particularly reflecting strength in EMEANorth America, Asia and Latin AmericaEMEA, and overall. The increase in revenues was driven by fee growth in thereflecting continued volume growth as well as improved deposit spreads, partially offset by lower trade business.revenues. End-of-period deposit balances increased 2% (3%3% (4% excluding the impact of FX translation), driven by North America, while average trade loans decreasedincreased 4% (3% excluding the impact of FX translation), as the business maintained origination volumes while reducing lower spread assets and increasing asset sales to optimize returns..
Corporate lending revenues decreased 55%.increased $306 million to $486 million. Excluding the mark-to-market impact of gains/(losses) onloan hedges, on accrual loans, revenues decreased 18%increased 25%, driven by anNorth America. The increase in revenues was driven by lower hedging costs and the absence of a prior-period adjustment to the residual value of a lease financing as well as higher hedging costs.transaction, while average loans declined modestly (1%).
Private bankrevenues decreased 1%increased 17%, reflecting weaknessstrength across all products and regions. The increase in Latin Americarevenues was driven by higher loan and Asia, primarily due to a decline indeposit growth, improved deposit spreads, higher managed investments revenues and lowerincreased capital markets activities, partially offset by growth in deposit balances and loan volumes.activity.




 
Within Markets and securities services:

Fixed income markets revenues increased 14%decreased 6%, with higherprimarily due to lower revenues in all regions. RatesNorth America, Asia and currencies (both G10 products and local markets) drove these results, with revenues up 25% year-over-year, including particularly strong performance following the U.K. referendum on June 23, 2016,Latin America, as well as a more favorable trading environment. The business experienced continued growthclient activity was impacted by low volatility in activity throughout the current quarter withquarter. Net interest revenues were lower (down 26%), largely due to a change in the corporatemix of trading positions in support of client base,activity, which comprises over 40% of direct client revenues in rates and currencies. The increase in rates and currencies revenues was partially offset by higher principal transactions revenues (up 7%). Rates and currencies revenues decreased 10%, reflecting weaker performance across all regions. The decrease was driven mainly by lower spread productsG10 currencies revenues mostly reflecting a declinedue to the low volatility in securitizedthe current quarter and higher revenues in the prior-year period following the vote in the U.K. in favor of its withdrawal from the European Union. G10 rates and local markets revenues particularly in North America. The decline in spreadwere broadly stable. Spread products and other fixed income revenues was partially offset by an increase in credit markets and municipals revenues,increased 2%, primarily driven by higher client activity in securitized products in North America and EMEA,as compared to the prior-year period.higher commodities and other fixed income revenues were offset by lower credit products and municipals revenues.
Equity markets revenues increased 21%decreased by 11%, primarily reflectingdriven by the absence of episodic activity in the charge for valuation adjustments relatedprior-year period, partially offset by strength in investor client activity, particularly in EMEA and Asia. Equity derivatives revenues declined from the prior-year period due to certain financing transactions (see “Executive Summary” above). Excluding the adjustment, revenues decreased 4%, reflectingabsence of episodic activity and the impact of lower client volumes and strong trading performance in Asialow volatility in the prior-year period.current quarter. This was partially offset by higher prime finance and delta one revenues due to continued growth in client balances, as well as higher cash equities revenues. Commissions revenues declined slightly, reflecting the ongoing shift to electronic trading by clients across the industry.
Securities services revenues decreased 7%increased by 10%. Excluding the impact of FX translation, revenues decreased 3%increased 12%, primarily reflecting strength in North America, Asia and Latin America. The increase was driven by growth in deposit balances and higher net interest revenues that benefited from the absence ofrising interest rate environment. Fee revenues from divestitures as well as lowercontinued to increase, driven by growth in assets under custody due to lower market valuations. Excludingand the impact of FX translation and divestitures, revenues increased 2%.client volumes.

Expenses decreased 2%increased 5% as repositioning savings, lower legalhigher incentive compensation, investments and related costs andvolume-related expenses were partially offset by a benefit from FX translation were partially offset by higher repositioning charges.and efficiency savings.
Provisions increased $1696% to $87 million, to $82 million due to higher net credit losses andreflecting a lower net loan loss reserve build of $16 million (compared to a $59 million release ($59in the prior-year period, largely related to energy and energy-related exposures) and lower net credit losses of $71 million compared to $169($141 million in the prior-year period). Net credit losses increased 72% to $141 million, with approximately two-thirds of these losses offset by related reserve releases. The cost of credit related to energy and energy-related exposures was de minimisdecline in the current quarter as net credit losses were offset by previously existing loan loss reserves and the portfolio benefited from stabilization of oil prices and increased capital markets activity by clients (for additional information on Citi’s corporate energy and energy-related exposures, see “Credit Risk—Corporate Credit” below.) Despite the stabilization of oil prices during the current quarter, and the resulting positive impact on ICG cost of credit, the business remains cautious as toreflected improvement in the energy sector, and the environment remains uncertain. Depending on these factors, sector.ICG could see total provisions increase from current quarter levels during the remainder of 2016.




20162017 YTD vs. 20152016 YTD
Net income decreased 18%increased 29%, primarily driven by lowerhigher revenues higherand lower credit costs, andpartially offset by higher expenses.

Revenues decreased 5%increased 11%, reflecting lowerhigher revenues in Markets and securities services (decrease(increase of 4%6%) and lowerhigher revenues in Banking (decreaseincrease of 7%, decrease16%; increase of 4%13% excluding the gains/(losses)losses on hedges on accrual loans).

Within Banking:

Investment banking revenues decreased 16%increased 29%, largely reflecting year-over-year gains in wallet share and an improvement from the industry-wide slowdown in activity levels during the first half of 2016. Advisory revenues decreased 16%increased 20%, reflecting a strong performance in the prior-year periodfirst half of 2017. Equity underwriting revenues increased 82%, while debt underwriting revenues increased 21%, both primarily due to increased wallet share, as well as the lowerhigher market activity.Equity underwriting revenues decreased 45%, in line with the decline in market activity. Debt underwriting revenues decreased 6%, primarily due to the decline in market activity, partially offset by a higher wallet share.
Treasury and trade solutions revenues increased 4% (8% excluding the impact of FX translation)6% primarily due to continued growth in transaction volumes,driven by continued growth in deposit balances across all regions and loan volumes, improved spreads particularly in Latin Americaand North America, as trade revenues were largely unchanged.strong fee growth across most cash products.
Corporate lending revenues decreased 39%increased 43%. Excluding the impact of gains/(losses)losses on hedges on accrual loans, revenues decreased 11%increased 10%, driven by the lease financing adjustment referenced above, the higherlower hedging costs in the current period and the absence of positive mark-to-market adjustments compareda prior-period adjustment to the prior-year period, partially offset by continued growth in average loan balances.residual value of a lease financing transaction.
Private bank revenues increased 2%13%, reflecting increasing deposit spreads and volume growth, growth in loan volumesloans and deposit balances, partially offset by lower capital markets activity andhigher managed investments.investments revenues.

Within Markets and securities services:

Fixed income markets revenues were largely unchanged as a decrease in spread products and commodities revenues were offsetincreased by growth in rates and currencies. Spread products revenues declined5%, due to a decline in securitized marketshigher revenues particularly in North America, and credit markets revenues, partially offset by an increase in municipals revenues. The decline in spread products revenues was primarily driven by lower activity levels and a less favorable environment in the early part of 2016. The decline in spread products revenues was offset by strength in ratesEMEA. Rates and currencies revenues (15% increase year-over-year)increased 1% due to higher revenues in overall G10 products, partially offset by lower local marketsrates revenues in EMEA., partially offset by a decrease in G10 currencies revenues reflecting the low volatility and lower client activity in all regions. Spread products and other fixed income revenues increased 18%, primarily due to a recovery from the challenging trading environment in the prior-year period, particularly in securitized products.
Equity markets revenues decreaseddeclined 1%. Excluding the valuation adjustment referenced above, revenues decreased 12%, reflecting the impact of loweras continued growth in client volumes in cash equitiesbalances and derivatives and the strong trading performancehigher client activity, particularly in EMEA and Asia, were more than offset by the absence of episodic activity in the prior-year period.period in North America. Equity derivatives revenues declined, driven by the same factors described above. Cash equities revenues decreased primarily due to lower commissions in the first quarter of 2017. These declines were partially offset by higher revenues due to the continued growth in client balances in prime finance and delta one.
Securities services revenues decreased 2%increased 3%. Excluding the impact of FX translation,prior-period divestitures, revenues increased 3%grew 10%, primarily driven by higher deposit balances and higher net interest revenue, primarily in North America, Asia and
 
primarily reflecting a modest gain on sale of a private equity fund services business.Latin America, and higher fee revenue from growth in assets under custody and client volumes.

Expenses increased 1% as higher repositioning charges, higher legal and related costs and investment spending were largely3% from the prior-year period, driven by the same factors described above, partially offset by lower repositioning savings and a benefit from FX translation.costs.
Provisions increased $473decreased $590 million, primarily reflecting a decline in net credit losses offrom $352 million ($81 million in the prior-year period)period to $96 million and a net loan loss reserve buildrelease of $120$214 million (negative $82($120 million build in the period-year period). This higherlower cost of credit included approximately $216 million of net credit losses and an approximately $154 million net loan loss reserve build related to energy and energy-related exposureswas driven largely by improvement in the first half of 2016, largely due to low oil prices as well as the impact of regulatory guidance.energy sector.








CORPORATE/OTHER
Corporate/Other includes certain unallocated costs of global staff functions (including finance, risk, human resources, legal and compliance), other corporate expenses and unallocated global operations and technology expenses, Corporate Treasury, certain North America and international legacy consumer loan portfolios, other legacy assets and discontinued operations.operations (for additional information on Corporate/Other, see “Citigroup Segments” above). At June 30, 2016,2017, Corporate/Other had $49$92 billion in assets, a decrease of assets, or 3% of Citigroup’s total assets.21% year-over-year and 11% from December 31, 2016.

Second Quarter% ChangeSix Months% ChangeSecond Quarter Six Months% Change
In millions of dollars201620152016201520172016% Change20172016
Net interest revenue$56
$(22)NM
$150
$(49)NM
$491
$820
(40)%$1,036
$1,710
(39)%
Non-interest revenue70
393
(82)%250
632
(60)%162
365
(56)794
1,421
(44)
Total revenues, net of interest expense$126
$371
(66)%$400
$583
(31)%$653
$1,185
(45)%$1,830
$3,131
(42)%
Total operating expenses$447
$386
16 %$865
$928
(7)%$990
$1,309
(24)%$2,107
$2,559
(18)%
Provisions for loan losses and for benefits and claims—
—
—
—
—
—
Loss from continuing operations before taxes$(321)$(15)NM
$(465)$(345)(35)%
Net credit losses$24
$101
(76)%$105
$243
(57)%
Credit reserve build (release)(154)(223)31
(189)(254)26
Provision (release) for unfunded lending commitments(2)(5)60
3
(6)NM
Provision for benefits and claims—
29
(100)1
89
(99)
Provisions for credit losses and for benefits and claims$(132)(98)(35)%$(80)72
NM
Income (loss) from continuing operations before taxes$(205)$(26)NM
$(197)$500
NM
Income taxes (benefits)(232)(246)6 %(347)(557)38 %(179)(173)(3)%(275)(92)NM
Income (loss) from continuing operations$(89)$231
NM
$(118)$212
NM
$(26)$147
NM
$78
$592
(87)%
Income (loss) from discontinued operations, net of taxes(23)6
NM
(25)1
NM
21
(23)NM
3
(25)NM
Net income (loss) before attribution of noncontrolling interests$(112)$237
NM
$(143)$213
NM
$(5)$124
NM
$81
$567
(86)%
Noncontrolling interests3
(2)NM
(5)8
NM
10
8
25 %4
1
NM
Net income (loss)$(115)$239
NM
$(138)$205
NM
$(15)$116
NM
$77
$566
(86)%
NM Not meaningful

2Q162Q17 vs. 2Q152Q16
The net loss was $115$15 million, compared to net income of $239$116 million in the prior-year period, due to lower revenues, higher expenses and the absence of the previously disclosed favorable tax impact reflecting the resolution of certain state and local audits in the prior-year period (see “Income Taxes” below).
Revenues decreased 66%, primarily due to the absence of gains on real estate sales in the prior-year period and lower gains on debt buybacks. Corporate/Other expects revenues to be at or near zero during the remainder of 2016 as a result of lower debt buyback activity and the absence of certain episodic gains.
Expenses increased 16%, largely driven by higher corporate-wide advertising and marketing expenses and higher legal and related expenses.


2016 YTD vs. 2015 YTD
The net loss was $138 million, compared to net income of $205 million in the prior-year period, reflecting lower revenues and the absence of the favorable tax impact reflecting the resolution of the state and local audits, partially offset by lower expenses.
Revenues decreased 31%, primarily due to the absence of the gains on real estate sales and lower gains on debt buybacks, partially offset by higher investment income.
Expenses decreased 7%, largely driven by lower legal and related expenses, partially offset by higher repositioning charges.





CITI HOLDINGS
Citi Holdings contains the remaining businesses and portfolios of assets that Citigroup has determined are not central to its core Citicorp businesses. As of June 30, 2016, Citi Holdings assets were approximately $66 billion, a decrease of 47% year-over-year and 10% from March 31, 2016. The decline in assets of $7 billion from March 31, 2016 primarily consisted of divestitures and run-off. As of June 30, 2016, Citi had signed agreements to reduce Citi Holdings GAAP assets by $7 billion, subject to regulatory approvals and other closing conditions.
Also as of June 30, 2016, consumer assets in Citi Holdings were approximately $58 billion, or approximately 88% of Citi Holdings assets. Of the consumer assets, approximately $33 billion, or 57%, consisted of North America mortgages (residential first mortgages and home equity loans). As of June 30, 2016, Citi Holdings represented approximately 4% of Citi’s GAAP assets and 10% of its risk-weighted assets under Basel III (based on the Advanced Approaches for determining risk-weighted assets).
 Second Quarter% ChangeSix Months% Change
In millions of dollars, except as otherwise noted2016201520162015
Net interest revenue$549
$1,200
(54)%$1,146
$2,459
(53)%
Non-interest revenue294
769
(62)1,172
1,655
(29)
Total revenues, net of interest expense$843
$1,969
(57)%$2,318
$4,114
(44)%
Provisions for credit losses and for benefits and claims  

  

Net credit losses$102
$334
(69)%$245
$803
(69)%
Credit reserve release(224)(185)(21)(255)(357)29
Provision for loan losses$(122)$149
NM
$(10)$446
NM
Provision for benefits and claims29
160
(82)89
329
(73)
Release for unfunded lending commitments(5)2
NM
(7)(3)NM
Total provisions for credit losses and for benefits and claims$(98)$311
NM
$72
$772
(91)%
Total operating expenses$858
$1,362
(37)%$1,686
$2,747
(39)%
Income from continuing operations before taxes$83
$296
(72)%$560
$595
(6)%
Income taxes (benefits)(15)140
NM
115
289
(60)%
Income from continuing operations$98
$156
(37)%$445
$306
45 %
Noncontrolling interests5
—
NM
$6
$1
NM
Net income$93
$156
(40)%$439
$305
44 %
Total revenues, net of interest expense (excluding CVA/DVA)(1)






  

Total revenues—as reported$843
$1,969
(57)%$2,318
$4,114
(44)%
     CVA/DVA—
9
NM
—
5
NM
Total revenues-excluding CVA/DVA(1)
$843
$1,960
(57)%$2,318
$4,109
(44)%
Balance sheet data (in billions of dollars)
     

Average assets$71
$126
(44)%$75
$130
(42)%
Return on average assets0.53%0.50% 1.18%0.47%

Efficiency ratio102%69% 73%67%

Total EOP assets$66
$124
(47)  

Total EOP loans41
64
(35)  

Total EOP deposits6
12
(45)  


(1)Excludes CVA/DVA in the second quarter and six months of 2015, consistent with current period presentation. For additional information, see Notes 1 and 22 to the Consolidated Financial Statements.
NM Not meaningful



The discussion of the results of operations for Citi Holdings below excludes the impact of CVA/DVA for the second quarter and year-to-date 2015. Presentations of the results of operations, excluding the impact of CVA/DVA, are non-GAAP financial measures. For a reconciliation of these metrics to the reported results, see the table above.

2Q16 vs. 2Q15
Net income was $93 million, compared to $150 million in the prior-year period, primarily due to lower revenues, partially offset by lower expenses and lower cost of credit.
Revenues decreased 57%45%, driven by legacy asset run-off and divestiture activity, as well as the absence of gains related to debt buybacks in the prior-year period.
Expenses decreased 24%, primarily driven by the overall wind-down of the portfolio and lower net gains on asset sales in the current quarter.
Expenses declined 37%, primarily due to the ongoing decline in assets, partially offset by a modest increase in legal and related costs.legacy assets.
Provisions decreased $409 million35% to a net benefit of $98 million, driven by lower net credit losses and a higher net loan loss reserve release. Net credit losses declined 69%, primarily due to divestiture activity and continued improvements in North America mortgages. The net reserve release increased 25% to $229$132 million, primarily due to the impact of asset sales in the current quarter.


2016 YTD vs. 2015 YTD
Net income increased 45% to $439 million, primarily due to lower expenses and lower net credit losses, partially offset by lower revenues and a lower net loan loss reserve release.
Revenues decreased 44%, primarily driven by the overall wind-down of the portfolio, partially offset by higher net gains on asset sales.
Expenses declined 39%, primarily due to the ongoing decline in assets and lower legal and related costs, partially offset by higher repositioning costs.
Provisions decreased 91%, driven by lower net credit losses, partially offset by a lower net loan loss reserve release. Net credit losses declined 69%76% to $24 million, reflecting the impact of ongoing divestiture activity. The provision for benefits and claims declined by $29 million to $0, reflecting continued legacy divestitures. The net reserve release declined 32%, reflecting the continued wind-down of legacy activities, primarily in the North America mortgage portfolio. Citi expects that cost of credit in Corporate/Other should be moderately higher in the near term due to normalization of credit costs.






2017 YTD vs. 2016 YTD
Year-to-date, Corporate/Other has experienced similar trends to those described above. Net income declined 86% to $77 million, reflecting lower revenues, partially offset by lower expenses and lower cost of credit.
Revenues decreased 42%, primarily duedriven by the same factors described above and lower revenue from treasury hedging activity. Revenues in the current period included approximately $750 million in gains on asset sales, which more than offset a roughly $300 million charge related to overall lower asset levelsthe exit of Citi’s U.S. mortgage servicing operations.
Expenses decreased 18%, driven by the same factors described above, partially offset by approximately $100 million in episodic expenses primarily related to the exit of the U.S. mortgage servicing operations.
Provisions decreased by $152 million, driven by the same factors described above. Net credit losses declined 57% to $105 million, reflecting the impact of ongoing divestiture activity as well as continued improvementswind-down in the legacy North America mortgages.mortgage portfolio. The provision for benefits and claims declined by $88 million, reflecting continued legacy divestitures. The net reserve release decreased 27% to $262 million, primarily due todeclined 28%, driven by the impact of asset sales.same factors described above.





OFF-BALANCE SHEET ARRANGEMENTS

The table below shows wherethe location of a discussion of Citi’s various off-balance sheet arrangements may be found in this Form 10-Q. For additional information on Citi’s off-balance sheet arrangements, see “Off-Balance Sheet Arrangements” and Notes 1, 2221 and 2726 to the Consolidated Financial Statements in Citigroup’s 20152016 Annual Report on Form 10-K.
Types of Off-Balance Sheet Arrangements Disclosures in this Form 10-Q
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEsSee Note 2018 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitmentsSee Note 2422 to the Consolidated Financial Statements.
GuaranteesSee Note 2422 to the Consolidated Financial Statements.



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 the second quarter of 2016, consistent with the planned optimization of its capital structure, Citi issued noncumulative perpetual preferred stock amounting to $1.5 billion, resulting in a total of approximately $19.3 billion outstanding as of June 30, 2016. In addition, during the second quarter of 2016, Citi returned a total of approximately $1.5 billion of capital to common shareholders in the form of share repurchases (approximately 30 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 the second quarter of 2017, Citi returned a total of approximately $2.2 billion of capital to common shareholders in the form of share repurchases (approximately 29 million common shares) and dividends.
Capital Management
Citi’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. For additional information regarding Citi’s capital management, see “Capital Resources—Capital Management” in Citigroup’s 20152016 Annual Report on Form 10-K.

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: Thethe Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST). For additional information regarding Citi’s capital planning and stress testing, including potential changes in Citi’s regulatory capital requirements and future CCAR processes, see “Forward-Looking Statements” below and “Capital Resources—Current Regulatory Capital Standards—Capital Planning and Stress Testing” and “Risk Factors—RegulatoryStrategic Risks” in Citigroup’s 20152016 Annual Report on Form 10-K.
In June 2016,2017, the Federal Reserve Board expressed no objection to Citi’s capital plan, including requested capital actions, in conjunction with the 2016 CCAR (for2017 CCAR. For additional information, see “Equity Security Repurchases” and “Dividends” below).below.




 
Current Regulatory Capital Standards
Citi is subject to regulatory capital standards issued by the Federal Reserve Board which constitute the U.S. Basel III rules. These rules establish an integrated capital adequacy framework, encompassing both risk-based capital ratios and leverage ratios. For additional information regarding the risk-based capital ratios, Tier 1 Leverage ratio and Supplementary Leverage ratio, see “Capital Resources—Current Regulatory Capital Standards” in Citigroup’s 20152016 Annual Report on Form 10-K.

GSIB Surcharge
The Federal Reserve Board also adopted a rule whichthat 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. GSIB surcharges under the rule initially range from 1.0%1% to 4.5% of total risk-weighted assets. Citi’s initial GSIB surcharge effective January 1, 2016 iswas 3.5%. However, Citi’songoing efforts in addressing quantitative measures of its systemic importance have resulted in a reduction of Citi’s estimated GSIB surcharge to 3%, effective January 1, 2017. For additional information regarding the identification of a GSIB and the methodology for annually determining the GSIB surcharge, see “Capital Resources—Current Regulatory Capital Standards—GSIB Surcharge” in Citigroup’s 20152016 Annual Report on Form 10-K.

Transition Provisions
The U.S. Basel III rules contain several differing, largely multi-year transition provisions (i.e., “phase-ins” and “phase-outs”). Citi considers all of these transition provisions as being fully implemented on January 1, 2019 (full implementation). For additional information regarding the transition provisions under the U.S. Basel III rules, including with respect to the GSIB surcharge, see “Capital Resources—Current Regulatory Capital Standards—Transition Provisions” in Citigroup’s 20152016 Annual Report on Form 10-K.



















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% and 8%, 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% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), are 7.25%, 8.75% and 10.75%, respectively. Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2016, inclusive of the 25% phase-in of both the 2.5% Capital Conservation Buffer and the 3.5% GSIB surcharge (all of which is to be
composed of Common Equity Tier 1 Capital), arewere 6%, 7.5%, and 9.5%, respectively. Citi’s effective and stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2015 were equivalent at 4.5%, 6%, and 8%, 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%, a Total Capital ratio of at least 10%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels.
The following table setstables set forth the capital tiers, total risk-weighted assets, 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 June 30, 20162017 and December 31, 2015.2016.


Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
June 30, 2016 December 31, 2015June 30, 2017December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized ApproachAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$171,594
$171,594
 $173,862
$173,862
$163,786
$163,786
$167,378
$167,378
Tier 1 Capital181,282
181,282
 176,420
176,420
179,544
179,544
178,387
178,387
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
206,163
218,860
 198,746
211,115
204,790
216,927
202,146
214,938
Total Risk-Weighted Assets1,204,218
1,152,635
 1,190,853
1,138,711
1,157,670
1,163,894
1,166,764
1,126,314
Credit Risk(1)
$755,530
$1,086,259
$773,483
$1,061,786
Market Risk77,140
77,635
64,006
64,528
Operational Risk325,000
—
329,275
—
Common Equity Tier 1 Capital ratio(2)
14.25%14.89% 14.60%15.27%14.15%14.07%14.35%14.86%
Tier 1 Capital ratio(2)
15.05
15.73
 14.81
15.49
15.51
15.43
15.29
15.84
Total Capital ratio(2)
17.12
18.99
 16.69
18.54
17.69
18.64
17.33
19.08
In millions of dollars, except ratiosJune 30, 2016 December 31, 2015June 30, 2017December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,754,048
  $1,732,933
 $1,815,196
 $1,768,415
Total Leverage Exposure(4)
 2,332,632
  2,326,072
 2,421,852
 2,351,883
Tier 1 Leverage ratio 10.34%  10.18% 9.89% 10.09%
Supplementary Leverage ratio 7.77
  7.58
 7.41
 7.58

(1)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.
(2)As of June 30, 2017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2016, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s risk-based capital ratios at June 30, 2017 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of June 30, 2017.





Components of Citigroup Capital Under Current Regulatory Standards (Basel III Transition Arrangements)
In millions of dollarsJune 30,
2017		December 31, 2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$210,950
$206,051
Add: Qualifying noncontrolling interests212
259
Regulatory Capital Adjustments and Deductions:  
Less: Net unrealized losses on securities available-for-sale (AFS), net of tax(2)(3)
(20)(320)
Less: Defined benefit plans liability adjustment, net of tax(3)
(1,062)(2,066)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(4)
(445)(560)
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(3)(5)
(233)(37)
Less: Intangible assets:  
Goodwill, net of related deferred tax liabilities (DTLs)(6)
21,589
20,858
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
   DTLs(3)
3,670
2,926
Less: Defined benefit pension plan net assets(3)
637
514
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and
   general business credit carry-forwards(3)(7)
16,666
12,802
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs(3)(7)(8)
6,574
4,815
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$163,786
$167,378
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$19,069
$19,069
Qualifying trust preferred securities(9)
1,374
1,371
Qualifying noncontrolling interests134
17
Regulatory Capital Adjustment and Deductions:  
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(3)(5)
(58)(24)
Less: Defined benefit pension plan net assets(3)
159
343
Less: DTAs arising from net operating loss, foreign tax credit and
   general business credit carry-forwards(3)(7)
4,166
8,535
Less: Permitted ownership interests in covered funds(10)
495
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
57
61
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$15,758
$11,009
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Standardized Approach and Advanced Approaches)
$179,544
$178,387
Tier 2 Capital  
Qualifying subordinated debt$23,642
$22,818
Qualifying trust preferred securities(12)
324
317
Qualifying noncontrolling interests39
22
Eligible allowance for credit losses(13)
13,433
13,452
Regulatory Capital Adjustment and Deduction:  
Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital2
3
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
57
61
Total Tier 2 Capital (Standardized Approach)$37,383
$36,551
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$216,927
$214,938
Adjustment for excess of eligible credit reserves over expected credit losses(13)
$(12,137)$(12,792)
Total Tier 2 Capital (Advanced Approaches)

$25,246
$23,759
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$204,790
$202,146

Footnotes are presented on the following page.



(1)Issuance costs of $184 million related to noncumulative perpetual preferred stock outstanding at June 30, 2017 and December 31, 2016 are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. generally accepted accounting principles (GAAP).
(2)In addition, includes the net amount of unamortized loss on held-to-maturity (HTM) securities. This amount relates to securities that were previously transferred from AFS to HTM, and non-credit-related factors such as changes in interest rates and liquidity spreads for HTM securities with other-than-temporary impairment.
(3)The transition arrangements for significant regulatory capital adjustments and deductions impacting Common Equity Tier 1 Capital and Additional Tier 1 Capital are set forth in the chart entitled “Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions,” as presented in Citigroup’s 2016 Annual Report on Form 10-K.
(4)
Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in Accumulated other comprehensive income (loss) (AOCI) that relate to the hedging of items not recognized at fair value on the balance sheet.
(5)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital and Additional Tier 1 Capital, in accordance with the U.S. Basel III rules.
(6)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(7)Of Citi’s approximately $45.8 billion of net DTAs at June 30, 2017, approximately $19.8 billion were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $26.0 billion were excluded. Excluded from Citi’s regulatory capital at June 30, 2017 was approximately $27.4 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 approximately $23.2 billion were deducted from Common Equity Tier 1 Capital and approximately $4.2 billion were deducted from Additional Tier 1 Capital, reduced by approximately $1.4 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 deducted from both Common Equity Tier 1 Capital and Additional Tier 1 Capital under the transition arrangements of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted in full from Common Equity Tier 1 Capital under these rules, if in excess of 10%/15% limitations.
(8)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At June 30, 2017 and December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $6.6 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at June 30, 2017. Changes to the U.S. corporate tax regime that impact the value of Citi’s DTAs arising from temporary differences, which exceed the then current amount deducted from Citi’s Common Equity Tier 1 Capital, would further reduce Citi’s regulatory capital to the extent of such excess after tax. For additional information regarding potential U.S. corporate tax reform, see “Risk Factors—Strategic Risks” in Citigroup’s 2016 Annual Report on Form 10-K.
(9)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(10)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)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 January 1, 2016, non-grandfathered trust preferred securities are not eligible for inclusion in Tier 1 Capital, but are eligible for inclusion in Tier 2 Capital subject to full phase-out by January 1, 2022. Non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 50% and 60% during 2017 and 2016, respectively, of the aggregate outstanding principal amounts of such issuances as of January 1, 2014, in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules.
(13)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 $1.3 billion and $0.7 billion at June 30, 2017 and December 31, 2016, respectively.


Citigroup Capital Rollforward Under Current Regulatory Standards (Basel III Transition Arrangements)
In millions of dollarsThree Months Ended   June 30, 2017Six Months Ended     June 30, 2017
Common Equity Tier 1 Capital, beginning of period(1)
$161,388
$167,378
Net income3,872
7,962
Common and preferred stock dividends declared(765)(1,511)
Net increase in treasury stock(1,762)(3,699)
Net change in common stock and additional paid-in capital184
(245)
Net decrease in foreign currency translation adjustment net of hedges, net of tax643
1,961
Net change in unrealized losses on securities AFS, net of tax(22)397
Net increase in defined benefit plans liability adjustment, net of tax(108)(1,151)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
11
52
Net increase in goodwill, net of related DTLs(141)(731)
Net change in identifiable intangible assets other than MSRs, net of related DTLs120
(744)
Net change in defined benefit pension plan net assets32
(123)
Net change in DTAs arising from net operating loss, foreign tax credit and
    general business credit carry-forwards
196
(3,864)
Net change in excess over 10%/15% limitations for other DTAs, certain common
    stock investments and MSRs
123
(1,759)
Other15
(137)
Net change in Common Equity Tier 1 Capital$2,398
$(3,592)
Common Equity Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$163,786
$163,786
Additional Tier 1 Capital, beginning of period$15,439
$11,009
Net increase in qualifying trust preferred securities2
3
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
23
34
Net decrease in defined benefit pension plan net assets8
184
Net decrease in DTAs arising from net operating loss, foreign tax credit and
    general business credit carry-forwards
49
4,369
Net decrease in permitted ownership interests in covered funds123
38
Other114
121
Net increase in Additional Tier 1 Capital$319
$4,749
Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$179,544
$179,544
Tier 2 Capital, beginning of period (Standardized Approach)$36,976
$36,551
Net increase in qualifying subordinated debt364
824
Net increase in qualifying trust preferred securities5
7
Net change in eligible allowance for credit losses26
(19)
Other12
20
Net increase in Tier 2 Capital (Standardized Approach)$407
$832
Tier 2 Capital, end of period (Standardized Approach)$37,383
$37,383
Total Capital, end of period (Standardized Approach)$216,927
$216,927
   
Tier 2 Capital, beginning of period (Advanced Approaches)$24,396
$23,759
Net increase in qualifying subordinated debt364
824
Net increase in qualifying trust preferred securities5
7
Net increase in excess of eligible credit reserves over expected credit losses469
636
Other12
20
Net increase in Tier 2 Capital (Advanced Approaches)$850
$1,487
Tier 2 Capital, end of period (Advanced Approaches)$25,246
$25,246
Total Capital, end of period (Advanced Approaches)$204,790
$204,790

Footnote is presented on the following page.


(1)
The beginning balance of Common Equity Tier 1 Capital for the three months ended June 30, 2017 has been restated to reflect the modified retrospective adoption of Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities held at a premium. For additional information regarding ASU 2017-08, see Note 1 to the Consolidated Financial Statements.

Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Standardized Approach with Transition Arrangements)
In millions of dollarsThree Months Ended 
 June 30, 2017		Six Months Ended  
  June 30, 2017
 Total Risk-Weighted Assets, beginning of period$1,142,559
$1,126,314
Changes in Credit Risk-Weighted Assets  
Net increase in general credit risk exposures(1)
20,345
13,643
Net increase in repo-style transactions418
6,988
Net decrease in securitization exposures(2,096)(2,054)
Net increase in equity exposures212
747
Net change in over-the-counter (OTC) derivatives2,277
(1,080)
Net increase in other exposures(2)
7
2,907
Net change in off-balance sheet exposures(3)
(4,937)3,322
Net increase in Credit Risk-Weighted Assets$16,226
$24,473
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(4)
$5,138
$15,890
Net decrease due to model and methodology updates(5)
(29)(2,783)
Net increase in Market Risk-Weighted Assets$5,109
$13,107
Total Risk-Weighted Assets, end of period$1,163,894
$1,163,894

(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three and six months ended June 30, 2017 primarily due to corporate loan growth.
(2)Other exposures include cleared transactions, unsettled transactions, and other assets.
(3)Off-balance sheet exposures decreased during the three months ended June 30, 2017 primarily due to the change in risk-weighting treatment applicable to certain corporate card commitments. Off-balance sheet exposures increased during the six months ended June 30, 2017, as the growth in corporate exposures and reduced hedging benefits during the first quarter of 2017 more than offset the decline in off-balance sheet exposures during the second quarter of 2017.
(4)Risk levels increased during the three and six months ended June 30, 2017 primarily due to an increase in exposure levels subject to Stressed Value at Risk and comprehensive risk, as well as an increase in positions subject to securitization charges.
(5)Risk-weighted assets declined during the six months ended June 30, 2017 due to changes in model inputs regarding volatility, as well as methodology changes for standard specific risk charges.



Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended   June 30, 2017Six Months Ended     June 30, 2017
 Total Risk-Weighted Assets, beginning of period$1,166,181
$1,166,764
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(1)
(4,343)(8,655)
Net change in wholesale exposures(2)
(4,029)416
Net increase in repo-style transactions199
2
Net decrease in securitization exposures(1,880)(2,115)
Net increase in equity exposures134
599
Net decrease in over-the-counter (OTC) derivatives(1,898)(6,097)
Net decrease in derivatives CVA(39)(1,100)
Net change in other exposures(3)
1,636
(49)
Net decrease in supervisory 6% multiplier(4)
(611)(954)
Net decrease in Credit Risk-Weighted Assets$(10,831)$(17,953)
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(5)
$4,922
$15,917
Net decrease due to model and methodology updates(6)
(29)(2,783)
Net increase in Market Risk-Weighted Assets$4,893
$13,134
Net decrease in Operational Risk-Weighted Assets(7)
$(2,573)$(4,275)
Total Risk-Weighted Assets, end of period$1,157,670
$1,157,670

(1)Retail exposures decreased during the three and six months ended June 30, 2017 primarily due to residential mortgage loan sales and repayments, divestitures of certain legacy assets and reductions in qualifying revolving (cards) exposures, partially offset by the impact of FX translation.
(2)Wholesale exposures decreased during the three months ended June 30, 2017 primarily due to annual updates to model parameters. Wholesale exposures increased during the six months ended June 30, 2017 primarily due to increases in commercial loans and loan commitments, as well as the impact of FX translation.
(3)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories, and non-material portfolios.
(4)Supervisory 6% multiplier does not apply to derivatives CVA.
(5)Risk levels increased during the three and six months ended June 30, 2017 primarily due to an increase in exposure levels subject to Stressed Value at Risk and comprehensive risk, as well as an increase in positions subject to securitization charges.
(6)Risk-weighted assets declined during the six months ended June 30, 2017 due to changes in model inputs regarding volatility, as well as methodology changes for standard specific risk charges.
(7)Operational risk-weighted assets decreased during the three and six months ended June 30, 2017 due to quarterly updates to model parameters.



Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions Under Current Regulatory Standards
Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
During 2017, Citi’s primary subsidiary U.S. depository institution, Citibank, N.A. (Citibank), is subject to effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios, inclusive of the 50% phase-in of the 2.5% Capital Conservation Buffer, of 5.75%, 7.25% and 9.25%, respectively. Citibank’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total
Capital ratios during 2016, inclusive of the 25% phase-in of the 2.5% Capital Conservation Buffer, were 5.125%, 6.625% and 8.625%, respectively. Citibank is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6% and 8%, respectively.
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 June 30, 2017 and December 31, 2016.
Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
 June 30, 2017December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$127,728
$127,728
$126,220
$126,220
Tier 1 Capital129,099
129,099
126,465
126,465
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
142,010
152,802
138,821
150,291
Total Risk-Weighted Assets963,668
1,029,517
973,933
1,001,016
Common Equity Tier 1 Capital ratio(2)(3)
13.25%12.41%12.96%12.61%
Tier 1 Capital ratio(2)(3)
13.40
12.54
12.99
12.63
Total Capital ratio(2)(3)
14.74
14.84
14.25
15.01
In millions of dollars, except ratiosJune 30, 2017December 31, 2016
Quarterly Adjusted Average Total Assets(4)
 $1,376,154
 $1,333,161
Total Leverage Exposure(5) 
 1,917,020
 1,859,394
Tier 1 Leverage ratio(3)
 9.38% 9.49%
Supplementary Leverage ratio 6.73
 6.80

(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.
(2)As of June 30, 20162017 and December 31, 2015, Citi’s2016, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach. As of June 30, 2017 and December 31, 2016, Citibank’s reportable Total Capital ratios wereratio was the lower derived under the Basel III Advanced Approaches framework.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.

As indicated in the table above, Citigroup’s capital ratios at June 30, 2016 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of June 30, 2016.






Components of Citigroup Capital Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsJune 30,
2016		December 31, 2015
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$212,819
$205,286
Add: Qualifying noncontrolling interests277
369
Regulatory Capital Adjustments and Deductions:  
Less: Net unrealized gains (losses) on securities available-for-sale (AFS), net of tax(2)(3)
822
(544)
Less: Defined benefit plans liability adjustment, net of tax(3)
(2,243)(3,070)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(4)
(149)(617)
Less: Cumulative unrealized net gain related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(3)(5)
344
176
Less: Intangible assets:  
Goodwill, net of related deferred tax liabilities (DTLs)(6)
21,854
21,980
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
   DTLs(3)(7)
3,215
1,434
Less: Defined benefit pension plan net assets(3)
578
318
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(3)(8)
13,765
9,464
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs(3)(8)(9)
3,316
2,652
Total Common Equity Tier 1 Capital$171,594
$173,862
Additional Tier 1 Capital  
Qualifying perpetual preferred stock(1)
$19,069
$16,571
Qualifying trust preferred securities(10)
1,368
1,707
Qualifying noncontrolling interests17
12
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(3)(5)
230
265
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
184
229
Less: Defined benefit pension plan net assets(3)
386
476
Less: DTAs arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(3)(8)
9,177
14,195
Less: Permitted ownership interests in covered funds(12)
789
567
Total Additional Tier 1 Capital$9,688
$2,558
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$181,282
$176,420
Tier 2 Capital  
Qualifying subordinated debt(13)
$23,701
$21,370
Qualifying trust preferred securities(10)
328
—
Qualifying noncontrolling interests23
17
Excess of eligible credit reserves over expected credit losses(14)
1,011
1,163
Regulatory Capital Adjustment and Deduction:  
Add: Unrealized gains on AFS equity exposures includable in Tier 2 Capital2
5
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
184
229
Total Tier 2 Capital$24,881
$22,326
Total Capital (Tier 1 Capital + Tier 2 Capital)$206,163
$198,746


Citigroup Risk-Weighted Assets Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsJune 30,
2016		December 31, 2015
Credit Risk(15)
$809,540
$791,036
Market Risk69,678
74,817
Operational Risk325,000
325,000
Total Risk-Weighted Assets$1,204,218
$1,190,853

(1)Issuance costs of $184 million and $147 million related to preferred stock outstanding at June 30, 2016 and December 31, 2015, 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.
(2)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.
(3)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 in the chart entitled “Basel III Transition Arrangements: Significant Regulatory Capital Adjustments and Deductions”, as presented in Citigroup’s 2015 Annual Report on Form 10-K.
(4)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.
(5)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected and own-credit valuation adjustments on derivatives are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules.
(6)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.
(7)Identifiable intangible assets other than MSRs increased by approximately $2.2 billion during the second quarter of 2016 as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines. For additional information, see Note 16 to the Consolidated Financial Statements.
(8)Of Citi’s approximately $45.4 billion of net DTAs at June 30, 2016, approximately $20.9 billion of such assets were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $24.5 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 $17.1 billion were deducted from Common Equity Tier 1 Capital and $9.2 billion were deducted from Additional Tier 1 Capital. Serving to reduce the approximately $26.3 billion of aggregate excluded net DTAs was approximately $1.8 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.
(9)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At June 30, 2016 and December 31, 2015, 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 Tier 1 Capital during 2015 in an amount up to 25% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014. The remaining 75% of non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital during 2015 in accordance with the transition arrangements for non-qualifying capital instruments under the U.S. Basel III rules. As of December 31, 2015, 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. Effective January 1, 2016, non-grandfathered trust preferred securities are not eligible for inclusion in Tier 1 Capital, but are eligible for inclusion in Tier 2 Capital subject to full phase-out by January 1, 2022. During 2016, non-grandfathered trust preferred securities are eligible for inclusion in Tier 2 Capital in an amount up to 60% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014.
(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 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 up to 25% of the aggregate outstanding principal amounts of such issuances as of January 1, 2014. Effective January 1, 2016, non-qualifying subordinated debt issuances are not eligible for inclusion in Tier 2 Capital.
(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.


Citigroup Capital Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended June 30, 2016Six Months Ended 
  June 30, 2016
Common Equity Tier 1 Capital  
Balance, beginning of period$169,924
$173,862
Net income3,998
7,499
Common and preferred dividends declared(469)(828)
Net increase in treasury stock(1,315)(1,862)
Net change in common stock and additional paid-in capital(1)
147
(520)
Net change in foreign currency translation adjustment net of hedges, net of tax(552)102
Net increase in unrealized gains on securities AFS, net of tax556
1,595
Net increase in defined benefit plans liability adjustment, net of tax(16)(1,319)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
5
37
Net decrease in goodwill, net of related deferred tax liabilities (DTLs)81
126
Net increase in identifiable intangible assets other than mortgage servicing rights
    (MSRs), net of related DTLs
(1,216)(1,781)
Net increase in defined benefit pension plan net assets(56)(260)
Net change in deferred tax assets (DTAs) arising from net operating loss, foreign
    tax credit and general business credit carry-forwards
283
(4,301)
Net change in excess over 10%/15% limitations for other DTAs, certain common stock
    investments and MSRs
244
(664)
Other(20)(92)
Net change in Common Equity Tier 1 Capital$1,670
$(2,268)
Common Equity Tier 1 Capital Balance, end of period$171,594
$171,594
Additional Tier 1 Capital  
Balance, beginning of period$8,167
$2,558
Net increase in qualifying perpetual preferred stock(1)
1,494
2,498
Net change in qualifying trust preferred securities2
(339)
Net change in adjustment related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax(5)35
Net change in defined benefit pension plan net assets(38)90
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
    business credit carry-forwards
189
5,018
Net increase in permitted ownership interests in covered funds(164)(222)
Other43
50
Net increase in Additional Tier 1 Capital$1,521
$7,130
Tier 1 Capital Balance, end of period$181,282
$181,282
Tier 2 Capital  
Balance, beginning of period$23,567
$22,326
Net increase in qualifying subordinated debt1,037
2,331
Net change in qualifying trust preferred securities(9)328
Net change in excess of eligible credit reserves over expected credit losses245
(152)
Other41
48
Net increase in Tier 2 Capital$1,314
$2,555
Tier 2 Capital Balance, end of period$24,881
$24,881
Total Capital (Tier 1 Capital + Tier 2 Capital)$206,163
$206,163

(1)During the three months and six months ended June 30, 2016, Citi issued $1.5 billion and approximately $2.5 billion of qualifying perpetual preferred stock with issuance costs of $6 million and $37 million, respectively. In accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP, such issuance costs are excluded from common stockholders’ equity and netted against preferred stock.






Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree Months Ended June 30, 2016Six Months Ended 
  June 30, 2016
 Total Risk-Weighted Assets, beginning of period$1,210,107
$1,190,853
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(1)
(1,278)(9,192)
Net increase in wholesale exposures(2)
1,335
3,724
Net change in repo-style transactions(3,218)635
Net decrease in securitization exposures(2,154)(468)
Net change in equity exposures(189)402
Net increase in over-the-counter (OTC) derivatives(3)
2,148
9,686
Net increase in derivatives CVA(4)
1,854
12,774
Net increase in other exposures(5)
3,288
619
Net change in supervisory 6% multiplier(6)
(4)324
Net increase in Credit Risk-Weighted Assets$1,782
$18,504
Changes in Market Risk-Weighted Assets  
Net decrease in risk levels(7)
$(7,741)$(2,437)
Net change due to model and methodology updates(8)
70
(2,702)
Net decrease in Market Risk-Weighted Assets$(7,671)$(5,139)
Net change in Operational Risk-Weighted Assets$—
$—
Total Risk-Weighted Assets, end of period$1,204,218
$1,204,218

(1)Retail exposures decreased during the three months ended June 30, 2016, in part, due to residential mortgage loan sales and repayments, divestitures of certain Citi Holdings portfolios, and the impact of FX translation. Retail exposures decreased during the six months ended June 30, 2016, in part, due to residential mortgage loan sales and repayments, divestitures of certain Citi Holdings portfolios and reductions in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments. In addition, retail exposures for both the three and six months ended June 30, 2016 also reflect the acquisition of the Costco cards portfolio.
(2)Wholesale exposures increased slightly during the three months ended June 30, 2016 primarily due to growth in commercial loans, partially offset by the impact of FX translation. Wholesale exposures increased during the six months ended June 30, 2016 primarily due to increases in securities AFS and commercial loans, partially offset by a decrease in loan commitments.
(3)OTC derivatives increased during the three months ended June 30, 2016 primarily due to changes in fair value. OTC derivatives increased during the six months ended June 30, 2016 primarily driven by increased trade volume and model enhancements.
(4)Derivatives CVA increased during the three months ended June 30, 2016 primarily driven by volatility and rating changes. Derivatives CVA increased during the six months ended June 30, 2016 primarily driven by increased volatility and model enhancements.
(5)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios.
(6)Supervisory 6% multiplier does not apply to derivatives CVA.
(7)Risk levels decreased during the three and six months ended June 30, 2016 primarily due to a reduction in exposure levels subject to comprehensive risk, a reduction in positions subject to securitization charges, and the ongoing assessment regarding the applicability of the market risk capital rules to certain securitization positions, partially offset by an increase in assets subject to standard specific risk charges. In addition, further contributing to the decline in risk levels during the three months ended June 30, 2016 was a reduction in exposure levels subject to Value at Risk and Stressed Value at Risk.
(8)Risk-weighted assets declined during the six months ended June 30, 2016 due to updated model volatility inputs.



Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions Under Current Regulatory Standards
Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
During 2016, 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 25% phase-in of the 2.5% Capital Conservation Buffer, of 5.125%, 6.625%
and 8.625%, respectively. Citibank’s effective and stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2015 were equivalent at 4.5%, 6%, and 8%, respectively.
The following table sets 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 June 30, 2016 and December 31, 2015.

Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
 June 30, 2016 December 31, 2015
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$128,824
$128,824
 $127,323
$127,323
Tier 1 Capital128,824
128,824
 127,323
127,323
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
140,147
151,297
 138,762
149,749
Total Risk-Weighted Assets923,797
1,016,761
 898,769
999,014
Common Equity Tier 1 Capital ratio(2)(3)
13.95%12.67% 14.17%12.74%
Tier 1 Capital ratio(2)(3)
13.95
12.67
 14.17
12.74
Total Capital ratio(2)(3)
15.17
14.88
 15.44
14.99
In millions of dollars, except ratiosJune 30, 2016 December 31, 2015
Quarterly Adjusted Average Total Assets(4)
 $1,326,486
  $1,298,560
Total Leverage Exposure(5) 
 1,856,908
  1,838,941
Tier 1 Leverage ratio(3)
 9.71%  9.80%
Supplementary Leverage ratio 6.94
  6.92

(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.
(2)As of June 30, 2016 and 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.
(3)Beginning January 1, 2015, 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” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. For additional information, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework” in Citigroup’s 20152016 Annual Report on Form 10-K.
(4)Tier 1 Leverage ratio denominator.
(5)Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s risk-based capital ratios at June 30, 20162017 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of
June 30, 20162017 under the revised PCA regulations, which became effective January 1, 2015.




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 June 30, 2016.2017.
 
This information is provided for the purpose of analyzing the impact that a change in Citigroup’s or Citibank’s financial position or results of operations could have on these ratios. These sensitivities only consider a single change to either a component of capital, risk-weighted assets, quarterly adjusted average total assets or Total Leverage Exposure. Accordingly, an event that affects more than one factor may have a larger basis point impact than is reflected in these tables.



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 Approaches0.81.20.81.30.81.40.91.20.91.30.91.5
Standardized Approach0.91.30.91.40.91.60.91.20.91.30.91.6
Citibank            
Advanced Approaches1.11.51.11.51.11.61.01.41.01.41.01.5
Standardized Approach1.01.21.01.21.01.51.01.21.01.21.01.4

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
Citigroup0.60.60.40.30.60.50.40.3
Citibank0.80.70.50.40.70.70.50.4

Citigroup Broker-Dealer Subsidiaries
At June 30, 2016,2017, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of approximately $8.1$10.7 billion, which exceeded the minimum requirement by approximately $6.5$8.8 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 $17.8approximately $17.5 billion at June 30, 2016,2017, which exceeded the PRA's minimum regulatory capital requirements.




 
In addition, certain of Citi’s other broker-dealer
subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other broker-dealer subsidiaries were in compliance with
their regulatory capital requirements at June 30, 2016.

2017.













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, inclusive of the 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%, as well as assuming aan expected 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 table setstables 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 June 30, 20162017 and December 31, 2015.2016.

At June 30, 2017, Citi’s constraining Common Equity Tier 1 Capital and Tier 1 Capital ratios were those derived under the Basel III Standardized Approach, whereas Citi’s binding Total Capital ratio was that resulting from application of the Basel III Advanced Approaches. Further, each of Citi’s risk-based capital ratios was constrained by the Basel III Advanced Approaches for all prior periods.

Citigroup Capital Components and Ratios Under Basel III (Full Implementation)
 June 30, 2017December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$155,174
$155,174
$149,516
$149,516
Tier 1 Capital175,129
175,129
169,390
169,390
Total Capital (Tier 1 Capital + Tier 2 Capital)200,382
212,519
193,160
205,975
Total Risk-Weighted Assets1,183,399
1,188,167
1,189,680
1,147,956
   Credit Risk$781,259
$1,110,532
$796,399
$1,083,428
   Market Risk77,140
77,635
64,006
64,528
   Operational Risk325,000
—
329,275
—
Common Equity Tier 1 Capital ratio(1)(2)
13.11%13.06%12.57%13.02%
Tier 1 Capital ratio(1)(2)
14.80
14.74
14.24
14.76
Total Capital ratio(1)(2)
16.93
17.89
16.24
17.94
In millions of dollars, except ratiosJune 30, 2017December 31, 2016
Quarterly Adjusted Average Total Assets(3)
 $1,812,001
 $1,761,923
Total Leverage Exposure(4) 
 2,418,658
 2,345,391
Tier 1 Leverage ratio(2)
 9.66% 9.61%
Supplementary Leverage ratio(2)
 7.24
 7.22
 June 30, 2016 December 31, 2015
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$154,534
$154,534
 $146,865
$146,865
Tier 1 Capital174,027
174,027
 164,036
164,036
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
198,920
211,641
 186,097
198,655
Total Risk-Weighted Assets1,232,666
1,179,497
 1,216,277
1,162,884
Common Equity Tier 1 Capital ratio(2)(3)
12.54%13.10% 12.07%12.63%
Tier 1 Capital ratio(2)(3)
14.12
14.75
 13.49
14.11
Total Capital ratio(2)(3)
16.14
17.94
 15.30
17.08
In millions of dollars, except ratiosJune 30, 2016 December 31, 2015
Quarterly Adjusted Average Total Assets(4)
 $1,748,345
  $1,724,710
Total Leverage Exposure(5) 
 2,326,929
  2,317,849
Tier 1 Leverage ratio(3)
 9.95%  9.51%
Supplementary Leverage ratio(3)
 7.48
  7.08

(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.
(2)As of June 30, 20162017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework. As of December 31, 2015,2016, Citi’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(3)(2)Citi’s Basel III capital ratios and related components, on a fully implemented basis, are non-GAAP financial measures.
(4)(3)Tier 1 Leverage ratio denominator.
(5)(4)Supplementary Leverage ratio denominator.




Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 12.5%13.1% at June 30, 2016,2017, compared to 12.3%12.8% at March 31, 20162017 and 12.1%12.6% at December 31, 2015 (all based on application of the Advanced Approaches for determining total risk-weighted assets).2016. The quarter-over-quarter increase in the ratio was largelyprimarily due to quarterly net income of $4.0 billion, the favorable effects attributable to DTA utilization of approximately $0.9 billion, as well as a decline in market risk-weighted assets, offset in part by an increase in identifiable intangible assets other than MSRs, and the return of approximately $1.5 billion of capital to common shareholders. The increase in Citi’s Common Equity Tier 1 Capital ratio from year-end 2015 reflected continued growth in Common Equity Tier 1 Capital resulting from net income of $7.5 billion, the favorable effects attributable to DTA utilization of approximately $2.4$3.9 billion and beneficial net movements in AOCI, offset in part by the return of approximately $2.9$2.2 billion of capital to common shareholders, an increaseshareholders. The growth in credit risk-weighted assets,Citi’s Common Equity Tier 1 Capital ratio from year-end 2016 reflected continued growth in Common Equity Tier 1 Capital resulting from year-to-date net income of $8 billion and an increasebeneficial net movements in identifiable intangible assets other than MSRs.AOCI, offset in part by the return of approximately $4.5 billion of capital to common shareholders.




Components of Citigroup Capital Under Basel III (Advanced Approaches with Full(Full Implementation)
In millions of dollarsJune 30,
2016		December 31, 2015June 30,
2017		December 31, 2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$212,819
$205,286
$210,950
$206,051
Add: Qualifying noncontrolling interests134
145
143
129
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)
(149)(617)(445)(560)
Less: Cumulative unrealized net gain related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax(3)
574
441
Less: Cumulative unrealized net loss related to changes in fair value of
financial liabilities attributable to own creditworthiness, net of tax(3)
(291)(61)
Less: Intangible assets:  
Goodwill, net of related deferred tax liabilities (DTLs)(4)
21,854
21,980
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs(5)
5,358
3,586
Goodwill, net of related DTLs(4)
21,589
20,858
Identifiable intangible assets other than MSRs, net of related DTLs
4,587
4,876
Less: Defined benefit pension plan net assets964
794
796
857
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
business credit carry-forwards(6)
22,942
23,659
Less: DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards(5)
20,832
21,337
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
and MSRs(7)(6)
6,876
8,723
8,851
9,357
Total Common Equity Tier 1 Capital$154,534
$146,865
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$155,174
$149,516
Additional Tier 1 Capital  
Qualifying perpetual preferred stock(1)
$19,069
$16,571
Qualifying noncumulative perpetual preferred stock(1)
$19,069
$19,069
Qualifying trust preferred securities(8)(7)
1,368
1,365
1,374
1,371
Qualifying noncontrolling interests29
31
64
28
Regulatory Capital Deductions:  
Less: Permitted ownership interests in covered funds(8)
495
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
184
229
57
61
Less: Permitted ownership interests in covered funds(10)
789
567
Total Additional Tier 1 Capital$19,493
$17,171
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$174,027
$164,036
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$19,955
$19,874
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
(Standardized Approach and Advanced Approaches)
$175,129
$169,390
Tier 2 Capital  
Qualifying subordinated debt(11)
$23,701
$20,744
Qualifying trust preferred securities(12)
328
342
Qualifying subordinated debt$23,642
$22,818
Qualifying trust preferred securities(10)
324
317
Qualifying noncontrolling interests37
41
48
36
Excess of eligible credit reserves over expected credit losses(13)
1,011
1,163
Eligible allowance for credit losses(11)
13,433
13,475
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
184
229
57
61
Total Tier 2 Capital$24,893
$22,061
Total Capital (Tier 1 Capital + Tier 2 Capital)(14)
$198,920
$186,097
Total Tier 2 Capital (Standardized Approach)$37,390
$36,585
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$212,519
$205,975
Adjustment for excess of eligible credit reserves over expected credit losses(11)
$(12,137)$(12,815)
Total Tier 2 Capital (Advanced Approaches)

$25,253
$23,770
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$200,382
$193,160

(1)Issuance costs of $184 million and $147 million related to noncumulative perpetual preferred stock outstanding at June 30, 20162017 and December 31, 2015, respectively,2016 are excluded from common stockholders’ equity and netted against such preferred stock in accordance with Federal Reserve Board regulatory reporting requirements, which differ from those under U.S. GAAP.
(2)Common Equity Tier 1 Capital is adjusted for accumulated net unrealized gains (losses) on cash flow hedges included in AOCI that relate to the hedging of items not recognized at fair value on the balance sheet.
(3)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected and own-credit valuation adjustments on derivatives are excluded from Common Equity Tier 1 Capital, in accordance with the 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)Identifiable intangible assets other than MSRs increased by approximately $2.2 billion during the second quarter of 2016 as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines. For additional information, see Note 16 to the Consolidated Financial Statements.
(6)Of Citi’s approximately $45.4$45.8 billion of net DTAs at June 30, 2016,2017, approximately $17.4$17.6 billion of such assets were includable in regulatory capitalCommon Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while approximately $28.0$28.2 billion of such assets were excluded in arriving atexcluded. Excluded from Citi’s Common Equity Tier 1 Capital. Comprising the excluded net DTAsCapital at June 30, 2017 was an aggregatea total of approximately $29.8$29.7 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. Serving to reduce thereduced by approximately $29.8 billion of aggregate excluded net DTAs was approximately $1.8$1.5 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 fully deducted from Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules; whereas DTAs arising from temporary differences are deducted from Common Equity Tier 1 Capital, if in excess of 10%/15% limitations.


(7)(6)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At June 30, 20162017 and December 31, 2015, the2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $8.9 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at June 30, 2017. Changes to the U.S. corporate tax regime that impact the value of Citi’s DTAs arising from temporary differences, which exceed the then current amount deducted from Citi’s Common Equity Tier 1 Capital, would further reduce Citi’s regulatory capital to the extent of such excess after tax. For additional information regarding potential U.S. corporate tax reform, see “Risk Factors—Strategic Risks” in Citigroup’s 2016 Annual Report on Form 10-K.
(8)(7)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(9)(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.
(10)Effective July 2015, bankingBanking 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)(9)Non-qualifying subordinated debt issuances which consist50% of those with a fixed-to-floating rate step-up feature where the call/step-up date has not passed are excludedminimum regulatory capital requirements of insurance underwriting subsidiaries must be deducted from each of Tier 1 Capital and Tier 2 Capital.
(12)(10)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)(11)Advanced Approaches banking organizations are permitted to includeUnder the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.
(14)Total Capital as calculated under Advanced Approaches, which differs from the Standardized Approach in the treatment of the The total amount of eligible credit reserves includablein excess of expected credit losses that were eligible for inclusion in Tier 2 Capital.Capital, subject to limitation, under the Advanced Approaches framework was $1.3 billion and $0.7 billion at June 30, 2017 and December 31, 2016, respectively.










Citigroup Capital Rollforward Under Basel III (Advanced Approaches with Full(Full Implementation)
In millions of dollarsThree Months Ended June 30, 2016Six Months Ended 
  June 30, 2016
Common Equity Tier 1 Capital  
Balance, beginning of period$153,023
$146,865
Net income3,998
7,499
Common and preferred dividends declared(469)(828)
Net increase in treasury stock(1,315)(1,862)
Net change in common stock and additional paid-in capital(1)
147
(520)
Net change in foreign currency translation adjustment net of hedges, net of tax(552)102
Net increase in unrealized gains on securities AFS, net of tax927
2,961
Net increase in defined benefit plans liability adjustment, net of tax(27)(492)
Net change in adjustment related to changes in fair value of financial liabilities attributable to own creditworthiness, net of tax—
72
Net decrease in goodwill, net of related deferred tax liabilities (DTLs)81
126
Net increase in identifiable intangible assets other than mortgage servicing rights (MSRs), net of related DTLs(2,026)(1,772)
Net increase in defined benefit pension plan net assets(94)(170)
Net decrease in deferred tax assets (DTAs) arising from net operating loss, foreign
    tax credit and general business credit carry-forwards
472
717
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock
    investments and MSRs
378
1,847
Other(9)(11)
Net increase in Common Equity Tier 1 Capital$1,511
$7,669
Common Equity Tier 1 Capital Balance, end of period$154,534
$154,534
Additional Tier 1 Capital  
Balance, beginning of period$18,119
$17,171
Net increase in qualifying perpetual preferred stock(1)
1,494
2,498
Net increase in qualifying trust preferred securities2
3
Net increase in permitted ownership interests in covered funds(164)(222)
Other42
43
Net increase in Additional Tier 1 Capital$1,374
$2,322
Tier 1 Capital Balance, end of period$174,027
$174,027
Tier 2 Capital  
Balance, beginning of period$23,579
$22,061
Net increase in qualifying subordinated debt1,037
2,957
Net change in excess of eligible credit reserves over expected credit losses245
(152)
Other32
27
Net increase in Tier 2 Capital$1,314
$2,832
Tier 2 Capital Balance, end of period$24,893
$24,893
Total Capital (Tier 1 Capital + Tier 2 Capital)$198,920
$198,920
In millions of dollarsThree Months Ended   June 30, 2017Six Months Ended     June 30, 2017
Common Equity Tier 1 Capital, beginning of period(1)
$152,664
$149,516
Net income3,872
7,962
Common and preferred stock dividends declared(765)(1,511)
Net increase in treasury stock(1,762)(3,699)
Net change in common stock and additional paid-in capital184
(245)
Net decrease in foreign currency translation adjustment net of hedges, net of tax643
1,961
Net change in unrealized losses on securities AFS, net of tax(27)697
Net increase in defined benefit plans liability adjustment, net of tax(135)(147)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
34
86
Net increase in goodwill, net of related DTLs(141)(731)
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs151
289
Net decrease in defined benefit pension plan net assets40
61
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
    business credit carry-forwards
245
505
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock
    investments and MSRs
161
506
Other10
(76)
Net increase in Common Equity Tier 1 Capital$2,510
$5,658
Common Equity Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$155,174
$155,174
Additional Tier 1 Capital, beginning of period$19,791
$19,874
Net increase in qualifying trust preferred securities2
3
Net decrease in permitted ownership interests in covered funds123
38
Other39
$40
Net increase in Additional Tier 1 Capital$164
$81
Tier 1 Capital, end of period
    (Standardized Approach and Advanced Approaches)
$175,129
$175,129
Tier 2 Capital, beginning of period (Standardized Approach)$36,981
$36,585
Net increase in qualifying subordinated debt364
824
Net change in eligible allowance for credit losses26
(42)
Other19
23
Net increase in Tier 2 Capital (Standardized Approach)$409
$805
Tier 2 Capital, end of period (Standardized Approach)$37,390
$37,390
Total Capital, end of period (Standardized Approach)$212,519
$212,519
   
Tier 2 Capital, beginning of period (Advanced Approaches)$24,401
$23,770
Net increase in qualifying subordinated debt364
824
Net increase in excess of eligible credit reserves over expected credit losses469
636
Other19
23
Net increase in Tier 2 Capital (Advanced Approaches)$852
$1,483
Tier 2 Capital, end of period (Advanced Approaches)$25,253
$25,253
Total Capital, end of period (Advanced Approaches)$200,382
$200,382

(1)During
The beginning balance of Common Equity Tier 1 Capital for the three months and six months ended June 30, 2016, Citi issued $1.5 billion2017 has been restated to reflect the modified retrospective adoption of Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and approximately $2.5 billion of qualifying perpetual preferred stock with issuance costs of $6 million and $37 million, respectively. In accordance with Federal Reserve Board regulatory reporting requirements,Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which differ from those under U.S. GAAP, such issuance costs are excluded from common stockholders’ equity and netted against preferred stock.amends the amortization period for certain purchased callable debt securities held at a premium. For additional information regarding ASU 2017-08, see Note 1 to the Consolidated Financial Statements.










Citigroup Risk-Weighted Assets Under BaselRollforward (Basel III (FullStandardized Approach with Full Implementation) at June 30, 2016
 Advanced Approaches Standardized Approach
In millions of dollarsCiticorpCiti HoldingsTotal CiticorpCiti HoldingsTotal
Credit Risk$766,959
$71,029
$837,988
 $1,043,206
$66,018
$1,109,224
Market Risk68,581
1,097
69,678
 69,043
1,230
70,273
Operational Risk275,921
49,079
325,000
 —
—
—
Total Risk-Weighted Assets$1,111,461
$121,205
$1,232,666
 $1,112,249
$67,248
$1,179,497
In millions of dollarsThree Months Ended 
 June 30, 2017		Six Months Ended  
  June 30, 2017
 Total Risk-Weighted Assets, beginning of period$1,166,409
$1,147,956
Changes in Credit Risk-Weighted Assets  
Net increase in general credit risk exposures(1)
20,345
13,643
Net increase in repo-style transactions418
6,988
Net decrease in securitization exposures(2,096)(2,054)
Net increase in equity exposures225
836
Net change in over-the-counter (OTC) derivatives2,277
(1,080)
Net increase in other exposures(2)
417
5,449
Net change in off-balance sheet exposures(4,937)3,322
Net increase in Credit Risk-Weighted Assets$16,649
$27,104
Changes in Market Risk-Weighted Assets  
Net increase in risk levels$5,138
$15,890
Net decrease due to model and methodology updates(29)(2,783)
Net increase in Market Risk-Weighted Assets$5,109
$13,107
Total Risk-Weighted Assets, end of period$1,188,167
$1,188,167

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$731,515
$84,945
$816,460
 $1,008,951
$78,748
$1,087,699
Market Risk70,701
4,116
74,817
 71,015
4,170
75,185
Operational Risk275,921
49,079
325,000
 —
—
—
Total Risk-Weighted Assets$1,078,137
$138,140
$1,216,277
 $1,079,966
$82,918
$1,162,884

Total risk-weighted assets under both the Basel III Advanced Approaches and the Standardized Approach increased from year-end 2015 due to an increase in credit risk-weighted assets, partially offset by a decrease in market risk-weighted assets. The growth in credit
risk-weighted assets resulted from higher derivative exposures, and a net increase in cards exposures arising from the acquisition of the Costco portfolio, which was offset in part by residential mortgage loan sales and repayments, as well as divestitures of certain Citi Holdings portfolios. In addition, further contributing to the increase in credit risk-weighted assets under the Advanced Approaches were model enhancements related to OTC derivatives and derivatives CVA.


















































(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases.
(2)Other exposures include cleared transactions, unsettled transactions, and other assets.

Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)
In millions of dollarsThree Months Ended 
 June 30, 2016		Six Months Ended 
  June 30, 2016
 Total Risk-Weighted Assets, beginning of period$1,239,575
$1,216,277
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(1)
(1,278)(9,192)
Net increase in wholesale exposures(2)
1,335
3,724
Net change in repo-style transactions(3,218)635
Net decrease in securitization exposures(2,154)(468)
Net change in equity exposures(345)549
Net increase in over-the-counter (OTC) derivatives(3)
2,148
9,686
Net increase in derivatives CVA(4)
1,854
12,774
Net increase in other exposures(5)
2,483
3,326
Net change in supervisory 6% multiplier(6)
(63)494
Net increase in Credit Risk-Weighted Assets$762
$21,528
Changes in Market Risk-Weighted Assets  
Net decrease in risk levels(7)
$(7,741)$(2,437)
Net change due to model and methodology updates(8)
70
(2,702)
Net decrease in Market Risk-Weighted Assets$(7,671)$(5,139)
Net change in Operational Risk-Weighted Assets$—
$—
Total Risk-Weighted Assets, end of period$1,232,666
$1,232,666
In millions of dollarsThree Months Ended   June 30, 2017Six Months Ended     June 30, 2017
 Total Risk-Weighted Assets, beginning of period$1,191,463
$1,189,680
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(4,343)(8,655)
Net change in wholesale exposures(4,029)416
Net increase in repo-style transactions199
2
Net decrease in securitization exposures(1,880)(2,115)
Net increase in equity exposures146
688
Net decrease in over-the-counter (OTC) derivatives(1,898)(6,097)
Net decrease in derivatives CVA(39)(1,100)
Net increase in other exposures(1)
2,047
2,516
Net decrease in supervisory 6% multiplier(2)
(587)(795)
Net decrease in Credit Risk-Weighted Assets$(10,384)$(15,140)
Changes in Market Risk-Weighted Assets  
Net increase in risk levels$4,922
$15,917
Net decrease due to model and methodology updates(29)(2,783)
Net increase in Market Risk-Weighted Assets$4,893
$13,134
Net decrease in Operational Risk-Weighted Assets$(2,573)$(4,275)
Total Risk-Weighted Assets, end of period$1,183,399
$1,183,399

(1)Retail exposures decreased during the three months ended June 30, 2016, in part, due to residential mortgage loan sales and repayments, divestitures of certain Citi Holdings portfolios, and the impact of FX translation. Retail exposures decreased during the six months ended June 30, 2016, in part, due to residential mortgage loan sales and repayments, divestitures of certain Citi Holdings portfolios and reductions in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments. In addition, retail exposures for both the three and six months ended June 30, 2016 also reflect the acquisition of the Costco cards portfolio.
(2)Wholesale exposures increased slightly during the three months ended June 30, 2016 primarily due to growth in commercial loans, partially offset by the impact of FX translation. Wholesale exposures increased during the six months ended June 30, 2016 primarily due to increases in securities AFS and commercial loans, partially offset by a decrease in loan commitments.
(3)OTC derivatives increased during the three months ended June 30, 2016 primarily due to changes in fair value. OTC derivatives increased during the six months ended June 30, 2016 primarily driven by increased trade volume and model enhancements.
(4)Derivatives CVA increased during the three months ended June 30, 2016 primarily driven by volatility and rating changes. Derivatives CVA increased during the six months ended June 30, 2016 primarily driven by increased volatility and model enhancements.
(5)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories, and non-material portfolios.
(6)(2)Supervisory 6% multiplier does not apply to derivatives CVA.
(7)Risk levels decreased during the three and six months ended June 30, 2016 primarily due to a reduction in exposure levels subject to comprehensive risk, a reduction in positions subject to securitization charges, and the ongoing assessment regarding the applicability of the market risk capital rules to certain securitization positions, partially offset by an increase in assets subject to standard specific risk charges. In addition, further contributing to the decline in risk levels during the three months ended June 30, 2016 was a reduction in exposure levels subject to Value at Risk and Stressed Value at Risk.
(8)Risk-weighted assets declined during the six months ended June 30, 2016 due to updated model volatility inputs.













Total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2016 due to substantially higher credit and market risk-weighted assets. The increase in credit risk-weighted assets under the Basel III Standardized Approach was primarily due to corporate loan growth and increased repo-style transaction activity.
Total risk-weighted assets under the Basel III Advanced Approaches decreased from year-end 2016, as lower credit and operational risk-weighted assets were partially offset by an increase in market risk-weighted assets. The decrease in credit risk-weighted assets under the Basel III Advanced Approaches was primarily due to residential mortgage loan sales and repayments, divestitures of certain legacy assets, and reductions in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments, as well as a decrease in OTC derivatives due to model enhancements. Operational risk-weighted assets decreased from year-end 2016 due to quarterly updates to model parameters.
The increase in market risk-weighted assets under both approaches over this period was primarily due to increases in exposure levels subject to Stressed Value at Risk and comprehensive risk, as well as an increase in positions subject to securitization charges.





Supplementary Leverage Ratio
Citigroup’s Supplementary Leverage ratio was 7.5%7.2% for the second quarter of 2016,2017, compared to 7.4%7.3% for the first quarter of 20162017 and 7.1%7.2% for the fourth quarter of 2015.2016. The growthdecline in the ratio quarter-over-quarter was principally driven by an increase in Tier 1 Capital attributable largely to quarterly net income of $4.0 billion and a $1.5 billion noncumulative perpetual preferred stock issuance, partially offset by an increase in identifiable intangible assets other than MSRs and Total Leverage Exposure. The growth in the ratio from the fourth quarter of 2015 was also principally driven by an increase in Tier 1 Capital
attributable largely to net income of $7.5 billion, $2.5 billion of noncumulative perpetual preferred stock issuances, and the favorable effects associated with DTA utilization of approximately $2.4 billion, offset in part by the return of capital to common shareholders.shareholders and an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by quarterly net income of $3.9 billion and beneficial net movements in AOCI. The ratio remained unchanged from the fourth quarter of 2016, as net income of $8 billion and beneficial net movements in AOCI were offset by the return
of capital to common shareholders and an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, as well as, although to a lesser extent, an increase in certain off-balance sheet exposures.
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 June 30, 20162017 and December 31, 2015.2016.




Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)
In millions of dollars, except ratiosJune 30, 2016December 31, 2015June 30, 2017December 31, 2016
Tier 1 Capital$174,027
$164,036
$175,129
$169,390
Total Leverage Exposure (TLE)  
On-balance sheet assets(1)
$1,807,312
$1,784,248
$1,869,208
$1,819,802
Certain off-balance sheet exposures:(2)
  
Potential future exposure (PFE) on derivative contracts207,468
206,128
Potential future exposure on derivative contracts225,090
211,009
Effective notional of sold credit derivatives, net(3)
68,412
76,923
69,727
64,366
Counterparty credit risk for repo-style transactions(4)
21,457
25,939
23,174
22,002
Unconditionally cancellable commitments60,913
58,699
67,571
66,663
Other off-balance sheet exposures220,334
225,450
221,095
219,428
Total of certain off-balance sheet exposures$578,584
$593,139
$606,657
$583,468
Less: Tier 1 Capital deductions58,967
59,538
57,207
57,879
Total Leverage Exposure$2,326,929
$2,317,849
$2,418,658
$2,345,391
Supplementary Leverage ratio7.48%7.08%7.24%7.22%

(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.

Citibank’s Supplementary Leverage ratio, assuming full implementation under the U.S. Basel III rules, was 6.8%6.6% for the second quarter of 2016,2017, compared to 6.9%6.7% for the first quarter of 20162017 and 6.7%6.6% for the fourth quarter of 2015.2016. The slight decreasedecline in the ratio quarter-over-quarter was primarily attributable to a decline in Tier 1 Capital, as quarterly net income of $3.5 billion was more than offset by the aggregate effects of an increase in identifiable intangible assets other than MSRs, as well as 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 2015 was principally driven by an increase in Tier 1 Capital due to net income, and beneficial net movements in AOCI, partially offset by cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup, as well as an increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets, partially offset by quarterly net income and the favorable effects associated with DTA utilization. The ratio remained unchanged from the fourth quarter of 2016, as the Tier 1 Capital benefits associated with net income and beneficial net movements in AOCI were offset by an increase in Total Leverage Exposure and cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup.




Regulatory Capital Standards Developments
For additional information regarding other recent regulatory capital standards developments, see “Capital Resources—Regulatory Capital Standards Developments” in Citigroup’s 2015 Annual Report on Form 10-K and First Quarter of 2016 Form 10-Q.

Interest Rate Risk in the Banking Book
In April 2016, the Basel Committee on Banking Supervision (Basel Committee) issued a final rule which sets forth revised principles regarding the supervisory review process over a bank’s management of interest rate risk in the banking book (IRRBB), as well as the methods expected to be used by banks for the measurement, monitoring and control of IRRBB. Moreover, the final rule establishes qualitative and quantitative public disclosure requirements for IRRBB. The final rule is applicable to large, internationally active banking organizations, and is expected to be implemented by 2018.
The U.S. banking agencies have not yet proposed rules for incorporating the Basel Committee’s revised principles on IRRBB into the U.S. regulatory capital framework.

Revisions to the Securitization Framework
In July 2016,2017, the Basel Committee on Banking Supervision (Basel Committee) issued a final ruletwo consultative documents: one which amends the Basel III securitization framework issued in December 2014 to includeestablishes criteria for identifying “simple, transparent, and comparable” (STC) short-term securitizations, and another which provides for an alternative, and potentially preferential, regulatory capital treatment for short-term securitizations identified as “simple, transparent and comparable” (STC). Although theSTC. The Basel Committee had previously issued criteria solely for identifying STC securitizations in July 2015, this final rule introduces further requirements with respect to these identifying criteria as well as sets forth additional criteria, all of which must be satisfied in order for a securitization exposure to receive theand also previously issued an alternative and more favorable regulatory capital treatment.treatment for STC securitizations in July 2016. The July 2017 consultative documents, however, introduce identification criteria and regulatory capital treatments that are uniquely tailored to short-term securitizations, with a focus on exposures related to asset-backed commercial paper conduits.
The U.S. banking agencies may revise the regulatory capital treatment of securitization exposures, including STC short-term securitizations in the future, based upon theany revisions adopted by the Basel Committee.





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 per share and returns on average TCE are non-GAAP financial measures.
 








