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 March 31, 20172018
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, smaller reporting, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated 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 March 31, 2017: 2,753,257,7972018: 2,549,933,493

Available on the web at www.citigroup.com
 



CITIGROUP’S FIRST QUARTER 2017—2018—FORM 10-Q
OVERVIEW
21
MANAGEMENT'S DISCUSSION AND
  ANALYSIS OF FINANCIAL CONDITION AND
  RESULTS OF OPERATIONS
43
Executive Summary
43
Summary of Selected Financial Data
76
SEGMENT AND BUSINESS—INCOME (LOSS)
  AND REVENUES
98
SEGMENT BALANCE SHEET
1110
Global Consumer Banking (GCB)
1312
North America GCB
1514
Latin America GCB
1716
Asia GCB
1918
Institutional Clients Group
2120
Corporate/Other
2524
OFF-BALANCE SHEET
  ARRANGEMENTS
2625
CAPITAL RESOURCES
2726
MANAGING GLOBAL RISK TABLE OF
  CONTENTS
4540
MANAGING GLOBAL RISK
4641
INCOME TAXES
8275
FUTURE APPLICATION OF ACCOUNTING
  STANDARDS
76
DISCLOSURE CONTROLS AND
  PROCEDURES
8377
DISCLOSURE PURSUANT TO SECTION 219 OF
  THE IRAN THREAT REDUCTION AND SYRIA
  HUMAN RIGHTS ACT
8377
FORWARD-LOOKING STATEMENTS
8478
FINANCIAL STATEMENTS AND NOTES
  TABLE OF CONTENTS
8681
CONSOLIDATED FINANCIAL STATEMENTS
8782
NOTES TO CONSOLIDATED FINANCIAL
  STATEMENTS (UNAUDITED)
9589
UNREGISTERED SALES OF EQUITY SECURITIES,
  PURCHASES OF EQUITY SECURITIES AND
  DIVIDENDS
188192



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, 2016 (20162017 (2017 Annual Report on Form 10-K).
Additional information about Citigroup is available on Citi’s website at www.citigroup.com. Citigroup’s recent annual reports on Form 10-K, quarterly reports on Form 10-Q and proxy statements, as well as other filings with the U.S. Securities and Exchange Commission (SEC), are available free of charge through Citi’s website by clicking on the “Investors” page and selecting “All SEC Filings.” The SEC’s website also contains current reports on Form 8-K, information statements 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 NoteNotes 1 and 3 to the Consolidated Financial Statements.Statements below and Notes 1 and 3 to the Consolidated Financial Statements in Citi’s 2017 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 two business segments: Global Consumer Banking and Institutional Clients Group, with the following segments:remaining operations in Corporate/Other.
citisegq12017.jpgcitisegments18q1.jpg
The following are the four regions in which Citigroup operates. The regional results are fully reflected in the segment results above.
citigroupregionsa06.jpgcitiregions18q1.jpg
*
As previously announced, the remaining businesses and portfolios of assets in Citi Holdings are now reported as part of Corporate/Other for all periods presented andCiti Holdings is no longer a separately reported business segment. For additional information, see Note 3 to the Consolidated Financial Statements below.

(1)
Latin America GCB consists of Citi’s consumer banking businessin Mexico.
(2)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(2)(3)
North AmericAmericaa 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

First Quarter of 2017—Solid Performance Across the Franchise2018—Balanced Operating Results and Continued Momentum
As described further throughout this executive summary, Citi’sExecutive Summary, Citi reported balanced operating results in the first quarter of 2017 results of operations mark a significant improvement compared to the prior-year period as many businesses benefitted from2018, reflecting continued momentum fromacross businesses and geographies, including many of those areas where Citi has been making investments. During the end of last year.quarter, Citi increased revenueshad revenue and loan growth in boththe Institutional Clients Group (ICG) and across products and all three regions in Global Consumer Banking (GCB). and Institutional Clients Group (ICG), while continuing to wind down the legacy assets in Corporate/Other and maintaining expense discipline. Citi also continued to make targeted investments to drive revenue growthdemonstrate expense and improve returnscredit discipline, resulting in several businesses, including in equities, Citi-branded cards and Mexico.
In GCB, the North America credit card business continued to benefit from the acquisition of the Costco portfolio, while mortgage revenues were lower reflecting the impact of the higher rate environment on origination activity, as well as the impact of the previously announced sale of a portion of Citi’s U.S. mortgage servicing rights, as part of Citi’s exit of its U.S. mortgage servicing operations. International GCB generated positive operating leverage driven by year-over-year revenue growthand an improvement in Mexico and pre-tax earnings.Asia, excluding
In the impactfirst quarter of foreign currency translation into U.S. dollars for reporting purposes (FX translation). ICG showed broad-based momentum, with revenue growth in fixed income and equity markets, treasury and trade solutions, investment banking and the private bank. These increases in revenues were partially offset by lower revenues in Corporate/Other,reflecting the continued wind down of legacy assets, partially offset by certain gains on asset sales, including the sales of the consumer finance business in Canada and the consumer business in Argentina.
2018, Citi also continued to generate significant regulatoryreturn capital duringto shareholders. During the quarter, through a combination of earnings and the utilization ofCiti returned approximately $800 million in deferred tax assets (DTAs) (for additional information, see “Income Taxes” below). Citi generated approximately $5.5$3.1 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. Outstandingdividends and repurchased approximately 30 million common shares as outstanding common shares declined 1% from the prior quarter and 6%7% from the prior-year period. Despite the continued progress in improving the capital return of capital to itsfor shareholders, each of Citigroup’sCiti’s key regulatory capital metrics remained strong as of the end of the first quarter of 2017 (see “Capital” below).
While global economic sentimentgrowth has improved,continued and the macroeconomic environment remains positive, there continue to be various economic, political and politicalother risks and uncertainties and changes that could impact Citi’s businesses including asand future results. For a result of, among others, potential policy changes arising from the U.S. presidential administration and Congress as well as the U.K.’s initiationdiscussion of the process to withdraw from the European Union. For a more detailed discussion of these risks and uncertainties that could impact Citi’s businesses, results of operations and financial condition during 2018, see each respective business’s results of operations and “Forward-Looking Statements” below, as well as each respective business’business’s results of operations and the
“Managing “Managing Global Risk” and “Risk Factors” sections in Citi’s 20162017 Annual Report on Form 10-K.

First Quarter of 20172018 Summary Results

Citigroup
Citigroup reported net income of $4.1$4.6 billion, or $1.35$1.68 per share, compared to $3.5net income of $4.1 billion, or $1.10$1.35 per share, in the prior-year period. The 17%13% increase in net income from the prior-year period was primarily driven by higher revenues and a significantly lower credit costs, aseffective tax rate due to the impact of the Tax Cuts and Jobs Act (Tax Reform), partially offset by higher expenses remained largely unchanged.and cost of credit. Earnings per share increased 24% due to the growth in net income and a 7% reduction in average shares outstanding driven by the capital return to common shareholders.
Citigroup revenues of $18.1$18.9 billion in the first quarter of 20172018 increased 3%, driven by a 16% increase7% aggregate growth in ICGGCB , as well as a 1% increase inand GCBICG, partially offset by a 40%51% decrease in Corporate/Corporate/Other, primarily due primarily to the continued wind downwind-down of legacy assets.
Citigroup’s end-of-period loans increased 2%7% to $629$673 billion versus the prior-year period. Excluding the impact of FXforeign currency translation in U.S. dollars for reporting
purposes (FX translation), Citigroup’s end-of-period loans also grew 2%6%, as 8%7% aggregate growth in GCBand and 3% growth in ICG werewas partially offset by the continued wind downwind-down of legacy assets in Corporate/Other. (Citi’s results of operations excluding the impact of FX translation are non-GAAP financial measures.)measures). Citigroup’s end-of-period deposits increased 2%5% to $950 billion$1.0 trillion versus the prior-year period. Excluding the impact of FX translation, Citigroup’s deposits were up 3%, driven by a 4% increase in GCB deposits and a 3%5% increase in ICG deposits, slightly offset by a decline inwhile Corporate/OtherGCB deposits.deposits were largely unchanged.

Expenses
Citigroup’sCitigroup operating expenses were largely unchangedincreased 2% to $10.9 billion versus the prior-year period, as the impact of higher performance-related compensationvolume-related expenses and higher business volumesongoing investments were offset by lower repositioning costsefficiency savings and a benefit from FX translation, as investments were largely funded through efficiency savings.the wind-down of legacy assets. Year-over-year,GCB operating expenses were largely flat, ICG operating expenses increased 1%were up 7% and GCB operating expenses increased 5%, while Corporate/Otheroperating expenses declined 11%.35%, all versus the prior-year period.

Cost of Credit
Citi’s total provisions for credit losses and for benefits and claims of $1.7$1.9 billion decreased 19%increased 12% from the prior-year period. The decreaseincrease was mostly driven by a $158 million increase in net credit losses, primarily in North America GCB, and a net loan loss reserve release in ICGof $36 million, compared to a net loan loss reserve build driven by energy-related exposuresrelease of $77 million in the prior-year periodperiod. The increase reflected volume growth and a declineseasoning in the provision for benefits and claims,North America cards portfolios, as well as a modest declinelower net reserve release in net credit losses.ICG.
Net credit losses of $1.7$1.9 billion declined 1%increased 9% versus the prior-year period. Consumer net credit losses of $1.7increased 6% to
$1.8 billion, increased 10%, driven by the Costco portfolio acquisition, organicmostly reflecting volume growth and seasoning as well asin the impact of changes in collection processes in North America cards portfolios. The increase in consumer net credit losses was partially offset by the continued wind downwind-down of legacy assets in Corporate/Other. Corporate net credit losses decreased $173


increased $59 million to $37 million, driven by improvement in the energy sector.$96 million.
For additional information on Citi’s consumer and corporate credit costs and allowance for loan losses, see each respective business’s results of operations and “Credit Risk” below.

Capital
Citigroup’s Common Equity Tier 1 Capital and Common Equity Tier 1 Capital ratios, on a fully implemented basis, were 14.5%12.1% and 13.7% as of March 31, 2018 (based on the Basel III Standardized Approach for determining risk-weighted assets), respectively, compared to 12.8% and 14.5% as of March 31, 2017 respectively, compared to 13.8% and 12.3% as of March 31, 2016 (all based(based on the Basel III Advanced Approaches for determining risk-weighted assets). The decline in regulatory capital ratios reflected the return of capital to common shareholders and the previously disclosed approximate $6 billion reduction in Common Equity Tier 1 (CET1) Capital in the fourth quarter of 2017 due to the impact of Tax Reform, partially offset by net income. Citigroup’s Supplementary Leverage ratio as of


March 31, 2017,2018, on a fully implemented basis, was 7.3%6.7%, compared to 7.4%7.3% as of March 31, 2016.2017. For additional information on Citi’s capital ratios and related components, including the impact of Citi’s DTAsTax Reform on its capital ratios, see “Capital Resources” below.

Global Consumer Banking
GCBnet income decreased 16% to $1.0of $1.4 billion increased 40%, as higher revenues and a lower effective tax rate were more thanpartially offset by higher expenses and higher cost of credit. Operating expenses were largely flat at $4.4$4.7 billion, up 5%, as the addition of the Costco portfolio, volume growthhigher volume-related expenses and continued investments were partially offset by ongoing efficiency savings lower repositioning costs and a benefit from FX translation.across all three regions.
GCB revenues of $7.8$8.4 billion increased 1%7% versus the prior-year period. Excludingperiod, driven by growth across all regions and the impact of FX translation, GCB revenues increased 3%, driven by increasesthe Hilton portfolio sale in North America GCB, Latin America GCB and Asia GCB.Citi-branded cards. The sale resulted in a pre-tax gain of $150 million, partially offset by the loss of operating revenues, for a net year-over-year benefit of approximately $120 million. North America GCB revenues increased 2%4% to $4.9$5.2 billion, asdriven by higher revenues in Citi-branded cards were partially offset by lower revenues in retail banking and Citi retail services.across all businesses. Citi-branded cards revenues of $2.1$2.2 billion were up 13% versus the prior-year period, reflecting the contribution from the Costco portfolio and modest organic growth, partially offset by the ongoing impact of higher promotional rate balances. Citi retail services revenues of $1.6 billion decreased 5%6% versus the prior-year period, driven by the absencesale of gains on salesthe Hilton portfolio. Excluding Hilton, revenues were roughly flat, as growth in interest-earning balances was mostly offset by higher cost of two cards portfolios sold infunds and the first quarterimpact of 2016.additional partnership terms. Citi retail servicesrevenues of $1.6 billion increased 2% versus the prior-year period, primarily reflecting continued loan growth. Retail banking revenues decreased 3%increased 4% from the prior-year period mainly driven by lowerto $1.3 billion. Excluding mortgage revenues. Excluding mortgage,revenues, retail banking revenues of $1.2 billion were up 5%8% from the prior-year period, driven by continued growth in averagedeposit margins, growth in investments and loans deposits and assets under management.increased commercial banking activity.
North America GCB average deposits of $186$181 billion were up 3% versus the prior-year period,decreased 2% year-over-year, primarily driven by lower mortgage escrow balances as well as a reduction in money market balances, reflecting transfers to investments. North America GCB average retail loans of $55$56 billion grew 5%,1% and assets under management of $55$61 billion grew 12%10%. Average brandedCiti-branded card loans of $83$87 billion increased 28%5%, while brandedCiti-branded card purchase sales of $73$79 billion increased 58%8% versus the prior-year period. Average Citi retail services loans of $47 billion increased 4% versus the prior-year period, both driven by the Costco portfolio acquisition as well as organic growth. Average retail services loans of $45 billion were up 3%, while Citi retail services purchase sales of $17 billion were largely unchanged.up 3%. For additional information on the results of operations of North America GCB for the first quarter of 2017,2018, see “Global Consumer Banking—North America GCB” below.
International GCB revenues (consisting of Latin America GCB and Asia GCB(which (which includes the results of operations
in certainEMEA EMEA countries)) were largely unchanged at $2.9 billionincreased 13% versus the prior-year period.period to $3.3 billion. Excluding the impact of FX translation, international GCB revenues increased 3%8% versus the prior-year period. Latin America GCB revenues increased 4%8% versus the prior-year perioddriven by 8%, reflecting growth in retail banking, reflecting continuedcards revenues as well as volume growth in averageacross retail loans and deposits as well asand improved deposit spreads, partially offset by lower cards revenues.spreads. Asia GCB revenues increased 3%7% (6% excluding a modest one-time gain in the first quarter of 2018) versus the prior-year period, driven by improvementprimarily
reflecting an increase in cards and wealth management partially offset by lower retail lendingand cards revenues. For additional information on the results of operations of Latin America GCB and Asia GCB for the first quarter of 2017,2018, including the impact of FX translation, see “Global Consumer BankingBanking—Latin America GCB” and “Global Consumer Banking—Asia GCB” below.
Year-over-year, international GCB average deposits of $118$128 billion increased 6%3%, average retail loans of $83$91 billion decreased 3%increased 4%, assets under management of $92$103 billion increased 4%10%, average card loans of $23$25 billion increased 3%4% and card purchase sales of $23$26 billion increased 5%7%, all excluding the impact of FX translation.

Institutional Clients Group
ICG net income of $3.0$3.3 billionincreased 61%11%, driven by the higher revenues and a lower cost of credit,effective tax rate, partially offset by higher operating expenses.expenses and cost of credit. ICG operating expenses increased 1%7% to $4.9$5.5 billion, as higher performance-based compensation was partially offsetdriven by lower repositioning coststhe impact of FX translation and a benefit from FX translation.higher level of investment spending.
ICG revenues were $9.1$9.8 billion in the first quarter of 2017,2018, up 16%6% from the prior-year period, primarily driven by an 18%a 9% increase in Banking revenues and a 3% increase in Markets and securities services revenues and a 13%. The increase in Bankingrevenues (includingincluded the impact of $115$23 million of mark-to-market lossesgains on loan hedges related to accrual loans within corporate lending, compared to losses of $66$115 million in the prior-year period).period.
Bankingrevenues of $4.5$4.8 billion (excluding the impact of mark-to-market lossesgains (losses) on loan hedges related to accrual loans within corporate lending) increased 14% compared to the prior-year period,6%, driven by strong performancesolid growth in investment banking, treasury and trade solutions, private bank and the private bank.corporate lending, partially offset by lower revenues in investment banking. Investment banking revenues of $1.2$1.1 billion increased 39%decreased 10% versus the prior-year period.period, reflecting declines in the overall market wallet and the timing of episodic deal activity. Advisory revenues increaseddecreased 14% to $215 million, equity underwriting revenues decreased 14% to $216 million and debt underwriting revenues decreased 8% to $246$699 million, all versus the prior-year period. Debt underwriting revenues increased 39% to $733 million and equity underwriting revenues nearly doubled to $235 million.
Private bank revenues increased 9%21% to $744$904 million, versus the prior-year period, driven by loangrowth in clients, loans, investments and deposits, as well as improved deposit growth and improved spreads. Corporate lending revenues decreased 16%increased 68% to $319$544 million. Excluding the mark-to-market impact of gains (losses) on loan hedges, corporate lending revenues decreased 3% to $434 millionincreased 19% versus the prior-year period, due toprimarily driven by loan growth and lower average volumes.hedging costs. Treasury and trade solutions revenues of $2.3 billion increased 9% to $2.1 billion8% versus the prior-year period, driven by strong feereflecting volume growth higher volumes and improved spreads.deposit spreads, with growth in both net interest and fee income.


Markets and securities services revenues of $5.0 billion increased 18% to $4.8 billion versus3% from the prior-year period.period, as strong revenue growth in equity marketsand securities serviceswas partially offset by a decline in fixed income markets revenues. Fixed income markets revenues increased 19% to $3.6of $3.4 billion versusdecreased 7% from the prior-year period, reflecting strengthdriven by a less favorable environment and lower investor client activity in bothG10 rates and currencies as well as spread products.products, partially offset by strong corporate client activity in G10 foreign exchange and local markets rates and currencies. Equity markets revenues of $1.1 billion increased 10% to $769 million versus38% from the prior-year period, reflecting an improvement in equity derivatives.with growth across all products, as


volatility increased and momentum with investor clients continued. Securities services revenues decreased 3% to $543of $641 million versus the prior-year period, largely due to the impact of prior-period divestitures. Excluding the divestitures, securities services revenues increased 12%16%, driven by higher deposit balances andcontinued growth in assets under custody.client volumes and higher interest revenue. For additional information on the results of operations of ICG for the first quarter of 2017,2018, see “Institutional Clients Group” below.

Corporate/Other
Corporate/Other net incomeloss was $92$86 million in the first quarter of 2017,2018, compared to net income of $450$97 million in the prior-year period, reflecting lower revenues, partially offset by lower operating expenses. Operating expenses and lower cost of credit. Expenses of $1.1 billion$741 million declined 11%35% from the prior-year period, primarily driven bylargely reflecting the wind-down of legacy assets, partially offset by approximately $100 million of episodic expenses primarily related to the exit of Citi’s U.S. mortgage servicing operations.assets.
Corporate/Other revenues were $1.2 billion,$591 million, down 40%51% from the prior-year period, driven byprimarily reflecting the continued wind-down of legacy asset run-off and divestiture activity, as well as lower revenues from treasury-related hedging activity. Revenues in the first quarter of 2017 included nearly $750 million of episodic gains on asset sales, partially offset by an approximate $300 million charge related to the exit of the U.S. mortgage servicing operations. assets.
For additional information on the results of operations of Corporate/Otherfor the first quarter of 2017,2018, see “Corporate/Other” below.
Corporate/Other end-of-period assets decreased 23% to $96 billion from the prior-year period as Citi continued to wind down the legacy assets.







RESULTS OF OPERATIONS
SUMMARY OF SELECTED FINANCIAL DATA—PAGE 1
Citigroup Inc. and Consolidated Subsidiaries
First Quarter First Quarter 
In millions of dollars, except per-share amounts and ratios20172016% Change20182017% Change
Net interest revenue$10,857
$11,227
(3)%$11,172
$10,955
2 %
Non-interest revenue7,263
6,328
15
7,700
7,411
4
Revenues, net of interest expense$18,120
$17,555
3 %$18,872
$18,366
3 %
Operating expenses10,477
10,523
—
10,925
10,723
2
Provisions for credit losses and for benefits and claims1,662
2,045
(19)1,857
1,662
12
Income from continuing operations before income taxes$5,981
$4,987
20 %$6,090
$5,981
2 %
Income taxes(1)1,863
1,479
26
1,441
1,863
(23)
Income from continuing operations$4,118
$3,508
17 %$4,649
$4,118
13 %
Income (loss) from discontinued operations,
net of taxes(1)(2)
(18)(2)NM
(7)(18)61
Net income before attribution of noncontrolling
interests
$4,100
$3,506
17 %$4,642
$4,100
13 %
Net income attributable to noncontrolling interests10
5
100
22
10
NM
Citigroup’s net income$4,090
$3,501
17 %$4,620
$4,090
13 %
Less: 

 

Preferred dividends—Basic$301
$210
43 %$272
$301
(10)%
Dividends and undistributed earnings allocated to employee restricted and deferred shares that contain nonforfeitable rights to dividends, applicable to basic EPS55
40
38
51
55
(7)
Income allocated to unrestricted common shareholders
for basic and diluted EPS
$3,734
$3,251
15 %$4,297
$3,734
15 %
Earnings per share 

 

Basic 

 

Income from continuing operations$1.36
$1.11
23
1.68
1.36
24
Net income1.35
1.10
23
1.68
1.35
24
Diluted 

 

Income from continuing operations$1.36
$1.11
23 %$1.68
$1.36
24 %
Net income1.35
1.10
23
1.68
1.35
24
Dividends declared per common share0.16
0.05
NM
0.32
0.16
100

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



SUMMARY OF SELECTED FINANCIAL DATA—PAGE 2
Citigroup Inc. and Consolidated SubsidiariesCitigroup Inc. and Consolidated Subsidiaries Citigroup Inc. and Consolidated Subsidiaries 
First Quarter First Quarter 
In millions of dollars, except per-share amounts, ratios and
direct staff
20172016% Change20182017% Change
At March 31:    
Total assets$1,821,635
$1,800,967
1 %$1,922,104
$1,821,479
6 %
Total deposits949,990
934,591
2
1,001,219
949,990
5
Long-term debt208,530
207,835
—
237,938
208,530
14
Citigroup common stockholders’ equity(1)208,879
209,769
—
182,759
208,723
(12)
Total Citigroup stockholders’ equity(1)228,132
227,522
—
201,915
227,976
(11)
Direct staff (in thousands)
215
225
(4)209
215
(3)
Performance metrics 

 

Return on average assets0.91%0.79%

0.98%0.91%

Return on average common stockholders’ equity(2)(3)
7.4
6.4


9.7
7.4


Return on average total stockholders’ equity(2)(3)
7.3
6.3


9.3
7.3


Efficiency ratio (Total operating expenses/Total revenues)58
60


Efficiency ratio (total operating expenses/total revenues)58
58


Basel III ratios—full implementation(1)    
Common Equity Tier 1 Capital(3)(5)
12.83%12.34% 12.05%12.81% 
Tier 1 Capital(3)(5)
14.49
13.81
 13.67
14.48
 
Total Capital(3)(5)
16.54
15.71
 16.01
16.52
 
Supplementary Leverage ratio(4)(5)
7.28
7.44
 6.71
7.27
 
Citigroup common stockholders’ equity to assets(1)11.47%11.65% 9.51%11.46% 
Total Citigroup stockholders’ equity to assets(1)12.52
12.63
 10.50
12.52
 
Dividend payout ratio(5)(6)
11.9
4.5
 19.0
11.9
 
Total payout ratio(6)

59%44% 
Total payout ratio(7)
71
59
 
Book value per common share(1)$75.86
$71.47
6 %$71.67
$75.81
(5)%
Tangible book value (TBV) per share(7)(1)
$65.94
$62.58
5 %61.02
65.88
(7)
Ratio of earnings to fixed charges and preferred stock dividends2.51x
2.54x
 2.10x
2.51x
 
(1)The first quarter of 2018 reflects the impact of Tax Reform. For additional information on Tax Reform, including the impact on Citi’s fourth quarter and full-year 2017 results, see Citi’s 2017 Annual Report on Form 10-K.
(2)See Note 2 to the Consolidated Financial Statements for additional information on Citi’s discontinued operations.
(2)(3)The return on average common stockholders’ equity is calculated using net income less preferred stock dividends divided by average common stockholders’ equity. The return on average total Citigroup stockholders’ equity is calculated using net income divided by average Citigroup stockholders’ equity.
(3)(4)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 March 31, 2018, and U.S. Basel III Advanced Approaches at March 31, 2017. Citi’s reportable Total Capital ratios were derived under the U.S. Basel III Advanced Approaches for determining total risk-weighted assets.
(4)Citi’s Supplementary Leverage ratioboth periods presented. This reflects full implementation of the U.S. Basel III rules.requirement to report the lower of risk-based capital ratios under both the Standardized Approach and Advanced Approaches in accordance with the Collins Amendment of the Dodd-Frank Act.
(5)Citi’s risk-based capital and leverage ratios as of March 31, 2017 are non-GAAP financial measures, which reflect full implementation of regulatory capital adjustments and deductions prior to the effective date of January 1, 2018.
(6)Dividends declared per common share as a percentage of net income per diluted share.
(6)(7)Total common dividends declared plus common stock repurchases as a percentage of net income available to common shareholders. See “Consolidated Statement of Changes in Stockholders’ Equity”,Equity,” Note 9 to the Consolidated Financial Statements and “Equity Security Repurchases” below for the component details.
(7)(8)For information on TBV, see “Capital Resources—Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity” below.

NM Not meaningful




SEGMENT AND BUSINESS—INCOME (LOSS) AND REVENUES
CITIGROUP INCOME
First Quarter First Quarter 
In millions of dollars20172016% Change20182017% Change
Income from continuing operations    
Global Consumer Banking    
North America$627
$833
(25)%$838
$614
36 %
Latin America130
146
(11)183
135
36
Asia(1)
246
215
14
373
249
50
Total$1,003
$1,194
(16)%$1,394
$998
40 %
Institutional Clients Group

 



 

North America$1,100
$546
NM
$857
$1,077
(20)%
EMEA855
374
NM
1,113
862
29
Latin America475
330
44
491
482
2
Asia581
619
(6)868
590
47
Total$3,011
$1,869
61 %$3,329
$3,011
11 %
Corporate/Other104
445
(77)%(74)109
NM
Income from continuing operations$4,118
$3,508
17 %$4,649
$4,118
13 %
Discontinued operations$(18)$(2)NM
$(7)$(18)61 %
Net income attributable to noncontrolling interests10
5
100 %22
10
NM
Citigroup’s net income$4,090
$3,501
17 %$4,620
$4,090
13 %

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




CITIGROUP REVENUES
First Quarter First Quarter 
In millions of dollars20172016% Change20182017% Change
Global Consumer Banking    
North America$4,944
$4,830
2 %$5,157
$4,945
4 %
Latin America1,151
1,229
(6)1,347
1,167
15
Asia(1)
1,722
1,655
4
1,929
1,734
11
Total$7,817
$7,714
1 %$8,433
$7,846
7 %
Institutional Clients Group

 



 

North America$3,455
$2,980
16 %$3,265
$3,522
(7)%
EMEA2,807
2,167
30
3,167
2,854
11
Latin America1,127
962
17
1,210
1,169
4
Asia1,737
1,786
(3)2,206
1,774
24
Total$9,126
$7,895
16 %$9,848
$9,319
6 %
Corporate/Other1,177
1,946
(40)591
1,201
(51)
Total Citigroup Net Revenues$18,120
$17,555
3 %
Total Citigroup net revenues$18,872
$18,366
3 %
(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.





SEGMENT BALANCE SHEET(1) 
In millions of dollars
Global
Consumer
Banking
Institutional
Clients
Group
Corporate/Other
and
consolidating
eliminations(2)
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$9,371
$64,322
$106,352
$—
$180,045
$7,493
$65,194
$130,017
$—
$202,704
Federal funds sold and securities borrowed or purchased under agreements to resell302
242,241
386
—
242,929
291
257,288
308
—
257,887
Trading account assets6,512
235,799
2,592
—
244,903
662
260,226
7,920
—
268,808
Investments11,172
112,252
222,409
—
345,833
1,475
111,464
239,032
—
351,971
Loans, net of unearned income and  
allowance for loan losses282,901
305,404
28,260
—
616,565
Loans, net of unearned income and
allowance for loan losses

294,808
345,478
20,298
—
660,584
Other assets38,422
94,798
58,140
—
191,360
37,341
107,949
34,860
—
180,150
Liquidity assets(4)
63,128
259,291
(322,419)—
—
Net inter-segment liquid assets(4)
80,816
259,120
(339,936)—
—
Total assets$411,808
$1,314,107
$95,720
$—
$1,821,635
$422,886
$1,406,719
$92,499
$—
$1,922,104
Liabilities and equity      
Total deposits$311,383
$619,513
$19,094
$—
$949,990
$314,355
$665,987
$20,877
$—
$1,001,219
Federal funds purchased and securities loaned or sold under agreements to repurchase3,597
144,624
9
—
148,230
4,359
167,391
9
—
171,759
Trading account liabilities24
143,464
582
—
144,070
142
143,018
801
—
143,961
Short-term borrowings578
19,299
6,250
—
26,127
588
20,256
15,250
—
36,094
Long-term debt(3)
1,225
32,739
32,940
141,626
208,530
1,977
36,913
45,974
153,074
237,938
Other liabilities17,811
77,000
20,724
—
115,535
18,379
95,702
14,186
—
128,267
Net inter-segment funding (lending)(3)
77,190
277,468
15,100
(369,758)—
83,086
277,452
(5,549)(354,989)—
Total liabilities$411,808
$1,314,107
$94,699
$(228,132)$1,592,482
$422,886
$1,406,719
$91,548
$(201,915)$1,719,238
Total equity(5)
—
—
1,021
228,132
229,153
Total stockholders’ equity(5)
—
—
951
201,915
202,866
Total liabilities and equity$411,808
$1,314,107
$95,720
$—
$1,821,635
$422,886
$1,406,719
$92,499
$—
$1,922,104

(1)The supplemental information presented in the table above reflects Citigroup’s consolidated GAAP balance sheet by reporting segment as of March 31, 2017.2018. The respective segment information depicts the assets and liabilities managed by each segment as of such date.
(2)
Consolidating eliminations for total Citigroup and Citigroup parent company assets and liabilities are recorded within Corporate/Other.
(3)The total stockholders’ equity and the majority of long-term debt of Citigroup reside 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 liquidityliquid assets (primarily consisting of cash, marketable equity securities, and available-for-sale debt securities) to the various businesses based on Liquidity Coverage Ratio (LCR) assumptions.
(5)
Corporate/OtheOtherr equity represents noncontrolling interests.







































This page intentionally left blank.




GLOBAL CONSUMER BANKING
Global Consumer Banking (GCB) consists of consumer banking businesses in North America, Latin America (consisting of Citi’s consumer banking business in Mexico) and Asia. GCB provides traditional banking services to retail customers through retail banking, 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 2,6012,433 branches in 19 countries and jurisdictions as of March 31, 2017.2018. At March 31, 2017,2018, GCB had approximately $412$423 billion ofin assets and $311$314 billion ofin deposits.
GCB’s overall strategy is to leverage Citi’s global footprint and be the preeminentpre-eminent bank for the emerging affluent and affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies.

First Quarter First Quarter 
In millions of dollars except as otherwise noted20172016% Change20182017% Change
Net interest revenue$6,522
$6,352
3 %$6,980
$6,579
6 %
Non-interest revenue1,295
1,362
(5)1,453
1,267
15
Total revenues, net of interest expense$7,817
$7,714
1 %$8,433
$7,846
7 %
Total operating expenses$4,415
$4,401
— %$4,681
$4,451
5 %
Net credit losses$1,603
$1,371
17 %$1,736
$1,603
8 %
Credit reserve build (release)177
85
NM
144
177
(19)
Provision (release) for unfunded lending commitments6
1
NM
(1)6
NM
Provision for benefits and claims29
28
4
26
29
(10)
Provisions for credit losses and for benefits and claims$1,815
$1,485
22 %
Provisions for credit losses and for benefits and claims (LLR & PBC)$1,905
$1,815
5 %
Income from continuing operations before taxes$1,587
$1,828
(13)%$1,847
$1,580
17 %
Income taxes584
634
(8)453
582
(22)
Income from continuing operations$1,003
$1,194
(16)%$1,394
$998
40 %
Noncontrolling interests1
2
(50)2
1
100
Net income$1,002
$1,192
(16)%$1,392
$997
40 %
Balance Sheet data (in billions of dollars)


 



 

Total EOP assets$412
$384
7 %$423
$411
3 %
Average assets$411
$377
9
423
410
3
Return on average assets0.99%1.27%

1.33%0.99%

Efficiency ratio56%57%

56
57


Average deposits$304
$294
3
$309
$303
2
Net credit losses as a percentage of average loans2.24%2.04%

2.30%2.24%

Revenue by business

 



 

Retail banking$3,155
$3,187
(1)%$3,471
$3,175
9 %
Cards(1)
4,662
4,527
3
4,962
4,671
6
Total$7,817
$7,714
1 %$8,433
$7,846
7 %
Income from continuing operations by business

 



 

Retail banking$339
$298
14 %$524
$333
57 %
Cards(1)
664
896
(26)870
665
31
Total$1,003
$1,194
(16)%$1,394
$998
40 %
Table continues on the next page.page, including footnotes.



Foreign currency (FX) translation impact 

 

Total revenue—as reported$7,817
$7,714
1 %$8,433
$7,846
7%
Impact of FX translation(2)
—
(103)

—
139


Total revenues—ex-FX(3)
$7,817
$7,611
3 %$8,433
$7,985
6%
Total operating expenses—as reported$4,415
$4,401
— %$4,681
$4,451
5%
Impact of FX translation(2)
—
(42)

—
87


Total operating expenses—ex-FX(3)
$4,415
$4,359
1 %$4,681
$4,538
3%
Total provisions for LLR & PBC—as reported$1,815
$1,485
22 %$1,905
$1,815
5%
Impact of FX translation(2)
—
(30)

—
27


Total provisions for LLR & PBC—ex-FX(3)
$1,815
$1,455
25 %$1,905
$1,842
3%
Net income—as reported$1,002
$1,192
(16)%$1,392
$997
40%
Impact of FX translation(2)
—
(25)

—
18


Net income—ex-FX(3)
$1,002
$1,167
(14)%$1,392
$1,015
37%
(1)Includes both Citi-branded cards and Citi retail services.
(2)Reflects the impact of FX translation into U.S. dollars at the first quarter of 20172018 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 and Costco) within Citi-branded cards as well as its co-brand and private label relationships (including, among others, Sears, The Home Depot, Macy’sBest Buy and Best Buy)Macy’s) within Citi retail services.
As of March 31, 2017,2018, North America GCB’s 705694 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 March 31, 2017,2018, North America GCB had approximately 9.69.1 million retail banking customer accounts, $55.5$55.4 billion in retail banking loans and $188.4$184.3 billion in deposits. In addition, North America GCB had approximately 120119.3 million Citi-branded and Citi retail services credit card accounts with $126.4$131.7 billion in outstanding card loan balances.

First Quarter% ChangeFirst Quarter 
In millions of dollars, except as otherwise noted2017201620182017% Change
Net interest revenue$4,617
$4,398
5 %$4,750
$4,617
3 %
Non-interest revenue327
432
(24)407
328
24
Total revenues, net of interest expense$4,944
$4,830
2 %$5,157
$4,945
4 %
Total operating expenses$2,576
$2,500
3 %$2,645
$2,597
2 %
Net credit losses$1,190
$933
28 %$1,296
$1,190
9 %
Credit reserve build (release)152
79
92
123
152
(19)
Provision for unfunded lending commitments7
—
NM
(4)7
NM
Provisions for benefits and claims6
9
(33)
Provision for benefits and claims6
6
—
Provisions for credit losses and for benefits and claims$1,355
$1,021
33 %$1,421
$1,355
5 %
Income from continuing operations before taxes$1,013
$1,309
(23)%$1,091
$993
10 %
Income taxes386
476
(19)253
379
(33)
Income from continuing operations$627
$833
(25)%$838
$614
36 %
Noncontrolling interests—
—
—
—
—
NM
Net income$627
$833
(25)%$838
$614
36 %
Balance Sheet data (in billions of dollars)


 



 

Average assets$245
$211
16 %$248
$245
1 %
Return on average assets1.04%1.59%

1.37%1.02%

Efficiency ratio52%52%

51
53


Average deposits$185.5
$180.6
3
$180.9
$184.6
(2)
Net credit losses as a percentage of average loans2.63%2.32%

2.77%2.63%

Revenue by business

 



 

Retail banking$1,256
$1,290
(3)%$1,307
$1,257
4 %
Citi-branded cards2,096
1,860
13
2,232
2,096
6
Citi retail services1,592
1,680
(5)1,618
1,592
2
Total$4,944
$4,830
2 %$5,157
$4,945
4 %
Income from continuing operations by business

 



 

Retail banking$83
$89
(7)%$140
$72
94 %
Citi-branded cards248
353
(30)425
246
73
Citi retail services296
391
(24)273
296
(8)
Total$627
$833
(25)%$838
$614
36 %

NM Not meaningful



1Q171Q18 vs. 1Q161Q17
Net income decreased by 25%increased 36% due to significantly higher costrevenues and a lower effective tax rate due to the impact of credit and higher expenses,Tax Reform, partially offset by higher revenues.expenses and higher cost of credit.
Revenues increased 2%4%, reflecting higher revenues in Citi-branded cards, partially offset by lower revenues inacross retail banking, Citi
retail services and retail banking.Citi-branded cards, which included the impact of the Hilton portfolio sale (see below).
Retail banking revenues declined 3%, mainly due to lowerincreased 4%. Excluding mortgage revenues (decrease(decline of approximately $80 million).18%), retail banking revenues were up 8%, driven by continued growth in deposit margins, growth in both assets under management (up 10%) and average loans (up 1%), as well as increased commercial banking activity. The decline in mortgage revenues was driven by lower origination activity and higher cost of funds driven byreflecting the higher interest rates, as well as the impact of the sale of a portion of Citi’s mortgage servicing rights (MSR) (see “Executive Summary” above). Excluding mortgage revenues, retail banking revenues increased 5%, primarily reflecting continued growth in average loans (5%), average deposits (3%) and assets under management (12%). Citi expects higher interest rates and the impact of the MSR sale to continue to negatively impact mortgage revenues during the remainder of 2017.rate environment.
Cards revenues increased 4%. In Citi-branded cards, revenues increased 13%6%, largely reflecting the impact of the Costco portfolio acquisition (completed June 17, 2016) and modest organic growth, partially offset by the ongoing impact of higher promotional rate balances. Average loans grew 28% (4% excluding Costco) and purchase sales grew 58% (4% excluding Costco).
Citi retail services revenues decreased 5%, primarily driven by the absence of gains on the sales of two portfolios sold in the first quarter of 2016. Excluding these gains, revenues increased 1%, driven by volume growth, mostly offset by the continued impact of the previously disclosed renewal and extensions of several partnerships within the portfolio. Average loans were up 3% and purchase sales were largely unchanged.
North America GCB expects revenue growth in the second quarter of 2017 to be largely driven by the impact of the CostcoHilton portfolio acquisition.sale, which resulted in a gain of approximately $150 million in the first quarter of 2018, partially offset by the loss of operating revenues, for a net year-over-year benefit of approximately $120 million. Excluding Hilton, revenues were largely unchanged, as growth in interest-earning balances was offset by higher cost of funds and the impact of additional partnership terms. Average loans increased 5% and purchase sales increased 8%.
Citi retail services revenues increased 2%, reflecting continued loan growth. Average loans increased 4% and purchase sales increased 3%.
Expenses increased 3%2%, primarily driven by the addition of the Costco portfolio, volume growthas higher volume-related expenses and continued investments were partially offset by efficiency savings and lower repositioning costs.savings.
Provisions increased 33%5% from the prior-year period, driven by higher net credit losses, andpartially offset by a higherlower net loan loss reserve build.
Net credit losses increased 28%, primarily9% to $1.3 billion, largely driven by higher net credit losses in Citi-branded cards (up 3% to $651 million) and Citi retail services. In Citi-branded cards,services (up 16% to $602 million). The increase in net credit losses increased 39% to $633 million, primarily due to the Costco portfolio acquisition, organicreflected volume growth and seasoning andin both cards portfolios as well as an increase in net flow rates in later delinquency buckets versus the impact of changesprior-year period, primarily in collection processes. In Citi retail services, net credit losses increased 15% to $520 million, primarily due to the volume growth and the impact of changes in collection processes. services.
The net loan loss reserve build in the first quarter of 20172018 was $159$119 million compared(compared to a build of $79$159 million in the prior-year period, largely supportingperiod), as volume growth includingand seasoning in both cards portfolios were partially offset by a loan loss reserve release in the Costco portfolio acquisition.commercial portfolio.

For additional information on North America GCB’s retail banking, including commercial banking, and its Citi-branded cards and Citi retail services portfolios, see “Credit Risk—Consumer Credit” below.










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 Citibanamex, (previously known as Banco Nacional de Mexico, or Banamex), one of Mexico’s largest banks.
At March 31, 2017,2018, Latin America GCB had 1,4991,462 retail branches in Mexico, with approximately 27.828.2 million retail banking customer accounts, $19.7$21.2 billion in retail banking loans and $27.6$29.6 billion in deposits. In addition, the business had approximately 5.7 million Citi-branded card accounts with $5.2$5.7 billion in outstanding loan balances.

First Quarter% ChangeFirst Quarter 
In millions of dollars, except as otherwise noted2017201620182017% Change
Net interest revenue$800
$853
(6)%$997
$848
18 %
Non-interest revenue351
376
(7)350
319
10
Total revenues, net of interest expense$1,151
$1,229
(6)%$1,347
$1,167
15 %
Total operating expenses$659
$718
(8)%$759
$667
14 %
Net credit losses$253
$278
(9)%$278
$253
10 %
Credit reserve build (release)12
17
(29)42
12
NM
Provision (release) for unfunded lending commitments—
1
(100)1
—
NM
Provision for benefits and claims23
19
21
20
23
(13)
Provisions for credit losses and for benefits and claims (LLR & PBC)$288
$315
(9)%$341
$288
18 %
Income from continuing operations before taxes$204
$196
4 %$247
$212
17 %
Income taxes74
50
48
64
77
(17)
Income from continuing operations$130
$146
(11)%$183
$135
36 %
Noncontrolling interests1
1
—
—
1
(100)
Net income$129
$145
(11)%$183
$134
37 %
Balance Sheet data (in billions of dollars)


 



 

Average assets$43
$50
(14)%$44
$42
5 %
Return on average assets1.22%1.17%

1.69
1.29


Efficiency ratio57%58%

56%57%

Average deposits$25.3
$26.1
(3)$28.9
$25.3
14
Net credit losses as a percentage of average loans4.44%4.58%

4.29%4.44%

Revenue by business

 



 

Retail banking$836
$856
(2)%$966
$850
14 %
Citi-branded cards315
373
(16)381
317
20
Total$1,151
$1,229
(6)%$1,347
$1,167
15 %
Income from continuing operations by business

 



 

Retail banking$86
$90
(4)%$138
$90
53 %
Citi-branded cards44
56
(21)45
45
—
Total$130
$146
(11)%$183
$135
36 %


FX translation impact

 



 

Total revenues—as reported$1,151
$1,229
(6)%$1,347
$1,167
15 %
Impact of FX translation(1)
—
(122)

—
75


Total revenues—ex-FX(2)
$1,151
$1,107
4 %$1,347
$1,242
8 %
Total operating expenses—as reported$659
$718
(8)%$759
$667
14 %
Impact of FX translation(1)
—
(57)

—
37


Total operating expenses—ex-FX(2)
$659
$661
— %$759
$704
8 %
Provisions for LLR & PBC—as reported$288
$315
(9)%$341
$288
18 %
Impact of FX translation(1)
—
(31)

—
20


Provisions for LLR & PBC—ex-FX(2)
$288
$284
1 %$341
$308
11 %
Net income—as reported$129
$145
(11)%$183
$134
37 %
Impact of FX translation(1)
—
(27)

—
13


Net income—ex-FX(2)
$129
$118
9 %$183
$147
24 %
(1)Reflects the impact of FX translation into U.S. dollars at the first quarter of 20172018 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.

1Q171Q18 vs. 1Q161Q17
Net income increased 9%24%, primarily driven byreflecting higher revenues and a lower effective tax rate as a result of Tax Reform, partially offset by higher credit costs.expenses and cost of credit.
Revenues increased 4%8%, driven by higher revenues in
both retail banking partially offset by lower revenues in
and cards.
Retail banking revenues grew by 8%increased 7%, reflecting continued growth in volumes including an increase in(average loans up 5% and average loans (6%deposits up 6%), largely driven by higher personalthe commercial banking business and commercial loans, and an increase in average deposits (8%),mortgages, as well as improved deposit spreads.spreads, driven by higher interest rates. Cards revenues decreased 6%increased 13%, reflecting lowercontinued growth in purchase sales (up 10%) and full-rate revolving loans, as well as a higher costfavorable comparisons to fund non-revolvingthe first quarter of 2017. Average card loans partially offset by higher volumes (average loans up 5%) andgrew 8%.
Expenses increased purchase sales (8%). While revolving loan balance trends improved during the quarter, Latin America GCB expects cards revenues to continue to remain under pressure in the near term.
Expenses were largely unchanged8%, as ongoing investment spending wasand business growth were partially offset by efficiency savings and lower repositioning costs.savings.
Provisions increased 1%11%, primarily driven by a higher provision for
benefits and claims, partially offset by a lower net loan loss reserve build (decline of $4($43 million). Net credit losses were, largely unchanged, as an increase in net credit losses in retail banking was offset by continued improvements in cards, reflecting a continued focus on higher credit quality customers.volume growth and seasoning.
For additional information on Latin America GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.







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. During the first quarter of 2017,2018, Citi’s most significant revenues in the region were from Singapore, Hong Kong, Korea, India, Australia, India, Taiwan, Indonesia,Philippines, Thailand, the PhilippinesIndonesia and Malaysia. Included within Asia GCB, traditional retail banking and Citi-branded card products are also provided to retail customers in certain EMEA countries, primarily in Poland, Russia and the United Arab Emirates.
At March 31, 2017,2018, on a combined basis, the businesses had 397277 retail branches, approximately 16.415.9 million retail banking customer accounts, $66.2$70.8 billion in retail banking loans and $95.4$100.5 billion in deposits. In addition, the businesses had approximately 16.716.2 million Citi-branded card accounts with $18.3$19.2 billion in outstanding loan balances.

First Quarter% ChangeFirst Quarter 
In millions of dollars, except as otherwise noted (1)
2017201620182017% Change
Net interest revenue$1,105
$1,101
— %$1,233
$1,114
11 %
Non-interest revenue617
554
11
696
620
12
Total revenues, net of interest expense$1,722
$1,655
4 %$1,929
$1,734
11 %
Total operating expenses$1,180
$1,183
— %$1,277
$1,187
8 %
Net credit losses$160
$160
— %$162
$160
1 %
Credit reserve build (release)13
(11)NM
(21)13
NM
Provision (release) for unfunded lending commitments(1)—
(100)2
(1)NM
Provisions for credit losses$172
$149
15 %$143
$172
(17)%
Income from continuing operations before taxes$370
$323
15 %$509
$375
36 %
Income taxes124
108
15
136
126
8
Income from continuing operations$246
$215
14 %$373
$249
50 %
Noncontrolling interests—
1
(100)2
—
NM
Net income$246
$214
15 %$371
$249
49 %
Balance Sheet data (in billions of dollars)












Average assets$123
$116
6 %$131
$123
7 %
Return on average assets0.81%0.74%

1.15%0.82%

Efficiency ratio69%71% 66
68
 
Average deposits$92.7
$87.2
6
$99.1
$92.7
7
Net credit losses as a percentage of average loans0.78%0.76%

0.73%0.78%

Revenue by business    
Retail banking$1,063
$1,041
2 %$1,198
$1,068
12 %
Citi-branded cards659
614
7
731
666
10
Total$1,722
$1,655
4 %$1,929
$1,734
11 %
Income from continuing operations by business











Retail banking$170
$119
43 %$246
$171
44 %
Citi-branded cards76
96
(21)127
78
63
Total$246
$215
14 %$373
$249
50 %


FX translation impact



Total revenues—as reported$1,722
$1,655
4 %$1,929
$1,734
11 %
Impact of FX translation(2)
—
19


—
64


Total revenues—ex-FX(3)
$1,722
$1,674
3 %$1,929
$1,798
7 %
Total operating expenses—as reported$1,180
$1,183
— %$1,277
$1,187
8 %
Impact of FX translation(2)
—
15


—
50


Total operating expenses—ex-FX(3)
$1,180
$1,198
(2)%$1,277
$1,237
3 %
Provisions for loan losses—as reported$172
$149
15 %$143
$172
(17)%
Impact of FX translation(2)
—
1


—
7


Provisions for loan losses—ex-FX(3)
$172
$150
15 %$143
$179
(20)%
Net income—as reported$246
$214
15 %$371
$249
49 %
Impact of FX translation(2)
—
2


—
5


Net income—ex-FX(3)
$246
$216
14 %$371
$254
46 %

(1)
Asia GCB includes the results of operations of GCB activities in certain EMEA countries for all periods presented.
(2)Reflects the impact of FX translation into U.S. dollars at the first quarter of 20172018 average exchange rates for all periods presented.
(3)Presentation of this metric excluding FX translation is a non-GAAP financial measure.
NMNot meaningful
NM Not 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.

1Q171Q18 vs. 1Q161Q17
Net income increased 14%46%, reflecting higher revenues, a lower effective tax rate as a result of Tax Reform and lower expenses,cost of credit, partially offset by higher cost of credit.expenses.
Revenues increased 3%7%, driven by improvementsolid growth in cardsboth retail banking and wealth management revenues, partially offset by lower retail lending revenues.cards.
Retail banking revenues increased 1%8%, mainly due to an increasereflecting strong growth in wealth management and a modest one-time gain. Excluding the gain, retail banking revenues and higher insurance revenues, which were largely offset by the repositioning of the retail loan portfolio.grew 6%. Wealth management revenues increased due to modestcontinued improvement in investor sentiment, stronger equity markets and an increaseincreases in assets under management (5%(14%) and investment sales (32%). These increases wereAverage deposits increased 2%. Retail lending revenues modestly improved (up 1%), as an increase in volumes (average loans up 3%) was largely offset by a 5% decrease in lending revenues, reflecting continued lower average loans (decrease of 5%). The lower average loans were due to the optimization of this portfolio away from lower-yielding mortgage loans to focus on growing higher return personal loans.spread compression.
Cards revenues increased 6%5%, due to higher volumes, improved revolve rates and higher yields. The volumereflecting 3% growth was driven by a 3% increase in average loans and a 4% increase7% growth in purchase sales, both of which benefited from athe previously disclosed portfolio acquisition in Australia.Australia in the first quarter of 2017.
Expenses decreased 2% asincreased 3%, resulting from volume growth and ongoing investment spending, were more thanpartially offset by lower repositioning expenses compared to the prior year.efficiency savings.
Provisions increased 15%decreased 20%, primarily duedriven by a net loan loss reserve release compared to a net loan loss reserve builds related tobuild in the cards portfolio acquisition in Australia, partially offset by lower net credit losses.prior-year period. Overall credit quality continued to remain stable in the region.
For additional information on Asia GCB’s retail banking, including commercial banking, and its Citi-branded cards portfolios, see “Credit Risk—Consumer Credit” below.


 












INSTITUTIONAL CLIENTS GROUP
Institutional Clients Group (ICG) includes Banking and Markets and securities services (for additional information on these businesses, see “Citigroup Segments” above). ICG provides corporate, institutional, public sector and high-net-worth clients around the world with a full range of wholesale banking products and services, including fixed income and equity sales and trading, foreign exchange, prime brokerage, derivative services, equity and fixed income research, corporate lending, investment banking and advisory services, private banking, cash management, trade finance and securities services. ICG transacts with clients in both cash instruments and derivatives, including fixed income, foreign currency, equity and commodity products.
ICG revenue is generated primarily from fees and spreads associated with these activities. ICG earns fee income for assisting clients inwith transactional services and clearing, transactions, providing brokerage and investment banking services and other such activities. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the trade/execution date or closing of a transaction. Revenue generated from these activities is recorded in Commissions and fees and Investment banking. Revenue is also generated from transaction processing and assets under custody and administration.administration which is recognized as/when the associated promised service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi. Revenue generated from these activities is primarily recorded in Administration and other fiduciary fees. For additional information on these various types of revenues, see Note 5 to the Consolidated Financial Statements.
In addition, as a market maker, ICG facilitates transactions, including holding product inventory to meet client demand, and earns the differential between the price at which it buys and sells the products. These price differentials and the unrealized gains and losses on the inventory are recorded in Principal transactions (for additional information on Principal transactions revenue, see Note 6 to the Consolidated Financial Statements). Other primarily includes mark-to-market gains and losses on certain credit derivatives, gains and losses on available-for-sale (AFS) debt securities, gains and losses on equity securities not held in trading accounts, and other non-recurring gains and losses. Interest income earned on assets held, less interest paid to customers on deposits and long-termlong- and short-term debt, is recorded as Net interest revenue.

The amount and types 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 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’sICG’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 aggregate level.
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 9798 countries and jurisdictions. At March 31, 2017,2018, ICG had approximately $1.3$1.4 trillion of assets and $620$666 billion of deposits, while two of its businesses, businesses—securities services and issuer services, services—managed approximately $15.9$17.7 trillion of assets under custody compared to $14.8$15.9 trillion at the end of the prior-year period.

First Quarter% ChangeFirst Quarter 
In millions of dollars, except as otherwise noted2017201620182017% Change
Commissions and fees$985
$1,004
(2)%$1,213
$1,024
18 %
Administration and other fiduciary fees644
597
8
694
635
9
Investment banking1,044
740
41
985
1,110
(11)
Principal transactions2,668
1,576
69
2,884
2,731
6
Other(1)
(5)(7)29
418
1
NM
Total non-interest revenue$5,336
$3,910
36 %$6,194
$5,501
13 %
Net interest revenue (including dividends)3,790
3,985
(5)3,654
3,818
(4)
Total revenues, net of interest expense$9,126
$7,895
16 %$9,848
$9,319
6 %
Total operating expenses$4,945
$4,872
1 %$5,503
$5,138
7 %
Net credit losses$25
$211
(88)%$105
$25
NM
Credit reserve build (release)(176)108
NM
(175)(176)1
Provision (release) for unfunded lending commitments(54)71
NM
29
(54)NM
Provisions for credit losses$(205)$390
NM
$(41)$(205)80 %
Income from continuing operations before taxes$4,386
$2,633
67 %$4,386
$4,386
— %
Income taxes1,375
764
80
1,057
1,375
(23)
Income from continuing operations$3,011
$1,869
61 %$3,329
$3,011
11 %
Noncontrolling interests15
10
50
15
15
—
Net income$2,996
$1,859
61 %$3,314
$2,996
11 %
EOP assets (in billions of dollars)$1,314
$1,293
2 %$1,407
$1,314
7 %
Average assets (in billions of dollars)
$1,318
$1,272
4 %1,388
1,318
5
Return on average assets0.92%0.59%

0.97%0.92%

Efficiency ratio54%62%

56
55


Revenues by region 

 

North America$3,455
$2,980
16 %$3,265
$3,522
(7)%
EMEA2,807
2,167
30
3,167
2,854
11
Latin America1,127
962
17
1,210
1,169
4
Asia1,737
1,786
(3)2,206
1,774
24
Total$9,126
$7,895
16 %$9,848
$9,319
6 %
Income from continuing operations by region 

 

North America$1,100
$546
NM
$857
$1,077
(20)%
EMEA855
374
NM
1,113
862
29
Latin America475
330
44
491
482
2
Asia581
619
(6)868
590
47
Total$3,011
$1,869
61 %$3,329
$3,011
11 %
Average loans by region (in billions of dollars)
 

 

North America$140
$133
5 %$160
$146
10 %
EMEA65
63
3
78
65
20
Latin America37
39
(5)34
34
—
Asia60
60
—
67
57
18
Total$302
$295
2 %$339
$302
12 %
EOP deposits by business (in billions of dollars)
    
Treasury and trade solutions$417
$417
— %$449
$417
8 %
All other ICG businesses
203
192
6
217
203
7
Total$620
$609
2 %$666
$620
8 %

NM Not meaningful


ICG Revenue Details—Excluding Gains (Losses) on Loan Hedges
 First Quarter 
In millions of dollars20182017% Change
Investment banking revenue details
   
Advisory$215
$249
(14)%
Equity underwriting216
250
(14)
Debt underwriting699
763
(8)
Total investment banking$1,130
$1,262
(10)%
Treasury and trade solutions2,268
2,108
8
Corporate lending—excluding gains (losses) on loan hedges(1)
521
438
19
Private bank904
749
21
Total banking revenues (ex-gains (losses) on loan hedges)$4,823
$4,557
6 %
Corporate lending—gains (losses) on loan hedges(1)
$23
$(115)NM
Total banking revenues (including gains (losses) on loan hedges)$4,846
$4,442
9 %
Fixed income markets$3,418
$3,678
(7)%
Equity markets1,103
802
38
Securities services641
552
16
Other(160)(155)(3)
Total markets and securities services revenues$5,002
$4,877
3 %
Total revenues, net of interest expense$9,848
$9,319
6 %
    Commissions and fees$176
$142
24 %
    Principal transactions(2)
2,184
2,360
(7)
    Other276
151
83
    Total non-interest revenue$2,636
$2,653
(1)%
    Net interest revenue782
1,025
(24)
Total fixed income markets$3,418
$3,678
(7)%
    Rates and currencies$2,470
$2,530
(2)%
    Spread products/other fixed income948
1,148
(17)
Total fixed income markets$3,418
$3,678
(7)%
    Commissions and fees$361
$326
11 %
    Principal transactions(2)
537
189
NM
    Other80
9
NM
    Total non-interest revenue$978
$524
87 %
    Net interest revenue125
278
(55)
Total equity markets$1,103
$802
38 %

(1)First quarter of 2016 includes a previously disclosed charge of approximately $180 million primarily reflecting the write down of Citi’s net investment in Venezuela as a result of changes in the exchange rate during the quarter.
NM Not meaningful

ICG Revenue Details—Excluding (Loss) on Loan Hedges
 First Quarter% Change
In millions of dollars20172016
Investment banking revenue details
   
Advisory$246
$227
8 %
Equity underwriting235
118
99
Debt underwriting733
528
39
Total investment banking$1,214
$873
39 %
Treasury and trade solutions2,075
1,903
9
Corporate lending—excluding (loss) on loan hedges(1)
434
448
(3)
Private bank744
684
9
Total banking revenues (ex-(loss) on loan hedges)$4,467
$3,908
14 %
Corporate lending—(loss) on loan hedges(1)
$(115)$(66)(74)%
Total banking revenues (including (loss) on loan hedges)$4,352
$3,842
13 %
Fixed income markets$3,622
$3,051
19 %
Equity markets769
697
10
Securities services543
561
(3)
Other(2)
(160)(256)38
Total markets and securities services revenues$4,774
$4,053
18 %
Total revenues, net of interest expense$9,126
$7,895
16 %
    Commissions and fees$140
$124
13 %
    Principal transactions(3)
2,318
1,344
72
    Other149
216
(31)
    Total non-interest revenue$2,607
$1,684
55 %
    Net interest revenue1,015
1,367
(26)
Total fixed income markets$3,622
$3,051
19 %
    Rates and currencies$2,503
$2,236
12 %
    Spread products / other fixed income1,119
815
37
Total fixed income markets$3,622
$3,051
19 %
    Commissions and fees$316
$357
(11)%
    Principal transactions(3)
166
51
NM
    Other8
2
NM
    Total non-interest revenue$490
$410
20 %
    Net interest revenue279
287
(3)
Total equity markets$769
$697
10

(1)Hedges on accrual loans reflect the mark-to-market on creditCredit derivatives are used to economically hedge a portion of the corporate loan portfolio that includes both accrual portfolio.loans and loans at fair value. Gains (losses) on loan hedges include the mark-to-market on the credit derivatives and the mark-to-market on the loans in the portfolio that are at fair value. The fixed premium costs of these hedges are netted against the corporate lending revenues to reflect the cost of credit protection.
(2)First quarter Citigroup’s results of 2016 includesoperations excluding the previously disclosed chargeimpact of approximately $180 million, primarily reflecting the write down of Citi’s net investment in Venezuela as a result of changes in the exchange rate during the quarter.gains (losses) on loan hedges are non-GAAP financial measures.
(3)(2) Excludes principal transactions revenues of ICG businesses other than Markets, primarily treasury and trade solutions and the private bank.

NM Not meaningful



1Q18 vs. 1Q17

1Q17 vs. 1Q16
Net income increased 61%11%, primarily driven by higher revenues and a lower costeffective tax rate due to the impact of credit,Tax Reform, partially offset by higher operating expenses.expenses and cost of credit.

Revenues increased 16%6%, reflectingdriven by higher revenues in both Banking (increase of 13%,9%; increase of 14%6% excluding the lossgains (losses) on hedges on accrual loans),loan hedges) and higher revenues in Markets

and securities services (increase of 18%3%), primarily due to fixed income markets and equity markets.. The increase in Banking revenues werewas driven by continued strong momentum and performance in investment banking, treasury and trade solutions, private bank and the private bank. Citi expects revenues in ICG will likely continue to reflect the overall market environment during the remainder of 2017, including a normal seasonal decline incorporate lending, partially offset by investment banking. Markets and securities services revenues reflected solid growth in equity markets and securities services, partially offset by a decline in fixed income markets. Citi expects Markets and securities services revenues will likely continue to reflect the overall

market environment during the remainder of 2018, including a normal seasonal decline sequentially in the second quarter of 2017.
2018.

Within Banking:

Investment banking revenues increased 39%declined 10%, largely reflecting increased industry-wide debtdriven by a decline in overall market wallet from the prior-year period, particularly in North America. Advisory and equity underwriting activity and momentumrevenues both declined 14% versus the prior-year period, reflecting the decline in advisory during the current quarter.market wallet as well as timing of episodic deal activity. Debt underwriting revenues increased 39%, driven by the increase in market activity and wallet share. Equity underwriting revenues increased 99% largelydecreased 8% due to the rebound from the prior year period’s slow activity. Advisory revenues increased 8% reflecting increased wallet share, despite a modest decline in market M&A activity.wallet and wallet share.
Treasury and trade solutions revenues increased 9%8%, reflecting strong growth across both net interest and fee income. Excluding the impact of FX translation, revenues increased 6%, primarily reflecting strength in EMEA and Asia. Revenue growth in the cash business was primarily driven by strong feehigher transaction volumes from both new and existing clients, continued growth higher volumesin deposit balances and improved deposit spreads across most regions. Growth in the trade business was driven by episodic fees and continued focus on high-quality loan growth, but was partially offset by industry-wide tightening of loan spreads. Client activity in both cash and trade drove revenue growth across all regions. End of periodAverage deposit balances were unchanged (1% increaseincreased 6% (3% excluding the impact of FX translation) and average trade. Average loans were unchanged (1% increaseincreased 10% (7% excluding the impact of FX translation), driven by strong loan growth in Asia and EMEA.
Corporate lending revenues decreased 16%.increased from $323 million to $544 million. Excluding the impact of gains/losses on loan hedges, on accrual loans, revenues decreased 3%increased 19% versus the prior-year period. The increase in revenues was driven by lower averagehedging costs and higher loan volumes. Average loans increased 11% versus the prior-year period.
Private Bankbank revenues increased 9%21%, reflecting revenue growth in all regions. The increase was mostly driven by strong momentum in client activity across all products and regions. Revenue growth reflected higher loan and deposit growth, improved bankingvolumes, higher deposit spreads, higher managed investments revenues and increased managed investments revenues.capital markets activity.


Within Markets and securities services:

Fixed income markets revenues increased 19%decreased 7%, primarily due to higherlower revenues in EMEA North Americaand North America.. The increasedecline in revenues was largely driven by higher principal transactions revenues (up 72%), slightly offset by lower net interest revenues (down 26%revenue (decrease of 24%). The increase in principal transactions revenues was driven by both higher rates and currencies revenues and higher spread products, revenues, reflecting increased client revenues and recovery from a challenging trading environment in the prior year. Net interest revenues were lower largelymainly due to a change in the mix of trading positions in support of client activity.activity as well as higher funding costs, given the higher interest rate environment. The decline in revenues was also due to lower principal transactions revenues (decrease of 7%), reflecting lower investor client activity in a less favorable and more volatile market environment than the prior-year period, particularly in G10 rates and spread products in March.
Rates and currencies revenues increased 12%decreased 2%, driven mainly by higherlower G10 rates revenues driven by strengthdue to the lower investor client activity and a less favorable trading environment in
North America, and the comparison to a strong prior-year period in EMEA and North America, partially. The decline in G10 rates was largely offset by a decreasean increase in G10 FXforeign exchange revenues reflecting lowthat benefited from the return of volatility and lowerin the currency markets as well as strong corporate client activity particularly in both G10 foreign exchange and local markets rates and currencies.
Asia.  Spread products and other fixed income revenues increased 37%decreased 17%, primarily due to recovery from the challenging trading environment in the prior year, particularly in securitized products, and continued momentum and higher clientdriven by lower revenues in credit markets in North Americaand EMEA due to lower investor client activity and the comparison to a strong prior-year period. The year-over-year revenue decline was also driven by lower municipal products.products revenues in North America, largely due to the comparison to a strong prior-year period, where municipals markets recovered post U.S. elections.
Equity marketsrevenues increased 38%, with growth across all products, reflecting strength in Asia, North America and EMEA, given the favorable operating environment with higher volatility and increased client activity, particularly with investor clients. Equity derivatives revenues increased across all regions, benefiting from both improved overall market conditions and continued client momentum, in line with the business’ investment strategy. The increase in equity markets revenues was also driven by growth in cash equities and higher balances in prime finance. Principal transactions revenues increased, reflecting client facilitation gains in the favorable trading environment.
Securities services revenues increased by 10%16%, driven by continued growth in client balances and an improvement in equity derivatives, particularlyreflecting particular strength in EMEA and Asia. These drivers were partially offset by lower cash equitiesThe increase in revenues primarily in North America,was driven by lower volumesgrowth in fee revenues from higher assets under custody and commissions, reflecting the ongoing shift to electronic trading by clients across the industry.
Securities services revenues decreased by 3%. Excluding the impact of prior period divestitures, revenues grew 12%,increased client activity, as well as higher net interest revenue driven by higher deposit balancesvolume and higher interest revenue, primarily in North America and Latin America, and higher fee revenue from growth in assets under custody and client volumes.rates.

Expenses increased 1% as higher incentive compensation was partially offset7%, largely driven by lower repositioning coststhe impact of FX translation and a benefit from FX translation.higher level of investment spending.
Provisionsdecreased by $595 increased $164 million to a benefit of $205$41 million, primarily due to lower releases in the current quarter, reflecting a net loan loss reserve release of $230 million (compared to a $179 million build in the prior-year period largely related to energy and energy-related exposures) and lowerhigher net credit losses of($105 million in 2018, compared to $25 million ($211 million in the prior-year period)2017). The lower cost ofNet credit was drivenlosses in 2018 were largely offset by ratings upgrades andpreviously established loan loss reserves, due to the continued stability in commodity prices.commodities prices and net ratings upgrades.







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 (for additional information on Corporate/Other, see “Citigroup Segments” above). At March 31, 2017,2018, Corporate/Other had $96$92 billion in assets, a decrease of 23% year-over-year and 7% from December 31, 2016.4% year-over-year.

First Quarter% ChangeFirst Quarter 
In millions of dollars2017201620182017% Change
Net interest revenue$545
$890
(39)%$538
$558
(4)%
Non-interest revenue632
1,056
(40)%53
643
(92)
Total revenues, net of interest expense$1,177
$1,946
(40)%$591
$1,201
(51)%
Total operating expenses$1,117
$1,250
(11)%$741
$1,134
(35)%
Net credit losses$81
$142
(43)%$26
$81
(68)%
Credit reserve build (release)(35)(31)(13)(33)(35)6
Provision (release) for unfunded lending commitments5
(1)NM
—
1
(100)
Provision for benefits and claims1
60
(98)—
5
(100)
Provisions for loan losses and for benefits and claims52
170
(69)%
Income from continuing operations before taxes$8
$526
(98)%
Provisions for credit losses and for benefits and claims$(7)$52
NM
Income (loss) from continuing operations before taxes$(143)$15
NM
Income taxes (benefits)(96)81
NM
(69)(94)27
Income from continuing operations$104
$445
(77)%
Income (loss) from continuing operations$(74)$109
NM
Income (loss) from discontinued operations, net of taxes(18)(2)NM
(7)(18)61
Net income before attribution of noncontrolling interests$86
$443
(81)%
Net income (loss) before attribution of noncontrolling interests$(81)$91
NM
Noncontrolling interests(6)(7)14 %5
(6)NM
Net income$92
$450
(80)%
Net income (loss)$(86)$97
NM
NM Not meaningful

1Q171Q18 vs. 1Q161Q17
Net incomeThe net loss was $92$86 million, compared to $450net income of $97 million in the prior-year period, due to lower revenues, partially offset by lower expenses and lower cost of credit.expenses.
Revenues decreased 40%51%, driven by the continued wind-down of legacy asset run-off and divestiture activity, as well as lower revenue from treasury-related hedging activity. Revenues in the current quarter included approximately $750 million in gains on asset sales, which more than offset a roughly $300 million charge related to the exit of Citi’s U.S. mortgage servicing operations.assets.
Expenses decreased 11%35%, primarily driven by the wind-down of legacy assets partially offset by approximately $100 million in episodic expenses primarilyand lower legal and related to the exit of the U.S. mortgage servicing operations.expenses.
Excluding the episodic items noted above, Corporate/Other generated an approximate $350 million loss from continuing operations before taxes. Citi expects that revenues and expenses in Corporate/Other should continue to decline with the ongoing wind-down of legacy assets and Corporate/Other should generate underlying negative earnings before taxes per quarterduring the remainder of roughly the same amount going forward.2018.
Provisions decreased 69%,$59 million to a net benefit of $7 million, primarily due to lower net credit losses and a lower provision for benefits and claims.losses. Net credit losses declined 43%68% to $81$26 million, primarily reflecting the impact of ongoing divestiture activity as well as continued improvement in the legacy activity.North America mortgage portfolio. The provision for benefits and claims declined by $59 million
to $1 million, reflecting lower insurance-related business activity.

Payment Protection Insurance (PPI)
In March 2017, the U.K. Financial Conduct Authority (FCA) released a policy statement with the final rules and guidance related to PPI. During the current quarter, Citi increased its PPI reserves by approximately $55 million, driven by the ongoing level of claim volumes and the impact of the final rules and guidance. Citi’s PPI reserve as of March 31, 2017 was $246 million, compared to $228 million as of the end of 2016.
For background information on PPI, see “Citi Holdings” in Citi’s 2016 Annual Report on Form 10-K.







OFF-BALANCE SHEET ARRANGEMENTS

The table below shows where a discussion of Citi’s various off-balance sheet arrangements may be found in this Form 10-Q.10-Q may be found. For additional information, on Citi’s off-balance sheet arrangements, see “Off-Balance Sheet Arrangements” and Notes 1, 21 and 26 to the Consolidated Financial Statements in Citigroup’s 20162017 Annual Report on Form 10-K.
Types of Off-Balance Sheet Arrangements Disclosures in this Form 10-Q
Variable interests and other obligations, including contingent obligations, arising from variable interests in nonconsolidated VIEsSee Note 18 to the Consolidated Financial Statements.
Letters of credit, and lending and other commitmentsSee Note 22 to the Consolidated Financial Statements.
GuaranteesSee Note 22 to the Consolidated Financial Statements.