In millions of dollars or shares, except per share amountsJune 30,
2016		December 31, 2015June 30,
2017		December 31,
2016		 
Total Citigroup stockholders’ equity$231,888
$221,857
$230,019
$225,120
 
Less: Preferred stock19,253
16,718
19,253
19,253
 
Common equity$212,635
$205,139
Common stockholders’ equity$210,766
$205,867
 
Less:  
Goodwill22,496
22,349
22,349
21,659
 
Intangible assets (other than MSRs)(1)
5,521
3,721
Goodwill and intangible assets (other than MSRs) related to assets held-for-sale30
68
Identifiable intangible assets (other than MSRs)4,887
5,114
 
Goodwill and identifiable intangible assets (other than MSRs) related to
assets held-for-sale
120
72
 
Tangible common equity (TCE)$184,588
$179,001
$183,410
$179,022
 
 
Common shares outstanding (CSO)2,905.4
2,953.3
2,724.6
2,772.4
 
Book value per share (common equity/CSO)$77.36
$74.26
 
Tangible book value per share (TCE/CSO)$63.53
$60.61
67.32
64.57
 
Book value per share (Common equity/CSO)$73.19
$69.46
In millions of dollarsThree Months Ended June 30, 2017Three Months Ended June 30, 2016Six Months Ended June 30, 2017Six Months Ended June 30, 2016
Net income available to common shareholders$3,552
$3,676
$7,341
$6,967
Average common stockholders’ equity$209,693
$210,146
$208,298
$208,615
Average TCE$182,404
$184,130
$181,276
$182,420
Less: Average net DTAs excluded from Common Equity Tier 1 Capital(1)
28,448
28,503
28,714
29,333
Average TCE, excluding average net DTAs excluded from
Common Equity Tier 1 Capital
$153,956
$155,627
$152,562
$153,087
Return on average common stockholders’ equity6.8%7.0%7.1%6.7%
Return on average TCE (ROTCE)(2)
7.8
8.0
8.2
7.7
Return on average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital9.3
9.5
9.7
9.2

(1)Identifiable intangible assets (other than MSRs) increased by approximately $2.2 billion duringRepresents average net DTAs excluded in arriving at Common Equity Tier 1 Capital under full implementation of the second quarter of 2016U.S. Basel III rules.
(2)ROTCE represents annualized net income available to common shareholders as a resultpercentage of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-branded credit card program agreement with American Airlines. For additional information, see Note 16 to the Consolidated Financial Statements.average TCE.



Managing Global Risk Table of Contents

MANAGING GLOBAL RISK 
5148

CREDIT RISK(1)
 
5249

Consumer Credit 
5249

GCB Commercial Banking Exposure to the Energy and Energy-Related Sector
55

Corporate Credit 
5856

Additional Consumer and Corporate Credit Details 
6158

 Loans Outstanding 
6158

       Details of Credit Loss Experience 
6260

       Allowance for Loan Losses 6461
       Non-Accrual Loans and Assets and Renegotiated Loans 
6562

LIQUIDITY RISK 
7066

High-Quality Liquid Assets (HQLA) 
7066

Loans 
70
67
Deposits 7167
Long-Term Debt 7168
Secured Funding Transactions and Short-Term Borrowings 7370
Liquidity Coverage Ratio (LCR) 7471
Credit Ratings 7572
MARKET RISK(1)
 
7774

Market Risk of Non-Trading Portfolios 
7774

Market Risk of Trading Portfolios 
8885

COUNTRY RISK 
9087


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



MANAGING GLOBAL RISK

For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission and value proposition, the key principles that guide it, and Citi's risk appetite.
For more information on Citi’s management of global risk, including its three lines of defense, see “Managing Global Risk” in Citi’s 20152016 Annual Report on Form 10-K.
 






CREDIT RISK

For additional information on credit risk, including Citi’s credit risk management, measurement and stress testing, see “Credit Risk” and “Risk Factors” in Citi’s 20152016 Annual Report on Form 10-K.

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

Consumer Credit Portfolio
The following tables show Citi’s quarterly end-of-period consumer loans:(1)
In billions of dollars2Q’163Q’164Q’161Q’172Q’17
Retail banking:     
Mortgages$81.6
$81.4
$79.4
$81.2
$81.4
Commercial banking32.6
33.2
32.0
33.9
34.8
Personal and other27.2
27.0
24.9
26.3
27.2
Total retail banking$141.4
$141.6
$136.3
$141.4
$143.4
Cards:     
Citi-branded cards$100.1
$103.9
$108.3
$105.7
$109.9
Citi retail services43.3
43.9
47.3
44.2
45.2
Total cards$143.4
$147.8
$155.6
$149.9
$155.1
Total GCB
$284.8
$289.4
$291.9
$291.3
$298.5
GCB regional distribution:
     
North America62%62%64%62%62%
Latin America8
8
8
9
9
Asia(2)
30
30
28
29
29
Total GCB
100%100%100%100%100%
Corporate/Other(3)
$41.3
$39.0
$33.2
$29.3
$26.8
Total consumer loans$326.1
$328.4
$325.1
$320.6
$325.3

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

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




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

Global Consumer Banking
legenda07.jpg
a2q17gcbfinal.jpg
North America
legenda07.jpg
a2q17naa02.jpg
Latin America
legenda07.jpg
a2q17latama03.jpg
Asia(1)
legenda07.jpg
a2q17asia.jpg

(1)
Asia includes GCB activities in certain EMEA countries for all periods presented.
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 June 30, 2017, approximately 70% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which drove the overall credit performance of North America GCB (for additional information on North America GCB’s cards portfolios, including delinquencies and net credit losses, see “Credit Card Trends” below).
Latin America GCB operates in Mexico through Citibanamex, one of Mexico’s largest banks, and provides credit cards, consumer mortgages, personal loans and commercial banking products. Latin America GCB serves a more mass market segment in Mexico and focuses on developing multi-product relationships with customers.
As set forth in the chart above, 90+ days past due
delinquencies modestly improved and net credit loss rates slightly increased in Latin America GCB year-over-year as of the second quarter of 2017, while the delinquency rate increased and the net credit loss rate decreased quarter-over-quarter. The sequential improvement in the net credit loss rate and increase in the delinquency rate were mostly driven by seasonality.
Asia GCB operates in 17 countries in Asia and EMEA and provides credit cards, consumer mortgages, personal loans and commercial banking products.
As shown in the chart above, 90+ days past due delinquency and net credit loss rates were largely stable in Asia GCB year-over-year and quarter-over-quarter as of the second quarter of 2017. This stability reflects the strong credit profiles in Asia GCB’s target customer segments. In addition, regulatory changes in many markets in Asia over the past few years have resulted in stable or improved portfolio credit quality, despite weaker macroeconomic conditions in several countries.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.



Credit Card Trends

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

Total Cards
legenda07.jpg
a2q17totalcards.jpg

North America Citi-Branded Cards
legenda10.jpg
a2q17nacards.jpg
North America Citi Retail Services
legenda06.jpg
a2q17naretail.jpg
Latin America Citi-Branded Cards
legenda09.jpg
a2q17latamcards.jpg
Asia Citi-Branded Cards(1)
legenda08.jpg
a2q17asiacards.jpg

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



North America GCB’s Citi-branded cards portfolio issues proprietary and co-branded cards. As shown in the chart above, 90+ days past due delinquency rates in Citi-branded cards increased year-over-year as of the second quarter of 2017 primarily due to the impact of the Costco portfolio,
organic volume growth and seasoning, and decreased quarter-over-quarter, due to the flow-through of delinquencies to credit losses related to the Costco conversion and seasonality. Net credit loss rates increased year-over-year primarily due to
the Costco portfolio acquisition, organic volume growth and
seasoning, and decreased quarter-over-quarter due to the flow-through of delinquencies to credit losses related to the Costco conversion in the first quarter of 2017 and seasonality.
Citi retail services partners directly with more than 20 retailers and dealers to offer private-label and co-branded consumer and commercial cards. Citi retail services’ target market is focused on select industry segments such as home improvement, specialty retail, consumer electronics and fuel. Citi retail services continually evaluates opportunities to add partners within target industries that have strong loyalty, lending or payment programs and growth potential.
Citi retail services’ delinquency and net credit loss rates increased year-over-year, primarily due to seasoning and the impact of changes in collection processes. The net credit loss rate also increased quarter-over-quarter due to the softness in the collections rates experienced once an account reaches mid-stage delinquency. The delinquency rate decreased quarter-over-quarter due to seasonality.
Latin America GCB issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency rates and net credit loss rates have continued to improve or remained stable year-over-year as of the second quarter of 2017. The net credit loss rate decreased and delinquency rate increased quarter-over-quarter, both primarily driven by seasonality.
Asia GCB issues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency and net credit loss rates have remained broadly stable, driven by mature and well-diversified cards portfolios. 
For additional information on cost of credit, delinquency and other information for Citi’s cards portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.

North America Cards FICO Distribution
The following tables show the current FICO score distributions for Citi’s North America 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 distributionJune 30, 2017December 31, 2016
  > 72063%64%
   660 - 72026
26
   620 - 6607
6
  < 6204
4
Total100%100%

Citi Retail Services
  
FICO distributionJune 30, 2017December 31, 2016
   > 72041%42%
   660 - 72035
35
   620 - 66013
13
  < 62011
10
Total100%100%

As indicated by the tables above, the FICO distributions for Citi-branded cards and Citi retail services cards portfolios were largely unchanged versus year-end 2016. For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.




North America Consumer Mortgage Lending

Overview
Citi’s North America consumer mortgage portfolio consists of both residential first mortgages and home equity loans. At June 30, 2016, Citi’s North America consumer mortgage portfolio was $76.9 billion (compared to $78.7 billion at March 31, 2016), of which the residential first mortgage portfolio was $55.8 billion (compared to $56.8 billion at March 31, 2016), and the home equity loan portfolio was $21.1 billion (compared to $21.9 billion at March 31, 2016). For additional information on Citi’s North America consumer mortgage portfolio, see Note 14 to the Consolidated Financial Statements and “Credit Risk—North America Consumer Mortgage Lending” in Citi’s 2015 Annual Report on Form 10-K.

North America Consumer Mortgage—Residential First Mortgages
The following charts detailtable shows the outstanding quarterly outstandingend-of-period loans and credit trends for Citi’s residential first mortgage portfolio in North America.
North America Residential First Mortgage - EOP Loans
In billions of dollars
North America Residential First Mortgage - Net Credit Losses
In millions of dollars
Note: CMI refers to loans originated by CitiMortgage. CFNA refers to loans originated by CitiFinancial. Totals may not sum due to rounding.
(1)
Decrease in 4Q’15 EOP loans primarily reflected the transfer of CFNA residential first mortgages to held-for-sale and classification as Other assets at year-end 2015. This transfer did not impact net credit losses in 4Q’15.
(2)
Decrease in 1Q’16 net credit losses primarily reflected the transfer of CFNA residential first mortgage to held-for-sale and classification as Other assets at year-end 2015.
(3)2Q’16 excludes a $23 million recovery of prior net credit losses related to the sale of CMI residential first mortgages during the quarter.
(4)Year-over-year change in the S&P/Case-Shiller U.S. National Home Price Index.
(5)Year-over-year change as of April 2016.

North America Residential First Mortgage Delinquencies-Citi Holdings
In billions of dollars
Note: Days past due excludes (i) U.S. mortgage loans that are guaranteed by U.S. government-sponsored agencies because the potential loss predominantly resides with the U.S. agencies, and (ii) loans recorded at fair value. Totals may not sum due to rounding.
(1)
Decrease in 4Q’15 delinquencies primarily reflected the transfer of CFNA residential first mortgages to held-for-sale and classification as Other assets at year-end 2015.

Overall changes in net credit losses and delinquencies in Citi’s North America residential first mortgage portfolio during the current quarter as well as going forward will largely be driven by continued asset sales or transfers to held-for-sale as well as overall trends in HPI and interest rates.home equity loan portfolios:




North America Residential First Mortgages—State Delinquency Trends
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 dollarsJune 30, 2016March 31, 2016
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$19.6
38%0.2%—%756
$19.6
38%0.3%1%754
NY/NJ/CT(4)
13.2
26
0.7
1
753
13.0
25
0.7
1
752
IL(4)
2.3
4
0.9
3
737
2.2
4
1.0
5
736
VA/MD2.2
4
1.0
3
722
2.2
4
1.2
4
719
FL(4)
2.2
4
0.7
2
727
2.2
4
0.9
3
725
TX1.8
3
0.9
—
716
1.9
4
0.9
—
713
Other10.0
20
1.2
2
714
10.7
21
1.2
2
711
Total$51.3
100%0.6%1%742
$51.8
100%0.7%1%740
In billions of dollars2Q’163Q’164Q’161Q’172Q’17
GCB:
     
Residential firsts$40.1
$40.1
$40.2
$40.3
$40.2
Home equity3.8
3.9
4.0
4.0
4.1
Total GCB
$43.9
$44.0
$44.2
$44.3
$44.3
Corporate/Other:
     
Residential firsts$15.8
$14.8
$13.4
$12.3
$11.0
Home equity17.3
16.1
15.0
13.4
12.4
Total Corporate/
  Other
$33.1
$30.9
$28.4
$25.7
$23.4
Total Citigroup—
  North America
$77.0
$74.9
$72.6
$70.0
$67.7

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.
For additional information on delinquency and net credit loss trends in Citi’s consumer mortgage portfolio, see “Additional Consumer Credit Details” below.
Foreclosures
A substantial majorityHome Equity Loans—Revolving HELOCs
As set forth in the table above, Citi had $16.5 billion of Citi’s foreclosure inventory consistshome equity loans as of residential first mortgages. At June 30, 2016, Citi’s foreclosure inventory included approximately $0.12017, of which $3.9 billion or 0.2%, of the total residential first mortgage portfolio, unchanged from March 31, 2016, 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—Home Equity Loans
Citi’s home equity loan portfolio consists of both fixed-rate home equity loans and loans$12.6 billion are extended under home equity lines of credit.credit (Revolving HELOCs). Fixed-rate home equity loans are fully amortizing. Home equity lines of creditRevolving HELOCs allow for amounts to be drawn for a period of time with the payment of interest only and then, atuntil the end of the draw period, when the then-outstandingoutstanding amount is converted to an amortizing loan, or “reset” (the interest-only payment feature during the revolving period is standard for this product across the industry). After conversion,Upon reset, these borrowers will be required to pay both interest, usually at a variable rate, and principal that amortizes typically over 20 years, rather than the home equity loans typically have a 20-year amortization period. As ofstandard 30-year amortization.
Of the Revolving HELOCs at June 30, 2016, Citi’s home equity loan portfolio of $21.12017, $6.6 billion consisted of $5.9 billion of fixed-rate home equity loans and $15.2 billion of loans extended under home equity lines of credit (Revolving HELOCs).


Revolving HELOCs
Citi’s $15.2 billion of Revolving HELOCs as of June 30, 2016 consisted of $5.2 billion of loans that had commenced amortizationreset (compared to $4.6$6.4 billion at March 31, 2016)2017) and $10.0$6.0 billion of loanswere still within their revolving period that had not commenced amortization, or “reset”reset (compared to $11.2$6.8 billion at March 31, 2016)2017). 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 June 30, 20162017
nahelca2q17.jpgNote: Totals may not sum due to rounding.

Approximately 34%53% of Citi’s total Revolving HELOCs portfolio had commenced amortizationreset as of June 30, 20162017 (compared to 29%49% as of March 31, 2016)2017). Of the remaining Revolving HELOCs portfolio, approximately 56%22% will commence amortization during the remainder 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’s delinquency rates and net credit losses, Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during the remainder of 2016–2017 could increase on average by approximately $370,$356, or 150%115%. Increases in interest rates could further increase these payments given the variable nature of the interest rates on these loans post-reset. Of the Revolving HELOCs that will commence amortization during the remainder of 2016–2017, approximately $0.5 billion, or 7%, of the loans have a CLTV greater than 100% as of June 30, 2016. 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 6.5%5.9% of the Revolving HELOCs that have begun amortizationreset as of June 30, 20162017 were 30+ days past due, compared to 3.5%3.7% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 6.7%6.4% and 3.5%3.9%, respectively, as of March 31, 2016.2017. As newly amortizing loans continue to season, the delinquency rate of the amortizing Revolving HELOC portfolio andCiti’s total home equity loan portfolio is expected tocould increase. Delinquencies on newly amortizing loans have tended to peak between four and six months after reset. ResetsIn addition, resets to date have generally occurred during a period of historically low interest rates, improving HPI and a favorable economic environment, which Citi believes has likely reduced the overall “payment shock” to the borrower.
Citi continues to monitormonitors 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” in Citi’s 2015 Annual Report on Form 10-K.


    
Net Credit Losses and Delinquencies
The following charts detail the quarterly outstanding loans and credit trends for Citi’s home equity loan portfolio in North America:
North America Home Equity - EOP Loans
In billions of dollars

North America Home Equity - Net Credit Losses
In millions of dollars

Note: Totals may not sum due to rounding.
(1)2Q’16 excludes a non-recurring benefit to net credit losses of approximately $13 million associated with certain previously charged-off loans.


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




As evidenced by the tables above, net credit losses in the North America home equity loan portfolio continued to improve during the second quarter of 2016, largely driven by the continued improvement in HPI.
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 14 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 dollarsJune 30, 2016March 31, 2016
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$5.7
29%1.9%4%731
$6.0
29%1.8%5%731
NY/NJ/CT(4)
5.6
28
2.7
9
726
5.8
28
2.5
9
725
FL(4)
1.4
7
2.1
16
715
1.4
7
1.9
21
715
VA/MD1.2
6
2.1
24
714
1.2
6
1.9
26
714
IL(4)
0.9
4
1.7
30
722
0.9
4
1.6
33
722
IN/OH/MI(4)
0.5
2
1.7
25
704
0.5
3
2.0
29
703
Other4.5
23
1.9
10
712
4.9
24
1.8
13
712
Total$19.8
100%2.1%11%722
$20.6
100%2.0%12%722

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


GCB Commercial Banking Exposure to the Energy and Energy-Related Sector
In addition to the total corporate credit exposure to the energy and energy-related sector described under “Corporate Credit” below, Citi’s commercial banking business, reported within GCB retail banking, had total credit exposure to the energy and energy-related sector of approximately $2.0 billion as of June 30, 2016, with approximately $1.4 billion of direct outstanding funded loans, or 5%, of the total outstanding commercial banking loans. This compared to approximately $2.1 billion of total corporate credit exposure and $1.4 billion of direct outstanding funded energy and energy-related loans as of March 31, 2016. In addition, as of June 30, 2016, approximately 88% of commercial banking’s total credit exposure to the energy and energy-related sector was in the U.S., unchanged from March 31, 2016. Approximately 29% of commercial banking’s total energy and energy-related exposure was rated investment grade at June 30, 2016, also unchanged from March 31, 2016.
During the second quarter of 2016, Citi built additional energy and energy-related loan loss reserves by approximately $2 million, and incurred net credit losses of approximately $17 million on this commercial banking portfolio. As of June 30, 2016, Citi held loan loss reserves against its funded energy
and energy-related commercial banking loans equal to approximately 9.8% of these loans (compared to approximately 9.6% as of March 31, 2016).




Additional 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)
In millions of dollars,
except EOP loan amounts in billions		June 30,
2016		June 30,
2016		March 31,
2016		June 30,
2015		June 30,
2016		March 31,
2016		June 30,
2015		June 30,
2017		June 30,
2017		March 31,
2017		June 30,
2016		June 30,
2017		March 31,
2017		June 30,
2016
Citicorp(3)(4)
    
Global Consumer Banking(3)(4)
    
Total$285.2
$1,965
$2,022
$2,020
$2,318
$2,360
$2,290
$298.5
$2,183
$2,241
$1,965
$2,498
$2,516
$2,318
Ratio 0.69%0.74%0.74%0.82%0.87%0.84% 0.73%0.77%0.69%0.84%0.87%0.82%
Retail banking          
Total$141.8
$515
$498
$567
$735
$793
$746
$143.4
$477
$488
$515
$747
$777
$735
Ratio 0.37%0.35%0.40%0.52%0.56%0.53% 0.33%0.35%0.37%0.52%0.55%0.52%
North America54.8
180
152
150
192
198
176
55.6
155
182
180
191
189
192
Ratio 0.33%0.29%0.31%0.36%0.38%0.36% 0.28%0.33%0.33%0.35%0.35%0.36%
Latin America19.5
157
172
232
197
256
217
21.0
150
141
157
216
246
197
Ratio 0.81%0.86%1.10%1.01%1.27%1.03% 0.71%0.72%0.82%1.03%1.25%1.03%
Asia(5)
67.5
178
174
185
346
339
353
66.8
172
165
178
340
342
346
Ratio 0.26%0.25%0.26%0.51%0.49%0.49% 0.26%0.25%0.26%0.51%0.52%0.51%
Cards          
Total$143.4
$1,450
$1,524
$1,453
$1,583
$1,567
$1,544
$155.1
$1,706
$1,753
$1,450
$1,751
$1,739
$1,583
Ratio 1.01%1.17%1.10%1.10%1.20%1.17% 1.10%1.17%1.01%1.13%1.16%1.10%
North America—Citi-branded77.5
510
530
495
550
492
462
85.6
659
698
510
619
632
550
Ratio 0.66%0.82%0.77%0.71%0.76%0.72% 0.77%0.85%0.66%0.72%0.77%0.71%
North America—Citi retail services43.3
619
665
567
669
688
652
45.2
693
735
619
730
730
669
Ratio 1.43%1.56%1.31%1.55%1.62%1.51% 1.53%1.66%1.43%1.62%1.65%1.55%
Latin America5.0
145
149
200
137
152
183
5.5
161
137
145
151
145
137
Ratio 2.90%2.81%3.39%2.74%2.87%3.10% 2.93%2.63%2.90%2.75%2.79%2.74%
Asia(5)
17.6
176
180
191
227
235
247
18.8
193
183
176
251
232
227
Ratio 1.00%1.02%1.06%1.29%1.34%1.36% 1.03%1.00%1.00%1.34%1.27%1.29%
Citi Holdings(6)(7)
     
Corporate/Other—Consumer(6)(7)
     
Total$41.2
$878
$896
$1,647
$858
$929
$1,366
$26.8
$601
$684
$878
$554
$615
$858
Ratio 2.23%2.08%2.70%2.18%2.16%2.24% 2.37%2.45%2.23%2.18%2.20%2.18%
International5.5
170
145
185
138
161
213
1.8
63
77
170
44
60
138
Ratio 3.09%2.27%1.97%2.51%2.52%2.27% 3.50%3.67%3.09%2.44%2.86%2.51%
North America35.7
708
751
1,462
720
768
1,153
25.0
538
607
708
510
555
720
Ratio 2.09%2.05%2.84%2.12%2.09%2.24% 2.28%2.35%2.09%2.16%2.15%2.12%
Total Citigroup$326.4
$2,843
$2,918
$3,667
$3,176
$3,289
$3,656
325.3
$2,784
$2,925
$2,843
$3,052
$3,131
$3,176
Ratio 0.88%0.93%1.10%0.98%1.05%1.09% 0.86%0.92%0.88%0.94%0.98%0.98%
(1)End-of-period (EOP) loans include interest and fees on credit cards.
(2)The ratios of 90+ days past due and 30–89 days past due are calculated based on EOP loans, net of unearned income.
(3)
The 90+ days past due balances for North America—Citi-branded and North America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(4)
The 90+ days past due and 30–89 days past due and related ratios forCiticorp GCB North America exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due and (EOP loans) were $295 million ($0.8 billion), $313 million ($0.8 billion) and $408 million ($0.9 billion), $456 million ($1.1 billion) and $423 million ($0.8 billion) at June 30, 2016,2017, March 31, 20162017, and June 30, 2015,2016, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $91$84 million, $86$84 million and $75$91 million at June 30, 2016,2017, March 31, 20162017, and June 30, 2015,2016, respectively.
(5)
For reporting purposes, Asia GCB includes the results of operations ofdelinquencies and loans in certain EMEA GCB countries for all periods presented.
(6)
The 90+ days past due and 30–89 days past due and related ratios for Citi Holdings Corporate/Other—North America consumer exclude U.S. mortgage loans that are guaranteed by U.S. government-sponsored entities since the potential loss predominantly resides within the U.S. government-sponsored entities. The amounts excluded for loans 90+ days past due (and EOP loans) were $0.7 billion ($1.3 billion), $0.8 billion ($1.4 billion) and $1.2 billion ($1.8 billion), $1.3 billion ($1.9 billion) and $1.7 billion ($2.7 billion) at June 30, 2016,2017, March 31, 20162017, and June 30, 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, $0.1 billion and $0.2 billion at June 30, 2017, March 31, 2017, and June 30, 2016, respectively.


2015, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.2 billion, $0.2 billion and $0.3 billion at June 30, 2016, March 31, 2016 and June 30, 2015, respectively.
(7)
The June 30, 2016,2017, March 31, 2016, and June 30, 20152016 loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $9$6 million, $9$7 million and $12$9 million, respectively, of loans that are carried at fair value.

Consumer Loan Net Credit Losses and Ratios
Average
loans(1)
Net credit losses(2)(3)
Average
loans(1)
Net credit losses(2)(3)
In millions of dollars, except average loan amounts in billions2Q161Q162Q152Q171Q172Q16
Citicorp  
Global Consumer Banking  
Total$273.3
$1,373
$1,370
$1,504
$293.8
$1,615
$1,603
$1,374
Ratio 2.02%2.03%2.21% 2.20 %2.24%2.02%
Retail banking   
Total$141.4
$242
$220
$261
$142.3
$244
$236
$243
Ratio 0.69%0.63%0.73% 0.69 %0.69%0.69%
North America54.4
44
24
39
55.6
39
37
45
Ratio 0.33%0.18%0.32% 0.28 %0.27%0.33%
Latin America19.5
137
134
142
20.2
151
137
137
Ratio 2.83%2.76%2.70% 3.00 %3.04%2.87%
Asia(4)
67.5
61
62
80
66.5
54
62
61
Ratio 0.36%0.37%0.44% 0.33 %0.39%0.36%
Cards   
Total$131.9
$1,131
$1,150
$1,243
$151.5
$1,371
$1,367
$1,131
Ratio 3.45%3.52%3.84% 3.63 %3.68%3.45%
North America—Citi-branded66.7
467
455
503
83.3
611
633
467
Ratio 2.82%2.83%3.19% 2.94 %3.11%2.82%
North America—Retail services42.7
442
453
457
44.5
531
520
442
Ratio 4.16%4.14%4.30% 4.79 %4.66%4.16%
Latin America5.1
123
144
174
5.3
126
116
123
Ratio 9.70%11.14%11.44% 9.54 %9.80%9.70%
Asia(4)
17.4
99
98
109
18.4
103
98
99
Ratio 2.29%2.27%2.43% 2.25 %2.20%2.29%
Citi Holdings(3)
 
Corporate/Other—Consumer(3)
  
Total$43.3
$101
$143
$309
$27.8
$18
$69
$101
Ratio 0.94%1.25%1.90% 0.26 %0.88%0.94%
International6.1
77
78
116
1.9
24
26
77
Ratio 5.08%4.68%4.70% 5.07 %5.02%5.08%
North America37.2
24
65
193
25.9
(6)43
24
Ratio 0.26%0.66%1.39% (0.09)%0.59%0.26%
Other0.1
—
—
—
Total Citigroup$316.6
$1,474
$1,513
$1,813
$321.7
$1,633
$1,672
$1,475
Ratio 1.87%1.92%2.15% 2.04 %2.11%1.87%
(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 resultIn October 2016, Citi entered into agreements to sell Citi’s Brazil and Argentina consumer banking businesses and classified these businesses as held-for-sale (HFS). The sale of the entry into an agreement to sell OneMain Financial (OneMain), OneMainArgentina consumer banking business was classified as held-for-sale (HFS) beginning March 31, 2015.completed at the end of the first quarter 2017. As a result of HFS accounting treatment, approximately $160$42 million, $41 million and $38 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during the fourth quarter of 2016, the first quarter of 2017 and the second quarter of 2015.2017, respectively. Accordingly, these NCLs are not included in this table. Loans classified as HFS are excluded from this table as they are recorded in Other assets.
(4)
For reporting purposes,Asia Asia GCBincludes the results of operations ofNCLs and average loans in certain EMEA GCB countries for all periods presented.
.




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

Corporate Credit Portfolio
The following table sets forth Citi’s corporate credit portfolio within ICG (excluding private bank), before consideration of collateral or hedges, by remaining tenor for the periods indicated:

At June 30, 2016At March 31, 2016At December 31, 2015At June 30, 2017At March 31, 2017At December 31, 2016
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year		Greater
than 1 year
but within
5 years		Greater
than
5 years		Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year		Greater
than 1 year
but within
5 years		Greater
than
5 years		Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings (on-balance sheet)(1)
$111
$99
$24
$234
$104
$103
$24
$231
$98
$97
$25
$220
$122
$94
$23
$239
$129
$82
$20
$231
$109
$94
$22
$225
Unfunded lending commitments (off-balance sheet)(2)
101
209
32
342
103
225
23
351
99
231
26
356
103
222
22
347
113
221
23
357
103
218
23
344
Total exposure$212
$308
$56
$576
$207
$328
$47
$582
$197
$328
$51
$576
$225
$316
$45
$586
$242
$303
$43
$588
$212
$312
$45
$569

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

Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage by region based on Citi’s internal management geography:
June 30,
2016		March 31,
2016		December 31,
2015		June 30,
2017		March 31,
2017		December 31,
2016
North America54%56%56%55%53%55%
EMEA26
25
25
26
26
26
Asia12
12
12
12
13
12
Latin America8
7
7
7
8
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 also has incorporated climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an
obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
Total ExposureTotal exposure
June 30,
2016		March 31,
2016		December 31,
2015		June 30,
2017		March 31,
2017		December 31,
2016
AAA/AA/A49%48%48%49%48%48%
BBB34
35
35
34
34
34
BB/B15
15
15
16
16
16
CCC or below2
2
2
1
2
2
Unrated—
—
—
Total100%100%100%100%100%100%

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



Citi’s corporate credit portfolio is also diversified by industry. The following table shows the allocation of Citi’s total corporate credit portfolio by industry:
Total ExposureTotal exposure
June 30,
2016		March 31,
2016		December 31,
2015		June 30,
2017		March 31,
2017		December 31,
2016
Transportation and industrial21%21%20%21%21%22%
Consumer retail and health17
16
16
17
16
16
Power, chemicals, commodities and metals and mining11
12
11
Technology, media and telecom11
11
12
11
12
12
Energy(1)
9
8
9
Power, chemicals, metals and mining10
11
11
Energy and commodities(1)
9
8
9
Real estate8
7
7
Banks/broker-dealers/finance companies7
7
7
7
6
6
Real estate6
6
6
Hedge funds5
5
5
5
5
5
Insurance and special purpose entities5
5
5
5
5
5
Public sector5
5
5
5
5
5
Other industries3
4
4
2
4
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 June 30, 2016,2017, 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 June 30, 2016, Citi’s total corporate credit exposure to the energy and energy-related sector (see footnote 1 to the table above) was $56.9 billion, with $22.1 billion consisting of direct outstanding funded loans, or 3%, of Citi’s total outstanding loans. This compared to $57.2 billion of total exposure and $22.3 billion of funded loans as of March 31, 2016. In addition, as of June 30, 2016, approximately 72% of ICG’s total corporate credit energy and energy-related exposure was in the United States, United Kingdom and Canada(unchanged from March 31, 2016). Also as of June 30, 2016, approximately 73% of Citi’s total energy and energy-related exposures were rated investment grade (unchanged from March 31, 2016).
During the second quarter of 2016, Citi incurred approximately $102 million of net credit losses in the energy and energy-related loan portfolio and released approximately $104 million of energy and energy-related loan loss reserves. As of June 30, 2016, Citi held loan loss reserves against its funded energy and energy-related loans equal to approximately 3.9% of these loans (down slightly from 4.2% at March 31, 2016), with a funded reserve ratio of
approximately 10% on the non-investment grade portion of the portfolio, consistent with the prior quarter.
For information on Citi’s energy and energy-related exposures within GCB’s commercial banking business within retail banking, see “Commercial Credit—GCB Commercial Banking Exposure to the Energy and Energy-Related Sector” above.

Exposure to Banks, Broker-Dealers and Finance Companies
As of June 30, 2016, Citi’s total corporate credit exposure to banks, broker-dealers and finance companies was approximately $39 billion, of which $27 billion represented direct outstanding funded loans, or 5% of Citi’s total outstanding loans. Also as of June 30, 2016, 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, as of June 30, 2016, Citi’s total corporate credit exposure to banks was approximately $24 billion, with $19 billion consisting of direct outstanding funded loans, or 3% of Citi’s total outstanding loans. Of the approximately $24 billion as of June 30, 2016, approximately 30% related to Asia, 30% related to EMEA, 20% related to North America and 20% related to Latin America. More than 70% of Citi’s total corporate credit exposure to banks had a tenor of less than 12 months as of June 30, 2016.
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 June 30, 2016, Citi had net derivative credit exposure to banks, broker-dealers and finance companies of approximately $8 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 June 30, 2016, Citi had net credit exposure to banks, broker-dealers and finance companies in the form of securities financing transactions of $4 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.





Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenue on the Consolidated Statement of Income.
At June 30, 2016,2017, March 31, 2016 and2017, December 31, 2015, $37.62016,$23.7 billion, $36.6$27.6 billion and $34.5$29.5 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked to market.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
 June 30,
2016		March 31,
2016		December 31,
2015
AAA/AA/A20%19%21%
BBB51
53
48
BB/B25
25
27
CCC or below4
3
4
Total100%100%100%
 June 30,
2017		March 31,
2017		December 31,
2016
AAA/AA/A16%16%16%
BBB47
49
49
BB/B34
31
31
CCC or below3
4
4
Total100%100%100%

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

Industry of Hedged Exposure
June 30,
2016		March 31,
2016		December 31,
2015		June 30,
2017		March 31,
2017		December 31,
2016
Transportation and industrial26%28%28%27%28%29%
Energy and commodities20
19
20
Consumer retail and health16
18
17
11
13
10
Technology, media and telecom15
16
16
13
13
13
Energy15
13
13
Power, chemicals, commodities and metals and mining

12
11
12
Power, chemicals, metals and mining13
12
12
Public sector6
6
5
Banks/broker-dealers5
4
4
Insurance and special purpose entities5
5
5
2
3
3
Public Sector5
4
4
Banks/broker-dealers5
4
4
Other industries1
1
1
3
2
4
Total100%100%100%100%100%100%





ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.
In millions of dollars201620162015201720172016
Consumer loans

In U.S. offices

Mortgage and real estate(1)
$77,242
$79,128
$80,281
$89,155
$90,715
$69,022
$71,170
$72,957
$75,057
$77,242
Installment, revolving credit, and other3,486
3,504
3,480
4,999
4,956
3,190
3,252
3,395
3,465
3,486
Cards120,113
106,892
112,800
107,244
107,096
130,181
125,799
132,654
124,637
120,113
Commercial and industrial7,041
6,793
6,407
6,437
6,493
7,404
7,434
7,159
6,989
7,041

$207,882
$196,317
$202,968
$207,835
$209,260
Total$209,797
$207,655
$216,165
$210,148
$207,882
In offices outside the U.S.  
Mortgage and real estate(1)
$46,049
$47,831
$47,062
$47,295
$50,704
$43,821
$43,822
$42,803
$45,751
$46,049
Installment, revolving credit, and other27,830
28,778
29,480
29,702
30,958
26,480
26,014
24,887
28,217
27,830
Cards25,844
26,312
27,342
26,865
28,662
25,376
24,497
23,783
25,833
25,844
Commercial and industrial17,857
17,697
17,741
17,841
18,863
18,956
17,728
16,568
17,498
17,520
Lease financing140
139
362
368
424
81
83
81
113
140

$117,720
$120,757
$121,987
$122,071
$129,611
Total$114,714
$112,144
$108,122
$117,412
$117,383
Total consumer loans$325,602
$317,074
$324,955
$329,906
$338,871
$324,511
$319,799
$324,287
$327,560
$325,265
Unearned income(2)
817
826
830
(687)(677)750
757
776
812
817
Consumer loans, net of unearned income$326,419
$317,900
$325,785
$329,219
$338,194
$325,261
$320,556
$325,063
$328,372
$326,082
Corporate loans

In U.S. offices

Commercial and industrial$50,286
$44,104
$41,147
$40,435
$40,697
$50,341
$49,845
$49,586
$50,156
$50,286
Loans to financial institutions32,001
36,865
36,396
38,034
37,360
36,953
35,734
35,517
35,801
32,001
Mortgage and real estate(1)
40,175
38,697
37,565
37,019
34,680
42,041
40,052
38,691
41,078
40,175
Installment, revolving credit, and other32,491
33,273
33,374
32,129
31,882
31,611
32,212
34,501
32,571
32,491
Lease financing1,546
1,597
1,780
1,718
1,707
1,467
1,511
1,518
1,532
1,546

$156,499
$154,536
$150,262
$149,335
$146,326
Total$162,413
$159,354
$159,813
$161,138
$156,499
In offices outside the U.S.

Commercial and industrial$87,125
$85,491
$82,358
$85,628
$87,274
$91,131
$87,258
$81,882
$84,492
$87,432
Loans to financial institutions27,856
28,652
28,704
28,090
29,675
34,844
33,763
26,886
27,305
27,856
Mortgage and real estate(1)
5,455
5,769
5,106
6,602
5,948
6,783
5,527
5,363
5,595
5,455
Installment, revolving credit, and other24,825
21,583
20,853
19,352
20,214
19,200
16,576
19,965
25,462
24,855
Lease financing255
280
303
329
378
234
253
251
243
255
Governments and official institutions5,757
5,303
4,911
4,503
4,714
5,518
5,970
5,850
6,506
5,757

$151,273
$147,078
$142,235
$144,504
$148,203
Total$157,710
$149,347
$140,197
$149,603
$151,610
Total corporate loans$307,772
$301,614
$292,497
$293,839
$294,529
$320,123
$308,701
$300,010
$310,741
$308,109
Unearned income(3)
(676)(690)(665)(614)(605)(689)(662)(704)(678)(676)
Corporate loans, net of unearned income$307,096
$300,924
$291,832
$293,225
$293,924
$319,434
$308,039
$299,306
$310,063
$307,433
Total loans—net of unearned income$633,515
$618,824
$617,617
$622,444
$632,118
$644,695
$628,595
$624,369
$638,435
$633,515
Allowance for loan losses—on drawn exposures(12,304)(12,712)(12,626)(13,626)(14,075)(12,025)(12,030)(12,060)(12,439)(12,304)
Total loans—net of unearned income
and allowance for credit losses		$621,211
$606,112
$604,991
$608,818
$618,043
$632,670
$616,565
$612,309
$625,996
$621,211
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
1.96%2.07%2.06%2.21%2.25%1.88%1.93%1.94%1.97%1.96%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
2.89%3.09%3.02%3.35%3.45%2.93%2.96%2.88%2.95%2.89%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.95%0.98%0.97%0.90%0.84%0.80%0.83%0.91%0.90%0.95%


(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, 2015.
(3)Unearned income on corporate loans primarily represents interest received in advance but not yet earned on loans originated on a discountdiscounted basis.
(4)All periods exclude loans that are carried at fair value.


Details of Credit Loss Experience
2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.2nd Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.
In millions of dollars201620162015201720172016
Allowance for loan losses at beginning of period$12,712
$12,626
$13,626
$14,075
$14,598
$12,030
$12,060
$12,439
$12,304
$12,712
Provision for loan losses  
Consumer$1,275
$1,570
$1,684
$1,338
$1,559
$1,620
$1,816
$1,659
$1,815
$1,276
Corporate115
316
572
244
(44)46
(141)68
(69)114
$1,390
$1,886
$2,256
$1,582
$1,515
Total$1,666
$1,675
$1,727
$1,746
$1,390
Gross credit losses  
Consumer  
In U.S. offices$1,212
$1,230
$1,267
$1,244
$1,393
$1,437
$1,444
$1,343
$1,181
$1,213
In offices outside the U.S. 678
689
794
746
816
597
597
605
702
678
Corporate  
In U.S. offices63
190
75
30
5
72
48
32
29
62
In offices outside the U.S. 95
34
44
48
121
24
55
103
36
95
$2,048
$2,143
$2,180
$2,068
$2,335
Total$2,130
$2,144
$2,083
$1,948
$2,048
Credit recoveries(1)
  
Consumer  
In U.S. offices$262
$256
$229
$222
$228
$266
$242
$235
$227
$262
In offices outside the U.S. 154
150
164
155
168
135
127
137
173
154
Corporate  
In U.S. offices3
4
9
11
4
15
2
2
16
3
In offices outside the U.S. 13
9
16
17
15
4
64
13
7
13
$432
$419
$418
$405
$415
Total$420
$435
$387
$423
$432
Net credit losses  
In U.S. offices$1,010
$1,160
$1,104
$1,041
$1,166
$1,228
$1,248
$1,138
$967
$1,010
In offices outside the U.S. 606
564
658
622
754
482
461
558
558
606
Total$1,616
$1,724
$1,762
$1,663
$1,920
$1,710
$1,709
$1,696
$1,525
$1,616
Other—net(8)(7)
$(182)$(76)$(1,494)(368)$(118)$39
$4
$(410)$(86)$(182)
Allowance for loan losses at end of period$12,304
$12,712
$12,626
$13,626
$14,075
$12,025
$12,030
$12,060
$12,439
$12,304
Allowance for loan losses as a percentage of total loans(9)(8)
1.96%2.07%2.06%2.21%2.25%1.88%1.93%1.94%1.97%1.96%
Allowance for unfunded lending commitments(6)(10)
$1,432
$1,473
$1,402
$1,036
$973
Allowance for unfunded lending commitments(9)
$1,406
$1,377
$1,418
$1,388
$1,432
Total allowance for loan losses and unfunded lending commitments$13,736
$14,185
$14,028
$14,662
$15,048
$13,431
$13,407
$13,478
$13,827
$13,736
Net consumer credit losses$1,474
$1,513
$1,668
$1,613
$1,813
$1,633
$1,672
$1,576
$1,483
$1,475
As a percentage of average consumer loans1.87%1.90%2.00%1.93%2.15%2.04%2.11%1.95%1.80%1.87%
Net corporate credit losses$142
$211
$94
$50
$107
$77
$37
$120
$42
$141
As a percentage of average corporate loans0.19%0.29%0.13%0.07%0.15%0.10%0.05%0.16%0.05%0.19%
Allowance for loan losses at end of period(11)
 
Citicorp$10,433
$10,544
$10,331
$10,213
$10,368
Citi Holdings1,871
2,168
2,295
3,413
3,707
Total Citigroup$12,304
$12,712
$12,626
$13,626
$14,075
Allowance by type 
Allowance by type at end of period(10)
 
Consumer$9,432
$9,807
$9,835
$11,030
$11,669
$9,515
$9,495
$9,358
$9,673
$9,432
Corporate2,872
2,905
2,791
2,596
2,406
2,510
2,535
2,702
2,766
2,872
Total Citigroup$12,304
$12,712
$12,626
$13,626
$14,075
Total$12,025
$12,030
$12,060
$12,439
$12,304
(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)Includes all adjustments to the allowance for credit losses, such as changes in the allowance from acquisitions, dispositions, securitizations, FX translation, purchase accounting adjustments, etc.
(3)The second quarter of 2017 includes a reduction of approximately $19 million related to the sale or transfer to held-for-sale (HFS) of various loan portfolios, including a reduction of $19 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes an increase of approximately $50 million related to FX translation.
(4)The first quarter of 2017 includes a reduction of approximately $161 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $37 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $164 million related to FX translation.
(5)The fourth quarter of 2016 includes a reduction of approximately $267 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $3 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a reduction of approximately $141 million related to FX translation.


(6)The third quarter of 2016 includes a reduction of approximately $58 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $50 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes a reduction of approximately $46 million related to FX translation.
(7)The second quarter of 2016 includes a reduction of approximately $101 million related to the sale or transferstransfer to held-for-sale (HFS)HFS of various loan portfolios, including a reduction of $24 million related to the transferstransfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a reduction of approximately $75 million related to FX translation.


(4)The first quarter of 2016 includes a reduction of approximately $148 million related to the sale or transfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $29 million related to the transfers of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $63 million related to FX translation.
(5)The fourth quarter of 2015 includes a reduction of approximately $1.1 billion related to the sale or transfers to HFS of various loan portfolios, including a reduction of $1.1 billion related to the transfers of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a reduction of approximately $35 million related to FX translation.
(6)
The fourth quarter of 2015 includes a reclassification of $271 million of Allowance for loan losses to allowance for unfunded lending commitments, included in the Other line item. This reclassification reflects the re-attribution of $271 million in allowance for credit losses between the funded and unfunded portions of the corporate credit portfolios and does not reflect a change in the underlying credit performance of these portfolios.
(7)The third quarter of 2015 includes a reduction of approximately $110 million related to the sale or transfers to HFS of various loan portfolios, including a reduction of $14 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes a reduction of approximately $255 million related to FX translation.
(8)The second quarter of 2015 includes a reduction of approximately $88 million related to the sale or transfers to held-for-sale (HFS) of various loan portfolios, including a reduction of $34 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the second quarter of 2015 includes a reduction of approximately $39 million related to FX translation.
(9)June 30, 2017, March 31, 2017, December 31, 2016, September 30, 2016 and June 30, 2016 March 31, 2016, December 31, 2015, September 30, 2015, and June 30, 2015 exclude $4.1$4.2 billion, $4.8$4.0 billion, $5.0$3.5 billion, $5.5$4.0 billion and $6.5$4.1 billion, respectively, of loans which are carried at fair value.
(10)(9)
Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(11)(10)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 in Citi’s 20152016 Annual Report on Form 10-K. Attribution of the allowance is made for analytical purposes only and the entire allowance is available to absorb probable credit losses inherent in the overall portfolio.


Allowance for Loan Losses
The following tables detail information on Citi’s allowance for loan losses, loans and coverage ratios:
June 30, 2016June 30, 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)
$4.6
$120.8
3.8%$5.4
$130.9
4.1%
North America mortgages(3)
1.4
76.9
1.8
0.9
67.7
1.3
North America other
0.4
13.6
2.9
0.4
12.7
3.1
International cards1.5
25.1
6.0
1.3
24.8
5.2
International other(4)
1.5
90.0
1.7
1.5
89.2
1.7
Total consumer$9.4
$326.4
2.9%$9.5
$325.3
2.9%
Total corporate2.9
307.1
1.0
2.5
319.4
0.8
Total Citigroup$12.3
$633.5
2.0%$12.0
$644.7
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 $4.6$5.4 billion of loan loss reserves represented approximately 1514 months of coincident net credit loss coverage.
(3)
Of the $1.4$0.9 billion, approximately $1.2$0.8 billion was allocated to North America mortgages in Citi Holdings.Corporate/Other. Of the $1.4$0.9 billion, approximately $0.5$0.3 billion and $0.8$0.6 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $76.9$67.7 billion in loans, approximately $71.0$63.6 billion and $5.8$4.1 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 1514 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.

December 31, 2015December 31, 2016
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$4.5
$113.4
4.0%$5.2
$133.3
3.9%
North America mortgages(3)
1.7
79.6
2.1
1.1
72.6
1.5
North America other
0.5
13.0
3.8
0.5
13.6
3.7
International cards1.6
26.7
6.0
1.2
23.1
5.2
International other(4)
1.5
93.1
1.6
1.4
82.8
1.7
Total consumer$9.8
$325.8
3.0%$9.4
$325.4
2.9%
Total corporate2.8
291.8
1.0
2.7
299.0
0.9
Total Citigroup$12.6
$617.6
2.1%$12.1
$624.4
1.9%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $4.5$5.2 billion of loan loss reserves represented approximately 15 months of coincident net credit loss coverage.
(3)
Of the $1.7$1.1 billion, approximately $1.6$1.0 billion was allocated to North America mortgages in Citi Holdings.Corporate/Other. Of the $1.7$1.1 billion, approximately $0.6$0.4 billion and $1.1$0.7 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $79.6$72.6 billion in loans, approximately $72.3$67.7 billion and $7.1$4.8 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 1514 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.


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

Non-Accrual Loans and Assets:
Corporate and consumer (commercial market)banking) non-accrual status is based on the determination that payment of interest or principal is doubtful.
A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Payments received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 66%67% and 65% of Citi’s corporate non-accrual loans were performing at June 30, 2016, compared to 59% at2017 and March 31, 2016.2017, respectively.
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
Mortgage loans in regulated bank entities discharged through Chapter 7 bankruptcy, other than FHA insured loans, are classified as non-accrual. Non-bank mortgage loans discharged through Chapter 7 bankruptcy are classified as non-accrual at 90 days or more past due. 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 contractual delinquency.
Renegotiated Loans:
Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).
Includes both accrual and non-accrual TDRs.




Non-Accrual Loans and Assets
The table below summarizes Citigroup’s non-accrual loans as of the periods indicated. Non-accrual loans may still be current on interest payments. In situations where Citi reasonably expects that only a portion of the principal owed will ultimately be collected, all payments received are reflected as a reduction of principal and not as interest income. For all other non-accrual loans, cash interest receipts are generally recorded as revenue.
 
As set forth in the tables below, Citi’s corporate non-accrual loans within Citicorp increased during the second quarter of 2016 by 6% or approximately $135 million, driven primarily by energy and energy-related exposures in EMEA (for additional information on these exposures, see “Corporate Credit” above). Approximately two-thirds of the total additions to corporate non-accrual loans during the quarter remained performing as of June 30, 2016.


Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,
In millions of dollars201620162015201720172016
Citicorp$4,101
$3,718
$2,991
$2,921
$2,684
Citi Holdings2,064
2,210
2,263
3,486
3,800
Total non-accrual loans$6,165
$5,928
$5,254
$6,407
$6,484
Corporate non-accrual loans(1)(2)

Corporate non-accrual loans(1)
 
North America$1,280
$1,331
$818
$833
$467
$944
$993
$984
$1,057
$1,280
EMEA762
469
347
386
385
727
828
904
857
762
Latin America267
410
303
230
226
281
342
379
380
267
Asia151
117
128
129
145
146
176
154
121
151
Total corporate non-accrual loans$2,460
$2,327
$1,596
$1,578
$1,223
$2,098
$2,339
$2,421
$2,415
$2,460
Citicorp$2,410
$2,275
$1,543
$1,525
$1,168
Citi Holdings50
52
53
53
55
Total corporate non-accrual loans$2,460
$2,327
$1,596
$1,578
$1,223
Consumer non-accrual loans(1)(3)
 
Consumer non-accrual loans(1)
 
North America$2,520
$2,519
$2,515
$3,622
$3,928
$1,754
$1,926
$2,160
$2,429
$2,520
Latin America884
817
874
935
1,032
793
737
711
841
884
Asia(4)
301
265
269
272
301
Asia(2)
301
292
287
282
301
Total consumer non-accrual loans$3,705
$3,601
$3,658
$4,829
$5,261
$2,848
$2,955
$3,158
$3,552
$3,705
Citicorp$1,691
$1,443
$1,448
$1,396
$1,516
Citi Holdings2,014
2,158
2,210
3,433
3,745
Total consumer non-accrual loans $3,705
$3,601
$3,658
$4,829
$5,261
Total non-accrual loans$4,946
$5,294
$5,579
$5,967
$6,165
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $183 million at June 30, 2017, $194 million at March 31, 2017, $187 million at December 31, 2016, $194 million at September 30, 2016 and $212 million at June 30, 2016, $236 million at March 31, 2016, $250 million at December 31, 2015, $320 million at September 30, 2015 and $343 million at June 30, 2015.
(2)
The increases in corporate non-accrual loans during the third quarter of 2015 and first quarter of 2016 primarily related to Citi’s North America and EMEA energy and energy-related corporate credit exposure.
2016.
(3) The December 31, 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).
(4) For reporting purposes,(2) Asia GCB includes the results of operations ofbalances in certain EMEA GCBcountries for all periods presented.



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

 Three months endedThree months ended
 June 30, 2016June 30, 2015
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,327
$3,601
$5,928
$1,182
$5,572
$6,754
Additions830
1,326
2,156
292
1,077
1,369
Sales and transfers to held-for-sale(1)(209)(210)(140)(141)(281)
Returned to performing(68)(143)(211)(10)(281)(291)
Paydowns/settlements(491)(396)(887)(103)(309)(412)
Charge-offs(113)(462)(575)(40)(615)(655)
Other(24)(12)(36)42
(42)—
Ending balance$2,460
$3,705
$6,165
$1,223
$5,261
$6,484

Six months endedSix months endedThree months endedThree months ended
June 30, 2016June 30, 2015June 30, 2017June 30, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$1,596
$3,658
$5,254
$1,202
$5,905
$7,107
$2,339
$2,955
$5,294
$2,327
$3,601
$5,928
Additions1,877
2,240
4,117
488
2,933
3,421
311
697
1,008
830
1,326
2,156
Sales and transfers to held-for-sale(9)(371)(380)(176)(755)(931)(46)(82)(128)(1)(209)(210)
Returned to performing(83)(284)(367)(21)(607)(628)(3)(166)(169)(68)(143)(211)
Paydowns/settlements(589)(641)(1,230)(242)(616)(858)(464)(285)(749)(491)(396)(887)
Charge-offs(253)(898)(1,151)(58)(1,486)(1,544)(15)(318)(333)(113)(462)(575)
Other(79)1
(78)30
(113)(83)(24)47
23
(24)(12)(36)
Ending balance$2,460
$3,705
$6,165
$1,223
$5,261
$6,484
$2,098
$2,848
$4,946
$2,460
$3,705
$6,165




 Six Months EndedSix Months Ended
 June 30, 2017June 30, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,421
$3,158
$5,579
$1,596
$3,658
$5,254
Additions564
1,521
2,085
1,877
2,240
4,117
Sales and transfers to held-for-sale(82)(216)(298)(9)(371)(380)
Returned to performing(40)(329)(369)(83)(284)(367)
Paydowns/settlements(647)(565)(1,212)(589)(641)(1,230)
Charge-offs(69)(842)(911)(253)(898)(1,151)
Other(49)121
72
(79)1
(78)
Ending balance$2,098
$2,848
$4,946
$2,460
$3,705
$6,165


The tabletables below summarizessummarize 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:
 Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,
In millions of dollars20162016201520152015
OREO     
Citicorp$54
$74
$70
$83
$85
Citi Holdings121
131
139
144
161
Total OREO$175
$205
$209
$227
$246
North America$151
$159
$166
$177
$190
EMEA—
1
1
1
1
Latin America19
35
38
44
50
Asia5
10
4
5
5
Total OREO$175
$205
$209
$227
$246
Non-accrual assets—Total Citigroup 





Corporate non-accrual loans$2,460
$2,327
$1,596
$1,578
$1,223
Consumer non-accrual loans3,705
3,601
3,658
4,829
5,261
Non-accrual loans (NAL)$6,165
$5,928
$5,254
$6,407
$6,484
OREO$175
$205
$209
$227
$246
Non-accrual assets (NAA)$6,340
$6,133
$5,463
$6,634
$6,730
NAL as a percentage of total loans0.97%0.96%0.85%1.03%1.03%
NAA as a percentage of total assets0.35
0.34
0.32
0.37
0.37
Allowance for loan losses as a percentage of NAL(1)
200
214
240
213
217

Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Jun. 30,Mar. 31,Dec. 31,Sept. 30,Jun. 30,
Non-accrual assets—Total Citicorp201620162015
In millions of dollars201720172016
OREO 
North America$128
$136
$161
$132
$151
EMEA1
1
—
1
—
Latin America31
31
18
18
19
Asia8
5
7
10
5
Total OREO$168
$173
$186
$161
$175
Non-accrual assets
Corporate non-accrual loans$2,098
$2,339
$2,421
$2,415
$2,460
Consumer non-accrual loans2,848
2,955
3,158
3,552
3,705
Non-accrual loans (NAL)$4,101
$3,718
$2,991
$2,921
$2,684
$4,946
$5,294
$5,579
$5,967
$6,165
OREO54
74
70
83
85
$168
$173
$186
$161
$175
Non-accrual assets (NAA)$4,155
$3,792
$3,061
$3,004
$2,769
$5,114
$5,467
$5,765
$6,128
$6,340
NAL as a percentage of total loans0.77%0.84%0.89%0.93%0.97%
NAA as a percentage of total assets0.24%0.22%0.19%0.18%0.16%0.27
0.30
0.32
0.34
0.35
Allowance for loan losses as a percentage of NAL(1)
254
284
345
350
386
243
227
216
208
200
Non-accrual assets—Total Citi Holdings
Non-accrual loans (NAL)(2)
$2,064
$2,210
$2,263
$3,486
$3,800
OREO121
131
139
144
161
Non-accrual assets (NAA)$2,185
$2,341
$2,402
$3,630
$3,961
NAA as a percentage of total assets3.31%3.21%2.97%3.10%3.19%
Allowance for loan losses as a percentage of NAL(1)
91
98
101
98
98

(1)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.
(2)
The December 31, 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).





Renegotiated Loans
The following table presents Citi’s loans modified in TDRs.TDRs:
In millions of dollarsJun. 30, 2016Dec. 31, 2015Jun. 30, 2017Dec. 31, 2016
Corporate renegotiated loans(1)
    
In U.S. offices    
Commercial and industrial(2)
$26
$25
$211
$89
Mortgage and real estate(3)
96
104
Mortgage and real estate70
84
Loans to financial institutions—
5
9
9
Other252
273
166
228
$374
$407
$456
$410
In offices outside the U.S.    
Commercial and industrial(2)
$297
$111
$380
$319
Mortgage and real estate(3)
34
33
Other36
45
Mortgage and real estate4
3
Loans to financial institutions15
—
$367
$189
$399
$322
Total corporate renegotiated loans$741
$596
$855
$732
Consumer renegotiated loans(6)(5)
    
In U.S. offices    
Mortgage and real estate(7)(6)
$5,643
$7,058
$4,030
$4,695
Cards1,307
1,396
1,270
1,313
Installment and other81
79
192
117
$7,031
$8,533
$5,492
$6,125
In offices outside the U.S.    
Mortgage and real estate$463
$474
$375
$447
Cards542
555
512
435
Installment and other491
514
396
443
$1,496
$1,543
$1,283
$1,325
Total consumer renegotiated loans$8,527
$10,076
$6,775
$7,450
(1)Includes $422$678 million and $258$445 million of non-accrual loans included in the non-accrual assetsloans table above at June 30, 20162017 and December 31, 2015,2016, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at June 30, 2016,2017, Citi also modified $374$85 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) all within offices in 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).concession.
(3)In addition to modifications reflected as TDRs at June 30, 2016, Citi also modified $13 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 $1,739$1,416 million and $1,852$1,502 million of non-accrual loans included in the non-accrual assetsloans table above at June 30, 20162017 and December 31, 2015,2016, respectively. The remaining loans are accruing interest.
(5)(4)Includes $45$47 million and $53$58 million of commercial real estate loans at June 30, 20162017 and December 31, 2015,2016, respectively.
(6)(5)Includes $105$179 million and $128$105 million of other commercial loans at June 30, 20162017 and December 31, 2015,2016, respectively.
(7)(6)Reduction in the six months ended June 30, 20162017 includes $1,073$517 million related to TDRs sold or transferred to held-for-sale.




LIQUIDITY RISK

For additional information on funding and liquidity at Citigroup, including its objectives, management and measurement, see “Liquidity Risk” and “Risk Factors” in Citi’s 20152016 Annual Report on Form 10-K.
 
 





High-Quality Liquid Assets (HQLA)
Citibank
Non-Bank and Other(1)
TotalCitibank
Non-Bank and Other(1)
Total
In billions of dollarsJun. 30, 2016Mar. 31, 2016Jun. 30, 2015Jun. 30, 2016Mar. 31, 2016Jun. 30, 2015Jun. 30, 2016Mar. 31, 2016Jun. 30, 2015Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016
Available cash$61.3
$74.2
$71.9
$23.2
$24.5
$17.8
$84.5
$98.7
$89.7
$78.5
$83.8
$61.3
$35.0
$24.5
$23.2
$113.5
$108.3
$84.5
U.S. sovereign115.0
117.6
118.8
19.6
22.6
19.4
134.6
140.3
138.2
110.6
113.8
115.0
23.2
22.7
19.6
133.8
136.5
134.6
U.S. agency/agency MBS69.2
68.9
58.5
0.3
0.5
1.3
69.5
69.4
59.7
63.2
59.2
69.2
1.1
0.8
0.3
64.3
60.0
69.5
Foreign government debt(2)
86.7
86.8
80.6
16.8
19.6
13.5
103.6
106.4
94.1
102.4
84.5
86.7
17.7
17.2
16.8
120.1
101.7
103.6
Other investment grade1.2
1.1
2.9
1.5
1.6
1.1
2.7
2.7
4.0
0.4
0.3
1.2
1.2
1.5
1.5
1.6
1.8
2.7
Total HQLA (EOP)$333.3
$348.7
$332.6
$61.5
$68.8
$53.1
$394.8
$417.5
$385.8
$355.1
$341.6
$333.3
$78.1
$66.7
$61.5
$433.2
$408.3
$394.8
Total HQLA (AVG)$342.5
$335.1
$—
$68.5
$65.0
$—
$411.0
$400.1
$—
$354.0
$353.5
$342.5
$70.4
$59.3
$68.5
$424.4
$412.8
$411.0

Note: Except as indicated, 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. 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 financingsecured funding transactions. As previously disclosed (see “Liquidity Risk” in the First Quarter of 2016 Form 10-Q), theThe Federal Reserve Board has proposedadopted final rules requiring disclosure of HQLA, the Liquidity Coverage Ratio and related components on an average basis each quarter, as compared to end-of-period.end-of-period, starting on April 1, 2017 (for additional information, see “Liquidity Coverage Ratio (LCR)” below). Citi has presented in this form 10-Q the average information on these metrics currently available, which includes average total HQLA, average LCR and average net outflows under the LCR for the periods 2Q’16 and 1Q’16; 2Q’15 andLCR; other component information is not currently available.
(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. BanamexCitibanamex and Citibank (Switzerland) AG account for approximately $8$6 billion of the “Non-Bank and Other” HQLA balance as of June 30, 2016.2017.
(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, Korea, Taiwan, Singapore, India, TaiwanBrazil and Mexico.

As set forth in the table above, sequentially, Citi’s total HQLA declinedincreased both on an end-of-period basis but increased onand an average basis, due primarily to an increase in cash related to resolution planning, as Citi maintained higher cash balances for most of the second quarter of 2016well as an increase in advance of its acquisition of the Costco portfolio on June 17, 2016.foreign government debt.
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 $23 billion as of June 30, 2017 (compared to $28 billion as of March 31, 2017 and $37 billion as of June 30, 2016 (unchanged from both March 31, 2016 and June 30, 2015)2016) 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 June 30, 2016,2017, the capacity available for lending to these
entities under Section 23A was approximately $15 billion, compared to $14 billion as ofunchanged from both March 31, 20162017 and $17 billion as of June 30, 2015,2016, subject to certain eligible non-cash collateral requirements.



Loans
The table below sets forth 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 dollarsJun. 30, 2016Mar. 31, 2016Jun. 30, 2015Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016
Global Consumer Banking  
North America$175.6
$160.9
$156.9
$183.4
$183.3
$163.8
Latin America24.5
25.4
27.0
25.5
23.1
24.3
Asia(1)
85.1
86.3
90.5
84.9
83.2
84.9
Total$285.2
$272.6
$274.4
$293.8
$289.6
$273.0
Institutional Clients Group  
Corporate lending123.9
123.0
119.1
121.5
118.1
124.2
Treasury and trade solutions (TTS)73.6
73.0
74.7
73.7
71.4
70.9
Private bank, markets and securities services and other109.4
104.8
99.9
Private bank, Markets and
securities services and other
117.2
112.2
108.9
Total$306.9
$300.8
$293.6
$312.4
$301.8
$304.0
Total Citicorp592.1
573.4
568.0
Total Citi Holdings41.4
45.4
64.1
Total Corporate/Other
28.2
31.8
43.6
Total Citigroup loans (AVG)$634.3
$623.2
$620.6
Total Citigroup loans (EOP)$633.5
$618.8
$632.1
$644.7
$628.6
$633.5
Total Citigroup loans (AVG)$620.6
$612.2
$627.0

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



As set forth onin the table above, end-of-period loans remained largely unchanged year-over-year and increased 2% quarter-over-quarter. Excluding the impact of FX translation, Citigroup’s end-of-period loans increased 2% year-over-year and 3% quarter-over-quarter, as growth in Citicorp offset continued reductions in Citi Holdings.quarter-over-quarter. On an average basis, loans increased 2% both year-over-year and quarter-over-quarter.
Excluding the impact of FX translation, Citicorpaverage loans increased 6% year-over-year.3% year-over-year and 1% quarter-over-quarter. On this basis, average GCB loans grew 6%8% year-over-year, driven by 12% growth in North America. Within North America,Citi-branded cards increased 20%25% year-over-year, primarily due to the acquisition of the Costco portfolio.portfolio, as well as modest organic growth. International GCB loans declinedincreased 1%, as continued7% growth in Mexico was more thanpartially offset by a 3%1% decline in Asia, reflecting the repositioningCiti’s optimization of the retailits portfolio in this region away from lower return mortgage loans as well as de-risking in the commercial portfolio, which was partially offset by growth in higher return card and personal loans.region.
Average ICG loans increased 6% year-over-year. Within ICG3% year-over-year, primarily driven by the private bank. Corporate lending decreased 1%, primarily driven by a lower level of episodic funding compared to the prior-year period. Sequentially, corporate lending increased 2%, as Citi supported core business activity among its global subsidiary clients. TTS loans increased 6%4%, driven by both new businessgrowth in EMEA and the funding of transaction-related commitments to target market clients. While treasury and trade solutionsAsia.
Average Corporate/Other loans remained relatively unchanged, private bank and markets and securities services loans grew 11% year-over-yeardecreased 36% year-over-
year, driven by the continued opportunities to support client activity.
Citi Holdings loans decreased 35% year-over-year driven by $18 billionwind down of reductions in North America mortgages, including transfers to held-for-sale (see Note 14 to the Consolidated Financial Statements).

legacy assets.
Deposits
The table below sets forth the end-of-periodaverage deposits, by business and/or segment, and the total averageend-of-period deposits for each of the periods indicated:
In billions of dollarsJun. 30, 2016Mar. 31, 2016Jun. 30, 2015Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016
Global Consumer Banking  
North America$183.3
$183.7
$182.5
$185.1
$185.5
$182.1
Latin America28.2
28.3
29.1
27.8
25.3
25.9
Asia(1)
90.5
90.7
89.4
94.3
92.7
89.4
Total$302.0
$302.7
$301.0
$307.2
$303.5
$297.4
Institutional Clients Group  
Treasury and trade solutions (TTS)405.0
415.0
397.3
423.9
416.2
415.0
Banking ex-TTS116.4
114.8
108.4
122.1
120.8
116.3
Markets and securities services85.5
77.3
82.5
84.3
80.1
82.7
Total$606.8
$607.1
$588.3
$630.3
$617.1
$614.0
Corporate/Other22.7
15.6
7.0
22.5
20.3
24.2
Total Citicorp$931.5
$925.4
$896.3
Total Citi Holdings6.4
9.2
11.7
Total Citigroup deposits (AVG)$960.0
$940.9
$935.6
Total Citigroup deposits (EOP)$937.9
$934.6
$908.0
$958.7
$950.0
$937.9
Total Citigroup deposits (AVG)$935.6
$911.7
$906.4
(1)
For reporting purposes, includesIncludes deposits in certain EMEA GCBcountriesfor all periods presented.

As set forth in the table above, end-of-periodEnd-of-period deposits increased 2% year-over-year and 1% quarter-over-quarter. On an average basis, deposits increased 3% year-over-year and remained relatively unchanged quarter-over-quarter. 2% sequentially.
Excluding the impact of FX translation, Citigroup’s end-of-period deposits increased 5% year-over-year and 1% sequentially, despite continued reductions in Citi Holdings deposits.
Excluding the impact of FX translation, Citicorpaverage deposits grew 6% year-over-year. Within Citicorp, GCB deposits increased 2% year-over-year, driven by 5% growth in international deposits. ICG deposits increased 5% year-over-year, driven by primarily by treasury3% from the prior-year period, as Citi experienced strong customer engagement across all major businesses and trade solutions, which continued to support clients’ local liquidity needs, particularly in North America and EMEA.regions.



Long-Term Debt
The weighted-average maturities 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 7.06.9 years as of June 30, 2016, unchanged sequentially and an increase2017, a slight decline from 6.7 years in the prior-year period due primarily to the issuance of longer-dated debt securities during the second quarter of 2016 including in response to proposed total loss-absorbing capacity, or TLAC, requirements (for additional information on TLAC, see “Liquidity Risk— Long-Term Debt— Total Loss Absorbing Capacity (TLAC)” and “Risk Factors— Liquidity Risks” in Citi’s 2015 Annual Report on Form 10-K).unchanged sequentially.
Citi’s long-term debt outstanding at the parent includes senior and subordinated debt and a portion of what Citi refers to as customer-related debt, consisting of structured notes, such as equity- and credit-linked notes, as well as non-structured notes. Citi’s issuance of customer-related debt is generally driven by customer demand and supplements benchmark debt issuance as a source of funding for Citi’s parent and non-bank entities. Citi’s long-term debt at the bank
also includes FHLB advances and securitizations.



Long-Term Debt Outstanding
The following table sets forth Citi’s end-of-period total long-term debt outstanding for each of the periods indicated:
In billions of dollarsJun. 30, 2016Mar. 31, 2016Jun. 30, 2015Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016
Parent





Parent and other(1)






Benchmark debt:  
Senior debt$96.1
$94.0
$98.4
$105.9
$100.2
$96.1
Subordinated debt28.8
29.4
25.6
26.8
26.3
28.8
Trust preferred1.7
1.7
1.7
1.7
1.7
1.7
Customer-related debt:

Structured debt22.5
23.6
23.7
25.3
24.3
22.5
Non-structured debt3.3
3.3
4.5
3.1
2.9
3.3
Local country and other(1)
2.3
4.1
1.2
Total parent$154.8
$156.1
$155.1
Local country and other(2)
2.1
2.0
2.3
Total parent and other$164.9
$157.4
$154.8
Bank











FHLB borrowings$19.6
$17.1
$16.8
$20.3
$20.3
$19.6
Securitizations(2)(3)
27.3
28.7
32.0
28.2
24.0
27.3
Local country and other(1)
5.8
6.0
7.9
CBNA benchmark debt7.2
2.5
—
Local country and other(2)
4.5
4.3
5.8
Total bank$52.6
$51.7
$56.7
$60.2
$51.1
$52.6
Total long-term debt$207.4
$207.8
$211.8
$225.2
$208.5
$207.4
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 June 30, 2017, “parent and other” included $17.7 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.

Year-over-year, Citi’s total long-term debt outstanding decreased modestly both year-over-year and sequentiallyincreased, primarily driven by the issuance of senior debt at the parent, as Citi’s continuedwell as the issuance of benchmark debt was more than offset by declines in other funding sources, including securitizations at the bank entities and customer-relatedbank. Sequentially, Citi’s total long-term debt outstanding increased, primarily driven by an increase in credit card securitizations, as well as the issuance of benchmark debt at both the bank and parent.
As part of its liability management, and to assist it in meeting regulatory changes and requirements, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs.costs (and assist it in meeting regulatory changes and requirements). During the second quarter of 2016,2017, Citi repurchased an aggregate of approximately $2.9 $0.2billion of its outstanding long-term debt.






Long-Term Debt Issuances and Maturities
The table below details Citi’s long-term debt issuances and maturities (including repurchases and redemptions) during the periods presented:
2Q161Q162Q152Q171Q172Q16
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent











Parent and other











Benchmark debt:          
Senior debt$5.1
$6.6
$4.3
$5.2
$3.2
$5.4
$2.0
$6.3
$5.3
$5.2
$5.1
$6.6
Subordinated debt1.7
1.0
—
1.5
2.0
3.0
—
0.2
1.2
0.7
1.7
1.0
Trust preferred—
—
—
—
—
—
—
—
—
—
—
—
Customer-related debt:

   

   
Structured debt3.4
2.0
2.0
3.6
1.4
3.9
2.0
3.6
1.8
3.5
3.4
2.0
Non-structured debt0.1
0.1
0.2
—
0.3
0.1
0.3
—
0.1
—
0.1
0.1
Local country and other1.9
—
0.1
1.9
0.1
0.1
0.1
—
0.5
0.1
1.9
—
Total parent$12.2
$9.7
$6.6
$12.2
$7.0
$12.5
Total parent and other$4.3
$10.2
$9.0
$9.6
$12.2
$9.7
Bank























FHLB borrowings$1.0
$2.5
$1.7
$1.0
$—
$0.5
$1.5
$1.5
$1.8
$0.5
$1.0
$2.5
Securitizations1.3
—
2.3
—
3.2
—
0.9
5.1
2.0
2.5
1.3
—
CBNA benchmark debt—
4.7
—
2.5
—
—
Local country and other1.1
1.0
0.7
0.7
0.4
1.2
0.7
0.3
1.2
0.9
1.1
1.0
Total bank$3.4
$3.5
$4.7
$1.7
$3.6
$1.7
$3.0
$11.6
$5.0
$6.3
$3.4
$3.5
Total$15.6
$13.2
$11.3
$13.9
$10.6
$14.2
$7.4
$21.8
$13.9
$15.9
$15.6
$13.2

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) year-to-date in 2016,2017, as well as its aggregate expected annual long-term debt maturities as of June 30, 2016:2017:
Maturities
2016 YTD
  Maturities 2017 YTDMaturities
In billions of dollars201620172018201920202021ThereafterTotal201720182019202020212022ThereafterTotal
Parent

















Parent and other

















Benchmark debt:   
   
Senior debt$9.4
$5.1
$14.4
$18.5
$14.6
$6.6
$8.7
$28.2
$96.1
$7.2
$6.9
$18.3
$14.5
$8.9
$14.2
$6.0
$37.1
$105.9
Subordinated debt1.7
—
2.4
1.0
1.3
—
—
24.1
28.8
1.2
—
0.9
1.4
—
—
1.1
23.3
26.8
Trust preferred—
—
—
—
—
—
—
1.7
1.7
—
—
—
—
—
—
—
1.7
1.7
Customer-related debt:   
   
Structured debt5.4
2.0
3.4
2.5
2.1
2.2
1.7
8.6
22.5
3.8
0.6
3.9
2.3
2.9
2.2
1.2
12.2
25.3
Non-structured debt0.3
0.3
0.5
0.6
0.2
0.2
0.1
1.3
3.3
0.4
0.1
0.6
0.2
0.3
0.1
0.2
1.6
3.1
Local country and other2.0
—
0.3
0.2
0.1
0.1
—
1.6
2.3
0.6
0.3
0.5
0.1
0.1
0.1
0.1
0.8
2.1
Total parent$18.8
$7.4
$20.9
$22.9
$18.3
$9.2
$10.5
$65.5
$154.8
Total parent and other$13.3
$7.9
$24.2
$18.4
$12.3
$16.7
$8.6
$76.8
$164.9
Bank



































FHLB borrowings$2.7
$6.8
$8.8
$4.0
$—
$—
$—
$—
$19.6
$3.3
$4.5
$14.3
$1.6
$—
$—
$—
$—
$20.3
Securitizations3.6
8.1
5.3
8.4
1.9
0.1
2.5
1.0
27.3
2.9
2.4
9.4
6.5
3.3
3.8
0.1
2.8
28.2
CBNA benchmark debt—
—
2.2
2.5
2.5
—
—
—
7.2
Local country and other1.8
1.4
1.8
0.8
0.4
1.0
0.2
0.2
5.8
1.9
1.1
1.7
0.6
0.5
0.1
0.1
0.4
4.5
Total bank$8.1
$16.3
$15.8
$13.2
$2.3
$1.2
$2.7
$1.2
$52.6
$8.0
$7.9
$27.7
$11.1
$6.3
$3.9
$0.2
$3.2
$60.2
Total long-term debt$26.9
$23.7
$36.8
$36.1
$20.6
$10.4
$13.2
$66.7
$207.4
$21.3
$15.9
$51.9
$29.5
$18.5
$20.6
$8.8
$80.0
$225.2


Resolution Plan
Under Title I of the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (Dodd-Frank Act), Citigroup has developed a “single point of entry” resolution strategy and plan under the U.S. Bankruptcy Code (Resolution Plan). In July 2017, Citi submitted its 2017 Resolution Plan to the Federal Reserve and FDIC (the Agencies). 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 Agencies’ 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 TLAC rule, Citigroup believes it has developed the Resolution Plan so that Citigroup’s shareholders and unsecured creditors—including its unsecured long-term debt holders—bear any losses resulting from Citigroup’s bankruptcy.
In response to feedback received from the Agencies 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.

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. Seeparticipants (see Note 1716 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings. Citi has purposefully reduced its commercial paper and otherborrowings).
Outside of secured funding transactions, Citi’s short-term borrowings includingincreased 98% year-over-year and 40% sequentially.The increase both year-over-year and sequentially was driven by an increase in FHLB borrowings, as itCiti continued to growoptimize liquidity across its high-quality deposits.legal vehicles.

Secured Funding
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government debt securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and securities inventory.
Secured funding of $158$155 billion as of June 30, 20162017 declined 11%2% from the prior-year period and increased 1%4% sequentially. Excluding the impact of FX translation, secured funding decreased 9%2% from the prior-year period and increased 2% sequentially, both driven by normal business activity. Average balances for secured funding were
approximately $161billion for the quarter ended June 30, 2016.2017.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high quality,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 June 30, 2016.2017.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. 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.