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.
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 changes in interest and foreign exchange rates, as well as business and asset dispositions.
During the first quarter of 2017,2018, Citi returned a total of approximately $2.2$3.1 billion of capital to common shareholders in the form of share repurchases (approximately 30 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. Based on Citigroup’s current regulatory capital requirements, as well as consideration of potential future changes to the U.S. Basel III rules, management currently believes that a targeted Common Equity Tier 1 Capital ratio of approximately 11.5% represents the amount necessary to prudently operate and invest in Citi’s franchise, including when considering future growth plans, capital return projections and other factors that may impact Citi’s businesses. However, management may revise Citigroup’s targeted Common Equity Tier 1 Capital ratio in response to changing regulatory capital requirements as well as other relevant factors. For additional information regarding Citi’s capital management, see “Capital Resources—Capital Management” in Citigroup’s 20162017 Annual Report on Form 10-K.

Stress Testing Component of Capital Planning and Stress Testing
Citi is subject to an annual assessment by the Federal Reserve Board as to whether Citigroup has effective capital planning processes as well as sufficient regulatory capital to absorb losses during stressful economic and financial conditions, while also meeting obligations to creditors and counterparties and continuing to serve as a credit intermediary. This annual assessment includes two related programs: the Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act Stress Testing (DFAST). For additional information regarding Citi’sthe stress testing component of capital planning, including a recent proposed rulemaking and stress testing, includingother potential changes in Citi’s regulatory capital requirements and future CCAR processes, see “Forward-Looking“Regulatory Capital Standards Developments” and
“Forward-Looking Statements” below and “Capital Resources—Current Regulatory Capital Standards—Stress Testing Component of Capital Planning and Stress Testing”Planning” and “Risk Factors—Strategic Risks” in Citigroup’s 20162017 Annual Report on Form 10-K.









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 20162017 Annual Report on Form 10-K.

GSIB Surcharge
The Federal Reserve Board also adopted For additional information regarding a rule which imposes a risk-based capital surcharge uponrecent proposed rulemaking that would modify the enhanced Supplementary Leverage ratio standards applicable to U.S. bank holding companies that are identified as global systemically important bank holding companies (GSIBs), and certain of their insured depository institution subsidiaries, see “Regulatory Capital Standards Developments” below.

GSIB Surcharge
The Federal Reserve Board also adopted a rule that imposes a risk-based capital surcharge upon U.S. GSIBs, including Citi. GSIB surcharges under the rule initially range from 1% to 4.5% of total risk-weighted assets. Citi’s initial GSIB surcharge effective January 1, 2016 was 3.5%for 2018 remains unchanged from 2017 at 3.0%. However, ongoing efforts in addressing quantitative measures of systemic importance have resulted in a reduction of Citi’s 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 20162017 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 implementedMoreover, the GSIB surcharge, Capital Conservation Buffer, and any Countercyclical Capital Buffer (currently 0%), commenced phase-in on January 1, 2016, becoming fully effective on January 1, 2019. With the exception of the non-grandfathered trust preferred securities, which do not fully phase-out until January 1, 2022, and the capital buffers and GSIB surcharge, which do not fully phase-in until January 1, 2019, (full implementation). all other transition provisions are entirely reflected in Citi’s regulatory capital ratios beginning January 1, 2018. Accordingly, commencing with the first quarter of 2018, Citi is presenting a single set of regulatory capital components and ratios, reflecting current regulatory capital standards in effect throughout 2018. Citi previously disclosed its Basel III risk-based capital and leverage ratios and related components reflecting Basel III Transition Arrangements with respect to regulatory capital adjustments and deductions, as well as Full Implementation, in Citi’s 2017


Annual Report on Form 10-K and Quarterly Reports on Form 10-Q; however, beginning January 1, 2018, that distinction is no longer relevant.
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 20162017 Annual Report on Form 10-K.


For information regarding Citigroup’s capital resources reflecting Basel III Transition Arrangements as of December 31, 2017, see “Capital Resources—Current Regulatory Capital Standards—Citigroup’s Capital Resources Under Current Regulatory StandardsStandards” in Citigroup’s 2017 Annual Report on Form 10-K.

Citigroup’s Capital Resources
Citi is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6%6.0% and 8%8.0%, respectively.
Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2017,2018, inclusive of the 50%75% phase-in of both the 2.5% Capital Conservation Buffer and the 3%3.0% GSIB surcharge (all of which is to be composed of Common Equity Tier 1 Capital), are 7.25%8.625%, 8.75%10.125% and 10.75%12.125%, respectively. Citi’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2016, 2017,
inclusive of the 25%50% phase-in of both the 2.5% Capital Conservation Buffer and the 3.5%3.0% GSIB surcharge (all of which is to be
composed of Common Equity Tier 1 Capital), were 6%7.25%, 7.5%8.75% and 9.5%10.75%, respectively.
Citi currently estimates that its effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratio requirements during 2019, inclusive of the 2.5% Capital Conservation Buffer and the Countercyclical Capital Buffer at its current level of 0%, as well as a 3.0% GSIB surcharge, may be 10.0%, 11.5% and 13.5%, respectively.
Furthermore, to be “well capitalized” under current federal bank regulatory agency definitions, a bank holding
company must have a Tier 1 Capital ratio of at least 6%6.0%, a Total Capital ratio of at least 10%10.0%, and not be subject to a Federal Reserve Board directive to maintain higher capital levels.
Under the U.S. Basel III rules, Citi must comply with a 4.0% minimum Tier 1 Leverage ratio requirement. Effective January 1, 2018, Citi must also comply with an effective 5.0% minimum Supplementary Leverage ratio requirement.
The following tables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios under current regulatory standards (reflecting Basel III Transition Arrangements) for Citi as of March 31, 20172018 and December 31, 2016.2017.

Citigroup Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
March 31, 2017 December 31, 2016March 31, 2018December 31, 2017
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized ApproachAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$161,665
$161,665
 $167,378
$167,378
$144,128
$144,128
$142,822
$142,822
Tier 1 Capital177,104
177,104
 178,387
178,387
163,490
163,490
162,377
162,377
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
201,500
214,080
 202,146
214,938
188,668
200,892
187,877
199,989
Total Risk-Weighted Assets1,166,202
1,142,579
 1,166,764
1,126,314
1,178,127
1,195,981
1,152,644
1,155,099
Common Equity Tier 1 Capital ratio(2)
13.86%14.15% 14.35%14.86%
Tier 1 Capital ratio(2)
15.19
15.50
 15.29
15.84
Total Capital ratio(2)
17.28
18.74
 17.33
19.08
Credit Risk$790,466
$1,125,602
$767,102
$1,089,372
Market Risk69,577
70,379
65,003
65,727
Operational Risk318,084
—
320,539
—
Common Equity Tier 1 Capital ratio(1)(2)
12.23%12.05%12.39%12.36%
Tier 1 Capital ratio(1)(2)
13.88
13.67
14.09
14.06
Total Capital ratio(1)(2)
16.01
16.80
16.30
17.31
In millions of dollars, except ratiosMarch 31, 2017 December 31, 2016March 31, 2018December 31, 2017
Quarterly Adjusted Average Total Assets(3)
 $1,776,048
  $1,768,415
 $1,862,802
 $1,868,326
Total Leverage Exposure(4)
 2,375,616
  2,351,883
 2,436,817
 2,432,491
Tier 1 Leverage ratio(2) 9.97%  10.09% 8.78% 8.69%
Supplementary Leverage ratio(2) 7.46
  7.58
 6.71
 6.68

(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 March 31, 20172018 and December 31, 2016,2017, Citi’s reportable Common Equity Tier 1 Capital and Tier 1 Capital and Total 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.
(2)Citi’s risk-based capital and leverage ratios and related components as of December 31, 2017 are non-GAAP financial measures, which reflect full implementation of regulatory capital adjustments and deductions prior to the effective date of January 1, 2018.
(3)Tier 1 Leverage ratio denominator.
(4)Supplementary Leverage ratio denominator.



As indicated in the table above, Citigroup’s risk-based capital ratios at March 31, 20172018 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citi was also “well capitalized” under current federal bank regulatory agency definitions as of March 31, 2017.2018.


Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 12.1% at March 31, 2018, compared to 12.4% at December 31, 2017. The quarter-over-quarter decline in the ratio was primarily due to an increase in credit risk-weighted assets driven by loan growth and client activity, as well as the return of $3.1 billion of capital to common shareholders, partially offset by quarterly net income of $4.6 billion.



Components of Citigroup Capital Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsMarch 31,
2017		December 31, 2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$209,063
$206,051
Add: Qualifying noncontrolling interests197
259
Regulatory Capital Adjustments and Deductions:  
Less: Net unrealized losses on securities available-for-sale (AFS), net of tax(2)(3)
(116)(320)
Less: Defined benefit plans liability adjustment, net of tax(3)
(1,035)(2,066)
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(4)
(562)(560)
Less: Cumulative unrealized net loss related to changes in fair value of financial liabilities
   attributable to own creditworthiness, net of tax(3)(5)
(138)(37)
Less: Intangible assets:  
Goodwill, net of related deferred tax liabilities (DTLs)(6)
21,448
20,858
Identifiable intangible assets other than mortgage servicing rights (MSRs), net of related
   DTLs(3)
3,790
2,926
Less: Defined benefit pension plan net assets(3)
669
514
Less: Deferred tax assets (DTAs) arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(3)(7)
16,862
12,802
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs(3)(7)(8)
6,677
4,815
Total Common Equity Tier 1 Capital$161,665
$167,378
Additional Tier 1 Capital  
Qualifying perpetual preferred stock(1)
$19,069
$19,069
Qualifying trust preferred securities(9)
1,372
1,371
Qualifying noncontrolling interests23
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)
(35)(24)
Less: Defined benefit pension plan net assets(3)
167
343
Less: DTAs arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(3)(7)
4,215
8,535
Less: Permitted ownership interests in covered funds(10)
618
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(11)
60
61
Total Additional Tier 1 Capital$15,439
$11,009
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$177,104
$178,387
Tier 2 Capital  
Qualifying subordinated debt$23,278
$22,818
Qualifying trust preferred securities(12)
319
317
Qualifying noncontrolling interests30
22
Excess of eligible credit reserves over expected credit losses(13)
827
660
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)
60
61
Total Tier 2 Capital$24,396
$23,759
Total Capital (Tier 1 Capital + Tier 2 Capital)$201,500
$202,146



Footnotes are presented on the following page.


Citigroup Risk-Weighted Assets Under Current Regulatory Standards (Basel III Transition Arrangements)
 March 31, 2017 December 31, 2016
In millions of dollarsAdvanced Approaches
Standardized Approach
 Advanced Approaches
Standardized Approach
Credit Risk(14)
$766,382
$1,070,053
 $773,483
$1,061,786
Market Risk72,247
72,526
 64,006
64,528
Operational Risk327,573
—
 329,275
—
Total Risk-Weighted Assets$1,166,202
$1,142,579
 $1,166,764
$1,126,314
In millions of dollarsMarch 31,
2018		December 31, 2017
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$182,943
$181,671
Add: Qualifying noncontrolling interests140
153
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)
(920)(698)
Less: Cumulative unrealized net loss related to changes in fair value of
   financial liabilities attributable to own creditworthiness, net of tax(3)
(498)(721)
Less: Intangible assets:  
Goodwill, net of related DTLs(4)
22,482
22,052
Identifiable intangible assets other than MSRs, net of related DTLs 
4,209
4,401
Less: Defined benefit pension plan net assets871
896
Less: DTAs arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(5)
12,811
13,072
Total Common Equity Tier 1 Capital (Standardized Approach and Advanced Approaches)$144,128
$142,822
Additional Tier 1 Capital  
Qualifying noncumulative perpetual preferred stock(1)
$18,972
$19,069
Qualifying trust preferred securities(6)
1,379
1,377
Qualifying noncontrolling interests59
61
Regulatory Capital Deductions:  
Less: Permitted ownership interests in covered funds(7)
997
900
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(8)
51
52
Total Additional Tier 1 Capital (Standardized Approach and Advanced Approaches)$19,362
$19,555
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)
   (Standardized Approach and Advanced Approaches)
$163,490
$162,377
Tier 2 Capital  
Qualifying subordinated debt$23,430
$23,673
Qualifying trust preferred securities(9)
334
329
Qualifying noncontrolling interests51
50
Eligible allowance for credit losses(10)
13,638
13,612
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(8)
51
52
Total Tier 2 Capital (Standardized Approach)$37,402
$37,612
Total Capital (Tier 1 Capital + Tier 2 Capital) (Standardized Approach)$200,892
$199,989
Adjustment for excess of eligible credit reserves over expected credit losses(10)
$(12,224)$(12,112)
Total Tier 2 Capital (Advanced Approaches)

$25,178
$25,500
Total Capital (Tier 1 Capital + Tier 2 Capital) (Advanced Approaches)$188,668
$187,877

(1)Issuance costs of $184 million related to noncumulative perpetual preferred stock outstanding at March 31, 20172018 and December 31, 2016,2017 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. 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/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 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, 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 $45.9 billion of net DTAs at March 31, 2017, approximately $19.6 billion were includable in regulatory capital pursuant to the U.S. Basel III rules, while approximately $26.3 billion were excluded. Excluded from Citi’s regulatory capital at March 31, 2017 was approximately $27.7 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 $23.5 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 March 31, 2017 and December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $6.7 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at March 31, 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)Advanced Approaches banking organizations are permitted to include in Tier 2 Capital eligible credit reserves that exceed expected credit losses to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.
(14)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 March 31, 2017
Common Equity Tier 1 Capital 
Balance, beginning of period$167,376
Net income4,090
Common and preferred stock dividends declared(746)
Net increase in treasury stock(1,277)
Net decrease in common stock and additional paid-in capital(429)
Net decrease in foreign currency translation adjustment net of hedges, net of tax1,318
Net decrease in unrealized losses on securities AFS, net of tax16
Net increase in defined benefit plans liability adjustment, net of tax(1,043)
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
41
Net increase in goodwill, net of related DTLs(590)
Net increase in identifiable intangible assets other than MSRs, net of related DTLs(864)
Net increase in defined benefit pension plan net assets(155)
Net increase in DTAs arising from net operating loss, foreign tax credit and general
    business credit carry-forwards
(4,034)
Net increase in excess over 10%/15% limitations for other DTAs, certain common
    stock investments and MSRs
(1,886)
Other(152)
Net decrease in Common Equity Tier 1 Capital$(5,711)
Common Equity Tier 1 Capital Balance, end of period$161,665
Additional Tier 1 Capital 
Balance, beginning of period$10,992
Net increase in qualifying trust preferred securities1
Net change in adjustment related to changes in fair value of financial liabilities
    attributable to own creditworthiness, net of tax
11
Net decrease in defined benefit pension plan net assets176
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
    business credit carry-forwards
4,337
Net increase in permitted ownership interests in covered funds(85)
Other7
Net increase in Additional Tier 1 Capital$4,447
Tier 1 Capital Balance, end of period$177,104
Tier 2 Capital 
Balance, beginning of period$23,759
Net increase in qualifying subordinated debt460
Net increase in qualifying trust preferred securities2
Net increase in excess of eligible credit reserves over expected credit losses167
Other8
Net increase in Tier 2 Capital$637
Tier 2 Capital Balance, end of period$24,396
Total Capital (Tier 1 Capital + Tier 2 Capital)$201,500







Citigroup Risk-Weighted Assets Rollforward Under Current Regulatory Standards
(Basel III Advanced Approaches with Transition Arrangements)
In millions of dollarsThree months ended March 31, 2017
 Total Risk-Weighted Assets, beginning of period$1,166,764
Changes in Credit Risk-Weighted Assets 
Net decrease in retail exposures(1)
(4,312)
Net increase in wholesale exposures(2)
4,445
Net decrease in repo-style transactions(197)
Net decrease in securitization exposures(235)
Net increase in equity exposures465
Net decrease in over-the-counter (OTC) derivatives(3)
(4,199)
Net decrease in derivatives CVA(4)
(1,061)
Net decrease in other exposures(5)
(1,665)
Net decrease in supervisory 6% multiplier(6)
(342)
Net decrease in Credit Risk-Weighted Assets$(7,101)
Changes in Market Risk-Weighted Assets 
Net increase in risk levels(7)
$10,995
Net decrease due to model and methodology updates(8)
(2,754)
Net increase in Market Risk-Weighted Assets$8,241
Net decrease in Operational Risk-Weighted Assets(9)
$(1,702)
Total Risk-Weighted Assets, end of period$1,166,202

(1)Retail exposures decreased during the three months ended March 31, 2017 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, partially offset by the impact of FX translation.
(2)Wholesale exposures increased during the three months ended March 31, 2017 primarily due to increases in commercial loans and loan commitments, as well as the impact of FX translation.
(3)OTC derivatives decreased during the three months ended March 31, 2017 primarily due to changes in fair value and improved portfolio credit quality.
(4)Derivatives CVA decreased during the three months ended March 31, 2017 primarily driven by model enhancements, partially offset by increased exposure and volatility.
(5)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures decreased during the three months ended March 31, 2017 primarily due to a reduction in assets subject to risk-weighting arising from the transitioning to higher regulatory capital deductions effective January 1, 2017, and from the previously-announced sale of a portion of Citi’s mortgage servicing rights, which were offset, in part, by an increase in exchange-traded exposures.
(6)Supervisory 6% multiplier does not apply to derivatives CVA.
(7)Risk levels increased during the three months ended March 31, 2017 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.
(8)Risk-weighted assets declined during the three months ended March 31, 2017 due to changes in model inputs regarding volatility, as well as methodology changes for standard specific risk charges.
(9)During the first quarter of 2017, operational risk-weighted assets decreased by $1.7 billion 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 March 31, 2017 and December 31, 2016.
Citibank Capital Components and Ratios Under Current Regulatory Standards (Basel III Transition Arrangements)
 March 31, 2017 December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$126,543
$126,543
 $126,220
$126,220
Tier 1 Capital127,859
127,859
 126,465
126,465
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
140,431
151,628
 138,821
150,291
Total Risk-Weighted Assets984,660
1,016,037
 973,933
1,001,016
Common Equity Tier 1 Capital ratio(2)(3)
12.85%12.45% 12.96%12.61%
Tier 1 Capital ratio(2)(3)
12.99
12.58
 12.99
12.63
Total Capital ratio(2)(3)
14.26
14.92
 14.25
15.01
In millions of dollars, except ratiosMarch 31, 2017 December 31, 2016
Quarterly Adjusted Average Total Assets(4)
 $1,350,921
  $1,333,161
Total Leverage Exposure(5) 
 1,885,462
  1,859,394
Tier 1 Leverage ratio(3)
 9.46%  9.49%
Supplementary Leverage ratio 6.78
  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 March 31, 2017 and December 31, 2016, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach framework. As of March 31, 2017 and December 31, 2016, Citibank’s reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework.
(3)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 2016 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 capital ratios at March 31, 2017 were in excess of the stated and effective minimum requirements under the U.S. Basel III rules. In addition, Citibank was also “well capitalized” as of March 31, 2017 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, quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), under current regulatory capital standards (reflecting Basel III Transition Arrangements), as of March 31, 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
In basis points
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Citigroup      
Advanced Approaches0.91.20.91.30.91.5
Standardized Approach0.91.20.91.40.91.6
Citibank      
Advanced Approaches1.01.31.01.31.01.4
Standardized Approach1.01.21.01.21.01.5

Impact of Changes on Citigroup and Citibank Leverage Ratios (Basel III Transition Arrangements)
 Tier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.60.60.40.3
Citibank0.70.70.50.4

Citigroup Broker-Dealer Subsidiaries
At March 31, 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 $10.5 billion, which exceeded the minimum requirement by approximately $8.6 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $17.4 billion at March 31, 2017, which exceeded the PRA's minimum regulatory capital requirements.




In addition, certain of Citi’s other broker-dealer
subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other broker-dealer subsidiaries were in compliance with
their regulatory capital requirements at March 31, 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 an 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 tables set forth the capital tiers, total risk-weighted assets, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios, assuming full implementation under the U.S. Basel III rules, for Citi as of March 31, 2017 and December 31, 2016.
At March 31, 2017, Citi’s constraining risk-based capital ratios were those derived under the Basel III Advanced Approaches framework.
Citigroup Capital Components and Ratios Under Basel III (Full Implementation)
 March 31, 2017 December 31, 2016
In millions of dollars, except ratiosAdvanced ApproachesStandardized Approach Advanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$152,835
$152,835
 $149,516
$149,516
Tier 1 Capital172,626
172,626
 169,390
169,390
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
197,027
209,607
 193,160
205,975
Total Risk-Weighted Assets1,191,503
1,166,447
 1,189,680
1,147,956
Common Equity Tier 1 Capital ratio(2)(3)
12.83%13.10% 12.57%13.02%
Tier 1 Capital ratio(2)(3)
14.49
14.80
 14.24
14.76
Total Capital ratio(2)(3)
16.54
17.97
 16.24
17.94
In millions of dollars, except ratiosMarch 31, 2017 December 31, 2016
Quarterly Adjusted Average Total Assets(4)
 $1,772,780
  $1,761,923
Total Leverage Exposure(5) 
 2,372,348
  2,345,391
Tier 1 Leverage ratio(3)
 9.74%  9.61%
Supplementary Leverage ratio(3)
 7.28
  7.22

(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 March 31, 2017 and December 31, 2016, Citi’s Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Advanced Approaches framework.
(3)Citi’s Basel III capital ratios and related components, on a fully implemented basis, are non-GAAP financial measures.
(4)Tier 1 Leverage ratio denominator.
(5)Supplementary Leverage ratio denominator.



Common Equity Tier 1 Capital Ratio
Citi’s Common Equity Tier 1 Capital ratio was 12.8% at March 31, 2017, compared to 12.6% at December 31, 2016 (all based on application of the Advanced Approaches for determining total risk-weighted assets). The quarter-over-quarter growth in the ratio was primarily due to quarterly net income of $4.1 billion and beneficial net movements in AOCI, offset in part by the return of approximately $2.2 billion of capital to common shareholders.
Components of Citigroup Capital Under Basel III (Advanced Approaches with Full Implementation)
In millions of dollarsMarch 31,
2017		December 31, 2016
Common Equity Tier 1 Capital  
Citigroup common stockholders’ equity(1)
$209,063
$206,051
Add: Qualifying noncontrolling interests133
129
Regulatory Capital Adjustments and Deductions:  
Less: Accumulated net unrealized losses on cash flow hedges, net of tax(2)
(562)(560)
Less: Cumulative unrealized net loss related to changes in fair value of
   financial liabilities attributable to own creditworthiness, net of tax(3)
(173)(61)
Less: Intangible assets:  
Goodwill, net of related DTLs(4)
21,448
20,858
Identifiable intangible assets other than MSRs, net of related DTLs 
4,738
4,876
Less: Defined benefit pension plan net assets836
857
Less: DTAs arising from net operating loss, foreign tax credit and general
   business credit carry-forwards(5)
21,077
21,337
Less: Excess over 10%/15% limitations for other DTAs, certain common stock investments,
  and MSRs(5)(6)
8,997
9,357
Total Common Equity Tier 1 Capital$152,835
$149,516
Additional Tier 1 Capital  
Qualifying perpetual preferred stock(1)
$19,069
$19,069
Qualifying trust preferred securities(7)
1,372
1,371
Qualifying noncontrolling interests28
28
Regulatory Capital Deductions:  
Less: Permitted ownership interests in covered funds(8)
618
533
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
60
61
Total Additional Tier 1 Capital$19,791
$19,874
Total Tier 1 Capital (Common Equity Tier 1 Capital + Additional Tier 1 Capital)$172,626
$169,390
Tier 2 Capital  
Qualifying subordinated debt$23,278
$22,818
Qualifying trust preferred securities(10)
319
317
Qualifying noncontrolling interests37
36
Excess of eligible credit reserves over expected credit losses(11)
827
660
Regulatory Capital Deduction:  
Less: Minimum regulatory capital requirements of insurance underwriting subsidiaries(9)
60
61
Total Tier 2 Capital$24,401
$23,770
Total Capital (Tier 1 Capital + Tier 2 Capital)(12)
$197,027
$193,160

(1)Issuance costs of $184 million related to preferred stock outstanding at March 31, 2017 and December 31, 2016, 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)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.
Footnotes continue on the following page.


(3)The cumulative impact of changes in Citigroup’s own creditworthiness in valuing liabilities for which the fair value option has been elected, and own-credit valuation adjustments on derivatives, are excluded from Common Equity Tier 1 Capital, in accordance with the U.S. Basel III rules.
(4)Includes goodwill “embedded” in the valuation of significant common stock investments in unconsolidated financial institutions.






Footnotes continue on the following page.



(5)Of Citi’s approximately $45.9$23.0 billion of net DTAs at March 31, 2017, approximately $17.22018, $11.0 billion were includable in Common Equity Tier 1 Capital pursuant to the U.S. Basel III rules, while approximately $28.7$12.0 billion were excluded. Excluded from Citi’s Common Equity Tier 1 Capital atas of March 31, 20172018 was a total of approximately $30.1$12.8 billion of net DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards, as well as temporary differences,which was reduced by approximately $1.4$0.8 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. DTAs arising from net operating loss, foreign tax credit and general business credit carry-forwards are required to be fullyentirely deducted from Common Equity Tier 1 Capital under full implementation of the U.S. Basel III rules; whereasrules. Commencing with December 31, 2017, Citi’s DTAs arising from temporary differences are deductedwere less than the 10% limitation under the U.S. Basel III rules and therefore not subject to deduction from Common Equity Tier 1 Capital, if in excess of 10%/15% limitations.but are subject to risk-weighting at 250%.
(6)Assets subject to 10%/15% limitations include MSRs, DTAs arising from temporary differences and significant common stock investments in unconsolidated financial institutions. At March 31, 2017 and December 31, 2016, this deduction related only to DTAs arising from temporary differences that exceeded the 10% limitation. Accordingly, approximately $9.0 billion of DTAs arising from temporary differences were excluded from Citi’s Common Equity Tier 1 Capital at March 31, 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.
(7)Represents Citigroup Capital XIII trust preferred securities, which are permanently grandfathered as Tier 1 Capital under the U.S. Basel III rules.
(8)(7)Banking entities are required to be in compliance with the Volcker Rule of the Dodd-Frank Act, thatwhich prohibits conducting certain proprietary investment activities and limits their ownership of, and relationships with, covered funds. Accordingly, Citi is required by the Volcker Rule to deduct from Tier 1 Capital all permitted ownership interests in covered funds that were acquired after December 31, 2013.
(9)(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)(9)Represents the amount of non-grandfathered trust preferred securities eligible for inclusion in Tier 2 Capital under the U.S. Basel III rules, which will be fully phased-out of Tier 2 Capital by January 1, 2022.
(11)(10)Advanced Approaches banking organizations are permitted to includeUnder the Standardized Approach, the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets, which differs from the Advanced Approaches framework, in which eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent that the excess reserves do not exceed 0.6% of credit risk-weighted assets.
(12)Total Capital as calculated under Advanced Approaches, which differs from the Standardized Approach in the treatment of the The total amount of eligible credit reserves includablein excess of expected credit losses that were eligible for inclusion in Tier 2 Capital.Capital, subject to limitation, under the Advanced Approaches framework was $1.4 billion and $1.5 billion at March 31, 2018 and December 31, 2017, respectively.










Citigroup Capital Rollforward Under Basel III (Advanced Approaches with Full Implementation)
In millions of dollarsThree months ended March 31, 2017Three Months Ended 
 March 31, 2018
Common Equity Tier 1 Capital 
Balance, beginning of period$149,512
Common Equity Tier 1 Capital, beginning of period$142,822
Net income4,090
4,620
Common and preferred stock dividends declared(746)(1,098)
Net increase in treasury stock(1,277)(1,806)
Net decrease in common stock and additional paid-in capital(429)(409)
Net decrease in foreign currency translation adjustment net of hedges, net of tax1,318
1,120
Net decrease in unrealized losses on securities AFS, net of tax220
Net increase in defined benefit plans liability adjustment, net of tax(12)
Net increase in unrealized losses on debt securities AFS, net of tax(1,061)
Net decrease in defined benefit plans liability adjustment, net of tax88
Net change in adjustment related to changes in fair value of financial liabilities
attributable to own creditworthiness, net of tax
52
(95)
Net increase in ASC 815—excluded Component of Fair Value Hedges(4)
Net increase in goodwill, net of related DTLs(590)(430)
Net decrease in identifiable intangible assets other than MSRs, net of related DTLs138
192
Net decrease in defined benefit pension plan net assets21
25
Net decrease in DTAs arising from net operating loss, foreign tax credit and general
business credit carry-forwards
303
261
Net decrease in excess over 10%/15% limitations for other DTAs, certain common stock
investments and MSRs
321
Other(86)(97)
Net increase in Common Equity Tier 1 Capital$3,323
$1,306
Common Equity Tier 1 Capital Balance, end of period$152,835
Additional Tier 1 Capital 
Balance, beginning of period$19,874
Common Equity Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$144,128
Additional Tier 1 Capital, beginning of period$19,555
Net decrease in qualifying perpetual preferred stock(97)
Net increase in qualifying trust preferred securities1
2
Net increase in permitted ownership interests in covered funds(85)(97)
Other1
(1)
Net decrease in Additional Tier 1 Capital$(83)$(193)
Tier 1 Capital Balance, end of period$172,626
Tier 2 Capital 
Balance, beginning of period$23,770
Net increase in qualifying subordinated debt460
Net increase in excess of eligible credit reserves over expected credit losses167
Tier 1 Capital, end of period
(Standardized Approach and Advanced Approaches)
$163,490
Tier 2 Capital, beginning of period (Standardized Approach)$37,612
Net decrease in qualifying subordinated debt(243)
Net increase in eligible allowance for credit losses26
Other4
7
Net increase in Tier 2 Capital$631
Tier 2 Capital Balance, end of period$24,401
Total Capital (Tier 1 Capital + Tier 2 Capital)$197,027
Net decrease in Tier 2 Capital (Standardized Approach)$(210)
Tier 2 Capital, end of period (Standardized Approach)$37,402
Total Capital, end of period (Standardized Approach)$200,892
 
Tier 2 Capital, beginning of period (Advanced Approaches)$25,500
Net decrease in qualifying subordinated debt(243)
Net decrease in excess of eligible credit reserves over expected credit losses(86)
Other7
Net decrease in Tier 2 Capital (Advanced Approaches)$(322)
Tier 2 Capital, end of period (Advanced Approaches)$25,178
Total Capital, end of period (Advanced Approaches)$188,668




Citigroup Risk-Weighted Assets Under BaselRollforward (Basel III (Full Implementation)Standardized Approach)
 March 31, 2017 December 31, 2016
In millions of dollarsAdvanced Approaches
Standardized Approach
 Advanced Approaches
Standardized Approach
Credit Risk$791,683
$1,093,921
 $796,399
$1,083,428
Market Risk72,247
72,526
 64,006
64,528
Operational Risk327,573
—
 329,275
—
Total Risk-Weighted Assets$1,191,503
$1,166,447
 $1,189,680
$1,147,956
In millions of dollarsThree Months Ended 
 March 31, 2018
 Total Risk-Weighted Assets, beginning of period$1,155,099
Changes in Credit Risk-Weighted Assets 
Net decrease in general credit risk exposures(1)
(1,252)
Net increase in repo-style transactions(2)
8,253
Net increase in securitization exposures1,827
Net increase in equity exposures878
Net increase in over-the-counter (OTC) derivatives(3)
10,433
Net increase in other exposures(4)
7,952
Net increase in off-balance sheet exposures(5)
8,139
Net increase in Credit Risk-Weighted Assets$36,230
Changes in Market Risk-Weighted Assets 
Net increase in risk levels(6)
$7,232
Net decrease due to model and methodology updates(7)
(2,580)
Net increase in Market Risk-Weighted Assets$4,652
Total Risk-Weighted Assets, end of period$1,195,981

(1)General credit risk exposures include cash and balances due from depository institutions, securities, and loans and leases. General credit risk exposures increased during the three months ended March 31, 2018 primarily due to corporate loan growth.
(2)Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.
(3)OTC derivatives increased during the three months ended March 31, 2018 primarily due to increased notional amounts for bilateral trades resulting from increased seasonal business activity.
(4)Other exposures include cleared transactions, unsettled transactions, and other assets. Other exposures increased during the three months ended March 31, 2018 primarily due to additional DTAs arising from temporary differences, which are subject to risk-weighting at 250%.
(5)Off-balance sheet exposures increased during the three months ended March 31, 2018 primarily due to an increase in commitments to extend credit that will drive future corporate loan growth.
(6)Risk levels increased during the three months ended March 31, 2018 primarily due to increases in exposure levels subject to Stressed Value at Risk and Value at Risk.
(7)Risk-weighted assets declined during the three months ended March 31, 2018 primarily due to methodology changes for standard specific risk charges.
Total risk-weighted assets under the Basel III Advanced Approaches increased slightly from year-end 2016, substantially due to an increase in market risk-weighted assets, partially offset by a decrease in operational risk-weighted assets due to quarterly updates to model parameters, as well as a decline in credit risk-weighted assets. The decrease in credit risk-weighted assets under the Basel III Advanced Approaches was primarily due to decreases in residential mortgage and qualifying revolving (cards) exposures, decreases in OTC derivative exposures and derivatives CVA, as well as the previously-announced sale of a portion of Citi’s mortgage servicing rights and sales of certain legacy assets, partially offset by the impact of FX translation and higher corporate loan exposures.
Total risk-weighted assets under the Basel III Standardized Approach increased due to substantially higher credit and market risk-weighted assets. The increase in credit risk-weighted assets under the Basel III Standardized Approach resulted from the impact of FX translation, increases in commercial loans and commitments, and increases in repo-style transactions, partially offset by a reduction in qualifying revolving (cards) and residential mortgage exposures as well as the previously-announced sale of a portion of Citi’s mortgage servicing rights and sales of certain legacy assets.
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.



Citigroup Risk-Weighted Assets Rollforward (Basel III Advanced Approaches with Full Implementation)Approaches)
In millions of dollarsThree months ended 
 March 31, 2017		Three Months Ended 
 March 31, 2018
Total Risk-Weighted Assets, beginning of period$1,189,680
$1,152,644
Changes in Credit Risk-Weighted Assets  
Net decrease in retail exposures(1)
(4,312)(9,405)
Net increase in wholesale exposures(2)
4,445
9,288
Net decrease in repo-style transactions(197)
Net decrease in securitization exposures(235)
Net increase in repo-style transactions(3)
4,189
Net increase in securitization exposures1,980
Net increase in equity exposures542
1,029
Net decrease in over-the-counter (OTC) derivatives(3)
(4,199)
Net decrease in derivatives CVA(4)
(1,061)
Net increase in over-the-counter (OTC) derivatives(4)
3,047
Net increase in derivatives CVA(5)
7,120
Net increase in other exposures(5)(6)
508
5,196
Net decrease in supervisory 6% multiplier(6)
(207)
Net decrease in Credit Risk-Weighted Assets$(4,716)
Net increase in supervisory 6% multiplier(7)
920
Net increase in Credit Risk-Weighted Assets$23,364
Changes in Market Risk-Weighted Assets  
Net increase in risk levels(7)(8)
$10,995
$7,154
Net decrease due to model and methodology updates(8)(9)
(2,754)(2,580)
Net increase in Market Risk-Weighted Assets$8,241
$4,574
Net decrease in Operational Risk-Weighted Assets(9)
$(1,702)
Net decrease in Operational Risk-Weighted Assets(10)
$(2,455)
Total Risk-Weighted Assets, end of period$1,191,503
$1,178,127

(1)Retail exposures decreased during the three months ended March 31, 20172018 primarily due to residential mortgage loan sales and repayments, divestitures of certain legacy assets and reductions in qualifying revolving (cards) exposures attributable to seasonal holidayholding spending repayments, partially offset by the impact of FX translation.repayments.
(2)Wholesale exposures increased during the three months ended March 31, 20172018 primarily due to increases in commercial loans and loan commitments, as well as the impact of FX translation.commitments.
(3)Repo-style transactions include repurchase or reverse repurchase transactions and securities borrowing or securities lending transactions.
(4)OTC derivatives decreasedincreased during the three months ended March 31, 20172018 primarily due to changesincreases in notional amounts, potential future exposure and fair value and improved portfolio credit quality.for bilateral trades.
(4)(5)Derivatives CVA decreasedincreased during the three months ended March 31, 20172018 primarily driven by model enhancements, partially offset bydue to increased exposurevolatility and volatility.exposures.
(5)(6)Other exposures include cleared transactions, unsettled transactions, assets other than those reportable in specific exposure categories and non-material portfolios. Other exposures increased during the three months ended March 31, 2018 primarily due to additional temporary difference deferred tax assets subject to risk weighting.
(6)(7)Supervisory 6% multiplier does not apply to derivatives CVA.
(7)(8)Risk levels increased during the three months ended March 31, 20172018 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.Value at Risk.
(8)(9)Risk-weighted assets declined during the three months ended March 31, 20172018 primarily due to changes in model inputs regarding volatility, as well as methodology changes for standard specific risk charges.
(9)(10)During the first quarter of 2017, operationalOperational risk-weighted assets decreased by $1.7 billionduring the three months ended March 31, 2018 primarily due to quarterly updates to model parameters.changes in operational loss severity and frequency.


As set forth in the table above, total risk-weighted assets under the Basel III Standardized Approach increased from year-end 2017, substantially due to higher credit risk-weighted assets, primarily resulting from increased OTC derivative trade activity, additional temporary difference deferred tax assets subject to risk weighting and an increase in corporate loan commitments.
Total risk-weighted assets under the Basel III Advanced Approaches increased from year-end 2017, driven by substantially higher credit risk-weighted assets as well as an increase in market risk-weighted assets, partially offset by a decrease in operational risk-weighted assets. The increase in credit risk-weighted assets was primarily due to changes in OTC derivative trade activity and portfolio credit quality as well as increase in commercial loans and loan commitments, partially offset by a decline in retail exposures due to reductions in qualifying revolving (cards) exposures attributable to seasonal holiday spending repayments. The increase in market risk-weighted assets
was primarily due to increases in exposure levels subject to Stressed Value at Risk and Value at Risk, partially offset by methodology changes for standard specific risk charges. Operational risk-weighted assets decreased from year-end 2017 primarily due to changes in operational loss severity and frequency.


Supplementary Leverage Ratio
As set forth in the table below, Citigroup’s Supplementary Leverage ratio was 7.3%6.7% for the first quarter of 2017, compared to 7.2% for2018, unchanged from the fourth quarter of 2016. The growth in the ratio quarter-over-quarter was principally driven by an increase in Tier 1 Capital attributable largely to quarterly2017, as net income of $4.1$4.6 billion which was partially offset by anthe return of capital to common shareholders and a slight increase in Total Leverage Exposure primarily due to growth in average on-balance sheet assets as well as an increase in the potential future exposure on derivative contracts.Exposure.
 
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 March 31, 20172018 and December 31, 2016.2017.



Citigroup Basel III Supplementary Leverage Ratio and Related Components (Full Implementation)
In millions of dollars, except ratiosMarch 31, 2017December 31, 2016March 31, 2018December 31, 2017
Tier 1 Capital$172,626
$169,390
$163,490
$162,377
Total Leverage Exposure (TLE)  
On-balance sheet assets(1)
$1,830,554
$1,819,802
$1,904,223
$1,909,699
Certain off-balance sheet exposures:(2)
  
Potential future exposure on derivative contracts220,573
211,009
190,824
191,555
Effective notional of sold credit derivatives, net(3)
65,584
64,366
51,006
59,207
Counterparty credit risk for repo-style transactions(4)
25,205
22,002
26,673
27,005
Unconditionally cancellable commitments67,101
66,663
68,240
67,644
Other off-balance sheet exposures221,105
219,428
237,272
218,754
Total of certain off-balance sheet exposures$599,568
$583,468
$574,015
$564,165
Less: Tier 1 Capital deductions57,774
57,879
41,421
41,373
Total Leverage Exposure$2,372,348
$2,345,391
$2,436,817
$2,432,491
Supplementary Leverage ratio7.28%7.22%6.71%6.68%

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

Citibank’s Supplementary Leverage ratio, assuming full implementation under the U.S. Basel III rules, was 6.7% for the first quarter of 2017, compared to 6.6% for the fourth quarter of 2016. The growth in the ratio quarter-over-quarter was principally driven by an increase in Tier 1 Capital attributable largely to quarterly net income, partially offset by cash dividends paid by Citibank to its parent, Citicorp, and which were subsequently remitted to Citigroup.


Capital Resources of Citigroup’s Subsidiary U.S. Depository Institutions
Citigroup’s subsidiary U.S. depository institutions are also subject to regulatory capital standards issued by their respective primary federal bank regulatory agencies, which are similar to the standards of the Federal Reserve Board.
During 2018, Citi’s primary subsidiary U.S. depository institution, Citibank, N.A. (Citibank), is subject to effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios, inclusive of the 75% phase-in of the 2.5% Capital Conservation Buffer, of 6.375%, 7.875% and 9.875%, respectively. Citibank’s effective minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios during 2017, inclusive of the 50% phase-in of
the 2.5% Capital Conservation Buffer, were 5.75%, 7.25% and 9.25%, respectively. Citibank is required to maintain stated minimum Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios of 4.5%, 6% and 8%, respectively.
The following tables set forth the capital tiers, total risk-weighted assets and underlying risk components, risk-based capital ratios, quarterly adjusted average total assets, Total Leverage Exposure and leverage ratios for Citibank, Citi’s primary subsidiary U.S. depository institution, as of March 31, 2018 and December 31, 2017.

Citibank Capital Components and Ratios
 March 31, 2018December 31, 2017
In millions of dollars, except ratiosAdvanced ApproachesStandardized ApproachAdvanced ApproachesStandardized Approach
Common Equity Tier 1 Capital$126,413
$126,413
$122,848
$122,848
Tier 1 Capital128,546
128,546
124,952
124,952
Total Capital (Tier 1 Capital + Tier 2 Capital)(1)
141,702
152,431
138,008
148,946
Total Risk-Weighted Assets962,395
1,039,774
965,435
1,024,502
   Credit Risk$677,461
$999,860
$674,659
$980,324
   Market Risk39,328
39,914
43,300
44,178
   Operational Risk245,606
—
247,476
—
Common Equity Tier 1 Capital ratio(2)(3)(4)
13.14%12.16%12.72%11.99%
Tier 1 Capital ratio(2)(3)(4)
13.36
12.36
12.94
12.20
Total Capital ratio(2)(3)(4)
14.72
14.66
14.29
14.54
In millions of dollars, except ratiosMarch 31, 2018December 31, 2017
Quarterly Adjusted Average Total Assets(5)
 $1,386,249
 $1,401,187
Total Leverage Exposure(6) 
 1,897,742
 1,900,641
Tier 1 Leverage ratio(2)(4)
 9.27% 8.92%
Supplementary Leverage ratio(2)(4)
 6.77
 6.57

(1)Under the Advanced Approaches framework, eligible credit reserves that exceed expected credit losses are eligible for inclusion in Tier 2 Capital to the extent the excess reserves do not exceed 0.6% of credit risk-weighted assets, which differs from the Standardized Approach in which the allowance for credit losses is eligible for inclusion in Tier 2 Capital up to 1.25% of credit risk-weighted assets, with any excess allowance for credit losses being deducted in arriving at credit risk-weighted assets.
(2)Citibank’s risk-based capital and leverage ratios and related components as of December 31, 2017 are non-GAAP financial measures, which reflect full implementation of regulatory capital adjustments and deductions prior to the effective date of January 1, 2018.
(3)As of March 31, 2018, Citibank’s reportable Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital ratios were the lower derived under the Basel III Standardized Approach. As of December 31, 2017, Citibank’s reportable Common Equity Tier 1 Capital and Tier 1 Capital ratios were the lower derived under the Basel III Standardized Approach, whereas the reportable Total Capital ratio was the lower derived under the Basel III Advanced Approaches framework.
(4)Citibank must maintain minimum Common Equity Tier 1 Capital, Tier 1 Capital, Total Capital and Tier 1 Leverage ratios of 6.5%, 8.0%, 10.0% and 5.0%, respectively, to be considered “well capitalized” under the revised Prompt Corrective Action (PCA) regulations applicable to insured depository institutions as established by the U.S. Basel III rules. Effective January 1, 2018, Citibank must also maintain a minimum Supplementary Leverage ratio of 6.0% to be considered “well capitalized.” For additional information, see “Capital Resources—Current Regulatory Capital Standards—Prompt Corrective Action Framework” in Citigroup’s 2017 Annual Report on Form 10-K.
(5)Tier 1 Leverage ratio denominator.
(6)Supplementary Leverage ratio denominator.

As indicated in the table above, Citibank’s capital ratios at March 31, 2018 were in excess of the stated and effective minimum requirements under the U.S. Basel III


rules. In addition, Citibank was also “well capitalized” as of March 31, 2018 under the revised PCA regulations.



Impact of Changes on Citigroup and Citibank Capital Ratios
The following tables present the estimated sensitivity of Citigroup’s and Citibank’s capital ratios to changes of $100 million in Common Equity Tier 1 Capital, Tier 1 Capital and Total Capital (numerator), and changes of $1 billion in
Advanced Approaches and Standardized Approach risk-weighted assets and quarterly adjusted average total assets, as well as Total Leverage Exposure (denominator), as of March 31, 2018. 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
 
Common Equity
Tier 1 Capital ratio
Tier 1 Capital ratioTotal Capital ratio
In basis points
Impact of
$100 million
change in
Common Equity
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in risk-
weighted assets
Impact of
$100 million
change in
Total Capital
Impact of
$1 billion
change in risk-
weighted assets
Citigroup      
Advanced Approaches0.81.00.81.20.81.4
Standardized Approach0.81.00.81.10.81.4
Citibank      
Advanced Approaches1.01.41.01.41.01.5
Standardized Approach1.01.21.01.21.01.4

Impact of Changes on Citigroup and Citibank Leverage Ratios
 Tier 1 Leverage ratioSupplementary Leverage ratio
In basis points
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in quarterly adjusted average total assets
Impact of
$100 million
change in
Tier 1 Capital
Impact of
$1 billion
change in Total Leverage Exposure
Citigroup0.50.50.40.3
Citibank0.70.70.50.4

Citigroup Broker-Dealer Subsidiaries
At March 31, 2018, Citigroup Global Markets Inc., a U.S. broker-dealer registered with the SEC that is an indirect wholly owned subsidiary of Citigroup, had net capital, computed in accordance with the SEC’s net capital rule, of $10.4 billion, which exceeded the minimum requirement by $8.1 billion.
Moreover, Citigroup Global Markets Limited, a broker-dealer registered with the United Kingdom’s Prudential Regulation Authority (PRA) that is also an indirect wholly owned subsidiary of Citigroup, had total capital of $19.1 billion at March 31, 2018, which exceeded the PRA's minimum regulatory capital requirements.
In addition, certain of Citi’s other broker-dealer subsidiaries are subject to regulation in the countries in which they do business, including requirements to maintain specified levels of net capital or its equivalent. Citigroup’s other broker-dealer subsidiaries were in compliance with their regulatory capital requirements at March 31, 2018.


Regulatory Capital Standards Developments

Stress Buffer Requirements
In April 2018, the Federal Reserve Board released a notice of proposed rulemaking that would create a single, integrated capital requirement by combining the quantitative assessment of the Comprehensive Capital Analysis and Review (CCAR) program with the buffer requirements in the U.S. Basel III rules. The proposed rule would revise CCAR such that the Federal Reserve Board would no longer object to a bank holding company’s capital plan based on a quantitative assessment of its capital adequacy, and would instead use the results of the supervisory severely adverse scenario in the annual stress test to size specific buffer requirements above certain minimum capital requirements. As with the current U.S. Basel III rules, any breach of the buffers to absorb losses during periods of financial or economic stress would result in restrictions on earnings distributions (e.g., dividends, equity repurchases and discretionary executive bonuses), based upon the extent to which the buffer(s) are breached.
With respect to each of the risk-based capital ratios (i.e., Common Equity Tier 1 Capital ratio, Tier 1 Capital ratio and Total Capital ratio) calculated under the Standardized Approach, the proposed rule would replace the Capital Conservation Buffer, which is fixed at 2.5% under the U.S. Basel III rules, with a variable buffer known as the Stress Capital Buffer. The Stress Capital Buffer would be equal to the maximum decline in a bank holding company’s Common Equity Tier 1 Capital ratio under the severely adverse scenario of the supervisory stress test, plus planned common stock dividends for each of the fourth through seventh quarters of the planning horizon (expressed as a percentage of risk-weighted assets), and would be subject to a floor of 2.5%. The Capital Conservation Buffer would remain unchanged at 2.5% for each of the risk-based capital ratios calculated using the Advanced Approaches. Under either approach, the GSIB surcharge and, if invoked, any Countercyclical Capital Buffer, would continue to augment the Stress Capital Buffer or Capital Conservation Buffer, as applicable.
In addition to the Stress Capital Buffer, the proposed rule would establish a new Stress Leverage Buffer requirement above the stated minimum Tier 1 Leverage ratio requirement. The Stress Leverage Buffer would be equal to the maximum decline in a bank holding company’s Tier 1 Leverage ratio under the severely adverse scenario of the supervisory stress test, plus planned common stock dividends for each of the fourth through seventh quarters of the planning horizon (expressed as a percentage of risk-weighted assets).
Finally, the proposed rule would also modify certain assumptions in the supervisory stress test to determine a bank holding company’s stress buffer requirements. The modified assumptions include a narrower set of planned capital actions assumed to occur in the supervisory stress test, as well as an assumption that the bank holding company would take actions to maintain a constant level of assets in a stress scenario.
Under the timeline for stress testing and CCAR cycles included within the proposed rule, the Federal Reserve Board would generally release its calculation of each bank holding company’s Stress Capital Buffer and Stress Leverage Buffer by June 30 of each year. The effective date of the proposed rule would be December 31, 2018, with the initial stress buffer requirements becoming effective October 1, 2019. If adopted as proposed, Citi would likely be subject to higher effective minimum regulatory capital requirements.

Enhanced Supplementary Leverage Ratio and Total Loss-Absorbing Capacity (TLAC) Requirements
In April 2018, the Federal Reserve Board (Board) and the Office of the Comptroller of the Currency (OCC) jointly issued a notice of proposed rulemaking that would modify the enhanced Supplementary Leverage ratio standards applicable to U.S. GSIBs and their Board- or OCC-regulated insured depository institution subsidiaries. The proposed rule would replace the currently fixed 2.0% leverage buffer requirement that applies uniformly to all U.S. GSIBs, such as Citi, with a variable leverage buffer requirement equal to 50% of the U.S. GSIB’s currently applicable GSIB surcharge. Similarly, for Board- or OCC-regulated insured depository institution subsidiaries of U.S. GSIBs, such as Citibank, the proposed rule would replace the currently fixed 6.0% threshold at which these subsidiaries are considered to be “well capitalized” under the Prompt Corrective Action framework with a threshold set at the stated minimum requirement of 3.0% plus 50% of the GSIB surcharge applicable to the U.S. GSIB of which it is a subsidiary.
The proposed rule would also make corresponding modifications to certain of the Board’s TLAC buffer requirements applicable to U.S. GSIBs. Accordingly, under the proposed rule, each U.S. GSIB’s fixed 2.0% leverage-based TLAC buffer would be replaced with a buffer equal to 50% of the GSIB surcharge, and the leverage component of each U.S. GSIB’s Long-Term Debt (LTD) requirement would be revised to equal Total Leverage Exposure multiplied by 2.5% plus 50% of the U.S. GSIB’s applicable GSIB surcharge.
If adopted as proposed, and assuming that Citi maintains a GSIB surcharge of 3.0%, Citigroup’s and Citibank’s effective minimum Supplementary Leverage ratio requirements would be reduced to 4.5%, down from the current effective minimum requirements of 5.0% and 6.0%, respectively. Additionally, Citi’s leverage-based TLAC buffer would decrease from 2.0% to 1.5%, and the leverage component of Citi’s LTD requirement would decrease from 4.5% to 4.0%.



Regulatory Capital Treatment—Implementation and Transition of the Current Expected Credit Losses (CECL) Methodology
In April 2018, the U.S. banking agencies released a notice of proposed rulemaking that would afford banking organizations an optional phase-in over a three-year period of the “Day One” adverse regulatory capital effects resulting from adoption of the CECL methodology. The proposed rule is in recognition of the issuance by the Financial Accounting Standards Board of ASU No. 2016-13, “Financial Instruments—Credit Losses,” which will replace the current incurred loss methodology for recognizing credit losses with the CECL methodology. The ASU will be effective for Citi as of January 1, 2020, and will generally result in earlier recognition of credit losses compared to current practice. For additional information regarding the CECL methodology, see “Future Application of Accounting Standards” below.
Under the proposed rule, the election to phase in the “Day One” adverse regulatory capital effects arising from adoption of the CECL methodology must be made as of the date of adopting CECL. Bank holding companies, such as Citi, and insured depository institution subsidiaries, such as Citibank, may choose to elect transitional regulatory capital relief independent of one another.
The proposed rule does not change the timing or the U.S. GAAP result of implementing the CECL methodology. However, if adopted as proposed, the proposed rule would provide both Citigroup and Citibank with additional flexibility to phase in the Day One adverse regulatory capital effects resulting from adoption of the CECL methodology.

Revisions to the Minimum Capital Requirements for Market Risk
In March 2018, the Basel Committee on Banking Supervision (Basel Committee) issued various proposed and final rules duringa consultative document which proposes revisions to the first quartermarket risk capital framework previously finalized in 2016. The consultative document proposes revisions to the assessment process to determine whether a bank’s internal risk management models appropriately reflect the risks of 2017, whichindividual trading desks, as well as clarifications to the requirements for identification of risk factors that are designed to provide further clarification, modification or enhancement to certain elementseligible for internal modeling. In addition, the consultative document proposes a recalibration of the risk weights for general interest rate risk, equity risk and foreign exchange risk under the Standardized Approach.
The U.S. banking agencies may revise the minimum capital requirements for market risk in the future, based upon any revisions adopted by the Basel III capital framework.Committee.

 
Identification and Management of Step-in Risk
Pillar 3 Disclosure Requirements—Updated Framework
In March 2017,February 2018, the Basel Committee issued a second consultative document which proposes guidelines regarding the identification and management of so-called “step-in risk,” which is defined as “the risk that a bank decides to provide financial support to an unconsolidated entity that is facing stress, in the absence of, or in excess of, any contractual obligations to provide such support.” This consultative document establishes a proposed framework that would be used by banks for conducting a self-assessment of step-in risk, which would also be reported to each bank’s respective national supervisors. The self-assessment of step-in risk would consider the risk characteristics of certain unconsolidated entities, as well as the banks’ relationship to such entities. The proposed framework, however, would not require any additional regulatory capital or liquidity charges beyond the current Basel III rules.

Pillar 3 Disclosure Requirements - Consolidated and
Enhanced Framework
In March 2017, the Basel Committee issued a final rule
which adopts further revisions arising from the second phase of its review ofrevise the “Pillar 3” disclosure requirements and which builds on the initial revisions from phase one of the review which werelast finalized in January 2015.
The final rule consolidates all existing Basel Committee disclosure requirements into the Pillar 3 framework, with these constituting the disclosure requirements regarding the composition of capital, leverage ratio, Liquidity Coverage Ratio, Net Stable Funding Ratio,
indicators for measuring the global systemic importance of banks, Countercyclical Capital Buffer, interest rate risk in the banking book, and remuneration. Moreover, the final rule introduces enhancements to the Pillar 3 framework, in part,March 2017, by incorporating a “dashboard” of a banking organization’s key regulatory capital and liquidity metrics. Lastly, the final rule sets forth revisions and additions to the Pillar 3 framework resulting from ongoing reforms to the regulatory capital framework, including incorporating disclosure requirements arising from the Financial Stability Board’s total loss-absorbing capacity (TLAC) regime applicable to global systemically important banks (GSIBs), and revised disclosure requirements for market risk attributable to the revised market risk framework.
The final rule does not include disclosure requirements arising from the Basel Committee’s ongoinglargely reflecting finalization of the Basel III post-crisis regulatory reforms such as those with respect to certain potential revisionsin December 2017. The consultative document includes several new or revised disclosure requirements related to credit andrisk, credit valuation adjustments, operational risk disclosures, which will be included withinand the leverage ratio. Further, the proposal introduces disclosure requirements for benchmarking risk-weighted assets calculated under banks’ internal models with those calculated according to the standardized approaches. Additionally, the consultative document proposes new disclosure requirements related to the prudential treatment of problem assets, asset encumbrance and capital distribution constraints, as well as seeks feedback on the advantages and disadvantages of expanding the scope of the third phase of the review of the Pillar 3 framework.
Citi is currently subjectapplication for disclosures related to the composition of regulatory capital to resolution groups.
The Advanced Approaches disclosure requirements under the U.S. Basel III rules. Therules may be revised by the U.S. banking agencies may revise the nature and extent of these disclosure requirements in the future, as a result of the Basel Committee’s proposed new and revised Pillar 3 disclosure requirements.

Regulatory Treatment of Accounting Provisions for Expected Credit Losses - Interim Approach and Transitional Arrangements
In March 2017, the Basel Committee issued a final rule which retains, for an interim period, the current Basel III treatment, under both the Standardized Approach and Internal Ratings-Based Approaches, applicable to accounting provisions for credit losses. Such measure is in recognition of the promulgation by both the International Accounting Standards Board and more recently the U.S. Financial Accounting Standards Board of new accounting pronouncements (IFRS 9, “Financial Instruments,” and
ASU 2016-13, “Financial Instruments - Credit Losses,”
respectively) regarding the impairment of financial assets and adoption of provisioning standards which incorporate forward-looking assessments in the estimation of expected credit losses, which represents a substantial departure from the recognition of credit losses under the current incurred loss model. Measuring the impairment of loans and other financial assets under expected credit loss models may result in earlier recognition of, and higher accounting provisions for, credit losses, and consequently may increase volatility in regulatory capital. The current Basel III treatment is being retained so as to afford the Basel Committee additional time in which to thoroughly consider and develop a permanent regulatory capital treatment with respect to accounting provisions for expected credit losses.
Moreover, the final rule provides for optional transitional arrangements, which may be availed by jurisdictions, that would permit banking organizations to more evenly absorb the potentially significant adverse impact on regulatory capital arising from the recognition of higher expected credit loss provisions. The final rule also establishes standards with which these transitional arrangements must comply.  
The U.S. banking agencies may revise the Basel III rules in the future in conjunction with the adoption by U.S. banking organizations of the current expected credit loss model as set forth under ASU 2016-13.

Revised Assessment Framework for Global Systemically Important Banks
In March 2017, the Basel Committee issued a consultative document which proposes revisions to the framework for assessing the global systemic importance of banks. The current framework employed by the Basel Committee as to the identification of GSIBs and the assessment of a surcharge, is based primarily on quantitative measurement indicators underlying five equally weighted broad categories of systemic importance: (i) size, (ii) interconnectedness, (iii) cross-jurisdictional activity, (iv) substitutability/financial institution infrastructure, and (v) complexity. With the exception of size, each of the other


categories are comprised of multiple indicators, and amounting to 12 indicators in total.
The proposal, which reflects the results of the Basel Committee’s planned initial review, sets forth several modifications to its GSIB framework, the most significant of which for Citi would be the removal of the existing cap on the substitutability/financial institution infrastructure category. Among the other changes proposed by the Basel Committee and estimated to be of lesser impact to Citi, would be the introduction within the substitutability/financial institution infrastructure category of a trading volume indicator, accompanied by an equivalent reduction in the current weighting of the existing underwriting indicator. Moreover, the Basel Committee’s proposed requirement to expand the scope of consolidation to include exposures of insurance subsidiaries within the size, interconnectedness, and complexity categories would raise the global aggregate of these respective measures of systemic importance to which all GSIBs are subject, and as a result it is estimated that Citi would benefit on a relative basis vis-a-vis certain other GSIBs, given that its insurance subsidiaries are presently consolidated under U.S. generally accepted accounting principles and for regulatory purposes. Aside from these proposed modifications, the Basel Committee is also separately seeking feedback on the potential for a new indicator regarding short-term wholesale funding.
In contrast, a U.S. bank holding company that is designated a GSIB under the Federal Reserve Board’s rule, is required, on an annual basis, to calculate a surcharge using two methods, and is subject to the higher of the resulting two surcharges. The first method (“method 1”) is based on the same five broad categories of systemic importance resident under the Basel Committee’s framework to identify a GSIB and derive a surcharge. Under the second method (“method 2”), the substitutability category is replaced with a quantitative measure intended to assess the extent of a GSIB’s reliance on short-term wholesale funding.
Accordingly, if the Federal Reserve Board were to adopt the Basel Committee’s proposed revisions with respect to the U.S. GSIB framework, Citi’s method 1 GSIB surcharge would increase from its 2017 level of 2% to an estimated 2.5%, while its estimated method 2 GSIB surcharge would remain unchanged at its 2017 level of 3%. Further, while it is currently estimated that under these circumstances method 2 would remain Citi’s binding constraint for GSIB surcharge purposes, nonetheless an increase in Citi’s method 1 GSIB surcharge could impact the extent to which Citi satisfies certain TLAC minimum requirements in the future.









Tangible Common Equity, Book Value Per Share, Tangible Book Value Per Share and Returns on Equity
Tangible common equity (TCE), as defined by Citi, represents common stockholders’ equity less goodwill and identifiable intangible assets (other than MSRs). Other companies may calculate TCE in a different manner. TCE, tangible book value per share and returns on average TCE are non-GAAP financial measures.
 

In millions of dollars or shares, except per share amountsMarch 31,
2017		December 31,
2016		March 31,
2018		December 31,
2017
Total Citigroup stockholders’ equity$228,132
$225,120
$201,915
$200,740
Less: Preferred stock19,253
19,253
19,156
19,253
Common stockholders’ equity$208,879
$205,867
$182,759
$181,487
Less:  
Goodwill22,265
21,659
22,659
22,256
Identifiable intangible assets (other than MSRs)5,013
5,114
4,450
4,588
Goodwill and identifiable intangible assets (other than MSRs) related to assets held-for-sale48
72
Goodwill and identifiable intangible assets (other than MSRs) related to
assets held-for-sale (HFS)
48
32
Tangible common equity (TCE)$181,553
$179,022
$155,602
$154,611
Common shares outstanding (CSO)2,753.3
2,772.4
2,549.9
2,569.9
Book value per share (common equity/CSO)$75.86
$74.26
$71.67
$70.62
Tangible book value per share (TCE/CSO)65.94
64.57
61.02
60.16
In millions of dollarsThree months ended March 31, 2017Three months ended March 31, 2016
Net income available to common shareholders$3,789
$3,291
Average common stockholders’ equity$207,040
$207,084
Average TCE$180,288
$181,336
Less: Average net DTAs excluded from Common Equity Tier 1 Capital(1)
28,951
29,988
Average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital$151,337
$151,348
Return on average common stockholders’ equity7.4%6.4%
Return on average TCE (ROTCE)(2)
8.5
7.3
Return on average TCE, excluding average net DTAs excluded from Common Equity Tier 1 Capital10.2
8.7


In millions of dollarsThree Months Ended March 31, 2018Three Months Ended March 31, 2017
Net income available to common shareholders$4,348
$3,789
Average common stockholders’ equity(1)
$181,628
$206,903
Average TCE$155,107
$180,210
Return on average common stockholders’ equity9.7%7.4%
Return on average TCE (ROTCE)(2)
11.4
8.5

(1)Represents average net DTAs excluded in arrivingAverage common stockholders’ equity for the three months ended March 31, 2018 includes the $22.6 billion impact from Tax Reform recorded at Common Equity Tier 1 Capital under full implementationthe end of the U.S. Basel III rules. The average is based upon quarter-end amounts over the most recent two quarters through March 31, 2017 and March 31, 2016, respectively.fourth quarter of 2017.
(2)ROTCE represents annualized net income available to common shareholders as a percentage of average TCE.



Managing Global Risk Table of Contents

MANAGING GLOBAL RISK 
4641

CREDIT RISK(1)
 
4741

Consumer Credit 
4741

Corporate Credit 
5448

Additional Consumer and Corporate Credit Details 
5750

 Loans Outstanding 
5750

       Details of Credit Loss Experience 
5851

       Allowance for Loan Losses 5952
       Non-Accrual Loans and Assets and Renegotiated Loans 
6053

LIQUIDITY RISK 
6457

High-Quality Liquid Assets (HQLA) 
6457

Loans 6558
Deposits 6558
Long-Term Debt 6659
Secured Funding Transactions and Short-Term Borrowings 6861
Liquidity Coverage Ratio (LCR) 6861
Credit Ratings 6962
MARKET RISK(1)
 
7164

Market Risk of Non-Trading Portfolios 
7164

Market Risk of Trading Portfolios 
7871

COUNTRY RISK 
8073


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



MANAGING GLOBAL RISK

For Citi, effective risk management is of primary importance to its overall operations. Accordingly, Citi’s risk management process has been designed to identify, monitor, evaluate and manage the principal risks it assumes in conducting its activities. Specifically, the activities that Citi engages in, and the risks those activities generate, must be consistent with Citi’s mission and value proposition, the key 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 20162017 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 20162017 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 and commercial loans and lines of credit and similar related products with a focus on lending to prime customers. Citi uses its risk appetite framework to define its
 
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 seek to be the preeminentpre-eminent bank for the affluent and emerging affluent consumers in large urban centers. In credit cards and in certain retail markets, Citi serves customers in a somewhat broader set of segments and geographies. GCB’s commercial banking business focuses on small to mid-sized businesses.

Consumer Credit Portfolio
The following tables showtable shows Citi’s quarterly end-of-period consumer loans:(1) 
In billions of dollars1Q’162Q’163Q’164Q’161Q’171Q’172Q’173Q’174Q’171Q’18
Retail banking:  
Mortgages$82.2
$81.6
$81.4
$79.4
$81.2
$81.2
$81.4
$81.4
$81.7
$82.1
Commercial banking32.2
32.6
33.2
32.0
33.9
33.9
34.8
35.5
36.3
36.8
Personal and other27.6
27.2
27.0
24.9
26.3
26.3
27.2
27.3
27.9
28.5
Total retail banking$142.0
$141.4
$141.6
$136.3
$141.4
$141.4
$143.4
$144.2
$145.9
$147.4
Cards:  
Citi-branded cards(2)
$87.8
$100.1
$103.9
$108.3
$105.7
$105.7
$109.9
$110.7
$115.7
$110.6
Citi retail services42.5
43.3
43.9
47.3
44.2
44.2
45.2
45.9
49.2
46.0
Total cards$130.3
$143.4
$147.8
$155.6
$149.9
$149.9
$155.1
$156.6
$164.9
$156.6
Total GCB
$272.3
$284.8
$289.4
$291.9
$291.3
$291.3
$298.5
$300.8
$310.8
$304.0
GCB regional distribution:
  
North America59%62%62%64%62%62%62%62%63%61%
Latin America9
8
8
8
9
9
9
9
8
9
Asia(3)(2)
32
30
30
28
29
29
29
29
29
30
Total GCB
100%100%100%100%100%100%100%100%100%100%
Corporate / Other$45.3
$41.3
$39.0
$33.2
$29.3
Corporate/Other(3)
$29.3
$26.8
$24.8
$22.9
$21.1
Total consumer loans$317.6
$326.1
$328.4
$325.1
$320.6
$320.6
$325.3
$325.6
$333.7
$325.1

(1)End-of-period loans include interest and fees on credit cards.
(2)In the second quarter of 2016, Citi completed the acquisition of the $10.6 billion Costco U.S. co-branded credit card portfolio.
(3)
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
legenda19.jpg
a1q17gcb.jpg

a1q18gcb.jpg
North America GCB
legenda19.jpg
a1q17na.jpga1q18na.jpg

Latin America
legenda01.jpg
a1q17latama01.jpg

Asia(1)
legenda01.jpg
a1q17asia.jpg

(1)
Asia includes GCB activities in certain EMEA countries for all periods presented.
North America GCBprovides 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 March 31, 2017,2018, approximately 69%70% of North America GCB consumer loans consisted of Citi-branded and Citi retail services cards, which drovegenerally drives the overall credit performance of North America GCB, including the credit performance year-over-year as of the first quarter of 2018 (for additional information on North America GCB’s cards portfolios, including delinquenciesdelinquency and net credit losses,loss rates, see “Credit Card Trends” below). Quarter-over-quarter, 90+ days past due delinquencies remained relatively unchanged, while the net credit loss rate increased quarter-over-quarter, primarily due to seasonality in both cards portfolios. Year-over-year increases in loss and delinquency rates were driven by Citi retail services, due to seasoning and an increase in net flow rates in later delinquency buckets.

Latin America GCB
legenda19.jpga1q18latam.jpg
Latin America GCBoperates 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 and net credit loss rates improved in Latin America GCBquarter-over-quarter and year-over-year as of the first quarter of 2017, while the delinquency rate decreased and the net credit loss rate increased quarter-over-quarter.2018. The improvement in delinquencies was primarily driven by higher payment rates. The sequential increase in the net credit loss ratedecrease was driven by seasonality and lower loan growth.the commercial portfolio, partially offset by an increase in cards due to seasoning of the portfolio.

Asia(1) GCB
legenda19.jpg
a1q18asia.jpg

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

Asia GCBoperates 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 first quarter of 2017.2018. 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.quality.
For additional information on cost of credit, loan delinquency and other information for Citi’s consumer loan portfolios, see each respective business’s results of operations above and Note 13 to the Consolidated Financial Statements.






Credit Card Trends

The following charts show the quarterly trends in delinquencies and net credit losses for total GCB cards, 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.

TotalGlobal Cards
legenda19.jpg
a1q17totalcards.jpga1q18totalcards.jpg

North America Citi-Branded Cards
legenda16.jpg
a1q17nacards.jpga1q18nacardsa01.jpg
North America GCB’s Citi-branded cards portfolio issues proprietary and co-branded cards. As shown in the chart above, the 90+ days past due delinquency rate in Citi-branded cards was stable year-over-year and quarter-over-quarter. The net credit loss rate declined modestly year-over-year, and increased quarter-over-quarter primarily due to seasonality.

North America Citi Retail Services
legenda18.jpg
a1q17naretail.jpga1q18naretaila02.jpg
 
Latin America Citi-Branded Cards
legenda03.jpg
a1q17latamcards.jpg
Asia Citi-Branded Cards(1)
legenda05.jpg
a1q17asiacardsa01.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 first quarter of 2017 due to seasoning and the impact of changes in collection processes, and modestly decreased quarter-over-quarter, due to the flow-through of delinquencies to credit losses related to the Costco conversion. Net credit loss rates increased year-over-year due to seasoning and the impact of changes in collection processes and quarter-over quarter due to the flow-through of delinquencies to credit losses related to the Costco conversion, seasonality and the impact to changes in collection processes.
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, and quarter-over-quarter as of the first quarter of 2017, primarily due to seasoning as well as the impact of changesand an increase in collection processes.net flow rates in later delinquency buckets. The net creditquarter-over-quarter increase in loss rate also increased quarter-over-quarter due torates was primarily driven by seasonality.


Latin America Citi-Branded Cards
legenda20.jpg
a1q18naretaila01.jpg

Latin America GCBissues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency rates have continued to improve or remained stable year-over-year and quarter-over-quarter as of the first quarter of 2017. Net credit loss rates decreased year-over-year, primarily driven by the higher payment rates, while net credit loss and delinquency rates increased year-over-year primarily due to seasoning. The quarter-over-quarter net credit loss rate increase was primarily due to seasonality.




Asia Citi-Branded Cards(1)
legenda17.jpg
a1q18asiacards.jpg

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

Asia GCBissues proprietary and co-branded cards. As set forth in the chart above, 90+ days past due delinquency and net credit loss rates have remained broadly stable, driven by the mature and well-diversified 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 periodend-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 distributionMarch 31, 2017December 31, 2016
  > 72061%64%
   660 - 72027
26
   620 - 6607
6
  < 6205
4
Total100%100%
   
FICO distributionMarch 31, 2018December 31, 2017March 31, 2017
  > 76041%42%40%
   680 - 76042
41
44
  < 68017
17
16
Total100%100%100%

Citi Retail Services
  
FICO distributionMarch 31, 2017December 31, 2016
   > 72040%42%
   660 - 72035
35
   620 - 66014
13
  < 62011
10
Total100%100%
   
FICO distributionMarch 31, 2018December 31, 2017March 31, 2017
   > 76022%24%22%
   680 - 76043
43
43
  < 68035
33
35
Total100%100%100%

The percentage of loans outstanding with borrowers with
FICO scores greater than 720760 declined sequentially due to seasonality reflecting high quality transactors with higher holiday spending as of year-end 2016.in Citi retail services. Otherwise, the portfolios continued to demonstrate strong underlying credit quality.
For additional information on FICO scores, see Note 13 to the Consolidated Financial Statements.