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 (for additional information, see “Liquidity Risk” in each of Citi’s 20152016 Annual Report on Form 10-K and First Quarter 2016 Form 10-Q)10-K). 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 dollarsJun. 30, 2016Mar. 31, 2016Jun. 30, 2015Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016
HQLA$411.0
$400.1
$385.8
$424.4
$412.8
$411.0
Net outflows339.8
333.3
347.3
338.2
334.4
339.8
LCR121%120%111%125%123%121%
HQLA in excess of net outflows$71.2
$66.8
$38.6
$86.2
$78.4
$71.2

Note: Amounts for 2Q’16 and 1Q’16The amounts set forth in the table above are presented on an average basis; amounts for 2Q’15 are presented end-of-period. Accordingly, data in 2Q’16 and 1Q’16 is not directly comparable to data in 2Q’15.basis.

As set forth in the table above, Citi’s average LCR increased both year-over-year and sequentially driven by an increase in HQLA, reflecting the increase in HQLA as discussed above,cash related to resolution planning, partially offset by higheran increase in net outflows due to growth in average deposits as well as the impact of the Costco portfolio acquisition.outflows.

















Credit Ratings
The table below sets forth the ratings for Citigroup and Citibank as of June 30, 2016.2017. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Inc. (CGMI) were A/A-1“A2/P-1” at Moody’s, “A+/A-1” at Standard & Poor’s and A+“A+/F1F1” at Fitch as of June 30, 2016.2017. The long-term and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2 at


Standard & Poor’s and A/F1 at Fitch as of June 30, 2016.2017.



 Citigroup Inc.Citibank, N.A.
 
Senior
debt
Commercial
paper
Outlook
Long-
term
Short-
term
Outlook
Fitch Ratings (Fitch)AF1StableA+F1Stable
Moody’s Investors Service (Moody’s)Baa1P-2StableA1P-1Stable
Standard & Poor’s (S&P)BBB+A-2StableAA+A-1Watch PositiveStable

Recent Credit Rating Developments
On June 14, 2016, Fitch affirmed Citigroup Inc.’s Viability Rating (VR) and Long-Term Issuer Default Rating (IDR) at ‘a/A’, respectively. At the same time, Fitch affirmed Citibank, N.A.’s VR and IDR at ‘a/A+’, respectively. The outlooks for the Long-Term IDRs are Stable.

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-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors—
Liquidity Risks” in Citi’s 20152016 Annual Report on Form 10-K.



Citigroup Inc. and Citibank—Potential Derivative Triggers
As of June 30, 2016,2017, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $1.2$0.7 billion, compared to $0.8$0.6 billion as of March 31, 2016.2017. Other funding sources, such as securities financing transactionssecured funding and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of June 30, 2016,2017, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity by approximately $2.1$0.3 billion, compared to $1.3$0.8 billion as of March 31, 2016,2017, due to derivative triggers.
In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in increased aggregate cash obligations and collateral requirements of approximately $3.3$1.0 billion, compared to $2.1$1.4 billion as of March 31, 20162017 (see also Note 2119 to the Consolidated Financial Statements). As set forth under “High-Quality Liquid Assets” above, the liquidity resources of Citibank were approximately $343$354 billion and the liquidity resources of Citi’s non-bank and other entities were approximately $69$70 billion, for a total of approximately $411$424 billion as of June 30, 2016.2017. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending, and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select trading assets, reducing loan originations and renewals, raising



additional deposits, or borrowing from the FHLB or central


banks. Citi believes these mitigating actions could substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.
 
Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank’s senior debt/long-term rating by S&P could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of June 30, 2016,2017, Citibank had liquidity commitments of approximately $10.0billion to consolidated asset-backed commercial paper conduits, unchanged fromcompared to $10.1 billion at March 31, 20162017 (as referenced in Note 2018 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank and BanamexCitibanamex 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

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.
For additional information on market risk and market risk management at Citi, see “Market Risk” and “Risk Factors” in Citi’s 20152016 Annual Report on Form 10-K.

 

Market Risk of Non-Trading Portfolios
For additional information on Citi’s net interest revenue (for interest rate exposure purposes), interest rate risk and interest rate risk measurement, see “Market Risk of Non-Trading Portfolios” in Citi’s 20152016 Annual Report on Form 10-K.



The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis), each assuming an unanticipated parallel instantaneous 100 basis point increase in interest rates.rates:
In millions of dollars (unless otherwise noted)Jun. 30, 2016Mar. 31, 2016Jun. 30, 2015Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016
Estimated annualized impact to net interest revenue      
U.S. dollar(1)
$1,394
$1,362
$1,360
$1,435
$1,644
$1,394
All other currencies590
587
645
589
581
590
Total$1,984
$1,949
$2,005
$2,024
$2,225
$1,984
As a percentage of average interest-earning assets0.12%0.13%0.12%0.12%0.14%0.12%
Estimated initial impact to AOCI (after-tax)(2)
$(4,628)$(4,950)$(4,213)$(4,258)$(3,830)$(4,628)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(52)(57)(47)(49)(43)(52)
(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 $(230)$(164) million for a 100 basis point instantaneous increase in interest rates as of June 30, 2016.2017.
(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 initial impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s deferred tax assetDTA position and is based on only the estimated initial AOCI impact above.
The slight increasesequential decrease in the estimated impact to net interest revenue sequentially primarily reflected an increase in the assumed deposit re-pricing sensitivity to further increases in interest rates and changes in the balance sheet composition. The sequential decreaseincrease in the estimated impact to AOCI primarily reflected changes into the compositionpositioning of Citi Treasury’s investment securities and related interest rate derivatives portfolio.
In the event of an unanticipated parallel instantaneous 100 basis point increase in interest rates, Citi expects the negative impact to AOCI would be offset in stockholders’ 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 June 30, 2016,2017, Citi expects that the negative $4.6
$4.2 billion impact to AOCI in such a scenario could potentially be offset over approximately 3021 months.
The following table sets forth the estimated impact to Citi’s net interest revenue, AOCI and the Common Equity Tier 1 Capital ratio (on a fully implemented basis) under four different changes in interest rate scenarios for the U.S. dollar and Citi’s other currencies. While Citi also monitors the impact of a parallel decrease in interest rates, a 100 basis point decrease in short-term interest rates is not meaningful, as it would imply negative interest rates in many of Citi's markets.



In millions of dollars (unless otherwise noted)Scenario 1Scenario 2Scenario 3Scenario 4Scenario 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$1,394
$1,380
$171
$(170)$1,435
$1,363
$87
$(116)
All other currencies590
552
34
(33)589
549
34
(34)
Total$1,984
$1,932
$205
$(203)$2,024
$1,912
$121
$(150)
Estimated initial impact to AOCI (after-tax)(1)
$(4,628)$(2,941)$(1,863)$1,482
$(4,258)$(2,609)$(1,833)$(1,329)
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)
(52)(33)(21)16
(49)(30)(21)(15)
Note: Each scenario in the table above assumes that the rate change will occur instantaneously. Changes in interest rates for maturities between the overnight rate and the 10-year 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.
Over the past year,In recent years, a number of central banks, including the European Central Bank, the Bank of Japan and the Swiss National Bank, have implemented negative interest rates, and additional governmental entities could do so in the future. While negative interest rates can adversely impact net interest revenue (as well as net interest margin), Citi has, to date, been able to partially offset the impact of negative rates in these jurisdictions through a combination of business and Citi Treasury interest rate risk mitigation activities, including applying negative rates to client accounts (for additional information on Citi Treasury’s ongoing interest rate mitigation activities, see “Market Risk—Market Risk of Non-Trading Portfolios” in Citi’s 20152016 Annual Reporting on Form 10-K).

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of June 30, 2016,2017, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.6$1.4 billion, or 0.9% of TCE,0.8%, 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 Japanese Yen.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 impact 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 1817 to the Consolidated Financial Statements.













For the quarter endedFor the quarter ended
In millions of dollars (unless otherwise noted)Jun. 30, 2016Mar. 31, 2016Jun. 30, 2015Jun. 30, 2017Mar. 31, 2017Jun. 30, 2016
Change in FX spot rate(1)
(0.9)%2.1%0.2%1.9%4.5%(0.9)%
Change in TCE due to FX translation, net of hedges$(441)$396
$(44)$478
$654
$(441)
As a percentage of TCE(0.2)%0.2%—%0.3%0.4%(0.2)%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps)
2
(1)(3)(3)(2)2

(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
a2q17charta01.jpg
2nd Qtr. 1st Qtr. 2nd Qtr. Change2nd Qtr. 1st Qtr. 2nd Qtr. Change
In millions of dollars, except as otherwise noted2016 2016 2015 2Q16 vs. 2Q152017 2017 2016 2Q17 vs. 2Q16
Interest revenue(1)
$14,473
 $14,286
 $14,995
 (3)% $15,323
 $14,546
 $14,473
 6 % 
Interest expense3,120
 2,940
 3,051
 2
 
Interest expense(2)
4,036
 3,566
 3,120
 29
 
Net interest revenue(2)
$11,353
 $11,346
 $11,944
 (5)% $11,287
 $10,980
 $11,353
 (1)% 
Interest revenue—average rate3.65% 3.68% 3.71% (6)bps3.70% 3.63% 3.65% 5
bps
Interest expense—average rate1.04
 0.99
 0.97
 7
bps1.26
 1.16
 1.04
 22
bps
Net interest margin2.86
 2.92
 2.95
 (9)bps2.72
 2.74
 2.86
 (14)bps
Interest-rate benchmarks                
Two-year U.S. Treasury note—average rate0.77% 0.84% 0.61% 16
bps1.30% 1.24% 0.77% 53
bps
10-year U.S. Treasury note—average rate1.75
 1.91
 2.16
 (41)bps2.26
 2.45
 1.75
 51
bps
10-year vs. two-year spread98
bps107
bps155
bps 
 96
bps121
bps98
bps 
 
Note: All interest expense amounts include FDIC deposit insurance assessments.
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax rate of 35%) of $117$122 million, $119$123 million, and $121$117 million for the three months ended June 30, 2016,2017, March 31, 20162017 and June 30, 2015,2016, respectively.
(2)
Excludes expensesInterest expense associated with certain hybrid financial instruments, which are classified asLong-term debt Long-term debt and accounted for at fair value.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.


Citi’s net interest revenue declined 1% to $11.2 billion ($11.3 billion on a taxable equivalent basis) versus the prior-year period. Excluding the impact of FX translation, Citi’s net interest revenue was largely unchanged at $11.2 billion ($11.3 billion on a taxable equivalent basis) versus the prior-year period, due to lower trading-related net interest revenue ($0.9 billion, down approximately 29% or $0.4 billion), and lower net interest revenue associated with legacy assets in Corporate/Other ($0.3 billion, down approximately 49% or $0.3 billion), offset by higher net interest revenue in the remaining accrual businesses (core accrual net interest revenue). Core accrual net interest revenue increased 7% to $10.0 billion versus the prior-year period, driven by the addition of the Costco portfolio, other volume growth and the
impact of the December 2016 and March 2017 interest rate increases, partially offset by an increase in the FDIC assessment and higher long-term debt.
Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest earninginterest-earning assets. Citi’s NIM was 2.86%2.72% on a taxable equivalent basis in the second quarter of 2016, lower2017, a decrease of 14 bps from the prior-year period. Citi’s core accrual NIM was 3.44%, a decline of 1 bps, as the higher core accrual net interest revenue was more than offset by balance sheet growth, particularly in cash balances. (Citi’s core accrual net interest revenue and core accrual NIM are non-GAAP financial measures. Citi believes these measures provide a more meaningful depiction for investors of the first quarter driven by higher cash balances and lower loan yields.

underlying fundamentals of its business results.)
For information regarding expected changes to the FDIC deposit insurance assessment, see “Market Risk—Interest Revenue/Expense and Net Interest Margin” in Citi’s First Quarter of 2016 Form 10-Q.





Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest revenue% Average rateAverage volumeInterest revenue% Average rate
2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.
In millions of dollars, except rates201620162015201620162015201620162015201720172016201720172016201720172016
Assets                
Deposits with banks(5)(4)
$135,245
$117,765
$134,641
$237
$219
$168
0.70%0.75%0.50%$166,023
$154,765
$135,245
$375
$295
$237
0.91%0.77%0.70%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
     




Federal funds sold and securities
borrowed or purchased under
agreements to resell(5)
     




In U.S. offices$148,511
$150,044
$149,577
$362
$374
$307
0.98%1.00%0.82%$144,483
$144,003
$148,511
$472
$368
$362
1.31%1.04%0.98%
In offices outside the U.S.(5)
84,018
78,571
86,458
302
273
357
1.45%1.40%1.66%
In offices outside the U.S.(4)
104,780
103,032
84,018
356
293
302
1.36
1.15
1.45
Total$232,529
$228,615
$236,035
$664
$647
$664
1.15%1.14%1.13%$249,263
$247,035
$232,529
$828
$661
$664
1.33%1.09%1.15%
Trading account assets(8)(7)
     




    




In U.S. offices$108,602
$104,982
$118,896
$970
$953
$985
3.59%3.65%3.32%$100,080
$101,836
$108,602
$877
$884
$970
3.51%3.52%3.59%
In offices outside the U.S.(5)
101,075
99,118
110,691
603
518
671
2.40%2.10%2.43%
In offices outside the U.S.(4)
103,581
94,015
92,656
646
423
603
2.50
1.82
2.62
Total$209,677
$204,100
$229,587
$1,573
$1,471
$1,656
3.02%2.90%2.89%$203,661
$195,851
$201,258
$1,523
$1,307
$1,573
3.00%2.71%3.14%
Investments     




    




In U.S. offices    




    




Taxable$225,279
$228,980
$214,168
$991
$1,000
$973
1.77%1.76%1.82%$224,021
$221,450
$225,279
$1,086
$1,034
$991
1.94%1.89%1.77%
Exempt from U.S. income tax19,010
19,400
19,818
170
169
99
3.60%3.50%2.00%18,466
18,680
19,010
197
196
170
4.28
4.26
3.60
In offices outside the U.S.(5)
107,235
103,763
99,045
837
754
760
3.14%2.92%3.08%
In offices outside the U.S.(4)
106,758
107,225
107,235
830
789
837
3.12
2.98
3.14
Total$351,524
$352,143
$333,031
$1,998
$1,923
$1,832
2.29%2.20%2.21%$349,245
$347,355
$351,524
$2,113
$2,019
$1,998
2.43%2.36%2.29%
Loans (net of unearned income)(9)(8)
     




     




In U.S. offices$353,422
$350,107
$347,779
$5,793
$5,873
$6,292
6.59%6.75%7.26%$369,342
$367,397
$353,422
$6,392
$6,273
$5,793
6.94%6.92%6.59%
In offices outside the U.S.(5)
267,226
262,133
279,247
3,972
3,901
3,721
5.98%5.99%5.34%
In offices outside the U.S.(4)
264,986
255,941
267,226
3,832
3,697
3,972
5.80
5.86
5.98
Total$620,648
$612,240
$627,026
$9,765
$9,774
$10,013
6.33%6.42%6.41%$634,328
$623,338
$620,648
$10,224
$9,970
$9,765
6.46%6.49%6.33%
Other interest-earning assets(10)
$45,639
$47,765
$62,656
$236
$252
$662
2.08%2.12%4.24%
Other interest-earning assets(9)
$60,107
$56,733
$54,058
$260
$294
$236
1.74%2.10%1.76%
Total interest-earning assets$1,595,262
$1,562,628
$1,622,976
$14,473
$14,286
$14,995
3.65%3.68%3.71%$1,662,627
$1,625,077
$1,595,262
$15,323
$14,546
$14,473
3.70%3.63%3.65%
Non-interest-earning assets(7)(6)
$212,050
$214,943
$216,708
      $206,581
$205,477
$212,050
      
Total assets from discontinued operations—
—
—
   
Total assets$1,807,312
$1,777,571
$1,839,684
   $1,869,208
$1,830,554
$1,807,312
   
(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 $117$122 million, $119$123 million, and $121$117 million for the three months ended June 30, 2016,2017, March 31, 20162017 and June 30, 2015,2016, 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)
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)(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.
(7)(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.
(8)(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.
(9)(8)Includes cash-basis loans.
(10)(9)Includes brokerage receivables.


Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest expense% Average rateAverage volumeInterest expense% Average rate
2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.2nd Qtr.1st Qtr.2nd Qtr.
In millions of dollars, except rates201620162015201620162015201620162015201720172016201720172016201720172016
Liabilities                
Deposits              
In U.S. offices(5)(4)
$286,653
$277,648
$269,673
$371
$316
$330
0.52%0.46%0.49%$311,758
$302,294
$286,653
$593
$507
$371
0.76%0.68%0.52%
In offices outside the U.S.(6)
435,242
424,055
431,305
935
888
958
0.86%0.84%0.89%
In offices outside the U.S.(5)
439,807
428,743
435,242
1,010
908
935
0.92
0.86
0.86
Total$721,895
$701,703
$700,978
$1,306
$1,204
$1,288
0.73%0.69%0.74%$751,565
$731,037
$721,895
$1,603
$1,415
$1,306
0.86%0.78%0.73%
Federal funds purchased and securities loaned or sold under agreements to repurchase(7)
     





Federal funds purchased and
securities loaned or sold under
agreements to repurchase(6)
     





In U.S. offices$103,517
$103,523
$112,690
$260
$260
$183
1.01%1.01%0.65%$101,623
$94,461
$103,517
$396
$282
$260
1.56%1.21%1.01%
In offices outside the U.S.(6)
57,685
59,392
70,602
267
242
260
1.86%1.64%1.48%
In offices outside the U.S.(5)
59,354
54,425
57,685
280
211
267
1.89
1.57
1.86
Total$161,202
$162,915
$183,292
$527
$502
$443
1.31%1.24%0.97%$160,977
$148,886
$161,202
$676
$493
$527
1.68%1.34%1.31
Trading account liabilities(9)(8)
     





     





In U.S. offices$27,420
$23,636
$26,008
$64
$52
$27
0.94%0.88%0.42%$34,287
$32,215
$27,420
$81
$84
$64
0.95%1.06%0.94%
In offices outside the U.S.(6)
45,960
41,676
46,972
32
36
27
0.28%0.35%0.23%
In offices outside the U.S.(5)
56,731
59,667
45,960
65
63
32
0.46
0.43
0.28
Total$73,380
$65,312
$72,980
$96
$88
$54
0.53%0.54%0.30%$91,018
$91,882
$73,380
$146
$147
$96
0.64%0.65%0.53%
Short-term borrowings(10)
     





Short-term borrowings(9)
     





In U.S. offices$54,825
$56,834
$65,695
$43
$29
$73
0.32%0.21%0.45%$68,486
$71,607
$54,825
$103
$85
$43
0.60%0.48%0.32%
In offices outside the U.S.(6)
10,253
22,642
48,584
66
71
84
2.59%1.26%0.69%
In offices outside the U.S.(5)
23,070
24,006
10,253
99
114
66
1.72
1.93
2.59
Total$65,078
$79,476
$114,279
$109
$100
$157
0.67%0.51%0.55%$91,556
$95,613
$65,078
$202
$199
$109
0.88%0.84%0.67%
Long-term debt(11)
     





Long-term debt(10)
    





In U.S. offices$175,506
$172,429
$180,517
$1,009
$995
$1,057
2.31%2.32%2.35%$187,610
$178,656
$175,506
$1,361
$1,255
$1,009
2.91%2.85%2.31%
In offices outside the U.S.(6)
6,714
6,854
7,393
73
51
52
4.37%2.99%2.82%
In offices outside the U.S.(5)
4,534
5,313
6,714
48
57
73
4.25
4.35
4.37
Total$182,220
$179,283
$187,910
$1,082
$1,046
$1,109
2.39%2.35%2.37%$192,144
$183,969
$182,220
$1,409
$1,312
$1,082
2.94%2.89%2.39%
Total interest-bearing liabilities$1,203,775
$1,188,689
$1,259,439
$3,120
$2,940
$3,051
1.04%0.99%0.97%$1,287,260
$1,251,387
$1,203,775
$4,036
$3,566
$3,120
1.26%1.16%1.04%
Demand deposits in U.S. offices$38,979
$31,336
$24,670
   $38,772
$37,748
$38,979
   
Other non-interest-bearing liabilities(8)(7)
335,243
332,065
336,701
   313,229
314,106
335,243
   
Total liabilities$1,577,997
$1,552,090
$1,620,810
   $1,639,261
$1,603,241
$1,577,997
   
Citigroup stockholders’ equity(12)
$228,149
$224,320
$217,522
   
Citigroup stockholders’ equity(11)
$228,946
$226,312
$228,149
   
Noncontrolling interest1,166
1,161
1,352
   1,001
1,001
1,166
   
Total equity(12)
$229,315
$225,481
$218,874
   
Total equity(11)
$229,947
$227,313
$229,315
   
Total liabilities and stockholders’ equity$1,807,312
$1,777,571
$1,839,684
   $1,869,208
$1,830,554
$1,807,312
   
Net interest revenue as a percentage of average interest-earning assets(13)
      
Net interest revenue as a percentage of average interest-earning assets(12)
      
In U.S. offices$854,825
$853,513
$884,959
$6,816
$6,986
$7,087
3.21%3.29%3.21%$956,968
$948,366
$942,538
$6,777
$6,763
$6,816
2.84%2.89%2.91%
In offices outside the U.S.(6)
740,437
709,115
738,017
4,537
4,360
4,857
2.46
2.47
2.64
705,659
676,711
652,724
4,510
4,217
4,537
2.56
2.53
2.80
Total$1,595,262
$1,562,628
$1,622,976
$11,353
$11,346
$11,944
2.86%2.92%2.95%$1,662,627
$1,625,077
$1,595,262
$11,287
$10,980
$11,353
2.72%2.74%2.86%
(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 $117$122 million, $119$123 million, and $121$117 million for the three months ended June 30, 2016,2017, March 31, 20162017 and June 30, 2015,2016, 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)
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)(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(7)(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.


(8)(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.


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

Average Balances and Interest Rates—Assets(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest revenue% Average rateAverage volumeInterest revenue% Average rate
Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix Months
In millions of dollars, except rates201620152016201520162015201720162017201620172016
Assets       
Deposits with banks(5)
$126,505
$136,907
$456
$351
0.72%0.52%$160,394
$126,505
$670
$456
0.84%0.72%
Federal funds sold and securities borrowed or purchased under agreements to resell(6)
       
In U.S. offices$149,278
$150,327
$736
$590
0.99%0.79%$144,243
$149,278
$840
$736
1.17
0.99
In offices outside the U.S.(5)
81,295
88,280
575
716
1.42%1.64%103,906
81,295
649
575
1.26
1.42
Total$230,573
$238,607
$1,311
$1,306
1.14%1.10%$248,149
$230,573
$1,489
$1,311
1.21%1.14%
Trading account assets(7)(8)
        
In U.S. offices$106,792
$117,923
$1,923
$1,903
3.62%3.25%$100,958
$106,792
$1,761
$1,923
3.52%3.62%
In offices outside the U.S.(5)
100,097
111,000
1,121
1,187
2.25%2.16%98,798
91,640
1,069
1,121
2.18
2.46
Total$206,889
$228,923
$3,044
$3,090
2.96%2.72%$199,756
$198,432
$2,830
$3,044
2.86%3.08%
Investments       
In U.S. offices       
Taxable$227,130
$213,800
$1,991
$1,913
1.76%1.80%$222,736
$227,130
$2,120
$1,991
1.92%1.76%
Exempt from U.S. income tax19,205
20,279
339
182
3.55%1.81%18,573
19,205
393
339
4.27
3.55
In offices outside the U.S.(5)
105,499
100,607
1,591
1,529
3.03%3.06%106,992
105,499
1,619
1,591
3.05
3.03
Total$351,834
$334,686
$3,921
$3,624
2.24%2.18%$348,301
$351,834
$4,132
$3,921
2.39%2.24%
Loans (net of unearned income)(9)
       
In U.S. offices$351,765
$352,865
$11,666
$12,660
6.67%7.24%$368,370
$351,765
$12,665
$11,666
6.93%6.67%
In offices outside the U.S.(5)
264,680
278,081
7,873
7,916
5.98%5.74%260,464
264,680
7,529
7,873
5.83
5.98
Total$616,445
$630,946
$19,539
$20,576
6.37%6.58%$628,834
$616,445
$20,194
$19,539
6.48%6.37%
Other interest-earning assets(10)
$46,702
$54,080
$488
$772
2.10%2.88%$58,418
$55,159
$554
$488
1.91%1.78%
Total interest-earning assets$1,578,948
$1,624,149
$28,759
$29,719
3.66%3.69%$1,643,852
$1,578,948
$29,869
$28,759
3.66%3.66%
Non-interest-earning assets(7)
$213,496
$222,258
 
 
 
 
$206,029
$213,496
 
 
 
 
Total assets from discontinued operations—
—
 
 
 
 
Total assets$1,792,444
$1,846,407
 
 
 
 
$1,849,881
$1,792,444
 
 
 
 
(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $236$245 million and $244$236 million for the six months ended June 30, 20162017 and 2015,2016, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest revenue excludes the impact of FIN 41 (ASC 210-20-45).
(7)
The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.
(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes cash-basis loans.
(10)Includes brokerage receivables.



Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3)(4) 
Taxable Equivalent Basis
Average volumeInterest expense% Average rateAverage volumeInterest expense% Average rate
Six MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix MonthsSix Months
In millions of dollars, except rates201620152016201520162015201720162017201620172016
Liabilities        
Deposits        
In U.S. offices(5)
$282,151
$275,596
$687
$686
0.49%0.50%$307,026
$282,151
$1,100
$687
0.72%0.49%
In offices outside the U.S.(6)
429,649
424,092
1,823
1,927
0.85%0.92%434,275
429,649
1,918
1,823
0.89
0.85
Total$711,800
$699,688
$2,510
$2,613
0.71%0.75%$741,301
$711,800
$3,018
$2,510
0.82%0.71%
Federal funds purchased and securities loaned or sold under agreements to repurchase(7)
        
In U.S. offices$103,520
$109,542
$520
$346
1.01%0.64%$98,042
$103,520
$678
$520
1.39%1.01%
In offices outside the U.S.(6)
58,539
70,661
509
473
1.75%1.35%56,890
58,539
491
509
1.74
1.75
Total$162,059
$180,203
$1,029
$819
1.28%0.92%$154,932
$162,059
$1,169
$1,029
1.52%1.28%
Trading account liabilities(8)(9)
        
In U.S. offices$25,528
$27,024
$116
$50
0.91%0.37%$33,251
$25,528
$165
$116
1.00%0.91%
In offices outside the U.S.(6)
43,818
46,066
68
51
0.31%0.22%58,199
43,818
128
68
0.44
0.31
Total$69,346
$73,090
$184
$101
0.53%0.28%$91,450
$69,346
$293
$184
0.65%0.53%
Short-term borrowings(10)
        
In U.S. offices$55,830
$68,878
$72
$94
0.26%0.28%$70,047
$55,830
$188
$72
0.54%0.26%
In offices outside the U.S.(6)
16,448
52,831
138
183
1.69%0.70%23,538
16,448
213
138
1.82
1.69
Total$72,278
$121,709
$210
$277
0.58%0.46%$93,585
$72,278
$401
$210
0.86%0.58%
Long-term debt(11)
        
In U.S. offices$173,968
$186,036
$2,003
$2,167
2.32%2.35%$183,133
$173,968
$2,616
$2,003
2.88%2.32%
In offices outside the U.S.(6)
6,784
7,200
124
102
3.68%2.86%4,924
6,784
105
124
4.30
3.68
Total$180,752
$193,236
$2,127
$2,269
2.37%2.37%$188,057
$180,752
$2,721
$2,127
2.92%2.37%
Total interest-bearing liabilities$1,196,235
$1,267,926
$6,060
$6,079
1.02%0.97%$1,269,325
$1,196,235
$7,602
$6,060
1.21%1.02%
Demand deposits in U.S. offices$35,158
$24,344
 
 
 
 $38,260
$35,158
 
 
 
 
Other non-interest-bearing liabilities(8)
333,653
337,915
 
 
 
 311,877
333,652
 
 
 
 
Total liabilities from discontinued operations—
—
 
 
 
 
Total liabilities$1,565,046
$1,630,185
 
 
 
 $1,619,462
$1,565,045
 
 
 
 
Citigroup stockholders’ equity(12)
$226,235
$214,828
 
 
 
 $229,418
$226,235
 
 
 
 
Noncontrolling interest1,164
1,394
 
 
 
 1,001
1,164
 
 
 
 
Total equity(12)
$227,399
$216,222
 
 
 
 $230,419
$227,399
 
 
 
 
Total liabilities and stockholders’ equity$1,792,445
$1,846,407
 
 
 
 $1,849,881
$1,792,444
 
 
 
 
Net interest revenue as a percentage of average interest-earning assets          
In U.S. offices$854,172
$913,944
$13,802
$14,091
3.25%3.11%$952,667
$936,046
$13,540
$13,802
2.87%2.97%
In offices outside the U.S.(6)
724,776
710,205
8,897
9,549
2.47%2.71%691,185
642,902
8,727
8,897
2.55
2.78
Total$1,578,948
$1,624,149
$22,699
$23,640
2.89%2.94%$1,643,852
$1,578,948
$22,267
$22,699
2.73%2.89%
(1)
Net interest revenue includes the taxable equivalent adjustments (based on the U.S. federal statutory tax rate of 35%) of $236$245 million and $244$236 million for the six months ended June 30, 20162017 and 2015,2016, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset and liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(5)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts, and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance fees and charges.
(6)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(7)
Average volumes of securities loaned or sold under agreements to repurchase are reported net pursuant to FIN 41 (ASC 210-20-45). However, Interest expense excludes the impact of FIN 41 (ASC 210-20-45).
(8)
The fair value carrying amounts of derivative contracts are reported in Non-interest-earning assets and Other non-interest-bearing liabilities.


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


Analysis of Changes in Interest Revenue(1)(2)(3) 
2nd Qtr. 2016 vs. 1st Qtr. 20162nd Qtr. 2016 vs. 2nd Qtr. 20152nd Qtr. 2017 vs. 1st Qtr. 20172nd Qtr. 2017 vs. 2nd Qtr. 2016
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
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
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits with banks(4)
$31
$(13)$18
$1
$68
$69
$23
$57
$80
$61
$77
$138
Federal funds sold and securities borrowed or
purchased under agreements to resell
      
In U.S. offices$(4)$(8)$(12)$(2)$57
$55
$1
$103
$104
$(10)$120
$110
In offices outside the U.S.(4)
19
10
29
(10)(45)(55)5
58
63
71
(17)54
Total$15
$2
$17
$(12)$12
$—
$6
$161
$167
$61
$103
$164
Trading account assets(5)
      
In U.S. offices$33
$(16)$17
$(89)$74
$(15)$(15)$8
$(7)$(75)$(18)$(93)
In offices outside the U.S.(4)
10
75
85
(58)(10)(68)47
176
223
69
(26)43
Total$43
$59
$102
$(147)$64
$(83)$32
$184
$216
$(6)$(44)$(50)
Investments(1)
      
In U.S. offices$(19)$11
$(8)$48
$41
$89
$12
$41
$53
$(9)$131
$122
In offices outside the U.S.(4)
26
57
83
64
13
77
(3)44
41
(4)(3)(7)
Total$7
$68
$75
$112
$54
$166
$9
$85
$94
$(13)$128
$115
Loans (net of unearned income)(6)
      
In U.S. offices$55
$(135)$(80)$101
$(600)$(499)$33
$86
$119
$267
$332
$599
In offices outside the U.S.(4)
76
(5)71
(165)416
251
131
4
135
(33)(107)(140)
Total$131
$(140)$(9)$(64)$(184)$(248)$164
$90
$254
$234
$225
$459
Other interest-earning assets(7)
$(11)$(5)$(16)$(148)$(278)$(426)$17
$(51)$(34)$26
$(2)$24
Total interest revenue$216
$(29)$187
$(258)$(264)$(522)$251
$526
$777
$363
$487
$850
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax rate of 35% and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)Includes cash-basis loans.
(7)Includes brokerage receivables.


Analysis of Changes in Interest Expense and Net Interest Revenue(1)(2)(3) 
2nd Qtr. 2016 vs. 1st Qtr. 20162nd Qtr. 2016 vs. 2nd Qtr. 20152nd Qtr. 2017 vs. 1st Qtr. 20172nd Qtr. 2017 vs. 2nd Qtr. 2016
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
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
Average
volume
Average
rate
Net
change
Average
volume
Average
rate
Net
change
Deposits      
In U.S. offices$11
$44
$55
$21
$20
$41
$16
$70
$86
$35
$187
$222
In offices outside the U.S.(4)
24
23
47
9
(32)(23)24
78
102
10
65
75
Total$35
$67
$102
$30
$(12)$18
$40
$148
$188
$45
$252
$297
Federal funds purchased and securities loaned or sold under agreements to repurchase        
In U.S. offices$—
$—
$—
$(16)$93
$77
$23
$91
$114
$(5)$141
$136
In offices outside the U.S.(4)
(7)32
25
(53)60
7
20
49
69
8
5
13
Total$(7)$32
$25
$(69)$153
$84
$43
$140
$183
$3
$146
$149
Trading account liabilities(5)
      
In U.S. offices$9
$3
$12
$2
$35
$37
$5
$(8)$(3)$16
$1
$17
In offices outside the U.S.(4)
3
(7)(4)(1)6
5
(3)5
2
9
24
33
Total$12
$(4)$8
$1
$41
$42
$2
$(3)$(1)$25
$25
$50
Short-term borrowings(6)
      
In U.S. offices$(1)$15
$14
$(11)$(19)$(30)$(4)$22
$18
$13
$47
$60
In offices outside the U.S.(4)
(53)48
(5)(107)89
(18)(4)(11)(15)61
(28)33
Total$(54)$63
$9
$(118)$70
$(48)$(8)$11
$3
$74
$19
$93
Long-term debt      
In U.S. offices$18
$(4)$14
$(29)$(19)$(48)$64
$42
$106
$73
$279
$352
In offices outside the U.S.(4)
(1)23
22
(5)26
21
(8)(1)(9)(23)(2)(25)
Total$17
$19
$36
$(34)$7
$(27)$56
$41
$97
$50
$277
$327
Total interest expense$3
$177
$180
$(190)$259
$69
$133
$337
$470
$197
$719
$916
Net interest revenue$213
$(206)$7
$(68)$(523)$(591)$118
$189
$307
$166
$(232)$(66)
(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.



Analysis of Changes in Interest Revenue, Interest Expense, and Net Interest Revenue(1)(2)(3) 
Six Months 2016 vs. Six Months 2015Six Months 2017 vs. Six Months 2016
Increase (decrease)
due to change in:
Increase (decrease)
due to change in:
In millions of dollars
Average
volume
Average
rate
Net
change(2)
Average
volume
Average
rate
Net
change(2)
Deposits at interest with banks(4)
$(28)$133
$105
Deposits with banks(4)
$134
$80
$214
Federal funds sold and securities borrowed or purchased under agreements to resell     
In U.S. offices$(4)$150
$146
$(26)$130
$104
In offices outside the U.S.(4)
(54)(87)(141)147
(73)74
Total$(58)$63
$5
$121
$57
$178
Trading account assets(5)
     
In U.S. offices$(189)$209
$20
$(103)$(59)$(162)
In offices outside the U.S.(4)
(120)54
(66)83
(135)(52)
Total$(309)$263
$(46)$(20)$(194)$(214)
Investments(1)
 
   
In U.S. offices$113
$122
$235
$(48)$231
$183
In offices outside the U.S.(4)
74
(12)62
23
5
28
Total$187
$110
$297
$(25)$236
$211
Loans (net of unearned income)(6)
     
In U.S. offices$(39)$(955)$(994)$562
$437
$999
In offices outside the U.S.(4)
(390)347
(43)(124)(220)(344)
Total$(429)$(608)$(1,037)$438
$217
$655
Other interest-earning assets$(96)$(188)$(284)$30
$36
$66
Total interest revenue$(733)$(227)$(960)$678
$432
$1,110
Deposits (7)
     
In U.S. offices$16
$(15)$1
$65
$348
$413
In offices outside the U.S.(4)
25
(129)(104)20
75
95
Total$41
$(144)$(103)$85
$423
$508
Federal funds purchased and securities loaned or sold under agreements to repurchase    
In U.S. offices$(20)$194
$174
$(29)$187
$158
In offices outside the U.S.(4)
(90)126
36
(14)(4)(18)
Total$(110)$320
$210
$(43)$183
$140
Trading account liabilities(5)
     
In U.S. offices$(3)$69
$66
$38
$11
$49
In offices outside the U.S.(4)
(3)20
17
26
34
60
Total$(6)$89
$83
$64
$45
$109
Short-term borrowings      
In U.S. offices$(17)$(5)$(22)$22
$94
$116
In offices outside the U.S.(4)
(185)140
(45)63
13
76
Total$(202)$135
$(67)$85
$107
$192
Long-term debt     
In U.S. offices$(139)$(25)$(164)$110
$502
$612
In offices outside the U.S.(4)
(6)28
22
(38)19
(19)
Total$(145)$3
$(142)$72
$521
$593
Total interest expense$(422)$403
$(19)$263
$1,279
$1,542
Net interest revenue$(311)$(630)$(941)$415
$(847)$(432)
(1)The taxable equivalent adjustment is based on the U.S. Federal statutory tax rate of 35% and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations.
(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 Trading account assets and Trading account liabilities, respectively.
(6)Includes cash-basis loans.
(7)The interest expense on deposits includes the FDIC assessment and deposit insurance fees and charges of $502 million and $585 million for the six months ended June 30, 20162017 and 2015,2016, respectively.


Market Risk of Trading Portfolios
For additional information on Citi’s market risk of trading portfolios, see “Market Risk—Market Risk of Trading Portfolios” in Citi’s 20152016 Annual Report on Form 10-K.

Value at Risk
As of June 30, 2016,2017, Citi estimates that the conservative features of its VAR calibration contribute an approximate 16%22% add-on (compared to 22% at(unchanged from March 31, 2016)2017) to what would be a VAR estimated under the assumption of stable and perfectly normal distributed markets.


As set forth in the table below, Citi’sCiti's average Tradingtrading VAR as of June 30, 20162017 was substantially unchanged compared to March 31, 2017, with changes in interest rate exposures offset by changes in credit spread exposures. Average trading and credit portfolio VAR as of June 30, 2017 slightly decreased sequentially, mainly due to interest rate risk profile changes from hedging activity associated with non-trading positions.a reduction of the hedges to the lending portfolio.


Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR as of June 30, 2016 decreased more than Trading VAR, with the further decrease mainly from lower spread volatilities affecting the credit portfolio.



















 Second Quarter First Quarter Second Quarter Second Quarter First Quarter Second Quarter
In millions of dollarsJune 30, 20162016 AverageMarch 31, 20162016 AverageJune 30, 20152015 AverageJune 30, 20172017 AverageMarch 31, 20172017 AverageJune 30, 20162016 Average
Interest rate$32
$32
$37
$41
$33
$42
$48
$52
$52
$48
$32
$32
Credit spread61
60
62
64
64
$70
52
49
54
56
61
$60
Covariance adjustment(1)
(30)(26)(29)(27)(22)(25)(15)(15)(17)(17)(30)(26)
Fully diversified interest rate and credit spread(2)$63
$66
$70
$78
$75
$87
$85
$86
$89
$87
$63
$66
Foreign exchange26
20
25
29
32
34
23
23
16
24
26
20
Equity11
15
9
15
24
21
15
15
17
15
11
15
Commodity23
20
17
14
18
18
20
21
23
23
23
20
Covariance adjustment(1)
(59)(56)(62)(56)(66)(70)(53)(59)(53)(63)(59)(56)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$64
$65
$59
$80
$83
$90
Total trading VAR—all market risk factors, including general
and specific risk (excluding credit portfolios)(3)
$90
$86
$92
$86
$64
$65
Specific risk-only component(3)(4)
$9
$9
$7
$7
$7
$6
$1
$1
$—
$2
$9
$9
Total trading VAR—general market risk factors only (excluding credit portfolios)(2)
$55
$56
$52
$73
$76
$84
Total trading VAR—general market risk factors only
(excluding credit portfolios)(3)
$89
$85
$92
$84
$55
$56
Incremental impact of the credit portfolio(4)(6)
$22
$23
$29
$28
$15
$23
$5
$10
$15
$14
$22
$23
Total trading and credit portfolio VAR$86
$88
$88
$108
$98
$113
$95
$96
$107
$100
$86
$88

(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 increase in the second quarter of 2017 end of period and average VaR attributable to fully diversified interest rate and credit spread year-over-year was primarily due to lower trading volumes in the prior-year period.
(3)
The total trading VAR includes mark-to-market and certain fair value option trading positions in ICG,(2) The total Trading VAR includes mark-to-market and certain fair value option trading positions in 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.
(3)(4)The specific risk-only component represents the level of equity and fixed income issuer-specific risk embedded in VAR.
(4)(5)
The credit portfolio is composed of mark-to-market positions associated with non-trading business units including Citi Treasury, the CVA relating to derivative counterparties and all associated CVA hedges. FVA and DVA are not included. The credit portfolio also includes hedges to the loan portfolio, fair value option loans and hedges to the leveraged finance pipeline within capital markets origination in ICG.
(6)The decrease in the second quarter of 2017 end of period and average VaR attributable to the incremental impact of the credit portfolio year-over-year and sequentially was primarily related to a reduction in the use of credit default swaps used to hedge the corporate loan portfolio.


 

The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
Second QuarterFirst QuarterSecond QuarterSecond QuarterFirst QuarterSecond Quarter
201620162015201720172016
In millions of dollarsLowHighLowHighLowHighLowHighLowHighLowHigh
Interest rate$26
$40
$29
$64
$29
$73
$33
$72
$29
$70
$26
$40
Credit spread56
64
56
69
63
77
47
53
51
63
56
64
Fully diversified interest rate and credit spread$60
$74
$66
$97
$71
$106
$67
$107
$59
$109
$60
$74
Foreign exchange14
29
24
40
22
51
17
28
16
35
14
29
Equity10
26
9
24
12
32
10
24
6
25
10
26
Commodity16
25
10
18
15
22
14
30
18
30
16
25
Total trading$55
$76
$59
$106
$71
$107
$67
$116
$61
$107
$55
$76
Total trading and credit portfolio79
98
85
131
89
141
78
123
75
123
79
98
Note: No covariance adjustment can be inferred from the above table as the high and low for each market factor will be from different close of businessclose-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 dollarsJun. 30, 2016Jun. 30, 2017
Total—all market risk factors, including general and specific risk$62
$89
Average—during quarter$61
$86
High—during quarter72
115
Low—during quarter53
65

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.
As of June 30, 2016,2017, there was one back-testing exception observed for Citi’s Regulatory VAR for the prior 12 months. TradingAs previously disclosed, trading losses on June 3,November 14, 2016 exceeded the VAR estimate at the Citigroup level, driven by higher volatilitythe widening of municipal bond
yields following the election results in the interest rate and foreign exchange markets following the release of weak non-farm payroll data.





United States.




COUNTRY RISK

For additional information on country risk at Citi, see “Country Risk” and “Risk Factors” in Citi’s 20152016 Annual Report on Form 10-K.

Top 25 Country Exposures
The following table presents Citi’s top 25 exposures by
country (excluding the U.S.) as of June 30, 2016.2017. 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 30%25% of corporate
loans presented in the table below are to U.K. domiciled
entities (25%(27% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 85%81% of the total U.K. funded loans and 90%91% of
the total U.K. unfunded commitments were investment grade
as of June 30, 2016.2017. 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.
For a discussion of uncertainties arising as a result of the vote in the U.K. to withdraw from the EU, see “Risk Factors—Strategic Risks” in Citigroup’s 2016 Annual Report on Form 10-K.


 
In billions of dollars
ICG
loans(1)
GCB loans(2)
Other funded(3)
Unfunded(4)
Net MTM on Derivatives/Repos(5)
Total hedges (on loans and CVA)
Investment securities(6)
Trading account assets(7)
Total
as of
2Q16
Total
as of
1Q16
Total
as of
4Q15
ICG
loans(1)
GCB loans(2)
Other funded(3)
Unfunded(4)
Net MTM on derivatives/repos(5)
Total hedges (on loans and CVA)
Investment securities(6)
Trading account assets(7)
Total
as of
2Q17
Total
as of
1Q17
Total
as of
4Q16
United Kingdom$33.1
$—
$3.7
$51.8
$13.5
$(3.0)$8.9
$0.4
$108.4
$103.5
$110.4
$34.3
$—
$3.3
$56.5
$11.0
$(2.1)$8.0
$0.8
$111.8
$108.6
$107.5
Mexico7.2
24.5
0.4
5.3
0.8
(0.6)15.9
3.5
57.0
61.1
60.4
8.4
26.6
0.4
6.1
0.7
(0.6)13.5
6.2
61.3
59.1
52.4
Singapore12.0
13.3
0.5
5.1
0.8
(0.3)5.7
0.2
37.3
37.2
36.7
12.8
12.2
0.1
6.6
0.9
(0.3)8.4
0.5
41.2
39.8
36.4
Hong Kong14.5
10.5
0.9
6.0
0.5
(0.5)6.0
1.8
39.7
40.3
35.9
Korea2.9
19.3
0.4
4.4
1.4
(1.0)8.6
1.2
37.2
38.5
39.3
2.5
19.0
0.4
3.6
1.3
(0.8)7.5
1.6
35.1
36.0
34.0
Hong Kong11.7
10.4
0.7
5.3
0.5
(0.9)5.0
2.6
35.3
34.5
35.2
India10.2
6.3
0.7
4.5
0.4
(1.3)7.1
3.1
31.0
32.8
33.0
7.9
6.5
0.7
5.2
2.3
(1.1)9.8
2.1
33.4
36.2
30.9
Brazil14.3
1.9
0.2
3.8
2.9
(2.8)4.1
4.2
28.6
27.8
23.2
Ireland7.7
—
0.4
15.1
0.3
—
—
0.6
24.1
24.5
22.0
11.3
—
0.9
15.8
0.3
—
—
0.6
28.9
25.3
24.8
Brazil(2)
13.3
1.8
0.2
3.5
4.8
(2.8)3.2
3.3
27.3
28.9
28.5
Australia3.9
10.2
—
4.9
1.0
(0.9)4.6
(1.1)22.6
25.9
24.5
4.0
10.9
—
5.8
0.9
(0.9)4.1
(1.1)23.7
23.9
22.4
Germany0.1
—
—
4.2
4.2
(2.3)9.6
3.7
19.5
18.0
16.0
China7.3
4.5
3.2
1.6
1.3
(1.1)3.0
2.6
22.4
22.9
23.0
6.9
4.4
0.2
1.6
1.9
(1.0)3.4
2.0
19.4
17.4
17.2
Canada2.5
0.6
2.3
6.3
2.8
(0.9)4.3
0.2
18.1
17.4
16.5
Germany0.2
—
—
4.2
3.7
(3.5)9.8
2.9
17.3
21.9
18.8
Japan2.8
—
0.4
2.9
4.1
(1.2)2.4
4.2
15.6
11.1
9.1
2.7
—
0.2
7.3
3.7
(1.0)4.2
1.5
18.6
18.3
18.3
Taiwan3.8
8.0
0.1
1.4
0.2
(0.2)1.2
0.9
15.4
15.5
14.8
4.6
8.6
0.1
1.1
0.8
(0.2)1.7
1.7
18.4
18.5
16.6
Canada1.8
0.6
0.5
6.6
1.8
(0.5)4.5
1.0
16.3
15.0
17.0
Poland2.7
1.6
0.1
3.2
0.1
(0.3)4.7
0.1
12.2
14.8
13.1
3.3
1.8
—
3.0
0.2
(0.3)4.9
0.2
13.1
12.2
11.8
Malaysia2.0
4.8
0.2
1.8
0.2
(0.1)0.8
1.6
11.3
10.8
9.2
1.3
4.5
0.3
1.5
0.1
(0.2)0.7
0.8
9.0
9.1
9.3
Netherlands—
—
—
—
1.6
(1.0)6.1
0.4
7.1
6.8
7.1
Thailand0.9
1.9
—
1.1
0.1
—
1.7
0.8
6.5
6.2
5.4
0.9
2.0
0.1
1.9
0.3
—
1.6
0.2
7.0
6.2
5.8
United Arab
Emirates
3.5
1.3
0.2
1.6
0.4
(0.4)—
(0.2)6.4
6.4
6.4
2.9
1.4
0.1
2.1
0.3
(0.4)—
(0.2)6.2
5.9
6.0
Luxembourg0.1
—
—
—
0.5
(0.2)5.1
0.2
5.7
6.2
4.9
—
—
—
—
0.4
(0.3)5.3
0.4
5.8
5.7
5.4
Indonesia1.9
1.1
0.1
1.0
—
(0.2)0.9
0.4
5.2
5.2
4.4
1.9
1.1
0.1
1.2
—
(0.2)1.3
0.3
5.7
5.5
5.2
Colombia2.3
1.7
—
0.9
0.3
(0.1)0.3
(0.3)5.1
5.9
5.7
Colombia(2)
2.1
1.6
—
1.0
0.2
(0.1)0.4
0.1
5.3
5.8
5.6
Netherlands—
—
—
—
1.4
(0.7)3.7
0.5
4.9
6.8
5.1
Russia2.4
0.9
—
0.8
0.2
(0.5)0.6
0.4
4.8
5.1
5.0
1.9
1.0
—
1.0
0.2
(0.2)0.8
—
4.7
6.0
5.3
Turkey3.3
—
0.4
0.5
0.3
(0.1)0.4
(0.2)4.6
4.8
4.0
Jersey2.8
—
—
1.3
—
—
—
—
4.1
3.8
3.7
South Africa1.3
—
—
2.2
0.3
(0.3)1.1
(0.1)4.5
2.8
2.8
1.5
—
—
1.1
0.1
(0.3)1.3
0.2
3.9
3.5
3.9

(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of June 30, 2016,2017, private bank loans in the table above totaled $16.5$21.7 billion, concentrated in Singapore ($6.9 billion), Hong Kong ($5.8 billion) and the U.K. ($4.3 billion), Singapore ($6.6 billion) and Hong Kong ($4.54.9 billion).                     
(2)
GCBloans include funded loans in Brazil and Colombia related to businesses that were transferred to Citi HoldingsCorporate/Other as of January 1, 2016.2016 (Brazil GCB loans are recorded as HFS in Other assets on the Consolidated Balance Sheet).    
(3)
Other funded includes other direct exposure such as accounts receivable, loans held-for-sale, other loans in Citi HoldingsCorporate/Other and investments accounted for under the equity method.


(4)Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.
(5)Net mark-to-market (MTM) on derivatives and securities lending/lending / borrowing transactions (repos). Exposures are shown net of collateral and inclusive of CVA. Includes margin loans.                                        
(6)Investment securities include securities available-for-sale, recorded at fair market value, and securities held-to-maturity, recorded at historical cost.                                        


(7)Trading account assets are shown on a net basis and include derivative exposuresexposure where the underlying reference entity is located in that country.    

Included within the table above are Citi’s exposures to the U.K. as well as certain other countries within the European Union (EU) as of June 30, 2016. On June 23, 2016, a referendum was held in the U.K. regarding the U.K.’s continued membership in the EU, with the result that a majority of votes cast were in favor of the U.K. leaving the EU.
The result of the referendum has raised numerous uncertainties, including as to when the U.K. may begin the official process of withdrawal and the commencement of negotiations with the EU regarding the terms of the withdrawal. Additional areas of uncertainty that could impact Citi include, among others: (i) whether Citi will need to make changes to its legal entity and booking model strategy and/or structure in both the U.K. and the EU based on the outcome of negotiations relating to the regulation of financial services; (ii) the potential impact of the withdrawal to the economy of the United Kingdom as well as more broadly throughout Europe; (iii) the potential impact to Citi’s exposures to counterparties as a result of any macroeconomic slowdown; (iv) the impact of the referendum on U.S. monetary policy, such as changes to interest rates; and (v) the potential impact to foreign exchange rates, particularly the Euro and the pound sterling, and the resulting impacts to Citi’s results of operations.
To date, Citi has not experienced any significant negative impact to its results of operations or client or counterparty activity or exposures as a result of the U.K. referendum. Given the current status, it is not possible to determine as to the outcome of the issues raised above. However, Citi will continue to monitor developments emanating from the U.K. referendum closely.



Argentina
For additional information relating to Citi’s exposures in Argentina, see “Country Risk—Argentina” in Citi’s 2015 Annual Report on Form 10-K and First Quarter of 2016 Form 10-Q.
There were no significant changes to Citi’s exposures in Argentina during the current quarter. Citi’s net investment in its Argentine operations was approximately $722 million as of June 30, 2016 (compared to $756 million as of March 31, 2016) with cumulative translation losses, net of qualifying net investment hedges, of approximately $2 billion (pretax) as of June 30, 2016 (unchanged from March 31, 2016). In addition, during the current quarter, Citi Argentina was notified by the Comision Nacional de Valores that Citi’s previous suspension from certain capital markets activities had been lifted and an Argentine court, at the request of the Ministry of Economy and Public Finance, lifted an injunction that restricted Citi from exiting its retail custody business in Argentina.

Venezuela
For historical information on foreign exchange controls in Venezuela as well as additional information on Citi’s exposures in Venezuela, see “Country Risk—Venezuela” in Citi’s 2015 Annual Report on Form 10-K and First Quarter of 2016 Form 10-Q.
As of June 30, 2016, Citi’s net investment in its Venezuelan operations was approximately $54 million (compared to $51 million as of March 31, 2016), with de minimis foreign exchange exposure remaining. Citi also had cumulative translation losses related to its investment in Venezuela of approximately $20 million, which would not be reclassified into earnings unless a change of control, liquidation or similar event to Citi’s Venezuela operations were to occur. Accordingly, if any such event were to occur, Citi estimates its net exposure to Venezuela would be approximately $70 million as of June 30, 2016.
In addition, as previously reported, on July 11, 2016, following a periodic risk management review in Venezuela, Citi decided to discontinue correspondent banking and the servicing of certain accounts in Venezuela.






INCOME TAXES

Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—OperationalStrategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and Note 9 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.
At June 30, 2016,2017, Citigroup had recorded net DTAs of approximately $45.4$45.8 billion, a decrease of $0.9$0.1 billion from March 31, 20162017 and $2.4$0.9 billion from December 31, 2015.2016. The sequential decrease in DTAs wasDTA reductions for the three and six months ended June 30, 2017 were primarily driven primarily by the continued generation of U.S. taxable earnings in Citicorp and gains in AOCI.earnings.
The following table summarizes Citi’s net DTAs balance as of the periods presented. Of Citi’s net DTAs as of June 30, 2016,2017, those arising from net operating losses, foreign tax credit and general business credit carry-forwards are 100% deducted in calculating Citi’s regulatory capital, while DTAs arising from temporary differences are deducted from regulatory capital if in excess of the 10%/15% limitations (see “Capital Resources” above). Approximately $17.4$17.6 billion of the net DTAsDTA was not deducted in calculating regulatory capital pursuant to full Basel III implementation standards as of June 30, 2016.2017.
Jurisdiction/ComponentDTAs balanceDTAs balance
In billions of dollarsJune 30,
2016		December 31, 2015Jun. 30, 2017December 31,
2016
Total U.S.$43.1
$45.2
$43.5
$44.6
Total foreign2.3
2.6
2.3
2.1
Total$45.4
$47.8
$45.8
$46.7


 

Effective Tax Rate
Citi’s effective tax rate for the second quarter of 20162017 was 29.9%31.6%, slightly higher than the 29.2% effective tax rateas compared with 29.9% in the second quarter of 2015 (excluding CVA/DVA).2016. The slight increaseprior-year rate was due to a combinationlower because of factors, including the impact of the previously disclosed New York City tax reform and a state and local audit settlement in the prior-year period and the lower level of pretax income in the current quarter.certain nonrecurring items.






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 June 30, 20162017 and, based on that evaluation, the CEO and CFO have concluded that at that date, Citigroup’s disclosure controls and procedures were effective.

DISCLOSURE PURSUANT TO SECTION 219 OF THE IRAN THREAT REDUCTION AND SYRIA HUMAN RIGHTS ACT

Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012, which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities that are subject to sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law. Citi disclosed reportable activities pursuant to Section 219 in the first quarter of 2017 in the First Quarter of 2017 Form 10-Q.
A branch of Citibank located in Dublin, Ireland processed a funds transferIn addition to the Embassy of Iran in IrelandCiti’s prior disclosure, during the second quarter of 2016.2017 a branch of Citibank, N.A. located in London processed a funds transfer involving the Iranian Embassy in South Africa.  The value of thisthe funds transfer was approximately EUR 50100 (approximately $57.00)$112.00).  This paymentIn addition, a branch of Citibank, N.A. located in the United Arab Emirates processed a funds transfer involving Bank Melli, Iran.  The value of the funds transfer was AED 2,975 (approximately $810.00).  These payments were for visa servicespassport-related fees and Iran-related travel respectively, both of which are exemptpermissible under Office of Foreign Assets Control regulations. The transaction resultedthe travel exemption in nominal revenue for Citibank.the Iranian Transactions and Sanctions Regulations. 









FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the U.S. Private Securities Litigation Reform Actrules and regulations of 1995.the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target, illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within each individual business’business’s discussion and analysis of its results of operations above and in Citi’s 20152016 Annual Report on Form 10-K,10-K; (ii) the factors listed and described under “Risk Factors” in Citi’s 20152016 Annual Report on Form 10-K10-K; and (iii) the risks and uncertainties summarized below:

potential changes to various aspects of the regulatory capital framework proposed or adopted by the Basel Committee on Banking Supervision and/or the U.S. banking agencies, such as those related to market risk (including as a result of the so-called “fundamental review of the trading book”), operational risk and credit risk, and the impact any such changes could have on Citi’s regulatory capital ratios and/or their components;
the potential impact of any inclusion of Citi’s GSIB surcharge in the Federal Reserve Board’s post-stress minimum capital requirements under CCAR, including on Citi’s ability to return capital to shareholders;
Citi’s ability to adequately address (i) the shortcomings identified by the Federal Reserve Board and FDIC as a result of their review of Citi’s 2015 annual resolution plan submission and as well as (ii) the 2017 resolution plan guidance in Citi’s recent 2017 resolution plan submission;
the potential impact actions Citi may takeon Citi’s ability to addressreturn capital to shareholders due to any changes to the stress testing and CCAR requirements or process, such shortcomings may have onas the introduction of a firm-specific “stress capital buffer” or incorporation of Citi’s then-effective GSIB surcharge into its post-stress test minimum capital requirements or the introduction of additional macroprudential considerations such as funding and liquidity;liquidity shocks in the stress testing process;
the ongoing regulatory changesuncertainties and uncertaintieschanges faced by financial institutions, including Citi, in the U.S. and globally, including, as a resultamong others, uncertainties and potential changes arising from the U.S. presidential administration and Congress, potential changes to various aspects of the Federal Reserve Board’s recent proposal relatingregulatory capital framework and the terms of and other uncertainties resulting from the U.K.’s initiation of the process to single-counterparty credit limits,withdraw from the European Union, and the potential impact these changesuncertainties and uncertaintieschanges could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structure and compliance risks and costs;
the potential impact to Citi’s delinquency rates, loan loss reserves, net credit losses and overall results of operations
 
as Citi’s revolving home equity lines of credit continue to “reset” (Revolving HELOCs), particularly if interest rates increase;
the potential impact to Citi’s businesses, credit costs and overall results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties, including slower growth in the emerging markets or if energy or other commodity prices deteriorate;
the extensivenumerous uncertainties arising as a result of the voteinitiation of the process in the United KingdomU.K. to withdraw from the European Union, including the terms of the withdrawal, and the potential impact to macroeconomic conditions as well as Citi’s legal entity structure and overall results of operations or financial condition;
the potential impact to financial institutions, including Citi, as a result of the uncertainties associated with any potential balance sheet normalization program by the Federal Reserve Board or other central banks;
the impact on the value of Citi’s DTAs and on Citi’s net income or regulatory capital if corporate tax rates in the U.S. or certain state, local or foreign jurisdictions are reduced, or if other changes are made to the U.S. corporate tax system, including a potential change to a territorial system or a one-time mandatory deemed repatriation of all untaxed non-U.S. earnings at a significantly lower rate;
Citi’s ability to continue to utilize its DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negative impact of the DTAs on Citi’s regulatory capital, including as a result of movements in Citi’s AOCI, which can be impacted by changes in interest rates and foreign exchange rates;
the potential impact to Citi if its interpretation or application of the extensive tax laws to which it is subject, such as withholding tax obligations and stamp and other transactional taxes, differs from those of the relevant governmental authorities;
Citi’s ability to achieve the expected returns on its ongoing investments in its businesses or meet its operational or financial objectives or targets, including as a result of factors that Citi cannot control;
the potential negative impact to Citi’s co-branding and private label credit card relationships as well as Citi’s results of operations or financial condition, including as a result of loss of revenues, impairment of purchased credit card relationships and contract related intangibles or other losses, due to, among other things, operational difficulties of a particular retailer or merchant or early termination of a particular relationship, or external factors, including bankruptcies, liquidations, consolidations and other similar events;
the potential impact to Citi’s businesses, credit costs, deposits and overall results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties, including those relating to potential outcomes of elections in the EU, potential fiscal or monetary actions or the pursuit of protectionist trade and other policies by the U.S.;
the various risks faced by Citi as a result of its significant presence in the emerging markets, including, among others, foreign exchange controls, 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 and foreign exchange controls as well as the increased compliance and regulatory risks and costs;


the uncertainties regarding the consequences of noncompliance and the potential impact on Citi’s estimates of its eligible debt arising from the Federal Reserve Board’s final total loss-absorbing capacity (TLAC) rules;
the potential impact of concentrations of risk, such as market risk arising from Citi’s volume of transactions with counterparties in the financial services industry, could have on Citi’s hedging strategies and results of operations;
the uncertainties and potential operational difficulties to Citi and its liquidity planning arising from the Federal Reserve Board’s total loss-absorbing capacity (TLAC) proposal, including uncertainties relating to any potential “grandfathering” of outstanding long-term debt and the potential impact on Citi’s estimated liquidity needs;
the potential impacts on Citi’s liquidity and/or costs of funding as a result of external factors, including, among others, market disruptions and governmental fiscal and monetary policies as well as regulatory changes such as the TLAC proposal;or negative investor perceptions of Citi’s creditworthiness;
the impact of ratings downgrades of Citi or one or more of its more significant subsidiaries or issuing entities on Citi’s funding and liquidity as well as the results of operations of certain of its businesses;
the potential negative impact to Citi’s co-branding and private label credit card relationships or Citi’s resultsCiti from a disruption of operations or financial condition due to,its operational systems, including as a result of, among other things, operational difficultieshuman error, fraud or malice, accidental technological failure, electrical or telecommunication outages or failure of a particular retailer or merchant or early termination of a particular relationship;computer servers;
the potential impact to Citi from an increasing risk of continually evolving cybersecurity or other technological risks including the(including theft of funds or theft, loss, misuse or disclosure of confidential client, customer, corporate or network information or assets), damage to Citi’s reputation, additional costs (including credit costs) to Citi, regulatory penalties, legal exposure and financial losses;
Citi’s ability to continue to utilize its DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negativepotential impact of the DTAs on Citi’s regulatory capital, including as a result of movementsincorrect assumptions or estimates in Citi’s AOCI;financial statements or the impact of ongoing changes to financial accounting and reporting standards or interpretations, such as the FASB’s new accounting standard on credit losses, on how Citi records and reports its financial condition and results of operations;
the potential impact to Citi if itsof ongoing implementation and interpretation or applicationof regulatory changes and requirements in the U.S. and globally, such as on Citi’s compliance risks and costs, including reputational and legal risks as well as remediation and other financial costs, such as penalties and fines;
the potential outcomes of the extensive tax lawslegal and regulatory proceedings, investigations and other inquiries to which itCiti is or may be subject



such as withholding tax obligations, differs from those at any given time, particularly given the increased focus on conduct risk and the severity of the relevant governmental authorities;
the impact on the value of Citi’s DTAsremedies sought and its results of operations if corporate tax rates in the U.S. or certain state, local or foreign jurisdictions decline, or if other changes are madepotential collateral consequences to the U.S. tax system;Citi arising from such outcomes;
the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk models, including its Basel III risk-weighted asset models, are ineffective, require refinement, modification or enhancement or approval is withdrawn by Citi’s U.S. banking regulators;
Citi’s ability to manage its overall level of expenses while at the same time continuing to successfully invest in identified areas of its businesses or operations;
Citi’s ability to continue to wind-down Citi Holdings, and thus reduce the negative impact on Citi’s regulatory capital, as well as maintain Citi Holdings at or above “break even” during 2016;
the potential impact on Citi’s performance, including its competitive position and ability to effectively manage its businesses and continue to execute its strategy, if Citi is unable to hire and retain highly qualified employees for any reason;reason.
the impact of ongoing changes to financial accounting and reporting standards or interpretations, such as the FASB’s recently finalized credit impairment standard, on how Citi records and reports its financial condition and results of operations as well as the potential impact of incorrect assumptions or estimates in Citi’s financial statements;
the heightened compliance requirements and risks to which Citi is subject, including reputational and legal risks, as well as the impact of increased compliance costs on Citi’s expense management and investments initiatives;
the potential outcomes of the extensive legal and regulatory proceedings, investigations and other inquiries to which Citi is or may be subject at any given time, particularly given the increased severity of the remedies sought and potential collateral consequences to Citi arising from such outcomes; and
the potential impact of the U.S. Treasury’s proposed changes to Section 385 of the U.S. tax code on Citi’s intercompany borrowing activities and documentation.

Any forward-looking statements made by or on behalf of Citigroup speak only as to the date they are made, and Citi does not undertake to update forward-looking statements to reflect the impact of circumstances or events that arise after the date the forward-looking statements were made.

















 













































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FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS 
Consolidated Statement of Income (Unaudited)—
For the Three and Six Months Ended June 30, 20162017 and 20152016
9895
Consolidated Statement of Comprehensive Income(Unaudited)—For the Three and Six Months Ended June 30, 20162017 and 20152016
10096
Consolidated Balance Sheet—June 30, 20162017 (Unaudited) and December 31, 20152016
10197
Consolidated Statement of Changes in Stockholders’ Equity(Unaudited)—For the Six Months Ended June 30, 20162017 and 20152016
10399
Consolidated Statement of Cash Flows (Unaudited)—
For the Six Months Ended June 30, 20162017 and 20152016
105101

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 
Note 1—Basis of Presentation and Accounting Changes
107103
Note 2—Discontinued Operations and Significant Disposals
109106
Note 3—Business Segments
110108
Note 4—Interest Revenue and Expense
111109
Note 5—Commissions and Fees
112110
Note 6—Principal Transactions
113110
Note 7—Incentive Plans
114111
Note 8—Retirement Benefits
115111
Note 9—Earnings per Share
120116
Note 10—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
121117
Note 11—Brokerage Receivables and Brokerage Payables
125120
Note 12—Trading Account Assets and Liabilities
125
Note 13—Investments
126
Note 14—Loans
138121
 


  
Note 15—13—Loans
133
Note 14—Allowance for Credit Losses
152146
Note 16—15—Goodwill and Intangible Assets
154148
Note 16—Debt
150
Note 17—Debt
156
Note 18—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
151
Note 18—Securitizations and Variable Interest Entities
157
Note 19—Preferred StockDerivatives Activities
162165
Note 20—Securitizations and Variable Interest EntitiesFair Value Measurement
164175
Note 21—Derivatives ActivitiesFair Value Elections
178194
Note 22—Fair Value MeasurementGuarantees and Commitments
192198
Note 23—Fair Value ElectionsContingencies
219202
Note 24—Guarantees and Commitments
223
Note 25—Contingencies
229
Note 26—Condensed Consolidating Financial Statements
232204

















































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CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) Citigroup Inc. and Subsidiaries
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars, except per share amounts20162015201620152017201620172016
Revenues   
 
   
 
Interest revenue$14,356
$14,873
$28,523
$29,473
$15,201
$14,356
$29,624
$28,523
Interest expense3,120
3,051
6,060
6,079
4,036
3,120
7,602
6,060
Net interest revenue$11,236
$11,822
$22,463
$23,394
$11,165
$11,236
$22,022
$22,463
Commissions and fees$2,725
$3,194
$5,188
$6,364
$2,937
$2,725
$5,696
$5,188
Principal transactions1,816
2,173
3,656
4,144
2,562
1,816
5,584
3,656
Administration and other fiduciary fees878
995
1,689
1,957
1,003
878
1,896
1,689
Realized gains on sales of investments, net200
183
386
490
221
200
413
386
Other-than-temporary impairment losses on investments   
 
   
 
Gross impairment losses(118)(43)(583)(115)(20)(118)(32)(583)
Less: Impairments recognized in AOCI—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings$(118)$(43)$(583)$(115)$(20)$(118)$(32)$(583)
Insurance premiums$217
$482
$481
$979
$156
$217
$325
$481
Other revenue594
664
1,823
1,993
(123)594
117
1,823
Total non-interest revenues$6,312
$7,648
$12,640
$15,812
$6,736
$6,312
$13,999
$12,640
Total revenues, net of interest expense$17,548
$19,470
$35,103
$39,206
$17,901
$17,548
$36,021
$35,103
Provisions for credit losses and for benefits and claims   
 
   
 
Provision for loan losses$1,390
$1,515
$3,276
$3,270
$1,666
$1,390
$3,341
$3,276
Policyholder benefits and claims49
181
137
378
23
49
53
137
Provision (release) for unfunded lending commitments(30)(48)41
(85)28
(30)(15)41
Total provisions for credit losses and for benefits and claims$1,409
$1,648
$3,454
$3,563
$1,717
$1,409
$3,379
$3,454
Operating expenses   
 
   
 
Compensation and benefits$5,229
$5,483
$10,785
$11,003
$5,463
$5,229
$10,997
$10,785
Premises and equipment642
737
1,293
1,446
604
642
1,224
1,293
Technology/communication1,657
1,656
3,306
3,256
1,690
1,657
3,349
3,306
Advertising and marketing433
393
823
785
432
433
805
823
Other operating2,408
2,659
4,685
5,322
2,317
2,408
4,608
4,685
Total operating expenses$10,369
$10,928
$20,892
$21,812
$10,506
$10,369
$20,983
$20,892
Income from continuing operations before income taxes$5,770
$6,894
$10,757
$13,831
$5,678
$5,770
$11,659
$10,757
Provision for income taxes1,723
2,036
3,202
4,156
1,795
1,723
3,658
3,202
Income from continuing operations$4,047
$4,858
$7,555
$9,675
$3,883
$4,047
$8,001
$7,555
Discontinued operations   
 
   
 
Income (loss) from discontinued operations$(36)$9
$(39)$1
$33
$(36)$5
$(39)
Provision (benefit) for income taxes(13)3
(14)—
12
(13)2
(14)
Income (loss) from discontinued operations, net of taxes$(23)$6
$(25)$1
$21
$(23)$3
$(25)
Net income before attribution of noncontrolling interests$4,024
$4,864
$7,530
$9,676
$3,904
$4,024
$8,004
$7,530
Noncontrolling interests26
18
31
60
32
26
42
31
Citigroup’s net income$3,998
$4,846
$7,499
$9,616
$3,872
$3,998
$7,962
$7,499
Basic earnings per share(1)
   
 
   
 
Income from continuing operations$1.25
$1.51
$2.36
$3.03
$1.27
$1.25
$2.63
$2.36
Loss from discontinued operations, net of taxes(0.01)—
(0.01)—
Income (loss) from discontinued operations, net of taxes0.01
(0.01)—
(0.01)
Net income$1.24
$1.52
$2.35
$3.03
$1.28
$1.24
$2.63
$2.35
Weighted average common shares outstanding2,915.8
3,020.0
2,929.4
3,027.1
2,739.1
2,915.8
2,752.2
2,929.4


Diluted earnings per share(1)
   
 
   
 
Income from continuing operations$1.25
$1.51
$2.36
$3.02
$1.27
$1.25
$2.63
$2.36
Loss from discontinued operations, net of taxes(0.01)—
(0.01)—
Income (loss) from discontinued operations, net of taxes0.01
(0.01)—
(0.01)
Net income$1.24
$1.51
$2.35
$3.02
$1.28
$1.24
$2.63
$2.35
Adjusted weighted average common shares outstanding2,915.9
3,025.0
2,929.5
3,032.1
2,739.2
2,915.9
2,752.3
2,929.5
(1) Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
(1)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.



CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Citigroup Inc. and Subsidiaries
(UNAUDITED)  
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2016201520162015
Net income before attribution of noncontrolling interests$4,024
$4,864
$7,530
$9,676
Add: Citigroup’s other comprehensive income (loss)

  




Net change in unrealized gains and losses on investment securities, net of taxes$927
$(935)$2,961
$(344)
Net change in debt valuation adjustment (DVA), net of taxes (1)
12
—
205
—
Net change in cash flow hedges, net of taxes151
92
468
178
Benefit plans liability adjustment, net of taxes(27)578
(492)488
Net change in foreign currency translation adjustment, net of taxes and hedges(552)(148)102
(2,210)
Citigroup’s total other comprehensive income (loss)$511
$(413)$3,244
$(1,888)
Total comprehensive income before attribution of noncontrolling interests$4,535
$4,451
$10,774
$7,788
Less: Net income attributable to noncontrolling interests26
18
31
60
Citigroup’s comprehensive income$4,509
$4,433
$10,743
$7,728
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2017201620172016
Citigroup’s net income$3,872
$3,998
$7,962
$7,499
Add: Citigroup's other comprehensive income   




Net change in unrealized gains and losses on investment securities,
  net of taxes(1)
$(27)$927
$193
$2,961
Net change in debt valuation adjustment (DVA), net of taxes(1)
(84)12
(144)205
Net change in cash flow hedges, net of taxes117
151
115
468
Benefit plans liability adjustment, net of taxes(135)(27)(147)(492)
Net change in foreign currency translation adjustment, net of taxes and hedges643
(552)1,961
102
Citigroup’s total other comprehensive income$514
$511
$1,978
$3,244
Citigroup’s total comprehensive income$4,386
$4,509
$9,940
$10,743
Add: Other comprehensive income attributable to noncontrolling interests$39
$(50)70
(23)
Add: Net income attributable to noncontrolling interests32
26
$42
$31
Total comprehensive income$4,457
$4,485
$10,052
$10,751
(1)
Effective JanuarySee Note 1 2016, Citigroup early adopted only the provisions of the amendment in ASU No. 2016-01, Financial Instruments - Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of Accumulated other comprehensive income (AOCI).
Consolidated Financial Statements.

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



CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
(UNAUDITED)
        June 30,June 30, 
2016December 31,2017December 31,
In millions of dollars(Unaudited)2015(Unaudited)2016
Assets 
 
 
 
Cash and due from banks (including segregated cash and other deposits)$22,140
$20,900
$20,940
$23,043
Deposits with banks127,993
112,197
165,142
137,451
Federal funds sold and securities borrowed or purchased under agreements to resell (including $144,816 and $137,964 as of June 30, 2016 and December 31, 2015, respectively, at fair value)228,683
219,675
Federal funds sold and securities borrowed or purchased under agreements to resell (including $142,831 and $133,204 as of June 30, 2017 and December 31, 2016, respectively, at fair value)234,065
236,813
Brokerage receivables36,851
27,683
40,487
28,887
Trading account assets (including $92,869 and $92,123 pledged to creditors at June 30, 2016 and December 31, 2015, respectively)271,764
249,956
Trading account assets (including $98,974 and $80,986 pledged to creditors at June 30, 2017 and December 31, 2016, respectively)259,606
243,925
Investments:  
Available for sale (including $8,659 and $10,698 pledged to creditors as of June 30, 2016 and December 31, 2015, respectively)312,765
299,136
Held to maturity (including $1,487 and $3,630 pledged to creditors as of June 30, 2016 and December 31, 2015, respectively)35,903
36,215
Non-marketable equity securities (including $1,973 and $2,088 at fair value as of June 30, 2016 and December 31, 2015, respectively)7,625
7,604
Available for sale (including $8,512 and $8,239 pledged to creditors as of June 30, 2017 and December 31, 2016, respectively)293,629
299,424
Held to maturity (including $311 and $843 pledged to creditors as of June 30, 2017 and December 31, 2016, respectively)50,175
45,667
Non-marketable equity securities (including $1,384 and $1,774 at fair value as of June 30, 2017 and December 31, 2016, respectively)7,906
8,213
Total investments$356,293
$342,955
$351,710
$353,304
Loans: 
 
 
 
Consumer (including $32 and $34 as of June 30, 2016 and December 31, 2015, respectively, at fair value)326,419
325,785
Corporate (including $4,102 and $4,971 as of June 30, 2016 and December 31, 2015, respectively, at fair value)307,096
291,832
Consumer (including $27 and $29 as of June 30, 2017 and December 31, 2016, respectively, at fair value)325,261
325,063
Corporate (including $4,189 and $3,457 as of June 30, 2017 and December 31, 2016, respectively, at fair value)319,434
299,306
Loans, net of unearned income$633,515
$617,617
$644,695
$624,369
Allowance for loan losses(12,304)(12,626)(12,025)(12,060)
Total loans, net$621,211
$604,991
$632,670
$612,309
Goodwill22,496
22,349
22,349
21,659
Intangible assets (other than MSRs)5,521
3,721
4,887
5,114
Mortgage servicing rights (MSRs)1,324
1,781
560
1,564
Other assets (including $7,432 and $6,121 as of June 30, 2016 and December 31, 2015, respectively, at fair value)124,495
125,002
Other assets (including $18,993 and $15,729 as of June 30, 2017 and December 31, 2016, respectively, at fair value)131,647
128,008
Total assets$1,818,771
$1,731,210
$1,864,063
$1,792,077

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
        June 30,June 30, 
2016December 31,2017December 31,
In millions of dollars(Unaudited)2015(Unaudited)2016
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$112
$153
$86
$142
Trading account assets427
583
1,236
602
Investments4,755
5,263
2,932
3,636
Loans, net of unearned income 
 
 
 
Consumer54,211
58,772
53,816
53,401
Corporate21,832
22,008
19,241
20,121
Loans, net of unearned income$76,043
$80,780
$73,057
$73,522
Allowance for loan losses(1,751)(2,135)(1,863)(1,769)
Total loans, net$74,292
$78,645
$71,194
$71,753
Other assets150
150
154
158
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$79,736
$84,794
$75,602
$76,291
Statement continues on the next page.


CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
        June 30,June 30, 
2016December 31,2017December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2015(Unaudited)2016
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$140,145
$139,249
$126,253
$136,698
Interest-bearing deposits in U.S. offices (including $685 and $923 as of June 30, 2016 and December 31, 2015, respectively, at fair value)295,589
280,234
Interest-bearing deposits in U.S. offices (including $334 and $434 as of June 30, 2017 and December 31, 2016, respectively, at fair value)311,361
300,972
Non-interest-bearing deposits in offices outside the U.S.76,574
71,577
83,046
77,616
Interest-bearing deposits in offices outside the U.S. (including $786 and $667 as of June 30, 2016 and December 31, 2015, respectively, at fair value)425,544
416,827
Interest-bearing deposits in offices outside the U.S. (including $1,006 and $778 as of June 30, 2017 and December 31, 2016, respectively, at fair value)438,083
414,120
Total deposits$937,852
$907,887
$958,743
$929,406
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $46,144 and $36,843 as of June 30, 2016 and December 31, 2015, respectively, at fair value)158,001
146,496
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $44,881 and $33,663 as of June 30, 2017 and December 31, 2016, respectively, at fair value)154,780
141,821
Brokerage payables62,054
53,722
62,947
57,152
Trading account liabilities136,307
117,512
136,745
139,045
Short-term borrowings (including $1,850 and $1,207 as of June 30, 2016 and December 31, 2015, respectively, at fair value)18,408
21,079
Long-term debt (including $25,931 and $25,293 as of June 30, 2016 and December 31, 2015, respectively, at fair value)207,448
201,275
Other liabilities (including $2,822 and $1,624 as of June 30, 2016 and December 31, 2015, respectively, at fair value)65,680
60,147
Short-term borrowings (including $4,833 and $2,700 as of June 30, 2017 and December 31, 2016, respectively, at fair value)36,519
30,701
Long-term debt (including $29,001 and $26,254 as of June 30, 2017 and December 31, 2016, respectively, at fair value)225,179
206,178
Other liabilities (including $14,335 and $10,796 as of June 30, 2017 and December 31, 2016, respectively, at fair value)58,043
61,631
Total liabilities$1,585,750
$1,508,118
$1,632,956
$1,565,934
Stockholders’ equity 
 
 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of June 30, 2016 and 668,720 as of December 31, 2015, at aggregate liquidation value
$19,253
$16,718
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,482,042 as of June 30, 2016 and December 31, 2015
31
31
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of June 30, 2017 and as of December 31, 2016, at aggregate liquidation value
$19,253
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: 3,099,523,273 and 3,099,482,042 as of June 30, 2017 and December 31, 2016
31
31
Additional paid-in capital107,730
108,288
107,798
108,042
Retained earnings140,527
133,841
152,178
146,477
Treasury stock, at cost: June 30, 2016—194,108,004 shares and December 31, 2015—146,203,311 shares
(9,538)(7,677)
Accumulated other comprehensive income (loss)(26,115)(29,344)
Treasury stock, at cost: June 30, 2017—374,967,178 shares and December 31, 2016—327,090,192 shares
(19,342)(16,302)
Accumulated other comprehensive income (loss) (AOCI)(29,899)(32,381)
Total Citigroup stockholders’ equity$231,888
$221,857
$230,019
$225,120
Noncontrolling interest1,133
1,235
1,088
1,023
Total equity$233,021
$223,092
$231,107
$226,143
Total liabilities and equity$1,818,771
$1,731,210
$1,864,063
$1,792,077

The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
        June 30,June 30, 
2016December 31,2017December 31,
In millions of dollars(Unaudited)2015(Unaudited)2016
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup
 
 
 
 
Short-term borrowings$10,986
$11,965
$10,317
$10,697
Long-term debt27,723
31,273
28,265
23,919
Other liabilities2,072
2,099
456
1,275
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup
$40,781
$45,337
$39,038
$35,891
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.


CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITY Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Six Months Ended June 30,Six Months Ended June 30,
In millions of dollars, except shares in thousands2016201520172016
Preferred stock at aggregate liquidation value 
 
 
 
Balance, beginning of period$16,718
$10,468
$19,253
$16,718
Issuance of new preferred stock2,535
3,500
—
2,535
Balance, end of period$19,253
$13,968
$19,253
$19,253
Common stock and additional paid-in capital 
 
 
 
Balance, beginning of period$108,319
$108,010
$108,073
$108,319
Employee benefit plans(516)279
(239)(516)
Preferred stock issuance expense(37)(14)—
(37)
Other(5)(25)(5)(5)
Balance, end of period$107,761
$108,250
$107,829
$107,761
Retained earnings 
 
 
 
Balance, beginning of period$133,841
$118,201
$146,477
$133,841
Adjustment to opening balance, net of taxes(2)(1)
15
(349)(660)15
Adjusted balance, beginning of period$133,856
$117,852
$145,817
$133,856
Citigroup’s net income7,499
9,616
7,962
7,499
Common dividends(3)(2)
(296)(184)(890)(296)
Preferred dividends(532)(330)(621)(532)
Tax benefit—
—
Other(3)
(90)—
Balance, end of period$140,527
$126,954
$152,178
$140,527
Treasury stock, at cost 
 
 
 
Balance, beginning of period$(7,677)$(2,929)$(16,302)$(7,677)
Employee benefit plans(4)
773
151
523
773
Treasury stock acquired(5)
(2,634)(1,850)(3,563)(2,634)
Balance, end of period$(9,538)$(4,628)$(19,342)$(9,538)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
Balance, beginning of period$(29,344)$(23,216)$(32,381)$(29,344)
Adjustment to opening balance, net of taxes(1)
(15)—
504
(15)
Adjusted balance, beginning of period$(29,359)$(23,216)$(31,877)$(29,359)
Net change in Citigroup’s Accumulated other comprehensive income (loss)
3,244
(1,888)
Citigroup’s total other comprehensive income (loss)1,978
3,244
Balance, end of period$(26,115)$(25,104)$(29,899)$(26,115)
Total Citigroup common stockholders’ equity$212,635
$205,472
$210,766
$212,635
Total Citigroup stockholders’ equity$231,888
$219,440
$230,019
$231,888
Noncontrolling interests 
 
 
 
Balance, beginning of period$1,235
$1,511
$1,023
$1,235
Transactions between noncontrolling-interest shareholders and the related consolidated subsidiary(11)—
—
(11)
Transactions between Citigroup and the noncontrolling-interest shareholders(73)(114)6
(73)
Net income attributable to noncontrolling-interest shareholders31
60
42
31
Dividends paid to noncontrolling-interest shareholders(1)(10)—
(1)
Other comprehensive income (loss) attributable to
noncontrolling-interest shareholders
(23)(61)70
(23)
Other(25)(1)(53)(25)
Net change in noncontrolling interests$(102)$(126)$65
$(102)
Balance, end of period$1,133
$1,385
$1,088
$1,133
Total equity$233,021
$220,825
$231,107
$233,021

(1)
Effective January 1, 2016, Citigroup early adopted the provisions of the amendment in ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of Accumulated other comprehensive income (AOCI). The cumulative effect of this change in accounting resulted in a reclassification from Retained earnings to AOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016.


(2)
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 2015 is the earliest period presented in this statement. See Note 1 to the Consolidated Financial Statements for additional information.
details.
(3)(2)
Common dividends declared were $0.05$0.16 per share in the first and second quarter of 2016 and $0.01 per share in the first quarter2017 and $0.05 per share in the first and second quarter of 2015.2016.
(3)
Includes the impact of ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting. See Note 1 to the Consolidated Financial Statements.
(4)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.
(5)For the six months ended June 30, 2016 and 2015, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.


(5) For the six months ended June 30, 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 FLOWS Citigroup Inc. and Subsidiaries
(UNAUDITED)  
Six Months Ended June 30,Six Months Ended June 30,
In millions of dollars2016201520172016
Cash flows from operating activities of continuing operations 
 
 
 
Net income before attribution of noncontrolling interests$7,530
$9,676
$8,004
$7,530
Net income attributable to noncontrolling interests31
60
42
31
Citigroup’s net income$7,499
$9,616
$7,962
$7,499
Gain (loss) from discontinued operations, net of taxes(25)1
Income (loss) from discontinued operations, net of taxes3
(25)
Income from continuing operations—excluding noncontrolling interests$7,524
$9,615
$7,959
$7,524
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
 
Gains on significant disposals(1)
(422)—
Net gains on significant disposals(1)
(19)(422)
Depreciation and amortization1,776
1,767
1,797
1,776
Provision for loan losses3,276
3,270
3,341
3,276
Realized gains from sales of investments(386)(490)(413)(386)
Net impairment losses on investments, goodwill and intangible assets583
136
60
583
Change in trading account assets(21,808)17,589
(15,776)(21,808)
Change in trading account liabilities18,795
(2,741)(2,300)18,795
Change in brokerage receivables net of brokerage payables(836)(12,815)(5,805)(836)
Change in loans held-for-sale (HFS)1,786
(1,869)(515)1,786
Change in other assets(4,345)(1,382)(3,343)(4,345)
Change in other liabilities7,175
3,575
(3,522)7,175
Other, net7,949
1,691
(2,975)7,949
Total adjustments$13,543
$8,731
$(29,470)$13,543
Net cash provided by operating activities of continuing operations$21,067
$18,346
Net cash provided by (used in) operating activities of continuing operations$(21,511)$21,067
Cash flows from investing activities of continuing operations 
 
 
 
Change in deposits with banks$(15,796)$(2,911)$(27,691)$(15,796)
Change in federal funds sold and securities borrowed or purchased under agreements to resell(9,008)5,516
2,748
(9,008)
Change in loans(30,170)(9,945)(29,952)(30,170)
Proceeds from sales and securitizations of loans7,021
6,377
6,256
7,021
Purchases of investments(108,359)(140,945)(96,925)(108,359)
Proceeds from sales of investments66,138
89,707
56,728
66,138
Proceeds from maturities of investments33,383
44,732
47,785
33,383
Proceeds from significant disposals(1)
265
—
2,732
265
Capital expenditures on premises and equipment and capitalized software(1,377)(1,471)(1,647)(1,377)
Proceeds from sales of premises and equipment, subsidiaries and affiliates,
and repossessed assets
390
328
215
390
Net cash used in investing activities of continuing operations$(57,513)$(8,612)$(39,751)$(57,513)
Cash flows from financing activities of continuing operations 
 
 
 
Dividends paid$(828)$(514)$(1,504)$(828)
Issuance of preferred stock2,498
3,486
—
2,498
Treasury stock acquired(2,634)(1,850)(3,635)(2,634)
Stock tendered for payment of withholding taxes(312)(423)(401)(312)
Change in federal funds purchased and securities loaned or sold under agreements to repurchase11,505
3,574
12,959
11,505
Issuance of long-term debt27,142
27,183
37,679
27,142
Payments and redemptions of long-term debt(26,855)(26,059)(21,317)(26,855)
Change in deposits29,965
8,705
29,337
29,965
Change in short-term borrowings(2,671)(32,428)5,818
(2,671)
Net cash provided by (used in) financing activities of continuing operations$37,810
$(18,326)


CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries 
(UNAUDITED) (Continued)Six Months Ended June 30,
In millions of dollars20172016
Net cash provided by financing activities of continuing operations$58,936
$37,810
Effect of exchange rate changes on cash and cash equivalents$(124)$(103)$223
$(124)
Change in cash and due from banks$1,240
$(8,695)$(2,103)$1,240
Cash and due from banks at beginning of period20,900
32,108
23,043
20,900
Cash and due from banks at end of period$22,140
$23,413
$20,940
$22,140
Supplemental disclosure of cash flow information for continuing operations 
 
 
 
Cash paid during the period for income taxes$2,045
$2,863
$1,975
$2,045
Cash paid during the period for interest5,726
5,478
7,329
5,726
Non-cash investing activities 
 
 
 
Decrease in net loans associated with significant disposals reclassified to HFS—
(8,874)
Decrease in investments associated with significant disposals reclassified to HFS—
(1,444)
Transfers to loans HFS from loans6,000
15,900
3,300
6,000
Transfers to OREO and other repossessed assets97
158
58
97
Non-cash financing activities 
Decrease in long-term debt associated with significant disposals reclassified to HFS$—
$(5,923)

(1)    See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.




NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND ACCOUNTING CHANGES

Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of June 30, 20162017 and for the three- and six- month periods ended June 30, 20162017 and 20152016 include the accounts of Citigroup Inc. and its consolidated subsidiaries.
In the opinion of management, all adjustments, consisting of normal recurring adjustments, necessary for a fair presentation have been reflected. The accompanying unaudited Consolidated Financial Statements should be read in conjunction with the Consolidated Financial Statements and related notes included in Citigroup’s Annual Report on Form 10-K for the fiscal year ended December 31, 2015,2016, including the historical audited consolidated financial statements of Citigroup reflecting the certain realignments and reclassifications set forth in Citigroup’s Current Report on Form 8-K filed with the SEC on June 17, 2016 (201516, 2017 (2016 Annual Report on Form 10-K), and Citigroup’s Quarterly Report on Form 10-Q for the quarter ended March 31, 20162017 (First Quarter of 20162017 Form 10-Q).
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management makesuses its best judgment, actual results could differ from those estimates. Current market conditions increase the risk and complexity of the judgments in these estimates.
As noted above, the Notes to Consolidated Financial Statements are unaudited.
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.

ACCOUNTING CHANGES

Premium Amortization on Purchased Callable Debt Securities
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which amends the amortization period for certain purchased callable debt securities held at a premium. 
The ASU requires entities to amortize premiums on debt securities by the first call date when the securities have fixed and determinable call dates and prices.  The scope of the ASU includes all accounting premiums, such as purchase premiums and cumulative fair value hedge adjustments.  The ASU does not change the accounting for discounts, which
continue to be recognized over the contractual life of a security. 
For calendar-year-end entities, the ASU is effective as of January 1, 2019, but it may be early adopted in any interim or year-end period after issuance.  Adoption of the ASU is on a modified retrospective basis through a cumulative effect adjustment to retained earnings as of the beginning of the year of adoption.  Citi has early-adopted the ASU in the second quarter of 2017, with an effective date of January 1, 2017.  Adoption of the ASU primarily affects Citi’s available-for-sale and held-to-maturity portfolios of callable state and municipal securities.  The ASU adoption resulted in a net reduction to total stockholders’ equity of $156 million (after tax), effective as of January 1, 2017.  This amount is composed of a reduction of approximately $660 million to retained earnings for the incremental amortization of purchase premiums and cumulative hedge adjustments generated under fair value hedges of these callable debt securities.  This amount was offset by an increase to AOCI of $504 million related to the cumulative fair value hedge adjustments reclassified to retained earnings.
Financial statements for periods prior to 2017 were not subject to restatement under the provisions of this ASU.  The amount of amortization for the first quarter and the first half of 2017 under the provisions of the ASU is not materially different than the amount that was recorded during the first quarter or would have been recorded for the first half of 2017 if the ASU had not been adopted. For additional information, see Note 12 and Note 17 to the Consolidated Financial Statements.

Recognition and Measurement of Financial Assets and Financial Liabilities
In January 2016, the FASBFinancial Accounting Standards Board (FASB) issued Accounting Standards Update (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.
This ASU requires entities to present separately in OCIAccumulated other comprehensive income (loss) (AOCI) the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial

instruments. It will also requirerequires 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 eligibility for the current available-for-sale category. However, Federal Reserve Bank and Federal Home Loan Bank stock as well as certain exchange seats will continue to be presented at cost.
Citi early-adoptedearly adopted only the provisions of this ASU related to presentation of DVA in OCI effective January 1, 2016, as permitted by the ASU. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of liabilities for which the fair value option was elected, related


to changes in Citigroup’s own credit spreads (DVA) isin AOCI effective January 1, 2016. Accordingly, as of the first quarter of 2016, these amounts are reflected as a component of Accumulated other comprehensive income (AOCI),AOCI, whereas these amounts were previously recognized in Citigroup’s revenues and net income. The impact of adopting this amendment resulted in a cumulative catch-up reclassification from retained earnings to AOCI of an accumulated after taxafter-tax loss of approximately $15 million at January 1, 2016. Financial statements for periods prior to 2016 were not subject to restatement under the provisions of this ASU. For additional information, see Note 18,17, Note 2220 and Note 2321 to the Consolidated Financial Statements. The Company is evaluating the effecteffects that the other provisions of ASU 2016-01, which are effective January 1, 2018, will have on its Consolidated Financial Statements and related disclosures.

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 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.



Consolidation
In February 2015, the FASB issued ASU No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis, which intended to improve certain areas of consolidation guidance for legal entities such as limited partnerships, limited liability companies, and securitization structures. The ASU reduced the number of consolidation models and became effective on January 1, 2016. Adoption of ASU 2015-02 did not have a material impact on the Company’s Consolidated Financial Statements.

Consolidation-Collateralized Financing Entities
In August 2014, the FASB issued ASU No. 2014-13, Consolidation (Topic 810): Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity, which provides an alternative measurement method for consolidated collateralizedfinancing VIEs to elect: (i) to measure their financial assets and liabilities separately under existing U.S. GAAP for fair value measurement with any differences in such fair values reflected in earnings; or (ii) to measure both their financial assets and liabilities using the more observable of the fair value of the financial assets or the fair value of the financial liabilities. The ASU became effective on January 1, 2016. Adoption of ASU 2014-13 did not have a material impact on the Company’s Consolidated Financial
Statements.

FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Financial Instruments-CreditInstruments—Credit Losses
In June 2016, the FASB issued ASU No. 2016-13, Financial Instruments-CreditInstruments—Credit Losses (Topic(Topic 326). The ASU introduces a new accountingcredit loss model, the Current Expected Credit Losses model (CECL), which requires earlier recognition of credit losses, while also providing additional transparency about credit risk.
The FASB’s CECL model utilizes a lifetime “expected credit loss” measurement objective for the recognition of credit losses for loans, held-to-maturity securities and other receivables at the time the financial asset is originated or acquired. The expected credit losses are adjusted each period for changes in expected lifetime credit losses. For available-for-sale securities where fair value is less than cost, credit-related impairment, if any, will be recognized in an allowance for credit losses and adjusted each period for changes in expected credit risk. This model replaces the multiple existing impairment models in current GAAP, which generally require that a loss be incurred before it is recognized.
The CECL model represents a significant departurechange from existing GAAP and may result in material changes to the Company’s accounting for financial instruments. The Company is evaluating the effect that ASU 2016-13 will have on its Consolidated Financial Statements and related disclosures. The impact of the ASU will depend upon the state of the economy and the nature of Citi’s portfolios at the date of adoption. In the current environment, the overall impact is estimated to be an approximately 10-20% increase in credit reserves. Moreover, there are still some implementation questions that will need to be resolved that could affect the estimated impact. The ASU will be effective for Citi as of January
1, 2020. Early application is permitted for annual periods beginning January 1, 2019.

Recognition of Breakage for Certain Prepaid Stored-Value Products
In March 2016, the FASB issued ASU No. 2016-04, Liabilities—Extinguishment of Liabilities (Subtopic 405-20): Recognition of Breakage for Certain Prepaid Stored-Value Products, which was intended to address potential diversity in entities’ practices related to the derecognition of the financial liability that is recorded when an entity issues a prepaid stored-value product. Typically, when the holder of a prepaid stored-value product redeems that product to make a purchase of goods or services, the issuing entity settles the transaction with the selling merchant, and the liability to the product holder is extinguished. However, in some cases, a prepaid stored-value product may be wholly or partially unused for an indefinite time period.
The ASU provides authoritative guidance describing the narrow circumstances in which an entity’s liability for an unredeemed prepaid stored-value product may be extinguished. The amendment is effective on January 1, 2018; early adoption is permitted. Adoption of the ASU is not expected to have a material impact on the Company’s Consolidated Financial Statements.

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 ASUCompany will adopt the guidance as of January 1, 2018 using a modified retrospective method with a cumulative-effect adjustment to opening retained earnings. While the guidance 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. Thethe ASU is not applicable to financial instruments and, therefore, iswill not expected to impact a majority of the Company’s revenue,revenues, including net interest income.
While in scope of the new guidance, the Company does not expect a material change in the timing or measurement of revenues related to deposit fees. Citi’s credit cardholder fees and mortgage servicing fees have been concluded to be out of scope of the standard and therefore will not be impacted by the issuance of this guidance. The Company expects the presentation of expenses associated with underwriting activity to change from the current reporting where underwriting revenue is evaluatingrecorded net of the related expenses to a gross presentation where the expenses are recorded in Other operating expenses. This change to a gross presentation will result in an equivalent increase in underwriting revenue recorded in Commissions and fees and associated underwriting expenses recorded in Other operating expenses; however, this change in presentation will not have an impact on Income from continuing operations. The Company continues to evaluate the effect that ASU 2014-09the guidance will have on other revenue streams within its Consolidated Financial Statements and related disclosures.scope, including the presentation of certain contract costs, as well as changes in disclosures required by the new guidance. Based on the Company’s current interpretations of the new guidance, the overall impact to net income is expected to be immaterial.

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 all leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting is largely unchanged. The guidance is effective beginning January 1, 2019 with an option to early adopt. The Company is evaluating whetherdoes not plan to early adopt the ASU. The Company estimates that upon adoption, its Consolidated Balance Sheet will have an approximately $5 billion increase in assets and liabilities. Additionally, the Company estimates an approximately $200 million increase in retained earnings due to the cumulative effect of recognizing previously deferred gains on sale/leaseback transactions.

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes-Intra-Entity Transfers of Assets Other Than Inventory, which will require 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 is effective January 1, 2018. The Company continues


to evaluate the impact of this standard, which is expected to increase DTAs, with an associated decrease in prepaid taxes of approximately $500 million. 

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 simply 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 is effective for Citi as of January 1, 2020. Early adoption is permitted for interim and annual goodwill impairment testing dates after January 1, 2017. The impact of the ASU will depend upon the performance of the reporting units and the market conditions impacting the fair value of each reporting unit going forward.

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

Changes in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU 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 is 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 the Compensation and benefits line on the income statement.  The other components of net benefit expense will be required to be presented outside of the Compensation and benefits line and will be presented in Other operating expense.  Since both these income statement line items are part of Operating expenses, total Operating expenses will not change, nor will there be any change in Net income. This change in presentation is not expected to have a material effect that ASU 2016-02 will have on itsthe Compensation and benefits and on Other operating lines in the income statement. The components of the net benefit expense are currently disclosed in Note 7 to the Consolidated Financial Statements, regulatory capitalStatements.
 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. The Company is currently evaluating the portion of net benefits cost that continues to be eligible for capitalization and the portion that is not eligible.

Other Potential Amendments to Current Accounting Standards
The FASB has issued a proposed ASU that will provide targeted improvements to the accounting guidance for hedging activities.  The exposure draft contains many proposals for improving how the economic results of risk management are reflected in financial reporting. Specifically, among other improvements, the ASU is expected to expand the list of benchmark interest rates and also increase the ability for entities to construct hedges of interest rate risk that hedge only certain cash flows of a hedged item.  If issued in its current form, the ASU is also expected to modify existing guidance related disclosures.to the timing and income statement line recognition of ineffectiveness and components excluded from hedge relationships and add incremental disclosures regarding hedging activities.







2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

Discontinued Operations
The following sales are reported as Discontinued operations are recorded within the Corporate/Other segment.

Sale of 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 $0 million and $8 million for the three months ended June 30, 2016 and 2015, respectively, and income from Discontinued operations, net of taxes, of $0 million and $6 million for the six months ended June 30, 2016 and 2015, respectively.

Sale of Egg Banking plc Credit Card Business
Citi sold the Egg Banking plc (Egg) credit card business in 2011 and reported it as Discontinued operations.2011. Residual costsitems from the disposal resulted in lossesIncome (loss) from Discontinueddiscontinued operations, net of taxes, of $20$21 million and $2$(20) million for the three months ended June 30, 20162017 and 2015,2016, respectively, and lossesIncome (loss) from Discontinueddiscontinued operations, net of taxes, of $22$3 million and $6$(22) million for the six months ended June 30, 2017 and 2016, respectively. The income recognized during the current period was related to the release of certain reserves associated with expirations of certain warranties and 2015, respectively.indemnifications.

Combined Results for Discontinued Operations
The following is summarizedsummarizes financial information for previousall Discontinued operations for which Citi continues to have minimal residual costsimpact associated with the sales:sold operations:
 Three Months Ended 
 June 30,		Six Months Ended 
 June 30,
In millions of dollars2016201520162015
Total revenues, net of interest expense(1)
$—
$—
$—
$—
Income (loss) from discontinued operations$(36)$9
$(39)$1
Provision (benefit) for income taxes(13)3
(14)—
Income (loss), from discontinued operations, net of taxes$(23)$6
$(25)$1

(1) Total revenues include gain or loss on sale, if applicable.
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2017201620172016
Total revenues, net of interest expense$—
$—
$—
$—
Income (loss) from discontinued operations$33
$(36)$5
$(39)
Provision (benefit) for income taxes12
(13)2
(14)
Income (loss) from discontinued operations, net of taxes$21
$(23)$3
$(25)

Cash flows for the Discontinued operations were not material for allthe periods presented.


Significant Disposals
The following sales completedtransactions during 20162017 and 20152016 were identified as significant disposals. The major classes of assets and liabilities that are 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.

Novation of the 80% Primerica Coinsurance Agreement
During the first quarter ofEffective January 1, 2016, Citi completed a novation (an arrangement that extinguishes Citi’s rights and obligations under a contract) of the Primerica 80% Coinsurance Agreementcoinsurance agreement, which was part of Corporate/Other, to a third-party re-insurer, resultingre-insurer. The novation resulted in revenuerevenues of $422$404 million recorded in Other revenue ($274263 million after tax).after-tax) during the first quarter of 2016. Furthermore, the novation resulted in derecognition of $1.5 billion of available for-saleavailable-for-sale securities and cash, $0.95 billion of deferred acquisition costs and $2.7 billion of insurance liabilities.
Income

Exit of U.S. Mortgage Service Operations
As previously disclosed, Citigroup signed agreements during the first quarter of 2017 to effectively exit its direct U.S. mortgage servicing operations by the end of 2018 to intensify focus on originations. The exit of the mortgage servicing operations included the sale of mortgage servicing rights and execution of a subservicing agreement for the remaining Citi-owned loans and certain other mortgage servicing rights. As part of this transaction, Citi will also transfer 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 the first quarter of 2017. The loss on sale does not include certain other costs and charges related to the disposed operation recorded primarily in Operating expenses in the first quarter of 2017, resulting in a total pretax loss of $382 million. As part of the completed sale, during the first quarter of 2017, Citi derecognized a total of $1,162 million of servicing-related assets, including $1,046 million of mortgage servicing rights, related to approximately 750,000 Fannie Mae and Freddie Mac held loans with outstanding balances of approximately $93 billion. Excluding the loss on sale and the additional charges, income before taxes excludingfor the revenue upon novation,disposed operation was as follows:

Three Months Ended 
 June 30,		Six Months Ended 
 June 30,
In millions of dollars2016201520162015
Income before taxes$—
$42
$—
$77
immaterial for the three and six months ended June 30, 2017 and 2016.

Sale of OneMain FinancialCitiFinancial Canada Consumer Finance Business
On November 15, 2015,March 31, 2017, Citi sold its OneMain Financial business,completed the sale of CitiFinancial Canada (CitiFinancial), which was reported in Citi Holdings, including 1,100part of Corporate/Other, and included 220 retail branches 5,500 employees, and approximately 1.3 million customer accounts. OneMain Financial had1,400 employees. As part of the sale, Citi derecognized total assets of approximately $10.2$1.9 billion of assets,, including $7.8$1.7 billion of consumer loans (net of allowance), and $1.4total liabilities of approximately $1.5 billion related to intercompany borrowings, which were settled at closing of available-for-sale securities.the transaction. Separately, during the first quarter of 2017, CitiFinancial settled $0.4 billion of debt issued through loan securitizations. The total amountsale of liabilities sold was $8.4 billion, including $6.2 billion of long-term debt and $1.1 billion of short-term borrowings. The transactionCitiFinancial generated a pretax gain on sale of $2.6 billion,$350 million recorded in Other revenue ($1.6 billion($178 million after-tax) during the fourthfirst quarter of 2015. However, when combined with the loss on redemption of certain long-term debt supporting remaining Citi Holdings’ assets during the fourth quarter of 2015, the resulting net after-tax gain was $0.8 billion.2017.
Income before taxes, excluding the pretax gain on sale, was as follows:

Three Months Ended 
 June 30,		Six Months Ended 
 June 30,		Three Months Ended   June 30,Six Months Ended   June 30,
In millions of dollars20162015201620152017201620172016
Income before taxes$—
$177
$—
$354
$—
$41
$41
$78












Sale of Fixed Income Analytics and Index Businesses
On May 30, 2017, Citi entered into an agreement to sell its fixed income analytics (Yield Book) and index businesses that are part of Markets and Securities Services within Institutional Clients Group (ICG). The closing, which is subject to regulatory clearance and other customary closing conditions, is expected to occur in the second half of 2017 and result in a gain, recognized at the closing of the transaction. As of June 30, 2017, the total assets of the businesses were approximately $100 million, including $72 million of goodwill, while the liabilities were not material. These assets and liabilities were classified as HFS within Other assets and Other liabilities on the Consolidated Balance Sheet, respectively, at June 30, 2017. Income before taxes for these businesses is as follows:


Three Months Ended   June 30,Six Months Ended   June 30,
In millions of dollars2017201620172016
Income before taxes$9
$17
$19
$31







3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the Global Consumer Banking (GCB), Institutional Clients Group (ICG), Corporate/Other and Citi Holdings  ICG business segments. In addition,
GCB includes a global, full-service consumer franchise delivering a wide array of banking, including commercial banking, credit card lending and investment services through a network of local branches, offices and electronic delivery systems and is composed of four GCB businesses: North America, EMEA, Latin America and Asia.
ICG is composed of Banking and Markets and securities services and provides corporate, institutional, public sector and high-net-worth clients in over 100 countries and jurisdictions with a broad range of banking and financial products and services.
Corporate/Other includes activities not assigned to a specific business segment, as well as certain unallocated costs of global functions, other corporate expensesNorth America and net treasury results, unallocated corporate expenses, offsets to certain line-item reclassifications and eliminations, the results ofinternational loan portfolios, discontinued operations and unallocated taxes.other legacy assets.
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 in Citi’s 2015 Annual Report on Form 10-K.
The prior-period balances reflect reclassifications to conform the presentation for all periods to the current period’s presentation. Effective January 1, 2016, historical2017, financial data was reclassified from Citicorp to reflect:

the reporting of the remaining businesses and portfolios of assets of Citi Holdings for the consumer businesses in Argentina, Brazil and Colombia that Citi intends to exit. These businesses, which previously were reported as part of Latin America Global Consumer BankingCorporate/Other which, prior to the first quarter of 2017, was a separately reported business segment;
the re-attribution of certain treasury-related costs between Corporate/Other, are now reported as partGCB and ICG;
the re-attribution of Citi Holdings. While Citi does not intend to exit its consumer businesses in Venezuela, these businesses are not significant, lending predominantly to support ICG activities, and are now reported as part of ICG. Similarly, Citi’s remaining indirect investment in Banco de Chile is now reported as part of ICG. The following also reflects certain other regional reclassificationsrevenues within ICG and; and
certain other immaterial reclassifications.

Citi’s consolidated results remain unchanged for all periods presented as a result of the changes and reclassifications discussed above.

For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.
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
 Three Months Ended June 30,  
In millions of dollars, except identifiable assets in billions201620152016201520162015June 30, 2016December 31, 2015
Global Consumer Banking$7,733
$8,184
$681
$811
$1,323
$1,611
$402
$381
Institutional Clients Group8,846
8,946
1,289
1,331
2,715
2,860
1,302
1,217
Corporate/Other126
371
(232)(246)(89)231
49
52
Total Citicorp$16,705
$17,501
$1,738
$1,896
$3,949
$4,702
$1,753
$1,650
Citi Holdings843
1,969
(15)140
98
156
66
81
Total$17,548
$19,470
$1,723
$2,036
$4,047
$4,858
$1,819
$1,731
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Three Months Ended June 30, 
Six Months Ended June 30,
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
In millions of dollars, except identifiable assets in billions201620152016201520162015201720162017201620172016June 30,
2017		December 31, 2016
Global Consumer Banking$15,503
$16,486
$1,327
$1,728
$2,554
$3,323
$8,035
$7,674
$647
$667
$1,129
$1,285
$419
$412
Institutional Clients Group16,882
18,023
2,107
2,696
4,674
5,834
9,213
8,689
1,327
1,229
2,780
2,615
1,353
1,277
Corporate/Other400
583
(347)(557)(118)212
653
1,185
(179)(173)(26)147
92
103
Total Citicorp$32,785
$35,092
$3,087
$3,867
$7,110
$9,369
Citi Holdings2,318
4,114
115
289
445
306
Total$35,103
$39,206
$3,202
$4,156
$7,555
$9,675
$17,901
$17,548
$1,795
$1,723
$3,883
$4,047
$1,864
$1,792
(1)
Includes Citicorp (excluding Corporate/Other) total revenues, net of interest expense (excluding Corporate/Other), in North America of $8.3$8.5 billion and $8.3$8.1 billion; in EMEA of $2.6$2.8 billion and $2.6 billion; in Latin America of $2.3 billion and $2.5$2.3 billion; and in Asia of $3.4$3.6 billion and $3.7$3.4 billion for the three months ended June 30, 2017 and 2016, and 2015, respectively. RegionalThese regional numbers exclude Citi Holdings and Corporate/Other, which largely operateoperates within the U.S. Includes Citicorp (excluding Corporate/Other) total revenues, net of interest expense, in North America of $16.2 billion and $16.8 billion; in EMEA of $4.8 billion and $5.5 billion; in Latin America of $4.5 billion and $4.9 billion; and in Asia of $6.9 billion and $7.3 billion for the six months ended June 30, 2016 and 2015, respectively.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $1.4$1.8 billion and $1.4 billion; in the ICG results of $82$87 million and $(87)$82 million; and in Citi Holdingsthe Corporate/Other results of $(0.1) billion$(132) million and $0.3 billion$(98) million for the three months ended June 30, 2017 and 2016, respectively.
 Six Months Ended June 30,
 
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
In millions of dollars201720162017201620172016
Global Consumer Banking$15,852
$15,388
$1,231
$1,301
$2,132
$2,479
Institutional Clients Group18,339
16,584
2,702
1,993
5,791
4,484
Corporate/Other1,830
3,131
(275)(92)78
592
Total$36,021
$35,103
$3,658
$3,202
$8,001
$7,555
(1)
Includes total revenues, net of interest expense, in North America of $17.0 billion and 2015,$16.0 billion; in EMEA of $5.6 billion and $4.7 billion; in Latin America of $4.6 billion and $4.4 billion; and in Asia of $7.0 billion and $6.9 billion for the six months ended June 30, 2017 and 2016, respectively. Regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $2.9$3.6 billion and $2.8$2.9 billion; in the ICG results of $472$(118) million and $(1)$472 million; and in Citi HoldingsCorporate/Other results of $0.1 billion$(80) million and $0.8 billion$72 million for the six months ended June 30, 20162017 and 2015,2016, respectively.




4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
Three Months Ended 
 June 30,		Six Months Ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20162015201620152017201620172016
Interest revenue      
Loan interest, including fees$9,750
$10,529
$19,510
$21,084
$10,199
$9,750
$20,146
$19,510
Deposits with banks237
168
456
351
375
237
670
456
Federal funds sold and securities borrowed or purchased under agreements to resell664
664
1,311
1,306
828
664
1,489
1,311
Investments, including dividends1,937
1,770
3,792
3,481
2,058
1,937
4,018
3,792
Trading account assets(1)
1,532
1,620
2,966
3,019
1,481
1,532
2,747
2,966
Other interest(2)
236
122
488
232
260
236
554
488
Total interest revenue$14,356
$14,873
$28,523
$29,473
$15,201
$14,356
$29,624
$28,523
Interest expense      
Deposits(3)(1)
$1,306
$1,288
$2,510
$2,613
$1,603
$1,306
$3,018
$2,510
Federal funds purchased and securities loaned or sold under agreements to repurchase527
443
1,029
819
676
527
1,169
1,029
Trading account liabilities(1)(2)
96
54
184
101
146
96
293
184
Short-term borrowings109
157
210
277
202
109
401
210
Long-term debt1,082
1,109
2,127
2,269
1,409
1,082
2,721
2,127
Total interest expense$3,120
$3,051
$6,060
$6,079
$4,036
$3,120
$7,602
$6,060
Net interest revenue$11,236
$11,822
$22,463
$23,394
$11,165
$11,236
$22,022
$22,463
Provision for loan losses1,390
1,515
3,276
3,270
1,666
1,390
3,341
3,276
Net interest revenue after provision for loan losses$9,846
$10,307
$19,187
$20,124
$9,499
$9,846
$18,681
$19,187
(1)Includes deposit insurance fees and charges of $329 million and $267 million for the three months ended June 30, 2017 and 2016, respectively, and $634 million and $502 million for the six months ended June 30, 2017 and 2016, respectively.
(2)
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 $267 million and $289 million for the three months ended June 30, 2016 and 2015, respectively, and $502 million
and $585 million for the six months ended June 30, 2016 and 2015, respectively.





5.  COMMISSIONS AND FEES

The primary components of Citi’s Commissions and fees revenue are investment banking fees, trading-related fees, fees related to trade and securities services in ICG and credit card and bank card fees. For additional information regarding
Investment banking fees are substantially composedcertain components of underwriting and advisory revenues and are recognized when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the closing of the transaction. Underwriting revenue is recorded in Commissions and fees, net of both reimbursable and non-reimbursable expenses, consistent with the AICPA Audit and Accounting Guide for Brokers and Dealers in Securities (codified in ASC 940-605-05-1). Expenses associated with advisory transactions are recorded in Other operating expenses, net of client reimbursements. Out-of-pocket expenses are deferred and recognized at the time the related revenue, is recognized. In general, expenses incurred related to investment banking transactions that fail to close (are not consummated) are recorded gross in Other operating expenses.
Trading-related fees primarily include commissions and fees from the following: executing transactions for clients on exchanges and over-the-counter markets; sale of mutual funds, insurance and other annuity products; and assisting clients in clearing transactions, providing brokerage services and other such activities. Trading-related fees are recognized when earned in Commissions and fees. Gains or losses, if any, on these transactions are included in Principal transactions (seesee Note 65 to the Consolidated Financial Statements).Statements in Citi’s 2016 Annual Report on Form 10-K.
Credit card and bank card fees are primarily composed of interchange revenue and certain card fees, including annual fees, reduced by reward program costs and certain partner payments. Interchange revenue and fees are recognized when earned. Annual card fees are deferred and amortized on a straight-line basis over a 12-month period. Reward costs are recognized when points are earned by the customers. The following table presents Commissions and fees revenue:


Three Months Ended June 30,Six Months Ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20162015201620152017201620172016
Investment banking$753
$960
$1,327
$1,898
$916
$753
$1,778
$1,327
Trading-related544
616
1,145
1,250
542
544
1,114
1,145
Trade and securities services386
448
792
883
422
386
812
792
Credit cards and bank cards344
497
615
998
364
344
675
615
Corporate finance(1)
241
126
364
271
238
241
407
364
Other consumer(2)
166
182
324
362
169
166
333
324
Checking-related104
130
220
246
122
104
242
220
Loan servicing68
119
164
214
88
68
174
164
Other119
116
237
242
76
119
161
237
Total commissions and fees$2,725
$3,194
$5,188
$6,364
$2,937
$2,725
$5,696
$5,188
(1)Consists primarily of fees earned from structuring and underwriting loan syndications.
(2)Primarily consists of fees for investment fund administration and management, third-party collections, commercial demand deposit accounts and certain credit card services.



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 exchangeFor additional information regarding Principal transactions which 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. Seesee Note 46 to the Consolidated Financial Statements for information aboutin Citi’s 2016 Annual Report on Form 10-K.
The following table presents Principal transactions revenue:
 
net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments on derivatives), FVA (funding valuation adjustments) on over-the-counter derivatives and, prior to 2016, DVA (debt valuation adjustments on issued liabilities for which the fair value option has been elected). These adjustments are discussed further in Note 22 to the Consolidated Financial Statements.
The following table presents principal transactions revenue:





 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2016201520162015
Global Consumer Banking$165
$144
$310
$300
Institutional Clients Group1,911
1,793
3,485
3,990
Corporate/Other(256)182
(146)(239)
Subtotal Citicorp$1,820
$2,119
$3,649
$4,051
Citi Holdings(4)54
7
93
Total Citigroup$1,816
$2,173
$3,656
$4,144
Interest rate risks(1)
$1,140
$1,393
$1,947
$2,590
Foreign exchange risks(2)
402
718
1,015
804
Equity risks(3)
(55)(185)(5)(71)
Commodity and other risks(4)
121
117
265
434
Credit products and risks(5)
208
130
434
387
Total$1,816
$2,173
$3,656
$4,144
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2017201620172016
Global Consumer Banking(1)
$142
$165
$291
$308
Institutional Clients Group2,079
1,911
4,747
3,487
Corporate/Other (1)
341
(260)546
(139)
Total Citigroup$2,562
$1,816
$5,584
$3,656
Interest rate risks(2)
$1,411
$1,140
$3,177
$1,947
Foreign exchange risks(3)
802
402
1,390
1,015
Equity risks(4)
58
(55)246
(5)
Commodity and other risks(5)
148
121
238
265
Credit products and risks(6)
143
208
533
434
Total$2,562
$1,816
$5,584
$3,656
(1)Primarily relates to foreign exchange risks.
(2)Includes revenues from government securities and corporate debt, municipal securities, mortgage securities and other debt instruments. Also includes spot and forward trading of currencies and exchange-traded and over-the-counter (OTC) currency options, options on fixed income securities, interest rate swaps, currency swaps, swap options, caps and floors, financial futures, OTC options and forward contracts on fixed income securities.
(2)(3)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(3)(4)Includes revenues from common, preferred and convertible preferred stock, convertible corporate debt, equity-linked notes and exchange-traded and OTC equity options and warrants.
(4)(5)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(5)(6)Includes revenues from structured credit products.


7. INCENTIVE PLANS
 
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. For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.




8. RETIREMENT BENEFITS

For additional information on Citi’s retirement benefits, see Note 8 to the Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.

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. 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 June 30, 2016. All other plans (All Other Plans) are measured annually with a December 31 measurement date.

Net (Benefit) Expense
The following tables summarizetable 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:

 Three Months Ended June 30,
 Pension plansPostretirement benefit plans
 U.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20172016201720162017201620172016
Qualified plans 
 
 
 
 
 
 
 
Benefits earned during the period$—
$—
$38
$39
$—
$—
$2
$3
Interest cost on benefit obligation128
132
74
73
8
5
25
24
Expected return on plan assets(217)(218)(76)(74)(2)(3)(22)(22)
Amortization of unrecognized 
  
 
 
 
 
 
Prior service benefit—
—
(1)(1)—
—
(3)(3)
Net actuarial loss (gain)38
39
15
20
1
(1)9
8
Curtailment loss (1)
3
—
—
—
—
—
—
—
Settlement loss(1)
—
—
4
3
—
—
—
—
Net qualified plans (benefit) expense$(48)$(47)$54
$60
$7
$1
$11
$10
Nonqualified plans expense$11
$9
$—
$—
$—
$—
$—
$—
Total net (benefit) expense$(37)$(38)$54
$60
$7
$1
$11
$10

 Three Months Ended June 30,
 Pension plans Postretirement benefit plans
 U.S. plans Non-U.S. plans U.S. plans Non-U.S. plans
In millions of dollars20162015
20162015
20162015
20162015
Qualified plans 
 
  
 
  
 
  
 
Benefits earned during the period$—
$—
 $39
$43
 $—
$—
 $3
$3
Interest cost on benefit obligation132
131
 73
80
 5
8
 24
30
Expected return on plan assets(218)(223) (74)(83) (3)—
 (22)(27)
Amortization of unrecognized 
 
  
 
  
 
  
 
Prior service benefit—
(1) (1)—
 —
—
 (3)(3)
Net actuarial loss (gain)39
38
 20
18
 (1)—
 8
12
Curtailment loss(1)
—
10
 —
—
 —
—
 —
—
Settlement loss(1)
—
—
 3
—
 —
—
 —
—
Net qualified plans (benefit) expense$(47)$(45)
$60
$58
 $1
$8
 $10
$15
Nonqualified plans expense9
10
 —
—
 —
—
 —
—
Total net (benefit) expense$(38)$(35) $60
$58
 $1
$8
 $10
$15
(1)Losses due to curtailment and settlement relate to repositioning and divestiture activities.



Six Months Ended June 30,Six Months Ended June 30,
Pension plans Postretirement benefit plansPension plansPostretirement benefit plans
U.S. plans Non-U.S. plans U.S. plans Non-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20162015 20162015 20162015 2016201520172016201720162017201620172016
Qualified plans 
 
  
 
  
 
  
 
 
 
 
 
 
 
 
 
Benefits earned during the period$1
$2
 $77
$87
 $—
$—
 $6
$7
$1
$1
$74
$77
$—
$—
$4
$6
Interest cost on benefit obligation273
268
 146
160
 13
16
 48
57
260
273
145
146
14
13
49
48
Expected return on plan assets(436)(445) (146)(167) (5)—
 (43)(56)(433)(436)(146)(146)(3)(5)(43)(43)
Amortization of unrecognized



  
 
   
  
 




 
 
  
 
 
Prior service benefit—
(2) (1)—
 —
—
 (6)(6)—
—
(2)(1)—
—
(5)(6)
Net actuarial loss (gain)75
75
 39
39
 (1)—
 16
23
79
75
31
39
—
(1)17
16
Curtailment loss (gain) (1)
—
10
 (3)—
 —
—
 —
—
3
—
—
(3)—
—
—
—
Settlement loss(1)
—
—
 4
—
 —
—
 —
—
—
—
4
4
—
—
—
—
Net qualified plans (benefit) expense$(87)$(92) $116
$119
 $7
$16
 $21
$25
$(90)$(87)$106
$116
$11
$7
$22
$21
Nonqualified plans expense19
22
 —
—
 —
—
 —
—
$21
$19
$—
$—
$—
$—
$—
$—
Total net (benefit) expense$(68)$(70) $116
$119
 $7
$16
 $21
$25
$(69)$(68)$106
$116
$11
$7
$22
$21

(1) Losses and gains
(1)(Gains) losses due to curtailment and settlement relate to repositioning and divestiture activities.


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
Significant Plans.

Net Amount Recognized
Six Months Ended June 30, 2016Six Months Ended June 30, 2017
Pension plans Postretirement benefit plansPension plansPostretirement benefit plans
In millions of dollarsU.S. plans Non-U.S. plans U.S. plans Non-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in projected benefit obligation (PBO) 
  
  
  
Change in projected benefit obligation 
 
 
 
Projected benefit obligation at beginning of year$13,943
 $6,534
 $817
 $1,291
$14,000
$6,522
$686
$1,141
Plans measured annually—
 (1,819) —
 (282)(28)(1,784)—
(303)
Projected benefit obligation at beginning of year—Significant Plans$13,943
 $4,715
 $817
 $1,009
$13,972
$4,738
$686
$838
First quarter activity574
 199
 22
 30
25
802
(7)134
Projected benefit obligation at March 31, 2016—Significant Plans$14,517
 $4,914
 $839
 $1,039
Projected benefit obligation at March 31, 2017—Significant Plans$13,997
$5,540
$679
$972
Benefits earned during the period—
 24
 —
 2
—
22
—
2
Interest cost on benefit obligation139
 60
 5
 20
135
62
7
22
Plan amendments—
 —
 —
 —
Actuarial loss (gain)459
 272
 (88) 29
Actuarial gain (loss)214
(58)71
22
Benefits paid, net of participants’ contributions(203) (55) (23) (13)(191)(79)(15)(14)
Curtailment loss(1)
3
—
—
—
Foreign exchange impact and other—
 (207) —
 (70)—
62
—
40
Projected benefit obligation at period end—Significant Plans$14,912
 $5,008

$733
 $1,007
Projected benefit obligation at June 30, 2017—Significant Plans$14,158
$5,549
$742
$1,044

(1)Loss due to curtailment relates to repositioning activities.



Six Months Ended June 30, 2016Six Months Ended June 30, 2017
Pension plans Postretirement benefit plansPension plansPostretirement benefit plans
In millions of dollarsU.S. plans Non-U.S. plans U.S. plans Non-U.S. plansU.S. plansNon-U.S. plansU.S. plansNon-U.S. plans
Change in plan assets 
  
  
  
 
 
 
 
Plan assets at fair value at beginning of year$12,137
 $6,104
 $166
 $1,133
$12,363
$6,149
$129
$1,015
Plans measured annually—
 (1,175) —
 (8)—
(1,167)—
(11)
Plan assets at fair value at beginning of year—Significant Plans$12,137
 $4,929
 $166
 $1,125
$12,363
$4,982
$129
$1,004
First quarter activity(72) 233
 $—
 39
159
903
$—
124
Plan assets at fair value at March 31, 2016—Significant Plans
$12,065
 $5,162
 $166
 $1,164
Plan assets at fair value at March 31, 2017—Significant Plans
$12,522
$5,885
$129
$1,128
Actual return on plan assets380
 394
 5
 35
364
(45)4
23
Company contributions13
 13
 (3) —
Company contributions, net of reimbursements13
13
8
—
Plan participants’ contributions—
 1
 —
 —
—
1
—
—
Benefits paid, net of government subsidy(203) (56) (23) (13)(191)(80)(15)(14)
Foreign exchange impact and other—
 (251) —
 (78)—
72
—
46
Plan assets at fair value at period end—Significant Plans$12,255
 $5,263
 $145
 $1,108
       
Funded status of the Significant plans       
Plan assets at fair value at June 30, 2017—Significant Plans$12,708
$5,846
$126
$1,183
Funded status of the Significant Plans   
Qualified plans(1)
$(1,915) $255
 $(588) $101
$(720)$297
$(616)$139
Nonqualified plans(742) —
 —
 —
(730)—
—
—
Funded status of the plans at period end—Significant Plans$(2,657) $255
 $(588) $101
       
Funded status of the plans at June 30, 2017—Significant Plans$(1,450)$297
$(616)$139
Net amount recognized 
  
  
  
 
 
 
 
Benefit asset$—
 $807
 $—
 $101
$—
$758
$—
$139
Benefit liability(2,657) (552) (588) —
(1,450)(461)(616)—
Net amount recognized on the balance sheet—Significant Plans$(2,657) $255
 $(588) $101
$(1,450)$297
$(616)$139
       
Amounts recognized in AOCI
Amounts recognized in AOCI
  
  
  
Amounts recognized in AOCI
 
 
 
Prior service benefit—
 40
 —
 100
$—
$32
$—
$94
Net actuarial gain (loss)(7,322) (979) 63
 (456)(6,821)(984)39
(403)
Net amount recognized in equity (pretax)—Significant Plans$(7,322) $(939) $63
 $(356)$(6,821)$(952)$39
$(309)
       
Accumulated benefit obligation at period end—Significant Plans$14,904
 $4,691
 $733
 $1,007
Accumulated benefit obligation at June 30, 2017—Significant Plans$14,151
$5,280
$742
$1,044
(1)The U.S. qualified pension plan is fully funded under specified Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 20162017 and no minimum required funding is expected for 2016.2017.

The following table shows the change in AOCI related to the Company’s benefit plans (Significant Planspension, postretirement and All Other Plans) for the periods indicated.post employment plans:
In millions of dollarsThree Months Ended June 30, 2016 Six Months Ended June 30, 2016Three Months Ended   June 30, 2017Six Months Ended June 30, 2017
Beginning of period balance, net of tax(1)(2)
$(5,581) $(5,116)$(5,176)$(5,164)
Actuarial assumptions changes and plan experience(672) (1,547)(260)(508)
Net asset gain due to difference between actual and expected returns508
 671
43
296
Net amortization59
 115
56
112
Prior service cost(1) 29
—
(5)
Curtailment/settlement gain(3)
3
 4
7
7
Foreign exchange impact and other72
 (30)(64)(122)
Change in deferred taxes, net4
 266
83
73
Change, net of tax$(27) $(492)$(135)$(147)
End of period balance, net of tax(1)(2)
$(5,608) $(5,608)$(5,311)$(5,311)
(1)
See Note 1817 to the Consolidated Financial Statements for further discussion of net AOCI balance.
(2)Includes net-of-tax amounts for certain profit sharing plans outside the U.S.
(3)Gains due to curtailment and settlement relate to repositioning and divestiture activities.



Plan
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 AOCI.
For the Company’s Significant Plans, the discount rates at the respective period ended in the tables below are utilized to measure the period-end PBO and the net periodic (benefit) expense for the subsequent period. 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. The discount rates for the non-U.S. pension and postretirement plans relate to the Significant Plans only.
The discount rates utilized during the period in determining the pension and postretirement net (benefit) expense for the Significant Plans are as follows:

Net benefit (expense) assumed discount rates during the periodThree Months EndedThree months ended
Jun. 30, 2016Mar. 31, 2016Jun. 30, 2017Mar. 31, 2017
U.S. plans  
Qualified pension3.95%4.40%4.05%4.10%
Nonqualified pension3.904.353.954.00
Postretirement3.754.203.853.90
Non-U.S. plans  
Pension0.35 - 12.300.75 to 13.20
0.55-10.45

0.60-11.00
Weighted average5.145.374.835.08
Postretirement8.458.609.259.65

The discount rates utilized at period endperiod-end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows:
Plan obligations assumed discount rates at period ended
Jun. 30,
2016
Mar. 31, 2016
Dec. 31,
2015
Jun. 30, 2017Mar. 31, 2017Dec. 31, 2016
U.S. plans     
Qualified pension3.65%3.95%4.40%3.80%4.05%4.10%
Nonqualified pension3.553.904.353.753.954.00
Postretirement3.403.754.203.603.853.90
Non-U.S. plans  
Pension0.20-11.850.35-12.300.75 to 13.200.65-10.900.55-10.450.60-11.00
Weighted average4.805.145.374.874.835.08
Postretirement8.208.458.609.059.259.65
 
Sensitivities of Certain Key Assumptions
The following table summarizes the estimated effect on the Company’s Significant Plans quarterly expense of a
one-percentage-point change in the discount rate:
Three Months Ended June 30, 2016Three Months Ended June 30, 2017
In millions of dollarsOne-percentage-point increaseOne-percentage-point decreaseOne-percentage-point increaseOne-percentage-point decrease
Pension  
U.S. plans$7
$(11)$7
$(10)
Non-U.S. plans(5)7
(4)7
Postretirement  
U.S. plans$—
$(1)—
(1)
Non-U.S. plans(2)2
(2)2

Since the U.S. plans were frozen, the majority 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, expense for the U.S. plans is driven more by interest costs than service costs and an increase in the discount rate would increase expense, while a decrease in the discount rate would decrease expense.




Contributions
The Company’s funding practice for U.S. and non-U.S. pension 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 during the first halfsix months of 2016.2017.
The following table summarizes the Company’s actual Company contributions for the six months ended June 30, 20162017 and 2015,2016, as well as estimated expected Company contributions for the remainder of 20162017 and the actual contributions made in the third and fourth quarters of 2015. Expected contributions are subject to change since contribution decisions are affected by various factors, such as market performance and regulatory requirements.


Summary of Company Contributions2016.
Pension plans  Postretirement plans Pension plans Postretirement plans 
U.S. plans (1)
 Non-U.S. plans U.S. plans Non-U.S. plans
U.S. plans(1)
Non-U.S. plansU.S. plansNon-U.S. plans
In millions of dollars20162015 20162015 20162015 2016201520172016201720162017201620172016
Company contributions(2) for the six months ended June 30
$28
$22
 $58
$29
 $11
$32
 $3
$5
$26
$28
$70
$58
$19
$6
$4
$3
Company contributions made or expected to be made during the remainder of the year26
30
 78
105
 —
203
 5
4
29
528
70
68
—
—
4
6

(1)The U.S. pension plans include benefits paid directly by the Company for the nonqualified pension plans.
(2)Company contributions are composed of cash contributions made to the plans and benefits paid directly by the Company.










Defined Contribution Plans
The Company sponsors defined contribution plans in the U.S. and in certain non-U.S. locations, all of which are administered in accordance with local laws. The most significant defined contribution plan is the Citi Retirement Savings Plan (formerly known as the Citigroup 401(k) Plan) sponsored by the Company in the U.S.
Under the Citi Retirement Savings Plan, eligible U.S. employees receive matching contributions of up to 6% of their eligible compensation for 2016 and 2015, 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.
The following table summarizes the actual CompanyCompany’s contributions for the three months ended June 30, 2016 and 2015, respectively.defined contribution plans:
 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2016201520162015
   U.S. plans$97
$99
$193
$200
   Non-U.S. plans72
71
140
145
 Three Months Ended June 30,Six Months Ended   June 30,
In millions of dollars2017201620172016
   U.S. plans$100
$97
$198
$193
   Non-U.S. plans66
72
135
140













Postemployment
Post Employment Plans
The Company sponsors U.S. postemployment plans that provide income continuation and health and welfare benefits to certain eligible U.S. employees on long-term disability.
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:


Three Months Ended June 30, Six Months Ended June 30,Three Months Ended 
 June 30,		Six Months Ended 
 June 30,
In millions of dollars2016
2015 2016 20152017201620172016
Service-related expense 
  
    
$—
$—
$—
$—
Interest cost on benefit obligation$1
 $1
 $2
 $2
1
1
1
2
Amortization of unrecognized       







Prior service benefit(8) (8) (16) (15)(7)(8)(15)(16)
Net actuarial loss1
 3
 2
 6
—
1
1
2
Total service-related benefit$(6) $(4) $(12) $(7)$(6)$(6)$(13)$(12)
Non-service-related expense (benefit)$5
 $(3) $13
 $6
Total net expense (benefit)$(1) $(7) $1
 $(1)
Non-service-related expense$4
$5
$12
$13
Total net (benefit) expense$(2)$(1)$(1)$1











9.     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:
Three Months Ended 
 June 30,		Six Months Ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions, except per-share amounts20162015201620152017201620172016
Income from continuing operations before attribution of noncontrolling interests$4,047
$4,858
$7,555
$9,675
$3,883
$4,047
$8,001
$7,555
Less: Noncontrolling interests from continuing operations26
18
31
60
32
26
42
31
Net income from continuing operations (for EPS purposes)$4,021
$4,840
$7,524
$9,615
$3,851
$4,021
$7,959
$7,524
Income (loss) from discontinued operations, net of taxes(23)6
(25)1
21
(23)3
(25)
Citigroup's net income$3,998
$4,846
$7,499
$9,616
$3,872
$3,998
$7,962
$7,499
Less: Preferred dividends(1)
322
202
532
330
320
322
621
532
Net income available to common shareholders$3,676
$4,644
$6,967
$9,286
$3,552
$3,676
$7,341
$6,967
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with nonforfeitable rights to dividends, applicable to basic EPS53
64
93
126
48
53
103
93
Net income allocated to common shareholders for basic EPS$3,623
$4,580
$6,874
$9,160
$3,504
$3,623
$7,238
$6,874
Net income allocated to common shareholders for diluted EPS$3,623
$4,580
$6,874
$9,160
3,504
3,623
$7,238
$6,874
Weighted-average common shares outstanding applicable to basic EPS2,915.8
3,020.0
2,929.4
3,027.1
2,739.1
2,915.8
2,752.2
2,929.4
Effect of dilutive securities(3)(2)
   
    
 
Options(2)(3)
0.1
4.9
0.1
4.9
0.1
0.1
0.1
0.1
Other employee plans—
0.1
—
0.1
Adjusted weighted-average common shares outstanding applicable to diluted EPS2,915.9
3,025.0
2,929.5
3,032.1
Basic earnings per share(4)
   
  
Adjusted weighted-average common shares outstanding applicable to diluted EPS(4)
2,739.2
2,915.9
2,752.3
2,929.5
Basic earnings per share(5)
   
  
Income from continuing operations$1.25
$1.51
$2.36
$3.03
$1.27
$1.25
$2.63
$2.36
Discontinued operations(0.01)—
(0.01)—
0.01
(0.01)—
(0.01)
Net income$1.24
$1.52
$2.35
$3.03
$1.28
$1.24
$2.63
$2.35
Diluted earnings per share(4)
     
Diluted earnings per share(5)
     
Income from continuing operations$1.25
$1.51
$2.36
$3.02
$1.27
$1.25
$2.63
$2.36
Discontinued operations(0.01)—
(0.01)—
0.01
(0.01)—
(0.01)
Net income$1.24
$1.51
$2.35
$3.02
$1.28
$1.24
$2.63
$2.35
(1)See Note 19 toAs of June 30, 2017, Citi estimates it will distribute preferred dividends of approximately $592 million during the Consolidated Financial Statements forremainder of 2017, in each case assuming such dividends are declared by the potential future impactCiti Board of preferred stock dividends.Directors.
(2)
During the second quarters of 2016 and 2015, weighted-average options to purchase 5.3 millionand0.9 million shares of common stock, respectively, were outstanding but not included in the computation of earnings per share because the weighted-average exercise prices of $75.43 and $201.01 per share, respectively, were anti-dilutive.
(3)Warrants issued to the U.S. Treasury as part of the Troubled Asset Relief Program (TARP) and the loss-sharing agreement (all of which were subsequently sold to the public in January 2011), with exercise prices of $178.50 and $106.10$105.61 per share for approximately 21.0 million and 25.5 million shares of Citigroup common stock, respectively. Both warrants were not included in the computation of earnings per share in the three and six months ended June 30, 20162017 and 20152016 because they were anti-dilutive.
(3)During the second quarters of 2017 and 2016, weighted-average options to purchase 0.8 million and 5.3 million shares of common stock, respectively, were outstanding, but not included in the computation of earnings per share because the weighted-average exercise prices of $204.80 and $75.43 per share, respectively, were anti-dilutive.
(4)Due to rounding, common shares outstanding applicable to basic EPS and the effect of dilutive securities may not sum to common shares outstanding applicable to diluted EPS.
(5)Due to rounding, earnings per share on continuing operations and discontinued operations may not sum to earnings per share on net income.



10. FEDERAL FUNDS, SECURITIES BORROWED, LOANED AND SUBJECT TO REPURCHASE AGREEMENTS
For additional information on the Company’s resale and repurchase agreements and securities borrowing and lending agreements, see Note 11 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.
Federal funds sold and securities borrowed or purchased under agreements to resell, at their respective carrying values, consisted of the following:
In millions of dollarsJune 30,
2016		December 31, 2015June 30,
2017		December 31, 2016
Federal funds sold$—
$25
$—
$—
Securities purchased under agreements to resell133,019
119,777
128,546
131,473
Deposits paid for securities borrowed95,664
99,873
105,519
105,340
Total(1)$228,683
$219,675
$234,065
$236,813

Federal funds purchased and securities loaned or sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsJune 30,
2016		December 31, 2015June 30,
2017		December 31, 2016
Federal funds purchased$547
$189
$303
$178
Securities sold under agreements to repurchase141,056
131,650
141,304
125,685
Deposits received for securities loaned16,398
14,657
13,173
15,958
Total(1)$158,001
$146,496
$154,780
$141,821
(1)
The above tables do not include securities-for-securities lending transactions of $13.4 billion and $9.3 billion at June 30, 2017 and December 31, 2016, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
The resale and repurchase agreements represent collateralized financing transactions. The Company executes these transactions primarily through its broker-dealer subsidiaries to facilitate customer matched-book activity and to efficiently fund a portion of the Company’s trading inventory. Transactions executed by the Company’s bank subsidiaries primarily facilitate customer financing activity.
To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and stipulating financing tenor. Citi manages the risks in its collateralized financing transactions by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions. Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress.

It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.
Collateral typically consists of government and government-agency securities, corporate and municipal bonds, equities, and mortgage-backed and other asset-backed securities.
The resale and repurchase agreements are generally documented under industry standard agreements that allow the prompt close-out of all transactions (including the liquidation of securities held) and the offsetting of obligations to return cash or securities by the non-defaulting party, following a payment default or other type of default under the relevant master agreement. Events of default generally include (i) failure to deliver cash or securities as required under the transaction, (ii) failure to provide or return cash or securities as used for margining purposes, (iii) breach of representation, (iv) cross-default to another transaction entered into among the parties, or, in some cases, their affiliates, and (v) a repudiation of obligations under the agreement. The counterparty that receives the securities in these transactions is generally unrestricted in its use of the securities, with the exception of transactions executed on a tri-party basis, where the collateral is maintained by a custodian and operational limitations may restrict its use of the securities.
A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 2220 and 2321 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 2321 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 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 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.ASC-210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC 210-20-45ASC-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 June 30, 2016As of June 30, 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$186,000
$52,981
$133,019
$100,605
$32,414
$186,108
$57,562
$128,546
$106,230
$22,316
Deposits paid for securities borrowed95,664
—
95,664
14,402
81,262
105,519
—
105,519
22,633
82,886
Total$281,664
$52,981
$228,683
$115,007
$113,676
$291,627
$57,562
$234,065
$128,863
$105,202



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$194,037
$52,981
$141,056
$74,448
$66,608
$198,866
$57,562
$141,304
$64,748
$76,556
Deposits received for securities loaned16,398
—
16,398
1,761
14,637
13,173
—
13,173
2,936
10,237
Total$210,435
$52,981
$157,454
$76,209
$81,245
$212,039
$57,562
$154,477
$67,684
$86,793

As of December 31, 2015As of December 31, 2016
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities purchased under agreements to resell$176,167
$56,390
$119,777
$92,039
$27,738
$176,284
$44,811
$131,473
$102,874
$28,599
Deposits paid for securities borrowed99,873
—
99,873
16,619
83,254
105,340
—
105,340
16,200
89,140
Total$276,040
$56,390
$219,650
$108,658
$110,992
$281,624
$44,811
$236,813
$119,074
$117,739
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities sold under agreements to repurchase$188,040
$56,390
$131,650
$60,641
$71,009
$170,496
$44,811
$125,685
$63,517
$62,168
Deposits received for securities loaned14,657
—
14,657
3,226
11,431
15,958
—
15,958
3,529
12,429
Total$202,697
$56,390
$146,307
$63,867
$82,440
$186,454
$44,811
$141,643
$67,046
$74,597
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)The total of this column for each period excludes Federal 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 tables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by remaining contractual maturity:

As of June 30, 2016As of June 30, 2017
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$104,435
$45,117
$19,486
$24,999
$194,037
$91,133
$56,163
$24,255
$27,315
$198,866
Deposits received for securities loaned10,877
2,514
1,540
1,467
16,398
9,948
644
1,709
872
13,173
Total$115,312
$47,631
$21,026
$26,466
$210,435
$101,081
$56,807
$25,964
$28,187
$212,039


As of December 31, 2015As of December 31, 2016
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
$79,740
$50,399
$19,396
$20,961
$170,496
Deposits received for securities loaned9,096
1,823
2,324
1,414
14,657
10,813
2,169
2,044
932
15,958
Total$98,828
$56,159
$23,865
$23,845
$202,697
$90,553
$52,568
$21,440
$21,893
$186,454


The following tables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by class of underlying collateral:

 As of June 30, 2016
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency$82,556
$29
$82,585
State and municipal356
—
356
Foreign government60,023
928
60,951
Corporate bonds17,062
1,033
18,095
Equity securities8,599
14,365
22,964
Mortgage-backed securities17,523
—
17,523
Asset-backed securities4,345
—
4,345
Other3,573
43
3,616
Total$194,037
$16,398
$210,435



 As of June 30, 2017
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$66,171
$—
$66,171
State and municipal securities1,054
—
1,054
Foreign government securities77,916
611
78,527
Corporate bonds18,799
586
19,385
Equity securities11,419
11,330
22,749
Mortgage-backed securities14,980
—
14,980
Asset-backed securities5,321
—
5,321
Other3,206
646
3,852
Total$198,866
$13,173
$212,039

As of December 31, 2015As of December 31, 2016
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$66,263
$—
$66,263
State and municipal securities334
—
334
Foreign government securities52,988
1,390
54,378
Corporate bonds15,355
1,085
16,440
17,164
630
17,794
Equity securities10,297
12,484
22,781
12,206
13,913
26,119
Mortgage-backed securities19,913
—
19,913
11,421
—
11,421
Asset-backed securities4,572
—
4,572
5,428
—
5,428
Other3,862
299
4,161
4,692
25
4,717
Total$188,040
$14,657
$202,697
$170,496
$15,958
$186,454



11. BROKERAGE RECEIVABLES AND BROKERAGE
PAYABLES

The Company has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business. The Company 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 Company would have to sell or purchase the financial instruments at prevailing market prices. Credit risk is reduced
For additional information on these receivables and payables, see Note 12 to the extent that an exchange or clearing organization acts as a counterparty to the transaction and replaces the broker, dealer or customerConsolidated Financial Statements in question.
The Company seeks to protect itself from the risks associated with customer activities by requiring customers to maintain margin collateral in compliance with regulatory and internal guidelines. Margin levels are monitored daily, and customers deposit additional collateral as required. Where customers cannot meet collateral requirements, the Company 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. 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.Citi’s 2016 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsJune 30,
2016		December 31, 2015June 30,
2017		December 31, 2016
Receivables from customers$8,878
$10,435
$12,851
$10,374
Receivables from brokers, dealers, and clearing organizations27,973
17,248
27,636
18,513
Total brokerage receivables(1)
$36,851
$27,683
$40,487
$28,887
Payables to customers$38,788
$35,653
$38,588
$37,237
Payables to brokers, dealers, and clearing organizations23,266
18,069
24,359
19,915
Total brokerage payables(1)
$62,054
$53,722
$62,947
$57,152

(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.
12.   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 or fair value, and consist of the following:
In millions of dollarsJune 30,
2016		December 31, 2015
Trading account assets  
Mortgage-backed securities(1)
  
U.S. government-sponsored agency guaranteed$27,562
$24,767
Prime212
803
Alt-A135
543
Subprime477
516
Non-U.S. residential171
523
Commercial1,536
2,855
Total mortgage-backed securities$30,093
$30,007
U.S. Treasury and federal agency securities  
U.S. Treasury$23,069
$15,791
Agency obligations2,574
2,005
Total U.S. Treasury and federal agency securities$25,643
$17,796
State and municipal securities$3,179
$2,696
Foreign government securities63,118
56,467
Corporate15,156
14,579
Derivatives(2)
72,213
56,184
Equity securities47,007
56,495
Asset-backed securities(1)
3,540
3,956
Other trading assets(3)
11,815
11,776
Total trading account assets$271,764
$249,956
Trading account liabilities  
Securities sold, not yet purchased$72,003
$57,827
Derivatives(2)
63,204
57,592
Other trading liabilities(3)
1,100
2,093
Total trading account liabilities$136,307
$117,512
(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 20 to the Consolidated Financial Statements.
(2)Presented net, pursuant to enforceable master netting agreements. See Note 21 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 23 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.



13.12.   INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for other-than-temporary impairment (OTTI), see Note 13 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.

Overview
The following table presents the Company’sCiti’s investments by category:
 June 30,
2016		December 31,
2015
In millions of dollars
Securities available-for-sale (AFS)$312,765
$299,136
Debt securities held-to-maturity (HTM)(1)
35,903
36,215
Non-marketable equity securities carried at fair value(2)
1,973
2,088
Non-marketable equity securities carried at cost(3)
5,652
5,516
Total investments$356,293
$342,955
 In millions of dollarsJune 30,
2017		December 31,
2016
 
 Securities available-for-sale (AFS)$293,629
$299,424
 
Debt securities held-to-maturity (HTM)(1)
50,175
45,667
 
Non-marketable equity securities carried at fair value(2)
1,384
1,774
 
Non-marketable equity securities carried at cost(3)
6,522
6,439
 Total investments$351,710
$353,304
(1)Carried at adjusted amortized cost basis, net of any credit-related impairment.
(2)Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings.
(3)Primarily consists of shares issued by the Federal Reserve Bank, Federal Home Loan Banks foreign central banks and various clearing houses of which Citigroup is a member.

The following table presents interest and dividend income on investments:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20162015201620152017201620172016
Taxable interest$1,774
$1,598
$3,478
$3,191
$1,859
$1,759
$3,623
$3,436
Interest exempt from U.S. federal income tax118
49
234
72
141
133
283
276
Dividend income45
123
80
218
58
45
112
80
Total interest and dividend income$1,937
$1,770
$3,792
$3,481
$2,058
$1,937
$4,018
$3,792

The following table presents realized gains and losses on the salesales of investments. The gross realized investment losses exclude losses from other-than-temporary impairment (OTTI):investments, which excludes OTTI losses:
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20162015201620152017201620172016
Gross realized investment gains$244
$357
$623
$714
$258
$244
$546
$623
Gross realized investment losses(44)(174)(237)(224)(37)(44)(133)(237)
Net realized gains on sale of investments$200
$183
$386
$490
$221
$200
$413
$386

The Company has sold certain debt securities that were classified as HTM. These sales were in response to significant deterioration in the creditworthiness of the issuers or securities or because the Company has collected a substantial portion (at least 85%) of the principal outstanding at acquisition of the security. In addition, certain other securities were reclassified to AFS investments in response to
 

significant credit deterioration. Because the Company generally intends to sell these reclassified securities, Citi recorded OTTI on the securities. The following table sets forth, for the periods indicated, the carrying value of HTM securities sold and reclassified to AFS, as well as the related gain (loss) or the OTTI losses recorded on these securities.

 Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2016201520162015
Carrying value of HTM securities sold$7
$22
$7
$49
Net realized gain (loss) on sale of HTM securities(1)3
(1)5
Carrying value of securities reclassified to AFS24
—
150
94
OTTI losses on securities reclassified to AFS(1)—
(6)(5)



Securities Available-for-Sale
The amortized cost and fair value of AFS securities were as follows:
June 30, 2016December 31, 2015June 30, 2017December 31, 2016
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$44,698
$864
$65
$45,497
$39,584
$367
$237
$39,714
$43,351
$246
$399
$43,198
$38,663
$248
$506
$38,405
Prime5
—
—
5
2
—
—
2
1
—
—
1
2
—
—
2
Alt-A66
7
—
73
50
5
—
55
—
—
—
—
43
7
—
50
Non-U.S. residential4,986
23
22
4,987
5,909
31
11
5,929
3,154
14
5
3,163
3,852
13
7
3,858
Commercial361
5
—
366
573
2
4
571
357
1
1
357
357
2
1
358
Total mortgage-backed securities$50,116
$899
$87
$50,928
$46,118
$405
$252
$46,271
$46,863
$261
$405
$46,719
$42,917
$270
$514
$42,673
U.S. Treasury and federal agency securities      
U.S. Treasury$111,902
$2,587
$13
$114,476
$113,096
$254
$515
$112,835
$102,340
$414
$359
$102,395
$113,606
$629
$452
$113,783
Agency obligations10,940
157
5
11,092
10,095
22
37
10,080
10,240
24
61
10,203
9,952
21
85
9,888
Total U.S. Treasury and federal agency securities$122,842
$2,744
$18
$125,568
$123,191
$276
$552
$122,915
$112,580
$438
$420
$112,598
$123,558
$650
$537
$123,671
State and municipal(2)
$11,667
$255
$669
$11,253
$12,099
$132
$772
$11,459
$9,700
$142
$303
$9,539
$10,797
$80
$757
$10,120
Foreign government93,408
657
226
93,839
88,751
402
479
88,674
101,669
514
401
101,782
98,112
590
554
98,148
Corporate20,505
242
160
20,587
19,492
129
291
19,330
16,111
93
101
16,103
17,195
105
176
17,124
Asset-backed securities(1)
8,121
7
85
8,043
9,261
5
92
9,174
6,020
10
6
6,024
6,810
6
22
6,794
Other debt securities1,123
—
—
1,123
688
—
—
688
431
—
—
431
503
—
—
503
Total debt securities AFS$307,782
$4,804
$1,245
$311,341
$299,600
$1,349
$2,438
$298,511
$293,374
$1,458
$1,636
$293,196
$299,892
$1,701
$2,560
$299,033
Marketable equity securities AFS$1,411
$18
$5
$1,424
$602
$26
$3
$625
$414
$25
$6
$433
$377
$20
$6
$391
Total securities AFS$309,193
$4,822
$1,250
$312,765
$300,202
$1,375
$2,441
$299,136
$293,788
$1,483
$1,642
$293,629
$300,269
$1,721
$2,566
$299,424
(1)The Company invests in mortgage-backed and asset-backed securities. These securitizations are generally considered VIEs. The Company’s maximum exposure to loss from these VIEs is equal to the carrying amount of the securities, which is reflected in the table above. For mortgage-backed and asset-backed securitizations in which the Company has other involvement, see Note 2018 to the Consolidated Financial Statements.
(2)The gross unrealized losses
In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-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.  For additional information, see Note 1 to the effects of fair value hedge accounting.  Specifically, Citi hedges the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged.  However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from 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. Consolidated Financial Statements.



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.