North America Consumer Mortgage Lending
Citi’s North America consumer mortgage portfolio consists of both residential first mortgages and home equity loans. The following table shows the outstanding quarterly end-of-period loans for Citi’s North America residential first mortgage and home equity loan portfolios:

In billions of dollars1Q’162Q’163Q’164Q’161Q’171Q’172Q’173Q’174Q’171Q’18
GCB:
  
Residential firsts$39.2
$40.1
$40.1
$40.2
$40.3
$40.3
$40.2
$40.1
$40.1
$40.1
Home equity3.7
3.8
3.9
4.0
4.0
4.0
4.1
4.1
4.2
4.1
Total GCB
$42.9
$43.9
$44.0
$44.2
$44.3
$44.3
$44.3
$44.2
$44.3
$44.2
Corporate/Other:
  
Residential firsts$17.6
$15.8
$14.8
$13.4
$12.3
$12.3
$11.0
$10.1
$9.3
$8.1
Home equity18.3
17.3
16.1
15.0
13.4
13.4
12.4
11.5
10.6
9.9
Total Corporate/Other
$35.9
$33.1
$30.9
$28.4
$25.7
Total Corporate/
Other
$25.7
$23.4
$21.6
$19.9
$18.0
Total Citigroup— North America
$78.8
$77.0
$74.9
$72.6
$70.0
$70.0
$67.7
$65.8
$64.2
$62.2

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

Home Equity Loans—Revolving HELOCs
As set forth in the table above, Citi had $17.4$14.0 billion of home equity loans as of March 31, 2017,2018, of which $4.2$3.3 billion arewere fixed-rate home equity loans and $13.2$10.7 billion arewere extended under home equity lines of credit (Revolving HELOCs). Fixed-rate home equity loans are fully amortizing. Revolving HELOCs allow for amounts to be drawn for a period of time with the payment of interest only and then, atuntil the end of the draw period, then then-outstandingwhen the outstanding amount is converted to an amortizing loan, or “reset” (the interest-only payment feature during the revolving period is standard for this product across the industry). Upon reset, these borrowers will be required to pay both interest, usually at a variable rate, and principal that amortizes typically over 20 years, rather than the standard 30-year amortization.
Of the Revolving HELOCs at March 31, 2017, $6.42018, $6.6 billion had reset (compared to $6.2$6.8 billion at December 31, 2016)2017) and $6.8$4.1 billion were still within their revolving period thatand had not reset (compared to $7.8$4.6 billion at December 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 March 31, 20172018
citia04.jpg
naheloc1q18.jpgNote: Totals may not sum due to rounding.

Approximately 49%62% of Citi’s total Revolving HELOCs portfolio had reset as of March 31, 20172018 (compared to 44%60% as of December 31, 2016)2017). Of the remaining Revolving HELOCs portfolio, approximately 33%19% will commence amortization during the remainder of 2017.2018. Citi’s customers with Revolving HELOCs that reset could experience “payment shock” due to the higher required payments on the loans. Citi currently estimates that the monthly loan payment for its Revolving HELOCs that reset during the remainder of 20172018 could increase on average by approximately $354,$284, or 146%120%. Increases in interest rates could further increase these payments given the variable nature of the interest rates on these loans post-reset. Of the Revolving HELOCs that will reset during the remainder of 2017, approximately $95 million, or 3%, of the loans have a CLTV greater than 100% as of March 31, 2017. Borrowers’ high loan-to-value positions, as well as the cost and availability of refinancing options, could limit borrowers’ ability to refinance their Revolving HELOCs as these loans begin to reset.
Approximately 6.4%5.4% of the Revolving HELOCs that have reset as of March 31, 20172018 were 30+ days past due, compared to 3.9%3.6% of the total outstanding home equity loan portfolio (amortizing and non-amortizing). This compared to 6.7%5.9% and 3.9%, respectively, as of December 31, 2016.2017. As newly amortizing loans continue to season, the delinquency rate of Citi’s total home equity loan portfolio could increase. In addition, resets to date have generally occurred during a period of historically low interest rates, which Citi believes has likely reduced the overall “payment shock” to the borrower.
Citi monitors this reset risk closely and will continue to consider any potential impact in determining its allowance for loan loss reserves. In addition, management continues to review and take additional actions to offset potential reset risk, such as a borrower outreach program to provide reset risk education and proactively working with high-risk borrowers through a specialized single point of contact unit.


    



Additional Consumer Credit Details

Consumer Loan Delinquency Amounts and Ratios
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
EOP
loans(1)
90+ days past due(2)
30–89 days past due(2)
In millions of dollars,
except EOP loan amounts in billions		March 31,
2017		March 31,
2017		December 31,
2016		March 31,
2016		March 31,
2017		December 31,
2016		March 31,
2016		March 31,
2018		March 31,
2018		December 31,
2017		March 31,
2017		March 31,
2018		December 31,
2017		March 31,
2017
Global Consumer Banking(3)(4)
        
Total$291.3
$2,241
$2,293
$2,022
$2,516
$2,540
$2,360
$304.0
$2,379
$2,478
$2,241
$2,710
$2,762
$2,516
Ratio 0.77%0.79%0.75%0.87%0.87%0.87% 0.78%0.80%0.77%0.89%0.89%0.87%
Retail banking          
Total$141.4
$488
$474
$498
$777
$726
$793
$147.4
$493
$515
$488
$830
$822
$777
Ratio 0.35%0.35%0.35%0.55%0.54%0.56% 0.34%0.35%0.35%0.57%0.57%0.55%
North America55.5
182
181
152
189
214
198
55.4
184
199
182
227
306
189
Ratio 0.33%0.33%0.29%0.35%0.39%0.38% 0.34%0.36%0.33%0.41%0.55%0.35%
Latin America19.7
141
136
172
246
185
256
21.2
128
130
141
248
195
246
Ratio 0.72%0.76%0.87%1.25%1.03%1.29% 0.60%0.65%0.72%1.17%0.98%1.25%
Asia(5)
66.2
165
157
174
342
327
339
70.8
181
186
165
355
321
342
Ratio 0.25%0.25%0.25%0.52%0.52%0.49% 0.26%0.27%0.25%0.50%0.46%0.52%
Cards          
Total$149.9
$1,753
$1,819
$1,524
$1,739
$1,814
$1,567
$156.6
$1,886
$1,963
$1,753
$1,880
$1,940
$1,739
Ratio 1.17%1.17%1.17%1.16%1.17%1.20% 1.20%1.19%1.17%1.20%1.18%1.16%
North America—Citi-branded82.2
698
748
530
632
688
492
North America—Citi-branded
85.7
731
768
698
669
698
632
Ratio 0.85%0.87%0.82%0.77%0.80%0.76% 0.85%0.85%0.85%0.78%0.77%0.77%
North America—Citi retail services44.2
735
761
665
730
777
688
North America—Citi retail services
46.0
797
845
735
791
830
730
Ratio 1.66%1.61%1.56%1.65%1.64%1.62% 1.73%1.72%1.66%1.72%1.69%1.65%
Latin America5.2
137
130
149
145
125
152
5.7
160
151
137
160
153
145
Ratio 2.63%2.71%2.81%2.79%2.60%2.87% 2.81%2.80%2.63%2.81%2.83%2.79%
Asia(5)
18.3
183
180
180
232
224
235
19.2
198
199
183
260
259
232
Ratio 1.00%1.03%1.02%1.27%1.28%1.34% 1.03%1.01%1.00%1.35%1.31%1.27%
Corporate/Other—Consumer(6)(7)
          
Total$29.3
$684
$834
$896
$615
$735
$929
$21.1
$478
$557
$684
$393
$542
$615
Ratio 2.45%2.62%2.08%2.20%2.31%2.16% 2.38%2.57%2.45%1.96%2.50%2.20%
International2.1
77
94
145
60
49
161
1.7
32
43
77
44
40
60
Ratio 3.67%3.92%2.27%2.86%2.04%2.52% 1.88%2.69%3.67%2.59%2.50%2.86%
North America27.2
607
740
751
555
686
768
19.4
446
514
607
349
502
555
Ratio 2.35%2.52%2.05%2.15%2.33%2.09% 2.42%2.56%2.35%1.90%2.50%2.15%
Total Citigroup320.6
$2,925
$3,127
$2,918
$3,131
$3,275
$3,289
$325.1
$2,857
$3,035
$2,925
$3,103
$3,304
$3,131
Ratio 0.92%0.97%0.93%0.98%1.01%1.05% 0.88%0.91%0.92%0.96%1.00%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—America—Citi-brandedand North America—America—Citi retail services are generally still accruing interest. Citigroup’s policy is generally to accrue interest on credit card loans until 180 days past due, unless notification of bankruptcy filing has been received earlier.
(4)
The 90+ days past due and 30–89 days past due and related ratios for 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 $313$272 million ($0.70.9 billion), $327$298 million ($0.7 billion) and $456$313 million ($1.10.8 billion) at March 31, 2017,2018, December 31, 2016,2017 and March 31, 2016,2017, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) were $84$92 million, $70$88 million and $86$84 million at March 31, 2017,2018, December 31, 2016,2017 and March 31, 2016,2017, respectively.
(5)
Asia includes delinquencies and loans in certain EMEA countries for all periods presented.
(6)
The 90+ days past due and 30–89 days past due and related ratios for 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 $0.5 billion ($0.9 billion), $0.6 billion ($1.1 billion) and $0.8 billion ($1.4 billion), $0.9 billion ($1.4 billion) and $1.3 billion ($1.9 billion) at March 31, 2017,2018, December 31, 2016,2017 and March 31, 2016,2017, respectively. The amounts excluded for loans 30–89 days past due (EOP loans have the same adjustment as above) for each period were $0.1 billion, $0.2$0.1 billion and $0.2$0.1 billion at March 31, 2017,2018, December 31, 2016,2017 and March 31, 2016,2017, respectively.


(7)
The March 31, 2017,2018, December 31, 2016,2017 and March 31, 20162017 loans 90+ days past due and 30–89 days past due and related ratios for North America exclude $7$4 million, $7$4 million and $9$7 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 billions1Q174Q161Q161Q184Q171Q17
Global Consumer Banking    
Total$289.6
$1,603
$1,516
$1,371
$306.3
$1,736
$1,640
$1,603
Ratio 2.24%2.10%2.04% 2.30%2.15%2.24%
Retail banking   
Total$138.8
$236
$286
$221
$147.1
$232
$243
$236
Ratio 0.69%0.82%0.64% 0.64%0.66%0.69%
North America55.4
37
83
25
55.7
43
30
37
Ratio 0.27%0.60%0.19% 0.31%0.21%0.27%
Latin America18.3
137
138
134
20.7
132
153
137
Ratio 3.04%2.97%2.81% 2.59%2.99%3.04%
Asia(4)
65.1
62
65
62
70.7
57
60
62
Ratio 0.39%0.40%0.37% 0.33%0.35%0.39%
Cards   
Total$150.8
$1,367
$1,230
$1,150
$159.2
$1,504
$1,397
$1,367
Ratio 3.68%3.28%3.52% 3.83%3.50%3.68%
North America—Citi-branded82.6
633
539
455
North America—Citi-branded
86.9
651
592
633
Ratio 3.11%2.61%2.83% 3.04%2.71%3.11%
North America—Retail services45.3
520
483
453
North America—Citi retail services
47.1
602
564
520
Ratio 4.66%4.28%4.14% 5.18%4.77%4.66%
Latin America4.8
116
110
144
5.6
146
139
116
Ratio 9.80%8.75%11.14% 10.57%10.21%9.80%
Asia(4)
18.1
98
98
98
19.6
105
102
98
Ratio 2.20%2.25%2.27% 2.17%2.12%2.20%
Corporate/Other—Consumer(3)
   
Total$31.7
$69
$60
$143
$21.0
$35
$17
$69
Ratio 0.88%0.69%1.25% 0.64%0.29%0.88%
International2.1
26
32
78
1.7
23
7
26
Ratio 5.02%5.30%4.68% 5.49%1.63%5.02%
North America29.6
43
28
65
19.3
12
10
43
Ratio 0.59%0.35%0.66% 0.24%0.18%0.59%
Other

—
1
—
Total Citigroup$321.3
$1,672
$1,576
$1,514
$327.3
$1,771
$1,658
$1,672
Ratio 2.11%1.95%1.92% 2.19%2.01%2.11%
(1)Average loans include interest and fees on credit cards.
(2)The ratios of net credit losses are calculated based on average loans, net of unearned income.
(3)
As a result of the entryIn October 2016, Citi entered into agreements in October 2016 to sell itsCiti’s Brazil and Argentina consumer banking businesses and classified these businesses were classified as held-for-sale (HFS).HFS. The sale of the Argentina consumer banking business sale closedwas completed at the end of the first quarter 2017. As a result of HFS accounting treatment, approximately $42$40 million and $41$13 million of net credit losses (NCLs) were recorded as a reduction in revenue (Other revenue) during the fourthfirst quarter of 20162017 and firstfourth quarter of 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)
Asia includes NCLs and average loans in certain EMEA countries for all periods presented.





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

Corporate Credit Portfolio
The following table sets 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 March 31, 2017At December 31, 2016At March 31, 2018At December 31, 2017
In billions of dollars
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Due
within
1 year
Greater
than 1 year
but within
5 years
Greater
than
5 years
Total
exposure
Direct outstandings (on-balance sheet)(1)
$129
$82
$20
$231
$109
$94
$22
$225
$135
$101
$21
$257
$127
$96
$22
$245
Unfunded lending commitments (off-balance sheet)(2)
113
221
23
357
103
218
23
344
121
238
23
382
111
222
20
353
Total exposure$242
$303
$43
$588
$212
$312
$45
$569
$256
$339
$44
$639
$238
$318
$42
$598

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

Portfolio Mix—Geography, Counterparty and Industry
Citi’s corporate credit portfolio is diverse across geography and counterparty. The following table shows the percentage of this portfolio by region based on Citi’s internal management geography:
March 31,
2017		December 31,
2016		March 31,
2018		December 31,
2017
North America53%55%53%54%
EMEA26
26
28
27
Asia13
12
12
12
Latin America8
7
7
7
Total100%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 environmental factors like climate risk assessment and reporting criteria for certain obligors, as necessary. Factors evaluated include consideration of climate risk to an
obligor’s business and physical assets and, when relevant, consideration of cost-effective options to reduce greenhouse gas emissions.
The following table presents the corporate credit portfolio by facility risk rating as a percentage of the total corporate credit portfolio:
Total exposureTotal exposure
March 31,
2017		December 31,
2016		March 31,
2018		December 31,
2017
AAA/AA/A48%48%48%49%
BBB34
34
34
34
BB/B16
16
17
16
CCC or below2
2
1
1
Total100%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 exposure
 March 31,
2017		December 31,
2016
Transportation and industrial21%22%
Consumer retail and health16
16
Technology, media and telecom12
12
Power, chemicals, metals and mining11
11
Energy and commodities(1)
8
9
Real estate7
7
Banks/broker-dealers/finance companies6
6
Hedge funds5
5
Insurance and special purpose entities5
5
Public sector5
5
Other industries4
2
Total100%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 March 31, 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 Banks, Broker-Dealers and Finance Companies
As of March 31, 2017, Citi’s total corporate credit exposure to banks, broker-dealers and finance companies was approximately $37 billion, of which $26.2 billion represented direct outstanding funded loans, or 4% of Citi’s total outstanding loans. Also as of March 31, 2017, approximately 76% 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 March 31, 2017, Citi’s total corporate credit exposure to banks was approximately $24.6 billion, with approximately $19.7 billion consisting of direct outstanding funded loans, or 3% of Citi’s total outstanding loans. Of the approximate $24.6 billion as of March 31, 2017, approximately 28% related to Asia, 29% related to EMEA, 21% related to North America and 23% related to Latin America. More than 72% of Citi’s total corporate credit exposure to banks had a tenor of less than 12 months as of March 31, 2017.
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 March 31, 2017, Citi had net derivative credit exposure to banks, broker-dealers and finance companies of approximately $8.8 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 March 31, 2017, Citi had net credit exposure to banks, broker-dealers and finance companies in the form of securities financing transactions of $5.2 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.

 Total exposure
 March 31,
2018		December 31,
2017
Transportation and industrial22%22%
Consumer retail and health17
16
Technology, media and telecom13
12
Power, chemicals, metals and mining10
10
Energy and commodities8
8
Banks/broker-dealers/finance companies8
8
Real estate7
8
Insurance and special purpose entities5
5
Public sector5
5
Hedge funds4
4
Other industries1
2
Total100%100%


Credit Risk Mitigation
As part of its overall risk management activities, Citigroup uses credit derivatives and other risk mitigants to hedge portions of the credit risk in its corporate credit portfolio, in addition to outright asset sales. The results of the mark-to-market and any realized gains or losses on credit derivatives are reflected primarily in Other revenue onin the Consolidated Statement of Income.
At March 31, 20172018 and December 31, 2016, $27.62017, $17.0 billion and $29.5$16.3 billion, respectively, of the corporate credit portfolio was economically hedged. Citigroup’s expected loss model used in the calculation of its loan loss reserve does not include the favorable impact of credit derivatives and other mitigants that are marked-to-market.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
March 31,
2017		December 31,
2016		March 31,
2018		December 31,
2017
AAA/AA/A16%16%26%23%
BBB49
49
43
43
BB/B31
31
28
31
CCC or below4
4
3
3
Total100%100%100%100%

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

Industry of Hedged Exposure
March 31,
2017		December 31,
2016		March 31,
2018		December 31,
2017
Transportation and industrial28%29%28%27%
Energy and commodities19
20
12
15
Consumer retail and health13
10
9
10
Technology, media and telecom13
13
14
12
Power, chemicals, metals and mining

12
12
13
14
Public sector6
5
11
12
Banks/broker-dealers4
4
6
6
Insurance and special purpose entities3
3
4
2
Other industries2
4
3
2
Total100%100%100%100%




ADDITIONAL CONSUMER AND CORPORATE CREDIT DETAILS

Loans Outstanding
1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars2017201620182017
Consumer loans

In U.S. offices

Mortgage and real estate(1)
$71,170
$72,957
$75,057
$77,242
$79,128
$63,412
$65,467
$67,131
$69,022
$71,170
Installment, revolving credit, and other3,252
3,395
3,465
3,486
3,504
Installment, revolving credit and other3,306
3,398
3,191
3,190
3,252
Cards125,799
132,654
124,637
120,113
106,892
131,081
139,006
131,476
130,181
125,799
Commercial and industrial7,434
7,159
6,989
7,041
6,793
7,493
7,840
7,619
7,404
7,434
Total$207,655
$216,165
$210,148
$207,882
$196,317
$205,292
$215,711
$209,417
$209,797
$207,655
In offices outside the U.S.  
Mortgage and real estate(1)
$43,822
$42,803
$45,751
$46,049
$47,831
$44,833
$44,081
$43,723
$43,821
$43,822
Installment, revolving credit, and other26,014
24,887
28,217
27,830
28,778
Installment, revolving credit and other27,651
26,556
26,153
26,480
26,014
Cards24,497
23,783
25,833
25,844
26,312
25,993
26,257
25,443
25,376
24,497
Commercial and industrial17,728
16,568
17,498
17,520
17,352
20,526
20,238
20,015
18,956
17,728
Lease financing83
81
113
140
139
62
76
77
81
83
Total$112,144
$108,122
$117,412
$117,383
$120,412
$119,065
$117,208
$115,411
$114,714
$112,144
Total consumer loans$319,799
$324,287
$327,560
$325,265
$316,729
$324,357
$332,919
$324,828
$324,511
$319,799
Unearned income(2)
757
776
812
817
826
727
737
748
750
757
Consumer loans, net of unearned income$320,556
$325,063
$328,372
$326,082
$317,555
$325,084
$333,656
$325,576
$325,261
$320,556
Corporate loans

In U.S. offices

Commercial and industrial$49,845
$49,586
$50,156
$50,286
$44,104
$54,005
$51,319
$51,679
$50,341
$49,845
Loans to financial institutions35,734
35,517
35,801
32,001
36,865
40,472
39,128
37,203
36,953
35,734
Mortgage and real estate(1)
40,052
38,691
41,078
40,175
38,697
45,581
44,683
43,274
42,041
40,052
Installment, revolving credit, and other32,212
34,501
32,571
32,491
33,273
Installment, revolving credit and other32,866
33,181
32,464
31,611
32,212
Lease financing1,511
1,518
1,532
1,546
1,597
1,463
1,470
1,493
1,467
1,511
Total$159,354
$159,813
$161,138
$156,499
$154,536
$174,387
$169,781
$166,113
$162,413
$159,354
In offices outside the U.S.

Commercial and industrial$87,258
$81,882
$84,492
$87,432
$85,836
$101,368
$93,750
$93,107
$91,131
$87,258
Loans to financial institutions33,763
26,886
27,305
27,856
28,652
35,659
35,273
33,050
34,844
33,763
Mortgage and real estate(1)
5,527
5,363
5,595
5,455
5,769
7,543
7,309
6,383
6,783
5,527
Installment, revolving credit, and other16,576
19,965
25,462
24,855
21,583
Installment, revolving credit and other23,338
22,638
23,830
19,200
16,576
Lease financing253
251
243
255
280
167
190
216
234
253
Governments and official institutions5,970
5,850
6,506
5,757
5,303
6,170
5,200
5,628
5,518
5,970
Total$149,347
$140,197
$149,603
$151,610
$147,423
$174,245
$164,360
$162,214
$157,710
$149,347
Total corporate loans$308,701
$300,010
$310,741
$308,109
$301,959
$348,632
$334,141
$328,327
$320,123
$308,701
Unearned income(3)
(662)(704)(678)(676)(690)(778)(763)(720)(689)(662)
Corporate loans, net of unearned income$308,039
$299,306
$310,063
$307,433
$301,269
$347,854
$333,378
$327,607
$319,434
$308,039
Total loans—net of unearned income$628,595
$624,369
$638,435
$633,515
$618,824
$672,938
$667,034
$653,183
$644,695
$628,595
Allowance for loan losses—on drawn exposures(12,030)(12,060)(12,439)(12,304)(12,712)(12,354)(12,355)(12,366)(12,025)(12,030)
Total loans—net of unearned income
and allowance for credit losses		$616,565
$612,309
$625,996
$621,211
$606,112
$660,584
$654,679
$640,817
$632,670
$616,565
Allowance for loan losses as a percentage of total loans—
net of unearned income(4)
1.93%1.94%1.97%1.96%2.07%1.85%1.87%1.91%1.88%1.93%
Allowance for consumer loan losses as a percentage of
total consumer loans—net of unearned income(4)
2.96%2.88%2.95%2.89%3.09%3.09%2.96%3.04%2.93%2.96%
Allowance for corporate loan losses as a percentage of
total corporate loans—net of unearned income(4)
0.83%0.91%0.90%0.95%0.98%0.67%0.76%0.77%0.80%0.83%
(1)Loans secured primarily by real estate.
(2)Unearned income on consumer loans primarily represents unamortized origination fees and costs, premiums and discounts.
(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
1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.1st Qtr.4th Qtr.3rd Qtr.2nd Qtr.1st Qtr.
In millions of dollars2017201620182017
Allowance for loan losses at beginning of period$12,060
$12,439
$12,304
$12,712
$12,626
$12,355
$12,366
$12,025
$12,030
$12,060
Provision for loan losses  
Consumer$1,816
$1,659
$1,815
$1,276
$1,571
$1,881
$1,785
$2,142
$1,620
$1,816
Corporate(141)68
(69)114
315
(78)231
4
46
(141)
Total$1,675
$1,727
$1,746
$1,390
$1,886
$1,803
$2,016
$2,146
$1,666
$1,675
Gross credit losses  
Consumer  
In U.S. offices$1,444
$1,343
$1,181
$1,213
$1,231
$1,542
$1,426
$1,429
$1,437
$1,444
In offices outside the U.S. 597
605
702
678
689
615
611
642
597
597
Corporate  
In U.S. offices48
32
29
62
189
65
21
15
72
48
In offices outside the U.S. 55
103
36
95
34
74
221
34
24
55
Total$2,144
$2,083
$1,948
$2,048
$2,143
$2,296
$2,279
$2,120
$2,130
$2,144
Credit recoveries(1)
  
Consumer  
In U.S. offices$242
$235
$227
$262
$256
$238
$228
$167
$266
$242
In offices outside the U.S. 127
137
173
154
150
148
151
170
135
127
Corporate  
In U.S. offices2
2
16
3
4
13
4
2
15
2
In offices outside the U.S. 64
13
7
13
9
30
16
4
4
64
Total$435
$387
$423
$432
$419
$429
$399
$343
$420
$435
Net credit losses  
In U.S. offices$1,248
$1,138
$967
$1,010
$1,160
$1,356
$1,215
$1,275
$1,228
$1,248
In offices outside the U.S. 461
558
558
606
564
511
665
502
482
461
Total$1,709
$1,696
$1,525
$1,616
$1,724
$1,867
$1,880
$1,777
$1,710
$1,709
Other—net(2)(3)(4)(5)(6)(7)
$4
$(410)$(86)$(182)$(76)$63
$(147)$(28)$39
$4
Allowance for loan losses at end of period$12,030
$12,060
$12,439
$12,304
$12,712
$12,354
$12,355
$12,366
$12,025
$12,030
Allowance for loan losses as a percentage of total loans(8)
1.93%1.94%1.97%1.96%2.07%1.85%1.87%1.91%1.88%1.93%
Allowance for unfunded lending commitments(9)
$1,377
$1,418
$1,388
$1,432
$1,473
$1,290
$1,258
$1,232
$1,406
$1,377
Total allowance for loan losses and unfunded lending commitments$13,407
$13,478
$13,827
$13,736
$14,185
$13,644
$13,613
$13,598
$13,431
$13,407
Net consumer credit losses$1,672
$1,576
$1,483
$1,475
$1,514
$1,771
$1,658
$1,734
$1,633
$1,672
As a percentage of average consumer loans2.11%1.95%1.80%1.87%1.90%2.19%2.02%2.11%2.04%2.11%
Net corporate credit losses$37
$120
$42
$141
$210
$96
$222
$43
$77
$37
As a percentage of average corporate loans0.05%0.16%0.05%0.19%0.29%0.11%0.27%0.05%0.10%0.05%
Allowance by type at end of period(10)
  
Consumer$9,495
$9,358
$9,673
$9,432
$9,807
$10,039
$9,869
$9,892
$9,515
$9,495
Corporate2,535
2,702
2,766
2,872
2,905
2,315
2,486
2,474
2,510
2,535
Total$12,030
$12,060
$12,439
$12,304
$12,712
$12,354
$12,355
$12,366
$12,025
$12,030
(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 first quarter of 2018 includes a reduction of approximately $55 million related to the sale or transfer to held-for-sale (HFS) of various loan portfolios, including a reduction of $53 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the first quarter includes an increase of approximately $118 million related to FX translation.
(4)The fourth quarter of 2017 includes a reduction of approximately $47 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $22 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the fourth quarter includes a decrease of approximately $106 million related to FX translation.
(5)The third quarter of 2017 includes a reduction of approximately $34 million related to the sale or transfer to HFS of various loan portfolios, including a reduction of $28 million related to the transfer of a real estate loan portfolio to HFS. Additionally, the third quarter includes an increase of approximately $7 million related to FX translation.


(6)The second quarter of 2017 includes a reduction of approximately $19 million related to the sale or transfer to 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.
(7)The first quarter of 2017 includes a reduction of approximately $161 million related to the sale or transfer to held-for-sale (HFS)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.
(4)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.
(5)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.


(6)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.
(7)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 includes an increase of approximately $63 million related to FX translation.
(8)March 31, 2017,2018, December 31, 2016,2017, September 30, 2016,2017, June 30, 20162017, and March 31, 20162017 exclude $4.0$4.5 billion, $3.5$4.9 billion, $4.0$4.3 billion, $4.1$4.2 billion and $4.8$4.0 billion, respectively, of loans which are carried at fair value.
(9)
Represents additional credit reserves recorded as Other liabilities on the Consolidated Balance Sheet.
(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 20162017 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:
March 31, 2017March 31, 2018
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$5.3
$126.4
4.2%$6.2
$131.8
4.7%
North America mortgages(3)
1.0
69.9
1.4
0.7
62.2
1.1
North America other
0.4
12.8
3.1
0.3
12.4
2.4
International cards1.3
24.0
5.4
1.4
25.5
5.5
International other(4)
1.5
87.5
1.7
1.5
93.2
1.6
Total consumer$9.5
$320.6
3.0%$10.1
$325.1
3.1%
Total corporate2.5
308.0
0.8
2.3
347.8
0.7
Total Citigroup$12.0
$628.6
1.9%$12.4
$672.9
1.8%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $5.3$6.2 billion of loan loss reserves represented approximately 1415 months of coincident net credit loss coverage.
(3)
Of the $1.0$0.7 billion, approximately $0.9$0.6 billion was allocated to North America mortgages in Corporate/Other. Of the $1.0$0.7 billion, approximately $0.4$0.2 billion and $0.6$0.5 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $69.9$62.2 billion in loans, approximately $65.2$58.7 billion and $4.5$3.4 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 1314 to the Consolidated Financial Statements.
(4)Includes mortgages and other retail loans.

December 31, 2016December 31, 2017
In billions of dollars
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
Allowance for
loan losses
Loans, net of
unearned income
Allowance as a
percentage of loans(1)
North America cards(2)
$5.2
$133.3
3.9%$6.1
$139.7
4.4%
North America mortgages(3)
1.1
72.6
1.5
0.7
64.2
1.1
North America other
0.5
13.6
3.7
0.3
13.0
2.3
International cards1.2
23.1
5.2
1.3
25.7
5.1
International other(4)
1.4
82.8
1.7
1.5
91.1
1.6
Total consumer$9.4
$325.4
2.9%$9.9
$333.7
3.0%
Total corporate2.7
299.0
0.9
2.5
333.3
0.8
Total Citigroup$12.1
$624.4
1.9%$12.4
$667.0
1.9%
(1)Allowance as a percentage of loans excludes loans that are carried at fair value.
(2)Includes both Citi-branded cards and Citi retail services. The $5.2$6.1 billion billion of loan loss reserves represented approximately 1516 months of coincident net credit loss coverage.
(3)
Of the $1.1$0.7 billion, approximately $1.0$0.6 billion was allocated to North America mortgages in Corporate/Other. Of the $1.1$0.7 billion, approximately $0.4$0.2 billion and $0.7$0.5 billion are determined in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. Of the $72.6$64.2 billion in loans, approximately $67.7$60.4 billion and $4.8$3.7 billion of the loans are evaluated in accordance with ASC 450-20 and ASC 310-10-35 (troubled debt restructurings), respectively. For additional information, see Note 1314 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:Assets:
Corporate and consumer (commercial(including commercial banking) non-accrual status is based on the determination that payment of interest or principal is doubtful.
A corporate loan may be classified as non-accrual and still be performing under the terms of the loan structure. Payments received on corporate non-accrual loans are generally applied to loan principal and not reflected as interest income. Approximately 65%, 74% and 64%65% of Citi’s corporate non-accrual loans were performing at March 31, 2018, December 31, 2017 and DecemberMarch 31, 2016,2017, respectively.
Consumer non-accrual status is generally based on aging, i.e., the borrower has fallen behind on payments.
MortgageConsumer mortgage loans, in regulated bank entities discharged through Chapter 7 bankruptcy, other than FHAFederal Housing Administration (FHA) insured loans, are classified as non-accrual. Non-bank mortgage loans discharged through Chapter 7 bankruptcy are classified as non-accrual at 90within 60 days or more past due.of notification that the borrower has filed for bankruptcy. In addition, home equity loans in regulated bank entities are classified as non-accrual if the related residential first mortgage loan is 90 days or more past due.
North America Citi-branded cards and Citi retail services are not included because, under industry standards, credit card loans accrue interest until such loans are charged off, which typically occurs at 180 days of contractual delinquency.
Renegotiated Loans:Loans:
Includes both corporate and consumer loans whose terms have been modified in a troubled debt restructuring (TDR).
Includes both accrual and non-accrual TDRs.



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.
 


Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollars2017201620182017
Corporate non-accrual loans(1)
  
North America$993
$984
$1,057
$1,280
$1,331
$817
$784
$915
$944
$993
EMEA828
904
857
762
469
561
849
681
727
828
Latin America342
379
380
267
410
263
280
312
281
342
Asia176
154
121
151
117
27
29
146
146
176
Total corporate non-accrual loans$2,339
$2,421
$2,415
$2,460
$2,327
$1,668
$1,942
$2,054
$2,098
$2,339
Consumer non-accrual loans(1)
  
North America$1,926
$2,160
$2,429
$2,520
$2,519
$1,500
$1,650
$1,721
$1,754
$1,926
Latin America737
711
841
884
817
791
756
791
793
737
Asia(2)
292
287
282
301
265
284
284
271
301
292
Total consumer non-accrual loans$2,955
$3,158
$3,552
$3,705
$3,601
$2,575
$2,690
$2,783
$2,848
$2,955
Total non-accrual loans$5,294
$5,579
$5,967
$6,165
$5,928
$4,243
$4,632
$4,837
$4,946
$5,294
(1)Excludes purchased distressed loans, as they are generally accreting interest. The carrying value of these loans was $126 million at March 31, 2018, $167 million at December 31, 2017, $177 million at September 30, 2017, $183 million at June 30, 2017 and $194 million at March 31, 2017, $187 million at December 31, 2016, $194 million at March 31, 2016, $212 million at June 30, 2016 and $236 million at March 31, 2016.2017.
(2) Asia GCB includes balances in certain EMEA countries for all periods presented.


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

Three months endedThree months endedThree Months EndedThree Months Ended
March 31, 2017March 31, 2016March 31, 2018March 31, 2017
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Non-accrual loans at beginning of period$2,421
$3,158
$5,579
$1,596
$3,658
$5,254
$1,942
$2,690
$4,632
$2,421
$3,158
$5,579
Additions(1)
253
824
1,077
1,047
914
1,961
825
861
1,686
253
824
1,077
Sales and transfers to held-for-sale(36)(135)(171)(8)(162)(170)
Sales and transfers to HFS(20)(85)(105)(36)(135)(171)
Returned to performing(37)(164)(201)(15)(141)(156)(68)(208)(276)(37)(164)(201)
Paydowns/settlements(183)(280)(463)(98)(245)(343)(884)(270)(1,154)(183)(280)(463)
Charge-offs(54)(524)(578)(140)(439)(579)(106)(454)(560)(54)(524)(578)
Other(25)76
51
(55)16
(39)(21)41
20
(25)76
51
Ending balance$2,339
$2,955
$5,294
$2,327
$3,601
$5,928
$1,668
$2,575
$4,243
$2,339
$2,955
$5,294

(1)
The increases in corporate non-accrual loans in the first quarter of 2016 primarily related to Citi’s North America and EMEA energy and energy-related corporate credit exposure.






The table below summarizes Citigroup’s other real estate owned (OREO) assets as of the periods indicated. This represents the carrying value of all real estate property acquired by foreclosure or other legal proceedings when Citi has taken possession of the collateral:
Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,Mar. 31,Dec. 31,Sept. 30,Jun. 30,Mar. 31,
In millions of dollars2017201620182017
OREO  
North America$136
$161
$132
$151
$159
$70
$89
$97
$128
$136
EMEA1
—
1
—
1
—
2
1
1
1
Latin America31
18
18
19
35
29
35
30
31
31
Asia5
7
10
5
10
15
18
15
8
5
Total OREO$173
$186
$161
$175
$205
$114
$144
$143
$168
$173
Non-accrual assets

 
Corporate non-accrual loans$2,339
$2,421
$2,415
$2,460
$2,327
$1,668
$1,942
$2,054
$2,098
$2,339
Consumer non-accrual loans2,955
3,158
3,552
3,705
3,601
2,575
2,690
2,783
2,848
2,955
Non-accrual loans (NAL)$5,294
$5,579
$5,967
$6,165
$5,928
$4,243
$4,632
$4,837
$4,946
$5,294
OREO$173
$186
$161
$175
$205
$114
$144
$143
$168
$173
Non-accrual assets (NAA)$5,467
$5,765
$6,128
$6,340
$6,133
$4,357
$4,776
$4,980
$5,114
$5,467
NAL as a percentage of total loans0.84%0.89%0.93%0.97%0.96%0.63%0.69%0.74%0.77%0.84%
NAA as a percentage of total assets0.30
0.32
0.34
0.35
0.34
0.23
0.26
0.26
0.27
0.30
Allowance for loan losses as a percentage of NAL(1)
227
216
208
200
214
291
267
256
243
227

(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.





Renegotiated Loans
The following table presents Citi’s loans modified in TDRs.TDRs:
In millions of dollarsMar. 31, 2017Dec. 31, 2016Mar. 31, 2018Dec. 31, 2017
Corporate renegotiated loans(1)
    
In U.S. offices    
Commercial and industrial(2)
$136
$89
$202
$225
Mortgage and real estate80
84
89
90
Loans to financial institutions9
9
25
33
Other177
228
41
45
$402
$410
Total$357
$393
In offices outside the U.S.    
Commercial and industrial(2)
$254
$319
$305
$392
Mortgage and real estate4
3
9
11
Loans to financial institutions15
—
15
15
$273
$322
Other—
7
Total$329
$425
Total corporate renegotiated loans$675
$732
$686
$818
Consumer renegotiated loans(3)(4)(5)
    
In U.S. offices    
Mortgage and real estate(6)
$4,541
$4,695
$3,380
$3,709
Cards1,327
1,313
1,291
1,246
Installment and other138
117
152
169
$6,006
$6,125
Total$4,823
$5,124
In offices outside the U.S.    
Mortgage and real estate$357
$447
$342
$345
Cards496
435
555
541
Installment and other379
443
447
427
$1,232
$1,325
Total$1,344
$1,313
Total consumer renegotiated loans$7,238
$7,450
$6,167
$6,437
(1)Includes $466$539 million and $445$715 million of non-accrual loans included in the non-accrual loans table above at March 31, 20172018 and December 31, 2016,2017, respectively. The remaining loans are accruing interest.
(2)In addition to modifications reflected as TDRs at March 31, 2017,2018, Citi also modified $185$57 million of commercial loans risk rated “Substandard Non-Performing” or worse (asset category defined by banking regulators) in offices outside the U.S. These modifications were not considered TDRs because the modifications did not involve a concession.
(3)Includes $1,438$1,320 million and $1,502$1,376 million of non-accrual loans included in the non-accrual loans table above at March 31, 20172018 and December 31, 2016,2017, respectively. The remaining loans are accruing interest.
(4)Includes $47$28 million and $58$26 million of commercial real estate loans at March 31, 20172018 and December 31, 2016,2017, respectively.
(5)Includes $126$156 million and $105$165 million of other commercial loans at March 31, 20172018 and December 31, 2016,2017, respectively.
(6)Reduction in the three months ended March 31, 2018 compared with December 31, 2017 includes $89$260 million related to TDRs sold or transferred to held-for-sale.HFS.



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 20162017 Annual Report on Form 10-K.
 
 




High-Quality Liquid Assets (HQLA)
Citibank
Non-Bank and Other(1)
TotalCitibankNon-Bank and OtherTotal
In billions of dollarsMar. 31, 2017Dec. 31, 2016Mar. 31, 2016Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016Mar. 31, 2018Dec. 31, 2017Mar. 31, 2017Mar. 31, 2018Dec. 31, 2017Mar. 31, 2017Mar. 31, 2018Dec. 31, 2017Mar. 31, 2017
Available cash$83.8
$68.3
$74.2
$24.5
$19.8
$24.5
$108.3
$88.1
$98.7
$94.9
$94.3
$87.9
$24.9
$30.9
$20.9
$119.9
$125.2
$108.8
U.S. sovereign113.8
123.0
117.7
22.7
22.5
22.6
136.5
145.5
140.3
114.6
113.2
117.1
28.9
27.9
22.4
143.4
141.1
139.5
U.S. agency/agency MBS59.2
61.7
68.9
0.8
0.6
0.5
60.0
62.3
69.4
74.3
80.8
60.7
5.6
0.5
0.2
79.9
81.3
60.8
Foreign government debt(2)(1)
84.5
87.9
86.8
17.2
15.6
19.6
101.7
103.5
106.4
69.2
80.5
87.5
12.9
16.4
14.7
82.1
96.9
102.2
Other investment grade0.3
0.3
1.1
1.5
1.2
1.6
1.8
1.5
2.7
0.3
0.7
0.3
1.3
1.2
1.2
1.6
1.9
1.5
Total HQLA (EOP)$341.6
$341.2
$348.7
$66.7
$59.7
$68.8
$408.3
$400.9
$417.5
Total HQLA (AVG)$353.5
$345.7
$335.1
$59.3
$58.0
$65.0
$412.8
$403.7
$400.1
$353.3
$369.5
$353.5
$73.6
$76.9
$59.3
$426.9
$446.4
$412.8

Note: Except as indicated,The amounts set forth in the table above are as of period endpresented on an average basis and may increase or decrease intra-period in the ordinary course of business.reflect HQLA which are transferable to Citigroup. For securities, the amounts represent the liquidity value that potentially could be realized and, therefore, exclude any securities that are encumbered and incorporate any haircuts that would be required for secured fundingsecurities financing transactions. The Federal Reserve Board adopted 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 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; other component information is not currently available.
(1)Citibanamex and Citibank (Switzerland) AG account for approximately $6 billion of the “Non-Bank and Other” HQLA balance as of March 31, 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, Taiwan,Singapore, Korea, Singapore, India Brazil and Mexico.

As set forth in the table above, sequentially, Citi’s total HQLA increased both on an end-of-period and an average basis, dueyear-over-year, primarily todriven by an increase in cash driven by higher deposits.related to resolution planning. Sequentially, Citi’s HQLA decreased modestly, as Citi optimized its overall HQLA and deployed liquidity as it grew loans in GCB and ICG.
Citi’s HQLA as set forth above does not include Citi’s available borrowing capacity from the Federal Home Loan Banks (FHLBs) of which Citi is a member, which was approximately $22 billion as of March 31, 2018 (compared to $10 billion as of December 31, 2017 and $28 billion as of March 31, 2017 (compared to $21 billion as of December 31, 2016 and $37 billion as of March 31, 2016)2017) and maintained by eligible collateral pledged to such banks. The HQLA also does not include Citi’s borrowing capacity at the U.S. Federal Reserve Bank discount window or other central banks, which would be in addition to the resources noted above.
In general, Citi’s liquidity is fungible across legal entities within its bank group. Citi’s bank subsidiaries, including Citibank, can lend to the Citi parent and broker-dealer entities in accordance with Section 23A of the Federal Reserve Act. As of March 31, 2017,2018, the capacity available for lending to these entities under Section 23A was approximately $15 billion, unchanged from $15 billion as ofboth December 31, 20162017 and compared to $14 billion as of March 31, 2016,2017, subject to certain eligible non-cash collateral requirements.



Loans
The table below sets forth the average loans, by business and/or segment, and the total end-of-period loans for each of the periods indicated:
In billions of dollarsMar. 31, 2017Dec. 31, 2016Mar. 31, 2016Mar. 31, 2018Dec. 31, 2017Mar. 31, 2017
Global Consumer Banking  
North America$183.3
$182.0
$161.6
$189.7
$189.7
$183.3
Latin America23.1
23.5
24.4
26.3
25.7
23.1
Asia(1)
83.2
81.9
84.9
90.3
87.9
83.2
Total$289.6
$287.4
$270.9
$306.3
$303.3
$289.6
Institutional Clients Group  
Corporate lending118.1
118.9
121.6
$131.6
$124.8
$118.1
Treasury and trade solutions (TTS)70.5
71.5
70.4
78.2
77.0
71.4
Private bank, markets and securities services and other113.2
113.9
103.0
Private Bank88.9
85.9
76.7
Markets and securities services
and other
40.7
40.4
35.5
Total$301.8
$304.3
$295.0
$339.4
$328.2
$301.8
Total Corporate/Other
31.8
34.6
46.3
$22.2
$22.5
$31.9
Total Citigroup loans (AVG)$623.2
$626.3
$612.2
$667.9
$654.0
$623.3
Total Citigroup loans (EOP)$628.6
$624.4
$618.8
$672.9
$667.0
$628.6

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

As set forth in the table above, end-of-period loans increased 2%7% year-over-year and 1% quarter-over-quarter. On an average basis, loans increased 2%7% year-over-year and remained largely unchanged sequentially, both on a reported basis and excluding the impact of FX translation.2% quarter-over-quarter.
Excluding the impact of FX translation, average loans increased 5% year-over-year and 7% in aggregate across GCB and ICG. Average GCB loans grew 7%4% year-over-year, driven by 13% growth in North America. Within North America, Citi-branded cards increased 28% year-over-year, primarily due to the acquisition of the Costco portfolio, as well as modest organic growth. International GCB loans declined 1%, as 6% growth in Mexico was more than offset by a 3% decline in Asia, reflecting Citi’s continued optimization of its portfolio in this region to generate higher returns.
across all regions. Average ICG loans increased 3% year-over-year, primarily driven by the private bank. Corporate lending decreased 2%, primarily driven by a lower level of episodic funding required by ICG’s target market clients in the first quarter of 2017, compared to the prior-year period. The majority of ICG’s target market clients are investment grade, with a generally strong liquidity position. In the quarter, these target clients accessed the capital markets to fund ongoing, longer-term financing requirements in the continued attractive rate environment. Treasury and trade solutions loans increased 1% as the business continued to support its clients while distributing trade loan originations to optimize its balance sheet and returns. Private bank and markets and securities services loans grew 10% year-over-year, driven primarily by the private bank.strong client engagement across businesses.
Average Corporate/Other loans decreased 32%30% year-over-year, driven by $10 billionthe continued wind-down of reductions in average Northlegacy assets.
 
America mortgages, including transfers to held-for-sale (see Note 13 to the Consolidated Financial Statements).

Deposits
The table below sets forth the average deposits, by business and/or segment, and the total end-of-period deposits for each of the periods indicated:
In billions of dollarsMar. 31, 2017Dec. 31, 2016Mar. 31, 2016Mar. 31, 2018Dec. 31, 2017Mar. 31, 2017
Global Consumer Banking  
North America$185.5
$186.0
$180.6
$180.9
$182.7
$184.6
Latin America25.3
25.2
26.1
28.9
27.8
25.3
Asia(1)
92.7
89.9
87.2
99.1
96.0
92.7
Total$303.5
$301.1
$293.9
$308.9
$306.5
$302.6
Institutional Clients Group  
Treasury and trade solutions (TTS)416.2
415.4
402.1
$440.3
$444.5
$416.2
Banking ex-TTS120.8
122.4
113.5
128.2
126.9
120.8
Markets and securities services80.1
81.7
77.4
84.1
82.9
80.1
Total$617.1
$619.5
$593.0
$652.6
$654.4
$617.1
Corporate/Other20.3
14.5
24.8
$20.3
$12.4
$21.2
Total Citigroup deposits (AVG)$940.9
$935.1
$911.7
$981.9
$973.3
$940.9
Total Citigroup deposits (EOP)$950.0
$929.4
$934.6
$1,001.2
$959.8
$950.0
(1)
Includes deposits in certain EMEA countries for all periods presented.

End-of-period deposits increased 2%5% year-over-year and 4% quarter-over-quarter. On an average basis, deposits increased 3%4% year-over-year and 1% sequentially.quarter-over-quarter.
Excluding the impact of FX translation, average deposits grew 4%2% from the prior-year periodperiod. In GCB, deposits remained largely unchanged year-over-year, as Citi experienced strong customer engagement across all major businesses 3% growth in Latin America GCB and regions.Asia GCB was offset by a 2% decline in North America GCB, which included the impact of lower mortgage escrow deposits. Within North America GCB, growth in checking deposits was more than offset by a reduction in money market balances, as clients transferred cash to investment accounts.
Within ICG, deposits grew 6% year-over-year, largely driven by continued growth in TTS.





Long-Term Debt
The weighted-average maturitiesmaturity of unsecured long-term debt issued by Citigroup and its affiliates (including Citibank) with a remaining life greater than one year (excluding remaining trust preferred securities outstanding) was approximately 6.96.6 years as of March 31, 2017,2018, a slight decline from both the prior-year period (6.9 years) and sequentially.the prior quarter (6.8 years).
Citi’s long-term debt outstanding at the Citigroup parent company 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 benchmark senior debt, FHLB advances and securitizations.

 
Long-Term Debt Outstanding
The following table sets forth Citi’s end-of-period total long-term debt outstanding for each of the periodsdates indicated:
In billions of dollarsMar. 31, 2017Dec. 31, 2016Mar. 31, 2016Mar. 31, 2018Dec. 31, 2017Mar. 31, 2017
Parent and other(1)












Benchmark debt:  
Senior debt$100.2
$99.9
$94.0
$112.0
$109.8
$100.2
Subordinated debt26.3
26.8
29.4
25.5
26.9
26.3
Trust preferred1.7
1.7
1.7
1.7
1.7
1.7
Customer-related debt:
32.4
30.7
27.2
Structured debt24.3
22.8
23.6
Non-structured debt2.9
3.0
3.3
Local country and other(2)
2.0
2.5
4.1
1.6
1.8
2.0
Total parent and other$157.4
$156.7
$156.1
$173.2
$170.9
$157.4
Bank











FHLB borrowings$20.3
$21.6
$17.1
$15.7
$19.3
$20.3
Securitizations(3)
24.0
23.5
28.7
30.2
30.3
24.0
CBNA Benchmark Debt2.5
—
—
CBNA benchmark senior debt15.0
12.5
2.5
Local country and other(2)
4.3
4.4
5.9
3.8
3.7
4.3
Total bank$51.1
$49.5
$51.7
$64.8
$65.8
$51.1
Total long-term debt$208.5
$206.2
$207.8
$237.9
$236.7
$208.5
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 March 31, 2017,2018, “parent and other” included $15.8 $20.1billion of long-term debt issued by Citi’s broker-dealer subsidiaries.
(2)Local country debt includes debt issued by Citi’s affiliates in support of their local operations.
(3)Predominantly credit card securitizations, primarily backed by Citi-branded credit card receivables.

Year-over-year, Citi’s total long-term debt outstanding increased modestly, as an increase inyear-over-year, primarily driven by the issuance of senior benchmark and customer-related debt at the Citigroup parent more than offset continued reductions in securitizationscompany, as well as the issuance of unsecured benchmark debt at the bank entities.bank. Sequentially, Citi’s total long-term debt outstanding increased, primarily driven by the issuance of benchmark debt at the bank, as parent and other debt remained largely unchanged.
As part of its liability management, Citi has considered, and may continue to consider, opportunities to repurchase its long-term debt pursuant to open market purchases, tender offers or other means. Such repurchases help reduce Citi’s overall funding costs (andand assist it in meeting regulatory changes and requirements).requirements. During the first quarter of 2017,2018, Citi repurchased and called an aggregate of approximately $0.9 $3.0billion of its outstanding long-term debt.debt, including early redemption of FHLB advances.






Long-Term Debt Issuances and Maturities
The table below details Citi’s long-term debt issuances and maturities (including repurchases and redemptions) during the periods presented:
1Q174Q161Q161Q184Q171Q17
In billions of dollarsMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuancesMaturitiesIssuances
Parent and other























Benchmark debt:          
Senior debt$5.3
$5.2
$2.2
$9.7
$4.3
$5.2
$3.5
$5.4
$4.3
$4.4
$5.3
$5.2
Subordinated debt1.2
0.7
0.2
—
—
1.5
1.6
0.2
0.4
0.4
1.2
0.7
Trust preferred—
—
—
—
—
—
—
—
—
—
—
—
Customer-related debt:

   
Structured debt6.6
6.2
1.8
1.6
2.0
3.6
Non-structured debt0.2
—
0.3
—
0.2
—
Customer-related debt2.5
4.9
1.7
2.2
6.8
6.2
Local country and other0.6
0.2
0.1
—
0.1
1.9
0.1
0.1
0.1
—
0.6
0.2
Total parent and other$13.9
$12.3
$4.6
$11.3
$6.6
$12.2
$7.7
$10.7
$6.5
$6.9
$13.9
$12.3
Bank























FHLB borrowings$1.8
$0.5
$5.1
$5.1
$1.7
$1.0
$6.5
$3.9
$3.0
$2.5
$1.8
$0.5
Securitizations2.0
2.5
4.1
3.3
2.3
—
2.9
2.8
0.6
2.5
2.0
2.5
CBNA Benchmark Debt—
2.5
—
—
—
—
CBNA benchmark senior debt—
2.5
—
3.1
—
2.5
Local country and other1.2
0.8
1.2
0.6
0.7
0.7
0.8
0.8
1.1
0.7
1.2
0.8
Total bank$5.0
$6.3
$10.4
$9.0
$4.7
$1.7
$10.2
$10.1
$4.7
$8.8
$5.0
$6.3
Total$18.9
$18.6
$15.0
$20.3
$11.3
$13.9
$17.9
$20.8
$11.2
$15.7
$18.9
$18.6

The table below shows Citi’s aggregate long-term debt maturities (including repurchases and redemptions) during the first quarter of 2017,2018, as well as its aggregate expected annual long-term debt maturities as of March 31, 2017:2018:
 Maturities1Q18Maturities
In billions of dollars1Q17201720182019202020212022ThereafterTotal201820192020202120222023ThereafterTotal
Parent and other



































Benchmark debt:   
   
Senior debt$5.3
$8.8
$18.2
$14.1
$8.9
$14.0
$2.5
$33.7
$100.2
$3.5
$15.0
$16.4
$8.4
$14.5
$8.1
$11.2
$38.4
$112.0
Subordinated debt1.2
—
0.9
1.3
—
—
1.1
22.9
26.3
1.6
1.0
—
—
0.1
0.8
1.2
22.5
25.5
Trust preferred—
—
—
—
—
—
—
1.7
1.7
—
—
—
—
—
—
—
1.7
1.7
Customer-related debt:   
Structured debt6.6
—
4.6
2.7
2.0
2.3
1.2
11.4
24.3
Non-structured debt0.2
0.4
0.6
0.1
0.3
0.1
—
1.4
2.9
Customer-related debt2.5
2.1
3.1
5.0
2.6
2.3
1.5
15.8
32.4
Local country and other0.6
—
0.7
0.2
0.1
0.6
0.3
0.3
2.0
0.1
—
0.3
0.1
0.2
—
—
0.8
1.6
Total parent and other$13.9
$9.2
$25.0
$18.4
$11.3
$17.0
$5.1
$71.4
$157.4
$7.7
$18.2
$19.8
$13.5
$17.4
$11.2
$13.9
$79.2
$173.2
Bank



































FHLB borrowings$1.8
$6.0
$13.8
$0.6
$—
$—
$—
$—
$20.3
$6.5
$9.3
$4.1
$2.4
$—
$—
$—
$—
$15.7
Securitizations2.0
3.3
9.4
6.5
0.1
3.8
0.1
0.9
24.0
2.9
5.9
8.0
5.6
5.7
1.3
1.3
2.5
30.2
CBNA Benchmark Debt—
—
—
2.5
—
—
—
—
2.5
CBNA benchmark debt—
2.2
4.7
5.2
2.5
—
—
0.3
15.0
Local country and other1.2
0.4
1.8
0.6
0.8
0.1
0.1
0.3
4.3
0.8
1.2
1.0
0.9
0.1
0.3
0.1
0.3
3.8
Total bank$5.0
$9.7
$25.0
$10.2
$0.9
$3.9
$0.2
$1.2
$51.1
$10.2
$18.6
$17.7
$14.0
$8.3
$1.5
$1.4
$3.1
$64.8
Total long-term debt$18.9
$18.9
$50.0
$28.6
$12.2
$20.9
$5.3
$72.6
$208.5
$17.9
$36.8
$37.6
$27.5
$25.7
$12.7
$15.3
$82.4
$237.9











Total Loss-Absorbing Capacity (TLAC)
In April 2018, the Federal Reserve Board and Office of Comptroller of the Currency issued a notice of proposed rulemaking that would revise the TLAC leverage-based buffer and leverage component of the LTD requirements. For additional information on the proposal as well as the current TLAC requirements, see “Capital Resources—Regulatory Capital Standards Developments” above and “Liquidity Risk—Total Loss-Absorbing Capacity (TLAC)” in Citi’s 2017 Annual Report on Form 10-K.

Secured Funding Transactions and Short-Term Borrowings
Citi supplements its primary sources of funding with short-term borrowings. Short-term borrowings generally include (i) secured funding transactions (securities loaned or sold under agreements to repurchase, or repos) and (ii) to a lesser extent, short-term borrowings consisting of commercial paper and borrowings from the FHLB and other market participants (see Note 16 to the Consolidated Financial Statements for further information on Citigroup’s and its affiliates’ outstanding short-term borrowings).
Outside of secured funding transactions, Citi’s short-term borrowings increased 38% year-over-year (a 25% increase), but declined sequentially (a 15% decline). The increase year-over-year was driven primarily by an increase in FHLB borrowing,borrowings, as Citi built and optimized liquidity across its legal entities. Sequentially, Citi’s short-term borrowings declined 19%, driven primarily by a decline in FHLB borrowings, as Citi continued to optimize liquidity across its legal vehicles.funding profile.

Secured Funding
Secured funding is primarily accessed through Citi’s broker-dealer subsidiaries to fund efficiently both secured lending activity and a portion of the securities inventory held in the context of market making and customer activities. Citi also executes a smaller portion of its secured funding transactions through its bank entities, which is typically collateralized by foreign government debt securities. Generally, daily changes in the level of Citi’s secured funding are primarily due to fluctuations in secured lending activity in the matched book (as described below) and securities inventory.
Secured funding of $148$172 billion as of March 31, 2017 declined 6%2018 increased 16% from the prior-year period and increased 5%10% sequentially. Excluding the impact of FX translation, secured funding decreased 3%increased 10% from the prior-year period and increased 3%8% sequentially, both driven by normal business activity. Average balances for secured funding were approximately $149$164 billion for the quarter ended March 31, 2017.2018.
The portion of secured funding in the broker-dealer subsidiaries that funds secured lending is commonly referred to as “matched book” activity. The majority of this activity is secured by high quality,high-quality liquid securities such as U.S. Treasury securities, U.S. agency securities and foreign government debt securities. Other secured funding is secured by less liquidless-liquid securities, including equity securities, corporate bonds and asset-backed securities. The tenor of Citi’s matched book liabilities is generally equal to or longer than the tenor of the corresponding matched book assets.
The remainder of the secured funding activity in the broker-dealer subsidiaries serves to fund securities inventory held in the context of market making and customer activities. To maintain reliable funding under a wide range of market conditions, including under periods of stress, Citi manages these activities by taking into consideration the quality of the underlying collateral and stipulating financing tenor. The weighted average maturity of Citi’s secured funding of less liquidless-liquid securities inventory was greater than 110 days as of March 31, 2017.2018.
Citi manages the risks in its secured funding by conducting daily stress tests to account for changes in capacity, tenors, haircut, collateral profile and client actions.
Additionally, Citi maintains counterparty diversification by establishing concentration triggers and assessing counterparty reliability and stability under stress. Citi generally sources secured funding from more than 150 counterparties.

Liquidity Coverage Ratio (LCR)
In addition to internal measuresliquidity stress metrics that Citi has developed for a 30-day stress scenario, Citi also monitors its liquidity by reference to the LCR, as calculated pursuant to the U.S. LCR rules (for additional information, see “Liquidity Risk” in Citi’s 2016 Annual Report on Form 10-K).rules. The table below sets forth the components of Citi’s LCR calculation and HQLA in excess of net outflows as offor the periods indicated:
In billions of dollarsMar. 31, 2017Dec. 31, 2016Mar. 31, 2016Mar. 31, 2018Dec. 31, 2017Mar. 31, 2017
HQLA$412.8
$403.7
$400.1
$426.9
$446.4
$412.8
Net outflows334.4
332.5
333.3
355.2
364.3
334.4
LCR123%121%120%120%123%123%
HQLA in excess of net outflows$78.4
$71.3
$66.8
$71.7
$82.1
$78.4

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

As set forth in the table above, Citi’s average LCR increased bothdecreased modestly year-over-year, and sequentially drivenas an increase in average HQLA was more than offset by an increase in HQLA which more than offset a modest increase inmodeled net outflows. Sequentially, Citi’s average LCR also decreased modestly, as Citi optimized its overall HQLA and deployed liquidity as it grew loans in GCB and ICG.
















Credit Ratings
The table below sets forth the ratings for Citigroup and Citibank as of March 31, 2017.2018. While not included in the table below, the long-term and short-term ratings of Citigroup Global Markets Inc. (CGMI) were “A2/P-1” at Moody’s, “A+/A-1” at Standard & Poor’s and “A+/F1” at Fitch as of March 31, 2017. The long-termlong- and short-term ratings of Citigroup Global Markets Holdings Inc. (CGMHI) were BBB+/A-2 at Standard & Poor’s and A/F1 at Fitch as of March 31, 2017.2018.
 


 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-2StablePositiveA1P-1StablePositive
Standard & Poor’s (S&P)BBB+A-2StableA+A-1Stable

Potential Impacts of Ratings Downgrades
Ratings downgrades by Moody’s, Fitch or S&P could negatively impact Citigroup’s and/or Citibank’s funding and liquidity due to reduced funding capacity, including derivative triggers, which could take the form of cash obligations and collateral requirements.
The following information is provided for the purpose of analyzing the potential funding and liquidity impact to Citigroup and Citibank of a hypothetical, simultaneous
ratings downgrade across all three major rating agencies. This analysis is subject to certain estimates, estimation methodologies, judgments and uncertainties. Uncertainties include potential ratings limitations that certain entities may have with respect to permissible counterparties, as well as general subjective counterparty behavior. For example, certain corporate customers and markets counterparties could re-evaluate their business relationships with Citi and limit transactions in certain contracts or market instruments with Citi. Changes in counterparty behavior could impact Citi’s funding and liquidity, as well as the results of operations of certain of its businesses. The actual impact to Citigroup or Citibank is unpredictable and may differ materially from the potential funding and liquidity impacts described below. For additional information on the impact of credit rating changes on Citi and its applicable subsidiaries, see “Risk Factors— Liquidity Risks” in Citi’s 20162017 Annual Report on Form 10-K.

 

Citigroup Inc. and Citibank—Potential Derivative Triggers
As of March 31, 2017,2018, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citigroup Inc. across all three major rating agencies could impact Citigroup’s funding and liquidity due to derivative triggers by approximately $0.6$0.4 billion, compared to $0.4$0.8 billion as of December 31, 2016.2017. Other funding sources, such as secured fundingfinancing transactions and other margin requirements, for which there are no explicit triggers, could also be adversely affected.
As of March 31, 2017,2018, Citi estimates that a hypothetical one-notch downgrade of the senior debt/long-term rating of Citibank across all three major rating agencies could impact Citibank’s funding and liquidity by approximately $0.8$0.4 billion, compared to $1.2 billion as ofunchanged from December 31, 2016, due to derivative triggers.2017.
In total, Citi estimates that a one-notch downgrade of Citigroup and Citibank, across all three major rating agencies, could result in increased aggregate cash obligations and collateral requirements of approximately $1.4$0.8 billion, compared to $1.6$1.2 billion as of December 31, 20162017 (see also Note 19 to the Consolidated Financial Statements). As set forth under “High-Quality Liquid Assets” above, the liquidity resources of Citibank werewhich are transferable to Citigroup are approximately $353 billion and the liquidity resources of Citi’s non-bank and other entities werewhich are transferable to Citigroup are approximately $59$74 billion, for a total of approximately $413 $427billion as offor the quarter ended March 31, 2017.2018. These liquidity resources are available in part as a contingency for the potential events described above.
In addition, a broad range of mitigating actions are currently included in Citigroup’s and Citibank’s contingency funding plans. For Citigroup, these mitigating factors include, but are not limited to, accessing surplus funding capacity from existing clients, tailoring levels of secured lending and adjusting the size of select trading books and collateralized borrowings from certain Citibank subsidiaries. Mitigating actions available to Citibank include, but are not limited to, selling or financing highly liquid government securities, tailoring levels of secured lending, adjusting the size of select


trading assets, reducing loan originations and renewals, raising additional deposits or borrowing from the FHLB or central banks. Citi believes these mitigating actions could


substantially reduce the funding and liquidity risk, if any, of the potential downgrades described above.

Citibank—Additional Potential Impacts
In addition to the above derivative triggers, Citi believes that a potential one-notch downgrade of Citibank’s senior debt/long-term rating by S&P could also have an adverse impact on the commercial paper/short-term rating of Citibank. As of March 31, 2017,2018, Citibank had liquidity commitments of approximately $10.1$10.0 billion to consolidated asset-backed commercial paper conduits, compared to $10.0$9.9 billion as of December 31, 20162017 (as referenced in Note 18 to the Consolidated Financial Statements).
In addition to the above-referenced liquidity resources of certain Citibank and Citibanamex entities, Citibank could reduce the funding and liquidity risk, if any, of the potential downgrades described above through mitigating actions, including repricing or reducing certain commitments to commercial paper conduits. In the event of the potential downgrades described above, Citi believes that certain corporate customers could re-evaluate their deposit relationships with Citibank. This re-evaluation could result in clients adjusting their discretionary deposit levels or changing their depository institution, which could potentially reduce certain deposit levels at Citibank. However, Citi could choose to adjust pricing, offer alternative deposit products to its existing customers or seek to attract deposits from new customers, in addition to the mitigating actions referenced above.


MARKET RISK

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 20162017 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 20162017 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 pointbps increase in interest rates.rates:
In millions of dollars (unless otherwise noted)Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016Mar. 31, 2018Dec. 31, 2017Mar. 31, 2017
Estimated annualized impact to net interest revenue      
U.S. dollar(1)
$1,644
$1,586
$1,362
$1,243
$1,471
$1,644
All other currencies581
550
587
651
598
581
Total$2,225
$2,136
$1,949
$1,894
$2,069
$2,225
As a percentage of average interest-earning assets0.14%0.13%0.13%0.11%0.12%0.14%
Estimated initial impact to AOCI (after-tax)(2)
$(3,830)$(4,671)$(4,950)$(4,955)$(4,853)$(3,830)
Estimated initial impact on Common Equity Tier 1 Capital ratio (bps)(3)
(43)(53)(57)(33)(35)(43)
(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 $(180)$(186) million for a 100 basis point instantaneous increase in interest rates as of March 31, 2017.2018.
(2)Includes the effect of changes in interest rates on AOCI related to investment securities, cash flow hedges and pension liability adjustments.
(3)The estimated initialResults as of March 31, 2018 and December 31, 2017 reflect the impact of Tax Reform, including the lower expected effective tax rate and the impact to the Common Equity Tier 1 Capital ratio considers the effect of Citi’s DTA position and is based on only the estimated initial AOCI impact above.position. Results as of March 31, 2017 have not been restated.
The sequential increase in the estimated impact to net interest revenue primarily reflecteddecreased slightly on a sequential basis, reflecting changes in balance sheet composition, including increasesincreased sensitivity in certaindeposits, net of Citi’s deposit balances.Citi Treasury positioning. The sequential decreaseincrease in the estimated impact to AOCI primarily reflected changes to the positioning of Citi Treasury’s investment securities and related interest rate derivatives portfolio.
In the event of an unanticipated parallel instantaneous 100 basis pointbps increase in interest rates, Citi expects that 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 March 31, 2017,2018, Citi expects that the negative
$3.8 $5.0 billion impact to AOCI in such a scenario could potentially be offset over approximately 1820 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 pointbps decrease in short-term rates is not meaningful, as it would imply negative interest rates in many of Citi's markets.



In millions of dollars (unless otherwise noted)Scenario 1Scenario 2Scenario 3Scenario 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$1,644
$1,533
$96
$(114)$1,243
$1,213
$69
$(82)
All other currencies581
536
33
(33)651
612
37
(37)
Total$2,225
$2,069
$129
$(147)$1,894
$1,825
$106
$(119)
Estimated initial impact to AOCI (after-tax)(1)
$(3,830)$(2,430)$(1,550)$1,261
$(4,955)$(2,951)$(2,172)$1,697
Estimated initial impact to Common Equity Tier 1 Capital ratio (bps)(2)
(43)(27)(18)14
(33)(20)(15)11


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


(2)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.
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 20162017 Annual Reporting on Form 10-K).

Changes in Foreign Exchange Rates—Impacts on AOCI and Capital
As of March 31, 2017,2018, Citi estimates that an unanticipated parallel instantaneous 5% appreciation of the U.S. dollar against all of the other currencies in which Citi has invested capital could reduce Citi’s tangible common equity (TCE) by approximately $1.4$1.6 billion, or 0.8%1.0%, as a result of changes to Citi’s foreign currency translation adjustment in AOCI, net of hedges. This impact would be primarily due to changes in the value of the Mexican peso, the Euro and the Australian dollar.
 
This impact is also before any mitigating actions Citi may take, including ongoing management of its foreign currency translation exposure. Specifically, as currency movements change the value of Citi’s net investments in foreign-currency-denominatedforeign currency-denominated capital, these movements also change the value of Citi’s risk-weighted assets denominated in those currencies. This, coupled with Citi’s foreign currency hedging strategies, such as foreign currency borrowings, foreign currency forwards and other currency hedging instruments, lessens the impact of foreign currency movements on Citi’s Common Equity Tier 1 Capital ratio. Changes in these hedging strategies, as well as hedging costs, divestitures and tax impacts, can further impactaffect the actual impact of changes in foreign exchange rates on Citi’s capital as compared to an unanticipated parallel shock, as described above.
The effect of Citi’s ongoing management strategies with respect to changes in foreign exchange rates and the impact of these changes on Citi’s TCE and Common Equity Tier 1 Capital ratio are shown in the table below. For additional information on the changes in AOCI, see Note 17 to the Consolidated Financial Statements.













For the quarter endedFor the quarter ended
In millions of dollars (unless otherwise noted)Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016Mar. 31, 2018Dec. 31, 2017Mar. 31, 2017
Change in FX spot rate(1)
4.5%(5.2)%2.1%2.5%(1.2)%4.5%
Change in TCE due to FX translation, net of hedges$654
$(1,668)$396
$676
$(498)$654
As a percentage of TCE0.4%(0.9)%0.2%0.4%(0.3)%0.4%
Estimated impact to Common Equity Tier 1 Capital ratio (on a fully implemented basis) due
to changes in FX translation, net of hedges (bps)
(2)—
(1)(2)(5)(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
abs1q17.jpgabs1q19.jpg
1st Qtr. 4th Qtr. 1st Qtr. Change1st Qtr. 4th Qtr. 1st Qtr. Change
In millions of dollars, except as otherwise noted2017 2016 2016 1Q17 vs. 1Q162018 2017 2017 1Q18 vs. 1Q17
Interest revenue(1)
$14,546
 $14,551
 $14,286
 2 % $16,396
 $15,978
 $14,644
 12% 
Interest expense(2)
3,566
 3,277
 2,940
 21
 5,160
 4,537
 3,566
 45
 
Net interest revenue$10,980
 $11,274
 $11,346
 (3)% $11,236
 $11,441
 $11,078
 1% 
Interest revenue—average rate3.63% 3.60% 3.68% (5)bps3.85% 3.70% 3.65% 20
bps
Interest expense—average rate1.16
 1.06
 0.99
 17
bps1.56
 1.36
 1.16
 40
bps
Net interest margin2.74
 2.79
 2.92
 (18)bps
Net interest margin(3)
2.64
 2.65
 2.76
 (12)bps
Interest-rate benchmarks                
Two-year U.S. Treasury note—average rate1.24% 1.01% 0.84% 40
bps2.16% 1.69% 1.24% 92
bps
10-year U.S. Treasury note—average rate2.45
 2.14
 1.91
 54
bps2.76
 2.37
 2.45
 31
bps
10-year vs. two-year spread121
bps113
bps107
bps 
 60
bps68
bps121
bps 
 
Note: All interest expense amounts include FDIC, as well as other similar deposit insurance assessments.assessments outside of the U.S.
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax raterates of 21% in 2018 and 35%) in 2017) of $123$64 million, $112$128 million, and $119$123 million for the three months ended March 31, 2017,2018, December 31, 20162017 and March 31, 2016,2017, respectively.
(2)
Interest expense associated with certain hybrid financial instruments, which are classified as Long-term debt and accounted for at fair value, is reported together with any changes in fair value as part of Principal Transactionstransactions in the Consolidated Statements of Income and is therefore not reflected in Interest expense in the table above.
(3)Citi’s net interest margin (NIM) is calculated by dividing gross interest revenue less gross interest expense by average interest-earning assets.