 










The table belowfollowing 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
June 30, 2016   
June 30, 2017   
Securities AFS      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$2,398
$9
$1,764
$56
$4,162
$65
$26,236
$332
$2,253
$67
$28,489
$399
Prime4
—
1
—
5
—
Alt-A22
—
—
—
22
—
Non-U.S. residential365
2
2,214
20
2,579
22
1,243
4
36
1
1,279
5
Commercial29
—
50
—
79
—
84
1
37
—
121
1
Total mortgage-backed securities$2,818
$11
$4,029
$76
$6,847
$87
$27,563
$337
$2,326
$68
$29,889
$405
U.S. Treasury and federal agency securities      
U.S. Treasury$3,398
$13
$—
$—
$3,398
$13
$37,721
$250
$4,592
$109
$42,313
$359
Agency obligations188
—
137
5
325
5
6,345
60
106
1
6,451
61
Total U.S. Treasury and federal agency securities$3,586
$13
$137
$5
$3,723
$18
$44,066
$310
$4,698
$110
$48,764
$420
State and municipal$226
$8
$3,751
$661
$3,977
$669
$506
$17
$1,735
$286
$2,241
$303
Foreign government21,672
170
4,086
56
25,758
226
37,764
172
11,189
229
48,953
401
Corporate3,452
85
1,623
75
5,075
160
5,965
87
553
14
6,518
101
Asset-backed securities2,937
46
3,778
39
6,715
85
1,045
1
938
5
1,983
6
Other debt securities204
—
—
—
204
—
29
—
—
—
29
—
Marketable equity securities AFS30
5
1
—
31
5
16
2
54
4
70
6
Total securities AFS$34,925
$338
$17,405
$912
$52,330
$1,250
$116,954
$926
$21,493
$716
$138,447
$1,642
December 31, 2015 
 
 
 
 
 
December 31, 2016 
 
 
 
 
 
Securities AFS 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed$17,816
$141
$2,618
$96
$20,434
$237
$23,534
$436
$2,236
$70
$25,770
$506
Prime—
—
1
—
1
—
1
—
—
—
1
—
Non-U.S. residential2,217
7
825
4
3,042
11
486
—
1,276
7
1,762
7
Commercial291
3
55
1
346
4
75
1
58
—
133
1
Total mortgage-backed securities$20,324
$151
$3,499
$101
$23,823
$252
$24,096
$437
$3,570
$77
$27,666
$514
U.S. Treasury and federal agency securities 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury$59,384
$505
$1,204
$10
$60,588
$515
$44,342
$445
$1,335
$7
$45,677
$452
Agency obligations6,716
30
196
7
6,912
37
6,552
83
250
2
6,802
85
Total U.S. Treasury and federal agency securities$66,100
$535
$1,400
$17
$67,500
$552
$50,894
$528
$1,585
$9
$52,479
$537
State and municipal$635
$26
$4,450
$746
$5,085
$772
$1,616
$55
$3,116
$702
$4,732
$757
Foreign government34,053
371
4,021
108
38,074
479
38,226
243
8,973
311
47,199
554
Corporate7,024
190
1,919
101
8,943
291
7,011
129
1,877
47
8,888
176
Asset-backed securities5,311
58
2,247
34
7,558
92
411
—
3,213
22
3,624
22
Other debt securities27
—
—
—
27
—
5
—
—
—
5
—
Marketable equity securities AFS132
3
1
—
133
3
19
2
24
4
43
6
Total securities AFS$133,606
$1,334
$17,537
$1,107
$151,143
$2,441
$122,278
$1,394
$22,358
$1,172
$144,636
$2,566


The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
June 30, 2016December 31, 2015June 30, 2017December 31, 2016
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$171
$171
$114
$114
$96
$96
$132
$132
After 1 but within 5 years1,218
1,230
1,408
1,411
812
814
736
738
After 5 but within 10 years2,260
2,314
1,750
1,751
1,733
1,730
2,279
2,265
After 10 years(2)
46,467
47,213
42,846
42,995
44,222
44,079
39,770
39,538
Total$50,116
$50,928
$46,118
$46,271
$46,863
$46,719
$42,917
$42,673
U.S. Treasury and federal agency securities      
Due within 1 year$3,903
$3,907
$3,016
$3,014
$3,183
$3,165
$4,945
$4,945
After 1 but within 5 years106,077
108,292
107,034
106,878
103,151
103,156
101,369
101,323
After 5 but within 10 years12,764
13,275
12,786
12,684
6,211
6,240
17,153
17,314
After 10 years(2)
98
94
355
339
35
37
91
89
Total$122,842
$125,568
$123,191
$122,915
$112,580
$112,598
$123,558
$123,671
State and municipal      
Due within 1 year$769
$763
$3,289
$3,287
$2,217
$2,217
$2,093
$2,092
After 1 but within 5 years4,109
4,118
1,781
1,781
2,393
2,396
2,668
2,662
After 5 but within 10 years322
337
502
516
464
478
335
334
After 10 years(2)
6,467
6,035
6,527
5,875
4,626
4,448
5,701
5,032
Total$11,667
$11,253
$12,099
$11,459
$9,700
$9,539
$10,797
$10,120
Foreign government      
Due within 1 year$25,129
$25,129
$25,898
$25,905
$31,792
$31,800
$32,540
$32,547
After 1 but within 5 years50,290
50,457
43,514
43,464
54,028
53,507
51,008
50,881
After 5 but within 10 years15,399
15,563
17,013
16,968
13,457
13,944
12,388
12,440
After 10 years(2)
2,590
2,690
2,326
2,337
2,392
2,531
2,176
2,280
Total$93,408
$93,839
$88,751
$88,674
$101,669
$101,782
$98,112
$98,148
All other(3)
      
Due within 1 year$2,821
$2,824
$2,354
$2,355
$3,794
$3,688
$2,629
$2,628
After 1 but within 5 years15,670
15,814
14,035
14,054
10,380
10,396
12,339
12,334
After 5 but within 10 years8,455
8,387
9,789
9,593
5,760
5,865
6,566
6,528
After 10 years(2)
2,803
2,728
3,263
3,190
2,628
2,609
2,974
2,931
Total$29,749
$29,753
$29,441
$29,192
$22,562
$22,558
$24,508
$24,421
Total debt securities AFS$307,782
$311,341
$299,600
$298,511
$293,374
$293,196
$299,892
$299,033
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate, asset-backed and other debt securities.



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
Amortized
cost basis(1)
Net unrealized gains
(losses)
recognized in
AOCI
Carrying
value(2)
Gross
unrealized
gains
Gross
unrealized
(losses)
Fair
value
June 30, 2016    
June 30, 2017June 30, 2017    
Debt securities held-to-maturity          
Mortgage-backed securities(3)
          
U.S. government agency guaranteed$17,158
$129
$17,287
$424
$—
$17,711
$24,044
$25
$24,069
$77
$(113)$24,033
Prime43
(8)35
4
(1)38
15
—
15
3
—
18
Alt-A371
(43)328
73
(2)399
279
(18)261
94
(1)354
Subprime2
—
2
10
—
12
Non-U.S. residential1,166
(54)1,112
35
(3)1,144
1,940
(47)1,893
64
—
1,957
Commercial104
—
104
—
—
104
Total mortgage-backed securities$18,740
$24
$18,764
$546
$(6)$19,304
$26,382
$(40)$26,342
$238
$(114)$26,466
State and municipal(4)
$8,476
$(403)$8,073
$495
$(68)$8,500
$8,830
$(31)$8,799
$310
$(132)$8,977
Foreign government2,231
—
2,231
2
(1)2,232
588
—
588
—
(16)572
Asset-backed securities(3)
6,842
(7)6,835
15
(37)6,813
14,451
(5)14,446
67
(5)14,508
Total debt securities held-to-maturity$36,289
$(386)$35,903
$1,058
$(112)$36,849
$50,251
$(76)$50,175
$615
$(267)$50,523
December 31, 2015  
 
 
 
 
December 31, 2016  
 
 
 
 
Debt securities held-to-maturity 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities(3)
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agency guaranteed$17,648
$138
$17,786
$71
$(100)$17,757
$22,462
$33
$22,495
$47
$(186)$22,356
Prime121
(78)43
3
(1)45
31
(7)24
10
(1)33
Alt-A433
(1)432
259
(162)529
314
(27)287
69
(1)355
Subprime2
—
2
13
—
15
Non-U.S. residential1,330
(60)1,270
37
—
1,307
1,871
(47)1,824
49
—
1,873
Commercial14
—
14
—
—
14
Total mortgage-backed securities$19,534
$(1)$19,533
$383
$(263)$19,653
$24,692
$(48)$24,644
$175
$(188)$24,631
State and municipal$8,581
$(438)$8,143
$245
$(87)$8,301
$9,025
$(442)$8,583
$129
$(238)$8,474
Foreign government4,068
—
4,068
28
(3)4,093
1,339
—
1,339
—
(26)1,313
Asset-backed securities(3)
4,485
(14)4,471
34
(41)4,464
11,107
(6)11,101
41
(5)11,137
Total debt securities held-to-maturity(5)
$36,668
$(453)$36,215
$690
$(394)$36,511
$46,163
$(496)$45,667
$345
$(457)$45,555
(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-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 2018 to the Consolidated Financial Statements.
(4)The net unrealized losses recognized in AOCI
In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-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.  For additional information, see Note 1 to the effects of fair value hedge accounting applied when these debt securities were classified as AFS. Specifically, Citi hedged the LIBOR-benchmark interest rate component of certain fixed-rate tax-exempt state and municipal debt securities utilizing LIBOR-based interest rate swaps. During the hedge period, losses incurred on the LIBOR-hedging swaps recorded in earnings were substantially offset by gains on the state and municipal debt securities attributable to changes in the LIBOR swap rate being hedged. However, because the LIBOR swap rate decreased significantly during the hedge period while the overall fair value of the municipal debt securities was relatively unchanged, the effect of reclassifying fair value gains on these securities from AOCI to earnings attributable solely to changes in the LIBOR swap rate resulted in net unrealized losses remaining in AOCI that relate to the unhedged components of these securities. Upon transfer of these debt securities to HTM, all hedges have been de-designated and hedge accounting has ceased.Consolidated Financial Statements.


(5)
During the secondfourth quarter of 2015,2016, securities with a total fair value of approximately $7.1$5.8 billion were transferred from AFS to HTM, consistingcomposed of $7.0$5 billion of U.S. government agency mortgage-backed securities and $0.1 billion$830 million of obligations of U.S. states and municipalities.municipal securities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call, in part, in order to reduce the impact of price volatility on 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 the amortization of differences between the carrying values at the transfer date and the par values of each security as an adjustment of yield over the remaining contractual life of each security. Any net unrealized holding losses within AOCIrelated to the respective securities at the date of transfer, inclusive of any cumulative fair value hedge adjustments, will be amortized over the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount.

The Company has the positive intent and ability to hold these securities to maturity or, where applicable, the exercise of any issuer call options, absent any unforeseen significant changes in circumstances, including deterioration in credit or changes in regulatory capital requirements.
The net unrealized losses classified in AOCI primarily relate to debt securities previously classified as AFS that have been transferred to HTM, and include any cumulative fair


value hedge adjustments. The net unrealized loss amount also includes any non-credit-related changes in fair value of HTM securities that have suffered credit impairment recorded in earnings. The AOCI balance related to HTM securities is amortized over the remaining contractual life of the related securities as an adjustment of yield in a manner consistent with the accretion of any difference between the carrying value at the transfer date and par value of the same debt securities.


The table below shows the fair value of debt securities 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
June 30, 2016     
June 30, 2017     
Debt securities held-to-maturity          
Mortgage-backed securities$48
$3
$77
$3
$125
$6
$35
$1
$11,533
$113
$11,568
$114
State and municipal224
8
1,755
60
1,979
68
629
43
735
89
1,364
132
Foreign government278
1
—
—
278
1
572
16
—
—
572
16
Asset-backed securities2
—
5,693
37
5,695
37
54
1
2,810
4
2,864
5
Total debt securities held-to-maturity$552
$12
$7,525
$100
$8,077
$112
$1,290
$61
$15,078
$206
$16,368
$267
December 31, 2015     
December 31, 2016     
Debt securities held-to-maturity          
Mortgage-backed securities$935
$1
$10,301
$262
$11,236
$263
$17
$—
$17,176
$188
$17,193
$188
State and municipal881
20
1,826
67
2,707
87
2,200
58
1,210
180
3,410
238
Foreign government180
3
—
—
180
3
1,313
26
—
—
1,313
26
Asset-backed securities132
13
3,232
28
3,364
41
2
—
2,503
5
2,505
5
Total debt securities held-to-maturity$2,128
$37
$15,359
$357
$17,487
$394
$3,532
$84
$20,889
$373
$24,421
$457
Note: Excluded from the gross unrecognized losses presented in the table above table are $(386)$(76) million and $(453)$(496) million of net unrealized losses recorded in AOCI as of June 30, 20162017 and December 31, 2015,2016, respectively, primarily related to the difference between the amortized cost and carrying value of HTM securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at June 30, 20162017 and December 31, 2015.2016.



The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
June 30, 2016December 31, 2015June 30, 2017December 31, 2016
In millions of dollarsCarrying valueFair valueCarrying valueFair valueCarrying valueFair valueCarrying valueFair value
Mortgage-backed securities      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years456
471
172
172
735
743
760
766
After 5 but within 10 years347
360
660
663
51
52
54
55
After 10 years(1)
17,961
18,473
18,701
18,818
25,556
25,671
23,830
23,810
Total$18,764
$19,304
$19,533
$19,653
$26,342
$26,466
$24,644
$24,631
State and municipal      
Due within 1 year$441
$434
$309
$305
$463
$472
$406
$406
After 1 but within 5 years262
263
336
335
145
152
112
110
After 5 but within 10 years216
231
262
270
372
385
363
367
After 10 years(1)
7,154
7,572
7,236
7,391
7,819
7,968
7,702
7,591
Total$8,073
$8,500
$8,143
$8,301
$8,799
$8,977
$8,583
$8,474
Foreign government      
Due within 1 year$1,655
$1,657
$—
$—
$138
$138
$824
$818
After 1 but within 5 years576
575
4,068
4,093
450
434
515
495
After 5 but within 10 years—
—
—
—
—
—
—
—
After 10 years(1)
—
—
—
—
—
—
—
—
Total$2,231
$2,232
$4,068
$4,093
$588
$572
$1,339
$1,313
All other(2)
      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
—
—
—
—
After 5 but within 10 years134
134
—
—
468
469
513
514
After 10 years(1)
6,701
6,679
4,471
4,464
13,978
14,039
10,588
10,623
Total$6,835
$6,813
$4,471
$4,464
$14,446
$14,508
$11,101
$11,137
Total debt securities held-to-maturity$35,903
$36,849
$36,215
$36,511
$50,175
$50,523
$45,667
$45,555
(1)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(2)Includes corporate and asset-backed securities.





Evaluating Investments for Other-Than-Temporary Impairment

Overview
The Company conducts periodic reviews of all securities with unrealized losses to evaluate whether the impairment is other-than-temporary.
An unrealized loss exists when the current fair value of an individual security is less than its amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS securities. Losses related to HTM securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM securities with credit-related losses,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 securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any impairment recognized in earnings.
Regardless of the classification of the securities as AFS or HTM, the Company assesses each position with an unrealized loss for OTTI. Factors considered in determining whether a loss is temporary include:

the length of time and the extent to which fair value has been below cost;
the severity of the impairment;
the cause of the impairment and the financial condition and near-term prospects of the issuer;
activity in the market of the issuer that may indicate adverse credit conditions; and
the Company’s ability and intent to hold the investment for a period of time sufficient to allow for any anticipated recovery.

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-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.

Equity Securities
For equity securities, management considers the various factors described above, including its intent and ability to hold the equity security for a period of time sufficient for recovery to cost or whether it is more-likely-than-not that the Company will be required to sell the security prior to recovery of its cost basis. Where management lacks that intent or ability, the security’s decline in fair value is deemed to be other-than-temporary and is recorded in earnings. AFS equity securities deemed to be other-than-temporarily impaired are written down to fair value, with the full difference between fair value and cost recognized in earnings.
Management 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 22 to the Consolidated Financial Statements).
For impaired equity method investments that Citi plans to sell prior to recovery of value or would likely be required to sell, with no expectation that the fair value will recover prior to the expected sale date, the full impairment is recognized in earnings as OTTI regardless of severity and duration. The measurement of the OTTI does not include partial projected recoveries subsequent to the balance sheet date.
For impaired equity method investments that management does not plan to sell and is not likely to be required to sell prior to recovery of value, the evaluation of whether an impairment is other-than-temporary is based on (i) whether and when an equity method investment will recover in value and (ii) whether the investor has the intent and ability to hold that investment for a period of time sufficient to recover the value. The determination of whether the impairment is considered other-than-temporary considers the following indicators, regardless of the time and extent of impairment:

the cause of the impairment and the financial condition and near-term prospects of the issuer, including any specific events that may influence the operations of the issuer;
the intent and ability to hold the investment for a period of time sufficient to allow for any anticipated recovery in market value; and



the length of time and extent to which fair value has been less than the carrying value.


The sections below describe the Company’s process for identifying credit-related impairments for security types that have the most significant unrealized losses as of June 30, 2016.2017.

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 follows:earnings:
OTTI on Investments and Other AssetsThree Months Ended 
 June 30, 2016		Six Months Ended 
  June 30, 2016
OTTI on Investments and Other assetsThree Months Ended   June 30, 2017Six Months Ended     June 30, 2017
In millions of dollars
AFS(1)
HTM
Other
Assets
Total
AFS(1)(2)
HTM
Other
Assets(3)
Total
AFS(1)
HTMOther
assets		Total
AFS(1)(2)
HTM
Other
Assets
Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:          
Total OTTI losses recognized during the period$2
$1
$—
$3
$3
$1
$—
$4
$—
$—
$—
$—
$—
$—
$—
$—
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$2
$1
$—
$3
$3
$1
$—
$4
$—
$—
$—
$—
$—
$—
$—
$—
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 exercise and FX losses28
17
70
115
223
24
332
579
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 exercise20
—
—
20
31
1
—
32
Total impairment losses recognized in earnings$30
$18
$70
$118
$226
$25
$332
$583
$20
$—
$—
$20
$31
$1
$—
$32
(1)Includes OTTI on non-marketable equity securities.




OTTI on Investments and Other assetsThree months ended    June 30, 2016Six Months Ended    June 30, 2016
In millions of dollars
AFS(1)
HTMOther
assets		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$2
$1
$—
$3
$3
$1
$—
$4
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$2
$1
$—
$3
$3
$1
$—
$4
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 exercise and FX losses28
17
70
115
223
24
332
579
Total impairment losses recognized in earnings$30
$18
$70
$118
$226
$25
$332
$583

(1)Includes OTTI on non-marketable equity securities.
(2)Includes a $160 million impairment related to AFS securities affected by changes in the Venezuela exchange rate during the six months ended June 30, 2016.
(3)The impairment charge is related to the carrying value of an equity investment.



OTTI on Investments and Other AssetsThree Months Ended 
 June 30, 2015		Six Months Ended 
  June 30, 2015
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$—
$—
$—
$—
$—
$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
$—
$—
$—
$—
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 exercise and FX losses19
19
5
43
88
22
5
115
Total impairment losses recognized in earnings$19
$19
$5
$43
$88
$22
$5
$115

(1)Includes OTTI on non-marketable equity securities.


The following are three-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 securities still held
In millions of dollarsMar. 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		June 30, 2016 balanceMar. 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		June 30, 2017 balance
AFS debt securities      
Mortgage-backed securities$294
$1
$—
$—
$295
$—
$—
$—
$—
$—
State and municipal—
—
—
—
—
4
—
—
—
4
Foreign government securities170
—
—
—
170
—
—
—
—
—
Corporate110
—
2
(2)110
4
—
—
—
4
All other debt securities166
—
—
—
166
22
—
—
(22)—
Total OTTI credit losses recognized for AFS debt securities$740
$1
$2
$(2)$741
$30
$—
$—
$(22)$8
HTM debt securities        
Mortgage-backed securities(1)
$668
$—
$—
$(24)$644
$97
$—
$—
$—
$97
State and municipal—
1
—
—
1
3
—
—
—
3
All other debt securities132
—
—
(1)131
Total OTTI credit losses recognized for HTM debt securities$800
$1
$—
$(25)$776
$100
$—
$—
$—
$100
(1)Primarily consists of Alt-A securities.



Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsMar. 31, 2015 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		June 30, 2015 balanceMar. 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		June 30, 2016 balance
AFS debt securities      
Mortgage-backed securities$295
$—
$—
$—
$295
$—
$1
$—
$(1)$—
State and municipal—
—
—
—
—
4
—
—
—
4
Foreign government securities170
—
—
—
170
5
—
—
—
5
Corporate112
—
—
—
112
7
—
2
(2)7
All other debt securities149
—
—
—
149
43
—
—
—
43
Total OTTI credit losses recognized for AFS debt securities$726
$—
$—
$—
$726
$59
$1
$2
$(3)$59
HTM debt securities        
Mortgage-backed securities(1)
$668
$—
$—
$—
$668
$132
$—
$—
$(24)$108
All other debt securities133
—
—
—
133
State and municipal4
1
—
(1)4
Total OTTI credit losses recognized for HTM debt securities$801
$—
$—
$—
$801
$136
$1
$—
$(25)$112
(1)Primarily consists of Alt-A securities.

The following are six-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 securities still held
In millions of dollarsDec. 31, 2015 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		June 30, 2016 balanceDec. 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		June 30, 2017 balance
AFS debt securities      
Mortgage-backed securities$294
$1
$—
$—
$295
$—
$—
$—
$—
$—
State and municipal8
—
—
(8)—
4
—
—
—
4
Foreign government securities170
—
—
—
170
—
—
—
—
—
Corporate112
1
2
(5)110
5
—
—
(1)4
All other debt securities170
—
—
(4)166
22
—
—
(22)—
Total OTTI credit losses recognized for AFS debt securities$754
$2
$2
$(17)$741
$31
$—
$—
$(23)$8
HTM debt securities        
Mortgage-backed securities(1)
$668
$—
$—
$(24)$644
$101
$—
$—
$(4)$97
State and municipal—
1
—
—
1
3
—
—
—
3
All other debt securities132
—
—
(1)131
Total OTTI credit losses recognized for HTM debt securities$800
$1
$—
$(25)$776
$104
$—
$—
$(4)$100
(1)Primarily consists of Alt-A securities.



Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on securities still held
In millions of dollarsDec. 31, 2014 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		June 30, 2015 balanceDec. 31, 2015 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		Jun. 30, 2016 balance
AFS debt securities      
Mortgage-backed securities$295
$—
$—
$—
$295
$—
$1
$—
$(1)$—
State and municipal12
—
—
(8)4
Foreign government securities171
—
—
(1)170
5
—
—
—
5
Corporate118
—
—
(6)112
9
1
—
(3)7
All other debt securities149
—
—
—
149
47
—
—
(4)43
Total OTTI credit losses recognized for AFS debt securities$733
$—
$—
$(7)$726
$73
$2
$—
$(16)$59
HTM debt securities       
Mortgage-backed securities(1)
$670
$—
$—
$(2)$668
$132
$—
$—
$(24)$108
All other debt securities133
—
—
—
133
State and municipal4
1
—
(1)4
Total OTTI credit losses recognized for HTM debt securities$803
$—
$—
$(2)$801
$136
$1
$—
$(25)$112
(1)Primarily consists of Alt-A securities.

Investments in Alternative Investment Funds That Calculate Net Asset Value per Share
The Company holds investments in certain alternative investment funds that calculate net asset value (NAV) per share,, or its equivalent, including hedge funds, private equity funds, funds of funds and real estate funds. The Company’s investments include co-investmentsfunds, as provided by third-party asset managers. Investments in funds that are managed by the Company and investments in funds that are managed by third parties. Investments insuch funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV per share of the Company’s ownership interest in the funds. 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 5 years from the July 21, 2017 expiration date of the general conformance period, or the date such investments mature or are otherwise conformed with the Volcker Rule.



Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
Fair valueUnfunded
commitments
Redemption frequency
(if currently eligible)
monthly, quarterly, annually
Redemption 
notice
period
In millions of dollarsJune 30,
2016		December 31, 2015June 30,
2016		December 31, 2015 June 30,
2017		December 31, 2016June 30,
2017		December 31, 2016 
Hedge funds$2
$3
$—
$—
Generally quarterly10–95 days$1
$4
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
714
762
136
173
—374
348
82
82
—
Real estate funds (2)(3)
71
130
22
21
—41
56
21
20
—
Total(4)
$787
$895
$158
$194
—$416
$408
$103
$102
—
(1)Private equity funds include funds that invest in infrastructure, leveraged buyout transactions, emerging markets and venture capital.
(2)With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
(3)Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.
(4)Included in the total fair value of investments above are $0.8 billion and $0.9 billion of fund assets that are valued using NAVs provided by third-party asset managers as of June 30, 2016 and December 31, 2015, respectively.


14.13.   LOANS

Citigroup loans are reported in two categories—consumer and corporate. These categories are classified primarily according to the segment and subsegment that manage the loans. For additional information regarding Citi’s consumer and corporate loans, including related accounting policies, see Note 14 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.

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:

In millions of dollarsJune 30,
2016		December 31, 2015June 30, 2017December 31, 2016
In U.S. offices  
Mortgage and real estate(1)
$77,242
$80,281
$69,022
$72,957
Installment, revolving credit, and other3,486
3,480
Cards(2)
120,113
112,800
Installment, revolving credit and other3,190
3,395
Cards130,181
132,654
Commercial and industrial7,041
6,407
7,404
7,159
$207,882
$202,968
$209,797
$216,165
In offices outside the U.S.    
Mortgage and real estate(1)
$46,049
$47,062
$43,821
$42,803
Installment, revolving credit, and other27,830
29,480
Installment, revolving credit and other26,480
24,887
Cards25,844
27,342
25,376
23,783
Commercial and industrial17,857
17,741
18,956
16,568
Lease financing140
362
81
81
$117,720
$121,987
$114,714
$108,122
Total consumer loans$325,602
$324,955
$324,511
$324,287
Net unearned income$817
830
$750
$776
Consumer loans, net of unearned income$326,419
$325,785
$325,261
$325,063

(1)Loans secured primarily by real estate.
(2)Includes $11.3 billion of loans related to the acquisition of the Costco U.S. co-branded credit card portfolio, completed on June 17, 2016.

Citigroup has established a risk management processThe Company sold and/or reclassified to monitor, evaluateheld-for-sale $0.6 billion and manage the principal risks associated with its$2.8 billion, $2.1 billion and $4.7 billion of 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.
Duringduring the three and six months ended June 30, 2017 and 2016, and 2015, the Company sold and/or reclassified to held-for-sale $2.1 billion and $4.7 billion, and $1.5 billion and $14.8 billion respectively, of consumer loans.respectively.

 

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. Commercial market loans are placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due.
The policy for re-aging modified U.S. consumer loans to current status varies by product. Generally, one of the conditions to qualify for these modifications is that a minimum number of payments (typically ranging from one to three) be made. Upon modification, the loan is re-aged to current status. However, re-aging practices for certain open-ended consumer loans, such as credit cards, are governed by Federal Financial Institutions Examination Council (FFIEC) guidelines. For open-ended consumer loans subject to FFIEC guidelines, one of the conditions for 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.











The following tables provide details on Citigroup’s consumer loan delinquency and non-accrual loans:
Consumer Loan Delinquency and Non-Accrual Details at June 30, 20162017
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)$53,014
$583
$350
$1,885
$55,832
$1,281
$1,600
$49,255
$438
$260
$1,301
$51,254
$654
$1,035
Home equity loans(5)(7)
20,391
252
433
—
21,076
740
—
15,862
213
373
—
16,448
796
—
Credit cards118,460
1,219
1,129
—
120,808
—
1,128
128,173
1,349
1,352
—
130,874
—
1,352
Installment and other4,695
62
36
—
4,793
64
—
3,475
42
14
—
3,531
19
—
Commercial banking loans8,731
15
69
—
8,815
433
11
Commercial banking9,149
8
46
—
9,203
285
11
Total$205,291
$2,131
$2,017
$1,885
$211,324
$2,518
$2,739
$205,914
$2,050
$2,045
$1,301
$211,310
$1,754
$2,398
In offices outside North America      
Residential first mortgages(5)$38,849
$235
$161
$—
$39,245
$399
$—
$36,813
$227
$157
$—
$37,197
$412
$—
Credit cards24,276
434
396
—
25,106
282
256
23,985
418
370
—
24,773
313
254
Installment and other25,611
357
138
—
26,106
308
—
24,760
281
128
—
25,169
165
—
Commercial banking loans24,473
19
131
—
24,623
195
—
Commercial banking26,650
76
84
—
26,810
204
—
Total$113,209
$1,045
$826
$—
$115,080
$1,184
$256
$112,208
$1,002
$739
$—
$113,949
$1,094
$254
Total GCB and Citi Holdings consumer
$318,500
$3,176
$2,843
$1,885
$326,404
$3,702
$2,995
Total GCB and Corporate/Other consumer
$318,122
$3,052
$2,784
$1,301
$325,259
$2,848
$2,652
Other(6)(8)
14
1
—
—
15
3
—
2
—
—
—
2
—
—
Total Citigroup$318,514
$3,177
$2,843
$1,885
$326,419
$3,705
$2,995
$318,124
$3,052
$2,784
$1,301
$325,261
$2,848
$2,652
(1)Loans less than 30 days past due are presented as current.
(2)Includes $32$27 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 billion and 90 days or more past due of $1.6$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 Loan Delinquency and Non-Accrual Details at December 31, 20152016
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
$50,766
$522
$371
$1,474
$53,133
$848
$1,227
Home equity loans(5)(7)
22,335
136
277
—
22,748
1,017
—
18,767
249
438
—
19,454
914
—
Credit cards110,814
1,296
1,243
—
113,353
—
1,243
130,327
1,465
1,509
—
133,301
—
1,509
Installment and other4,576
80
33
—
4,689
56
2
4,486
106
38
—
4,630
70
2
Commercial banking loans8,241
16
61
—
8,318
222
17
Commercial banking8,876
23
74
—
8,973
328
14
Total$199,112
$2,374
$2,178
$2,318
$205,982
$2,511
$3,259
$213,222
$2,365
$2,430
$1,474
$219,491
$2,160
$2,752
In offices outside North America      
Residential first mortgages(5)$39,551
$240
$175
$—
$39,966
$388
$—
$35,862
$206
$135
$—
$36,203
$360
$—
Credit cards25,698
477
442
—
26,617
261
278
22,363
368
324
—
23,055
258
239
Installment and other27,664
317
220
—
28,201
226
—
22,683
264
126
—
23,073
163
—
Commercial banking loans24,764
46
31
—
24,841
247
—
Commercial banking23,054
72
112
—
23,238
217
—
Total$117,677
$1,080
$868
$—
$119,625
$1,122
$278
$103,962
$910
$697
$—
$105,569
$998
$239
Total GCB and Citi Holdings
$316,789
$3,454
$3,046
$2,318
$325,607
$3,633
$3,537
Total GCB and Corporate/Other consumer
$317,184
$3,275
$3,127
$1,474
$325,060
$3,158
$2,991
Other(6)(8)
164
7
7
—
178
25
—
3
—
—
—
3
—
—
Total Citigroup$316,953
$3,461
$3,053
$2,318
$325,785
$3,658
$3,537
$317,187
$3,275
$3,127
$1,474
$325,063
$3,158
$2,991
(1)Loans less than 30 days past due are presented as current.
(2)Includes $34$29 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.3$0.2 billion and 90 days or more past due of $2.0$1.3 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 based on end-of-period receivables (commercial marketbanking loans are not included inexcluded from the table since they are business based and FICO scores are not a primary driver in their credit evaluation). FICO scores are updated monthly for substantially all of the portfolio or, otherwise, on a quarterly basis for the remaining portfolio.
FICO score distribution in U.S. portfolio(1)(2)
June 30, 2017
In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$2,392
$2,195
$43,056
Home equity loans1,542
1,248
13,263
Credit cards8,227
11,120
108,311
Installment and other261
253
2,448
Total$12,422
$14,816
$167,078
 

FICO score distribution in U.S. portfolio(1)(2)
June 30, 2016
In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$2,978
$2,742
$45,580
Home equity loans1,884
1,584
16,360
Credit cards7,332
10,234
100,186
Installment and other310
265
2,643
Total$12,504
$14,825
$164,769
FICO score distribution in U.S. portfolio(1)(2)
December 31, 2016

In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Residential first mortgages$2,744
$2,422
$44,279
Home equity loans1,750
1,418
14,743
Credit cards8,310
11,320
110,522
Installment and other284
271
2,601
Total$13,088
$15,431
$172,145
(1)Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (LTSCs) with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where FICO was not available. Such amounts are not material.



FICO score distribution in U.S. portfolio(1)(2)
December 31, 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
(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)
June 30, 2016
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$46,838
$4,032
$502
Home equity loans13,283
4,341
2,104
Total$60,121
$8,373
$2,606
(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)
June 30, 2017
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$44,740
$2,820
$262
Home equity loans12,177
2,856
937
Total$56,917
$5,676
$1,199
LTV distribution in U.S. portfolio(1)(2)
December 31, 2015December 31, 2016
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$46,559
$4,478
$626
$45,849
$3,467
$324
Home equity loans13,904
5,147
2,527
12,869
3,653
1,305
Total$60,463
$9,625
$3,153
$58,718
$7,120
$1,629
(1)Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where LTV was not available. Such amounts are not material.

Impaired Consumer Loans
Impaired loans are those loans where Citigroup believes it is probable all amounts due according to the original contractual terms of the loan will not be collected. Impaired consumer loans include non-accrual commercial market loans, as well as smaller-balance homogeneous loans whose terms have been modified due to the borrower’s financial difficulties and where Citigroup 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.



Impaired Consumer Loans

The following tables present information about total impaired consumer loans and interest income recognized on impaired consumer loans:




 Three months ended June 30,Six months ended June 30, Three Months Ended   June 30,Six Months Ended June 30,
Balance at June 30, 20162016201520162015Balance at June 30, 20172017201620172016
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value (4)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value (4)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Interest income
recognized(5)
Mortgage and real estate         
Residential first mortgages$4,732
$5,183
$532
$6,366
$43
$111
$104
$252
$3,174
$3,468
$341
$3,727
$32
$43
$68
$104
Home equity loans1,329
1,858
311
1,483
9
17
18
34
1,183
1,666
235
1,253
7
9
15
18
Credit cards1,849
1,884
581
1,924
39
45
80
89
1,782
1,816
570
1,796
36
39
73
80
Installment and other 
 
     
Individual installment and other468
552
226
469
7
8
14
39
410
431
180
434
5
7
13
14
Commercial banking loans587
945
125
442
2
3
4
6
Commercial banking473
700
115
521
8
2
14
4
Total$8,965
$10,422
$1,775
$10,684
$100
$184
$220
$420
$7,022
$8,081
$1,441
$7,731
$88
$100
$183
$220
(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)$1,081648 million of residential first mortgages, $439$382 million of home equity loans and $128$83 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.


Balance, December 31, 2015Balance, December 31, 2016
In millions of dollars
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value(4)
Mortgage and real estate  
Residential first mortgages$6,038
$6,610
$739
$8,932
$3,786
$4,157
$540
$4,632
Home equity loans1,399
1,972
406
1,778
1,298
1,824
189
1,326
Credit cards1,950
1,986
604
2,079
1,747
1,781
566
1,831
Installment and other  
Individual installment and other464
519
197
449
455
481
215
475
Commercial banking loans341
572
100
361
Commercial banking513
744
98
538
Total$10,192
$11,659
$2,046
$13,599
$7,799
$8,987
$1,608
$8,802
(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)$1,151740 million of residential first mortgages, $459$406 million of home equity loans and $86$97 million of commercial market loans do not have a specific allowance.
(3)
Included in the Allowance for loan losses.
(4)Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.






Consumer Troubled Debt Restructurings
The following tables present consumer TDRs occurring:
 At and for the three months ended June 30, 2017
In millions of dollars except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages806
$116
$1
$—
$1
1%
Home equity loans677
58
5
—
—
2
Credit cards53,080
203
—
—
—
17
Installment and other revolving250
2
—
—
—
5
Commercial banking(6)
30
43
—
—
—
—
Total(8)
54,843
$422
$6
$—
$1


International      
Residential first mortgages755
$28
$—
$—
$—
—%
Credit cards28,551
98
—
—
2
12
Installment and other revolving11,622
64
—
—
2
9
Commercial banking(6)
53
6
—
—
—
—
Total(8)
40,981
$196
$—
$—
$4


 At and for the three months ended June 30, 2016
In millions of dollars except number of loans modifiedNumber of
loans modified
Post-
modification
recorded
investment(1)(2)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages1,346
$205
$1
$—
$1
1%
Home equity loans814
30
—
—
—
3
Credit cards42,792
164
—
—
—
17
Installment and other revolving1,381
12
—
—
—
14
Commercial markets(6)
41
6
—
—
—
—
Total(8)
46,374
$417
$1
$—
$1
 
International      
Residential first mortgages613
23
—
—
—
1%
Credit cards28,628
90
—
—
2
12
Installment and other revolving11,198
58
—
—
2
7
Commercial markets(6)
42
20
—
—
—
—
Total(8)
40,481
$191
$—
$—
$4
 
At and for the three months ended June 30, 2015At and for the three months ended June 30, 2016
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
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 mortgages2,709
$366
$2
$1
$8
1%1,346
$205
$1
$—
$1
1%
Home equity loans1,292
45
—
—
1
2
814
30
—
—
—
3
Credit cards44,848
184
—
—
—
16
42,792
164
—
—
—
17
Installment and other revolving1,092
9
—
—
—
14
1,381
12
—
—
—
14
Commercial markets(6)
99
17
—
—
—
—
Commercial banking(6)
41
6
—
—
—
—
Total(8)
50,040
$621
$2
$1
$9
 
46,374
$417
$1
$—
$1
 
International      
Residential first mortgages758
25
—
—
—
—%613
$23
$—
$—
$—
1%
Credit cards37,587
103
—
—
2
12
28,628
90
—
—
2
12
Installment and other revolving13,167
61
—
—
2
6
11,198
58
—
—
2
7
Commercial markets(6)
48
22
—
—
—
1
Commercial banking(6)
42
20
—
—
—
—
Total(8)
51,560
$211
$—
$—
$4
 
40,481
$191
$—
$—
$4
 

(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $21$15 million of residential first mortgages and $4$5 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2016.2017. These amounts include $13$11 million of residential first mortgages and $4 million of home equity loans that were newly classified as TDRs in the three months ended June 30, 2016,2017, 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 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 $62$21 million of residential first mortgages and $15$4 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended June 30, 2015.2016. These amounts include $35$13 million of residential first mortgages and $12$4 million of home equity loans that were newly classified as TDRs in the three months ended June 30, 2015,2016, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.


 At and for the six months ended June 30, 2016
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 mortgages2,814
$417
$3
$—
$2
1%
Home equity loans1,672
60
—
—
—
3
Credit cards91,901
353
—
—
—
17
Installment and other revolving2,766
24
—
—
—
14
Commercial banking(6)
64
11
—
—
—
—
Total(8)
99,217
$865
$3
$—
$2
 
International      
Residential first mortgages1,032
$38
$—
$—
$—
1%
Credit cards80,835
213
—
—
4
12
Installment and other revolving32,842
140
—
—
4
7
Commercial banking(6)
73
52
—
—
—
—
Total(8)
114,782
$443
$—
$—
$8
 

At and for the six months ended June 30, 2015At and for the six months ended June 30, 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
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 mortgages5,802
$773
$6
$3
$17
1%1,772
$246
$4
$—
$1
1 %
Home equity loans2,550
90
1
—
2
2
1,356
114
8
—
—
1
Credit cards95,158
396
—
—
—
16
112,417
433
—
—
—
17
Installment and other revolving2,076
18
—
—
—
13
471
4
—
—
—
5
Commercial banking(6)
156
28
—
—
—
—
56
48
—
—
—
—
Total(8)
105,742
$1,305
$7
$3
$19
 116,072
$845
$12
$—
$1


International      
Residential first mortgages1,641
$49
$—
$—
$—
—%1,368
$54
$—
$—
$—
— %
Credit cards78,018
201
—
—
4
13
53,788
183
—
—
4
13
Installment and other revolving29,114
131
—
—
4
5
22,929
124
—
—
6
7
Commercial banking(6)
125
49
—
—
—
1
85
19
—
—
—
(1)
Total(8)
108,898
$430
$—
$—
$8
 78,170
$380
$—
$—
$10


 At and for the six months ended June 30, 2016
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
North America      
Residential first mortgages2,814
$417
$3
$—
$2
1%
Home equity loans1,672
60
—
—
—
3
Credit cards91,901
353
—
—
—
17
Installment and other revolving2,766
24
—
—
—
14
Commercial banking(6)
64
11
—
—
—
—
Total(8)
99,217
$865
$3
$—
$2
 
International      
Residential first mortgages1,032
$38
$—
$—
$—
1%
Credit cards80,835
213
—
—
4
12
Installment and other revolving32,842
140
—
—
4
7
Commercial banking(6)
73
52
—
—
—
—
Total(8)
114,782
$443
$—
$—
$8
 

(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $41$30 million of residential first mortgages and $9$11 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2016.2017. These amounts include $27$21 million of residential first mortgages and $9$10 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2016,2017, 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 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 $127$41 million of residential first mortgages and $29$10 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the six months ended June 30, 2015.2016. These amounts include $73$26 million of residential first mortgages and $24$9 million of home equity loans that were newly classified as TDRs in the six months ended June 30, 2015,2016, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.




The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
Three Months Ended
June 30,		Six Months Ended
June 30,		Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20162015201620152017201620172016
North America     
Residential first mortgages$52
$117
$139
$227
$48
$52
$99
$139
Home equity loans6
10
14
21
8
6
17
14
Credit cards46
49
95
92
57
46
109
95
Installment and other revolving2
2
4
3
1
2
1
4
Commercial banking1
1
2
3
1
1
2
2
Total$107
$179
$254
$346
$115
$107
$228
$254
International    
Residential first mortgages$3
$6
$6
$12
$3
$3
$5
$6
Credit cards37
36
73
71
46
37
88
73
Installment and other revolving24
23
47
46
23
24
46
47
Commercial banking6
7
15
15
—
6
—
15
Total$70
$72
$141
$144
$72
$70
$139
$141




Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
In millions of dollarsJune 30,
2016		December 31,
2015		June 30,
2017		December 31,
2016
In U.S. offices  
Commercial and industrial$50,286
$41,147
$50,341
$49,586
Financial institutions32,001
36,396
36,953
35,517
Mortgage and real estate(1)
40,175
37,565
42,041
38,691
Installment, revolving credit and other32,491
33,374
31,611
34,501
Lease financing1,546
1,780
1,467
1,518
$156,499
$150,262
$162,413
$159,813
In offices outside the U.S.   
Commercial and industrial$87,125
$82,358
$91,131
$81,882
Financial institutions27,856
28,704
34,844
26,886
Mortgage and real estate(1)
5,455
5,106
6,783
5,363
Installment, revolving credit and other24,825
20,853
19,200
19,965
Lease financing255
303
234
251
Governments and official institutions5,757
4,911
5,518
5,850
$151,273
$142,235
$157,710
$140,197
Total corporate loans$307,772
$292,497
$320,123
$300,010
Net unearned income(676)(665)$(689)$(704)
Corporate loans, net of unearned income$307,096
$291,832
$319,434
$299,306
(1)Loans secured primarily by real estate.
 

The Company sold and/or reclassified to held-for-sale $0.8$0 billion and $1.3$0.5 billion of corporate loans during the three and six months ended June 30, 2016,2017, respectively, and $0.5$0.8 billion and $1.1$1.3 billion during the three and six months
ended June 30, 2015,2016, respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three and six months ended June 30, 20162017 or 2015.2016.

Delinquency Status
Citi generally does not manage corporate loans on a delinquency basis. Corporate loans are identified as impaired and placed on a cash (non-accrual) basis when it is determined, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful or when interest or principal is 90 days past due, except when the loan is well collateralized and in the process of collection. Any interest accrued on impaired corporate loans and leases is reversed at 90 days 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. 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.



Corporate Loan Delinquency and Non-Accrual Details at June 30, 20162017
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$44
$—
$44
$1,962
$132,551
$134,557
$233
$78
$311
$1,521
$136,229
$138,061
Financial institutions51
—
51
194
59,147
59,392
438
39
477
232
70,355
71,064
Mortgage and real estate325
—
325
183
44,940
45,448
146
12
158
186
48,462
48,806
Leases35
9
44
60
1,697
1,801
59
8
67
63
1,571
1,701
Other65
71
136
61
61,599
61,796
87
15
102
96
55,415
55,613
Loans at fair value









4,102










4,189
Purchased distressed loans









—










—
Total$520
$80
$600
$2,460
$299,934
$307,096
$963
$152
$1,115
$2,098
$312,032
$319,434
Corporate Loan Delinquency and Non-Accrual Details at December 31, 20152016
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$87
$4
$91
$1,071
$118,465
$119,627
$143
$52
$195
$1,909
$127,012
$129,116
Financial institutions16
—
16
173
64,128
64,317
119
2
121
185
61,254
61,560
Mortgage and real estate137
7
144
232
42,095
42,471
148
137
285
139
43,607
44,031
Leases—
—
—
76
2,006
2,082
27
8
35
56
1,678
1,769
Other29
—
29
44
58,286
58,359
349
12
361
132
58,880
59,373
Loans at fair value









4,971










3,457
Purchased distressed loans









5










—
Total$269
$11
$280
$1,596
$284,980
$291,832
$786
$211
$997
$2,421
$292,431
$299,306
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are ≥ 90 days past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.
(3)Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.

Citigroup has a risk management process to monitor, evaluate and manage the principal risks associated with its corporate loan portfolio. As part of its risk management process, Citi assigns numeric risk ratings to its corporate loan facilities based on quantitative and qualitative assessments of the obligor and facility. These risk ratings are reviewed at least annually or more often if material events related to the obligor or facility warrant. Factors considered in assigning the risk ratings include financial condition of the obligor, qualitative assessment of management and strategy, amount and sources of repayment, amount and type of collateral and guarantee arrangements, amount and type of any contingencies associated with the obligor, and the obligor’s industry and geography.
The obligor risk ratings are defined by ranges of default probabilities. The facility risk ratings are defined by ranges of loss norms, which are the product of the probability of default and the loss given default. The investment grade rating categories are similar to the category BBB-/Baa3 and above as defined by S&P and Moody’s. Loans classified according to the bank regulatory definitions as special mention, substandard and doubtful will have risk ratings within the non-investment grade categories.










Corporate Loans Credit Quality Indicators
Recorded investment in loans(1)
Recorded investment in loans(1)
In millions of dollarsJune 30,
2016		December 31,
2015		June 30,
2017		December 31,
2016
Investment grade(2)
  
Commercial and industrial$92,775
$85,828
$94,073
$85,369
Financial institutions50,507
53,522
56,572
49,915
Mortgage and real estate21,066
18,869
22,413
18,718
Leases1,289
1,725
1,104
1,303
Other55,129
51,449
48,691
51,930
Total investment grade$220,766
$211,393
$222,853
$207,235
Non-investment grade(2)
  
Accrual  
Commercial and industrial$39,819
$32,726
$42,463
$41,838
Financial institutions8,691
10,622
14,260
11,459
Mortgage and real estate2,263
2,800
1,952
1,821
Leases452
282
534
410
Other6,607
6,867
6,827
7,312
Non-accrual  
Commercial and industrial1,962
1,071
1,521
1,909
Financial institutions194
173
232
185
Mortgage and real estate183
232
186
139
Leases60
76
63
56
Other61
44
96
132
Total non-investment grade$60,292
$54,893
$68,134
$65,261
Private bank loans managed on a delinquency basis(2)
$21,936
$20,575
Non-rated private bank loans managed on a delinquency basis(2)
$24,258
$23,353
Loans at fair value4,102
4,971
4,189
3,457
Corporate loans, net of unearned income$307,096
$291,832
$319,434
$299,306
(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 cost or collateral value, less cost to sell. Cash-basis loans are returned to an accrual status when all contractual principal and interest amounts are reasonably assured of repayment and there is a sustained period of repayment performance, generally six months, in accordance with the contractual terms of the loan.













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
June 30, 2016
Three Months
Ended
June 30, 2016
Six Months
Ended
June 30, 2016
June 30, 2017Three Months Ended   June 30, 2017Six Months Ended   June 30, 2017
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Interest income recognized(3)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Interest
 income recognized(3)
Interest income recognized(3)
Non-accrual corporate loans        
Commercial and industrial$1,962
$2,343
$417
$1,490
$7
$17
$1,521
$1,739
$300
$1,766
$8
$10
Financial institutions194
203
9
174
1
3
232
238
36
227
—
—
Mortgage and real estate183
304
11
214
1
2
186
304
9
169
9
9
Lease financing60
60
1
53
—
—
63
63
4
61
—
—
Other61
117
47
60
3
3
96
248
5
96
—
—
Total non-accrual corporate loans$2,460
$3,027
$485
$1,991
$12
$25
$2,098
$2,592
$354
$2,319
$17
$19
December 31, 2015December 31, 2016
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Non-accrual corporate loans  
Commercial and industrial$1,071
$1,224
$246
$859
$1,909
$2,259
$362
$1,919
Financial institutions173
196
10
194
185
192
16
183
Mortgage and real estate232
336
21
240
139
250
10
174
Lease financing76
76
54
62
56
56
4
44
Other44
114
32
39
132
197
—
87
Total non-accrual corporate loans$1,596
$1,946
$363
$1,394
$2,421
$2,954
$392
$2,407
June 30, 2016December 31, 2015June 30, 2017December 31, 2016
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with valuation allowances      
Commercial and industrial$941
$417
$571
$246
$979
$300
$1,343
$362
Financial institutions14
9
18
10
83
36
45
16
Mortgage and real estate34
11
60
21
39
9
41
10
Lease financing59
1
75
54
50
4
55
4
Other55
47
40
32
4
5
1
—
Total non-accrual corporate loans with specific allowance$1,103
$485
$764
$363
$1,155
$354
$1,485
$392
Non-accrual corporate loans without specific allowance      
Commercial and industrial$1,021
 
$500
 
$542
 
$566
 
Financial institutions180
 
155
 
149
 
140
 
Mortgage and real estate149
 
172
 
147
 
98
 
Lease financing1
 
1
 
13
 
1
 
Other6
 
4
 
92
 
131
 
Total non-accrual corporate loans without specific allowance$1,357
N/A
$832
N/A
$943
N/A
$936
N/A
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowance.
(3)Interest income recognized for the three- and six-month periods ended June 30, 20152016 was $4$12 million and $5 million, respectively.$25 million.



Corporate Troubled Debt Restructurings

The following table presents corporate TDR activity atAt and for the three months ended June 30, 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
Commercial and industrial$233
$32
$—
$201
Mortgage and real estate3
—
—
3
Total$236
$32
$—
$204
At and for the three months ended June 30, 2016:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$105
$73
$32
$—
Mortgage and real estate1
—
—
1
Other142
—
142
—
Total$248
$73
$174
$1

At and for the six months ended June 30, 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
Commercial and industrial$288
$32
$—
$256
Financial institutions15
—
—
15
Mortgage and real estate4
—
—
4
Total$307
$32
$—
$275
At and for the six months ended June 30, 2016:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$203
$73
$32
$98
Mortgage and real estate5
—
—
5
Other142
—
142
—
Total$350
$73
$174
$103
(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 three months ended June 30, 2015:
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$66
$33
$—
$33
Mortgage and real estate11
1
—
10
Total$77
$34
$—
$43
(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 six months ended June 30, 2016:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$203
$73
$32
$98
Mortgage and real estate5
—
—
5
Other142
—
142
—
Total$350
$73
$174
$103

(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 six months ended June 30, 2015:

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$66
$33
$—
$33
Mortgage and real estate12
2
—
10
Total$78
$35
$—
$43
(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 banking loans, where default is defined as 90 days past due.
In millions of dollarsTDR balances at June 30, 2016
TDR loans in payment default during the three months ended
June 30, 2016
TDR loans in payment default six months ended
June 30, 2016
TDR balances at
June 30, 2015
TDR loans in payment default during the three months ended
June 30, 2015
TDR loans in payment default six months ended
June 30, 2015		TDR balances at June 30, 2017
TDR loans in payment default during the three months ended
June 30, 2017
TDR loans in payment default six months ended
June 30, 2017
TDR balances at
June 30, 2016
TDR loans in payment default during the three months ended
June 30, 2016
TDR loans in payment default during the six months ended
June 30, 2016
Commercial and industrial$323
$7
$7
$118
$—
$—
$591
$3
$12
$323
$7
$7
Loans to financial institutions—
—
—
1
1
1
24
—
3
—
—
—
Mortgage and real estate130
—
—
113
—
—
74
—
—
130
—
—
Other288
—
—
326
—
—
166
—
—
288
—
—
Total(1)
$741
$7
$7
$558
$1
$1
$855
$3
$15
$741
$7
$7

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





15.14. ALLOWANCE FOR CREDIT LOSSES
 
Three Months Ended June 30,Six Months Ended 
 June 30,		Three Months Ended June 30,Six Months Ended   June 30,
In millions of dollars20162015201620152017201620172016
Allowance for loan losses at beginning of period$12,712
$14,598
$12,626
$15,994
$12,030
$12,712
$12,060
$12,626
Gross credit losses(2,048)(2,335)(4,191)(4,793)(2,130)(2,048)(4,274)(4,191)
Gross recoveries(1)
432
415
851
916
420
432
855
851
Net credit losses (NCLs)(2)
$(1,616)$(1,920)$(3,340)$(3,877)$(1,710)$(1,616)$(3,419)$(3,340)
NCLs$1,616
$1,920
$3,340
$3,877
$1,710
$1,616
$3,419
$3,340
Net reserve releases(90)(199)(48)(290)
Net reserve builds (releases)67
(90)47
(48)
Net specific reserve releases(136)(206)(16)(317)(111)(136)(125)(16)
Total provision for loan losses$1,390
$1,515
$3,276
$3,270
$1,666
$1,390
$3,341
$3,276
Other, net(3)
(182)(118)(258)(1,312)
Other, net (see table below)39
(182)43
(258)
Allowance for loan losses at end of period$12,304
$14,075
$12,304
$14,075
$12,025
$12,304
$12,025
$12,304
Allowance for credit losses on unfunded lending commitments at beginning of period$1,473
$1,023
$1,402
$1,063
$1,377
$1,473
$1,418
$1,402
Provision (release) for unfunded lending commitments(30)(48)41
(85)28
(30)(15)41
Other, net(11)(2)(11)(5)1
(11)3
(11)
Allowance for credit losses on unfunded lending commitments at end of period(4)(2)
$1,432
$973
$1,432
$973
$1,406
$1,432
$1,406
$1,432
Total allowance for loans, leases, and unfunded lending commitments$13,736
$15,048
$13,736
$15,048
Total allowance for loans, leases and unfunded lending commitments$13,431
$13,736
$13,431
$13,736

(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)As a result of the entry into an agreement in March 2015 to sell OneMain Financial (OneMain), OneMain was classified as held-for-sale (HFS) at the end of the first quarter of 2015. As a result of HFS accounting treatment, approximately $160 million of net credit losses were recorded as a reduction in revenue (Other revenue) during the second quarter of 2015.
(3)The second quarter of 2016 includes a reduction of approximately $101 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $24 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the second quarter includes a reduction of approximately $75 million related to FX translation. The first quarter of 2016 includes a reduction of approximately $148 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $29 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter of 2016 includes an increase of approximately $63 million related to FX translation. The second quarter of 2015 includes a reduction of approximately $88 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $34 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the second quarter of 2015 includes a reduction of approximately $39 million related to FX translation. The first quarter of 2015 includes a reduction of approximately $1.0 billion related to the sale or transfer to HFS of various loan portfolios, including a reduction of $281 million related to a transfer of a real estate loan portfolio to HFS. Additionally, the first quarter of 2015 includes a reduction of approximately $145 million related to FX translation.
(4)
Represents additional credit loss reserves for unfunded lending commitments and letters of credit recorded in Other liabilities on the Consolidated Balance Sheet.

Other, net detailsThree Months Ended June 30,Six Months Ended   June 30,
In millions of dollars2017201620172016
Sales or transfers of various consumer loan portfolios to held-for-sale    
Transfer of real estate loan portfolios$(19)$(24)$(56)$(53)
Transfer of other loan portfolios—
(77)(124)(196)
Sales or transfers of various consumer loan portfolios to held-for-sale$(19)$(101)$(180)$(249)
FX translation, consumer50
(75)214
(12)
Other8
(6)9
3
Other, net$39
$(182)$43
$(258)


Allowance for Credit Losses and Investment in Loans
Three Months EndedThree Months Ended
June 30, 2016June 30, 2015June 30, 2017June 30, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,905
$9,807
$12,712
$2,546
$12,052
$14,598
$2,535
$9,495
$12,030
$2,905
$9,807
$12,712
Charge-offs(158)(1,890)(2,048)(126)(2,209)(2,335)(96)(2,034)(2,130)(157)(1,891)(2,048)
Recoveries16
416
432
19
396
415
19
401
420
16
416
432
Replenishment of net charge-offs142
1,474
1,616
107
1,813
1,920
77
1,633
1,710
141
1,475
1,616
Net reserve releases(16)(74)(90)(32)(167)(199)
Net reserve builds (releases)(4)71
67
(16)(74)(90)
Net specific reserve releases(11)(125)(136)(119)(87)(206)(27)(84)(111)(11)(125)(136)
Other(6)(176)(182)11
(129)(118)6
33
39
(6)(176)(182)
Ending balance$2,872
$9,432
$12,304
$2,406
$11,669
$14,075
$2,510
$9,515
$12,025
$2,872
$9,432
$12,304




Six Months EndedSix Months Ended
June 30, 2016June 30, 2015June 30, 2017June 30, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,791
$9,835
$12,626
$2,447
$13,547
$15,994
$2,702
$9,358
$12,060
$2,791
$9,835
$12,626
Charge-offs(382)(3,809)(4,191)(152)(4,641)(4,793)(199)(4,075)(4,274)(381)(3,810)(4,191)
Recoveries29
822
851
52
864
916
85
770
855
30
821
851
Replenishment of net charge-offs353
2,987
3,340
100
3,777
3,877
114
3,305
3,419
351
2,989
3,340
Net reserve releases(12)(36)(48)80
(370)(290)
Net reserve builds (releases)(170)217
47
(12)(36)(48)
Net specific reserve builds (releases)90
(106)(16)(116)(201)(317)(39)(86)(125)90
(106)(16)
Other3
(261)(258)(5)(1,307)(1,312)17
26
43
3
(261)(258)
Ending balance$2,872
$9,432
$12,304
$2,406
$11,669
$14,075
$2,510
$9,515
$12,025
$2,872
$9,432
$12,304

 June 30, 2016December 31, 2015
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
   
Determined in accordance with ASC 450$2,386
$7,650
$10,036
$2,408
$7,776
$10,184
Determined in accordance with ASC 310-10-35486
1,775
2,261
380
2,046
2,426
Determined in accordance with ASC 310-30—
7
7
3
13
16
Total allowance for loan losses$2,872
$9,432
$12,304
$2,791
$9,835
$12,626
Loans, net of unearned income     

Loans collectively evaluated for impairment in accordance with ASC 450$300,328
$317,210
$617,538
$285,053
$315,314
$600,367
Loans individually evaluated for impairment in accordance with ASC 310-10-352,666
8,965
11,631
1,803
10,192
11,995
Loans acquired with deteriorated credit quality in accordance with ASC 310-30—
212
212
5
245
250
Loans held at fair value4,102
32
4,134
4,971
34
5,005
Total loans, net of unearned income$307,096
$326,419
$633,515
$291,832
$325,785
$617,617
 June 30, 2017December 31, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
   
Collectively evaluated in accordance with ASC 450$2,156
$8,069
$10,225
$2,310
$7,744
$10,054
Individually evaluated in accordance with ASC 310-10-35354
1,441
1,795
392
1,608
2,000
Purchased credit-impaired in accordance with ASC 310-30—
5
5
—
6
6
Total allowance for loan losses$2,510
$9,515
$12,025
$2,702
$9,358
$12,060
Loans, net of unearned income     

Collectively evaluated in accordance with ASC 450$313,092
$318,029
$631,121
$293,294
$317,048
$610,342
Individually evaluated in accordance with ASC 310-10-352,153
7,022
9,175
2,555
7,799
10,354
Purchased credit-impaired in accordance with ASC 310-30—
183
183
—
187
187
Held at fair value4,189
27
4,216
3,457
29
3,486
Total loans, net of unearned income$319,434
$325,261
$644,695
$299,306
$325,063
$624,369







16.15.   GOODWILL AND INTANGIBLE ASSETS
For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.

Goodwill
The changes in Goodwill were as follows:
In millions of dollars 
Balance, December 31, 2015$22,349
Foreign exchange translation and other239
Divestitures(13)
Balance at March 31, 2016$22,575
Foreign exchange translation and other(79)
Balance at June 30, 2016$22,496
In millions of dollars 
Balance, December 31, 2016$21,659
Foreign exchange translation and other$634
Impairment of goodwill(28)
Balance at March 31, 2017$22,265
Foreign exchange translation and other$156
Impairment of goodwill—
Divestitures (1)
(72)
Balance at June 30, 2017$22,349

(1)Goodwill allocated to the sale of the Fixed Income Analytics and Index businesses. See Note 2 to the Consolidated Financial Statements.
The goodwill
Citi performs its annual impairment test every third quarter and between annual tests (referred to as interim tests) if there are certain triggering events. Results of interim testing process, including the
methodology and assumptions used to estimate the fair
value of the reporting units, is disclosed in more detail in Note 1 of Citigroup’s 2015 Annual Report on Form 10-K.
Duringperformed during the first quarterhalf of 2016, Citigroup announced its intention to exit its consumer businesses2017 are summarized below.
Effective January 1, 2017, the mortgage servicing business in Argentina, BrazilNorth America GCB was reorganized and Colombia. These businesses, which previously had beenis now reported as part of LatinCorporate/Other. Goodwill was allocated to the transferred business based on its relative fair value to the legacy North America GCB, are reported reporting unit. An interim test was performed under both the legacy and new reporting structures, which resulted in full impairment of the $28 million of allocated goodwill upon transfer to Citi Holdings—REL. The impairment was recorded as part of Citi Holdings—Consumer Latin America beginningan operating expense in the first quarter of 2016. In addition,2017.
Further, due to prior period indications that the other component businessesfair value of Latin America GCB, except the Mexico consumer business, were either transferred to the ICG reporting units (Banking and Markets) or NorthCiti Holdings—Consumer Latin AmericaGCB reporting unit (International Personal Banking). Furthermore,only marginally exceeded its carrying value, updated interim tests were performed during the remaining businessesfirst and second quarters of 2017, with a minimal change in results. While there was no indication of impairment, the $16 million of goodwill present in EMEA GCBCiti Holdings—Consumer Latin America, except for the commercial business which may be particularly sensitive to further deterioration in economic conditions. The fair value as a percentage of allocated book value as of June 30, 2017 was transferred to the ICG—Banking reporting unit, are reported under Asia GCB103%.
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, 2016 for the impacted reporting units resulting in no impairment under the legacy and current reporting unit structures. There were no other triggering events identified during the first quarter of 2016.
During the second quarter of 2016, there were no triggering events that would more-likely-than-not reduce the2017. The fair valuevalues of a reporting unit below its carrying value for all other reporting units with goodwill balances.
The fair values of the Company’s reporting units substantiallybalances exceeded their carrying values and did not indicate a risk of impairment based on currentthe most recent valuations.











 

The following table shows reporting units with goodwill balances as of June 30, 2016.2017 and the fair value as a percentage of allocated book value as of the latest impairment test(1):
In millions of dollars   
Reporting unit(2)
GoodwillGoodwillFair value as a % of allocated book value
North America Global Consumer Banking$6,766
$6,732
148%
Asia Global Consumer Banking (3)
5,002
4,900
157
Latin America Global Consumer Banking (4)
1,176
1,178
180
ICG—Banking
2,892
2,998
194
ICG—Markets and Securities Services
6,580
6,525
115
Citi Holdings—Consumer Latin America(2)
80
16
103
Total$22,496
Total as of June 30, 2017$22,349



(1)
Citi HoldingsAs of July 1, 2016 for all reporting units, except for —Other andCiti HoldingsHoldings—Consumer Latin America —ICG areexcluded from the tablewhich is as there is no goodwill allocated to them.of June 30, 2017.
(2)
All Citi Holdings—Consumer EMEA, reporting units are presented in the is excluded from the table as the entire reporting unit, together with allocated goodwill, is classified as held-for-sale as of June 30, 2016.Corporate/Other
(3)Asia Global Consumer Banking includes the consumer businesses segment beginning in UK, Russia, Poland, UAE and Bahrain beginning the first quarter of 2016.
(4)Latin America Global Consumer Banking contains only the consumer business in Mexico beginning the first quarter of 2016.2017.










Intangible Assets
The components of intangible assets were as follows:
 June 30, 2016December 31, 2015
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$8,394
$6,543
$1,851
$7,606
$6,520
$1,086
Core deposit intangibles869
818
51
1,050
969
81
Other customer relationships530
289
241
471
252
219
Present value of future profits35
30
5
37
31
6
Indefinite-lived intangible assets238
—
238
284
—
284
Other(1)
5,764
2,629
3,135
4,659
2,614
2,045
Intangible assets (excluding MSRs)$15,830
$10,309
$5,521
$14,107
$10,386
$3,721
Mortgage servicing rights (MSRs)1,324
—
1,324
1,781
—
1,781
Total intangible assets$17,154
$10,309
$6,845
$15,888
$10,386
$5,502
(1)Includes contract-related intangible assets.

 June 30, 2017December 31, 2016
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,376
$3,757
$1,619
$8,215
$6,549
$1,666
Credit card contract related intangibles(1)
5,043
2,258
2,785
5,149
2,177
2,972
Core deposit intangibles671
651
20
801
771
30
Other customer relationships464
265
199
474
272
202
Present value of future profits35
31
4
31
27
4
Indefinite-lived intangible assets235
—
235
210
—
210
Other150
125
25
504
474
30
Intangible assets (excluding MSRs)$11,974
$7,087
$4,887
$15,384
$10,270
$5,114
Mortgage servicing rights (MSRs)(2)
560
—
560
1,564
—
1,564
Total intangible assets$12,534
$7,087
$5,447
$16,948
$10,270
$6,678

 


The changes in intangible assets were as follows:
Net carrying
amount at		 
Net carrying
amount at
Net carrying
amount at		 
Net carrying
amount at
In millions of dollarsDecember 31, 2015
Acquisitions/
divestitures (1)
AmortizationFX translation and otherJune 30,
2016		December 31,
2016
Acquisitions/
divestitures
AmortizationFX translation and otherJune 30,
2017
Purchased credit card relationships$1,086
$848
$(98)$15
$1,851
$1,666
$20
$(68)$1
$1,619
Credit card contract related intangibles(1)
2,972
9
(196)—
2,785
Core deposit intangibles81
(13)(15)(2)51
30
—
(12)2
20
Other customer relationships219
—
(12)34
241
202
—
(12)9
199
Present value of future profits6
—
—
(1)5
4
—
—
—
4
Indefinite-lived intangible assets284
(18)—
(28)238
210
—
—
25
235
Other2,045
1,205
(133)18
3,135
30
(14)(5)14
25
Intangible assets (excluding MSRs)$3,721
$2,022
$(258)$36
$5,521
$5,114
$15
$(293)$51
$4,887
Mortgage servicing rights (MSRs)(2)
1,781
 1,324
1,564
 560
Total intangible assets$5,502
 $6,845
$6,678
 $5,447
(1)ReflectsPrimarily reflects contract-related intangibles associated with the recognition during the second quarter of 2016 of additional purchased credit card relationshipsAmerican Airlines, Sears, The Home Depot, Costco and contract-related intangible assets as a result of the acquisition of the Costco cards portfolio, as well as the renewal and extension of the co-brandedAT&T credit card program agreement with American Airlines.agreements, which represented 97% of the aggregate net carrying amount at June 30, 2017 and December 31, 2016.
(2)For additional information on Citi’s MSRs, including the rollforward for the six months ended June 30, 2016,2017, see Note 2018 to the Consolidated Financial Statements.




17.16.   DEBT
For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 17 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.

Short-Term Borrowings
In millions of dollarsJune 30,
2016		December 31,
2015		June 30,
2017		December 31,
2016
BalanceBalance
Commercial paper$9,982
$9,995
$9,977
$9,989
Other borrowings8,426
11,084
Other borrowings(1)
26,542
20,712
Total$18,408
$21,079
$36,519
$30,701

(1)Includes borrowings from Federal Home Loan Banks and other market participants. At June 30, 2017 and December 31, 2016, collateralized short-term advances from the Federal Home Loan Banks were $15.3 billion and $12.0 billion, respectively.
Borrowings under bank lines of credit may be at interest rates based on LIBOR, CD rates, the prime rate or bids submitted by the banks. Citigroup pays commitment fees for its lines of credit.
Some of Citigroup’s non-bank subsidiaries have credit facilities with Citigroup’s subsidiary depository institutions, including Citibank. 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
In millions of dollarsJune 30,
2016		December 31, 2015June 30,
2017		December 31, 2016
Citigroup Inc.(1)
$148,686
$142,157
$147,257
$147,333
Bank(2)
52,627
55,131
60,234
49,454
Broker-dealer(3)
6,135
3,987
17,688
9,391
Total$207,448
$201,275
$225,179
$206,178

(1)ParentRepresents the parent holding company, Citigroup Inc.company.
(2)Represents Citibank entities as well as other bank entities. At June 30, 20162017 and December 31, 2015,2016, collateralized long-term advances from the Federal Home Loan Banks were $19.6$20.3 billion and $17.8$21.6 billion, respectively.
(3)Represents broker-dealer subsidiaries that are consolidated into Citigroup Inc., the parent holding company.

Long-term debt outstanding includes trust preferred securities with a balance sheet carrying value of $1.7 billion at both June 30, 20162017 and December 31, 2015.2016.




The following table summarizes the Company’sCiti’s outstanding trust preferred securities at June 30, 2016:2017:
    Junior subordinated debentures owned by trust    Junior subordinated debentures owned by trust
Trust
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
In millions of dollars, except share amounts
In millions of dollars, except share amounts








In millions of dollars, except share amounts








Citigroup Capital IIIDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemableDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemable
Citigroup Capital XIIISept. 201089,840,000
2,246
3 mo LIBOR + 637 bps
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
134
6.829
50
134
June 28, 2067June 28, 2017June 200799,901
130
3 mo LIBOR + 88.75 bps
50
130
June 28, 2067June 28, 2017
Total obligated  
$2,574
  $2,580
   
$2,570
  $2,576
 

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.


18.17.   CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:
Three Months Ended June 30, 2017
In millions of dollarsNet
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2017$(75)$(412)$(562)$(5,176)$(24,188)$(30,413)
Other comprehensive income before reclassifications101
(79)62
(173)643
554
Increase (decrease) due to amounts reclassified from AOCI(128)(5)55
38
—
(40)
Change, net of taxes$(27)$(84)$117
$(135)$643
$514
Balance at June 30, 2017$(102)$(496)$(445)$(5,311)$(23,545)$(29,899)
Six Months Ended June 30, 2017
In millions of dollarsNet
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2016$(799)$(352)$(560)$(5,164)$(25,506)$(32,381)
Adjustment to opening balance, net of taxes(4)
504
—
—
—
—
504
Adjusted balance, beginning of period$(295)$(352)$(560)$(5,164)$(25,506)$(31,877)
Other comprehensive income before reclassifications435
(134)86
(222)2,108
2,273
Increase (decrease) due to amounts reclassified from AOCI(242)(10)29
75
(147)(295)
Change, net of taxes 
$193
$(144)$115
$(147)$1,961
$1,978
Balance at June 30, 2017$(102)$(496)$(445)$(5,311)$(23,545)$(29,899)


Three Months Ended June 30, 2016
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit
plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2016$1,127
$178
$(300)$(5,581)$(22,050)$(26,626)$1,127
$178
$(300)$(5,581)$(22,050)$(26,626)
Other comprehensive income before reclassifications1,025
16
115
(66)(552)538
1,025
16
115
(66)(552)538
Increase (decrease) due to amounts reclassified from AOCI(98)(4)36
39
—
(27)(98)(4)36
39
—
(27)
Change, net of taxes$927
$12
$151
$(27)$(552)$511
$927
$12
$151
$(27)$(552)$511
Balance at June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
Balance, June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
Six Months Ended June 30, 2016:
2016
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 reclassifications3,051
208
406
(566)102
3,201
Increase (decrease) due to amounts reclassified from AOCI(90)(3)62
74
—
43
Change, net of taxes 
$2,961
$205
$468
$(492)$102
$3,244
Balance at June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
Three Months Ended June 30, 2015
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Cash flow hedges(2)
Benefit plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)
Balance, March 31, 2015$648
$(823)$(5,249)$(19,267)$(24,691)
Other comprehensive income before reclassifications(844)22
539
(148)(431)
Increase (decrease) due to amounts reclassified from AOCI(91)70
39
—
18
Change, net of taxes 
$(935)$92
$578
$(148)$(413)
Balance, June 30, 2015$(287)$(731)$(4,671)$(19,415)$(25,104)
Six Months Ended June 30, 2015:
Balance, December 31, 2014$57
$(909)$(5,159)$(17,205)$(23,216)
Other comprehensive income before reclassifications(103)54
408
(2,210)(1,851)
Increase (decrease) due to amounts reclassified from
  AOCI
(241)124
80
—
(37)
Change, net of taxes$(344)$178
$488
$(2,210)$(1,888)
Balance, June 30, 2015$(287)$(731)$(4,671)$(19,415)$(25,104)


In millions of dollarsNet
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2015$(907)$—
$(617)$(5,116)$(22,704)$(29,344)
Adjustment to opening balance, net of taxes (5)
—
(15)—
—
—
(15)
Adjusted balance, beginning of period$(907)$(15)$(617)$(5,116)$(22,704)$(29,359)
Other comprehensive income before reclassifications3,051
208
406
(566)102
3,201
Increase (decrease) due to amounts reclassified from AOCI(90)(3)62
74
—
43
Change, net of taxes$2,961
$205
$468
$(492)$102
$3,244
Balance, June 30, 2016$2,054
$190
$(149)$(5,608)$(22,602)$(26,115)
(1)Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(2)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s Significant pension and postretirement plans, annual actuarial valuations of all other plans, and amortization of amounts previously recognized in other comprehensive income.
(3)Primarily reflects the movements in (by order of impact) the Mexican peso, Euro, and Polish zloty against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended June 30, 2017. Primarily reflects the movements in (by order of impact) the Japanese yen, euro, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended June 30, 2016.
(4)
In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-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 cumulative fair value hedge adjustments on callable state and municipal debt securities.  For additional information, see Note 1 to the Consolidated Financial Statements.
(5)Beginning in the first quarter of 2016, changes in DVA are reflected as a component of AOCI, pursuant to the early adoption of only the provisions of ASU 2016-01 relating to the presentation of DVA on fair value option liabilities. See Note 1 to the Consolidated Financial Statements for further information regarding this change.
(2)Primarily driven by Citigroup’s pay fixed/receive floating interest rate swap programs that hedge the floating rates on liabilities.
(3)Primarily reflects adjustments based on the quarterly actuarial valuations of the Company’s significant pension and postretirement plans, annual actuarial valuations of all other plans, and amortization of amounts previously recognized in other comprehensive income.
(4)Primarily reflects the movements in (by order of impact) the Mexican peso, Japanese yen, euro, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended June 30, 2016. Primarily reflects the movements in (by order of impact) the Japanese yen, euro, Brazilian real and Chilean peso against the U.S. dollar, and changes in related tax effects and hedges for quarter ended March 31, 2016. Primarily reflects the movements in (by order of impact) the Mexican peso, British pound, Korean won and euro against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended June 30, 2015. Primarily reflects the movements in (by order of impact) the euro, Mexican peso, British pound, and Brazilian real against the U.S. dollar, and changes in related tax effects and hedges for the quarter ended March 31, 2015.



The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended June 30, 2017
In millions of dollarsPretaxTax effectAfter-tax
Balance, March 31, 2017$(39,514)$9,101
$(30,413)
Change in net unrealized gains (losses) on investment securities(45)18
(27)
Debt valuation adjustment (DVA)(132)48
(84)
Cash flow hedges185
(68)117
Benefit plans(219)84
(135)
Foreign currency translation adjustment619
24
643
Change$408
$106
$514
Balance, June 30, 2017$(39,106)$9,207
$(29,899)

Six Months Ended June 30, 2017
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2016$(42,035)$9,654
$(32,381)
Adjustment to opening balance (1)
803
(299)504
Adjusted balance, beginning of period$(41,232)$9,355
$(31,877)
Change in net unrealized gains (losses) on investment securities301
(108)193
Debt valuation adjustment (DVA)(227)83
(144)
Cash flow hedges186
(71)115
Benefit plans(221)74
(147)
Foreign currency translation adjustment2,087
(126)1,961
Change$2,126
$(148)$1,978
Balance, June 30, 2017$(39,106)$9,207
$(29,899)
(1)
In the second quarter of 2017, Citi early adopted ASU 2017-08, Receivables-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 cumulative fair value hedge adjustments on callable state and municipal debt securities.  For additional information, see Note 1 to the Consolidated Financial Statements.



Three Months Ended June 30, 2016
In millions of dollarsPretaxTax effectAfter-tax
Balance, March 31, 2016$(34,668)$8,042
$(26,626)
Change in net unrealized gains (losses) on investment securities1,482
(555)927
Debt valuation adjustment (DVA)20
(8)12
Cash flow hedges257
(106)151
Benefit plans(31)4
(27)
Foreign currency translation adjustment(774)222
(552)
Change$954
$(443)$511
Balance, June 30, 2016$(33,714)$7,599
$(26,115)

Six Months Ended June 30, 2016
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2015$(38,440)$9,096
$(29,344)
Adjustment to opening balance (1)
(26)11
(15)
Adjusted balance, beginning of period$(38,466)$9,107
$(29,359)
Change in net unrealized gains (losses) on investment securities4,706
(1,745)2,961
Debt valuation adjustment (DVA)327
(122)205
Cash flow hedges739
(271)468
Benefit plans(758)266
(492)
Foreign currency translation adjustment(262)364
102
Change$4,752
$(1,508)$3,244
Balance, June 30, 2016$(33,714)$7,599
$(26,115)
(1)Represents the ($15)$15 million adjustment related to the initial adoption of ASU 2016-01. See Note 1 to the Consolidated Financial Statements.



Three Months Ended June 30, 2015
In millions of dollarsPretaxTax effectAfter-tax
Balance, March 31, 2015$(32,279)$7,588
$(24,691)
Change in net unrealized gains (losses) on investment securities(1,517)582
(935)
Cash flow hedges118
(26)92
Benefit plans810
(232)578
Foreign currency translation adjustment(280)132
(148)
Change$(869)$456
$(413)
Balance, June 30, 2015$(33,148)$8,044
$(25,104)

Six Months Ended June 30, 2015
In millions of dollarsPretaxTax effectAfter-tax
Balance, December 31, 2014$(31,060)$7,844
$(23,216)
Change in net unrealized gains (losses) on investment securities(468)124
(344)
Cash flow hedges274
(96)178
Benefit plans689
(201)488
Foreign currency translation adjustment(2,583)373
(2,210)
Change$(2,088)$200
$(1,888)
Balance, June 30, 2015$(33,148)$8,044
$(25,104)


During the three and six months ended June 30, 2016, theThe Company recognized pretax gain of $39 million ($27 million net of tax) and pretax loss of $75 million ($43 million net of tax), respectively,(loss) related to amounts in AOCI reclassified out of AOCIintoto the Consolidated Statement of Income as follows:
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of IncomeIncrease (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2016201620172017
Realized (gains) losses on sales of investments$(200)$(386)$(221)$(413)
OTTI gross impairment losses48
251
20
32
Subtotal, pretax$(152)$(135)$(201)$(381)
Tax effect54
45
73
139
Net realized (gains) losses on investment securities, after-tax(1)
$(98)$(90)$(128)$(242)
Realized DVA (gains) losses on fair value option liabilities$(6)$(5)$(8)$(16)
Subtotal, pretax$(6)$(5)$(8)$(16)
Tax effect2
2
3
6
Net realized debt valuation adjustment, after-tax$(4)$(3)$(5)$(10)
Interest rate contracts$41
$57
$90
$46
Foreign exchange contracts17
43
(2)1
Subtotal, pretax$58
$100
$88
$47
Tax effect(22)(38)(33)(18)
Amortization of cash flow hedges, after-tax(2)
$36
$62
$55
$29
Amortization of unrecognized    
Prior service cost (benefit)$(11)$(21)$(12)$(22)
Net actuarial loss69
135
66
133
Curtailment/settlement impact(3)
3
1
7
7
Subtotal, pretax$61
$115
$61
$118
Tax effect(22)(41)(23)(43)
Amortization of benefit plans, after-tax(3)
$39
$74
$38
$75
Foreign currency translation adjustment$—
$—
$—
$(232)
Tax effect—
85
Foreign currency translation adjustment$—
$(147)
Total amounts reclassified out of AOCI, pretax$(39)$75
$(60)$(464)
Total tax effect12
(32)20
169
Total amounts reclassified out of AOCI, after-tax$(27)$43
$(40)$(295)
(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 1312 to the Consolidated Financial Statements for additional details.
(2)See Note 2119 to the Consolidated Financial Statements for additional details.
(3)See Note 8 to the Consolidated Financial Statements for additional details.






















During the three and six months ended June 30, 2015, theThe Company recognized pretax loss of $43 million ($18 million net of tax) and pretax gain of $42 million ($37 million net of tax), respectively,(loss) related to amounts in AOCI reclassified out of AOCIintoto the Consolidated Statement of Income as follows:
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of IncomeIncrease (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2015201520162016
Realized (gains) losses on sales of investments$(183)$(490)$(200)$(386)
OTTI gross impairment losses43
115
48
251
Subtotal, pretax$(140)$(375)$(152)$(135)
Tax effect49
134
54
45
Net realized (gains) losses on investment securities, after-tax(1)
$(91)$(241)$(98)$(90)
Realized DVA (gains) losses on fair value option liabilities$(6)$(5)
Subtotal, pretax$(6)$(5)
Tax effect$2
$2
Net realized debt valuation adjustment, after-tax$(4)$(3)
Interest rate contracts$74
$120
$41
$57
Foreign exchange contracts37
77
17
43
Subtotal, pretax$111
$197
$58
$100
Tax effect(41)(73)(22)(38)
Amortization of cash flow hedges, after-tax(2)
$70
$124
$36
$62
Amortization of unrecognized    
Prior service cost (benefit)$(10)$(21)$(11)$(21)
Net actuarial loss72
147
69
135
Curtailment/settlement impact(3)
10
10
3
1
Subtotal, pretax$72
$136
$61
$115
Tax effect(33)(56)(22)(41)
Amortization of benefit plans, after-tax(3)
$39
$80
$39
$74
Foreign currency translation adjustment$—
$—
$—
$—
Total amounts reclassified out of AOCI, pretax$43
$(42)$(39)$75
Total tax effect(25)5
12
(32)
Total amounts reclassified out of AOCI, after-tax$18
$(37)$(27)$43

(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses on the Consolidated Statement of Income. See Note 1312 to the Consolidated Financial Statements for additional details.
(2)See Note 2119 to the Consolidated Financial Statements for additional details.
(3)See Note 8 to the Consolidated Financial Statements for additional details.



19.   PREFERRED STOCK

The following table summarizes the Company’s preferred stock outstanding:
    
 Redemption
price per
 depositary
share/preference share
 
Carrying value
 in millions of dollars
 Issuance dateRedeemable by issuer beginningDividend
rate		Number
of depositary
shares		June 30,
2016		December 31,
2015
Series AA(1)
January 25, 2008February 15, 20188.125%$25
3,870,330
$97
$97
Series E(2)
April 28, 2008April 30, 20188.400
1,000
121,254
121
121
Series A(3)
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
Series C(5)
March 26, 2013April 22, 20185.800
25
23,000,000
575
575
Series D(6)
April 30, 2013May 15, 20235.350
1,000
1,250,000
1,250
1,250
Series J(7)
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
Series L(9)
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
Series N(11)
October 29, 2014November 15, 20195.800
1,000
1,500,000
1,500
1,500
Series O(12)
March 20, 2015March 27, 20205.875
1,000
1,500,000
1,500
1,500
Series P(13)
April 24, 2015May 15, 20255.950
1,000
2,000,000
2,000
2,000
Series Q(14)
August 12, 2015August 15, 20205.950
1,000
1,250,000
1,250
1,250
Series R(15)
November 13, 2015November 15, 20206.125
1,000
1,500,000
1,500
1,500
Series S(16)
February 2, 2016February 12, 20216.300
25
41,400,000
1,035
$—
Series T(17)
April 25, 2016August 15, 20266.250
1,000
1,500,000
1,500
$—
    
 
 
$19,253
$16,718
(1)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on February 15, May 15, August 15 and November 15, in each case when, as and if declared by the Citi Board of Directors.
(2)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on April 30 and October 30 at a fixed rate until April 30, 2018, thereafter payable quarterly on January 30, April 30, July 30 and October 30 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(3)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually 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-annually on February 15 and August 15 at a fixed rate until February 15, 2023, thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(5)
Issued as depositary shares, each representing a 1/1,000th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable quarterly on January 22, April 22, July 22 and October 22 when, as and if declared by the Citi Board of Directors.
(6)
Issued as depositary shares, each representing a 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually 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-annually 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-annually 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-annually 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-annually on May 15 and November 15 at a fixed rate until, but excluding, May 15, 2025, and thereafter payable quarterly on February 15, May 15, August 15, and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(14)Issued as depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on February 15 and August 15 at a fixed rate until, but excluding, August 15, 2020, and thereafter payable quarterly on February 15, May 15, August 15, and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(15)Issued as depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on May 15 and November 15 at a fixed rate until, but excluding, November 15, 2020, and thereafter payable quarterly on February 15, May 15, August 15 and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.
(16)Issued as depository shares, each representing 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 depository shares, each representing 1/25th interest in a share of the corresponding series of non-cumulative perpetual preferred stock. Dividends are payable semi-annually on February 15 and August 15 at a fixed rate until August 15, 2026, thereafter payable quarterly on February 15, May 15, August 15, and November 15 at a floating rate, in each case when, as and if declared by the Citi Board of Directors.


During the second quarter of 2016, Citi distributed $322 million in dividends on its outstanding preferred stock. As of June 30, 2016, Citi estimates it will distribute preferred dividends of approximately $546 million during the remainder of 2016, in each case assuming such dividends are declared by the Citi Board of Directors.





20.18. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES
 
UsesFor additional information regarding Citi’s use 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 liquidityentities (SPEs) 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, the company transferring assets to an 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. 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, certain 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 significantsee Note 21 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 hadConsolidated Financial Statements 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: (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 returnCiti’s 2016 Annual Report on certain assets to the SPE); (ii) act as underwriter or placement agent; (iii) provide administrative, trustee or other 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.




Form 10-K.
Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:
As of June 30, 2016 As of June 30, 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$51,457
$51,457
$—
$—
$—
$—
$—
$—
$51,092
$51,092
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
   
U.S. agency-sponsored(5)230,600
—
230,600
4,177
—
—
87
4,264
117,756
—
117,756
2,983
—
—
25
3,008
Non-agency-sponsored16,563
1,391
15,172
295
35
—
1
331
23,432
976
22,456
228
38
—
1
267
Citi-administered asset-backed commercial paper conduits (ABCP)21,245
21,245
—
—
—
—
—
—
18,762
18,762
—
—
—
—
—
—
Collateralized loan obligations (CLOs)15,743
—
15,743
3,708
—
—
83
3,791
18,464
—
18,464
5,206
—
—
38
5,244
Asset-based financing57,543
1,228
56,315
20,045
413
5,051
363
25,872
50,601
689
49,912
15,993
618
4,881
—
21,492
Municipal securities tender option bond trusts (TOBs)7,379
2,819
4,560
113
—
2,831
—
2,944
6,695
2,290
4,405
—
—
2,939
—
2,939
Municipal investments18,304
36
18,268
2,392
2,946
2,451
—
7,789
18,644
13
18,631
2,572
3,835
2,554
—
8,961
Client intermediation408
179
229
54
—
—
—
54
2,697
929
1,768
1,020
—
484
2
1,506
Investment funds2,710
789
1,921
31
156
68
—
255
2,158
815
1,343
32
8
15
4
59
Other4,402
592
3,810
210
550
77
47
884
908
36
872
120
9
67
44
240
Total(5)
$426,354
$79,736
$346,618
$31,025
$4,100
$10,478
$581
$46,184
$311,209
$75,602
$235,607
$28,154
$4,508
$10,940
$114
$43,716
As of December 31, 2015 As of December 31, 2016 
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures(2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$54,916
$54,916
$—
$—
$—
$—
$—
$—
$50,171
$50,171
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
   
U.S. agency-sponsored217,291
—
217,291
3,571
—
—
95
3,666
214,458
—
214,458
3,852
—
—
78
3,930
Non-agency-sponsored13,036
1,586
11,450
527
—
—
1
528
15,965
1,092
14,873
312
35
—
1
348
Citi-administered asset-backed commercial paper conduits (ABCP)21,280
21,280
—
—
—
—
—
—
19,693
19,693
—
—
—
—
—
—
Collateralized loan obligations (CLOs)16,719
—
16,719
3,150
—
—
86
3,236
18,886
—
18,886
5,128
—
—
62
5,190
Asset-based financing58,862
1,364
57,498
21,270
269
3,616
436
25,591
53,168
733
52,435
16,553
475
4,915
—
21,943
Municipal securities tender option bond trusts (TOBs)8,572
3,830
4,742
2
—
3,100
—
3,102
7,070
2,843
4,227
40
—
2,842
—
2,882
Municipal investments20,290
44
20,246
2,196
2,487
2,335
—
7,018
17,679
14
17,665
2,441
3,578
2,580
—
8,599
Client intermediation434
335
99
49
—
—
—
49
515
371
144
49
—
—
3
52
Investment funds1,730
842
888
13
138
102
—
253
2,788
767
2,021
32
120
27
3
182
Other4,915
597
4,318
292
554
—
52
898
1,429
607
822
116
11
58
43
228
Total(5)
$418,045
$84,794
$333,251
$31,070
$3,448
$9,153
$670
$44,341
$401,822
$76,291
$325,531
$28,523
$4,219
$10,422
$190
$43,354

Note: Certain adjustments have been made to the December 31, 2015 information to conform to the current period’s presentation.
(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s June 30, 20162017 and December 31, 20152016 Consolidated Balance Sheet.
(3)A significant unconsolidated VIE is an entity where the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.
(4)Citigroup mortgage securitizations also include agency and non-agency (private-label) re-securitization activities. These SPEs are not consolidated. See “Re-securitizations” below for further discussion.
(5)Citi’s total involvement with Citicorp SPE assets was $398.2 billionSee Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and $383.2 billion assale of June 30, 2016 and December 31, 2015, respectively, with the remainder related to Citi Holdings.MSRs.




The previous tables do not include:

certain venture capital investments made by some of the Company’s private equity subsidiaries, as the Company accounts for these investments in accordance with the Investment Company Audit Guide (codified in ASC 946);
certain investment funds for which the Company provides investment management services and personal estate trusts for which the Company provides administrative, trustee and/or investment management services;
certain VIEs structured by third parties where the Company holds securities in inventory, as these investments are made on arm’s-length terms;
certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, where the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 1320 to the Consolidated Financial Statements);
certain representations and warranties exposures in legacy ICG-sponsored mortgage-backed and asset-backed securitizations, where the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 where the Company has no variable interest or continuing involvement as servicer was approximately $11$9 billion and $12$10 billion at June 30, 20162017 and December 31, 2015,2016, respectively;
certain representations and warranties exposures in Citigroup residential mortgage securitizations, where the original mortgage loan balances are no longer outstanding; and
VIEs such as trust preferred securities trusts used in connection with the Company’s funding activities. The Company does not have a variable interest in these trusts.

 

The asset balances for consolidated VIEs represent the carrying amounts of the assets consolidated by the Company. The carrying amount may represent the amortized cost or the current fair value of the assets depending on the legal form of the asset (e.g., loan or security) and the Company’s standard accounting policies for the asset type and line of business.
The asset balances for unconsolidated VIEs where the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company. 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.



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:
 June 30, 2016December 31, 2015
In millions of dollars
Liquidity
facilities
Loan / equity
commitments
Liquidity
facilities
Loan / equity
commitments
Asset-based financing$5
$5,046
$5
$3,611
Municipal securities tender option bond trusts (TOBs)2,831
—
3,100
—
Municipal investments—
2,451
—
2,335
Investment funds—
68
—
102
Other—
77
—
—
Total funding commitments$2,836
$7,642
$3,105
$6,048
Consolidated VIEs
The Company engages in on-balance sheet securitizations, which are securitizations that do not qualify for sales treatment; thus, the assets remain on the Company’s Consolidated Balance Sheet, and any proceeds received are recognized as secured liabilities. The consolidated VIEs included in the tables below represent hundreds of separate entities with which the Company is involved. In general, the third-party investors in the obligations of consolidated VIEs have legal recourse only to the assets of the respective VIEs and do not have such recourse to the Company, except where the Company has provided a guarantee to the investors or is the counterparty to certain derivative transactions involving
the VIE. Thus, the Company’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. 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’s general assets.
The following table presents the carrying amounts and classifications of consolidated assets that are collateral for consolidated VIE obligations:

In billions of dollarsJune 30, 2016December 31, 2015
Cash$0.1
$0.2
Trading account assets0.4
0.6
Investments4.8
5.3
Total loans, net of allowance74.3
78.6
Other0.1
0.1
Total assets$79.7
$84.8
Short-term borrowings$13.0
$14.0
Long-term debt27.7
31.3
Other liabilities2.1
2.1
Total liabilities(1)
$42.8
$47.4


(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 $40.8 billion and $45.3 billion as of June 30, 2016 and December 31, 2015, 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 at June 30, 2016 and December 31, 2015; and (ii) credit guarantees provided by Citi to certain consolidated municipal tender option bond trusts of $82 million at June 30, 2016 and December 31, 2015.

 June 30, 2017December 31, 2016
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$—
$4,881
$5
$4,910
Municipal securities tender option bond trusts (TOBs)2,939
—
2,842
—
Municipal investments—
2,554
—
2,580
Client intermediation—
484
—
—
Investment funds—
15
—
27
Other—
67
—
58
Total funding commitments$2,939
$8,001
$2,847
$7,575
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 dollarsJune 30, 2016December 31, 2015June 30, 2017December 31, 2016
Cash$0.1
$0.1
$0.1
$0.1
Trading account assets7.6
6.2
8.9
8.0
Investments3.7
3.0
4.6
4.4
Total loans, net of allowance22.5
23.6
18.7
18.8
Other1.3
1.7
0.5
1.5
Total assets$35.2
$34.6
$32.8
$32.8
Credit Card Securitizations
The Company securitizes credit card receivables through trusts established to purchase the receivables. Citigroup transfers receivables into the trusts on a non-recourse basis. Credit card securitizations are revolving securitizations; as customers pay their credit card balances, the cash proceeds are used to purchase new receivables and replenish the receivables in the trust.
Substantially all of the Company’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
entities.
the activities that most significantly impact the economic performance of the 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 Company 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 dollarsJune 30, 2016December 31, 2015June 30, 2017December 31, 2016
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$26.2
$29.7
$27.5
$22.7
Retained by Citigroup as trust-issued securities7.9
9.4
9.0
7.4
Retained by Citigroup via non-certificated interests17.0
16.5
14.5
20.6
Total$51.1
$55.6
$51.0
$50.7

The following tables summarize selected cash flow information related to Citigroup’s credit card securitizations:
Three months ended June 30,Three Months Ended June 30,
In billions of dollars2016201520172016
Proceeds from new securitizations$—
$—
$5.1
$—
Pay down of maturing notes(1.3)(3.1)(0.8)(1.3)
 Six months ended June 30,
In billions of dollars20162015
Proceeds from new securitizations$—
$—
Pay down of maturing notes(3.5)(5.8)

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. The liabilities of the trusts are included in the Consolidated Balance Sheet, excluding those retained by Citigroup.


The Master Trust issues fixed- and floating-rate term notes. Some of the term notes are issued to multi-seller commercial paper conduits. The weighted average maturity of
the term notes issued by the Master Trust was 2.2 years as of June 30, 2016 and 2.4 years as of December 31, 2015.
 Six Months Ended June 30,
In billions of dollars20172016
Proceeds from new securitizations$7.6
$—
Pay down of maturing notes(2.8)(3.5)

Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 2.8 years as of June 30, 2017 and 2.6 years as of December 31, 2016.


In billions of dollarsJune 30, 2016Dec. 31, 2015June 30, 2017Dec. 31, 2016
Term notes issued to third parties$25.0
$28.4
$26.5
$21.7
Term notes retained by Citigroup affiliates6.1
7.5
7.1
5.5
Total Master Trust liabilities$31.1
$35.9
$33.6
$27.2

The Omni Trust issues fixed- and floating-rate term notes, some of which are purchased by multi-seller commercial paper conduits. Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Omni Trust was 0.41.4 years as of June 30, 20162017 and 0.91.9 years as of December 31, 2015.

Omni Trust Liabilities (at Par Value)2016.
In billions of dollarsJune 30, 2016Dec. 31, 2015June 30, 2017Dec. 31, 2016
Term notes issued to third parties$1.3
$1.3
$1.0
$1.0
Term notes retained by Citigroup affiliates1.9
1.9
1.9
1.9
Total Omni Trust liabilities$3.2
$3.2
$2.9
$2.9



Mortgage Securitizations
The Company 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’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 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.
The Company securitizes mortgage loans generally through either a government-sponsored agency, such as Ginnie Mae, Fannie Mae or Freddie Mac (U.S. agency-sponsored
mortgages), or private-label (non-agency-sponsored mortgages) securitization. The Company is not the primary beneficiary of its U.S. agency-sponsored mortgage securitizations because Citigroup does not have the power to direct the activities of the VIE that most significantly impact the entity’s economic performance. Therefore, Citi does not consolidate these U.S. agency-sponsored mortgage securitizations.
The Company does not consolidate certain non-agency-sponsored mortgage securitizations because Citi is either not the servicer with the power to direct the significant activities of the entity or Citi is the servicer but the servicing relationship is deemed to be a fiduciary relationship; therefore, Citi is not deemed to be the primary beneficiary of the entity.
In certain instances, the Company has (i) the power to direct the activities and (ii) the obligation to either absorb losses or the right to receive benefits that could be potentially significant to its non-agency-sponsored mortgage securitizations and, therefore, is the primary beneficiary and thus consolidates the VIE.


The following tables summarizetable summarizes selected cash flow information related to Citigroup mortgage securitizations:
Three months ended June 30,Three Months Ended June 30,
2016201520172016
In billions of dollarsU.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		U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
Proceeds from new securitizations$10.3
$2.3
$10.1
$2.5
$7.0
$1.4
$10.3
$2.3
Contractual servicing fees received0.1
—
0.1
—
0.1
—
0.1
—
Six months ended June 30,Six Months Ended June 30,
2016201520172016
In billions of dollarsU.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		U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
Proceeds from new securitizations(1)
$20.9
$6.5
$18.5
$6.1
$14.2
$2.8
$20.9
$6.5
Contractual servicing fees received0.2
—
0.2
—
0.1
—
0.2
—

(1) The proceeds from new securitizations in 2016 include $0.5 billion related to personal loan securitizations.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $18 million and $47 million for the three and six months ended June 30, 2017, respectively. For the three and six months ended June 30, 2017, gains recognized on the securitization of non-agency sponsored mortgages were $26 million and $46 million, respectively.

Gains recognized on the securitization of U.S. agency-sponsored mortgages were $20 million and $45 million for the three and six months ended June 30, 2016, respectively. For the three and six months ended June 30, 2016, gains recognized on the securitization of non-agency sponsored mortgages were $19 million and $28 million, respectively.


Gains recognized on the securitization of U.S. agency-sponsored mortgages were $47 million and $90 million for the three and six months ended June 30, 2015, respectively. For the three and six months ended June 30, 2015, gains recognized on the securitization of non-agency sponsored mortgages were $15 million and $31 million, respectively.




Key assumptions used in measuring the fair value of retained interests at the date of sale or securitization of mortgage receivables were as follows:
 Three months endedMonths Ended June 30, 20162017
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate0.8%2.5% to 11.5%14.0%
—
—
   Weighted average discount rate9.17.6%—
—
Constant prepayment rate8.6%6.5% to 26.8%16.1%
—
—
   Weighted average constant prepayment rate13.310.6%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life0.54.9 to 11.414.5 years
—
—

Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during the second quarter of 2016.
 Three months ended June 30, 2015
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.0% to 8.2%
—
11.2% to 12.1%
   Weighted average discount rate5.3%—
11.6%
Constant prepayment rate5.7% to 15.5%
—
3.5% to 8.0%
   Weighted average constant prepayment rate9.5%—
5.6%
Anticipated net credit losses(2)
   NM
—
38.1% to 52.1%
   Weighted average anticipated net credit losses   NM
—
45.7%
Weighted average life3.5 to 12.8 years
—
8.9 to 12.9 years
 Six months endedThree Months Ended June 30, 2016
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.8% to 11.5%
—
—
   Weighted average discount rate9.1%—
—
Constant prepayment rate8.6% to 26.8%
—
—
   Weighted average constant prepayment rate13.3%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life0.5 to 11.4 years
—
—





Six Months Ended June 30, 2017
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate2.4% to 19.9%
—
—
   Weighted average discount rate8.79.5%—
—
Constant prepayment rate8.6%3.8% to 26.8%16.1%
—
—
   Weighted average constant prepayment rate12.59.1%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life4.9 to 14.5 years
—
—

Six Months Ended June 30, 2016
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.8% to 11.5%
—
—
   Weighted average discount rate8.7%—
—
Constant prepayment rate8.6% to 26.8%
—
—
   Weighted average constant prepayment rate12.5%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life0.5 to 17.5 years
—
—

Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during the three and six months ended June 30, 2017 and 2016.
 Six months ended June 30, 2015
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.0% to 8.2%
2.8%4.4% to 12.1%
   Weighted average discount rate5.6%2.8%7.2%
Constant prepayment rate5.7% to 34.9%
—
3.3% to 8.0%
   Weighted average constant prepayment rate12.9%—
4.2%
Anticipated net credit losses(2)
   NM
40.0%38.1% to 55.9%
   Weighted average anticipated net credit losses   NM
40.0%52.0%
Weighted average life3.5 to 12.8 years
9.7 years
0.0 to 12.9 years



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

The interests retained by the Company range from highly rated and/or senior in the capital structure to unrated and/or residual interests.
The key assumptions used to value retained interests, and the sensitivity of the fair value to adverse changes of 10% and 20% in each of the key assumptions, are set forth in the tables
 
below. The negative effect of each change is calculated independently, holding all other assumptions constant. Because the key assumptions may not 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.

June 30, 2016June 30, 2017
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate   0.3% to 27.0%
   0.3% to 8.5%
   1.6% to 30.1%
0.1% to 60.3%
0.0% to 11.6%
5.6% to 20.9%
Weighted average discount rate5.4%5.2%12.3%6.9%1.6%11.8%
Constant prepayment rate10.0% to 46.5%
   4.7% to 19.7%
   0.5% to 42.0%
7.0% to 21.0%
8.9% to 13.8%
0.5% to 20.1%
Weighted average constant prepayment rate20.0%5.2%8.7%11.6%12.3%9.6%
Anticipated net credit losses(2)
   NM
   0.5% to 90.2%
   2.8% to 93.0%
   NM
0.4% to 50.2%
35.7% to 60.3%
Weighted average anticipated net credit losses   NM
83.8%48.3%   NM
17.0%46.6%
Weighted average life0.5 to 18.5 years
   4.3 to 14.8 years
   1.5 to 11.3 years
0.1 to 28.3 years
5.2 to 17.4 years
0.7 to 10.8 years



December 31, 2015December 31, 2016
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate   0.0% to 27.0%
   1.6% to 67.6%
   2.0% to 24.9%
0.7% to 28.2%
0.0% to 8.1%
5.1% to 26.4%
Weighted average discount rate4.9%7.6%8.4%9.0%2.1%13.1%
Constant prepayment rate5.7% to 27.8%
   4.2% to 100.0%
   0.5% to 20.8%
6.8% to 22.8%
4.2% to 14.7%
0.5% to 37.5%
Weighted average constant prepayment rate12.3%14.0%7.5%10.2%11.0%10.8%
Anticipated net credit losses(2)
   NM
   0.2% to 89.1%
   3.8% to 92.0%
   NM
0.5% to 85.6%
8.0% to 63.7%
Weighted average anticipated net credit losses   NM
48.9%54.4%   NM
31.4%48.3%
Weighted average life1.3 to 21.0 years
   0.3 to 18.1 years
   0.9 to 19.0 years
0.2 to 28.8 years
5.0 to 8.5 years
1.2 to 12.1 years

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


June 30, 2016June 30, 2017
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Carrying value of retained interests$2,555
$33
$190
$1,895
$13
$153
Discount rates  
Adverse change of 10%$(45)$(7)$(11)$(52)$(3)$(6)
Adverse change of 20%(90)(13)(20)(102)(7)(12)
Constant prepayment rate  
Adverse change of 10%(104)(2)(5)(39)(1)(3)
Adverse change of 20%(204)(3)(10)(80)(2)(6)
Anticipated net credit losses  
Adverse change of 10%NM
(10)(2)NM
(4)(1)
Adverse change of 20%NM
(18)(4)NM
(9)(1)


December 31, 2015December 31, 2016
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
In millions of dollars
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Carrying value of retained interests$3,546
$179
$533
$2,258
$26
$161
Discount rates  
Adverse change of 10%$(79)$(8)$(25)$(71)$(7)$(8)
Adverse change of 20%(155)(15)(49)(138)(14)(16)
Constant prepayment rate  
Adverse change of 10%(111)(3)(9)(80)(2)(4)
Adverse change of 20%(213)(6)(18)(160)(3)(8)
Anticipated net credit losses  
Adverse change of 10%NM
(6)(7)NM
(7)(1)
Adverse change of 20%NM
(11)(14)NM
(14)(2)

Note: There were no subordinated interests in mortgage securitizations in Citi Holdings as of June 30, 2016 and December 31, 2015.
(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.



Mortgage Servicing Rights (MSRs)
In connection with the securitization of mortgage loans, the Company’s U.S. consumer mortgage business generally retains the servicing rights, which entitle the Company to a future stream of cash flows based on the outstanding principal balances of the loans and the contractual servicing fee. Failure to service the loans in accordance with contractual requirements may lead to a termination of the servicing rights and the loss of future servicing fees.
These transactions create an intangible asset referred to as mortgage servicing rights (MSRs), which are recorded at fair value on Citi’s Consolidated Balance Sheet. The fair value of Citi’s capitalized MSRs was $1.3 billion$560 million and $1.9$1.3 billion at June 30, 20162017 and 2015,2016, respectively. The MSRs correspond to principal loan balances of $186$135 billion and $209$186 billion as of June 30, 20162017 and 2015,2016, respectively. The following tables summarizetable summarizes the changes in capitalized MSRs:
 Three Months Ended June 30,
In millions of dollars20172016
Balance, as of March 31$567
$1,524
Originations21
35
Changes in fair value of MSRs due to changes in inputs and assumptions(11)(137)
Other changes(1)
(17)(98)
Sale of MSRs(2)
—
—
Balance, as of June 30$560
$1,324
 Three months ended June 30,
In millions of dollars20162015
Balance, as of March 31$1,524
$1,685
Originations35
68
Changes in fair value of MSRs due to changes in inputs and assumptions(137)262
Other changes(1)
(98)(82)
Sale of MSRs—
(9)
Balance, as of June 30$1,324
$1,924

Six months ended June 30,Six Months Ended June 30,
In millions of dollars2016201520172016
Balance, beginning of year$1,781
$1,845
$1,564
$1,781
Originations68
111
56
68
Changes in fair value of MSRs due to changes in inputs and assumptions(362)191
56
(362)
Other changes(1)
(177)(182)(70)(177)
Sale of MSRs(2)
14
(41)(1,046)14
Balance, as of June 30$1,324
$1,924
$560
$1,324

(1)Represents changes due to customer payments and passage of time.
(2)Current period’sSee Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs. 2016 amount is related to a saleincludes sales of credit challenged MSRs for which Citi paid the new servicer.



The fair value of the MSRs is primarily affected by changes in prepayments of mortgages that result from shifts in mortgage interest rates. Specifically, higher interest rates tend to lead to declining prepayments, which causes the fair value of the MSRs to increase. In managing this risk, the Company economically hedges a significant portion of the value of its MSRs through the use of interest rate derivative contracts, forward purchase and sale commitments of mortgage-backed securities and purchased securities all classified as Trading account assets. The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
Three months ended June 30,Six months ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20162015201620152017201620172016
Servicing fees$126
$141
$254
$281
$65
$126
$171
$254
Late fees4
4
8
8
3
4
6
8
Ancillary fees4
15
9
22
4
4
8
9
Total MSR fees$134
$160
$271
$311
$72
$134
$185
$271

In the Consolidated Statement of Income these fees are primarily classified as Commissions and fees and changes in MSR fair values are classified as Other revenue.

Re-securitizations
The Company engages in re-securitization transactions in which debt securities are transferred to a VIE in exchange for new beneficial interests. Citi did not transfer non-agency (private-label) securities to re-securitization entities during the three and six months ended June 30, 2016. During the three2017 and six months ended June 30, 2015, Citi transferred non-agency (private-label) securities with an original par value of $195 million and $649 million, respectively, to re-securitization entities.2016. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of June 30, 2016,2017, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $169$112 million (all related to re-securitization transactions executed prior to 2016)2017), which has been recorded in Trading account assets. Of this amount, substantially all was related to subordinated beneficial interests. As of December 31, 2015,2016, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $428$126 million (including $132 million(all related to re-securitization transactions executed in 2015)prior to 2016). Of this amount, approximately $18 million was related to senior beneficial interests, and approximately $410 millionsubstantially all was related to subordinated beneficial interests. The original par value of private-label re-securitization transactions in which Citi holds a retained interest as of June 30, 20162017 and December 31, 20152016 was approximately $2.1$1.1 billion and $3.7$1.3 billion, respectively.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the three and six months ended June 30, 2016,2017, Citi transferred agency securities with a fair value of approximately $6.9$5.6 billion and $14.2$10.1 billion, respectively, to re-securitization entities compared to approximately $4.6$6.9 billion and $8.9$14.2 billion for the three and six months ended June 30, 2015.2016.
As of June 30, 2016,2017, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.8$2.5 billion (including $785$1.0 billion related to re-securitization transactions executed in 2017) compared to $2.3 billion as of December 31, 2016 (including $741 million related to re-securitization transactions executed in 2016) compared to $1.8 billion as of December 31, 2015 (including $1.5 billion related to re-securitization transactions executed in 2015), 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 June 30, 20162017 and December 31, 20152016 was approximately $71.2$68.9 billion and $65.0$71.8 billion, respectively.
As of June 30, 20162017 and December 31, 2015,2016, the Company did not consolidate any private-label or agency re-securitization entities.



Citi-Administered Asset-Backed Commercial Paper Conduits
The Company is active inAt June 30, 2017 and December 31, 2016, 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. 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 Company 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, cash and excess spread collateral accounts, direct recourse or third-party guarantees. These credit enhancements are sized with the objective of approximating a credit rating of A or above, based on the



Company’s internal risk ratings. At June 30, 2016 and December 31, 2015, the conduitsCiti had approximately $21.2$18.8 billion and $21.3$19.7 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $13.5$14.2 billion and $11.6$12.8 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At June 30, 20162017 and December 31, 2015,2016, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 49 and 56 days, respectively.55 days.
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$1.7 billion and $1.8 billion as of June 30, 20162017 and December 31, 2015.2016, respectively. The net result across multi-seller conduits administered by the Company other than the government guaranteed loan conduit, is that, in the event defaulted assets exceed the transaction-specific credit enhancements described above, any losses in each conduit are allocated first to the Company and then the commercial paper investors.
The Company 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 Company 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 in commercial paper, including commercial paper issued by the Company's conduits. At June 30, 20162017 and December 31, 2015,2016, the Company owned $11.3$9.0 billion and $11.4$9.7 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. 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 Company 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
A collateralized loan obligation (CLO) is a VIE that purchases a portfolio of assets consisting primarily of non-investment grade corporate loans. The CLO issues multiple tranches of debt and equityfollowing table summarizes selected cash flow information related 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 the 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 the CLO, through their ownership of debt and/or equity in the CLO, can also direct certain activities of the CLO, including removing the CLO asset manager under limited circumstances, optionally redeeming the notes, voting on amendments to the CLO’s operating documents and other activities. The CLO has a finite life, typically 12 years.Citigroup CLOs:
Citi serves as a structuring and placement agent with respect to the CLO. Typically, the debt and equity of the CLO are sold to third-party investors. On occasion, certain Citi entities may purchase some portion of the CLO’s liabilities for investment purposes. In addition, Citi may purchase, typically in the secondary market, certain securities issued by the CLO 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.
 Three Months Ended June 30,
In billions of dollars20172016
Proceeds from new securitizations$1.1
$2.0
 Six Months Ended June 30,
In billions of dollars20172016
Proceeds from new securitizations$1.4
$2.0




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:

June 30, 20162017Dec. 31, 20152016
Discount rate   1.1% to 41.9%1.7%1.4%1.3% to 49.6%1.7%
In millions of dollarsJune 30, 2017Dec. 31, 2016
Carrying value of retained interests$3,969
$4,261
Discount rates  
   Adverse change of 10%$(27)$(30)
   Adverse change of 20%(53)(62)
In millions of dollarsJune 30, 2016Dec. 31, 2015
Carrying value of retained interests$908
$918
Discount rates  
   Adverse change of 10%$(5)$(5)
   Adverse change of 20%(10)(10)

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; 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.
June 30, 2016June 30, 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$14,981
$5,483
$9,084
$2,953
Corporate loans1,050
1,948
3,242
1,872
Hedge funds and equities386
56
419
58
Airplanes, ships and other assets39,898
18,385
37,167
16,609
Total$56,315
$25,872
$49,912
$21,492
December 31, 2015December 31, 2016
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$17,459
$6,528
$8,784
$2,368
Corporate loans1,274
1,871
4,051
2,684
Hedge funds and equities385
55
370
54
Airplanes, ships and other assets38,380
17,137
39,230
16,837
Total$57,498
$25,591
$52,435
$21,943

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 ownerAt June 30, 2017, none of the municipal securities that are being financed.
From the Company’s perspective, there are two types of TOB trusts: customer TOB trusts and non-customer TOB trusts. Customer TOB trusts are those trusts utilized by customers of the Company to finance their municipal securities investments. The Residuals issued by these trusts are purchased by the customer being financed. Non-customer TOB trusts are trusts that are used by the Company to finance its own municipal securities investments; the Residuals issuedbonds owned by non-customer TOB trusts are purchasedwere subject to a credit guarantee provided by the Company.
With respect to both customer and non-customer TOB trusts, the Company 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 Company 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 June 30, 2016 and December 31, 2015, the Company held $148 million and $2 million, respectively, of Floaters related to customer and non-customer TOB trusts.
For certain customer TOB trusts, the Company 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 June 30, 2016, the Company had no outstanding voluntary advances to customer TOB trusts.
For certain non-customer trusts, the Company also provides credit enhancement. At June 30, 2016 and December 31, 2015, approximately $82 million of the municipal bonds owned by non-customer TOB trusts arewere subject to a credit guarantee provided by the Company.
The Company 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 Trust and bond sale proceeds are used to redeem the outstanding Trust 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 Company 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 Company 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 June 30, 20162017 and December 31, 2015,2016, liquidity agreements provided with respect to customer TOB trusts totaled $2.9 billion and $3.1$2.9 billion, respectively, of which $2.2$2.0 billion and $2.2$2.1 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the Residualresidual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.
The Company 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 $8.6$6.0 billion and $8.1$7.4 billion as of June 30, 20162017 and December 31, 2015,2016, respectively. 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 Company 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.

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 Company 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’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 Company 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 three and six months ended June 30, 20162017 totaled approximately $0.80.2 billion and $1.40.7 billion, respectively, compared to $0.6$0.8 billion and $0.8$1.4 billion for the three and six months ended June 30, 2015.2016.




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 Company 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 Company 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 to these funds and may provide employees with financing on both recourse and non-recourse bases for a portion of the employees’ investment commitments.
Prior to January 1, 2016, the Company determined that a majority of the investment entities managed by Citigroup were provided a deferral from the requirements of ASC 810, because they met the criteria in ASU No. 2010-10, Consolidation (Topic 810): Amendments for Certain Investment Funds. As part of the amended guidance under ASU 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis, effective January 1, 2016, these entities were evaluated and the Company determined that these entities continue to meet the definition of a VIE because the limited partners in the fund do not have the ability to remove the Company as investment manager. The Company is considered the primary beneficiary and consolidates those VIE entities where it has both the power to direct the activities and a potentially significant variable interest.





21.19.   DERIVATIVES ACTIVITIES
In the ordinary course of business, Citigroup enters into various types of derivative transactions. These derivative
transactions include:

FuturesFor additional information regarding Citi’s use of and forward contracts, which are commitmentsaccounting for derivatives, see Note 22 to buy or sell at a future date a financial instrument, commodity or currency at a contracted price and may be settled in cash or through delivery.
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: Citigroup trades derivatives as an active market maker. Citigroup offers its customers derivatives in connection with their risk management actions to transfer, modify or reduce their interest rate, foreign exchange and other market/credit risks or for their own trading purposes. Citigroup also manages its derivative risk positions through offsetting trade activities, controls focused on price verification, and daily reporting of positions to senior managers.
Hedging:Citigroup uses derivatives in connection with its risk management activities to hedge certain risks or reposition the risk profile of the Company. 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 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 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-exchange contracts are used to hedge non-U.S.-dollar-denominated debt, foreign-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 riskFinancial Statements in Citi’s 2016 Annual Report on a derivative product is the exposure created by potential fluctuations in interest rates, market 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 satisfy 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 these 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 able to be monetized in a reasonable period of time and at a reasonable cost in periods of high volatility and financial stress.Form 10-K.
Derivative transactions are customarily documented under industry standard master netting agreements that 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: (i) failure to make a payment on a derivatives transaction that remains uncured following applicable notice and grace periods, (ii) breach of agreement that remains uncured after applicable notice and grace periods, (iii) breach of a representation, (iv) cross default, either to third-party debt or to other derivative transactions entered into between the parties, or, in some cases, their affiliates, (v) the occurrence of a merger or consolidation which results in a party’s becoming a materially weaker credit, and (vi) the cessation or repudiation of any applicable guarantee or other credit support document. Obligations under master netting agreements are often secured by collateral posted under an industry standard credit support annex to the master netting agreement. An event of default may also occur under a credit support annex if a party fails to make a collateral delivery that remains uncured following applicable notice and grace periods.
The netting and collateral rights incorporated in the master netting agreements are considered to be legally enforceable if a supportive legal opinion has been obtained from counsel of recognized standing that provides the requisite level of certainty regarding enforceability and 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.
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 is 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.




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 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.






























Derivative Notionals
Hedging instruments under
ASC 815(1)(2)
Other derivative instruments
Hedging instruments under
ASC 815(1)(2)
Other derivative instruments

Trading derivatives
Management hedges(3)

Trading derivatives
Management hedges(3)
In millions of dollarsJune 30,
2016		December 31,
2015		June 30,
2016		December 31,
2015		June 30,
2016		December 31,
2015		June 30,
2017		December 31,
2016		June 30,
2017		December 31,
2016		June 30,
2017		December 31,
2016
Interest rate contracts          
Swaps$190,434
$166,576
$22,790,256
$22,208,794
$34,575
$28,969
$185,341
$151,331
$22,079,797
$19,145,250
$53,242
$47,324
Futures and forwards—
—
5,944,024
6,868,340
33,385
38,421
15
97
8,025,915
6,864,276
14,447
30,834
Written options—
—
3,197,007
3,033,617
5,616
2,606
—


3,433,889
2,921,070
1,822
4,759
Purchased options—
—
2,941,662
2,887,605
5,450
4,575
—
—
3,329,915
2,768,528
2,330
7,320
Total interest rate contract notionals$190,434
$166,576
$34,872,949
$34,998,356
$79,026
$74,571
$185,356
$151,428
$36,869,516
$31,699,124
$71,841
$90,237
Foreign exchange contracts            
Swaps$21,384
$23,007
$5,576,865
$4,765,687
$23,098
$23,960
$37,395
$19,042
$6,407,798
$5,492,145
$26,221
$22,676
Futures, forwards and spot71,422
72,124
3,510,377
2,563,649
4,472
3,034
35,815
56,964
4,302,684
3,251,132
5,730
3,419
Written options—
448
1,449,764
1,125,664
—
—
1,447
—
1,375,250
1,194,325
—
—
Purchased options—
819
1,485,184
1,131,816
—
—
6,672
—
1,383,864
1,215,961
—
—
Total foreign exchange contract notionals$92,806
$96,398
$12,022,190
$9,586,816
$27,570
$26,994
$81,329
$76,006
$13,469,596
$11,153,563
$31,951
$26,095
Equity contracts            
Swaps$—
$—
$171,361
$180,963
$—
$—
$—
$—
$197,046
$192,366
$—
$—
Futures and forwards—
—
29,938
33,735
—
—
—
—
46,582
37,557
—
—
Written options—
—
376,780
298,876
—
—
—
—
370,016
304,579
—
—
Purchased options—
—
341,476
265,062
—
—
—
—
324,314
266,070
—
—
Total equity contract notionals$—
$—
$919,555
$778,636
$—
$—
$—
$—
$937,958
$800,572
$—
$—
Commodity and other contracts            
Swaps$—
$—
$71,194
$70,561
$—
$—
$—
$—
$68,690
$70,774
$—
$—
Futures and forwards783
789
135,979
106,474
—
—
156
182
153,554
142,530
—
—
Written options—
—
79,109
72,648
—
—
—
—
69,294
74,627
—
—
Purchased options—
—
73,843
66,051
—
—
—
—
68,098
69,629
—
—
Total commodity and other contract notionals$783
$789
$360,125
$315,734
$—
$—
$156
$182
$359,636
$357,560
$—
$—
Credit derivatives(4)
            
Protection sold$—
$—
$1,071,410
$950,922
$—
$—
$—
$—
$845,028
$859,420
$64
$—
Protection purchased—
—
1,108,387
981,586
26,901
23,628
—
—
856,947
883,003
14,103
19,470
Total credit derivatives$—
$—
$2,179,797
$1,932,508
$26,901
$23,628
$—
$—
$1,701,975
$1,742,423
$14,167
$19,470
Total derivative notionals$284,023
$263,763
$50,354,616
$47,612,050
$133,497
$125,193
$266,841
$227,616
$53,338,681
$45,753,242
$117,959
$135,802
(1)The notional amounts presented in this table do not include hedge accounting relationships under ASC 815 where Citigroup is hedging the foreign currency risk of a net investment in a foreign operation by issuing a foreign-currency-denominated debt instrument. The notional amount of such debt was $2,150$1,297 million and $2,102$1,825 million at June 30, 20162017 and December 31, 2015,2016, 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.


(4)Credit derivatives are arrangements designed to allow one party (protection buyer) to transfer the credit risk of a “reference asset” to another party (protection seller). These arrangements allow a protection seller to assume the credit risk associated with the reference asset without directly purchasing that asset. The Company enters into credit derivative positions for purposes such as risk management, yield enhancement, reduction of credit concentrations and diversification of overall risk.


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 June 30, 20162017 and December 31, 2015. Under ASC 210-20-45, gross2016. Gross positive fair values are offset against gross negative fair values by counterparty pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
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 an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.



Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at June 30, 2016
Derivatives classified
in Trading account
assets / liabilities(1)(2)(3)
Derivatives classified
in Other
assets / liabilities(2)(3)
In millions of dollars at June 30, 2017
Derivatives classified
in Trading account
assets / liabilities(1)(2)(3)
Derivatives classified
in Other
assets / liabilities(2)(3)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$914
$168
$2,553
$86
$4,089
$271
$1,270
$20
Cleared7,596
1,945
—
185
330
1,757
34
73
Interest rate contracts$8,510
$2,113
$2,553
$271
$4,419
$2,028
$1,304
$93
Over-the-counter$1,849
$1,175
$142
$1,335
$1,058
$795
$411
$384
Cleared—
4
—
—
Foreign exchange contracts$1,849
$1,179
$142
$1,335
$1,058
$795
$411
$384
Total derivative instruments designated as ASC 815 hedges$10,359
$3,292
$2,695
$1,606
Total derivatives instruments designated as ASC 815 hedges$5,477
$2,823
$1,715
$477
Derivatives instruments not designated as ASC 815 hedges





Over-the-counter$358,279
$336,680
$200
$17
$212,052
$193,609
$38
$1
Cleared199,439
204,020
673
694
88,092
94,441
101
138
Exchange traded109
75
—
—
137
116
—
—
Interest rate contracts$557,827
$540,775
$873
$711
$300,281
$288,166
$139
$139
Over-the-counter$173,386
$169,489
$—
$54
$142,009
$143,455
$—
$—
Cleared266
230
—
—
2,667
2,611
—
—
Exchange traded52
22
—
—
81
76
—
—
Foreign exchange contracts$173,704
$169,741
$—
$54
$144,757
$146,142
$—
$—
Over-the-counter$16,150
$21,209
$—
$—
$16,262
$20,994
$—
$—
Cleared987
67
—
—
21
12
—
—
Exchange traded8,378
8,378
—
—
7,885
7,998
—
—
Equity contracts$25,515
$29,654
$—
$—
$24,168
$29,004
$—
$—
Over-the-counter$11,411
$13,356
$—
$—
$9,506
$11,894
$—
$—
Exchange traded1,006
1,399
—
—
642
647
—
—
Commodity and other contracts$12,417
$14,755
$—
$—
$10,148
$12,541
$—
$—
Over-the-counter$29,440
$30,066
$394
$229
$16,325
$17,190
$49
$58
Cleared3,492
3,169
118
302
7,575
7,906
32
292
Credit derivatives(4)
$32,932
$33,235
$512
$531
$23,900
$25,096
$81
$350
Total derivatives instruments not designated as ASC 815 hedges$802,395
$788,160
$1,385
$1,296
$503,254
$500,949
$220
$489
Total derivatives$812,754
$791,452
$4,080
$2,902
$508,731
$503,772
$1,935
$966
Cash collateral paid/received(5)(6)
$9,292
$16,592
$7
$—
$12,540
$14,227
$—
$43
Less: Netting agreements(7)
(690,888)(690,888)—
—
(424,492)(424,492)—
—
Less: Netting cash collateral received/paid(8)
(58,945)(53,952)(1,793)(40)(38,743)(42,570)(993)(56)
Net receivables/payables included on the consolidated balance sheet(9)
$72,213
$63,204
$2,294
$2,862
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet 
Net receivables/payables included on the Consolidated Balance Sheet(9)
$58,036
$50,937
$942
$953
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet 
Less: Cash collateral received/paid$(1,236)$(24)$—
$—
$(657)$(55)$—
$—
Less: Non-cash collateral received/paid(14,754)(7,696)(758)—
(11,359)(8,039)(295)—
Total net receivables/payables(9)
$56,223
$55,484
$1,536
$2,862
$46,020
$42,843
$647
$953
(1)The trading derivatives fair values are presented in Note 1220 to the Consolidated Financial Statements.
(2)
Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.
(3)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(4)The credit derivatives trading assets comprise $16,313$5,801 million related to protection purchased and $16,619$18,099 million related to protection sold as of June 30, 2016.2017. The credit derivatives trading liabilities comprise $17,435$19,400 million related to protection purchased and $15,800$5,696 million related to protection sold as of June 30, 2016.2017.
(5)For the trading account assets/liabilities, reflects the net amount of the $63,244$55,110 million and $75,537$52,970 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $53,952$42,570 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $58,945$38,743 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 $47$56 million of gross cash collateral paid, of which $40$56 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 $1,793$1,036 million of gross cash collateral received, of which $1,793$993 million is netted against OTC non-trading derivative positions within Other assets.
(7)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $478$321 billion, $204$95 billion and $9$8 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(8)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)The net receivables/payables include approximately $9$4 billion of derivative asset and $9$7 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

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, 2016
Derivatives classified in Trading
account assets / liabilities(1)(2)(3)
Derivatives classified in Other assets / liabilities(2)(3)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$262
$105
$2,328
$106
$716
$171
$1,927
$22
Cleared4,607
1,471
5
—
3,530
2,154
47
82
Interest rate contracts$4,869
$1,576
$2,333
$106
$4,246
$2,325
$1,974
$104
Over-the-counter$2,688
$364
$95
$677
$2,494
$393
$747
$645
Cleared—
—
—
—
Foreign exchange contracts$2,688
$364
$95
$677
$2,494
$393
$747
$645
Total derivative instruments designated as ASC 815 hedges$7,557
$1,940
$2,428
$783
Total derivatives instruments designated as ASC 815 hedges$6,740
$2,718
$2,721
$749
Derivatives instruments not designated as ASC 815 hedges





Over-the-counter$289,124
$267,761
$182
$12
$244,072
$221,534
$225
$5
Cleared120,848
126,532
244
216
120,920
130,855
240
349
Exchange traded53
35
—
—
87
47
—
—
Interest rate contracts$410,025
$394,328
$426
$228
$365,079
$352,436
$465
$354
Over-the-counter$126,474
$133,361
$—
$66
$182,659
$186,867
$—
$60
Cleared134
152
—
—
482
470
—
—
Exchange traded21
36
—
—
27
31
—
—
Foreign exchange contracts$126,629
$133,549
$—
$66
$183,168
$187,368
$—
$60
Over-the-counter$14,560
$20,107
$—
$—
$15,625
$19,119
$—
$—
Cleared28
3
—
—
1
21
—
—
Exchange traded7,297
6,406
—
—
8,484
7,376
—
—
Equity contracts$21,885
$26,516
$—
$—
$24,110
$26,516
$—
$—
Over-the-counter$16,794
$18,641
$—
$—
$13,046
$14,234
$—
$—
Exchange traded1,216
1,912
—
—
719
798
—
—
Commodity and other contracts$18,010
$20,553
$—
$—
$13,765
$15,032
$—
$—
Over-the-counter$31,072
$30,608
$711
$245
$19,033
$19,563
$159
$78
Cleared3,803
3,560
131
318
5,582
5,874
47
310
Credit derivatives(4)
$34,875
$34,168
$842
$563
$24,615
$25,437
$206
$388
Total derivatives instruments not designated as ASC 815 hedges$611,424
$609,114
$1,268
$857
$610,737
$606,789
$671
$802
Total derivatives$618,981
$611,054
$3,696
$1,640
$617,477
$609,507
$3,392
$1,551
Cash collateral paid/received(5)(6)
$4,911
$13,628
$8
$37
$11,188
$15,731
$8
$1
Less: Netting agreements(7)
(524,481)(524,481)—
—
(519,000)(519,000)—
—
Less: Netting cash collateral received/paid(8)
(43,227)(42,609)(1,949)(53)(45,912)(49,811)(1,345)(53)
Net receivables/payables included on the Consolidated Balance Sheet(9)
$56,184
$57,592
$1,755
$1,624
$63,753
$56,427
$2,055
$1,499
Additional amounts subject to an enforceable master netting agreement but not offset on the Consolidated Balance Sheet 
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet 
Less: Cash collateral received/paid$(779)$(2)$—
$—
$(819)$(19)$—
$—
Less: Non-cash collateral received/paid(9,855)(5,131)(270)—
(11,767)(5,883)(530)—
Total net receivables/payables(9)
$45,550
$52,459
$1,485
$1,624
$51,167
$50,525
$1,525
$1,499
(1)The trading derivatives fair values are presented in Note 1220 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 includeare 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.


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 $17,957$8,871 million related to protection purchased and $16,918$15,744 million related to protection sold as of December 31, 2015.2016. The credit derivatives trading liabilities comprise $16,968$16,722 million related to protection purchased and $17,200$8,715 million related to protection sold as of December 31, 2015.2016.
(5)For the trading account assets/liabilities, reflects the net amount of the $47,520$60,999 million and $56,855$61,643 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $42,609$49,811 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $43,227$45,912 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 $61 million of the gross cash collateral received,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$1,346 million of gross cash collateral received, of which $1,949$1,345 million is netted against OTC non-trading derivative positions within Other assets.
(7)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $391$383 billion, $126$128 billion and $7$8 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(8)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)The net receivables/payables include approximately $10$7 billion of derivative asset and $10$9 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

For the three and six months ended June 30, 20162017 and 2015,2016, 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/losses on the economically hedged items to the extent such amounts are also recorded in Other revenue.
 
Gains (losses) included in
Other revenue

Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2017201620172016
Interest rate contracts$11
$11
$(34)$26
Foreign exchange23
11
26
15
Credit derivatives(80)(348)(343)(562)
Total Citigroup$(46)$(326)$(351)$(521)
 

















 
Gains (losses) included in
Other revenue

Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars2016201520162015
Interest rate contracts$11
$(51)$26
$(36)
Foreign exchange11
(31)15
(46)
Credit derivatives(348)61
(562)71
Total Citigroup$(326)$(21)$(521)$(11)


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-rate or foreign-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 documentation requirements and assessing hedge effectiveness, hedge accounting may be applied. The hedge effectiveness assessment methodologies for similar hedges are performed in a similar manner and are used consistently throughout the hedging relationships. For fair value hedges, changes in the value of the hedging derivative, as well as changes in the value of the related hedged item due to the risk being hedged, are reflected in current earnings. For cash flow hedges and net investment hedges, changes in the value of the hedging derivative are reflected in Accumulated other comprehensive income (loss) in Citigroup’s stockholders’ equity to the extent the hedge is highly effective. Hedge ineffectiveness, in either case, is reflected in current earnings.
For asset/liability management hedging, fixed-rate long-term debt is recorded at amortized cost under GAAP. However, by designating an interest rate swap contract as a hedging instrument and electing to apply ASC 815 fair value hedge accounting, the carrying value of the debt is adjusted for changes in the benchmark interest rate, with such changes in value recorded in current earnings. The related interest-rate swap also is recorded on the balance sheet at fair value, with any changes in fair value also reflected in earnings. Thus, any 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 account for the debt at fair value under the fair value option. Once the irrevocable election is made upon issuance of the debt, the full change in fair value of the debt is reported in earnings. The changes in fair value of the related interest rate swap are also reflected in earnings, which provides a natural offset to the debt’s fair value change. To the extent the two 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 the hedge relationship is recognized in current earnings. The assessment of effectiveness may exclude changes in the value of the hedged item that are unrelated to the risks being hedged. Similarly, the assessment of effectiveness may exclude changes in the fair value of a derivative related to time value that, if excluded, are recognized in current earnings.

Fair Value Hedges

Hedging of Benchmark Interest Rate Risk
Citigroup hedges exposure to 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 with 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 changes in the fair value of fixed-rate assets due to changes in benchmark interest rates, including available-for-sale debt securities 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.

Hedging of Foreign Exchange Risk
Citigroup hedges the change in fair value attributable to foreign-exchange rate movements in available-for-sale securities that are denominated in currencies other than the functional currency of the entity holding the securities, which may be within or outside the U.S. The hedging instrument employed is generally 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 AOCI—which serves to offset the change in fair value of the forward contract that is also reflected in earnings. Citigroup considers the premium associated with forward contracts (i.e., the differential between spot and contractual forward rates) as the cost of hedging; this is excluded from the assessment of hedge effectiveness and reflected directly in earnings. The dollar-offset method is used to assess hedge effectiveness. Since that assessment is based on changes in fair value attributable to changes in spot rates on both the available-for-sale securities and the forward contracts for the portion of the relationship



hedged, the amount of hedge ineffectiveness is not significant.

Hedging of Commodity Price Risk
Citigroup hedges the change in fair value attributable to price movements in physical commodities inventory. The hedging instrument employed is a futures contract to sell the underlying commodity. In this hedge, the change in value of the hedged inventory is reflected in earnings, which serves to offset the change in fair value of the futures contract that is also reflected in earnings. Citigroup excludes the differential between spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness. Since the assessment is based on changes in fair value attributable to change in spot prices on both the physical commodity and the futures contract, the amount of hedge ineffectiveness is not significant.




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)
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20162015201620152017201620172016
Gain (loss) on the derivatives in designated and qualifying fair value hedges      
Interest rate contracts$1,082
$(1,680)$3,197
$(1,039)$(71)$1,082
$(376)$3,197
Foreign exchange contracts(397)16
(1,758)1,404
(555)(397)(637)(1,758)
Commodity contracts89
(75)438
41
(11)89
(9)438
Total gain (loss) on the derivatives in designated and qualifying fair value hedges$774
$(1,739)$1,877
$406
$(637)$774
$(1,022)$1,877
Gain (loss) on the hedged item in designated and qualifying fair value hedges      
Interest rate hedges$(1,053)$1,606
$(3,143)$998
$47
$(1,053)$343
$(3,143)
Foreign exchange hedges454
36
1,761
(1,385)570
454
766
1,761
Commodity hedges(89)76
(433)(28)11
(89)10
(433)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$(688)$1,718
$(1,815)$(415)$628
$(688)$1,119
$(1,815)
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges      
Interest rate hedges$32
$(74)$59
$(41)$(16)$32
$(26)$59
Foreign exchange hedges25
21
(50)(17)(13)25
49
(50)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges$57
$(53)$9
$(58)$(29)$57
$23
$9
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges      
Interest rate contracts$(3)$—
$(5)$—
$(8)$(3)$(7)$(5)
Foreign exchange contracts(2)
32
31
53
36
28
32
80
53
Commodity hedges(2)
—
1
5
13
—
—
1
5
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges$29
$32
$53
$49
$20
$29
$74
$53
(1)
Amounts are included in Other revenue on the Consolidated Statement of Income. The accrued interest income on fair value hedges is recorded in Net interest revenue and is excluded from this table.
(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts are excluded from the assessment of hedge effectiveness and are reflected directly in earnings.


Cash Flow Hedges

Hedging of Benchmark Interest Rate Risk
Citigroup hedges variable cash flows associated with floating-rate liabilities and the rollover (re-issuance) of liabilities. Variable cash flows from those liabilities are 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 those assets are converted to fixed-rate cash flows by entering into receive-fixed, pay-variable interest rate swaps. These cash-flow hedging relationships use either regression analysis or dollar-offset ratio analysis to assess whether the hedging relationships are highly effective at inception and on an ongoing basis. When certain variable interest rates, associated with hedged items, do not qualify as benchmark interest rates, Citigroup designates the risk being hedged as the risk of overall changes in the hedged cash flows. Since efforts are made to match the terms of the derivatives to those of the hedged forecasted cash flows as closely as
possible, the amount of hedge ineffectiveness is not significant.

Hedging of Foreign Exchange Risk
Citigroup locks in the functional currency equivalent cash flows of long-term debt and short-term borrowings that are denominated in currencies other than the functional currency of the issuing entity. Depending on the risk management objectives, these types of hedges are designated as either cash flow hedges of only foreign exchange risk or cash flow hedges of both foreign exchange 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.
The amount of hedge ineffectiveness on the cash flow hedges recognized in earnings for the three and six months ended June 30, 2016,2017 and 20152016 is not significant. The pretax change in AOCI from cash flow hedges is presented below:

Three Months Ended June 30,Six Months Ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20162015201620152017201620172016
Effective portion of cash flow hedges included in AOCI      
Interest rate contracts$220
$17
$635
$237
$97
$220
$139
$635
Foreign exchange contracts(21)(10)3
(160)—
(21)—
3
Total effective portion of cash flow hedges included in AOCI$199
$7
$638
$77
$97
$199
$139
$638
Effective portion of cash flow hedges reclassified from AOCI to earnings

 

 
Interest rate contracts$(41)$(74)$(57)$(120)$(90)$(41)$(46)$(57)
Foreign exchange contracts(17)(37)(43)(77)2
(17)(1)(43)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)
$(58)$(111)$(100)$(197)$(88)$(58)$(47)$(100)
(1)
Included primarily in Other revenue and Net interest revenue on the Consolidated Income Statement.
For cash flow hedges, the changes in the fair value of the hedging derivative remainingremain in 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 AOCI within 12 months of June 30, 20162017 is approximately $0.1 billion.$(199) 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 1817 to the Consolidated Financial Statements.

Net Investment Hedges
Consistent with ASC 830-20, Foreign Currency Matters—Foreign Currency Transactions, ASC 815 allows hedging of the foreign currency risk of a net investment in a foreign operation. Citigroup uses foreign currency forwards, options and foreign-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 AOCI. Simultaneously, the effective portion of the hedge of this exposure is also recorded in the Foreign currency translation adjustment account and the ineffective portion, if any, is immediately recorded in earnings.
For derivatives designated as net investment hedges, Citigroup follows the forward-rate method outlined in ASC 815-35-35-16 through 35-26. 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 AOCI.
For foreign-currency-denominated debt instruments that are designated as hedges of net investments, the translation gain or loss that is recorded in the Foreign currency translation adjustment account is based on the spot exchange rate between the functional currency of the respective subsidiary and the U.S. dollar, which is the functional currency of Citigroup. To the extent the notional amount of the hedging instrument exactly matches the hedged net investment and the underlying exchange rate of the derivative hedging instrument relates to the exchange rate between the functional currency of the net investment and Citigroup’s functional currency (or, in the case of a non-derivative debt instrument, such instrument is denominated in the functional currency of the net investment), no ineffectiveness is recorded in earnings.
The pretax gain (loss) recorded in the Foreign currency translation adjustment account within AOCI, related to the effective portion of the net investment hedges, is $(32) million and $(1,748) million for the three and six months ended June 30, 2017 and $(47) million and $(1,420) million for the three and six months ended June 30, 2016, and $(243) million and $757 million for the three and six months ended June 30, 2015, respectively.

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 June 30, 2016 and December 31, 2015, 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. 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.




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 June 30, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at June 30, 2017
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty





Banks$17,816
$15,918
$571,921
$577,825
$10,015
$9,077
$336,802
$352,533
Broker-dealers4,473
5,254
144,346
139,533
3,030
3,252
91,096
100,526
Non-financial99
127
4,200
2,120
68
78
3,798
1,561
Insurance and other financial institutions11,056
12,467
414,821
351,932
10,868
13,039
439,354
390,472
Total by industry/counterparty$33,444
$33,766
$1,135,288
$1,071,410
$23,981
$25,446
$871,050
$845,092
By instrument





Credit default swaps and options$31,520
$31,321
$1,106,801
$1,057,519
$23,582
$23,970
$844,661
$835,627
Total return swaps and other1,924
2,445
28,487
13,891
399
1,476
26,389
9,465
Total by instrument$33,444
$33,766
$1,135,288
$1,071,410
$23,981
$25,446
$871,050
$845,092
By rating





Investment grade$13,072
$13,254
$859,824
$810,124
$10,740
$10,839
$654,355
$642,096
Non-investment grade20,372
20,512
275,464
261,286
13,241
14,607
216,695
202,996
Total by rating$33,444
$33,766
$1,135,288
$1,071,410
$23,981
$25,446
$871,050
$845,092
By maturity





Within 1 year$5,641
$6,412
$346,615
$328,419
$3,234
$4,172
$282,692
$281,166
From 1 to 5 years23,864
23,655
720,154
689,587
18,284
18,452
539,944
522,198
After 5 years3,939
3,699
68,519
53,404
2,463
2,822
48,414
41,728
Total by maturity$33,444
$33,766
$1,135,288
$1,071,410
$23,981
$25,446
$871,050
$845,092

(1)The fair value amount receivable is composed of $16,825$5,882 million under protection purchased and $16,619$18,099 million under protection sold.
(2)The fair value amount payable is composed of $17,966$19,750 million under protection purchased and $15,800$5,696 million under protection sold.
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, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty





Banks$18,377
$16,988
$513,335
$508,459
$11,895
$10,930
$407,992
$414,720
Broker-dealers5,895
6,697
155,195
152,604
3,536
3,952
115,013
119,810
Non-financial128
123
3,969
2,087
82
99
4,014
2,061
Insurance and other financial institutions11,317
10,923
332,715
287,772
9,308
10,844
375,454
322,829
Total by industry/counterparty$35,717
$34,731
$1,005,214
$950,922
$24,821
$25,825
$902,473
$859,420
By instrument





Credit default swaps and options$34,849
$34,158
$981,999
$940,650
$24,502
$24,631
$883,719
$852,900
Total return swaps and other868
573
23,215
10,272
319
1,194
18,754
6,520
Total by instrument$35,717
$34,731
$1,005,214
$950,922
$24,821
$25,825
$902,473
$859,420
By rating





Investment grade$12,694
$13,142
$764,040
$720,521
$9,605
$9,995
$675,138
$648,247
Non-investment grade23,023
21,589
241,174
230,401
15,216
15,830
227,335
211,173
Total by rating$35,717
$34,731
$1,005,214
$950,922
$24,821
$25,825
$902,473
$859,420
By maturity





Within 1 year$3,871
$3,559
$265,632
$254,225
$4,113
$4,841
$293,059
$287,262
From 1 to 5 years27,991
27,488
669,834
639,460
17,735
17,986
551,155
523,371
After 5 years3,855
3,684
69,748
57,237
2,973
2,998
58,259
48,787
Total by maturity$35,717
$34,731
$1,005,214
$950,922
$24,821
$25,825
$902,473
$859,420



(1)The fair value amount receivable is composed of $18,799$9,077 million under protection purchased and $16,918$15,744 million under protection sold.
(2)The fair value amount payable is composed of $17,531$17,110 million under protection purchased and $17,200$8,715 million under protection sold.


Fair values included in the above tables are prior to application of any netting agreements and cash collateral. For notional amounts, Citi generally has a mismatch between the total notional amounts of protection purchased and sold, and it may hold the reference assets directly, rather than entering into offsetting credit derivative contracts as and when desired. The open risk exposures from credit derivative contracts are largely matched after certain cash positions in reference assets are considered and after notional amounts are adjusted, either to a duration-based equivalent basis or to reflect the level of subordination in tranched structures. The ratings of the credit derivatives portfolio presented in the tables and used to evaluate payment/performance risk are based on the assigned internal or external ratings of the referenced asset or entity. Where external ratings are used, investment-grade ratings are considered to be ‘Baa/BBB’ and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system.
Citigroup evaluates the payment/performance risk of the credit derivatives for which it stands as a protection seller based on the credit rating assigned to the underlying referenced 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 referenced 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.

Credit-Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates. The fair value (excluding CVA) of all derivative instruments with credit-risk-related contingent features that were in a net liability position at both June 30, 20162017 and December 31, 20152016 was $29$32 billion and $22$26 billion, respectively. The Company had posted $25$28 billion and $19$26 billion as collateral for this exposure in the normal course of business as of June 30, 20162017 and December 31, 2015,2016, 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 June 30, 2016,2017, the Company could be required to post an additional $3.2$0.7 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$0.3 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $3.3$1.0 billion.

Derivatives Accompanied by Financial Asset Transfers
The Company executes total return swaps which 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 2015 Annual Report on Form 10-K, 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, where the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed in contemplation of the initial sale with the same counterparty and still outstanding as of June 30, 2016,2017, both the asset carrying amounts derecognized and gross cash proceeds received as of the date of derecognition were $1.3$2.1 billion. At June 30, 2016,2017, the fair value of these previously derecognized assets was $1.3 billion and the$2.3 billion. The fair value of the total return swaps was $21$14 million, recorded as gross derivative assets, and $30$28 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.




22.20.   FAIR VALUE MEASUREMENT
ASC 820-10 Fair Value Measurement, definesFor additional information regarding fair value establishes a consistent framework for measuring fair value and requires disclosures about fair value measurements. Fair value is defined asmeasurement at Citi, see Note 24 to the price that would be received to sell an asset or paid to transfer a liabilityConsolidated Financial Statements in an orderly transaction between market participants at the measurement date. Among other things, the standard requires the Company to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.
Under ASC 820-10, the probability of default of a counterparty is factored into the valuation of derivative and other positions as well as the impact of Citigroup’s own credit riskCiti’s 2016 Annual Report on derivatives and other liabilities measured at fair value.Form 10-K.

Fair Value Hierarchy
ASC 820-10 specifies a hierarchy of inputs based on whether the inputs are observable or unobservable. Observable inputs are developed using market data and reflect market participant assumptions, while unobservable inputs reflect the Company’s market assumptions. These two types of inputs have created the following fair value hierarchy:

Level 1: Quoted prices for identical instruments in active markets.
Level 2: Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs and significant value drivers are observable in active markets.
Level 3: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

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 cases where a market price is available, the
Company will make use of acceptable practical expedients (such as matrix pricing) to calculate fair value, in which case the items are classified as Level 2.
The Company may also apply a price-based methodology, which utilizes, where available, quoted prices or other market information obtained from recent trading activity in positions with the same or similar characteristics to the position being valued. The market activity and the amount of the bid-ask spread are among the factors considered in determining the liquidity of markets and the observability of prices from those markets. If relevant and observable prices are available, those valuations may be classified as Level 2. When less liquidity exists for a security or loan, a quoted price is stale, a significant adjustment to the price of a similar security is necessary to reflect differences in the terms of the actual security or loan being valued, or prices from independent sources are insufficient to corroborate the valuation, the “price” inputs are considered unobservable and the fair value measurements are classified as Level 3.
If quoted market prices are not available, fair value is based upon internally developed valuation techniques that use, where possible, current market-based parameters, such as interest rates, currency rates and option volatilities. Items valued using such internally generated valuation techniques are classified according to the lowest level input or value driver that is significant to the valuation. Thus, an item may be classified as Level 3 even though there may be some significant inputs that are readily observable.
Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors or brokers. Vendors’ and brokers’ valuations may be based on a variety of inputs ranging from observed prices to proprietary valuation models.
The following section describes the valuation methodologies used by the Company to measure various financial instruments at fair value, including an indication of the level in the fair value hierarchy in which each instrument is generally classified. Where appropriate, the description includes details of the valuation models, the key inputs to those models and any significant assumptions.

Market Valuation Adjustments
Generally,The table below summarizes the unit of account for a financial instrument is the individual financial instrument. The Company applies market valuation adjustments that are consistent with the unit of account, which does not include adjustment due to the size of the Company’s position, except as follows. ASC 820-10 permits an exception, through an accounting policy election, to measure the fair value of a portfolio of financial assets and financial liabilities on the basis of the net open risk position when certain criteria are met. Citi has elected to measure certain portfolios of financial instruments, such as derivatives, that meet those criteria on the basis of the net open risk position. The Company applies market valuation adjustments, including adjustments to account for the size of the net open risk position, consistent with market participant assumptions and in accordance with the unit of account.



Liquidity adjustments are applied to items in Level 2 or Level 3 of the fair-value hierarchy in an effort to ensure that the fair value reflects the price at which the position could be liquidated. The liquidity adjustment is based on the bid/offer spread for an instrument. When Citi has elected to measure certain portfolios of financial investments, such as derivatives, on the basis of the net open risk position, the liquidity adjustment may be adjusted to take into account the size of the position.
Creditcredit valuation adjustments (CVA) and funding valuation adjustments (FVA) are applied to over-the-counter (OTC) derivative instruments in which the base valuation generally discounts expected cash flows using the relevant base interest rate curve for the currency of the derivative (e.g., LIBOR for uncollateralized U.S.-dollar derivatives). As not all counterparties have the same credit risk as that implied by the relevant base curve, a CVA is necessary to incorporate the market view of both counterparty credit risk and Citi’s own credit risk in the valuation. FVA reflects a market funding risk premium inherent in the uncollateralized portion of derivative portfolios and in collateralized derivatives where the terms of the agreement do not permit the reuse of the collateral received.
Citi’s CVA and FVA methodology is composed of two 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 June 30, 20162017 and December 31, 2015:2016:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsJune 30,
2016		December 31,
2015		June 30,
2017		December 31,
2016
Counterparty CVA$(2,015)$(1,470)$(1,128)$(1,488)
Asset FVA(679)(584)(457)(536)
Citigroup (own-credit) CVA603
471
322
459
Liability FVA154
106
68
62
Total CVA—derivative instruments(1)
$(1,937)$(1,477)$(1,195)$(1,503)

(1)FVA is included with CVA for presentation purposes.

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
Credit/funding/debt valuation
adjustments gain (loss)
Credit/funding/debt valuation
adjustments gain (loss)
Three Months Ended June 30,Six Months Ended 
 June 30,		Three Months Ended June 30,Six Months Ended   June 30,
In millions of dollars20162015201620152017201620172016
Counterparty CVA$14
$(20)$(93)$(159)$80
$15
$170
$(93)
Asset FVA(15)94
(95)52
(13)(15)79
(95)
Own-credit CVA(13)20
121
(16)(53)(10)(125)124
Liability FVA18
(12)48
45
16
18
6
48
Total CVA—derivative instruments(1)
$4
$82
$(19)$(78)$30
$8
$130
$(16)
DVA related to own FVO liabilities (2)(1)
$20
$230
$327
$318
$(132)$20
$(227)$327
Total CVA and DVA(2)
$(102)$28
$(97)$311

(1)See Note 1 and Note 17 to the Consolidated Financial Statements.
(2)FVA is included with CVA for presentation purposes.
(2)Effective January 1, 2016, Citigroup early adopted on a prospective basis only the provisions of ASU No. 2016-01, Financial Instruments - Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, related to the presentation of DVA on fair value option liabilities. Accordingly, beginning in the first quarter 2016, the portion of the change in fair value of these liabilities related to changes in Citigroup’s own credit spreads (DVA) is reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s revenues and net income. DVA amounts in AOCI will be recognized in revenue and net income if realized upon the settlement of the related liability.




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.
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-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. 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 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 upon the observability of the significant inputs to the model.
The valuation techniques and inputs depend on the type of derivative and the nature of the underlying instrument. The principal techniques used to value these instruments are discounted cash flows and internal models, including Black-Scholes and Monte Carlo simulation.
The key inputs depend upon the type of derivative and the nature of the underlying instrument and include interest rate yield curves, foreign-exchange rates, volatilities and correlation. The Company uses overnight indexed swap (OIS) curves as fair value measurement inputs for the valuation of certain collateralized derivatives. Citi uses the relevant benchmark curve for the currency of the derivative (e.g., the London Interbank Offered Rate for U.S. dollar derivatives) as the discount rate for uncollateralized derivatives.
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 assets and liabilities—derivatives”) given the nature of the embedded risk profile. Such instruments are classified as Level 2 or Level 3 depending on the observability of significant inputs to the model.

Alt-A Mortgage Securities
The Company classifies its Alt-A mortgage securities as held-to-maturity, available-for-sale or trading investments. The securities classified as trading and available-for-sale are recorded at fair value with changes in fair value reported in current earnings and AOCI, respectively. For these purposes, Citi defines Alt-A mortgage securities as non-agency residential mortgage-backed securities (RMBS) where (i) the underlying collateral has weighted average FICO scores between 680 and 720 or (ii) for instances where FICO scores are greater than 720, RMBS have 30% or less of the underlying collateral composed of full documentation loans.
Similar to the valuation methodologies used for other trading securities and trading loans, the Company generally determines the fair values of Alt-A mortgage securities utilizing internal valuation techniques. Fair value estimates from internal valuation techniques are verified, where possible, to prices obtained from independent vendors.