Citi’s net interest revenue declined 3%in the first quarter of 2018 increased 2% to $10.9$11.2 billion ($11.0 billion(as set forth in the table above, up 1% on a taxable equivalent basis) versus the prior-year period,period. Excluding the impact of FX translation, net interest revenue increased approximately $90 million, primarily due to higher net interest revenue from Citi’s core accrual activities, which are mainly driven by its deposit and lending businesses ($10.7 billion, up approximately 8% or $0.8 billion), largely offset by lower trading-related net interest revenue ($949 million,0.2 billion, down approximately 28%69% or $375 million),$0.5 billion) and lower net interest revenue associated with the wind-down of legacy assets in Corporate/Other ($402 million,0.3 billion, down approximately 35%38% or $218 million), as well as the impact of FX translation (negative $58 million), partially offset by higher net interest revenue$0.2 billion). The increase in the remaining accrual businesses (core accrual net interest revenue). Corecore accrual net interest revenue increased 3% to $9.5 billion versus the prior-year period,was driven mainly by the additionbenefit of the Costco portfolio, other volume growth and the impact of the December 2016 interest rate increase, partiallyMarch 2017,

 

June 2017 and December 2017 interest rate increases and loan growth.
offset by the impact of one less accrual day in 2017, 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-earning assets. Citi’s NIM was 2.74%2.64% on a taxable equivalent basis in the first quarter of 2017,2018, a decrease of 1812 bps from the prior-year period.prior- year period, driven primarily by lower trading-related NIM. Citi’s core accrual NIM declined 9was 3.54%, an increase of 3 bps versus the prior-year period, as the higher core accrual net interest revenue was more thanpartially 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 underlying fundamentals of its business results.)




Additional Interest Rate Details
Average Balances and Interest Rates—Assets(1)(2)(3) 
Taxable Equivalent Basis
Average volumeInterest revenue% Average rateAverage volumeInterest revenue% Average rate
1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates2017201620162017201620162017201620182017201720182017201720182017
Assets                
Deposits with banks(4)
$154,765
$143,119
$117,765
$295
$268
$219
0.77%0.74%0.75%$170,867
$179,810
$154,765
$432
$479
$295
1.03%1.06%0.77%
Federal funds sold and securities borrowed or purchased under agreements to resell(5)
     




      




In U.S. offices$144,003
$145,799
$150,044
$368
$360
$374
1.04%0.98%1.00%$140,357
$140,062
$144,003
$713
$558
$368
2.06%1.58%1.04%
In offices outside the U.S.(4)
103,032
89,565
78,571
293
236
273
1.15%1.05%1.40%113,920
109,842
103,032
326
343
293
1.16
1.24
1.15
Total$247,035
$235,364
$228,615
$661
$596
$647
1.09%1.01%1.14%$254,277
$249,904
$247,035
$1,039
$901
$661
1.66%1.43%1.09%
Trading account assets(6)(7)
    




     




In U.S. offices$101,836
$100,473
$104,982
$884
$956
$953
3.52%3.79%3.65%$97,558
$98,377
$101,836
$869
$852
$884
3.61%3.44%3.52%
In offices outside the U.S.(4)
94,015
94,309
90,623
423
415
518
1.82%1.75%2.30%118,603
113,308
94,015
512
493
423
1.75
1.73
1.82
Total$195,851
$194,782
$195,605
$1,307
$1,371
$1,471
2.71%2.80%3.02%$216,161
$211,685
$195,851
$1,381
$1,345
$1,307
2.59%2.52%2.71%
Investments    




     




In U.S. offices    




    




Taxable$221,450
$220,461
$228,980
$1,034
$999
$1,000
1.89%1.80%1.76%$229,407
$231,758
$221,450
$1,224
$1,192
$1,034
2.16%2.04%1.89%
Exempt from U.S. income tax18,680
18,802
19,400
196
192
169
4.26%4.06%3.50%17,531
17,573
18,680
170
201
196
3.93
4.54
4.26
In offices outside the U.S.(4)
107,225
106,289
103,763
789
772
754
2.98%2.89%2.92%105,307
103,719
107,225
877
855
789
3.38
3.27
2.98
Total$347,355
$345,552
$352,143
$2,019
$1,963
$1,923
2.36%2.26%2.20%$352,245
$353,050
$347,355
$2,271
$2,248
$2,019
2.61%2.53%2.36%
Loans (net of unearned income)(9)(8)
     




      




In U.S. offices$367,397
$371,928
$350,107
$6,273
$6,302
$5,873
6.92%6.74%6.75%$380,357
$378,039
$367,397
$6,732
$6,628
$6,273
7.18%6.96%6.92%
In offices outside the U.S.(4)
255,941
254,100
262,133
3,697
3,731
3,901
5.86%5.84%5.99%287,568
275,912
255,941
4,177
4,060
3,795
5.89
5.84
6.01
Total$623,338
$626,028
$612,240
$9,970
$10,033
$9,774
6.49%6.38%6.42%$667,925
$653,951
$623,338
$10,909
$10,688
$10,068
6.62%6.48%6.55%
Other interest-earning assets(9)
$56,733
$62,602
$56,260
$294
$320
$252
2.10%2.03%1.80%$66,761
$63,996
$56,733
$364
$317
$294
2.21%1.97%2.10%
Total interest-earning assets$1,625,077
$1,607,447
$1,562,628
$14,546
$14,551
$14,286
3.63%3.60%3.68%$1,728,236
$1,712,396
$1,625,077
$16,396
$15,978
$14,644
3.85%3.70%3.65%
Non-interest-earning assets(6)
$205,477
$212,355
$214,943
      $175,987
$197,303
$205,477
      
Total assets$1,830,554
$1,819,802
$1,777,571
   $1,904,223
$1,909,699
$1,830,554
   
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax raterates of 21% in 2018 and 35%) in 2017) of $123$64 million, $112$128 million, and $119$123 million for the three months ended March 31, 2017,2018, December 31, 20162018 and March 31, 2016,2017, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective asset categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Average volumes of securities borrowed or purchased under agreements to resell are reported net pursuant to ASC 210-20-45. However, Interest revenue excludes the impact of ASC 210-20-45.
(6)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.
(7)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(8)Includes cash-basis loans.
(9)Includes brokerage receivables.


Average Balances and Interest Rates—Liabilities and Equity, and Net Interest Revenue(1)(2)(3) 
Taxable Equivalent Basis
Average volumeInterest expense% Average rateAverage volumeInterest expense% Average rate
1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.1st Qtr.4th Qtr.1st Qtr.
In millions of dollars, except rates20172016201620172016201620172016201820172017201820172017201820172017
Liabilities                 
Deposits               
In U.S. offices(4)
$302,294
$293,969
$277,648
$507
$473
$316
0.68%0.64%0.46%$323,355
$319,448
$302,294
$897
$735
$507
1.13%0.91%0.68%
In offices outside the U.S.(5)
428,743
424,902
424,055
908
874
888
0.86%0.82%0.84%446,416
440,686
428,743
1,100
1,059
908
1.00
0.95
0.86
Total$731,037
$718,871
$701,703
$1,415
$1,347
$1,204
0.78%0.75%0.69%$769,771
$760,134
$731,037
$1,997
$1,794
$1,415
1.05%0.94%0.78%
Federal funds purchased and securities loaned or sold under agreements to repurchase(6)
     





      





In U.S. offices$94,461
$94,922
$103,523
$282
$237
$260
1.21%0.99%1.01%$99,015
$95,780
$94,461
$604
$473
$282
2.47%1.96%1.21%
In offices outside the U.S.(5)
54,425
55,215
59,392
211
187
242
1.57%1.35%1.64%65,450
67,058
54,425
345
307
211
2.14
1.82
1.57
Total$148,886
$150,137
$162,915
$493
$424
$502
1.34%1.12%1.24%$164,465
$162,838
$148,886
$949
$780
$493
2.34%1.90%1.34
Trading account liabilities(7)(8)
     





      





In U.S. offices$32,215
$33,266
$23,636
$84
$61
$52
1.06%0.73%0.88%$33,996
$34,473
$32,215
$127
$111
$84
1.52%1.28%1.06%
In offices outside the U.S.(5)
59,667
48,404
41,676
63
63
36
0.43%0.52%0.35%57,725
55,012
59,667
88
65
63
0.62
0.47
0.43
Total$91,882
$81,670
$65,312
$147
$124
$88
0.65%0.60%0.54%$91,721
$89,485
$91,882
$215
$176
$147
0.95%0.78%0.65%
Short-term borrowings(9)
     





     





In U.S. offices$71,607
$71,381
$56,834
$85
$79
$29
0.48%0.44%0.21%$89,202
$81,994
$71,607
$389
$262
$85
1.77%1.27%0.48%
In offices outside the U.S.(5)
24,006
23,554
22,642
114
98
71
1.93%1.66%1.26%23,482
23,345
24,006
82
78
114
1.42
1.33
1.93
Total$95,613
$94,935
$79,476
$199
$177
$100
0.84%0.74%0.51%$112,684
$105,339
$95,613
$471
$340
$199
1.70%1.28%0.84%
Long-term debt(10)
    





      





In U.S. offices$178,656
$178,006
$172,429
$1,255
$1,148
$995
2.85%2.57%2.32%$199,924
$203,282
$178,656
$1,482
$1,389
$1,255
3.01%2.71%2.85%
In offices outside the U.S.(5)
5,313
5,631
6,854
57
57
51
4.35%4.03%2.99%4,353
4,316
5,313
46
58
57
4.29%5.33
4.35
Total$183,969
$183,637
$179,283
$1,312
$1,205
$1,046
2.89%2.61%2.35%$204,277
$207,598
$183,969
$1,528
$1,447
$1,312
3.03%2.77%2.89%
Total interest-bearing liabilities$1,251,387
$1,229,250
$1,188,689
$3,566
$3,277
$2,940
1.16%1.06%0.99%$1,342,918
$1,325,394
$1,251,387
$5,160
$4,537
$3,566
1.56%1.36%1.16%
Demand deposits in U.S. offices$37,748
$41,699
$31,336
   $35,528
$37,102
$37,748
     
Other non-interest-bearing liabilities(7)
314,106
319,567
332,065
   324,002
323,701
309,528
    
Total liabilities$1,603,241
$1,590,516
$1,552,090
   $1,702,448
$1,686,197
$1,598,663
    
Citigroup stockholders’ equity(11)
$226,312
$228,218
$224,320
   
Citigroup stockholders’ equity$200,833
$222,544
$230,890
    
Noncontrolling interest1,001
1,068
1,161
   942
958
1,001
    
Total equity(11)
$227,313
$229,286
$225,481
   
Total equity$201,775
$223,502
$231,891
    
Total liabilities and stockholders’ equity$1,830,554
$1,819,802
$1,777,571
   $1,904,223
$1,909,699
$1,830,554
    
Net interest revenue as a percentage of average interest-earning assets(12)
      
Net interest revenue as a percentage of average interest-earning assets(11)
       
In U.S. offices$959,115
$960,324
$940,526
$6,837
$7,105
$6,953
2.89%2.94%2.97%$973,752
$990,391
$959,115
$6,717
$6,965
$6,763
2.80%2.79%2.86%
In offices outside the U.S.(6)
665,962
647,123
622,102
4,143
4,169
4,393
2.52
2.56
2.84
754,484
722,005
665,962
4,519
4,476
4,315
2.43
2.46
2.63%
Total$1,625,077
$1,607,447
$1,562,628
$10,980
$11,274
$11,346
2.74%2.79%2.92%$1,728,236
$1,712,396
$1,625,077
$11,236
$11,441
$11,078
2.64%2.65%2.76%
(1)
Net interest revenue includes the taxable equivalent adjustments related to the tax-exempt bond portfolio (based on the U.S. federal statutory tax raterates of 21% in 2018 and 35%) in 2017) of $123$64 million, $112$128 million, and $119$123 million for the three months ended March 31, 2017,2018, December 31, 20162018 and March 31, 2016,2017, respectively.
(2)Interest rates and amounts include the effects of risk management activities associated with the respective liability categories.
(3)Monthly or quarterly averages have been used by certain subsidiaries where daily averages are unavailable.
(4)Consists of other time deposits and savings deposits. Savings deposits are made up of insured money market accounts, NOW accounts and other savings deposits. The interest expense on savings deposits includes FDIC deposit insurance assessments.
(5)Average rates reflect prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(6)
Average volumes of securities sold under agreements to repurchase are reported net pursuant to ASC 210-20-45. However, Interest expense excludes the impact of ASC 210-20-45.
(7)
The fair value carrying amounts of derivative contracts are reported net, pursuant to ASC 815-10-45, in Non-interest-earning assets and Other non-interest-bearing liabilities.


(8)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(9)Includes brokerage payables.
(10)
Excludes hybrid financial instruments and beneficial interests in consolidated VIEs that are classified as Long-term debt, as these obligations are accounted for inthe changes in fair value for these obligations are 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) 
1st Qtr. 2017 vs. 4th Qtr. 20161st Qtr. 2017 vs. 1st Qtr. 20161st Qtr. 2018 vs. 4th Qtr. 20171st Qtr. 2018 vs. 1st Qtr. 2017
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)
$22
$5
$27
$70
$6
$76
$(23)$(24)$(47)$33
$104
$137
Federal funds sold and securities borrowed or
purchased under agreements to resell
      
In U.S. offices$(4)$12
$8
$(15)$9
$(6)$1
$154
$155
$(10)$355
$345
In offices outside the U.S.(4)
37
20
57
75
(55)20
12
(29)(17)31
2
33
Total$33
$32
$65
$60
$(46)$14
$13
$125
$138
$21
$357
$378
Trading account assets(5)
      
In U.S. offices$13
$(85)$(72)$(28)$(41)$(69)$(7)$24
$17
$(38)$23
$(15)
In offices outside the U.S.(4)
(1)9
8
19
(114)(95)23
(4)19
107
(18)89
Total$12
$(76)$(64)$(9)$(155)$(164)$16
$20
$36
$69
$5
$74
Investments(1)
      
In U.S. offices$4
$35
$39
$(40)$101
$61
$(13)$14
$1
$36
$128
$164
In offices outside the U.S.(4)
7
10
17
25
10
35
13
9
22
(14)102
88
Total$11
$45
$56
$(15)$111
$96
$—
$23
$23
$22
$230
$252
Loans (net of unearned income)(6)
      
In U.S. offices$(77)$48
$(29)$294
$106
$400
$41
$63
$104
$225
$234
$459
In offices outside the U.S.(4)
27
(61)(34)(91)(113)(204)170
(53)117
461
(79)382
Total$(50)$(13)$(63)$203
$(7)$196
$211
$10
$221
$686
$155
$841
Other interest-earning assets(7)
$(30)$4
$(26)$2
$40
$42
$14
$33
$47
$54
$16
$70
Total interest revenue$(2)$(3)$(5)$311
$(51)$260
$231
$187
$418
$885
$867
$1,752
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax raterates of 21% in 2018 and 35% in 2017 and 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) 
1st Qtr. 2017 vs. 4th Qtr. 20161st Qtr. 2017 vs. 1st Qtr. 20161st Qtr. 2018 vs. 4th Qtr. 20171st Qtr. 2018 vs. 1st Qtr. 2017
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$14
$20
$34
$30
$161
$191
$9
$153
$162
$38
$352
$390
In offices outside the U.S.(4)
8
26
34
10
10
20
14
27
41
39
153
192
Total$22
$46
$68
$40
$171
$211
$23
$180
$203
$77
$505
$582
Federal funds purchased and securities loaned or sold under agreements to repurchase        
In U.S. offices$(1)$46
$45
$(24)$46
$22
$16
$115
$131
$14
$308
$322
In offices outside the U.S.(4)
(3)27
24
(20)(11)(31)(8)46
38
48
86
134
Total$(4)$73
$69
$(44)$35
$(9)$8
$161
$169
$62
$394
$456
Trading account liabilities(5)
      
In U.S. offices$(2)$25
$23
$21
$11
$32
$(2)$18
$16
$5
$38
$43
In offices outside the U.S.(4)
13
(13)—
18
9
27
3
20
23
(2)27
25
Total$11
$12
$23
$39
$20
$59
$1
$38
$39
$3
$65
$68
Short-term borrowings(6)
      
In U.S. offices$—
$6
$6
$9
$47
$56
$25
$102
$127
$26
$278
$304
In offices outside the U.S.(4)
2
14
16
5
38
43
—
4
4
(2)(30)(32)
Total$2
$20
$22
$14
$85
$99
$25
$106
$131
$24
$248
$272
Long-term debt      
In U.S. offices$4
$103
$107
$37
$223
$260
$(23)$116
$93
$155
$72
$227
In offices outside the U.S.(4)
(3)3
—
(13)19
6
—
(12)(12)(10)(1)(11)
Total$1
$106
$107
$24
$242
$266
$(23)$104
$81
$145
$71
$216
Total interest expense$32
$257
$289
$73
$553
$626
$34
$589
$623
$311
$1,283
$1,594
Net interest revenue$(34)$(260)$(294)$238
$(604)$(366)$197
$(402)$(205)$574
$(416)$158
(1)The taxable equivalent adjustment is related to the tax-exempt bond portfolio based on the U.S. federal statutory tax raterates of 21% in 2018 and 35% in 2017 and is included in this presentation.
(2)Rate/volume variance is allocated based on the percentage relationship of changes in volume and changes in rate to the total net change.
(3)
Detailed average volume, Interest revenue and Interest expense exclude Discontinued operations. See Note 2 to the Consolidated Financial Statements.
(4)Changes in average rates reflect changes in prevailing local interest rates, including inflationary effects and monetary corrections in certain countries.
(5)
Interest expense on Trading account liabilities of ICG is reported as a reduction of Interest revenue. Interest revenue and Interest expense on cash collateral positions are reported in interest on Trading account assets and Trading account liabilities, respectively.
(6)Includes brokerage payables.



Market Risk of Trading Portfolios
For additional information on Citi’s market risk of trading portfolios, see “Market Risk—Market Risk of Trading Portfolios” in Citi’s 20162017 Annual Report on Form 10-K.

Value at Risk
As of March 31, 2017,2018, Citi estimates that the conservative features of its VAR calibration contribute an approximate 22%17% add-on (compared to 25% at December 31, 2016) to what would be a VAR estimated under the assumption of stable and perfectly normal distributed markets. As of December 31, 2017, the add-on was 20%.
 

As set forth in the table below, Citi's average trading VAR as of March 31, 20172018 increased sequentially, mainlycompared to December 31, 2017. The increase was due to changes in interest rate exposures across the portfolio, including increased mark-to-market hedging activity against non-trading positions in the markets and securities services business within ICG. Additionally,higher average credit spread risk, declined from exposure changes. Averageforeign exchange risk and equity risk in the Markets businesses within ICG. The increase of average trading and credit portfolio VAR aswas in line with the increase of March 31, 2017 increased less than Trading VAR, mainly due to lower spread volatilities affectingaverage trading VAR. The average incremental impact of the hedges to the lending portfolio. Trading VAR as of March 31, 2017 increasedcredit portfolio was materially unchanged from December 31, 2016 mainly due2017 to interest rate risk changes as well as reduced diversification benefit across the portfolio, partially offset by lower foreign exchange risk.March 31, 2018.


Quarter-end and Average Trading VAR and Trading and Credit Portfolio VAR
 First Quarter Fourth Quarter First Quarter First Quarter Fourth Quarter First Quarter
In millions of dollarsMarch 31, 20172017 AverageDec. 31, 20162016 AverageMarch 31, 20162016 AverageMarch 31, 20182018 AverageDecember 31, 20172017 AverageMarch 31, 20172017 Average
Interest rate$52
$48
$37
$33
$37
$41
$84
$68
$69
$68
$52
$48
Credit spread54
56
63
64
62
$64
52
49
54
45
54
$56
Covariance adjustment(1)
(17)(17)(17)(28)(29)(27)(24)(25)(25)(27)(17)(17)
Fully diversified interest rate and credit spread(2)$89
$87
$83
$69
$70
$78
$112
$92
$98
$86
$89
$87
Foreign exchange16
24
32
23
25
29
33
30
25
26
16
24
Equity17
15
13
14
9
15
20
22
17
18
17
15
Commodity23
23
27
27
17
14
19
20
17
19
23
23
Covariance adjustment(1)
(53)(63)(70)(62)(62)(56)(73)(71)(63)(64)(53)(63)
Total trading VAR—all market risk factors, including general and specific risk (excluding credit portfolios)(2)
$92
$86
$85
$71
$59
$80
$111
$93
$94
$85
$92
$86
Specific risk-only component(3)
$—
$2
$3
$5
$7
$7
$3
$3
$—
$2
$—
$2
Total trading VAR—general market risk factors only (excluding credit portfolios)(2)
$92
$84
$82
$66
$52
$73
Total trading VAR—general market risk factors only
(excluding credit portfolios)
$108
$90
$94
$83
$92
$84
Incremental impact of the credit portfolio(4)
$15
$14
$20
$18
$29
$28
$5
$9
$11
$8
$15
$14
Total trading and credit portfolio VAR$107
$100
$105
$89
$88
$108
$116
$102
$105
$93
$107
$100

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



 

The table below provides the range of market factor VARs associated with Citi’s total trading VAR, inclusive of specific risk:
First QuarterFourth QuarterFirst QuarterFirst QuarterFourth QuarterFirst Quarter
2017201620182017
In millions of dollarsLowHighLowHighLowHighLowHighLowHighLowHigh
Interest rate$29
$70
$25
$45
$29
$64
$50
$89
$46
$89
$29
$70
Credit spread51
63
57
72
56
69
45
53
40
54
51
63
Fully diversified interest rate and credit spread$59
$109
$61
$83
$66
$97
$78
$117
$75
$101
$59
$109
Foreign exchange16
35
15
32
24
40
24
44
20
49
16
35
Equity6
25
7
25
9
24
16
32
12
27
6
25
Commodity18
30
21
33
10
18
16
23
13
27
18
30
Total trading$61
$107
$58
$85
$59
$106
$79
$118
$68
$101
$61
$107
Total trading and credit portfolio75
123
78
105
85
131
88
124
76
107
75
123
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 dollarsMar. 31, 2017Mar. 31, 2018
Total—all market risk factors, including general and specific risk$91
 
Average—during quarter$81
$92
High—during quarter95
119
Low—during quarter64
78

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-holdBuy-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 March 31, 2017,2018, there were twono back-testing exceptions observed for Citi’s Regulatory VAR for the prior 12 months. As previously disclosed, trading losses on June 3, 2016 marginally exceeded the VAR estimate at the Citigroup level, driven by higher volatility in the interest rate and foreign exchange markets following the release of weak non-farm payroll data. Separately, trading losses on November 14, 2016 exceeded the VAR estimate at the Citigroup level, driven by the widening of municipal bond yields following the election results in the United States.







COUNTRY RISKCountry Risk

For additional information on country risk at Citi, see “Country Risk” in Citi’s 20162017 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 March 31, 2017.2018. The total exposure as of March 31, 2018 to the top 25 countries disclosed below, in combination with the U.S., would represent approximately 94% of Citi’s exposure to all countries. For
purposes of the table, 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
in order to more efficiently serve its corporate customers. As an
example, with respect to the U.K., only 25%28% of corporate
loans presented in the table below are to U.K. domiciled
entities (28%(30% for unfunded commitments), with the balance of
the loans predominately to European domiciled counterparties.
Approximately 81%83% of the total U.K. funded loans and 90% of
the total U.K. unfunded commitments were investment grade
as of March 31, 2017.2018. Trading account assets and investment securities are generally categorized based on the domicile of the issuer of the security of the underlying reference entity. For additional information on the assets included in the table, see the footnotes to the table below.
For a discussion of uncertainties arising as a result of the vote interms and other uncertainties resulting from the U.K. to withdraw’s potential exit from the EU, see “Risk Factors—Strategic Risks” in Citigroup’s 20162017 Annual Report on formForm 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
1Q17
Total
as of
4Q16
Total
as of
1Q16
ICG
loans(1)
GCB loans
Other funded(3)
Unfunded(4)
Net MTM on derivatives/repos(5)
Total hedges (on loans and CVA)
Investment securities(6)
Trading account assets(7)
Total
as of
1Q18
Total
as of
4Q17
Total
as of
1Q17
Total as a % of Citi as of 1Q18
United Kingdom$31.4
$—
$3.4
$56.3
$11.5
$(2.1)$8.4
$(0.3)$108.6
$107.5
$103.5
$37.1
$—
$4.7
$68.7
$9.8
$(2.4)$6.4
$1.4
$125.7
$113.2
$108.6
7.8%
Mexico8.8
24.9
0.4
6.0
1.8
(0.8)14.0
4.0
59.1
52.4
61.1
9.9
26.9
0.3
7.1
0.8
(0.6)15.1
4.4
63.9
58.4
59.1
4.0
Hong Kong13.7
10.3
0.7
8.1
1.3
(0.7)5.8
1.1
40.3
35.9
34.5
18.2
11.5
0.9
6.0
0.6
(0.2)6.2
2.7
45.9
42.2
40.3
2.9
Singapore12.2
12.0
0.1
5.6
1.1
(0.3)8.5
0.6
39.8
36.4
37.2
15.4
12.4
0.3
4.8
1.3
(0.2)8.5
0.5
43.0
41.4
39.8
2.7
Korea2.4
20.0
0.2
3.1
1.3
(1.1)9.0
0.9
35.8
35.3
36.0
2.2
Ireland12.7
—
1.1
16.7
1.4
—
—
0.7
32.6
31.9
25.3
2.0
India10.6
6.4
0.7
7.5
3.0
(1.3)7.9
1.4
36.2
30.9
32.8
4.5
6.9
0.7
5.3
3.4
(0.7)9.0
2.6
31.7
30.3
36.2
2.0
Korea2.5
19.5
0.4
3.6
1.5
(1.0)7.6
1.9
36.0
34.0
38.5
Brazil13.7
0.2
0.2
3.4
4.5
(2.8)3.5
4.3
27.0
26.8
27.8
11.9
—
0.1
3.3
5.4
(1.5)3.7
4.0
26.9
24.7
28.9
1.7
Ireland8.2
—
0.7
15.7
0.3
—
—
0.4
25.3
24.8
24.5
Australia3.9
10.8
0.1
6.0
1.0
(1.0)4.1
(1.0)23.9
22.4
25.9
4.5
10.7
—
5.7
0.6
(0.5)2.9
0.7
24.6
25.2
23.9
1.5
Taiwan4.5
8.4
0.1
1.1
0.7
(0.2)1.8
2.1
18.5
16.6
15.5
5.3
9.2
0.1
2.5
0.9
—
1.2
1.1
20.3
17.3
18.5
1.3
China8.6
4.9
0.3
1.8
1.7
(0.7)3.1
0.1
19.8
19.4
17.4
1.2
Japan2.6
—
0.2
9.4
2.8
(1.7)3.8
1.2
18.3
18.3
11.1
3.2
0.1
0.1
2.4
5.6
(1.3)5.1
3.2
18.4
17.7
18.3
1.1
Canada1.8
0.6
0.4
6.9
1.9
(0.4)4.0
0.4
15.6
16.3
15.0
1.0
Germany0.1
—
—
3.9
5.1
(2.9)9.4
2.4
18.0
16.0
21.9
0.8
—
—
3.1
3.9
(2.0)9.7
(0.8)14.7
19.1
18.0
0.9
China5.8
4.3
0.2
1.6
1.3
(1.1)4.3
1.0
17.4
17.2
22.9
Canada1.8
0.6
0.5
6.1
2.0
(0.7)4.6
0.1
15.0
17.0
17.4
Poland3.1
1.6
—
3.1
0.5
(0.3)4.1
0.1
12.2
11.8
14.8
3.8
2.0
0.1
3.1
0.4
(0.1)4.6
0.8
14.7
14.0
12.2
0.9
United Arab Emirates6.4
1.5
0.1
3.0
0.2
(0.1)—
(0.1)11.0
7.0
5.9
0.7
Malaysia1.3
4.3
0.3
1.5
0.2
(0.1)0.8
0.8
9.1
9.3
10.8
1.7
5.0
0.3
1.6
0.1
(0.1)0.9
0.5
10.0
10.0
9.1
0.6
Netherlands—
—
—
—
4.1
(0.6)4.1
(0.8)6.8
5.1
6.8
Jersey6.3
—
0.4
2.3
—
—
—
—
9.0
4.8
3.8
0.6
Thailand0.8
2.0
—
1.3
0.1
—
1.7
0.3
6.2
5.8
6.2
1.0
2.3
—
1.6
0.2
—
1.3
1.0
7.4
7.4
6.2
0.5
Indonesia2.1
1.1
—
1.3
0.3
(0.1)1.5
0.3
6.5
6.3
5.5
0.4
Luxembourg0.1
—
0.1
—
0.5
(0.4)5.0
0.4
5.7
5.4
5.7
0.4
Russia2.3
1.0
—
1.2
0.5
(0.2)0.9
0.3
6.0
5.3
5.1
1.9
1.0
—
1.2
0.1
(0.1)1.1
0.3
5.5
6.6
6.0
0.3
United Arab Emirates3.1
1.4
0.1
1.5
0.4
(0.4)—
(0.2)5.9
6.0
6.4
Colombia2.6
1.7
—
1.1
0.1
(0.1)0.5
(0.1)5.8
5.6
5.9
Luxembourg—
—
—
—
0.6
(0.3)5.2
0.2
5.7
5.4
6.2
Indonesia1.7
1.1
0.1
1.2
0.2
(0.2)1.2
0.2
5.5
5.2
5.2
Chile1.8
—
2.0
0.1
0.2
—
—
—
4.1
4.0
3.8
Turkey2.9
—
0.4
0.4
0.3
(0.2)0.3
(0.1)4.0
3.9
4.8
Colombia(2)
1.9
1.6
—
1.0
—
—
0.5
—
5.0
5.1
5.8
0.3
South Africa1.9
—
—
1.2
0.2
(0.1)1.3
0.2
4.7
4.3
3.5
0.3
Argentina2.0
—
—
0.1
1.3
(0.4)0.2
1.1
4.3
4.2
2.7
0.3
Total 37.4%

(1)
ICG loans reflect funded corporate loans and private bank loans, net of unearned income. As of March 31, 2017,2018, private bank loans in the table above totaled $20.8$24.1 billion, concentrated in Singapore ($7.5 billion), Hong Kong ($6.67.1 billion), Singapore ($7.0 billion) and the U.K. ($5.55.3 billion).                     


(2)
GCBloans include funded loans in Brazil and Colombia related to businesses that were transferred to Corporate/Other as of January 1, 2016.
(3)
Other funded includes other direct exposure such as accounts receivable, loans held-for-sale,HFS, other loans in Corporate/Other and investments accounted for under the equity method.                                        
(4)Unfunded exposure includes unfunded corporate lending commitments, letters of credit and other contingencies.            


(5)Net mark-to-market (MTM)counterparty risk on OTC 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 issuer risk on cash products and derivative exposure where the underlying reference entityentity/issuer is located in that country.



INCOME TAXES

Deferred Tax Assets
For additional information on Citi’s deferred tax assets (DTAs), see “Risk Factors—Strategic Risks,” “Significant Accounting Policies and Significant Estimates—Income Taxes” and NoteNotes 1 and 9 to the Consolidated Financial Statements in Citi’s 20162017 Annual Report on Form 10-K.
At March 31, 2017,2018, Citigroup had recorded net DTAs of approximately $45.9$23.0 billion, a decreasean increase of $0.8$0.5 billion from December 31, 2016.2017. The DTA reduction for the quarterincrease was primarily driven by losses in Other Comprehensive Income and adoption of ASU 2016-16 (see Note 1 to the generation of earnings and movements in AOCI.Consolidated Financial Statements), partially offset by earnings.
The following table summarizes Citi’s net DTAs balance as of the periods presented.balance. Of Citi’s net DTAs as of March 31, 2017,2018, 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. Despite a $0.5 billion increase in net DTAs from December 31, 2017, Citi was able to reduce the amount of DTAs arising from net operating losses, foreign tax credits and general business credit carry-forwards by $0.3 billion, thereby reducing the amount of DTAs that were excluded from Common Equity Tier 1 Capital from $12.3 billion to $12.0 billion as of March 31, 2018. There were no DTAs in excess of the 10%/15% limitations as of March 31, 2018, (see “Capital Resources” above). Approximately $17.2Thus, approximately $11.0 billion of the net DTA wasDTAs were not deducted in calculating regulatory capital pursuant to full Basel III implementation standards as of March 31, 2017.2018 and were appropriately risk weighted as per those rules.
Jurisdiction/ComponentDTAs balanceDTAs balance
In billions of dollarsMar. 31, 2017December 31,
2016		March 31,
2018		December 31, 2017
Total U.S.$43.8
$44.6
$20.3
$19.9
Total foreign2.1
2.1
2.7
2.6
Total$45.9
$46.7
$23.0
$22.5


 


Effective Tax Rate
Citi’s effective tax rate for the first quarter of 20172018 was 31.1%23.7%, as compared with 29.7%31.1% in the first quarter of 2016.2017. The higherdecrease in the effective tax rate predominantly reflectswas primarily due to the higher level of pre-tax incomelower U.S. federal statutory tax rate pursuant to Tax Reform. The 23.7% effective tax rate was lower than the roughly 25% expected rate for the full year 2018 due to discrete tax items in the current quarter.first quarter of 2018.

SEC Staff Accounting Bulletin 118
Citi’s first quarter of 2018 tax provision did not include any material changes to Citi’s provisional income tax estimates recorded in the fourth quarter of 2017.






FUTURE APPLICATION OF ACCOUNTING STANDARDS

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

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

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

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



DISCLOSURE CONTROLS AND PROCEDURES
Citi’s disclosure controls and procedures are designed to ensure that information required to be disclosed under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the SEC’s rules and forms, including without limitation that information required to be disclosed by Citi in its SEC filings is accumulated and communicated to management, including the Chief Executive Officer (CEO) and Chief Financial Officer (CFO), as appropriate, to allow for timely decisions regarding required disclosure.
Citi’s Disclosure Committee assists the CEO and CFO in their responsibilities to design, establish, maintain and evaluate the effectiveness of Citi’s disclosure controls and procedures. The Disclosure Committee is responsible for, among other things, the oversight, maintenance and implementation of the disclosure controls and procedures, subject to the supervision and oversight of the CEO and CFO.
Citi’s management, with the participation of its CEO and CFO, has evaluated the effectiveness of Citigroup’s disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934) as of March 31, 20172018 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.
During Citi had no reportable activities pursuant to Section 219 for the first quarter of 2017, a branch of Citibank, N.A., located in India, processed a funds transfer involving the Iranian Embassy in New Delhi, India. The value of this funds transfer was INR 27,552.00 (approximately USD 411.00).  This payment was for visa services which are permissible under the travel exemption in the Iranian Transactions and Sanctions Regulations.  2018.