Consensus data providers compile prices from various sources. Where available, the Company may also make use of quoted prices for recent trading activity in securities with the same or similar characteristics to the security being valued.
The valuation techniques used for Alt-A mortgage securities, as with other mortgage exposures, are price-based and yield analysis. The primary market-derived input is yield. Cash flows are based on current collateral performance with prepayment rates and loss projections reflective of current economic conditions of housing price change, unemployment rates, interest rates, borrower attributes and other market indicators.
Alt-A mortgage securities that are valued using these methods are generally classified as Level 2. However, Alt-A mortgage securities backed by Alt-A mortgages of lower quality or subordinated tranches in the capital structure are mostly classified as Level 3 due to the reduced liquidity that exists for such positions, which reduces the reliability of prices available from independent sources.




Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 20162017 and December 31, 2015.2016. 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) that have been may be
classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:



Fair Value Levels
In millions of dollars at June 30, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at June 30, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$171,688
$1,819
$173,507
$(28,691)$144,816
$—
$177,380
$1,002
$178,382
$(35,551)$142,831
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
26,832
730
27,562
—
27,562
—
24,863
204
25,067
—
25,067
Residential—
194
801
995
—
995
—
408
327
735
—
735
Commercial—
1,146
390
1,536
—
1,536
—
1,053
318
1,371
—
1,371
Total trading mortgage-backed securities$—
$28,172
$1,921
$30,093
$—
$30,093
$—
$26,324
$849
$27,173
$—
$27,173
U.S. Treasury and federal agency securities$21,287
$4,353
$3
$25,643
$—
$25,643
$20,339
$2,843
$—
$23,182
$—
$23,182
State and municipal—
3,062
117
3,179
—
3,179
—
3,297
284
3,581
—
3,581
Foreign government43,274
19,763
81
63,118
—
63,118
45,450
21,855
108
67,413
—
67,413
Corporate553
14,198
405
15,156
—
15,156
481
14,848
401
15,730
—
15,730
Equity securities41,219
1,818
3,970
47,007
—
47,007
42,333
6,133
240
48,706
—
48,706
Asset-backed securities—
870
2,670
3,540
—
3,540
—
2,098
1,570
3,668
—
3,668
Other trading assets(3)3
8,973
2,839
11,815
—
11,815
9
10,305
1,803
12,117
—
12,117
Total trading non-derivative assets$106,336
$81,209
$12,006
$199,551
$—
$199,551
$108,612
$87,703
$5,255
$201,570
$—
$201,570
Trading derivatives
  
  
Interest rate contracts$48
$562,908
$3,381
$566,337
  $149
$302,851
$1,700
$304,700
  
Foreign exchange contracts58
174,695
800
175,553
  38
145,190
587
145,815
  
Equity contracts2,672
21,520
1,323
25,515
  1,735
21,748
685
24,168
  
Commodity contracts175
11,290
952
12,417
  192
9,456
500
10,148
  
Credit derivatives—
29,847
3,085
32,932
  —
22,457
1,443
23,900
  
Total trading derivatives$2,953
$800,260
$9,541
$812,754
  $2,114
$501,702
$4,915
$508,731
  
Cash collateral paid(3)(4)
 $9,292
   $12,540
  
Netting agreements $(690,888)  $(424,492) 
Netting of cash collateral received (58,945)  (38,743) 
Total trading derivatives$2,953
$800,260
$9,541
$822,046
$(749,833)$72,213
$2,114
$501,702
$4,915
$521,271
$(463,235)$58,036
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$45,403
$94
$45,497
$—
$45,497
$—
$43,148
$50
$43,198
$—
$43,198
Residential—
5,040
25
5,065
—
5,065
—
3,164
—
3,164
—
3,164
Commercial—
361
5
366
—
366
—
357
—
357
—
357
Total investment mortgage-backed securities$—
$50,804
$124
$50,928
$—
$50,928
$—
$46,669
$50
$46,719
$—
$46,719
U.S. Treasury and federal agency securities$113,604
$11,961
$3
$125,568
$—
$125,568
$101,118
$11,479
$1
$112,598
$—
$112,598
State and municipal—
9,237
2,016
11,253
—
11,253
—
8,254
1,285
9,539
—
9,539
Foreign government44,585
49,113
141
93,839
—
93,839
56,320
45,104
358
101,782
—
101,782
Corporate4,607
15,520
460
20,587
—
20,587
2,045
13,902
156
16,103
—
16,103
Equity securities1,251
45
128
1,424
—
1,424
357
67
9
433
—
433
Asset-backed securities—
7,446
597
8,043
—
8,043
—
4,996
1,028
6,024
—
6,024
Other debt securities—
1,118
5
1,123
—
1,123
—
421
10
431
—
431
Non-marketable equity securities(4)(5)
—
47
1,139
1,186
—
1,186
—
29
939
968
—
968
Total investments$164,047
$145,291
$4,613
$313,951
$—
$313,951
$159,840
$130,921
$3,836
$294,597
$—
$294,597
Table continues on the next page.


In millions of dollars at June 30, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at June 30, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans(5)
$—
$2,900
$1,234
$4,134
$—
$4,134
$—
$3,639
$577
$4,216
$—
$4,216
Mortgage servicing rights—
—
1,324
1,324
—
1,324
—
—
560
560
—
560
Non-trading derivatives and other financial assets measured on a recurring basis, gross$—
$9,107
$111
$9,218
  $13,382
$6,587
$17
$19,986
  
Cash collateral paid(6)
 7
   —
  
Netting of cash collateral received $(1,793)  $(993) 
Non-trading derivatives and other financial assets measured on a recurring basis$—
$9,107
$111
$9,225
$(1,793)$7,432
$13,382
$6,587
$17
$19,986
$(993)$18,993
Total assets$273,336
$1,210,455
$30,648
$1,523,738
$(780,317)$743,421
$283,948
$907,932
$16,162
$1,220,582
$(499,779)$720,803
Total as a percentage of gross assets(7)
18.0%79.9%2.0%





23.5%75.2%1.3%





Liabilities    
Interest-bearing deposits$—
$1,038
$433
$1,471
$—
$1,471
$—
$1,040
$300
$1,340
$—
$1,340
Federal funds purchased and securities loaned or sold under agreements to repurchase—
73,728
1,107
74,835
(28,691)46,144
—
79,625
807
80,432
(35,551)44,881
Trading account liabilities    
Securities sold, not yet purchased62,396
9,595
12
72,003
—
72,003
72,044
10,339
1,143
83,526
—
83,526
Other trading liabilities—
1,100
—
1,100
—
1,100
—
2,282
—
2,282
—
2,282
Total trading liabilities$62,396
$10,695
$12
$73,103
$—
$73,103
$72,044
$12,621
$1,143
$85,808
$—
$85,808
Trading derivatives    
Interest rate contracts$20
$539,113
$3,755
$542,888
  $161
$288,045
$1,988
$290,194
  
Foreign exchange contracts10
170,081
829
170,920
  15
146,519
403
146,937
  
Equity contracts2,503
24,757
2,394
29,654
  1,725
24,947
2,332
29,004
  
Commodity contracts209
11,577
2,969
14,755
  120
9,897
2,524
12,541
  
Credit derivatives—
29,396
3,839
33,235
  —
22,314
2,782
25,096
  
Total trading derivatives$2,742
$774,924
$13,786
$791,452
  $2,021
$491,722
$10,029
$503,772
  
Cash collateral received(8)
 $16,592
   $14,227
  
Netting agreements $(690,888)  $(424,492) 
Netting of cash collateral paid (53,952)  (42,570) 
Total trading derivatives$2,742
$774,924
$13,786
$808,044
$(744,840)$63,204
$2,021
$491,722
$10,029
$517,999
$(467,062)$50,937
Short-term borrowings$—
$1,797
$53
$1,850
$—
$1,850
$—
$4,804
$29
$4,833
$—
$4,833
Long-term debt—
16,793
9,138
25,931
—
25,931
—
17,170
11,831
29,001
—
29,001
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$—
$2,897
$5
$2,902
  $13,382
$964
$2
$14,348
  
Cash collateral received(9)
 —
   43
  
Netting of cash collateral paid $(40)  $(56) 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$—
$2,897
$5
$2,902
$(40)$2,862
$13,382
$964
$2
$14,391
$(56)$14,335
Total liabilities$65,138
$881,872
$24,534
$988,136
$(773,571)$214,565
$87,447
$607,946
$24,141
$733,804
$(502,669)$231,135
Total as a percentage of gross liabilities(7)
6.7%90.8%2.5%  12.2%84.5%3.4%  

(1)For the three and six months ended June 30, 2016,2017, the Company transferred assets of approximately $0.7$1.9 billion and $0.9$2.9 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. During the three and six months ended June 30, 2016,2017, the Company transferred assets of approximately $1.0$0.9 billion and $2.3 billion from Level 2 to Level 1, respectively, primarily related to foreign government bonds traded with sufficient frequency to constitute an active market. During the three and six months ended June 30, 2016, thereThere were no material transfers of liabilities from Level 1 to 2 during the three months ended June 30, 2017. During the six months ended June 30, 2017, the Company transferred liabilities of approximately $0.1 billion from Level 1 to Level 2. There were no material transfers of liabilities from Level 2 orto Level 1 during the three months ended June 30, 2017. During the six months ended June 30, 2017, the Company transferred liabilities of approximately $0.1 billion from Level 2 to Level 1.
(2)Represents netting of:of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(4)Reflects the net amount of $63,244$55,110 million of gross cash collateral paid, of which $53,952$42,570 million was used to offset trading derivative liabilities.
(4)(5)
Amounts exclude $0.80.4 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).
(5)There is no allowance for loan losses recorded for loans reported at fair value.
(6)Reflects the net amount of $47$56 million of gross cash collateral paid, of which $40$56 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)Reflects the net amount of $75,537$52,970 million of gross cash collateral received, of which $58,945$38,743 million was used to offset trading derivative assets.
(9)Reflects the net amount of $1,793$1,036 million of gross cash collateral received, of which $1,793$993 million was used to offset non-trading derivative assets.


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, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$177,538
$1,337
$178,875
$(40,911)$137,964
$—
$172,394
$1,496
$173,890
$(40,686)$133,204
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
24,023
744
24,767
—
24,767
—
22,718
176
22,894
—
22,894
Residential—
1,059
1,326
2,385
—
2,385
—
291
399
690
—
690
Commercial—
2,338
517
2,855
—
2,855
—
1,000
206
1,206
—
1,206
Total trading mortgage-backed securities$—
$27,420
$2,587
$30,007
$—
$30,007
$—
$24,009
$781
$24,790
$—
$24,790
U.S. Treasury and federal agency securities$14,208
$3,587
$1
$17,796
$—
$17,796
$16,368
$4,811
$1
$21,180
$—
$21,180
State and municipal—
2,345
351
2,696
—
2,696
—
3,780
296
4,076
—
4,076
Foreign government35,715
20,555
197
56,467
—
56,467
32,164
17,492
40
49,696
—
49,696
Corporate302
13,901
376
14,579
—
14,579
424
14,199
324
14,947
—
14,947
Equity securities50,429
2,382
3,684
56,495
—
56,495
45,056
5,260
127
50,443
—
50,443
Asset-backed securities—
1,217
2,739
3,956
—
3,956
—
892
1,868
2,760
—
2,760
Other trading assets(3)—
9,293
2,483
11,776
—
11,776
—
9,466
2,814
12,280
—
12,280
Total trading non-derivative assets$100,654
$80,700
$12,418
$193,772
$—
$193,772
$94,012
$79,909
$6,251
$180,172
$—
$180,172
Trading derivatives    
Interest rate contracts$9
$412,802
$2,083
$414,894
  $105
$366,995
$2,225
$369,325
  
Foreign exchange contracts5
128,189
1,123
129,317
  53
184,776
833
185,662
  
Equity contracts2,422
17,866
1,597
21,885
  2,306
21,209
595
24,110
  
Commodity contracts204
16,706
1,100
18,010
  261
12,999
505
13,765
  
Credit derivatives—
31,082
3,793
34,875
  —
23,021
1,594
24,615
  
Total trading derivatives$2,640
$606,645
$9,696
$618,981
  $2,725
$609,000
$5,752
$617,477
  
Cash collateral paid(3)(4)
 $4,911
   $11,188
  
Netting agreements $(524,481)  $(519,000) 
Netting of cash collateral received (43,227)  (45,912) 
Total trading derivatives$2,640
$606,645
$9,696
$623,892
$(567,708)$56,184
$2,725
$609,000
$5,752
$628,665
$(564,912)$63,753
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$39,575
$139
$39,714
$—
$39,714
$—
$38,304
$101
$38,405
$—
$38,405
Residential—
5,982
4
5,986
—
5,986
—
3,860
50
3,910
—
3,910
Commercial—
569
2
571
—
571
—
358
—
358
—
358
Total investment mortgage-backed securities$—
$46,126
$145
$46,271
$—
$46,271
$—
$42,522
$151
$42,673
$—
$42,673
U.S. Treasury and federal agency securities$111,536
$11,375
$4
$122,915
$—
$122,915
$112,916
$10,753
$2
$123,671
$—
$123,671
State and municipal—
9,267
2,192
11,459
—
11,459
—
8,909
1,211
10,120
—
10,120
Foreign government42,073
46,341
260
88,674
—
88,674
54,028
43,934
186
98,148
—
98,148
Corporate3,605
15,122
603
19,330
—
19,330
3,215
13,598
311
17,124
—
17,124
Equity securities430
71
124
625
—
625
336
46
9
391
—
391
Asset-backed securities—
8,578
596
9,174
—
9,174
—
6,134
660
6,794
—
6,794
Other debt securities—
688
—
688
—
688
—
503
—
503
—
503
Non-marketable equity securities(4)(5)
—
58
1,135
1,193
—
1,193
—
35
1,331
1,366
—
1,366
Total investments$157,644
$137,626
$5,059
$300,329
$—
$300,329
$170,495
$126,434
$3,861
$300,790
$—
$300,790
Table continues on the next page.


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, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans(5)
$—
$2,839
$2,166
$5,005
$—
$5,005
$—
$2,918
$568
$3,486
$—
$3,486
Mortgage servicing rights—
—
1,781
1,781
—
1,781
—
—
1,564
1,564
—
1,564
Non-trading derivatives and other financial assets measured on a recurring basis, gross$—
$7,882
$180
$8,062
  $9,300
$7,732
$34
$17,066
  
Cash collateral paid(6)
 8
   8
  
Netting of cash collateral received $(1,949)  $(1,345) 
Non-trading derivatives and other financial assets measured on a recurring basis$—
$7,882
$180
$8,070
$(1,949)$6,121
$9,300
$7,732
$34
$17,074
$(1,345)$15,729
Total assets$260,938
$1,013,230
$32,637
$1,311,724
$(610,568)$701,156
$276,532
$998,387
$19,526
$1,305,641
$(606,943)$698,698
Total as a percentage of gross assets(7)
20.0%77.5%2.5%  21.4%77.1%1.5%  
Liabilities    
Interest-bearing deposits$—
$1,156
$434
$1,590
$—
$1,590
$—
$919
$293
$1,212
$—
$1,212
Federal funds purchased and securities loaned or sold under agreements to repurchase—
76,507
1,247
77,754
(40,911)36,843
—
73,500
849
74,349
(40,686)33,663
Trading account liabilities    
Securities sold, not yet purchased48,452
9,176
199
57,827
—
57,827
67,429
12,184
1,177
80,790
—
80,790
Other trading liabilities—
2,093
—
2,093
—
2,093
—
1,827
1
1,828
—
1,828
Total trading liabilities$48,452
$11,269
$199
$59,920
$—
$59,920
$67,429
$14,011
$1,178
$82,618
$—
$82,618
Trading account derivatives    
Interest rate contracts$5
$393,321
$2,578
$395,904
  $107
$351,766
$2,888
$354,761
  
Foreign exchange contracts6
133,404
503
133,913
  13
187,328
420
187,761
  
Equity contracts2,244
21,875
2,397
26,516
  2,245
22,119
2,152
26,516
  
Commodity contracts263
17,329
2,961
20,553
  196
12,386
2,450
15,032
  
Credit derivatives—
30,682
3,486
34,168
  —
22,842
2,595
25,437
  
Total trading derivatives$2,518
$596,611
$11,925
$611,054
  $2,561
$596,441
$10,505
$609,507
  
Cash collateral received(8)
 $13,628
   $15,731
  
Netting agreements $(524,481)  $(519,000) 
Netting of cash collateral paid (42,609)  (49,811) 
Total trading derivatives$2,518
$596,611
$11,925
$624,682
$(567,090)$57,592
$2,561
$596,441
$10,505
$625,238
$(568,811)$56,427
Short-term borrowings$—
$1,198
$9
$1,207
$—
$1,207
$—
$2,658
$42
$2,700
$—
$2,700
Long-term debt—
17,750
7,543
25,293
—
25,293
—
16,510
9,744
26,254
—
26,254
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$—
$1,626
$14
$1,640
  $9,300
$1,540
$8
$10,848
  
Cash collateral received(9)
 37
   1
  
Netting of cash collateral paid $(53)  $(53) 
Non-trading derivatives and other financial liabilities measured on a recurring basis$—
$1,626
$14
$1,677
$(53)$1,624
$9,300
$1,540
$8
$10,849
$(53)$10,796
Total liabilities$50,970
$706,117
$21,371
$792,123
$(608,054)$184,069
$79,290
$705,579
$22,619
$823,220
$(609,550)$213,670
Total as a percentage of gross liabilities(7)
6.5%90.7%2.7%  9.8%87.4%2.8%  

(1)In 2015,2016, the Company transferred assets of approximately $3.3$2.6 billion from Level 1 to Level 2, respectively, primarily related to foreign government securities and equity securities not traded in active markets. In 2015,2016, the Company transferred assets of approximately $4.4$4.0 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 2015,2016, the Company transferred liabilities of approximately $0.6$0.4 billion from Level 2 to Level 1. In 2015,2016, the Company transferred liabilities of approximately $0.4$0.3 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; and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)Includes positions related to investments in unallocated precious metals, as discussed in Note 21 to the Consolidated Financial Statements. Also includes physical commodities accounted for at the lower of cost or fair value and unfunded credit products.
(4)Reflects the net amount of $47,520$60,999 million of gross cash collateral paid, of which $42,609$49,811 million was used to offset trading derivative liabilities.
(4)(5)
Amounts exclude $0.90.4 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).
(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)Reflects the net amount of $56,855$61,643 million of gross cash collateral received, of which $43,227$45,912 million was used to offset trading derivative assets.
(9)Reflects the net amount of $1,986$1,346 million of gross cash collateral received, of which $1,949$1,345 million was used to offset non-trading derivative assets.


Changes in Level 3 Fair Value Category
The following tables present the changes in the Level 3 fair value category for the three and six months ended June 30, 20162017 and 2015. As discussed above, the Company classifies financial instruments as Level 3 of the fair value hierarchy when there is reliance on at least one significant unobservable input to the valuation model. In addition to these unobservable inputs, the valuation models for Level 3 financial instruments typically also rely on a number of inputs that are readily observable either directly or indirectly.2016. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3
category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that have beenmay be classified by the Company in the Level 1 andor 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) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016Mar. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$1,909
$(62)$—
$—
$(28)$—
$—
$—
$—
$1,819
$(54)$1,187
$54
$—
$—
$(239)$—
$—
$—
$—
$1,002
$—
Trading non-derivative assets      
Trading mortgage-backed securities   
Trading mortgage-
backed securities
   
U.S. government-sponsored agency guaranteed1,039
—
—
83
(362)405
—
(443)8
730
—
271
(1)—
29
(48)103
—
(150)—
204
—
Residential1,192
(61)—
25
(44)46
—
(351)(6)801
(72)368
22
—
30
(20)16
—
(89)—
327
19
Commercial581
4
—
123
(75)107
—
(350)—
390
(5)266
5
—
27
(16)244
—
(208)—
318
(3)
Total trading mortgage-backed securities$2,812
$(57)$—
$231
$(481)$558
$—
$(1,144)$2
$1,921
$(77)
Total trading mortgage-
backed securities
$905
$26
$—
$86
$(84)$363
$—
$(447)$—
$849
$16
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$—
$—
$3
$—
$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
State and municipal209
1
—
5
(57)65
—
(106)—
117
(2)270
3
—
22
(1)7
—
(17)—
284
(1)
Foreign government219
(7)—
—
(13)34
—
(152)—
81
(2)126
3
—
6
(77)83
—
(33)—
108
1
Corporate477
272
—
35
(60)165
—
(479)(5)405
77
296
124
—
89
(21)158
—
(245)—
401
132
Equity securities3,755
(491)—
174
(26)670
—
(112)—
3,970
(438)110
14
—
130
(1)2
—
(15)—
240
13
Asset-backed securities2,814
6
—
40
(181)694
—
(703)—
2,670
5
1,941
(23)—
3
(65)313
—
(599)—
1,570
(19)
Other trading assets2,574
(89)—
680
(869)1,074
(13)(509)(9)2,839
(125)1,888
(43)—
222
(243)366
—
(383)(4)1,803
(17)
Total trading non-derivative assets$12,863
$(365)$—
$1,165
$(1,687)$3,260
$(13)$(3,205)$(12)$12,006
$(562)
Total trading non-
derivative assets
$5,537
$104
$—
$558
$(492)$1,292
$—
$(1,740)$(4)$5,255
$125
Trading derivatives, net(4)
      
Interest rate contracts$(755)$182
$—
$144
$(51)$137
$(18)$(100)$87
$(374)$136
$(773)$(155)$—
$10
$632
$59
$—
$(92)$31
$(288)$(60)
Foreign exchange contracts295
(324)—
1
(90)89
—
(52)52
(29)(428)48
93
—
(2)(39)4
—
(2)82
184
88
Equity contracts(876)76
—
(11)(284)22
38
(12)(24)(1,071)108
(1,524)(101)—
18
42
64
—
(113)(33)(1,647)(158)
Commodity contracts(1,949)(139)—
3
(36)356
—
(352)100
(2,017)(122)(2,074)(153)—
12
51
—
—
—
140
(2,024)(152)
Credit derivatives(321)(637)—
(33)(52)41
—
—
248
(754)(603)(1,123)(293)—
(44)(16)(2)—
2
137
(1,339)(325)
Total trading derivatives, net(4)
$(3,606)$(842)$—
$104
$(513)$645
$20
$(516)$463
$(4,245)$(909)$(5,446)$(609)$—
$(6)$670
$125
$—
$(205)$357
$(5,114)$(607)
Table continues on the next page.


  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$111
$—
$6
$5
$(23)$1
$—
$(6)$—
$94
$1
Residential—
—
—
—
—
25
—
—
—
25
—
Commercial3
—
—
3
(1)—
—
—
—
5
—
Total investment mortgage-backed securities$114
$—
$6
$8
$(24)$26
$—
$(6)$—
$124
$1
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$—
$—
$3
$—
State and municipal2,098
—
127
130
(374)89
—
(54)—
2,016
99
Foreign government175
—
17
—
—
41
—
(89)(3)141
—
Corporate498
—
31
—
(8)93
—
(154)—
460
(5)
Equity securities126
—
—
2
—
—
—
—
—
128
—
Asset-backed securities701
—
61
—
(22)72
—
(215)—
597
51
Other debt securities—
—
—
—
—
5
—
—
—
5
—
Non-marketable equity securities1,165
—
26
13
—
6
—
—
(71)1,139
26
Total investments$4,880
$—
$268
$153
$(428)$332
$—
$(518)$(74)$4,613
$172
Loans$1,723
$—
$19
$—
$—
$211
$58
$(297)$(480)$1,234
$(34)
Mortgage servicing rights1,524
—
(137)—
—
—
35
—
(98)1,324
(154)
Other financial assets measured on a recurring basis57
—
16
37
(2)—
67
(4)(60)111
(61)
Liabilities           
Interest-bearing deposits$191
$—
$39
$318
$—
$—
$1
$—
$(38)$433
$39
Federal funds purchased and securities loaned or sold under agreements to repurchase1,238
4
—
—
—
—
—
—
(127)1,107
4
Trading account liabilities           
Securities sold, not yet purchased118
(11)—
38
(18)(61)(41)34
(69)12
(30)
Short-term borrowings46
(24)—
12
—
—
7
—
(36)53
(15)
Long-term debt8,736
(48)—
712
(756)—
990
61
(653)9,138
(48)
Other financial liabilities measured on a recurring basis14
—
1
—
(6)(2)1
—
(1)5
(1)







  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$1,337
$8
$—
$—
$(28)$503
$—
$—
$(1)$1,819
$(55)
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed744
12
—
418
(582)761
—
(634)11
730
(3)
Residential1,326
(12)—
129
(87)257
—
(806)(6)801
(40)
Commercial517
13
—
179
(102)352
—
(569)—
390
(13)
Total trading mortgage-backed securities$2,587
$13
$—
$726
$(771)$1,370
$—
$(2,009)$5
$1,921
$(56)
U.S. Treasury and federal agency securities$1
$—
$—
$2
$—
$—
$—
$—
$—
$3
$(1)
State and municipal351
8
—
18
(216)168
—
(212)—
117
(1)
Foreign government197
(8)—
2
(17)75
—
(168)—
81
1
Corporate376
284
—
80
(76)334
—
(588)(5)405
89
Equity securities3,684
(535)—
267
(60)749
—
(135)—
3,970
(474)
Asset-backed securities2,739
134
—
157
(195)1,186
—
(1,351)—
2,670
29
Other trading assets2,483
(116)—
1,458
(1,482)1,357
(2)(840)(19)2,839
(223)
Total trading non-derivative assets$12,418
$(220)$—
$2,710
$(2,817)$5,239
$(2)$(5,303)$(19)$12,006
$(636)
Trading derivatives, net(4)






















Interest rate contracts(495)(326)—
309
39
142
(18)(103)78
(374)(154)
Foreign exchange contracts620
(677)—
4
(60)106
—
(91)69
(29)(572)
Equity contracts(800)108
—
64
(428)46
38
(71)(28)(1,071)107
Commodity contracts(1,861)(281)—
(49)(26)356
—
(352)196
(2,017)(288)
Credit derivatives307
(1,152)—
(114)(23)42
—
—
186
(754)(1,086)
Total trading derivatives, net(4)
$(2,229)$(2,328)$—
$214
$(498)$692
$20
$(617)$501
$(4,245)$(1,993)


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016Mar.31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017
Investments  
Mortgage-backed securities  
U.S. government-sponsored agency guaranteed$139
$—
$(25)$12
$(62)$40
$—
$(9)$(1)$94
$41
$55
$—
$1
$—
$(6)$—
$—
$—
$—
$50
$—
Residential4
—
1
—
—
25
—
(5)—
25
—
—
—
—
—
—
—
—
—
—
—
—
Commercial2
—
—
6
(3)—
—
—
—
5
—
—
—
—
—
—
—
—
—
—
—
—
Total investment mortgage-backed securities$145
$—
$(24)$18
$(65)$65
$—
$(14)$(1)$124
$41
$55
$—
$1
$—
$(6)$—
$—
$—
$—
$50
$—
U.S. Treasury and federal agency securities$4
$—
$—
$—
$—
$—
$—
$(1)$—
$3
$—
$1
$—
$—
$—
$—
$—
$—
$—
$—
$1
$—
State and municipal2,192
—
162
391
(783)240
—
(186)—
2,016
118
1,233
—
27
12
(3)22
—
(6)—
1,285
28
Foreign government260
—
19
33
—
103
—
(271)(3)141
(106)235
—
10
—
(1)191
—
(77)—
358
7
Corporate603
—
45
5
(45)94
—
(242)—
460
(1)339
—
(137)5
—
92
—
(143)—
156
9
Equity securities124
—
—
4
—
—
—
—
—
128
—
9
—
—
—
—
—
—
—
—
9
—
Asset-backed securities596
—
35
—
(23)204
—
(215)—
597
24
712
—
173
4
(13)334
—
(182)—
1,028
171
Other debt securities—
—
—
—
—
5
—
—
—
5
—
—
—
—
—
—
10
—
—
—
10
—
Non-marketable equity securities1,135
—
24
51
—
18
—
—
(89)1,139
20
1,082
—
31
2
—
1
—
(154)(23)939
66
Total investments$5,059
$—
$261
$502
$(916)$729
$—
$(929)$(93)$4,613
$96
$3,666
$—
$105
$23
$(23)$650
$—
$(562)$(23)$3,836
$281
Loans$2,166
$—
$(58)$89
$(538)$570
$219
$(675)$(539)$1,234
$(63)$580
$—
$(12)$15
$—
$30
$—
$(33)$(3)$577
$42
Mortgage servicing rights$1,781
$—
$(362)$—
$—
$—
$68
$14
$(177)$1,324
$(154)$567
$—
$(11)$—
$—
$—
$21
$—
$(17)$560
$3
Other financial assets measured on a recurring basis$180
$—
$33
$40
$(5)$—
$130
$(124)$(143)$111
$(277)$27
$—
$29
$—
$(7)$—
$27
$(4)$(55)$17
$26
Liabilities 
Interest-bearing deposits$434
$—
$35
$322
$(209)$—
$5
$—
$(84)$433
$39
$302
$—
$—
$20
$—
$—
$—
$—
$(22)$300
$5
Federal funds purchased and securities loaned or sold under agreements to repurchase1,247
(21)—
—
—
—
—
16
(177)1,107
(25)809
2
—
—
—
—
—
—
—
807
2
Trading account liabilities 
Securities sold, not yet purchased199
14
—
97
(43)(61)(41)70
(195)12
(29)1,151
(60)—
2
(29)—
—
76
(117)1,143
5
Short-term borrowings9
(27)—
17
(4)—
41
—
(37)53
(19)60
40
—
1
—
—
8
—
—
29
11
Long-term debt7,543
(26)—
1,221
(1,843)—
2,872
61
(742)9,138
(86)10,176
(618)—
321
(558)—
1,353
—
(79)11,831
(73)
Other financial liabilities measured on a recurring basis14
—
(7)—
(10)(6)2
—
(2)5
(3)4
—
2
—
—
—
1
—
(1)2
2

(1)
Changes in fair value for available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income. Effective 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 Accumulated other comprehensive income (AOCI).
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and 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 June 30, 2016.2017.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.




 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2015Dec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017
Assets      
Federal funds sold and securities borrowed or purchased under agreements to resell$4,022
$(95)$—
$—
$(2,756)$20
$—
$—
$(121)$1,070
$—
$1,496
$(2)$—
$—
$(491)$—
$—
$—
$(1)$1,002
$—
Trading non-derivative assets      
Trading mortgage-backed securities      
U.S. government-sponsored agency guaranteed$818
$26
$—
$188
$(340)$172
$—
$(267)$14
$611
$7
176
4
—
79
(65)264
—
(254)—
204
1
Residential2,130
129
—
133
(66)631
—
(751)—
2,206
14
399
37
—
47
(49)66
—
(173)—
327
29
Commercial599
(2)—
68
(65)92
—
(324)—
368
(1)206
(3)—
44
(29)434
—
(334)—
318
(10)
Total trading mortgage-backed securities$3,547
$153
$—
$389
$(471)$895
$—
$(1,342)$14
$3,185
$20
$781
$38
$—
$170
$(143)$764
$—
$(761)$—
$849
$20
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$1
$—
$—
$—
$—
$—
$—
$(1)$—
$—
$—
State and municipal247
(2)—
13
—
—
—
(9)—
249
1
296
5
—
24
(48)88
—
(81)—
284
2
Foreign government115
—
—
—
(8)39
—
(59)(5)82
(2)40
7
—
84
(90)127
—
(60)—
108
8
Corporate767
128
—
41
(26)164
—
(355)(11)708
(45)324
215
—
116
(73)276
—
(457)—
401
177
Equity securities2,598
(25)—
38
(173)360
—
(57)—
2,741
66
127
29
—
132
(13)9
—
(44)—
240
21
Asset-backed securities3,553
106
—
505
(81)1,696
—
(1,543)—
4,236
181
1,868
137
—
23
(81)704
—
(1,081)—
1,570
52
Other trading assets4,393
201
—
107
(1,536)630
19
(704)(12)3,098
29
2,814
(50)—
432
(774)653
1
(1,258)(15)1,803
(38)
Total trading non-derivative assets$15,220
$561
$—
$1,093
$(2,295)$3,784
$19
$(4,069)$(14)$14,299
$250
$6,251
$381
$—
$981
$(1,222)$2,621
$1
$(3,743)$(15)$5,255
$242
Trading derivatives, net(4)
      
Interest rate contracts(334)(358)—
(2)(46)12
—
169
136
(423)(152)$(663)$(192)$—
$(28)$651
$65
$—
$(205)$84
$(288)$(12)
Foreign exchange contracts646
(123)—
(42)(85)83
—
(83)(5)391
(153)413
(297)—
53
(59)38
—
(34)70
184
43
Equity contracts(774)351
—
—
15
61
—
(75)67
(355)(70)(1,557)(103)—
18
26
149
—
(137)(43)(1,647)(139)
Commodity contracts(1,729)(56)—
1
(6)—
—
—
63
(1,727)89
(1,945)(328)—
58
49
—
—
—
142
(2,024)(358)
Credit derivatives(663)(24)—
(51)(45)—
—
(3)212
(574)(228)(1,001)(385)—
(68)(24)(2)—
2
139
(1,339)(745)
Total trading derivatives, net(4)
$(2,854)$(210)$—
$(94)$(167)$156
$—
$8
$473
$(2,688)$(514)$(4,753)$(1,305)$—
$33
$643
$250
$—
$(374)$392
$(5,114)$(1,211)
Investments      
Mortgage-backed securities      
U.S. government-sponsored agency guaranteed$70
$—
$1
$59
$(33)$—
$—
$(1)$—
$96
$1
$101
$—
$3
$1
$(55)$—
$—
$—
$—
$50
$2
Residential10
—
(3)—
—
11
—
(8)—
10
—
50
—
2
—
(47)—
—
(5)—
—
—
Commercial2
—
—
—
(2)—
—
—
—
—
—
—
—
—
—
—
8
—
(8)—
—
—
Total investment mortgage-backed securities$82
$—
$(2)$59
$(35)$11
$—
$(9)$—
$106
$1
$151
$—
$5
$1
$(102)$8
$—
$(13)$—
$50
$2
U.S. Treasury and federal agency securities$5
$—
$—
$—
$—
$—
$—
$—
$—
$5
$—
$2
$—
$—
$—
$—
$—
$—
$(1)$—
$1
$—
State and municipal2,247
—
(39)54
(99)166
—
(176)—
2,153
(43)1,211
—
39
49
(33)76
—
(57)—
1,285
35
Foreign government575
—
(3)(8)—
310
—
(223)(158)493
4
186
—
11
2
(19)333
—
(155)—
358
7
Corporate584
—
72
—
(3)55
—
(9)(1)698
—
311
—
(135)64
(4)183
—
(263)—
156
9
Equity securities519
—
2
—
(7)—
—
(31)—
483
(1)9
—
—
—
—
—
—
—
—
9
—
Asset-backed securities517
—
20
—
(48)14
—
—
—
503
22
660
—
182
21
(13)360
—
(182)—
1,028
171
Other debt securities—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
—
21
—
(11)—
10
—
Non-marketable equity securities1,289
—
(53)75
(6)4
—
(53)(18)1,238
11
1,331
—
(63)2
—
9
—
(227)(113)939
79
Total investments$5,818
$—
$(3)$180
$(198)$560
$—
$(501)$(177)$5,679
$(6)$3,861
$—
$39
$139
$(171)$990
$—
$(909)$(113)$3,836
$303
Table continues on the next page.


  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2015
Loans$3,906
$—
$(20)$—
$(85)$365
$42
$(278)$(90)$3,840
$26
Mortgage servicing rights1,685
—
270
—
—
—
68
(9)(90)1,924
(77)
Other financial assets measured on a recurring basis148
—
10
14
(5)—
38
(9)(57)139
348
Liabilities           
Interest-bearing deposits$465
$—
$101
$—
$—
$—
$—
$—
$(17)$347
$(164)
Federal funds purchased and securities loaned or sold under agreements to repurchase1,060
29
—
—
—
—
—
(8)(58)965
25
Trading account liabilities           
Securities sold, not yet purchased223
(12)—
105
(144)—
—
87
(26)257
(38)
Short-term borrowings120
17
—
16
(3)—
33
—
(16)133
(1)
Long-term debt7,196
82
—
374
(1,091)—
1,452
—
(184)7,665
213
Other financial liabilities measured on a recurring basis8
—
(4)—
(4)(1)2
—
(5)4
(4)


  Net realized/unrealized
gains (losses) incl. 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		PurchasesIssuancesSalesSettlementsJun. 30, 2015
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$3,398
$(135)$—
$—
$(2,856)$784
$—
$—
$(121)$1,070
$—
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed1,085
29
—
482
(850)339
—
(488)14
611
5
Residential2,680
206
—
178
(282)1,129
—
(1,705)—
2,206
(91)
Commercial440
13
—
156
(78)412
—
(575)—
368
(8)
Total trading mortgage-backed securities$4,205
$248
$—
$816
$(1,210)$1,880
$—
$(2,768)$14
$3,185
$(94)
U.S. Treasury and federal agency securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal241
(10)—
27
(7)9
—
(11)—
249
2
Foreign government206
(3)—
27
(100)105
—
(99)(54)82
4
Corporate820
204
—
54
(85)511
—
(785)(11)708
48
Equity securities2,219
(46)—
162
(188)742
—
(148)—
2,741
55
Asset-backed securities3,294
233
—
570
(115)2,759
—
(2,505)—
4,236
179
Other trading assets4,372
60
—
317
(1,928)1,632
32
(1,367)(20)3,098
15
Total trading non-derivative assets$15,357
$686
$—
$1,973
$(3,633)$7,638
$32
$(7,683)$(71)$14,299
$209
Trading derivatives, net(4)
           
Interest rate contracts$(211)$(428)$—
$(136)$(39)$18
$—
$166
$207
$(423)$(58)
Foreign exchange contracts778
(424)—
(1)(81)174
—
(178)123
391
(63)
Equity contracts(863)322
—
(23)116
150
—
(140)83
(355)(166)
Commodity contracts(1,622)(390)—
183
10
—
—
—
92
(1,727)(158)
Credit derivatives(743)(122)—
31
8
—
—
(3)255
(574)(191)
Total trading derivatives, net(4)
$(2,661)$(1,042)$—
$54
$14
$342
$—
$(155)$760
$(2,688)$(636)
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$38
$—
$—
$104
$(45)$—
$—
$(1)$—
$96
$(1)
Residential8
—
(1)—
—
11
—
(8)—
10
1
Commercial1
—
—
2
(3)—
—
—
—
—
—
Total investment mortgage-backed securities$47
$—
$(1)$106
$(48)$11
$—
$(9)$—
$106
$—
U.S. Treasury and federal agency securities$6
$—
$—
$—
$—
$—
$—
$(1)$—
$5
$—
State and municipal2,180
—
(7)159
(238)399
—
(340)—
2,153
(31)
Foreign government678
—
48
(8)(105)484
—
(334)(270)493
5
Corporate672
—
46
2
(44)69
—
(13)(34)698
—
Equity securities681
—
(86)7
(10)—
—
(109)—
483
—
Asset-backed securities549
—
(20)—
(58)33
—
(1)—
503
22
Other debt securities—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities1,460
—
(10)75
6
4
—
(53)(244)1,238
74
Total investments$6,273
$—
$(30)$341
$(497)$1,000
$—
$(860)$(548)$5,679
$70


 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. 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		PurchasesIssuancesSalesSettlementsJun. 30, 2015Dec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2017
Loans$3,108
$—
$(74)$689
$(85)$574
$363
$(375)$(360)$3,840
$29
$568
$—
$(16)$80
$(16)$42
$—
$(76)$(5)$577
$58
Mortgage servicing rights1,845
—
193
—
—
—
111
(41)(184)1,924
(390)1,564
—
56
—
—
—
56
(1,046)(70)560
(40)
Other financial assets measured on a recurring basis78
—
16
80
(7)3
98
(14)(115)139
596
34
—
(160)3
(8)—
260
(4)(108)17
(184)
Liabilities      
Interest-bearing deposits$486
$—
$101
$—
$—
$—
$—
$—
$(38)$347
$(265)$293
$—
$11
$40
$—
$—
$—
$—
$(22)$300
$31
Federal funds purchased and securities loaned or sold under agreements to repurchase1,043
(23)—
—
—
—
—
(7)(94)965
15
849
8
—
—
—
—
—
—
(34)807
8
Trading account liabilities      
Securities sold, not yet purchased424
(22)—
197
(187)—
—
157
(356)257
(50)1,177
(6)—
13
(43)—
—
177
(187)1,143
(3)
Short-term borrowings344
10
—
17
(15)—
49
—
(252)133
(3)42
31
—
1
—
—
19
—
(2)29
5
Long-term debt7,290
368
—
1,086
(2,038)—
2,401
—
(706)7,665
(17)9,744
(601)—
521
(967)—
2,282
—
(350)11,831
(747)
Other financial liabilities measured on a recurring basis7
—
(7)—
(4)(2)2
—
(6)4
(3)8
—
—
—
—
(1)2
—
(7)2
—
(1)
Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and 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 June 30, 2015.2016.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.


  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$1,909
$(62)$—
$—
$(28)$—
$—
$—
$—
$1,819
$(54)
Trading non-derivative assets                     
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed1,039
—
—
83
(362)405
—
(443)8
730
—
Residential1,192
(61)—
25
(44)46
—
(351)(6)801
(72)
Commercial581
4
—
123
(75)107
—
(350)—
390
(5)
Total trading mortgage-backed securities$2,812
$(57)$—
$231
$(481)$558
$—
$(1,144)$2
$1,921
$(77)
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$—
$—
$3
$—
State and municipal209
1
—
5
(57)65
—
(106)—
117
(2)
Foreign government219
(7)—
—
(13)34
—
(152)—
81
(2)
Corporate477
272
—
35
(60)165
—
(479)(5)405
77
Equity securities3,755
(491)—
174
(26)670
—
(112)—
3,970
(438)
Asset-backed securities2,814
6
—
40
(181)694
—
(703)—
2,670
5
Other trading assets2,574
(89)—
680
(869)1,074
(13)(509)(9)2,839
(125)
Total trading non-derivative assets$12,863
$(365)$—
$1,165
$(1,687)$3,260
$(13)$(3,205)$(12)$12,006
$(562)
Trading derivatives, net(4)
           
Interest rate contracts$(755)$182
$—
$144
$(51)$137
$(18)$(100)$87
$(374)$136
Foreign exchange contracts295
(324)—
1
(90)89
—
(52)52
(29)(428)
Equity contracts(876)76
—
(11)(284)22
38
(12)(24)(1,071)108
Commodity contracts(1,949)(139)—
3
(36)356
—
(352)100
(2,017)(122)
Credit derivatives(321)(637)—
(33)(52)41
—
—
248
(754)(603)
Total trading derivatives, net(4)
$(3,606)$(842)$—
$104
$(513)$645
$20
$(516)$463
$(4,245)$(909)
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$111
$—
$6
$5
$(23)$1
$—
$(6)$—
$94
$1
Residential—
—
—
—
—
25
—
—
—
25
—
Commercial3
—
—
3
(1)—
—
—
—
5
—
Total investment mortgage-backed securities$114
$—
$6
$8
$(24)$26
$—
$(6)$—
$124
$1
U.S. Treasury and federal agency securities$3
$—
$—
$—
$—
$—
$—
$—
$—
$3
$—
State and municipal2,098
—
127
130
(374)89
—
(54)—
2,016
99
Foreign government175
—
17
—
—
41
—
(89)(3)141
—
Corporate498
—
31
—
(8)93
—
(154)—
460
(5)
Equity securities126
—
—
2
—
—
—
—
—
128
—
Asset-backed securities701
—
61
—
(22)72
—
(215)—
597
51
Other debt securities—
—
—
—
—
5
—
—
—
5
—
Non-marketable equity securities1,165
—
26
13
—
6
—
—
(71)1,139
26
Total investments$4,880
$—
$268
$153
$(428)$332
$—
$(518)$(74)$4,613
$172


  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsMar. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016
Loans$1,723
$—
$19
$—
$—
$211
$58
$(297)$(480)$1,234
$(34)
Mortgage servicing rights1,524
—
(137)—
—
—
35
—
(98)1,324
(154)
Other financial assets measured on a recurring basis57
—
16
37
(2)—
67
(4)(60)111
(61)
Liabilities           
Interest-bearing deposits$191
$—
$39
$318
$—
$—
$1
$—
$(38)$433
$39
Federal funds purchased and securities loaned or sold under agreements to repurchase1,238
4
—
—
—
—
—
—
(127)1,107
4
Trading account liabilities           
Securities sold, not yet purchased118
(11)—
38
(18)(61)(41)34
(69)12
(30)
Short-term borrowings46
(24)—
12
—
—
7
—
(36)53
(15)
Long-term debt8,736
(48)—
712
(756)—
990
61
(653)9,138
(48)
Other financial liabilities measured on a recurring basis14
—
1
—
(6)(2)1
—
(1)5
(1)


  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$1,337
$8
$—
$—
$(28)$503
$—
$—
$(1)$1,819
$(55)
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed744
12
—
418
(582)761
—
(634)11
730
(3)
Residential1,326
(12)—
129
(87)257
—
(806)(6)801
(40)
Commercial517
13
—
179
(102)352
—
(569)—
390
(13)
Total trading mortgage-backed securities$2,587
$13
$—
$726
$(771)$1,370
$—
$(2,009)$5
$1,921
$(56)
U.S. Treasury and federal agency securities$1
$—
$—
$2
$—
$—
$—
$—
$—
$3
$(1)
State and municipal351
8
—
18
(216)168
—
(212)—
117
(1)
Foreign government197
(8)—
2
(17)75
—
(168)—
81
1
Corporate376
284
—
80
(76)334
—
(588)(5)405
89
Equity securities3,684
(535)—
267
(60)749
—
(135)—
3,970
(474)
Asset-backed securities2,739
134
—
157
(195)1,186
—
(1,351)—
2,670
29
Other trading assets2,483
(116)—
1,458
(1,482)1,357
(2)(840)(19)2,839
(223)
Total trading non-derivative assets$12,418
$(220)$—
$2,710
$(2,817)$5,239
$(2)$(5,303)$(19)$12,006
$(636)
Trading derivatives, net(4)
           
Interest rate contracts$(495)$(326)$—
$309
$39
$142
$(18)$(103)$78
$(374)$(154)
Foreign exchange contracts620
(677)—
4
(60)106
—
(91)69
(29)(572)
Equity contracts(800)108
—
64
(428)46
38
(71)(28)(1,071)107
Commodity contracts(1,861)(281)—
(49)(26)356
—
(352)196
(2,017)(288)
Credit derivatives307
(1,152)—
(114)(23)42
—
—
186
(754)(1,086)
Total trading derivatives, net(4)
$(2,229)$(2,328)$—
$214
$(498)$692
$20
$(617)$501
$(4,245)$(1,993)
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$139
$—
$(25)$12
$(62)$40
$—
$(9)$(1)$94
$41
Residential4
—
1
—
—
25
—
(5)—
25
—
Commercial2
—
—
6
(3)—
—
—
—
5
—
Total investment mortgage-backed securities$145
$—
$(24)$18
$(65)$65
$—
$(14)$(1)$124
$41
U.S. Treasury and federal agency securities$4
$—
$—
$—
$—
$—
$—
$(1)$—
$3
$—
State and municipal2,192
—
162
391
(783)240
—
(186)—
2,016
118
Foreign government260
—
19
33
—
103
—
(271)(3)141
(106)
Corporate603
—
45
5
(45)94
—
(242)—
460
(1)
Equity securities124
—
—
4
—
—
—
—
—
128
—
Asset-backed securities596
—
35
—
(23)204
—
(215)—
597
24
Other debt securities—
—
—
—
—
5
—
—
—
5
—
Non-marketable equity securities1,135
—
24
51
—
18
—
—
(89)1,139
20
Total investments$5,059
$—
$261
$502
$(916)$729
$—
$(929)$(93)$4,613
$96


  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsJun. 30, 2016
Loans$2,166
$—
$(58)$89
$(538)$570
$219
$(675)$(539)$1,234
$(63)
Mortgage servicing rights1,781
—
(362)—
—
—
68
14
(177)1,324
(154)
Other financial assets measured on a recurring basis180
—
33
40
(5)—
130
(124)(143)111
(277)
Liabilities           
Interest-bearing deposits$434
$—
$35
$322
$(209)$—
$5
$—
$(84)$433
$39
Federal funds purchased and securities loaned or sold under agreements to repurchase1,247
(21)—
—
—
—
—
16
(177)1,107
(25)
Trading account liabilities           
Securities sold, not yet purchased199
14
—
97
(43)(61)(41)70
(195)12
(29)
Short-term borrowings9
(27)—
17
(4)—
41
—
(37)53
(19)
Long-term debt7,543
(26)—
1,221
(1,843)—
2,872
61
(742)9,138
(86)
Other financial liabilities measured on a recurring basis14
—
(7)—
(10)(6)2
—
(2)5
(3)
(1)
Changes in fair value of available-for-sale investments are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments on the Consolidated Statement of Income.
(2)
Unrealized gains (losses) on MSRs are recorded in Other revenue on the Consolidated Statement of Income.
(3)Represents the amount of total gains or losses for the period, included in earnings (and 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 June 30, 2016.
(4)Total Level 3 derivative assets and liabilities have been netted in these tables for presentation purposes only.

Level 3 Fair Value Rollforward
The were no significant Level 3 transfers for the period March 31, 2017 to June 30, 2017:

The following were the significant Level 3 transfers for the period December 31, 2016 to June 30, 2017:

Transfers of Long-term debt of $0.5 billion from Level 2 to Level 3, and of $1.0 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.

There were no significant Level 3 transfers for the period from March 31, 2016 to June 30, 2016.

The following were the significant Level 3 transfers for the period from December 31, 2015 to June 30, 2016:

Transfers of Other trading assets of $1.5 billion from Level 2 to Level 3, and of $1.5 billion from Level 3 to Level 2, related to trading loans, reflecting changes in the volume of market quotations.
Transfers of Long-term debt of $1.2 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.

The following were the significant Level 3 transfers for the period March 31, 2015 to June 30, 2015:

Transfers of Federal Funds sold and securities borrowed or purchased under agreements to resell of $2.8 billion from Level 3 to Level 2 related to shortening of the remaining tenor of certain reverse repos. There is more transparency and observability for repo curves used in the valuation of structured reverse repos with tenors up to five years; thus, these positions are generally classified as Level 2.
Transfers of Other trading assets of $1.5 billion related to trading loans for which there was increased transparency into market quotations.
 
Transfers of Long-term debt of $1.1 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, 2014 to June 30, 2015:

Transfers of Federal Funds sold and securities borrowed or purchased under agreements to resell of $2.9 billion from Level 3 to Level 2 related to shortening of the remaining tenor of certain reverse repos. There is more transparency and observability for repo curves used in the valuation of structured reverse repos with tenors up to five years; thus, these positions are generally classified as Level 2.
Transfers of Other trading assets of $1.9 billion related to trading loans for which there was increased transparency into market quotations.
Transfers of Long-term debt of $1.1 billion from Level 2 to Level 3, and of $2.0 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.



Valuation Techniques and Inputs for Level 3 Fair Value Measurements
The Company’s Level 3 inventory consists of both cash 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. 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.

Valuation Techniques and Inputs for Level 3 Fair Value Measurements






As of June 30, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of June 30, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets        
Federal funds sold and securities borrowed or purchased under agreements to resell$804
Model-basedInterest rate(0.44)%2.74 %1.61 %$1,002
Model-basedIR Normal Volatility24.54 %80.07%66.85%
Mortgage-backed securities$1,021
Price-basedPrice$6.00
$119.62
$76.52
$496
Yield analysisYield0.88 %11.81%4.13%
972
Yield analysisYield0.90 %14.62 %4.06 %402
Price basedPrice$6.02
$105.10
$70.52
State and municipal, foreign government, corporate and other debt securities$3,828
Price-basedPrice$0.01
$141.45
$92.24
Non-mortgage debt securities$2,417
Price-basedPrice$15.00
$118.96
$94.36
1,750
Cash flowCredit spread35 bps
600 bps
229 bps
1,725
Model-basedCredit Spread35 bps
600 bps
242 bps
Equity securities(5)
$3,796
Model-basedWAL4 years
29 years
4.49 years
$119
Model-basedPrice$2.50
$1,355.65
$656.24
  Interest rate2.86 %10.75 %3.63 %115
Price-basedForward Price69.86
134.52
92.90
  Equity Volatility3.00 %47.73%26.01%
Asset-backed securities$3,008
Price-basedPrice$5.00
$100.00
$70.39
$2,406
Price-basedPrice$8.19
$100.00
$77.97
Non-marketable equity$581
Comparables analysisEBITDA multiples7.00x10.35x8.79x$495
Comparables analysisEBITDA Multiples6.30x12.10x8.73x
519
Price-basedDiscount to price— %90.00 %10.85 %
  Price-to-book ratio— %2.16 %1.10 %400
Price-basedDiscount to price— %100.00%7.52%
  Price$—
$28.28
$2.32
  Price to book ratio0.23x1.03x0.78x
Derivatives—gross(6)
      
Interest rate contracts (gross)$7,548
Model-basedIR log-normal volatility61.89 %151.86 %82.56 %$3,579
Model-basedIR Normal Volatility0.11 %67.64%55.31%
  Mean reversion1.00 %20.00 %10.50 %  Mean Reversion1.00 %20.00%10.50%
Foreign exchange contracts (gross)$1,457
Model-basedForeign exchange (FX) volatility3.64 %58.13 %17.05 %$894
Model-basedYield5.62 %14.50%9.30%
172
Cash flowIR-IR correlation(51.00)%40.00 %35.23 %96
Cash flowFX Volatility2.99 %24.51%12.77%
  IR-FX correlation40.00 %60.00 %50.00 %  IR-FX Correlation(4.01)%60.00%49.09%
  IR basis(0.90)%(0.40)%(0.83)%  IR-IR Correlation(7.79)%69.65%39.74%
Equity contracts (gross)(7)
$3,370
Model-basedEquity volatility12.05 %61.31 %30.75 %
  Credit Spread22 bps
481 bps
204 bps
Equity contracts (gross)$2,946
Model-basedEquity Volatility3.00 %54.46%24.65%
  Equity forward66.94 %106.31 %95.53 %  Forward Price51.91 %134.52%95.49%
  Equity-Equity correlation(81.18)%100.00 %57.09 %  Equity-Equity Correlation(88.92)%92.42%69.78%
  Equity - FX correlation(88.20)%56.90 %(21.74)%  Yield Volatility3.25 %12.68%6.41%
  WAL4 years
4 years
4 years
  Equity-IR Correlation(35.00)%41.00%33.25%
Commodity contracts (gross)$3,921
Model-basedForward price42.87 %191.93 %115.58 %
  Commodity volatility2.00 %53.36 %23.44 %
  Commodity correlation(51.05)%92.17 %56.68 %
Commodity and other contracts (gross)$3,024
Model-basedForward Price28.61 %303.76%112.86%
Credit derivatives (gross)$6,195
Model-basedRecovery rate10.00 %75.00 %33.49 %$2,840
Model-basedRecovery Rate6.50 %65.00%34.50%
927
Price-basedCredit correlation50.00 %95.00 %52.14 %1,384
Price-basedCredit Correlation5.00 %95.00%35.11%
  Upfront points4.48 %100.00 %64.24 %  Upfront Points5.00 %98.97%57.17%
  Price$0.01
$239.25
$81.58
  Credit Spread5 bps
10,381 bps
401 bps


As of June 30, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of June 30, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (Gross)$18
Model-basedRedemption Rate13.22 %99.50%73.22%
  Price$—
$105.00
$45.43
  Recovery Rate40.00 %40.00%40.00%
  Credit spread1 bps
1,705 bps
449 bps
  





Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$117
Model-basedRedemption rate6.10 %99.50 %74.35 %
Loans and leases$260
Model-basedCredit Spread45 bps
500 bps
71 bps
  Recovery rate33.00 %40.00 %33.59 %214
Yield analysisYield3.04 %4.54%3.66%
  Upfront points22.00 %22.00 %22.00 %
Loans$624
Model-basedPrice$—
$107.39
$31.68
598
Price-basedCredit spread46 bps
500 bps
108 bps
92
Price-based 





Mortgage servicing rights$1,232
Cash flowYield— %23.32 %6.85 %$470
Cash flowYield8.00 %19.93%12.59%
289
Model-basedWAL3.01 years
5.88 years
4.49 years
90
Model-basedWAL3.97 years
7.52 years
6.11 years
Liabilities      
Interest-bearing deposits$433
Model-basedIR log-normal volatility61.89 %151.86 %82.56 %$300
Model-basedMean Reversion1.00 %20.00%10.50%
  Interest rate0.47 %1.83 %1.55 %  Yield Volatility3.64 %9.31%7.46%
  Equity-IR Correlation27.00 %41.00%31.44%
Federal funds purchased and securities loaned or sold under agreements to repurchase$1,107
Model-basedInterest rate0.99 %1.14 %1.10 %$807
Model-basedInterest Rate0.93 %2.22%2.00%
Trading account liabilities      
Securities sold, not yet purchased$7
Yield analysisPrice$—
$109.29
$199.85
$1,105
Model-basedIR Normal Volatility24.54 %80.07%66.85%
  Commodity correlation(51.05)%92.17 %56.68 %
  Commodity volatility2.00 %53.36 %23.44 %
  Forward price$42.87
$191.93
$112.58
  Equity volatility10.15 %40.42 %23.29 %
  Yield1.51 %2.22 %1.83 %
Short-term borrowings and long-term debt$9,279
Model-basedEquity volatility15.05 %61.31 %27.89 %$11,856
Model-basedMean Reversion1.00 %20.00%10.50%
  Equity forward66.94 %102.58 %94.32 %  Forward Price28.61 %196.94%99.83%
  Equity-equity correlation(81.18)%100.00 %49.17 %  IR Normal Volatility15.32 %80.07%62.20%
  Equity-FX correlation(88.20)%56.90 %(21.73)%  Equity Volatility3.00 %47.73%23.47%
  Mean Reversion1.00 %20.00 %10.50 %
  IR log-normal volatility61.89 %151.86 %82.56 %
As of December 31, 2015
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
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 %$1,496
Model-basedIR Log-Normal Volatility12.86 %75.50 %61.73 %
  Interest rate— %2.03%0.27 %  Interest Rate(0.51)%5.76 %2.80 %
Mortgage-backed securities$1,287
Price-basedPrice$3.45
$109.21
$78.25
$509
Price-basedPrice$5.50
$113.48
$61.74
1,377
Yield analysisYield0.50 %14.07%4.83 %368
Yield analysisYield1.90 %14.54 %4.34 %
State and municipal, foreign government, corporate and other debt securities$3,761
Price-basedPrice$—
$217.00
$79.41
$3,308
Price-basedPrice$15.00
$103.60
$89.93
1,719
Cash flowCredit spread20 bps
600 bps
251 bps
1,513
Cash flowCredit Spread35 bps
600 bps
230 bps
Equity securities(5)
$3,499
Model-basedWAL1.5 years
1.5 years
1.5 years
$69
Model-basedPrice$0.48
$104.00
$22.19
  Redemption rate41.21 %41.21%41.21 %58
Price-based 





Asset-backed securities$3,075
Price-basedPrice$5.55
$100.21
$71.57
$2,454
Price-basedPrice$4.00
$100.00
$71.51
Non-marketable equity$633
Comparables analysisEBITDA multiples6.80x10.80x9.05x$726
Price-basedDiscount to Price— %90.00 %13.36 %
473
Price-basedDiscount to price— %90.00%10.89 %565
Comparables analysisEBITDA Multiples6.80x10.10x8.62x
  Price-to-book ratio0.19x1.09x0.60x  Price-to-Book Ratio0.32x1.03x0.87x
  Price$—
$132.78
$46.66
  Price$—
$113.23
$54.40
Derivatives—gross(6)
   
Interest rate contracts (gross)$4,897
Model-basedIR Log-Normal Volatility1.00 %93.97 %62.72 %
  Mean Reversion1.00 %20.00 %10.50 %
Foreign exchange contracts (gross)$1,110
Model-basedForeign Exchange (FX) Volatility1.39 %26.85 %15.18 %
134
Cash flowIR Basis(0.85)%(0.49)%(0.84)%
  Credit Spread4 bps
657 bps
266 bps


As of December 31, 2015
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
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
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
  IR-IR correlation(51.00)%77.94%32.91 %  IR-IR Correlation40.00 %50.00 %41.27 %
  IR-FX correlation(20.30)%60.00%48.85 %  IR-FX Correlation16.41 %60.00 %49.52 %
Equity contracts (gross)(7)
$3,976
Model-basedEquity volatility11.87 %49.57%27.33 %$2,701
Model-basedEquity Volatility3.00 %97.78 %29.52 %
  Forward Price69.05 %144.61 %94.28 %
  Equity-FX Correlation(60.70)%28.20 %(26.28)%
  Equity-FX correlation(88.17)%65.00%(21.09)%  Equity-IR Correlation(35.00)%41.00 %(15.65)%
  Equity forward82.72 %100.53%95.20 %  Yield Volatility3.55 %14.77 %9.29 %
  Equity-equity correlation(80.54)%100.00%49.54 %  Equity-Equity Correlation(87.70)%96.50 %67.45 %
Commodity contracts (gross)$4,061
Model-basedForward price35.09 %299.32%112.98 %$2,955
Model-basedForward Price35.74 %235.35 %119.99 %
  Commodity volatility5.00 %83.00%24.00 %  Commodity Volatility2.00 %32.19 %17.07 %
  Commodity correlation(57.00)%91.00%30.00 %  Commodity Correlation(41.61)%90.42 %52.85 %
Credit derivatives (gross)$5,849
Model-basedRecovery rate1.00 %75.00%32.49 %$2,786
Model-basedRecovery Rate20.00 %75.00 %39.75 %
1,424
Price-basedCredit correlation5.00 %90.00%43.48 %1,403
Price-basedCredit Correlation5.00 %90.00 %34.27 %
  Price$0.33
$101.00
$61.52
  Upfront Points6.00 %99.90 %72.89 %
  Credit spread1 bps
967 bps
133 bps
  Price$1.00
$167.00
$77.35
  Upfront points7.00 %99.92%66.75 %  Credit Spread3 bps
1,515 bps
256 bps
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$194
Model-basedRecovery rate7.00 %40.00%10.72 %$42
Model-basedRecovery Rate40.00 %40.00 %40.00 %
  Redemption rate27.00 %99.50%74.80 %  Redemption Rate3.92 %99.58 %74.69 %
  Interest rate5.26 %5.28%5.27 %  Upfront Points16.00 %20.50 %18.78 %
Loans$750
Price-basedYield1.50 %4.50%2.52 %$258
Price-basedPrice$31.55
$105.74
$56.46
892
Model-basedPrice$—
$106.98
$40.69
221
Yield analysisYield2.75 %20.00 %11.09 %
524
Cash flowCredit spread29 bps
500 bps
105 bps
79
Model-based  
Mortgage servicing rights$1,690
Cash flowYield— %23.32%6.83 %$1,473
Cash flowYield4.20 %20.56 %9.32 %
  WAL3.38 years
7.48 years
5.5 years
  WAL3.53 years
7.24 years
5.83 years
Liabilities      
Interest-bearing deposits$434
Model-basedEquity-IR correlation23.00 %39.00%34.51 %$293
Model-basedMean Reversion1.00 %20.00 %10.50 %
  Forward price35.09 %299.32%112.72 %  Forward Price98.79 %104.07 %100.19 %
  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 %$849
Model-basedInterest Rate0.62 %2.19 %1.99 %
Trading account liabilities      
Securities sold, not yet purchased$152
Price-basedPrice$—
$217.00
$87.78
$1,056
Model-basedIR Normal Volatility12.86 %75.50 %61.73 %
Short-term borrowings and long-term debt$7,004
Model-basedMean reversion(5.52)%20.00%7.80 %$9,774
Model-basedMean Reversion1.00 %20.00 %10.50 %
  Equity volatility9.55 %42.56%22.26 %  Commodity Correlation(41.61)%90.42 %52.85 %
  Equity forward82.72 %100.80%94.48 %  Commodity Volatility2.00 %32.19 %17.07 %
  Equity-equity correlation(80.54)%100.00%49.16 %  Forward Price69.05 %235.35 %103.28 %
  Forward price35.09 %299.32%106.32 %
  Equity-FX correlation(88.20)%56.85%(31.76)%
(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.

Sensitivity to Unobservable Inputs and Interrelationships between Unobservable Inputs
The impact of key unobservable inputs on the Level 3 fair value measurements may not be independent of one another. In addition, the amount and direction of the impact on a fair value measurement for a given change in an unobservable input depends on the nature of the instrument as well as whether the Company holds the instrument as an asset or a liability. For certain instruments, the pricing, hedging and risk management are sensitive to the correlation between various inputs rather than on the analysis and aggregation of the individual inputs.
The following section describes the sensitivities and interrelationships of the most significant unobservable inputs used by the Company in Level 3 fair value measurements.

Correlation
Correlation is a measure of the 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-exchange options, CDOs backed by loans or bonds, mortgages, subprime mortgages and many other instruments. For almost all of these instruments, correlations are not observable in the market and must be calculated using historical information. Estimating correlation can be especially difficult where it may vary over time. Calculating correlation information from market data requires significant assumptions regarding the informational efficiency of the market (for example, swaption markets). Changes in correlation levels can have a major impact, favorable or unfavorable, on the value of an instrument, depending on its nature. A change in the default correlation of the fair value of the underlying bonds comprising a CDO structure would affect the fair value of the senior tranche. For example, an increase in the default correlation of the underlying bonds would reduce the fair value of the senior tranche, because highly correlated instruments produce larger losses in the event of default and a part of these losses would become attributable to the senior tranche. That same change in default correlation would have a different impact on junior tranches of the same structure.

Volatility
Volatility represents the speed and severity of market price changes and is a key factor in pricing options. Typically, instruments can become more expensive if volatility increases. For example, as an index becomes more volatile, the cost to Citi of maintaining a given level of exposure increases because more frequent rebalancing of the portfolio is required. Volatility generally depends on the tenor of the underlying instrument and the strike price or level defined in the contract. Volatilities for certain combinations of tenor and strike are not observable. The general relationship between changes in the
value of a portfolio to changes in volatility also depends on changes in interest rates and the level of the underlying index. Generally, long option positions (assets) benefit from increases in volatility, whereas short option positions (liabilities) will suffer losses. Some instruments are more sensitive to changes in volatility than others. For example, an at-the-money option would experience a larger percentage change in its fair value than a deep-in-the-money option. In addition, the fair value of an option with more than one underlying security (for example, an option on a basket of bonds) depends on the volatility of the individual underlying securities as well as their correlations.

Yield
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 amplify 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
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
Stronger companies have tighter credit spreads, and weaker companies have wider credit spreads. 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.

Price
Price 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.




Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and therefore are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market.
The following table presents the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded during the three months ended:recorded:
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
June 30, 2016 
June 30, 2017 
Loans held-for-sale(1)$7,549
$5,814
$1,735
$3,398
$1,814
$1,584
Other real estate owned85
16
69
63
12
51
Loans(1)(2)
1,502
464
1,038
863
308
555
Other Assets(2)
2,991
2,991
—
Total assets at fair value on a nonrecurring basis$12,127
$9,285
$2,842
$4,324
$2,134
$2,190
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
December 31, 2015 
December 31, 2016 
Loans held-for-sale(1)$10,326
$6,752
$3,574
$5,802
$3,389
$2,413
Other real estate owned107
15
92
75
15
60
Loans(1)(2)
1,173
836
337
1,376
586
790
Other Assets—
—
—
Total assets at fair value on a nonrecurring basis$11,606
$7,603
$4,003
$7,253
$3,990
$3,263
(1)
Net of fair value amounts on the unfunded portion of loans held-for-sale, recognized as other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate secured loans.
(2)Represents the carrying value of an equity investment which was impaired.estate.

The fair value of loans held-for-sale is determined where possible using quoted secondary-market prices. If no such quoted price exists, the fair value of a loan is determined using quoted prices for a similar asset or assets, adjusted for the specific attributes of that loan. Fair value for the other real estate owned is based on appraisals. For loans whose carrying amount is based on the fair value of the underlying collateral, the fair values depend on the type of collateral. Fair value of the collateral is typically estimated based on quoted market prices if available, appraisals or other internal valuation techniques.
Where the fair value of the related collateral is based on an unadjusted appraised value, the loan is generally classified as Level 2. Where significant adjustments are made to the appraised value, the loan is classified as Level 3. Additionally, for corporate loans, appraisals of the collateral are often based on sales of similar assets; however, because the prices of similar assets require significant adjustments to reflect the unique features of the underlying collateral, these fair value measurements are generally classified as Level 3.


Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:
As of June 30, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(5)
High
Weighted
average(2)
Loans held-for-sale$2,047
Price-basedPrice$—
$100.00
$33.27
Other real estate owned$68
Price-based
Discount to price(4)
0.34%13.00%2.45%
Loans(3)
$576
Recovery analysisRecovery rates—%97.85%83.69%
 183
Price-based
Discount to price(4)
13.00%35.00%8.90%
(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.



As of December 31, 2015
Fair value(1)
 (in millions)
MethodologyInput
Low(5)
High
Weighted
average(2)
As of June 30, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$3,486
Price-basedPrice$—
$100.00
$81.05
$1,510
Price-basedPrice$0.88
$100.00
$93.68
Other real estate owned$90
Price-based
Discount to price(4)
0.34%13.00%2.86%$50
Price-based
Discount to price(4)
0.34%0.34%0.34%
2
 Appraised value$—
$8,518,230
$3,813,045
  Appraised value$20,372
$4,491,044
$2,018,801
Loans(3)
$157
Recovery analysisRecovery rate11.79%60.00%23.49%
87
Price-based
Discount to price(4)
13.00%34.00%7.99%  Price$54.61
$85.81
$58.74
Loans(5)
$237
Price-basedPrice$2.85
$58.00
$48.70
181
Recovery AnalysisAppraised Value$39.47
$89.20
$76.84
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$2,413
Price-basedPrice$—
$100.00
$93.08
Other real estate owned$59
Price-based
Discount to price(4)
0.34%13.00%3.10%
 

 Price$64.65
$74.39
$66.21
Loans(5)
$431
Cash flowPrice$3.25
$105.00
$59.61
 197
Recovery analysisForward price$2.90
$210.00
$156.78
 135
Price-based
Discount to price(4)
0.25%13.00%8.34%
 

 Appraised value$25.80
$26,400,000
$6,462,735

(1)The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Some inputs are shown as zero due to rounding.
(3)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 inputsRepresents impaired loans held for investment whose carrying amounts are shown as zero due to rounding.based on the fair value of the underlying collateral, primarily real estate.


Nonrecurring Fair Value Changes
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that were still held:
Three Months Ended June 30,Three Months Ended June 30,
In millions of dollars2016201520172016
Loans held-for-sale$(35)$(20)$(5)$(35)
Other real estate owned(4)(3)(3)(4)
Loans(1)
(48)(61)(30)(48)
Other Assets(2)
$(23)$—
Other assets(2)
—
(23)
Total nonrecurring fair value gains (losses)$(110)$(84)$(38)$(110)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate loans.estate.
(2)Represents net impairment losses related to an equity investment.

 Six Months Ended June 30,
In millions of dollars20162015
Loans held-for-sale$(32)$(20)
Other real estate owned(5)(4)
Loans(1)
(105)(107)
Other Assets (2)
$(211)—
Total nonrecurring fair value gains (losses)$(353)$(131)
 Six Months Ended June 30,
In millions of dollars20172016
Loans held-for-sale$(5)$(32)
Other real estate owned(3)(5)
Loans(1)
(48)(105)
Other assets(2)
—
(211)
Total nonrecurring fair value gains (losses)$(56)$(353)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate loans.estate.
(2)Represents net impairment losses related to an equity investment.




Estimated Fair Value of Financial Instruments Not Carried at Fair Value
The following table below presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes items measured at fair value on a recurring basis presented in the tables above.
The disclosure also excludes leases, affiliate investments, pension and benefit obligations and insurance policy claim reserves. In addition, contract-holder fund amounts exclude certain insurance contracts. Also, as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed maturity, and other expenses that would be incurred in a market transaction. In addition, the table excludes the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values, which are integral to a full assessment of Citigroup’s financial position and the value of its net assets.
The fair value represents management’s best estimates based on a range of methodologies and assumptions. The
carrying value of short-term financial instruments not accounted for at fair value, as well as receivables and payables arising in the ordinary course of business, approximates fair value because of the relatively short period of time between their origination and expected realization. Quoted market prices are used when available for investments and for liabilities, such as long-term debt not carried at fair value. For loans not accounted for at fair value, cash flows are discounted at quoted secondary market rates or estimated market rates if available. Otherwise, sales of comparable loan portfolios or current market origination rates for loans with similar terms and risk characteristics are used. Expected credit losses are either embedded in the estimated future cash flows or incorporated as an adjustment to the discount rate used. The value of collateral is also considered. For liabilities such as long-term debt not accounted for at fair value and without quoted market prices, market borrowing rates of interest are used to discount contractual cash flows.

June 30, 2016Estimated fair valueJune 30, 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$41.6
$43.1
$1.7
$37.5
$3.9
$56.7
$57.0
$0.3
$55.1
$1.6
Federal funds sold and securities borrowed or purchased under agreements to resell83.9
83.9
—
80.8
3.1
91.2
91.2
—
86.1
5.1
Loans(1)(2)
615.1
617.5
—
6.8
610.7
626.7
622.0
—
5.8
616.2
Other financial assets(2)(3)
215.4
215.4
6.5
143.6
65.3
256.0
256.5
6.7
179.6
70.2
Liabilities  
Deposits$936.4
$935.1
$—
$784.1
$151.0
$957.4
$955.1
$—
$811.6
$143.5
Federal funds purchased and securities loaned or sold under agreements to repurchase111.9
111.9
—
111.5
0.4
109.9
109.9
—
109.9
—
Long-term debt(4)
181.5
185.1
—
158.6
26.5
196.2
203.7
—
175.1
28.6
Other financial liabilities(5)
108.2
108.2
—
14.7
93.5
124.5
124.5
—
15.4
109.1

December 31, 2015Estimated fair valueDecember 31, 2016Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$41.7
$42.7
$3.5
$36.4
$2.8
$52.1
$52.0
$0.8
$48.6
$2.6
Federal funds sold and securities borrowed or purchased under agreements to resell81.7
81.7
—
77.4
4.3
103.6
103.6
—
98.5
5.1
Loans(1)(2)
597.5
599.4
—
6.0
593.4
607.0
607.3
—
7.0
600.3
Other financial assets(2)(3)
186.5
186.5
6.9
126.2
53.4
215.2
215.9
8.2
153.6
54.1
Liabilities  
Deposits$906.3
$896.7
$—
$749.4
$147.3
$928.2
$927.6
$—
$789.7
$137.9
Federal funds purchased and securities loaned or sold under agreements to repurchase109.7
109.7
—
109.4
0.3
108.2
108.2
—
107.8
0.4
Long-term debt(4)
176.0
180.8
—
153.8
27.0
179.9
185.5
—
156.5
29.0
Other financial liabilities(5)
97.6
97.6
—
18.0
79.6
115.3
115.3
—
16.2
99.1
(1)
The carrying value of loans is net of the Allowance for loan losses of $12.3$12.0 billion for June 30, 20162017 and $12.6$12.1 billion for December 31, 2015.2016. In addition, the carrying values exclude $1.9$1.8 billion and $2.4$1.9 billion of lease finance receivables at June 30, 20162017 and December 31, 2015,2016, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.
(3)
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverablerecoverables 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, as existing assets and liabilities run off and new transactions are executed. 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 June 30, 20162017 and December 31, 20152016 were liabilities of $6.4$2.4 billion and $7.0$5.2 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.




23.21.   FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election
may not be revoked once an election is made. The changes in fair value are
recorded in current earnings, other than DVA, which from January 1, 2016 is reported in AOCI. Additional discussion regarding the applicable areas in which fair value elections were made is presented in Note 22 to the Consolidated Financial Statements.
The Company has elected fair value accounting for its mortgage servicing rights. See Note 2018 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.


The following table presents the changes in fair value of those items for which the fair value option has been elected:
Changes in fair value gains (losses) for theChanges in fair value—gains (losses)
Three Months Ended June 30,Six Months Ended June 30,Three Months Ended June 30,Six Months Ended June 30,
In millions of dollars20162015201620152017201620172016
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
$19
$(95)$47
$(93)
Federal funds sold and securities borrowed or purchased under agreements to resell—selected portfolios$(58)$19
$(91)$47
Trading account assets(320)136
(62)227
232
(320)662
(62)
Investments(22)4
(21)49
(3)(22)(3)(21)
Loans  
  
Certain corporate loans(1)
36
40
60
(9)(5)36
19
60
Certain consumer loans(1)
—
—
(1)2
2
—
2
(1)
Total loans$36
$40
$59
$(7)$(3)$36
$21
$59
Other assets  
  
MSRs(137)262
$(362)$191
$(11)$(137)$56
$(362)
Certain mortgage loans held for sale(2)
91
70
171
172
Certain mortgage loans held-for-sale(2)
44
91
81
171
Other assets—
—
370
—
—
—
—
370
Total other assets$(46)$332
$179
$363
$33
$(46)$137
$179
Total assets$(333)$417
$202
$539
$201
$(333)$726
$202
Liabilities      
Interest-bearing deposits$(18)$23
$(68)$33
$(30)$(18)$(44)$(68)
Federal funds purchased and securities loaned or sold under agreements to repurchase
selected portfolios of securities sold under agreements to repurchase and securities loaned
(2)—
(8)2
Federal funds purchased and securities loaned or sold under agreements to repurchase—selected portfolios(527)(2)86
(8)
Trading account liabilities3
(44)97
(15)25
3
51
97
Short-term borrowings(114)(67)(34)(68)(99)(114)(80)(34)
Long-term debt(117)707
(540)896
(139)(117)(471)(540)
Total liabilities$(248)$619
$(553)$848
$(770)$(248)$(458)$(553)
(1)
Includes mortgage loans held by consolidated mortgage loan securitization VIEs consolidated upon the adoption of ASC 810, Consolidation (SFAS 167), on January 1, 2010.
VIEs.
(2)Includes gains (losses) associated with interest rate lock-commitmentslock commitments for those loans that have been originated and elected under the fair value option.


Own Debt Valuation Adjustments (DVA)
Own debt valuation adjustments are recognized on Citi’s liabilities for which the fair value option has been elected by reference tousing Citi’s credit spreads observed in the bond market. Among other variables, the fair value of liabilities for which the fair value option has 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 spread (or instrument-specific credit risk) were gainswas a loss of $20$132 million and $231a gain of $20 million for the three months ended June 30, 2017 and 2016, and 2015, and gainsa loss of $327$227 million and $318a gain of $327 million for the six months ended June 30, 20162017 and 2015,2016, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above. Effective January 1, 2016, changes in fair value of fair value option liabilities related to changes in Citigroup’s own credit spreads (DVA) are reflected as a component of AOCI; previously these amounts were recognized in Citigroup’s Revenues and Net income along with all other changes in fair value. See Note 1 to the Consolidated Financial Statements for additional information.

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-income securities purchased under agreements to resell and fixed-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 interest revenue and 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:
June 30, 2016December 31, 2015June 30, 2017December 31, 2016
In millions of dollarsTrading assetsLoansTrading assetsLoansTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$9,321
$4,134
$9,314
$5,005
$9,009
$4,216
$9,824
$3,486
Aggregate unpaid principal balance in excess of fair value744
84
980
280
402
3
758
18
Balance of non-accrual loans or loans more than 90 days past due4
2
5
2
—
1
—
1
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due9
1
13
1
—
—
—
1
In addition to the amounts reported above, $1,855$1,203 million and $2,113$1,828 million of unfunded commitments related to certain credit products selected for fair value accounting were
 
outstanding as of June 30, 20162017 and December 31, 2015,2016, respectively.



Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in the Company’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 six months ended June 30, 20162017 and 20152016 due to instrument-specific credit risk totaled to a gain of $56$25 million and loss of $27$56 million, respectively.

Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.8 billion and $0.6 billion at June 30, 20162017 and December 31, 2015,2016, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of June 30, 2016,2017, there were approximately $18.1$16.8 billion and $11.4$13.9 billion 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 elects the fair value option for certain non-marketable equity securities whose risk is managed with derivative instruments that are accounted for at fair value through earnings. These securities are classified as Trading account assets on Citigroup’s Consolidated Balance Sheet. Changes in the fair value of these securities and the related derivative instruments are recorded in Principal transactions.

Certain Mortgage Loans Held for SaleHeld-for-Sale (HFS)
Citigroup has elected the fair value option for certain purchased and originated prime fixed-rate and conforming adjustable-rate first mortgage loans HFS. These loans are intended for sale or securitization and are hedged with derivative instruments. The Company has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications.


The following table provides information about certain mortgage loans HFS carried at fair value:
In millions of dollarsJune 30,
2016		December 31, 2015June 30,
2017		December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$1,122
$745
$468
$915
Aggregate fair value in excess of unpaid principal balance49
20
17
8
Balance of non-accrual loans or loans more than 90 days past due—
—
—
—
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
—
—

The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the six months ended June 30, 20162017 and 20152016 due to instrument-specific credit risk. Related interest income continues to be measured based on the contractual interest
rates and reported as Interest revenue in the Consolidated Statement of Income.



Certain Structured Liabilities
The Company has elected the fair value option for certain structured liabilities whose performance is linked to structured interest rates, inflation, currency, equity, referenced credit or commodity risks. The Company elected the fair value option because these exposures are considered to be trading-related positions and, therefore, are managed on a fair value basis. These positions will continue to be classified as debt, deposits or derivatives (Trading account liabilities) on the Company’s Consolidated Balance Sheet according to their legal form.

The following table provides information about the carrying value of structured notes, disaggregated by type of embedded derivative instrument:
In billions of dollarsJune 30, 2016December 31, 2015June 30, 2017December 31, 2016
Interest rate linked$10.3
$9.6
$12.1
$10.6
Foreign exchange linked0.2
0.3
0.2
0.2
Equity linked11.1
9.9
12.0
12.3
Commodity linked1.1
1.4
0.9
0.3
Credit linked1.0
1.6
2.0
0.9
Total$23.7
$22.8
$27.2
$24.3
Prior to 2016, the total change in the fair value of these structured liabilities was 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) areis 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 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 may be economically hedged with derivative contracts or the proceeds are used to purchase financial assets that will also be accounted for at fair value through earnings. The elections have been made to mitigate accounting mismatches and to achieve operational simplifications. These positions are reported in Short-term borrowings and Long-term debt on the Company’s Consolidated Balance Sheet. Prior to 2016, the total change in the fair value of these non-structured liabilities was 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) areis reflected as a component of AOCI while all other changes in fair value will continue to be reported in Principal transactions.
Interest expense on non-structured liabilities is measured based on the contractual interest rates and reported as Interest expense in the Consolidated Statement of Income.


The following table provides information about long-term debt carried at fair value:
In millions of dollarsJune 30, 2016December 31, 2015June 30, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$25,931
$25,293
$29,001
$26,254
Aggregate unpaid principal balance in excess of fair value564
1,569
Aggregate unpaid principal balance in excess of (less than) fair value866
(128)
The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsJune 30, 2016December 31, 2015June 30, 2017December 31, 2016
Carrying amount reported on the Consolidated Balance Sheet$1,850
$1,207
$4,833
$2,700
Aggregate unpaid principal balance in excess of fair value6
130
Aggregate unpaid principal balance in excess of (less than) fair value(71)(61)


24.22.   GUARANTEES AND COMMITMENTS
Citi provides a variety of guarantees and indemnifications to its customers to enhance their credit standing and enable them to complete a wide variety of business transactions. For
certain contracts meeting the definition of a guarantee, the guarantor must recognize, at inception, a liability for the fair value of the obligation undertaken in issuing the guarantee.
In addition, the guarantor must disclose the maximum potential amount of future payments that the guarantor could be required to make under the guarantee, if there were a total
default by the guaranteed parties. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible
recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.
For additional information regarding Citi’s guarantees and indemnifications included in the tables below, as well as its other guarantees and indemnifications excluded from the tables below, see Note 26 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at June 30, 20162017 and December 31, 2015:2016:


Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at June 30, 2016 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
In billions of dollars at June 30, 2017 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$25.5
$69.9
$95.4
$146
$36.8
$56.4
$93.2
$162
Performance guarantees7.7
3.8
11.5
21
7.5
3.0
10.5
20
Derivative instruments considered to be guarantees4.6
73.9
78.5
1,113
14.1
83.6
97.7
806
Loans sold with recourse—
0.2
0.2
14
—
0.2
0.2
10
Securities lending indemnifications(1)
83.2
—
83.2
—
97.0
—
97.0
—
Credit card merchant processing(1)(2)
81.1
—
81.1
—
83.8
—
83.8
—
Credit card arrangements with partners—
1.5
1.5
206
0.1
1.3
1.4
206
Custody indemnifications and other0.3
46.6
46.9
58
—
52.0
52.0
59
Total$202.4
$195.9
$398.3
$1,558
$239.3
$196.5
$435.8
$1,263
Maximum potential amount of future payments 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)
In billions of dollars at December 31, 2016 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
$152
$26.0
$67.1
$93.1
$141
Performance guarantees7.4
4.1
11.5
23
7.5
3.6
11.1
19
Derivative instruments considered to be guarantees3.6
74.9
78.5
1,779
7.2
80.0
87.2
747
Loans sold with recourse—
0.2
0.2
17
—
0.2
0.2
12
Securities lending indemnifications(1)
79.0
—
79.0
—
80.3
—
80.3
—
Credit card merchant processing(1)(2)
84.2
—
84.2
—
86.4
—
86.4
—
Credit card arrangements with partners—
1.5
1.5
206
Custody indemnifications and other—
51.7
51.7
56
—
45.4
45.4
58
Total$198.0
$203.9
$401.9
$2,027
$207.4
$197.8
$405.2
$1,183
(1)The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At June 30, 2017 and December 31, 2016, this maximum potential exposure was estimated to be $84 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; (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; 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 21 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 21 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$121 $75 million and $152
$107 million at June 30, 20162017 and December 31, 2015, 2016,
respectively, and these amounts are included in Other
liabilitieson 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: (i) providing transaction processing services to various merchants with respect to its private-label cards; and (ii) potential liability for bank card transaction processing services. The nature of the liability in either case arises as a result of a billing dispute between a merchant and a cardholder that is ultimately resolved in the cardholder’s favor. The merchant is liable to refund the amount to the cardholder. In general, if the credit card processing company
is unable to collect this amount from the merchant, the credit card processing company bears the loss for the amount of the credit or refund paid to the cardholder.
With regard to (i) above, Citi has the primary contingent liability with respect to its portfolio of private-label merchants. The risk of loss is mitigated as the cash flows between Citi and the merchant are settled on a net basis and Citi has the right to offset any payments with cash flows otherwise due to the merchant. To further mitigate this risk, Citi may delay settlement, require a merchant to make an escrow deposit, include event triggers to provide Citi with more financial and operational control in the event of the financial deterioration of the merchant or require various credit enhancements (including letters of credit and bank guarantees). In the unlikely event that a private-label merchant is unable to deliver products, services or a refund to its private-label cardholders, Citi is contingently liable to credit or refund cardholders.
With regard to (ii) above, Citi has a potential liability for bank card transactions where Citi provides the transaction processing services as well as those where a third party provides the services and Citi acts as a secondary guarantor, should that processor fail to perform.
Citi’s maximum potential contingent liability related to both bank card and private-label merchant processing services is estimated to be the total volume of credit card transactions that meet the requirements to be valid charge-back transactions at any given time. At June 30, 2016 and December 31, 2015, this maximum potential exposure was estimated to be $81 billion and $84 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 June 30, 2016 and December 31, 2015, 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 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 June 30, 20162017 and December 31, 2015,2016, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were immaterial.

Other Representation and Warranty Indemnifications
In the normal course of business, Citi provides standard representations and warranties to counterparties in contracts in connection with numerous transactions and also provides indemnifications, including indemnifications that protect the counterparties to the contracts in the event that additional taxes are owed due either to a change in the tax law or an adverse interpretation of the tax law. Counterparties to these transactions provide Citi with comparable indemnifications. While such representations, warranties and indemnifications are essential components of many contractual relationships, they do not represent the underlying business purpose for the transactions. The indemnification clauses are often standard contractual terms related to Citi’s own performance under the terms of a contract and are entered into in the normal course of business based on an assessment that the risk of loss is remote. Often these clauses are intended to ensure that terms of a contract are met at inception. No compensation is received for these standard representations and warranties, and it is not possible to determine their fair value because they rarely, if ever, result in a payment. In many cases, there are no stated or notional amounts included in the indemnification clauses, and the contingencies potentially triggering the obligation to indemnify have not occurred and are not expected to occur. As a result, these indemnifications are not included in the tables above.immaterial.

Value-Transfer Networks
Citi is a member of, or shareholder in, hundreds of value-transfervalue transfer networks (VTNs) (payment, clearing and settlement
systems as well as exchanges) around the world. As a
condition of membership, many of these VTNs require that
members stand ready to pay a pro rata share of the losses
incurred by the organization due to another member’s default
on its obligations. Citi’s potential obligations may be limited
to its membership interests in the VTNs, contributions to the
VTN’s funds, or, in limited cases, the obligation may be
unlimited. The maximum exposure cannot be estimated as
this would require an assessment of future claims that have
not yet occurred. Citi believes the risk of loss is remote
given historical experience with the VTNs. Accordingly,
Citi’s participation in VTNs is not reported in the guarantees
tables above, and there are no amounts reflected on the
Consolidated Balance Sheet as of June 30, 20162017 or
December 31, 20152016 for potential obligations that could arise
from Citi’s involvement with VTN associations.

Long-Term Care Insurance Indemnification
In connection with the 2005 sale of ancertain insurance subsidiary,and annuity subsidiaries to MetLife Inc. (MetLife), the Company provided an indemnification to an insurance company for policyholder claims and other liabilities relating to a book of long-term care (LTC) business (for the entire term of the LTC policies) that is fully reinsured by another insurance company. The reinsurersubsidiaries of Genworth Financial Inc. (Genworth). In turn, Genworth has offsetting reinsurance agreements with MetLife and the Union Fidelity Life Insurance Company (UFLIC), a subsidiary of the General Electric Company. Genworth has funded two trusts with securities whose fair value (approximately $7.3 billion at June 30, 2016,2017, compared to $6.3$7.0 billion at December 31, 2015)2016) is designed to cover the insurance company’sGenworth’s statutory liabilities for the LTC policies. The trusts serve as collateral for Genworth's reinsurance obligations related to the MetLife LTC policies and MetLife Insurance Company USA is the sole beneficiary of the trusts. The assets in these trusts are evaluated and adjusted periodically to ensure that the fair value of the assets continues to cover the estimated statutory liabilities related to the LTC policies, as those statutory liabilities change over time.
If the reinsurerGenworth fails to perform under the reinsurance agreement for any reason, including insolvency, and the assets in the two trusts are insufficient or unavailable to the ceding insurance company,MetLife, then Citi must indemnify the ceding insurance companyreimburse MetLife 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 companyMetLife pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected in the Consolidated Balance Sheet as of June 30, 20162017 and December 31, 20152016 related to this indemnification. Citi continues to closely monitor its potential exposure under this indemnification obligation.
In the fourth quarter of 2016, MetLife announced it was pursuing spinning off the entity involved in the long-term care reinsurance obligations as part of a broader separation of its retail and group/corporate insurance operations. Separately, Genworth announced that it had agreed to be purchased by China Oceanwide Holdings Co., Ltd, subject to a series of conditions and regulatory approvals. Citi is monitoring these developments.



Futures and over-the-counter derivatives clearing
Citi provides clearing services on central clearing parties (CCP) for clients executingthat need to clear exchange-traded futures and over-the-counter (OTC) derivatives contracts with central counterparties (CCPs).CCPs. Based on all relevant facts and circumstances, Citi has concluded that it acts as an agent for accounting purposes in its role as clearing member for these client transactions. As such, Citi does not reflect the underlying exchange-traded futures or OTC derivatives contracts in its Consolidated Financial Statements. See Note 2119 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. Where Citi obtains benefits from or controls cash initial margin (e.g., retains an interest
spread), cash initial margin collected from clients and
remitted to the CCP, or depository institutions, is reflected within Brokerage payables (payables to customers) and Brokerage receivables (receivables from brokers, dealers and clearing organizations) or Cash and due from banks, respectively.
However, for exchange-traded and OTC-cleared 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 within Brokerage Payables



(payables to customers) andBrokerage Receivables (receivables from brokers, dealers and clearing organizations), respectively. However, for OTC derivatives contracts whereon Citi’s Consolidated Balance Sheet. These conditions are met when Citi has contractually agreed with the client that (a)(i) Citi will pass through to the client all interest paid by the CCP or depository institutions on the cash initial margin; (b)(ii) Citi will not utilize its right as a clearing member to transform cash margin into other assets; and (c)(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 $4.5$10.2 billion and $4.3$9.4 billion as of June 30, 20162017 and December 31, 2015,2016, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of non-performancenonperformance by clients (e.g., failure of a client to post
variation margin to the CCP for negative changes in the
value of the client’s derivative contracts). In the event of
non-performance by a client, Citi would move to close out
the client’s positions. The CCP would typically utilize initial
margin posted by the client and held by the CCP, with any
remaining shortfalls required to be paid by Citi as clearing
member. Citi generally holds incremental cash or securities
margin posted by the client, which would typically be
expected to be sufficient to mitigate Citi’s credit risk in the
event the client fails to perform.
As required by ASC 860-30-25-5, securities collateral posted by clients is not recognized on Citi’s Consolidated Balance Sheet.

Carrying Value—Guarantees and Indemnifications
At June 30, 20162017 and December 31, 2015,2016, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $1.6$1.3 billion and $2.0 billion, respectively.$1.2 billion. The carrying value of financial and performance guarantees is included in Other liabilities. For loans sold with recourse, the carrying value of the liability is included in Other liabilities.

Collateral
Cash collateral available to Citi to reimburse losses realized under these guarantees and indemnifications amounted to $51$57 billion and $52$45 billion at June 30, 20162017 and December 31, 2015,2016, respectively. Securities and other marketable assets held as collateral amounted to $36$43 billion and $33$38 billion at June 30, 20162017 and December 31, 2015,2016, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally, letters of credit in favor of Citi held as collateral amounted to $4.0 billion and $4.2$5.4 billion at both June 30, 20162017 and December 31, 2015, respectively.2016. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.

Performance risk
Citi evaluates the performance risk of its guarantees based on the assigned referenced counterparty internal or external ratings. Where external ratings are used, investment-grade ratings are considered to be Baa/BBB and above, while anything below is considered non-investment grade. Citi’s internal ratings are in line with the related external rating system. On certain underlying referenced assets or entities, ratings are not available. Such referenced assets are included in the “not rated” category. The maximum potential amount of the future payments related to the outstanding guarantees is determined to be the notional amount of these contracts, which is the par amount of the assets guaranteed.
Presented in the tables below are the maximum potential amounts of future payments that are classified based upon internal and external credit ratings as of June 30, 2016 and December 31, 2015. As previously mentioned, theratings. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.

 Maximum potential amount of future payments
In billions of dollars at June 30, 2016
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$63.8
$18.9
$12.7
$95.4
Performance guarantees6.4
4.3
0.8
11.5
Derivative instruments deemed to be guarantees—
—
78.5
78.5
Loans sold with recourse—
—
0.2
0.2
Securities lending indemnifications—
—
83.2
83.2
Credit card merchant processing—
—
81.1
81.1
Credit card arrangements with partners—
—
1.5
1.5
Custody indemnifications and other46.8
0.1
—
46.9
Total$117.0
$23.3
$258.0
$398.3




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 June 30, 2017
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$69.2
$15.4
$12.2
$96.8
$67.0
$12.3
$13.9
$93.2
Performance guarantees6.6
4.1
0.8
11.5
6.8
2.9
0.8
10.5
Derivative instruments deemed to be guarantees—
—
78.5
78.5
—
—
97.7
97.7
Loans sold with recourse—
—
0.2
0.2
—
—
0.2
0.2
Securities lending indemnifications—
—
79.0
79.0
—
—
97.0
97.0
Credit card merchant processing—
—
84.2
84.2
—
—
83.8
83.8
Credit card arrangements with partners—
—
1.4
1.4
Custody indemnifications and other51.6
0.1
—
51.7
51.5
0.3
0.2
52.0
Total$127.4
$19.6
$254.9
$401.9
$125.3
$15.5
$295.0
$435.8

 Maximum potential amount of future payments
In billions of dollars at December 31, 2016
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$66.8
$13.4
$12.9
$93.1
Performance guarantees6.3
4.0
0.8
11.1
Derivative instruments deemed to be guarantees—
—
87.2
87.2
Loans sold with recourse—
—
0.2
0.2
Securities lending indemnifications—
—
80.3
80.3
Credit card merchant processing—
—
86.4
86.4
Credit card arrangements with partners—
—
1.5
1.5
Custody indemnifications and other45.3
0.1
—
45.4
Total$118.4
$17.5
$269.3
$405.2


Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments as of June 30, 2016 and December 31, 2015:commitments:
In millions of dollarsU.S.
Outside of 
U.S.
June 30,
2016
December 31,
2015
U.S.
Outside of 
U.S.
June 30,
2017
December 31,
2016
Commercial and similar letters of credit$1,204
$4,121
$5,325
$6,102
$913
$4,275
$5,188
$5,736
One- to four-family residential mortgages1,604
1,807
3,411
3,196
1,589
1,681
3,270
2,838
Revolving open-end loans secured by one- to four-family residential properties12,361
2,088
14,449
14,726
11,487
1,551
13,038
13,405
Commercial real estate, construction and land development7,940
1,280
9,220
10,522
10,816
1,394
12,210
10,781
Credit card lines571,146
98,243
669,389
573,057
577,326
98,938
676,264
664,335
Commercial and other consumer loan commitments167,467
89,125
256,592
271,076
168,318
95,569
263,887
259,934
Other commitments and contingencies2,838
6,888
9,726
9,982
2,163
9,371
11,534
11,267
Total$764,560
$203,552
$968,112
$888,661
$772,612
$212,779
$985,391
$968,296

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 letters of credit
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 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 secured by one- to four-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, construction and land 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 lines
Citigroup provides credit to customers by issuing credit cards. The credit card lines are cancellable by providing notice to the cardholder or without such notice as permitted by local law.

Commercial and other 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.

Other commitments and contingencies
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.





25.23.   CONTINGENCIES

The following information supplements and amends, as applicable, the disclosures in Note 28 to the Consolidated Financial Statements of Citigroup’s 2015 Annual Report on Form 10-K and Note 2523 to the Consolidated Financial Statements of Citigroup’s First Quarter of 2017 Form 10-Q and Note 27 to the Consolidated Financial Statements of Citigroup’s 2016 Annual Report on Form 10-Q.10-K. For purposes of this Note, Citigroup, its affiliates and subsidiaries and current and former officers, directors and employees, are sometimes collectively referred to as Citigroup and Related Parties.
In accordance with ASC 450, Citigroup establishes accruals for contingencies, including 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. Once established, accruals are adjusted from time to time, as appropriate, in light of additional information. The amount of loss ultimately incurred in relation to those matters may be substantially higher or lower than the amounts accrued for those matters.
If Citigroup has not accrued for a matter because the matter does not meet the criteria for accrual (as set forth above), or Citigroup believes an exposure to loss exists in excess of the amount accrued for a particular matter, in each case assuming a material loss is reasonably possible, Citigroup discloses the matter. In addition, for such matters, Citigroup discloses an estimate of the aggregate reasonably possible loss or range of loss in excess of the amounts accrued for those matters as to which an estimate can be made. At June 30, 2016,2017, Citigroup’s estimate was materially unchanged from its estimate of the reasonably possible unaccrued loss for these matters ranges up to approximately $3.0$1.5 billion in the aggregate as of March 31, 2016.aggregate.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosuredisclosures 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, Citigroup may have only preliminary, incomplete or inaccurate information about the facts underlying the claim; its assumptions about the future rulings of the court or other tribunal on significant issues, or the behavior and incentives of adverse parties or regulators, may prove to be wrong; and the outcomes it is attempting to predict are often not amenable to the use of statistical or other quantitative analytical tools. In addition, from time to time an outcome may occur that Citigroup had not accounted for in its estimates because it had deemed such an outcome to be remote. For all these reasons, the amount of loss in excess of accruals ultimately incurred for the matters as to which an estimate has been made could be substantially higher or lower than the range of loss included in the estimate.
Subject to the foregoing, it is the opinion of Citigroup's management, based on current knowledge and after taking into account its current legal accruals, that the eventual outcome of all matters described in this Note would not be likely to have a material adverse effect on the consolidated financial condition
 
of Citigroup. Nonetheless, given the substantial or indeterminate amounts sought in certain of these matters and the inherent unpredictability of such matters, an adverse outcome in certain of these matters could, from time to time, have a material adverse effect on Citigroup’s consolidated results of operations or cash flows in particular quarterly or annual periods.
For further information on ASC 450 and Citigroup's accounting and disclosure framework for contingencies, including for litigation and regulatory matters disclosed herein, see Note 2827 to the Consolidated Financial Statements of Citigroup’s 20152016 Annual Report on Form 10-K.

Credit Crisis-Related Litigation and Other Matters
Mortgage-Related Litigation and Other Matters
Derivative Actions and Related Proceedings:Mortgage Backed Securities Trustee Actions:
On June 7, 2016, defendants moved to dismiss plaintiff’s derivative complaintMay 23, 2017, the plaintiffs cross-moved for partial summary judgment in IRA FOR THE BENEFIT OF VICTORIA SHAEV v. CORBAT,FIXED INCOME SHARES: SERIES M ET AL. v. CITIBANK N.A. Additional information concerning this action is publicly available in court filings under the docket number 652066/201614-cv-9373 (S.D.N.Y.) (Furman, J.).
On June 27, 2017, the court granted in part and denied in part Citibank’s motion to dismiss the amended complaint in FIXED INCOME SHARES: SERIES M ET AL. v. CITIBANK N.A., pending in New York State Supreme Court. Additional information concerning this action is publicly available in court filings under the docket number 653891/2015 (N.Y. Sup. Ct.) (Bransten,(Ramos, J.).
On July 11, 2017, in FEDERAL DEPOSIT INSURANCE CORPORATION AS RECEIVER FOR GUARANTY BANK v. CITIBANK N.A., the court denied plaintiff’s motion for reconsideration but granted the plaintiff leave to amend the complaint within 90 days to establish its standing to sue. Additional information concerning this action is publicly available in court filings under the docket number 15-cv-6574 (S.D.N.Y.) (Carter, J.).

Credit Default Swaps Matters
Antitrust and Other Litigation: On June 8, 2017, a complaint was filed in the United States District Court for the Southern District of New York against numerous credit default swap (CDS) market participants, including Citigroup, Citibank, CGMI and CGML, under the caption TERA GROUP, INC., ET AL. v. CITIGROUP INC., ET AL. The complaint alleges that defendants colluded to prevent plaintiffs’ electronic CDS trading platform, TeraExchange, from entering the market, resulting in lost profits to plaintiffs.  The complaint asserts federal and state antitrust claims, and claims for unjust enrichment and tortious interference with business relations.  Plaintiffs are seeking a finding of joint and several liability, treble damages, attorneys’ fees, pre and post judgment interest and a permanent injunction. Additional information concerning this action is publicly available in court filings under the docket number 17-cv-04302 (S.D.N.Y.) (Sullivan, J.).

Lehman Brothers Bankruptcy Proceedings


Foreign Exchange Matters
Antitrust and Other Litigation: On June 6, 2016, a motion for approval of the settlementMay 5, 2017, in LEHMAN BROTHERS FINANCE AGNYPL v. CITIBANK, N.A.JPMORGAN CHASE & CO., ET AL. was filed with the bankruptcy court., plaintiffs moved for leave to amend their previously dismissed complaint, which defendants opposed on June 14, 2017. Additional information concerning this action is publicly available in court filings under the docket numbers 14-0205015 Civ. 2290 (N.D. Cal.) (Chhabria, J.) and 09-10583 (Bankr. S.D.N.Y.15 Civ. 9300 (S.D.N.Y.) (Chapman,(Schofield, J.).

Terra Firma Litigation
On April 28, 2017, plaintiffs voluntarily dismissed their amended complaint in BAKER ET AL. v. BANK OF AMERICA CORPORATION ET AL. On April 28 and June 15, 2016, by consent10, 2017, plaintiffs (including certain of the parties, the English High Court of Justice dismissed Terra Firma’s lawsuitBaker plaintiffs) filed two new putative class action suits, captioned CONTANT ET AL. v. BANK OF AMERICA CORPORATION ET AL. and LAVENDER ET AL. v. BANK OF AMERICA CORPORATION ET AL; respectively, against Citigroup Global Markets Limited (CGML), Citibank and Citigroup with prejudice and ordered Terra Firma to pay the Citigroup defendants’ costs associated with defending the lawsuit. 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).

Interest Rate Swaps Matters
Numerous interest rate swap (IRS) market participants,various financial institutions, including Citigroup, Citibank, Citigroup Global Markets Inc.Citicorp, and CGML,CGMI. The suits were named as defendants in industry-wide putative class actions filed inon behalf of purported classes of indirect purchasers of FX instruments sold by the United States District Courts for the Southern District of New York and the Northern District of Illinois. These actions have been consolidated before Judge Paul A. Engelmayer in the United States District Court for the Southern District of New York under the caption IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION.defendants. Plaintiffs in these actionseach case allege that defendants colludedengaged in a conspiracy to preventfix currency prices in violation of the development of exchange-like trading for IRS, thereby causing the putative classes to suffer losses in connection with their IRS investments. Plaintiffs assert federal antitrust claimsSherman Act and claims for unjust enrichment. Also consolidated under the same caption are two individual actions filed by swap execution facilities, asserting federal andvarious state antitrust claimslaws, and seek unspecified money damages (including treble damages), as well as claims for unjust



enrichment and tortious interference with business relations. Plaintiffs in all of these actions seek treble damages, fees, costsequitable and injunctive relief. On June 30, 2017, the CONTANT and LAVENDER plaintiffs filed a consolidated class action complaint in CONTANT. Additional information concerning these actions is publicly available in court filings under the docket numbers 16-MD-2704 (S.D.N.Y.) (Engelmayer, J.), 15-cv-09319 (S.D.N.Y.) (Engelmayer, J.), 16-cv-02858 (S.D.N.Y.) (Engelmayer, J.), 16-cv-03542 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04005 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04089 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04239 (S.D.N.Y.) (Engelmayer, J.), 16-cv-02382 (Lefkow, J.) (N.D. Ill.), 16-cv-04561 (S.D.N.Y.) (Engelmayer, J.), 16-cv-04950 (N.D. Ill.) (Dow, J.); 16-cv-04566 (S.D.N.Y.) (Engelmayer, J.), 16-cv-05409 (N.D. Ill.) (Ellis, J.) and 16-cv-04563 (S.D.N.Y.) (Engelmayer, J.).

Foreign Exchange Matters
Antitrust and Other Litigation: On June 8, 2016, in NYPL v. JPMORGAN CHASE & CO., ET AL., the court denied defendants’ motion to stay and granted defendants’ motion to consolidate the case for discovery purposes with the consolidated proceeding captioned IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. Additional information concerning this action is publicly available in court filings under the docket numbers 1316 Civ. 77897512 (S.D.N.Y.) (Schofield, J.) and 15, 17 Civ. 93004392 (S.D.N.Y.) (Schofield, J.).
On April 15, 2016, in ALLEN v. BANK OF AMERICA CORPORATION, ET AL., the settling defendants in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION moved to enjoin the ALLEN action pending final settlement approval in IN RE FOREIGN EXCHANGE BENCHMARK RATES ANTITRUST LITIGATION. On June 1, 2016, the court granted the motion in part as to claims based on collusive conduct and directed plaintiffs to file a separate pleading for claims based exclusively on non-collusive conduct. The plaintiffs filed a third amended complaint on July 15, 2016. Additional information concerning this action is publicly available in court filings under the docket numbers 1317 Civ. 7789 (S.D.N.Y.) (Schofield, J.) and 15 Civ. 42853139 (S.D.N.Y.) (Schofield, J.).
On May 19, 2016,July 11, 2017, in NEGRETE v. CITIBANK, N.A., the court granted Citibank’s motion to dismiss and denied plaintiffs’ cross-motionmotion for summaryentry of final judgment while granting leave for plaintiffsas to replead. On June 20, 2016, plaintiffs filed an amended complaint, and, on Julythe claims dismissed in the court’s February 27, 2016, Citibank filed a motion to dismiss the amended complaint.2017 order. Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 7250 (S.D.N.Y.) (Sweet, J.).
On March 10, 2016, Citibank, Citigroup and various other banks were joined as defendants inJuly 12, 2017, a pro seputative class action captioned WAH ET AL.ALPARI (US), LLC v. HSBC NORTH AMERICA HOLDINGSCITIGROUP, INC. ET AL. pendingAND CITIBANK, N.A. was filed in the United States District Court for the Southern District of New York. The complaintPlaintiff asserts claims based onfor breach of contract and unjust enrichment arising out of alleged cancellation of electronic FX market collusion in violation of the Sherman Acttransactions and Commodity Exchange Act.  On March 31, 2016, plaintiffs filed an amended complaint. On April 29, 2016, Citiseeks damages, restitution, injunctive relief, and the other newly-joined defendants joined a
previously filed motion to dismiss or stay the action.attorneys’ fees.  Additional information concerning this action is publicly available in court filings under the docket number 1517 Civ. 089745269 (S.D.N.Y.) (Schofield,.

Interbank Offered Rates-Related Litigation and Other
Matters
Antitrust and Other Litigation: In May 2017, plaintiffs in IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION (the LIBOR MDL) filed motions to certify proposed classes in the over-the-counter (OTC), exchange-based, and lender class actions. On June 8, 2017, Judge Buchwald entered partial final judgment for the OTC plaintiffs, allowing them to appeal parts of the court’s December 20, 2016 decision to the United States Court of Appeals for the Second Circuit.  Additional information concerning these actions is publicly available in court filings
under the docket number 11 MD 2262 (S.D.N.Y.) (Buchwald, J.).
Derivative Actions and Related Proceedings: On April 19,The Schwab plaintiffs, whose claims were dismissed in their entirety in December 2016, plaintiffs in OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM, ET AL. v. CORBAT, ET AL. filed a supplemental complaint. On June 30, 2016, defendants movednotice of appeal to dismiss the supplemental complaint.Second Circuit on May 12, 2017. Additional information concerning this action is publicly available in court filings under the docket number C.A. No. 12151-VCG (Del. Ch.) (Glasscock, Ch.17-1569 (2d Cir.).

Interbank Offered Rates-Related Litigation and Other Matters
Regulatory Actions: On May 25, 2016, Citibank, Citigroup Global Markets Japan Inc. and Citibank Japan Limited entered into a civil settlement withApril 27, 2017, in FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD ET AL. v. CITIBANK, N.A. ET AL., the CFTC, concluding the CFTC’s investigation into U.S. Dollar LIBOR, yen LIBOR and Euroyen TIBOR. As partcourt held oral argument on defendants’ motions to dismiss. The court indicated at argument that it intends to dismiss most of the settlement, Citigroup agreedplaintiffs’ claims with leave to pay a civil monetary penalty in the amount of $175 million and to enhance further the control framework governing its rate submissions.
Antitrust and Other Litigation: On May 23, 2016, United States Court of Appeals for the Second Circuit reversed the district court’s dismissal of antitrust claims in the action captioned IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION and remanded “efficient enforcer” issues to the district court.replead some claims. Additional information concerning these actions is publicly available in court filings under the docket number 11 MD 226216 Civ. 5263 (S.D.N.Y.) (Buchwald,(Hellerstein, J.).

Interest Rate Swaps Matters
Antitrust and Other Litigation: On July 1, 2016, a putative class action captioned FRONTPOINT ASIAN EVENT DRIVEN FUND, LTD. ET AL v. CITIBANK, N.A. ET AL. was filed28, 2017, in IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION, the United States District Court for the Southern District of New York against Citibank, Citigroupcourt ruled on defendants’ motions to dismiss, granting them in part and various other banks. Plaintiffs assert claims for violation of the Sherman Act, Clayton Act and RICO Act, as well as state law claims for alleged manipulation of the Singapore Interbank Offered Rate and Singapore Swap Offer Rate.denying them in part. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 05263MD 2704 (S.D.N.Y.) (Hellerstein, J.).

Interchange Fees Litigation
On June 30, 2016, the United States Court of Appeals for the Second Circuit reversed the district court’s approval of the class settlement and remanded for further proceedings.  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.) and 12-4671 (2d Cir.).

ISDAFIX-Related Litigation and Other Matters
Regulatory Actions: On May 25, 2016, Citibank entered into a civil settlement with the CFTC, concluding the CFTC’s ISDAFIX investigation. As part of the settlement, Citibank agreed to pay a civil monetary penalty in the amount of $250 million and to enhance further the control framework governing interest-rate swap benchmarks.



Antitrust and Other Litigation: On May 11, 2016, the court granted plaintiffs’ motion for preliminary approval of settlement with Citigroup and six other banks. Additional information concerning these actions is publicly available in court filings under the consolidated lead docket number 14 Civ. 7126 (S.D.N.Y.) (Furman,(Engelmayer, J.).

Money Laundering Inquiries
Derivative ActionsRegulatory Actions: As previously announced, on May 22, 2017, the United States Department of Justice, Citigroup, and Citigroup’s subsidiary, Banamex, USA (BUSA), announced a settlement of all remaining open inquiries conducted jointly by the Department and the U.S. Attorney’s Office for the District of Massachusetts concerning the Bank Secrecy Act and anti-money laundering compliance of Citigroup and related entities, including BUSA. The settlement includes a non-prosecution agreement and forfeiture amount of approximately $97 million.

Sovereign Securities Matters
Antitrust and Other Litigation: On July 14, 2017, defendants, including Citigroup and Related Proceedings: As described above in Foreign Exchange Matters, on April 19, 2016, plaintiffs in OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM, ET AL. v. CORBAT, ET AL. filed a supplemental complaint. On June 30, 2016, defendantsParties, moved to dismiss the supplemental complaint.consolidated amended complaint in IN RE SSA BONDS ANTITRUST LITIGATION. Additional information concerningrelating to this action is publicly available in court filings under the docket number C.A. No. 12151-VCG (Del. Ch.16 Civ. 03711 (S.D.N.Y.) (Glasscock, Ch.(Ramos, J.).

Oceanografia Fraud and Related Matters
On May 9, 2016, Citigroup filed a motion to dismiss the complaint brought by 39 plaintiffs alleging that Citigroup conspired with Oceanografia, S.A. de C.V. (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.  Additional information concerning this action is publicly available in court filings under the docket number 16-20725 (S.D. Fla.) (Gayles, J.).

Settlement Payments
Payments required in settlement agreements described above have been made or are covered by existing litigation accruals.









26.24.   CONDENSED CONSOLIDATING FINANCIAL STATEMENTS

Citigroup amended its Registration Statement on Form S-3 on file with the SEC (File No. 33-192302) to add its wholly owned subsidiary, Citigroup Global Markets Holdings Inc. (CGMHI), as a co-registrant. Any securities issued by CGMHI under the Form S-3 will be fully and unconditionally guaranteed by Citigroup.
The following are the Condensed Consolidating Statements of Income and Comprehensive Income for the three and six months ended June 30, 20162017 and 2015,2016, Condensed Consolidating Balance Sheet as of June 30, 20162017 and December 31, 20152016 and Condensed Consolidating Statement of Cash Flows for the six months ended June 30, 20162017 and 20152016 for Citigroup Inc., the parent holding company (Citigroup parent company), CGMHI, other Citigroup subsidiaries and eliminations and total consolidating adjustments. “Other Citigroup subsidiaries and eliminations” includes all other subsidiaries of Citigroup, intercompany eliminations and income (loss) from discontinued operations. “Consolidating adjustments” includes Citigroup parent company elimination of distributed and undistributed income of subsidiaries and investment in subsidiaries.
These Condensed Consolidating Financial Statements have been prepared and presented in accordance with SEC Regulation S-X Rule 3-10, “Financial Statements of Guarantors and Issuers of Guaranteed Securities Registered or Being Registered.”
These Condensed Consolidating Financial Statements schedules are presented for purposes of additional analysis, but should be considered in relation to the Consolidated Financial Statements of Citigroup taken as a whole.






































Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended June 30, 2016Three Months Ended June 30, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$2,900
 $—
 $—
 $(2,900) $—
$2,515
 $—
 $—
 $(2,515) $—
Interest revenue1
 1,251
 13,104
 —
 14,356
(1) 1,404
 13,798
 —
 15,201
Interest revenue—intercompany668
 139
 (807) —
 —
1,076
 377
 (1,453) —
 —
Interest expense1,094
 401
 1,625
 —
 3,120
1,136
 546
 2,354
 —
 4,036
Interest expense—intercompany38
 416
 (454) —
 —
263
 653
 (916) —
 —
Net interest revenue$(463) $573
 $11,126
 $—
 $11,236
$(324) $582
 $10,907
 $—
 $11,165
Commissions and fees$—
 $1,119
 $1,606
 $—
 $2,725
$—
 $1,279
 $1,658
 $—
 $2,937
Commissions and fees—intercompany(17) (24) 41
 —
 —
(1) 108
 (107) —
 —
Principal transactions(186) 2,394
 (392) —
 1,816
1,122
 398
 1,042
 —
 2,562
Principal transactions—intercompany(217) (1,791) 2,008
 —
 —
396
 290
 (686) —
 —
Other income(585) 51
 2,305
 —
 1,771
(1,601) 87
 2,751
 —
 1,237
Other income—intercompany736
 339
 (1,075) —
 —
161
 (7) (154) —
 —
Total non-interest revenues$(269) $2,088
 $4,493
 $—
 $6,312
$77
 $2,155
 $4,504
 $—
 $6,736
Total revenues, net of interest expense$2,168
 $2,661
 $15,619
 $(2,900) $17,548
$2,268
 $2,737
 $15,411
 $(2,515) $17,901
Provisions for credit losses and for benefits and claims$—
 $—
 $1,409
 $—
 $1,409
$—
 $1
 $1,716
 $—
 $1,717
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$(16) $1,202
 $4,043
 $—
 $5,229
$(1) $1,212
 $4,252
 $—
 $5,463
Compensation and benefits—intercompany23
 —
 (23) —
 —
20
 —
 (20) —
 —
Other operating213
 412
 4,515
 —
 5,140
(344) 443
 4,944
 —
 5,043
Other operating—intercompany79
 322
 (401) —
 —
10
 502
 (512) —
 —
Total operating expenses$299
 $1,936
 $8,134
 $—
 $10,369
$(315) $2,157
 $8,664
 $—
 $10,506
Income (loss) before income taxes and equity in undistributed income of subsidiaries$1,869
 $725
 $6,076
 $(2,900) $5,770
Equity in undistributed income of subsidiaries$1,183
 $—
 $—
 $(1,183) $—
Income (loss) from continuing operations before income taxes$3,766
 $579
 $5,031
 $(3,698) $5,678
Provision (benefit) for income taxes(420) 157
 1,986
 —
 1,723
(106) 261
 1,640
 —
 1,795
Equity in undistributed income of subsidiaries1,709
 —
 —
 (1,709) —
Income (loss) from continuing operations$3,998
 $568
 $4,090
 $(4,609) $4,047
Loss from discontinued operations, net of taxes—
 —
 (23) —
 (23)
Net income (loss) before attribution of noncontrolling interests$3,998
 $568
 $4,067
 $(4,609) $4,024
Net income (loss) attributable to noncontrolling interests—
 (3) 29
 —
 26
Net income (loss) after attribution of noncontrolling interests$3,998
 $571
 $4,038
 $(4,609) $3,998
Income from continuing operations$3,872
 $318
 $3,391
 $(3,698) $3,883
Income from discontinued operations, net of taxes—
 —
 21
 —
 21
Net income before attribution of noncontrolling interests$3,872
 $318
 $3,412
 $(3,698) $3,904
Noncontrolling interests—
 —
 32
 —
 32
Net income$3,872
 $318
 $3,380
 $(3,698) $3,872
Comprehensive income

 

 

 

 



 

 

 

 

Other comprehensive income (loss)$511
 $58
 $569
 $(627) $511
Comprehensive income$4,509
 $629
 $4,607
 $(5,236) $4,509
Add: Other comprehensive income (loss)$514
 $(38) $(155) $193
 $514
Total Citigroup comprehensive income$4,386
 $280
 $3,225
 $(3,505) $4,386
Add: Other comprehensive income attributable to noncontrolling interests$—

$—

$39
 $—
 $39
Add: Net income attributable to noncontrolling interests—

—

32
 —
 32
Total comprehensive income$4,386
 $280
 $3,296
 $(3,505) $4,457



Condensed Consolidating Statements of Income and Comprehensive Income
Three Months Ended June 30, 2015Three Months Ended June 30, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$3,500
 $—
 $—
 $(3,500) $—
$2,900
 $—
 $—
 $(2,900) $—
Interest revenue2
 1,240
 13,631
 —
 14,873
1
 1,251
 13,104
 —
 14,356
Interest revenue—intercompany711
 67
 (778) —
 —
668
 139
 (807) —
 —
Interest expense1,154
 277
 1,620
 —
 3,051
1,094
 401
 1,625
 —
 3,120
Interest expense—intercompany(155) 304
 (149) —
 —
38
 416
 (454) —
 —
Net interest revenue$(286) $726
 $11,382
 $—
 $11,822
$(463) $573
 $11,126
 $—
 $11,236
Commissions and fees$—
 $1,319
 $1,875
 $—
 $3,194
$—
 $1,119
 $1,606
 $—
 $2,725
Commissions and fees—intercompany—
 44
 (44) —
 —
(17) (24) 41
 —
 —
Principal transactions790
 873
 510
 —
 2,173
(186) 2,394
 (392) —
 1,816
Principal transactions—intercompany(340) (575) 915
 —
 —
(217) (1,791) 2,008
 —
 —
Other income1,161
 (71) 1,191
 —
 2,281
(585) 51
 2,305
 —
 1,771
Other income—intercompany(1,194) 47
 1,147
 —
 —
736
 339
 (1,075) —
 —
Total non-interest revenues$417
 $1,637
 $5,594
 $—
 $7,648
$(269) $2,088
 $4,493
 $—
 $6,312
Total revenues, net of interest expense$3,631
 $2,363
 $16,976
 $(3,500) $19,470
$2,168
 $2,661
 $15,619
 $(2,900) $17,548
Provisions for credit losses and for benefits and claims$—
 $—
 $1,648
 $—
 $1,648
$—
 $—
 $1,409
 $—
 $1,409
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$13
 $1,243
 $4,227
 $—
 $5,483
$(16) $1,202
 $4,043
 $—
 $5,229
Compensation and benefits—intercompany23
 —
 (23) —
 —
23
 —
 (23) —
 —
Other operating(189) 491
 5,143
 —
 5,445
213
 412
 4,515
 —
 5,140
Other operating—intercompany73
 200
 (273) —
 —
79
 322
 (401) —
 —
Total operating expenses$(80) $1,934
 $9,074
 $—
 $10,928
$299
 $1,936
 $8,134
 $—
 $10,369
Income (loss) before income taxes and equity in undistributed income of subsidiaries$3,711
 $429
 $6,254
 $(3,500) $6,894
Equity in undistributed income of subsidiaries$1,709
 $—
 $—
 $(1,709) $—
Income (loss) from continuing operations before income
taxes
$3,578
 $725
 $6,076
 $(4,609) $5,770
Provision (benefit) for income taxes(97) (255) 2,388
 —
 2,036
(420) 157
 1,986
 —
 1,723
Equity in undistributed income of subsidiaries1,038
 —
 —
 (1,038) —
Income (loss) from continuing operations$4,846
 $684
 $3,866
 $(4,538) $4,858
$3,998
 $568
 $4,090
 $(4,609) $4,047
Income from discontinued operations, net of taxes—
 —
 6
 —
 6
Loss from discontinued operations, net of taxes—
 —
 (23) —
 (23)
Net income (loss) before attribution of noncontrolling interests$4,846
 $684
 $3,872
 $(4,538) $4,864
$3,998
 $568
 $4,067
 $(4,609) $4,024
Net income (loss) attributable to noncontrolling interests—
 (1) 19
 —
 18
Net income (loss) after attribution of noncontrolling interests$4,846
 $685
 $3,853
 $(4,538) $4,846
Noncontrolling interests—
 (3) 29
 —
 26
Net income (loss)$3,998
 $571
 $4,038
 $(4,609) $3,998
Comprehensive income

 

 

 

 



 

 

 

 

Other comprehensive income (loss)$(413) $(48) $(711) $759
 $(413)
Comprehensive income$4,433
 $637
 $3,142
 $(3,779) $4,433
Add: Other comprehensive income (loss)$511
 $58
 $1,708
 $(1,766) $511
Total Citigroup comprehensive income (loss)$4,509

$629


$5,746
 $(6,375) $4,509
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
—
$(50) $—
 $(50)
Add: Net income attributable to noncontrolling interests—
 (3)

29
 —
 26
Total comprehensive income (loss)$4,509

$626


$5,725
 $(6,375) $4,485


Condensed Consolidating Statements of Income and Comprehensive Income
Six Months Ended June 30, 2016Six Months Ended June 30, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$5,700
 $—
 $—
 $(5,700) $—
$6,265
 $—
 $—
 $(6,265) $—
Interest revenue3
 2,397
 26,123
 —
 28,523
—
 2,431
 27,193
 —
 29,624
Interest revenue—intercompany1,540
 275
 (1,815) —
 —
1,869
 534
 (2,403) —
 —
Interest expense2,164
 765
 3,131
 —
 6,060
2,354
 942
 4,306
 —
 7,602
Interest expense—intercompany79
 845
 (924) —
 —
353
 1,079
 (1,432) —
 —
Net interest revenue$(700) $1,062
 $22,101
 $—
 $22,463
$(838) $944
 $21,916
 $—
 $22,022
Commissions and fees$—
 $2,079
 $3,109
 $—
 $5,188
$—
 $2,534
 $3,162
 $—
 $5,696
Commissions and fees—intercompany(19) (30) 49
 —
 —
(1) 110
 (109) —
 —
Principal transactions(395) 2,257
 1,794
 —
 3,656
959
 2,004
 2,621
 —
 5,584
Principal transactions—intercompany41
 (1,043) 1,002
 —
 —
600
 (392) (208) —
 —
Other income(3,679) 127
 7,348
 —
 3,796
(1,640) 161
 4,198
 —
 2,719
Other income—intercompany3,996
 199
 (4,195) —
 —
38
 27
 (65) —
 —
Total non-interest revenues$(56) $3,589
 $9,107
 $—
 $12,640
$(44) $4,444
 $9,599
 $—
 $13,999
Total revenues, net of interest expense$4,944
 $4,651
 $31,208
 $(5,700) $35,103
$5,383
 $5,388
 $31,515
 $(6,265) $36,021
Provisions for credit losses and for benefits and claims$—
 $—
 $3,454
 $—
 $3,454
$—
 $1
 $3,378
 $—
 $3,379
Operating expenses                  
Compensation and benefits$(8) $2,491
 $8,302
 $—
 $10,785
$(15) $2,474
 $8,538
 $—
 $10,997
Compensation and benefits—intercompany26
 —
 (26) —
 —
51
 —
 (51) —
 —
Other operating480
 798
 8,829
 —
 10,107
(316) 849
 9,453
 —
 9,986
Other operating—intercompany80
 629
 (709) —
 —
(49) 970
 (921) —
 —
Total operating expenses$578
 $3,918
 $16,396
 $—
 $20,892
$(329) $4,293
 $17,019
 $—
 $20,983
Income (loss) before income taxes and equity in undistributed income of subsidiaries$4,366
 $733
 $11,358
 $(5,700) $10,757
Equity in undistributed income of subsidiaries$1,770
 $—
 $—
 $(1,770) $—
Income (loss) from continuing operations before income
taxes

$7,482
 $1,094
 $11,118
 $(8,035) $11,659
Provision (benefit) for income taxes(480) 194
 3,488
 —
 3,202
(480) 476
 3,662
 —
 3,658
Equity in undistributed income of subsidiaries2,653
 —
 —
 (2,653) —
Income (loss) from continuing operations$7,499
 $539
 $7,870
 $(8,353) $7,555
$7,962
 $618
 $7,456
 $(8,035) $8,001
Loss from discontinued operations, net of taxes—
 —
 (25) —
 (25)
Income from discontinued operations, net of taxes—
 —
 3
 —
 3
Net income (loss) before attribution of noncontrolling interests$7,499
 $539
 $7,845
 $(8,353) $7,530
$7,962
 $618
 $7,459
 $(8,035) $8,004
Net income (loss) attributable to noncontrolling interests—
 (1) 32
 —
 31
Net income (loss) after attribution of noncontrolling interests$7,499
 $540
 $7,813
 $(8,353) $7,499
Noncontrolling interests—
 —
 42
 —
 42
Net income (loss)$7,962
 $618
 $7,417
 $(8,035) $7,962
Comprehensive income                  
Other comprehensive income (loss)$3,244
 $105
 $3,608
 $(3,713) $3,244
Comprehensive income$10,743
 $645
 $11,421
 $(12,066) $10,743
Add: Other comprehensive income (loss)$1,978
 $(58) $(3,876) $3,934
 $1,978
Total Citigroup comprehensive income (loss)$9,940
 $560
 $3,541
 $(4,101) $9,940
Add: other comprehensive income attributable to noncontrolling interests$—
 $—
 $70
 $—
 $70
Add: Net income attributable to noncontrolling interests—
 —
 42
 —
 42
Total comprehensive income (loss)$9,940
 $560
 $3,653
 $(4,101) $10,052


Condensed Consolidating Statements of Income and Comprehensive Income
Six Months Ended June 30, 2015Six Months Ended June 30, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Revenues                  
Dividends from subsidiaries$4,600
 $—
 $—
 $(4,600) $—
$5,700
 $—
 $—
 $(5,700) $—
Interest revenue5
 2,247
 27,221
 —
 29,473
3
 2,397
 26,123
 —
 28,523
Interest revenue—intercompany1,383
 120
 (1,503) —
 —
1,540
 275
 (1,815) —
 —
Interest expense2,309
 505
 3,265
 —
 6,079
2,164
 765
 3,131
 —
 6,060
Interest expense—intercompany(331) 601
 (270) —
 —
79
 845
 (924) —
 —
Net interest revenue$(590) $1,261
 $22,723
 $—
 $23,394
$(700) $1,062
 $22,101
 $—
 $22,463
Commissions and fees$—
 $2,664
 $3,700
 $—
 $6,364
$—
 $2,079
 $3,109
 $—
 $5,188
Commissions and fees—intercompany—
 103
 (103) —
 —
(19) (30) 49
 —
 —
Principal transactions457
 2,189
 1,498
 —
 4,144
(395) 2,257
 1,794
 —
 3,656
Principal transactions—intercompany(669) (834) 1,503
 —
 —
41
 (1,043) 1,002
 —
 —
Other income3,176
 27
 2,101
 —
 5,304
(3,679) 127
 7,348
 —
 3,796
Other income—intercompany(2,614) 540
 2,074
 —
 —
3,996
 199
 (4,195) —
 —
Total non-interest revenues$350
 $4,689
 $10,773
 $—
 $15,812
$(56) $3,589
 $9,107
 $—
 $12,640
Total revenues, net of interest expense$4,360
 $5,950
 $33,496
 $(4,600) $39,206
$4,944
 $4,651
 $31,208
 $(5,700) $35,103
Provisions for credit losses and for benefits and claims$—
 $—
 $3,563
 $—
 $3,563
$—
 $—
 $3,454
 $—
 $3,454
Operating expenses
 
 
 
 

 
 
 
 
Compensation and benefits$48
 $2,511
 $8,444
 $—
 $11,003
$(8) $2,491
 $8,302
 $—
 $10,785
Compensation and benefits—intercompany30
 —
 (30) —
 —
26
 —
 (26) —
 —
Other operating(40) 948
 9,901
 —
 10,809
480
 798
 8,829
 —
 10,107
Other operating—intercompany130
 605
 (735) —
 —
80
 629
 (709) —
 —
Total operating expenses$168
 $4,064
 $17,580
 $—
 $21,812
$578
 $3,918
 $16,396
 $—
 $20,892
Income (loss) before income taxes and equity in undistributed income of subsidiaries$4,192
 $1,886
 $12,353
 $(4,600) $13,831
Equity in undistributed income of subsidiaries$2,653
 $—
 $—
 $(2,653) $—
Income (loss) from continuing operations before income taxes$7,019
 $733
 $11,358
 $(8,353) $10,757
Provision (benefit) for income taxes(726) 269
 4,613
 —
 4,156
(480) 194
 3,488
 —
 3,202
Equity in undistributed income of subsidiaries4,698
 —
 —
 (4,698) —
Income (loss) from continuing operations$9,616
 $1,617
 $7,740
 $(9,298) $9,675
$7,499
 $539
 $7,870
 $(8,353) $7,555
Income from discontinued operations, net of taxes—
 —
 1
 —
 1
Loss from discontinued operations, net of taxes—
 —
 (25) —
 (25)
Net income (loss) before attribution of noncontrolling interests$9,616
 $1,617
 $7,741
 $(9,298) $9,676
$7,499
 $539
 $7,845
 $(8,353) $7,530
Net income (loss) attributable to noncontrolling interests—
 (3) 63
 —
 60
Net income (loss) after attribution of noncontrolling interests$9,616
 $1,620
 $7,678
 $(9,298) $9,616
Noncontrolling interests—
 (1) 32
 —
 31
Net income (loss)$7,499
 $540
 $7,813
 $(8,353) $7,499
Comprehensive income

 

 

 

 



 

 

 

 

Other comprehensive income (loss)$(1,888) $(86) $(2,297) $2,383
 $(1,888)
Comprehensive income$7,728
 $1,534
 $5,381
 $(6,915) $7,728
Add: Other comprehensive income (loss)$3,244
 $105
 $1,173
 $(1,278) $3,244
Total Citigroup comprehensive income (loss)$10,743
 $645
 $8,986
 $(9,631) $10,743
Add: Other comprehensive income attributable to noncontrolling interests$—
 $—
 $(23) $—
 $(23)
Add: Net income attributable to noncontrolling interests—
 (1) 32
 —
 31
Total comprehensive income (loss)$10,743
 $644
 $8,995
 $(9,631) $10,751




Condensed Consolidating Balance Sheet
June 30, 2016June 30, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets                  
Cash and due from banks$—
 $348
 $21,792
 $—
 $22,140
$—
 $793
 $20,147
 $—
 $20,940
Cash and due from banks—intercompany133
 2,644
 (2,777) —
 —
160
 2,843
 (3,003) —
 —
Federal funds sold and resale agreements—
 188,567
 40,116
 —
 228,683
—
 188,379
 45,686
 —
 234,065
Federal funds sold and resale agreements—intercompany—
 8,901
 (8,901) —
 —
—
 15,478
 (15,478) —
 —
Trading account assets20
 136,124
 135,620
 —
 271,764
11
 136,853
 122,742
 —
 259,606
Trading account assets—intercompany801
 3,676
 (4,477) —
 —
1
 1,544
 (1,545) —
 —
Investments438
 357
 355,498
 —
 356,293
26
 167
 351,517
 —
 351,710
Loans, net of unearned income—
 845
 632,670
 —
 633,515
—
 891
 643,804
 —
 644,695
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,304) —
 (12,304)—
 —
 (12,025) —
 (12,025)
Total loans, net$—
 $845
 $620,366
 $—
 $621,211
$—
 $891
 $631,779
 $—
 $632,670
Advances to subsidiaries$117,175
 $—
 $(117,175) $—
 $—
$132,366
 $—
 $(132,366) $—
 $—
Investments in subsidiaries232,490
 —
 —
 (232,490) —
230,077
 —
 —
 (230,077) —
Other assets (1)
27,200
 42,046
 249,434
 —
 318,680
23,712
 55,983
 285,377
 —
 365,072
Other assets—intercompany55,579
 40,706
 (96,285) —
 —
15,650
 48,567
 (64,217) —
 —
Total assets$433,836
 $424,214
 $1,193,211
 $(232,490) $1,818,771
$402,003
 $451,498
 $1,240,639
 $(230,077) $1,864,063
Liabilities and equity

 
 
 
 


 
 
 
 
Deposits$—
 $—
 $937,852
 $—
 $937,852
$—
 $—
 $958,743
 $—
 $958,743
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 137,985
 20,016
 —
 158,001
—
 133,308
 21,472
 —
 154,780
Federal funds purchased and securities loaned or sold—intercompany185
 20,066
 (20,251) —
 —
—
 18,993
 (18,993) —
 —
Trading account liabilities—
 78,093
 58,214
 —
 136,307
—
 87,137
 49,608
 —
 136,745
Trading account liabilities—intercompany612
 2,973
 (3,585) —
 —
67
 1,629
 (1,696) —
 —
Short-term borrowings4
 771
 17,633
 —
 18,408
201
 3,217
 33,101
 —
 36,519
Short-term borrowings—intercompany—
 36,771
 (36,771) —
 —
—
 57,532
 (57,532) —
 —
Long-term debt148,431
 5,094
 53,923
 —
 207,448
147,257
 16,710
 61,212
 —
 225,179
Long-term debt—intercompany—
 40,990
 (40,990) —
 —
—
 28,795
 (28,795) —
 —
Advances from subsidiaries39,579
 —
 (39,579) —
 —
20,761
 —
 (20,761) —
 —
Other liabilities3,766
 59,368
 64,600
 —
 127,734
2,998
 60,092
 57,900
 —
 120,990
Other liabilities—intercompany9,371
 9,974
 (19,345) —
 —
700
 10,733
 (11,433) —
 —
Stockholders’ equity231,888
 32,129
 201,494
 (232,490) 233,021
230,019
 33,352
 197,813
 (230,077) 231,107
Total liabilities and equity$433,836
 $424,214
 $1,193,211
 $(232,490) $1,818,771
$402,003
 $451,498
 $1,240,639
 $(230,077) $1,864,063

(1)
Other assets for Citigroup parent company at June 30, 20162017 included $17.4$26.3 billion of placements to Citibank and its branches, of which $9.5$23.4 billion had a remaining term of less than 30 days.





Condensed Consolidating Balance Sheet
December 31, 2015December 31, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Assets                  
Cash and due from banks$—
 $592
 $20,308
 $—
 $20,900
$—
 $870
 $22,173
 $—
 $23,043
Cash and due from banks—intercompany124
 1,403
 (1,527) —
 —
142
 3,820
 (3,962) —
 —
Federal funds sold and resale agreements—
 178,178
 41,497
 —
 219,675
—
 196,236
 40,577
 —
 236,813
Federal funds sold and resale agreements—intercompany—
 15,035
 (15,035) —
 —
—
 12,270
 (12,270) —
 —
Trading account assets(8) 124,731
 125,233
 —
 249,956
6
 121,484
 122,435
 —
 243,925
Trading account assets—intercompany1,032
 1,765
 (2,797) —
 —
1,173
 907
 (2,080) —
 —
Investments484
 402
 342,069
 —
 342,955
173
 335
 352,796
 —
 353,304
Loans, net of unearned income—
 1,068
 616,549
 —
 617,617
—
 575
 623,794
 —
 624,369
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 (3) (12,623) —
 (12,626)—
 —
 (12,060) —
 (12,060)
Total loans, net$—
 $1,065
 $603,926
 $—
 $604,991
$—
 $575
 $611,734
 $—
 $612,309
Advances to subsidiaries$104,405
 $—
 $(104,405) $—
 $—
$143,154
 $—
 $(143,154) $—
 $—
Investments in subsidiaries221,362
 —
 —
 (221,362) —
226,279
 —
 —
 (226,279) —
Other assets(1)
25,819
 36,860
 230,054
 —
 292,733
23,734
 46,095
 252,854
 —
 322,683
Other assets—intercompany58,207
 30,737
 (88,944) —
 —
27,845
 38,207
 (66,052) —
 —
Total assets$411,425
 $390,768
 $1,150,379
 $(221,362) $1,731,210
$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077
Liabilities and equity
 
 
 
 


 
 
 
 

Deposits$—
 $—
 $907,887
 $—
 $907,887
$—
 $—
 $929,406
 $—
 $929,406
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 122,459
 24,037
 —
 146,496
—
 122,320
 19,501
 —
 141,821
Federal funds purchased and securities loaned or sold—intercompany185
 22,042
 (22,227) —
 —
—
 25,417
 (25,417) —
 —
Trading account liabilities—
 62,386
 55,126
 —
 117,512
—
 87,714
 51,331
 —
 139,045
Trading account liabilities—intercompany1,036
 2,045
 (3,081) —
 —
1,006
 868
 (1,874) —
 —
Short-term borrowings146
 188
 20,745
 —
 21,079
—
 1,356
 29,345
 —
 30,701
Short-term borrowings—intercompany—
 34,916
 (34,916) —
 —
—
 35,596
 (35,596) —
 —
Long-term debt141,914
 2,530
 56,831
 —
 201,275
147,333
 8,128
 50,717
 —
 206,178
Long-term debt—intercompany—
 51,171
 (51,171) —
 —
—
 41,287
 (41,287) —
 —
Advances from subsidiaries36,453
 —
 (36,453) —
 —
41,258
 —
 (41,258) —
 —
Other liabilities3,560
 55,482
 54,827
 —
 113,869
3,466
 57,430
 57,887
 —
 118,783
Other liabilities—intercompany6,274
 10,967
 (17,241) —
 —
4,323
 7,894
 (12,217) —
 —
Stockholders’ equity221,857
 26,582
 196,015
 (221,362) 223,092
225,120
 32,789
 194,513
 (226,279) 226,143
Total liabilities and equity$411,425
 $390,768
 $1,150,379
 $(221,362) $1,731,210
$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077

(1)
Other assets for Citigroup parent company at December 31, 20152016 included $21.8$20.7 billion of placements to Citibank and its branches, of which $13.9$6.8 billion had a remaining term of less than 30 days.




Condensed Consolidating Statement of Cash Flows
Six Months Ended June 30, 2016Six Months Ended June 30, 2017
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by operating activities of continuing operations$13,794
 $2,380
 $4,893
 $—
 $21,067
Net cash provided by (used in) operating activities of continuing operations$10,626
 $(18,060) $(14,077) $—
 $(21,511)
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $—
 $(108,359) $—
 $(108,359)$—
 $—
 $(96,925) $—
 $(96,925)
Proceeds from sales of investments—
 —
 66,138
 —
 66,138
132
 —
 56,596
 —
 56,728
Proceeds from maturities of investments46
 —
 33,337
 —
 33,383
—
 —
 47,785
 —
 47,785
Change in deposits with banks—
 (5,390) (10,406) —
 (15,796)—
 10,108
 (37,799) —
 (27,691)
Change in loans—
 —
 (30,170) —
 (30,170)—
 —
 (29,952) —
 (29,952)
Proceeds from sales and securitizations of loans—
 —
 7,021
 —
 7,021
—
 —
 6,256
 —
 6,256
Proceeds from significant disposals—
 —
 265
 —
 265
—
 —
 2,732
 —
 2,732
Change in federal funds sold and resales—
 (4,256) (4,752) —
 (9,008)—
 4,649
 (1,901) —
 2,748
Changes in investments and advances—intercompany(16,412) (5,125) 21,537
 —
 —
12,132
 (5,870) (6,262) —
 —
Other investing activities—
 —
 (987) —
 (987)—
 —
 (1,432) —
 (1,432)
Net cash used in investing activities of continuing operations$(16,366) $(14,771) $(26,376) $—
 $(57,513)
Net cash provided by (used in) investing activities of continuing operations$12,264
 $8,887
 $(60,902) $—
 $(39,751)
Cash flows from financing activities of continuing operations                  
Dividends paid$(828) $—
 $—
 $—
 $(828)$(1,504) $—
 $—
 $—
 $(1,504)
Issuance of preferred stock2,498
 —
 —
 —
 2,498
Treasury stock acquired(2,634) —
 —
 —
 (2,634)(3,635) —
 —
 —
 (3,635)
Proceeds (repayments) from issuance of long-term debt, net890
 2,512
 (3,115) —
 287
2,964
 3,887
 9,511
 —
 16,362
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (10,112) 10,112
 —
 —
—
 (3,100) 3,100
 —
 —
Change in deposits—
 —
 29,965
 ���
 29,965
—
 —
 29,337
 —
 29,337
Change in federal funds purchased and repos—
 13,550
 (2,045) —
 11,505
—
 4,564
 8,395
 —
 12,959
Change in short-term borrowings(160) 583
 (3,094) —
 (2,671)201
 1,861
 3,756
 —
 5,818
Net change in short-term borrowings and other advances—intercompany3,127
 1,855
 (4,982) —
 —
(20,497) 907
 19,590
 —
 —
Capital contributions from parent—
 5,000
 (5,000) —
 —
Other financing activities(312) —
 —
 —
 (312)(401) —
 —
 —
 (401)
Net cash provided by financing activities of continuing operations$2,581
 $13,388
 $21,841
 $—
 $37,810
Net cash provided by (used in) financing activities of continuing operations$(22,872) $8,119
 $73,689
 $—
 $58,936
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(124) $—
 $(124)$—
 $—
 $223
 $—
 $223
Change in cash and due from banks$9
 $997
 $234
 $—
 $1,240
$18
 $(1,054) $(1,067) $—
 $(2,103)
Cash and due from banks at beginning of period124
 1,995
 18,781
 —
 20,900
142
 4,690
 18,211
 —
 23,043
Cash and due from banks at end of period$133
 $2,992
 $19,015
 $—
 $22,140
$160
 $3,636
 $17,144
 $—
 $20,940
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 



 

 

 

 

Cash paid (refund) during the year for income taxes$(323) $40
 $2,328
 $—
 $2,045
$679
 $152
 $1,144
 $—
 $1,975
Cash paid during the year for interest2,040
 1,666
 2,020
 —
 5,726
119
 1,924
 5,286
 —
 7,329
Non-cash investing activities

 

 

 

 



 

 

 

 

Transfers to loans HFS from loans—
 —
 6,000
 —
 6,000
$—
 $—
 $3,300
 $—
 $3,300
Transfers to OREO and other repossessed assets—
 —
 97
 —
 97
—
 —
 58
 —
 58


Condensed Consolidating Statement of Cash Flows
Six Months Ended June 30, 2015Six Months Ended June 30, 2016
In millions of dollarsCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidatedCitigroup parent company CGMHI Other Citigroup subsidiaries and eliminations Consolidating adjustments Citigroup consolidated
Net cash provided by (used in) operating activities of continuing operations$16,287
 $(9,008) $11,067
 $—
 $18,346
$13,794
 $2,380
 $4,893
 $—
 $21,067
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $(4) $(140,941) $—
 $(140,945)$—
 $—
 $(108,359) $—
 $(108,359)
Proceeds from sales of investments—
 53
 89,654
 —
 89,707
—
 —
 66,138
 —
 66,138
Proceeds from maturities of investments181
 —
 44,551
 —
 44,732
46
 —
 33,337
 —
 33,383
Change in deposits with banks—
 (10,181) 7,270
 —
 (2,911)—
 (5,390) (10,406) —
 (15,796)
Change in loans—
 —
 (9,945) —
 (9,945)—
 —
 (30,170) —
 (30,170)
Proceeds from sales and securitizations of loans—
 —
 6,377
 —
 6,377
—
 —
 7,021
 —
 7,021
Proceeds from significant disposals—
 —
 265
 —
 265
Change in federal funds sold and resales—
 2,883
 2,633
 —
 5,516
—
 (4,256) (4,752) —
 (9,008)
Changes in investments and advances—intercompany(20,724) 2,602
 18,122
 —
 —
(16,412) (5,125) 21,537
 —
 —
Other investing activities1
 (43) (1,101) —
 (1,143)—
 —
 (987) —
 (987)
Net cash provided by (used in) investing activities of continuing operations$(20,542) $(4,690) $16,620
 $—
 $(8,612)
Net cash used in investing activities of continuing operations$(16,366) $(14,771) $(26,376) $—
 $(57,513)
Cash flows from financing activities of continuing operations                  
Dividends paid$(514) $—
 $—
 $—
 $(514)$(828) $—
 $—
 $—
 $(828)
Issuance of preferred stock3,486
 —
 —
 —
 3,486
2,498
 —
 —
 —
 2,498
Treasury stock acquired(1,850) —
 —
 —
 (1,850)(2,634) —
 —
 —
 (2,634)
Proceeds (repayments) from issuance of long-term debt, net7,046
 12,514
 (18,436) —
 1,124
890
 2,512
 (3,115) —
 287
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (232) 232
 —
 —
—
 (10,112) 10,112
 —
 —
Change in deposits—
 —
 8,705
 —
 8,705
—
 —
 29,965
 —
 29,965
Change in federal funds purchased and repos—
 4,511
 (937) —
 3,574
—
 13,550
 (2,045) —
 11,505
Change in short-term borrowings(349) (1,212) (30,867) —
 (32,428)(160) 583
 (3,094) —
 (2,671)
Net change in short-term borrowings and other advances—intercompany(3,126) (1,144) 4,270
 —
 —
3,127
 1,855
 (4,982) —
 —
Capital contributions from parent—
 5,000
 (5,000) —
 —
Other financing activities(423) —
 —
 —
 (423)(312) —
 —
 —
 (312)
Net cash provided by (used in) financing activities of continuing operations$4,270
 $14,437
 $(37,033) $—
 $(18,326)
Net cash provided by financing activities of continuing operations$2,581
 $13,388
 $21,841
 $—
 $37,810
Effect of exchange rate changes on cash and due from banks$—
 $—
 $(103) $—
 $(103)$—
 $—
 $(124) $—
 $(124)
Change in cash and due from banks$15
 $739
 $(9,449) $—
 $(8,695)$9
 $997
 $234
 $—
 $1,240
Cash and due from banks at beginning of period125
 1,751
 30,232
 —
 32,108
124
 1,995
 18,781
 —
 20,900
Cash and due from banks at end of period$140
 $2,490
 $20,783
 $—
 $23,413
$133
 $2,992
 $19,015
 $—
 $22,140
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 



 

 

 

 

Cash paid (refund) during the year for income taxes$(248) $348
 $2,763
 $—
 $2,863
$(323) $40
 $2,328
 $—
 $2,045
Cash paid during the year for interest2,332
 1,101
 2,045
 —
 5,478
2,040
 1,666
 2,020
 —
 5,726
Non-cash investing activities

 

 

 

 



 

 

 

 

Decrease in net loans associated with significant disposals reclassified to HFS$—
 $—
 $(8,874) $—
 $(8,874)
Decrease in investments associated with significant disposals reclassified to HFS—
 —
 (1,444) —
 (1,444)
Transfers to loans HFS from loans—
 —
 15,900
 —
 15,900
$—
 $—
 $6,000
 $—
 $6,000
Transfers to OREO and other repossessed assets—
 —
 158
 —
 158
—
 —
 97
 —
 97
Non-cash financing activities

 

 

 

 

Decrease in long-term debt associated with significant disposals reclassified to HFS

$—
 $—
 $(5,923) $—
 $(5,923)


UNREGISTERED SALES OF EQUITY SECURITIES, PURCHASES OF EQUITY SECURITIES AND 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:

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
April 2016  
April 2017  
Open market repurchases(1)
14.3
$43.82
$695
8.9
$59.01
$1,260
Employee transactions(2)
—
—
N/A
—
—
N/A
May 2016  
May 2017  
Open market repurchases(1)
8.7
44.91
304
9.8
60.80
661
Employee transactions(2)
—
—
N/A
—
—
N/A
June 2016  
June 2017  
Open market repurchases(1)
6.7
45.50
—
10.3
63.72
—
Employee transactions(2)
—
—
N/A
—
—
N/A
Total29.7
$44.52
$—
Total for 2Q17 and remaining program balance as of June 30, 201729.0
$61.29
$—
(1)Represents repurchases under the $7.8$10.4 billion 20152016 common stock repurchase program (2015(2016 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on March 11, 2015, whichJune 29, 2016. The 2016 Repurchase Program included the additional $1.75 billion increase in the program that was approved by Citigroup’s Board of Directors and announced on November 21, 2016. The 2016 Repurchase Program was part of the planned capital actions included by Citi in its 20152016 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 20152016 Repurchase Program were added to treasury stock. The 20152016 Repurchase Program expired on June 30, 2016.2017. On June 29, 2016,28, 2017, Citigroup announced an $8.6a $15.6 billion common stock repurchase program during the four quarters beginning in the third quarter of 2016 (20162017 (2017 Repurchase Program), which was part of the planned capital actions included by Citi as part of its 20162017 CCAR. The 20162017 Repurchase Program expires on June 30, 2017.2018. Shares repurchased under the 20162017 Repurchase Program will be 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. For additional information regarding Citi’s capital planning and stress testing, see “Capital Resources—Current Regulatory Capital Standards—Capital Planning and Stress Testing” and “Risk Factors—RegulatoryStrategic Risks” in Citi’s 20152016 Annual Report on Form 10-K. 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.
On June 29, 2016,28, 2017, Citi announced the Federal Reserve Board did not object to its planned capital actions as part of the 20162017 CCAR, which included an increase of Citi’s quarterly common stock dividend to $0.16$0.32 per share over the four quarters beginning with the third quarter of 20162017 (subject to quarterly approval by the Board of Directors). 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 1918 to the



Consolidated Financial Statements in Citi’s 20152016 Annual Report on Form 10-K.




SIGNATURES



Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, on the 1st day of August, 2016.2017.



CITIGROUP INC.
(Registrant)





By    /s/ John C. Gerspach
John C. Gerspach
Chief Financial Officer
(Principal Financial Officer)



By    /s/ Jeffrey R. Walsh
Jeffrey R. Walsh
Controller and Chief Accounting Officer
(Principal Accounting Officer)





EXHIBIT INDEX
 
Exhibit  
Number Description of Exhibit
3.01
 
Restated Certificate of Incorporation of the Company, as in effect on the date hereof, incorporated by reference to Exhibit 3.01 to the Company’s Quarterly Report on Form 10-Q for the quarter ended March 31, 2016 (File No. 1-9924).
   
12.01+
4.01+
 
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.
12.01+
Calculation of Ratio of Income to Fixed Charges.
   
12.02+
 
Calculation of Ratio of Income to Fixed Charges Including Preferred Stock Dividends.
   
31.01+
 
Certification of principal executive officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
31.02+
 
Certification of principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
   
32.01+
 
Certification pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
   
101.01+
 
Financial statements from the AnnualQuarterly Report on Form 10-Q of the Company for the quarter ended June 30, 2016,2017, filed on August 1, 2016,2017, 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.

+ Filed herewith.




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