 







FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target, 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: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 20162017 Annual Report on Form 10-K; (ii) the factors listed and described under “Risk Factors” in Citi’s 20162017 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:

Citi’s ability to address 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 the 2017 resolution plan guidance in Citi’s 2017 resolution plan submission;
the potential impact on Citi’s ability to return capital to common shareholders, consistent with its capital optimization efforts and targets, due to, among other things, Citi’s results of operations, Citi’s ability to effectively manage its level of risk weighted assets and GSIB surcharge, potential changes to the regulatory capital framework, the CCAR process and the results of regulatory stress tests or any changes to the stress testing and CCAR requirements or process, such as the proposed introduction of a firm-specific “stress capital buffer” or incorporation(SCB), including as a result of any year-to-year variability resulting from the SCB and the impact on 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 shocks in the stress testing process;estimated management buffer;
the ongoing regulatory and other uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, including, among others, uncertainties and potential changes arising from the U.S. presidential administration and Congress, potential changes to various aspects of the regulatory capital framework, and the terms of and other uncertainties resulting from the U.K.’s initiation of the process to withdraw from the European Union, and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structure and compliance risks and costs;
the numerous uncertainties arising as a result of the initiation of the process in the U.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 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 decline, or if other changes are made to the U.S. corporate tax system, including changes resulting in a write down of timing difference DTAs;
Citi’s ability to continue to utilize its remaining 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 movementsits ability to generate U.S. taxable income and by the provisions of and guidance issued in Citi’s AOCI, which can be impacted by changes in interest rates and foreign exchange rates;connection with Tax Reform;
the potential impact to Citi if its interpretation or application of the extensivecomplex 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 and efficiency initiatives, as part of its operational and financial objectives and targets, including as a result of factors that Citi cannot control;
the potential negative impact to Citi’sfrom declining sales and revenues or other difficulties of any retailer or merchant with whom Citi has a co-branding andor private label credit card relationships as well as Citi’s resultsrelationship, termination of operationsa particular relationship, or financial condition,external factors affecting such retailer or merchant, including bankruptcies, liquidations, consolidations and other similar events, and the potential negative impact such an event could have on Citi, including as a result of loss of revenues, higher cost of credit, impairment of purchased credit card relationships and contract relatedcontract-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;losses;
the potential impact to Citi’s businesses, credit costs, and overalldeposits, revenues or other results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties and volatility, including those relatingthe process for the U.K. to potential outcomes of elections inwithdraw from the EU, potentialEuropean Union, governmental fiscal orand monetary actions, or expected actions, such as changes in the federal funds rate and any balance sheet normalization program implemented by the Federal Reserve Board or other central banks, the further pursuit of protectionist trade andor other related policies by the U.S.; and/or other countries, or geopolitical disputes or other instabilities, including those in Asia, the Middle East or elsewhere;
the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, sovereign volatility, political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyper-inflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets as well as the increased compliance, regulatory and regulatorylegal risks and costs;
Citi’s ability in its resolution plan submissions to address any deficiencies identified or future guidance provided by the uncertainties regarding the consequences of noncomplianceFederal Reserve Board and FDIC;
the potential impact on Citi’s estimates ofperformance, including its eligible debt arising from the Federal Reserve Board’s final total loss-absorbing capacity (TLAC) rules;
competitive position and ability to effectively manage its businesses and continue to execute its strategies, if Citi is unable to hire and retain highly qualified employees for any reason;

Citi’s ability to effectively compete with U.S. and non-U.S. financial services companies and others;

the potential impact of concentrations of risk, such as credit and market risk arising from Citi’sthe size and volume of Citi’s transactions with counterparties in the public sector, including the U.S. government and its agencies, or in the financial services industry, on Citi’s hedging strategies and results of operations;


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 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 impact to Citi from a disruption of its operational systems, including as a result of, among other things, human error, fraud or malice, accidental technological failure, electrical or telecommunication outages or failure of computer servers;servers, or other similar damage to Citi’s property or assets, or failures by third parties with whom Citi does business, as well as disruptions in the operations of Citi’s clients, customers or other third parties;
the potential impact to Citi from an increasing risk of continually evolving, sophisticated cybersecurity risks (includingfaced by financial institutions, including Citi and third parties with whom it does business, and others (such as theft of funds or theft, loss, misuse or disclosure of confidential client, customer, corporate or network information or assets)assets and other attempts by unauthorized parties to disrupt computer and network systems), and the potential impact from such risks, including, among others, reputational damage to Citi’s reputation,with clients, customers and others, lost revenues, additional costs (including credit, remediation and other costs) to Citi,, regulatory penalties and inquiries, legal exposure and other financial losses;
the potential impact of incorrect assumptions or estimates in Citi’s financial statements or the impact of ongoing changes to financial accounting and reporting standards or interpretations, such as the FASB’s new2020 accounting standard on credit losses, on how Citi records and reports its financial condition and results of operations;
the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management process, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, require refinement, modification or enhancement or any approval is withdrawn by Citi’s U.S. banking regulators;
the potential impact to Citi of ongoing implementation and interpretation of regulatory changes and requirements in the U.S. and globally, includingsuch as on Citi’s compliance
risks and costs;costs, including reputational and legal risks as well as remediation and other financial costs, such as penalties and fines; and
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 focus on conduct risk and the severity of the remedies sought and potential collateral consequences to 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; and
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.outcomes.

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











































































This page intentionally left blank.


FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS 
Consolidated Statement of Income (Unaudited)—
For the Three Months Ended March 31, 20172018 and 20162017
8782
Consolidated Statement of Comprehensive Income(Unaudited)Income (Unaudited)—For the Three Months Ended March 31, 20172018 and 20162017
8883
Consolidated Balance Sheet—March 31, 20172018 (Unaudited) and December 31, 20162017
8984
Consolidated Statement of Changes in Stockholders’ Equity(Unaudited)Equity (Unaudited)—For the Three Months Ended March 31, 20172018 and 20162017
9186
Consolidated Statement of Cash Flows (Unaudited)—
For the Three Months Ended March 31, 20172018 and 20162017
9387

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED) 
Note 1—Basis of Presentation and Accounting Changes
9589
Note 2—Discontinued Operations and Significant Disposals
9892
Note 3—Business Segments
9993
Note 4—Interest Revenue and Expense
10094
Note 5—Commissions and Fees; Administration and Other
                 Fiduciary Fees
10195
Note 6—Principal Transactions
10198
Note 7—Incentive Plans
10299
Note 8—Retirement Benefits
10299
Note 9—Earnings per Share
106103
Note 10—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
107104
Note 11—Brokerage Receivables and Brokerage Payables
110107
Note 12—Investments
110108
 


  
Note 13—Loans
119120
Note 14—Allowance for Credit Losses
130131
Note 15—Goodwill and Intangible Assets
132133
Note 16—Debt
134135
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
135136
Note 18—Securitizations and Variable Interest Entities
138139
Note 19—Derivatives Activities
146147
Note 20—Fair Value Measurement
156158
Note 21—Fair Value Elections
171173
Note 22—Guarantees and Commitments
175177
Note 23—Contingencies
179183
Note 24—Condensed Consolidating Financial Statements
181185




CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED) Citigroup Inc. and Subsidiaries
   
 Three Months Ended March 31,
In millions of dollars, except per share amounts20182017
Revenues  
Interest revenue$16,332
$14,521
Interest expense5,160
3,566
Net interest revenue$11,172
$10,955
Commissions and fees$3,030
$3,055
Principal transactions3,289
3,094
Administration and other fiduciary fees905
834
Realized gains on sales of investments, net170
192
Impairment losses on investments  
Gross impairment losses(28)(12)
Less: Impairments recognized in AOCI—
—
Net impairment losses recognized in earnings$(28)$(12)
Other revenue$334
$248
Total non-interest revenues$7,700
$7,411
Total revenues, net of interest expense$18,872
$18,366
Provisions for credit losses and for benefits and claims  
Provision for loan losses$1,803
$1,675
Policyholder benefits and claims26
30
Release for unfunded lending commitments28
(43)
Total provisions for credit losses and for benefits and claims$1,857
$1,662
Operating expenses  
Compensation and benefits$5,807
$5,534
Premises and equipment593
620
Technology/communication1,758
1,663
Advertising and marketing381
373
Other operating2,386
2,533
Total operating expenses$10,925
$10,723
Income from continuing operations before income taxes$6,090
$5,981
Provision for income taxes1,441
1,863
Income from continuing operations$4,649
$4,118
Discontinued operations  
Loss from discontinued operations$(7)$(28)
Benefit for income taxes—
(10)
Loss from discontinued operations, net of taxes$(7)$(18)
Net income before attribution of noncontrolling interests$4,642
$4,100
Noncontrolling interests22
10
Citigroup’s net income$4,620
$4,090
Basic earnings per share(1)
  
Income from continuing operations$1.68
$1.36
Income (loss) from discontinued operations, net of taxes—
(0.01)
Net income$1.68
$1.35
Weighted average common shares outstanding2,561.6
2,765.3
 Three months ended March 31,
In millions of dollars, except per share amounts20172016
Revenues  
Interest revenue$14,423
$14,167
Interest expense3,566
2,940
Net interest revenue$10,857
$11,227
Commissions and fees$2,759
$2,463
Principal transactions3,022
1,840
Administration and other fiduciary fees893
811
Realized gains on sales of investments, net192
186
Other-than-temporary impairment losses on investments  
Gross impairment losses(12)(465)
Less: Impairments recognized in AOCI—
—
Net impairment losses recognized in earnings$(12)$(465)
Insurance premiums$169
$264
Other revenue240
1,229
Total non-interest revenues$7,263
$6,328
Total revenues, net of interest expense$18,120
$17,555
Provisions for credit losses and for benefits and claims  
Provision for loan losses$1,675
$1,886
Policyholder benefits and claims30
88
Provision (release) for unfunded lending commitments(43)71
Total provisions for credit losses and for benefits and claims$1,662
$2,045
Operating expenses  
Compensation and benefits$5,534
$5,556
Premises and equipment620
651
Technology/communication1,659
1,649
Advertising and marketing373
390
Other operating2,291
2,277
Total operating expenses$10,477
$10,523
Income from continuing operations before income taxes$5,981
$4,987
Provision for income taxes1,863
1,479
Income from continuing operations$4,118
$3,508
Discontinued operations  
Loss from discontinued operations$(28)$(3)
Benefit for income taxes(10)(1)
Loss from discontinued operations, net of taxes$(18)$(2)
Net income before attribution of noncontrolling interests$4,100
$3,506
Noncontrolling interests10
5
Citigroup’s net income$4,090
$3,501
Basic earnings per share(1)
  
Income from continuing operations$1.36
$1.11
Loss from discontinued operations, net of taxes(0.01)—
Net income$1.35
$1.10
Weighted average common shares outstanding2,765.3
2,943.0


Diluted earnings per share(1)
  
Income from continuing operations$1.36
$1.11
$1.68
$1.36
Loss from discontinued operations, net of taxes(0.01)—
Income (loss) from discontinued operations, net of taxes—
(0.01)
Net income$1.35
$1.10
$1.68
$1.35
Adjusted weighted average common shares outstanding2,765.5
2,943.1
2,563.0
2,765.5
(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 March 31,Three Months Ended March 31,
In millions of dollars2017201620182017
Citigroup's net income$4,090
$3,501
Citigroup’s net income$4,620
$4,090
Add: Citigroup's other comprehensive income   
   
Net change in unrealized gains and losses on investment securities, net of taxes$220
$2,034
Net change in unrealized gains and losses on investment securities,
net of taxes(1)(2)
$(1,058)$220
Net change in debt valuation adjustment (DVA), net of taxes (1)
(60)193
128
(60)
Net change in cash flow hedges, net of taxes(2)317
(222)(2)
Benefit plans liability adjustment, net of taxes(12)(465)88
(12)
Net change in foreign currency translation adjustment, net of taxes and hedges1,318
654
1,120
1,318
Net change in excluded component of fair value hedges, net of taxes

(4)—
Citigroup’s total other comprehensive income$1,464
$2,733
$52
$1,464
Citigroup’s total comprehensive income$5,554
$6,234
$4,672
$5,554
Add: Other comprehensive income attributable to noncontrolling interests$31
$27
$14
$31
Add: Net income attributable to noncontrolling interests10
5
22
10
Total comprehensive income$5,595
$6,266
$4,708
$5,595
(1)See Note 1 to the Consolidated Financial Statements.
(2)For the three months ended March 31, 2018, amount represents the net change in unrealized gains and losses on available-for-sale (AFS) debt securities. Effective January 1, 2018, the AFS category is eliminated for equity securities under ASU 2016-01.

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



CONSOLIDATED BALANCE SHEET Citigroup Inc. and Subsidiaries
(UNAUDITED)
March 31, March 31, 
2017December 31,2018December 31,
In millions of dollars(Unaudited)2016(Unaudited)2017
Assets 
 
 
 
Cash and due from banks (including segregated cash and other deposits)$22,272
$23,043
$21,850
$23,775
Deposits with banks157,773
137,451
180,854
156,741
Federal funds sold and securities borrowed or purchased under agreements to resell (including $137,360 and $133,204 as of March 31, 2017 and December 31, 2016, respectively, at fair value)242,929
236,813
Federal funds sold and securities borrowed or purchased under agreements to resell (including $161,537 and $132,949 as of March 31, 2018 and December 31, 2017, respectively, at fair value)257,887
232,478
Brokerage receivables36,888
28,887
46,572
38,384
Trading account assets (including $82,157 and $80,986 pledged to creditors at March 31, 2017 and December 31, 2016, respectively)244,903
243,925
Trading account assets (including $107,399 and $99,460 pledged to creditors at March 31, 2018 and December 31, 2017, respectively)268,808
252,790
Investments:  
Available for sale (including $8,115 and $8,239 pledged to creditors as of March 31, 2017 and December 31, 2016, respectively)290,282
299,424
Held to maturity (including $898 and $843 pledged to creditors as of March 31, 2017 and December 31, 2016, respectively)47,942
45,667
Non-marketable equity securities (including $1,529 and $1,774 at fair value as of March 31, 2017 and December 31, 2016, respectively)7,609
8,213
Available-for-sale debt securities (including $14,312 and $9,493 pledged to creditors as of March 31, 2018 and December 31, 2017, respectively)291,523
290,725
Held-to-maturity debt securities (including $1,063 and $435 pledged to creditors as of March 31, 2018 and December 31, 2017, respectively)52,492
53,320
Equity securities (including $1,569 and $1,395 at fair value as of March 31, 2018 and December 31, 2017, respectively, of which $189 was available for sale as of December 31, 2017)7,956
8,245
Total investments$345,833
$353,304
$351,971
$352,290
Loans: 
 
 
 
Consumer (including $28 and $29 as of March 31, 2017 and December 31, 2016, respectively, at fair value)320,556
325,063
Corporate (including $4,007 and $3,457 as of March 31, 2017 and December 31, 2016, respectively, at fair value)308,039
299,306
Consumer (including $23 and $25 as of March 31, 2018 and December 31, 2017, respectively, at fair value)325,084
333,656
Corporate (including $4,513 and $4,349 as of March 31, 2018 and December 31, 2017, respectively, at fair value)347,854
333,378
Loans, net of unearned income$628,595
$624,369
$672,938
$667,034
Allowance for loan losses(12,030)(12,060)(12,354)(12,355)
Total loans, net$616,565
$612,309
$660,584
$654,679
Goodwill22,265
21,659
22,659
22,256
Intangible assets (other than MSRs)5,013
5,114
4,450
4,588
Mortgage servicing rights (MSRs)567
1,564
587
558
Other assets (including $17,281 and $15,729 as of March 31, 2017 and December 31, 2016, respectively, at fair value)126,627
128,008
Other assets (including $20,443 and $18,559 as of March 31, 2018 and December 31, 2017, respectively, at fair value)105,882
103,926
Total assets$1,821,635
$1,792,077
$1,922,104
$1,842,465

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
March 31, March 31, 
2017December 31,2018December 31,
In millions of dollars(Unaudited)2016(Unaudited)2017
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
 
 
Cash and due from banks$65
$142
$34
$52
Trading account assets1,031
602
1,582
1,129
Investments3,397
3,636
2,492
2,498
Loans, net of unearned income 
 
 
 
Consumer49,815
53,401
50,256
54,656
Corporate19,556
20,121
19,516
19,835
Loans, net of unearned income$69,371
$73,522
$69,772
$74,491
Allowance for loan losses(1,860)(1,769)(1,923)(1,930)
Total loans, net$67,511
$71,753
$67,849
$72,561
Other assets165
158
159
154
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$72,169
$76,291
$72,116
$76,394
Statement continues on the next page.


CONSOLIDATED BALANCE SHEET                             Citigroup Inc. and Subsidiaries
(Continued)
March 31, March 31, 
2017December 31,2018December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2016(Unaudited)2017
Liabilities 
 
 
 
Non-interest-bearing deposits in U.S. offices$129,436
$136,698
$125,332
$126,880
Interest-bearing deposits in U.S. offices (including $351 and $434 as of March 31, 2017 and December 31, 2016, respectively, at fair value)310,572
300,972
Interest-bearing deposits in U.S. offices (including $300 and $303 as of March 31, 2018 and December 31, 2017, respectively, at fair value)327,872
318,613
Non-interest-bearing deposits in offices outside the U.S.79,063
77,616
90,477
87,440
Interest-bearing deposits in offices outside the U.S. (including $956 and $778 as of March 31, 2017 and December 31, 2016, respectively, at fair value)430,919
414,120
Interest-bearing deposits in offices outside the U.S. (including $1,386 and $1,162 as of March 31, 2018 and December 31, 2017, respectively, at fair value)457,538
426,889
Total deposits$949,990
$929,406
$1,001,219
$959,822
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $40,939 and $33,663 as of March 31, 2017 and December 31, 2016, respectively, at fair value)148,230
141,821
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $45,840 and $40,638 as of March 31, 2018 and December 31, 2017, respectively, at fair value)171,759
156,277
Brokerage payables59,655
57,152
69,685
61,342
Trading account liabilities144,070
139,045
143,961
125,170
Short-term borrowings (including $3,473 and $2,700 as of March 31, 2017 and December 31, 2016, respectively, at fair value)26,127
30,701
Long-term debt (including $27,526 and $26,254 as of March 31, 2017 and December 31, 2016, respectively, at fair value)208,530
206,178
Other liabilities (including $12,681 and $10,796 as of March 31, 2017 and December 31, 2016, respectively, at fair value)55,880
61,631
Short-term borrowings (including $4,467 and $4,627 as of March 31, 2018 and December 31, 2017, respectively, at fair value)36,094
44,452
Long-term debt (including $33,571 and $31,392 as of March 31, 2018 and December 31, 2017, respectively, at fair value)237,938
236,709
Other liabilities (including $15,552 and $13,961 as of March 31, 2018 and December 31, 2017, respectively, at fair value)58,582
57,021
Total liabilities$1,592,482
$1,565,934
$1,719,238
$1,640,793
Stockholders’ equity 
 
 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: 770,120 as of March 31, 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 March 31, 2017 and December 31, 2016
31
31
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2018—766,250 and as of December 31, 2017—770,120, at aggregate liquidation value
$19,156
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2018—3,099,557,871 and as of December 31, 2017—3,099,523,273
31
31
Additional paid-in capital107,613
108,042
107,599
108,008
Retained earnings149,731
146,477
141,863
138,425
Treasury stock, at cost: March 31, 2017—346,265,476 shares and December 31, 2016—327,090,192 shares
(17,579)(16,302)
Accumulated other comprehensive income (loss)(30,917)(32,381)
Treasury stock, at cost: March 31, 2018—549,624,378 shares and December 31, 2017—529,614,728 shares
(32,115)(30,309)
Accumulated other comprehensive income (loss) (AOCI)(34,619)(34,668)
Total Citigroup stockholders’ equity$228,132
$225,120
$201,915
$200,740
Noncontrolling interest1,021
1,023
951
932
Total equity$229,153
$226,143
$202,866
$201,672
Total liabilities and equity$1,821,635
$1,792,077
$1,922,104
$1,842,465

The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
March 31, March 31, 
2017December 31,2018December 31,
In millions of dollars(Unaudited)2016(Unaudited)2017
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
do not have recourse to the general credit of Citigroup
 
 
 
 
Short-term borrowings$10,636
$10,697
$10,242
$10,142
Long-term debt24,062
23,919
30,406
30,492
Other liabilities739
1,275
517
611
Total liabilities of consolidated VIEs for which creditors or beneficial interest
holders do not have recourse to the general credit of Citigroup
$35,437
$35,891
$41,165
$41,245
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)  
Three Months Ended March 31,Three Months Ended March 31,
In millions of dollars, except shares in thousands20172016
In millions of dollars20182017
Preferred stock at aggregate liquidation value 
 
 
 
Balance, beginning of period$19,253
$16,718
$19,253
$19,253
Issuance of new preferred stock—
1,035
Redemption of preferred stock(97)—
Balance, end of period$19,253
$17,753
$19,156
$19,253
Common stock and additional paid-in capital 
 
 
 
Balance, beginning of period$108,073
$108,319
$108,039
$108,073
Employee benefit plans(426)(660)(405)(426)
Preferred stock issuance expense—
(31)—
—
Other(3)(7)(4)(3)
Balance, end of period$107,644
$107,621
$107,630
$107,644
Retained earnings 
 
 
 
Balance, beginning of period$146,477
$133,841
$138,425
$146,477
Adjustment to opening balance, net of taxes(1)
—
15
(84)(660)
Adjusted balance, beginning of period$146,477
$133,856
$138,341
$145,817
Citigroup’s net income4,090
3,501
4,620
4,090
Common dividends(2)
(445)(149)(826)(445)
Preferred dividends(301)(210)(272)(301)
Tax benefit

—
Other(3)
(90)—
—
(90)
Balance, end of period$149,731
$136,998
$141,863
$149,071
Treasury stock, at cost 
 
 
 
Balance, beginning of period$(16,302)$(7,677)$(30,309)$(16,302)
Employee benefit plans(4)
507
765
469
507
Treasury stock acquired(5)
(1,784)(1,312)(2,275)(1,784)
Balance, end of period$(17,579)$(8,224)$(32,115)$(17,579)
Citigroup’s accumulated other comprehensive income (loss) 
 
 
 
Balance, beginning of period$(32,381)$(29,344)$(34,668)$(32,381)
Adjustment to opening balance, net of taxes(1)
—
(15)(3)504
Adjusted balance, beginning of period$(32,381)$(29,359)$(34,671)$(31,877)
Citigroup’s total other comprehensive income (loss)1,464
2,733
52
1,464
Balance, end of period$(30,917)$(26,626)$(34,619)$(30,413)
Total Citigroup common stockholders’ equity$208,879
$209,769
$182,759
$208,723
Total Citigroup stockholders’ equity$228,132
$227,522
$201,915
$227,976
Noncontrolling interests 
 
 
 
Balance, beginning of period$1,023
$1,235
$932
$1,023
Transactions between Citigroup and the noncontrolling-interest shareholders(1)(27)(15)(1)
Net income attributable to noncontrolling-interest shareholders10
5
22
10
Other comprehensive income (loss) attributable to
noncontrolling-interest shareholders
31
27
14
31
Other(42)(1)(2)(42)
Net change in noncontrolling interests$(2)$4
$19
$(2)
Balance, end of period$1,021
$1,239
$951
$1,021
Total equity$229,153
$228,761
$202,866
$228,997

(1)See Note 1 to the Consolidated Financial Statements for additional details.
(2)Common dividends declared were $0.32 per share in the first quarter of 2018 and $0.16 per share in the first quarter of 2017 and $0.05 per share in the first quarter of 2016.2017.
(3)
Includes the impact of ASU 2016-09, Compensation-StockCompensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting.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 three months ended March 31, 20172018 and 2016,2017, 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)  
Three months ended March 31,Three Months Ended March 31,
In millions of dollars2017201620182017
Cash flows from operating activities of continuing operations 
 
 
 
Net income before attribution of noncontrolling interests$4,100
$3,506
$4,642
$4,100
Net income attributable to noncontrolling interests10
5
22
10
Citigroup’s net income$4,090
$3,501
$4,620
$4,090
Loss from discontinued operations, net of taxes(18)(2)(7)(18)
Income from continuing operations—excluding noncontrolling interests$4,108
$3,503
$4,627
$4,108
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
 
 
Net gains on significant disposals(1)
(19)(422)—
(19)
Depreciation and amortization896
908
926
896
Provision for loan losses1,675
1,886
1,803
1,675
Realized gains from sales of investments(192)(186)(170)(192)
Net impairment losses on investments, goodwill and intangible assets40
465
28
40
Change in trading account assets(1,073)(23,791)(16,054)30
Change in trading account liabilities5,025
18,634
18,791
4,457
Change in brokerage receivables net of brokerage payables(5,498)(3,043)155
(5,498)
Change in loans held-for-sale (HFS)1,949
3,896
Change in loans HFS1,627
1,949
Change in other assets(811)(3,327)(3,503)(1,926)
Change in other liabilities(5,685)(179)1,561
(5,117)
Other, net(3,421)1,118
(2,835)(3,455)
Total adjustments$(7,114)$(4,041)$2,329
$(7,160)
Net cash provided by (used in) operating activities of continuing operations$(3,006)$(538)$6,956
$(3,052)
Cash flows from investing activities of continuing operations 
 
 
 
Change in deposits with banks$(20,322)$(23,852)
Change in federal funds sold and securities borrowed or purchased under agreements to resell(6,116)(5,418)$(25,409)$(6,116)
Change in loans(7,953)(5,057)(8,717)(7,953)
Proceeds from sales and securitizations of loans3,191
1,247
1,654
3,191
Purchases of investments(41,584)(59,715)(41,030)(41,584)
Proceeds from sales of investments29,456
39,268
20,688
29,456
Proceeds from maturities of investments24,006
16,544
21,509
24,006
Proceeds from significant disposals(1)
2,732
265
—
2,732
Capital expenditures on premises and equipment and capitalized software(786)(702)(969)(786)
Proceeds from sales of premises and equipment, subsidiaries and affiliates,
and repossessed assets
133
230
Net cash used in investing activities of continuing operations$(17,243)$(37,190)
Proceeds from sales of premises and equipment, subsidiaries and affiliates
and repossessed assets
101
133
Other, net49
46
Net cash provided by (used in) investing activities of continuing operations$(32,124)$3,125
Cash flows from financing activities of continuing operations 
 
 
 
Dividends paid$(744)$(359)$(1,095)$(744)
Issuance of preferred stock—
1,004
Redemption of preferred stock(97)—
Treasury stock acquired(1,858)(1,312)(2,378)(1,858)
Stock tendered for payment of withholding taxes(397)(308)(475)(397)
Change in federal funds purchased and securities loaned or sold under agreements to repurchase6,409
10,712
15,482
6,409
Issuance of long-term debt18,603
13,904
20,769
18,603
Payments and redemptions of long-term debt(18,885)(11,281)(17,882)(18,885)
Change in deposits20,584
26,704
41,397
20,584
Change in short-term borrowings(4,574)(186)(8,358)(4,574)


CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries  
(UNAUDITED) (CONTINUED)Three months ended March 31,
(UNAUDITED) (Continued)Three Months Ended March 31,
In millions of dollars2017201620182017
Net cash provided by financing activities of continuing operations$19,138
$38,878
$47,363
$19,138
Effect of exchange rate changes on cash and cash equivalents$340
$190
Change in cash and due from banks$(771)$1,340
Cash and due from banks at beginning of period23,043
20,900
Cash and due from banks at end of period$22,272
$22,240
Effect of exchange rate changes on cash and due from banks$(7)$340
Change in cash and due from banks and deposits with banks(2)
$22,188
$19,551
Cash, due from banks and deposits with banks at beginning of period(2)
180,516
160,494
Cash, due from banks and deposits with banks at end of period(2)
$202,704
$180,045
Cash and due from banks$21,850
$22,272
Deposits with banks180,854
157,773
Cash, due from banks and deposits with banks at end of period$202,704
$180,045
Supplemental disclosure of cash flow information for continuing operations 
 
 
 
Cash paid during the period for income taxes$913
$688
$738
$913
Cash paid during the period for interest3,250
2,694
4,586
3,250
Non-cash investing activities 
 
 
 
Decrease in goodwill associated with significant disposals reclassified to HFS—
(30)
Transfers to loans HFS from loans2,800
3,200
$900
$2,800
Transfers to OREO and other repossessed assets30
56
26
30

(1)    See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
(2) Includes the impact of ASU 2016-18, Restricted Cash. See Note 1 to the Consolidated Financial Statements.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.




NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND ACCOUNTING CHANGES

Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of March 31, 2017 and for the three-month periods ended March 31, 2017 and 2016 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, 2016, (2016 Annual Report on Form 10-K).
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management uses its best judgment, actual results could differ from those estimates.
As noted above, the Notes to 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

Lease Accounting for Stock-Based Compensation
In March 2016, the FASB issued ASU 2016-09, Compensation—Stock Compensation (Topic 718): Improvements to Employee Share-Based Payment Accounting in order to simplify certain complex aspects of the accounting for income taxes and forfeitures related to employee stock-based compensation. The guidance became effective for Citi beginning on January 1, 2017. Under the new standard, excess tax benefits and deficiencies related to employee stock-based compensation are recognized directly within Income tax expense or benefit in Citi’s Consolidated Statement of Income, rather than within Additional paid-in capital. The impact of this change was not material in the first quarter of 2017. The impact of this change is similarly not expected to be material for the remainder of 2017 as the majority of employees’ deferred stock-based compensation awards are granted within the first quarter of each year, and therefore vest within the first quarter of each year, commensurate with vesting in equal annual installments. For additional information on these receivables and
payables, see Note 7 to the Consolidated Financial Statements in Citi’s 2016 Annual Report on Form 10-K.
Additionally, as permitted under the new guidance, Citi made an accounting policy election to account for forfeitures of awards as they occur, which represents a change from the previous requirement to estimate forfeitures when recognizing compensation expense. This change resulted in a cumulative effect adjustment to retained earnings that was not material at January 1, 2017.

Recognition and Measurement of Financial Assets and Financial Liabilities
In January 2016, the Financial 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 Accumulated 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 also requires 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 adopted only the provisions of this ASU related to presentation 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 in AOCI effective January 1, 2016. Accordingly, as of the first quarter 2016, these amounts are reflected as a component of AOCI, whereas these amounts were previously recognized in Citigroup’s revenues and net income. The impact of adopting this amendment resulted in a cumulative catch-up reclassification from retained earnings to AOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016. Financial statements for periods prior to 2016 were not subject to restatement under the provisions of this ASU. For additional information, see Note 17, Note 20and Note 21 to the Consolidated Financial Statements. The Company is evaluating the effects that the other provisions of ASU 2016-01,which are effective on January 1, 2018, will have on its Consolidated Financial Statements and related disclosures.



FUTURE APPLICATION OF ACCOUNTING STANDARDS

Accounting for Financial Instruments—Credit Losses
In JuneFebruary 2016, the FASB issued ASU No. 2016-13,2016-02, Financial Instruments—Credit LossesLeases (Topic 842) (Topic 326),.which is intended to increase transparency and comparability of accounting for lease transactions. The ASU introduces a newwill require lessees to recognize leases on the balance sheet as lease assets and lease liabilities and will require both quantitative and qualitative disclosures regarding key information about leasing arrangements. Lessor accounting model,is largely unchanged. The guidance is effective beginning January 1, 2019 with an option to early adopt. The Company does not plan to early adopt the Current Expected Credit Losses model (CECL), which requires earlier recognitionASU. The Company estimates that upon adoption, its Consolidated Balance Sheet will have
an approximate $5 billion increase in assets and liabilities. Additionally, the Company estimates an approximate $200 million increase in retained earnings due to the cumulative effect of credit losses, while also providing additional transparency about credit risk.recognizing previously deferred gains on sale/leaseback transactions.

Subsequent Measurement of Goodwill
In January 2017, the FASB issued ASU No. 2017-04, Intangibles—Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment. The FASB’s CECL model utilizes a lifetime “expected credit loss”ASU simplifies the subsequent measurement objective forof goodwill impairment by eliminating the recognition of credit losses for loans, held-to-maturity securities and other receivables atrequirement to calculate 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 whereimplied 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 replacesof goodwill (i.e., 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 departure 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 impactStep 2 of the goodwill impairment test) to measure a goodwill impairment charge. Under the ASU, will depend upon the stateimpairment test is the comparison of the economy andfair value of a reporting unit with its carrying amount (the current Step 1), with the natureimpairment charge being the deficit in fair value but not exceeding the total amount of Citi’s portfolios at the date of adoption. goodwill allocated to that reporting unit. The simplified one-step impairment test applies to all reporting units (including those with zero or negative carrying amounts).
The ASU will be effective for Citi as of January 1, 2020. Early application is permitted for annual periods beginning January 1, 2019.2020, with early adoption permitted. The impact of the ASU will depend upon the performance of Citi’s reporting units and the market conditions impacting the fair value of each reporting unit going forward.

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



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

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

Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012, which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities that are subject to sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law. Citi had no reportable activities pursuant to Section 219 for the first quarter of 2018.







FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In May 2014,addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the FASBSEC, 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’s discussion and analysis of its results of operations above and in Citi’s 2017 Annual Report on Form 10-K; (ii) the factors listed and described under “Risk Factors” in Citi’s 2017 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:

the potential impact on Citi’s ability to return capital to common shareholders, consistent with its capital optimization efforts and targets, due to, among other things, Citi’s results of operations, Citi’s ability to effectively manage its level of risk weighted assets and GSIB surcharge, potential changes to the regulatory capital framework, the CCAR process and the results of regulatory stress tests or any changes to the stress testing and CCAR requirements or process, such as the proposed introduction of a firm-specific “stress capital buffer” (SCB), including as a result of any year-to-year variability resulting from the SCB and the impact on Citi’s estimated management buffer;
the ongoing regulatory and other uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, including, among others, uncertainties and potential changes to various aspects of the regulatory capital framework, and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structure and compliance risks and costs;
Citi’s ability to utilize its remaining DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negative impact of the DTAs on Citi’s regulatory capital, including as a result of its ability to generate U.S. taxable income and by the provisions of and guidance issued ASU No. 2014-09, Revenue from Contractsin connection with Customers, which requires an entityTax Reform;
the potential impact to recognizeCiti if its interpretation or application of the amount of revenuecomplex tax laws to which it expectsis subject, such as withholding tax obligations and stamp and other transactional taxes, differs from those of the relevant governmental authorities;
Citi’s ability to be entitledachieve the expected returns on its ongoing investments in its businesses and efficiency initiatives, as part of its operational and financial objectives and targets, including as a result of factors that Citi cannot control;
the potential impact from declining sales and revenues or other difficulties of any retailer or merchant with whom Citi has a co-branding or private label credit card relationship, termination of a particular relationship, or external factors affecting such retailer or merchant, including bankruptcies, liquidations, consolidations and other similar events, and the potential negative impact such an event could have on Citi, including as a result of loss of revenues, higher cost of credit, impairment of purchased credit card relationships and contract-related intangibles or other losses;
the potential impact to Citi’s businesses, credit costs, deposits, revenues or other results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties and volatility, including the process for the transferU.K. to withdraw from the European Union, governmental fiscal and monetary actions, or expected actions, such as changes in the federal funds rate and any balance sheet normalization program implemented by the Federal Reserve Board or other central banks, the further pursuit of promised goodsprotectionist trade or other related policies by the U.S. and/or other countries, or geopolitical disputes or other instabilities, including those in Asia, the Middle East or elsewhere;
the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, sovereign volatility, political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyper-inflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets as well as the increased compliance, regulatory and legal risks and costs;
Citi’s ability in its resolution plan submissions to address any deficiencies identified or future guidance provided by the Federal Reserve Board and FDIC;
the potential impact on Citi’s performance, including its competitive position and ability to effectively manage its businesses and continue to execute its strategies, if Citi is unable to hire and retain highly qualified employees for any reason;
Citi’s ability to effectively compete with U.S. and non-U.S. financial services companies and others;
the potential impact of concentrations of risk, such as credit and market risk arising from the size and volume of Citi’s transactions with counterparties in the public sector, including the U.S. government and its agencies, or in the financial services industry, on Citi’s results of operations;


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 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 impact to customers. The Company will adoptCiti from a disruption of its operational systems, including as a result of, among other things, human error, fraud or malice, accidental technological failure, electrical or telecommunication outages or failure of computer servers, or other similar damage to Citi’s property or assets, or failures by third parties with whom Citi does business, as well as disruptions in the guidanceoperations of Citi’s clients, customers or other third parties;
the increasing risk of continually evolving, sophisticated cybersecurity risks faced by financial institutions, including Citi and third parties with whom it does business, and others (such as theft of January 1, 2018funds or theft, loss, misuse or disclosure of confidential client, customer, corporate or network information or assets and other attempts by unauthorized parties to disrupt computer and network systems), and the potential impact from such risks, including, among others, reputational damage with a cumulative-effect adjustment to opening retained earnings. While clients, customers and others, lost revenues, additional costs (including credit, remediation and other costs), regulatory penalties and inquiries, legal exposure and other financial losses;
the guidance will replace most existing revenue recognition guidancepotential impact of incorrect assumptions or estimates in GAAP,Citi’s financial statements or the ASU is not applicableimpact of ongoing changes to financial instrumentsaccounting and therefore, will notreporting standards or interpretations, such as the FASB’s 2020 accounting standard on credit losses, on how Citi records and reports its financial condition and results of operations;
the potential impact a majorityto Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management process, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, require refinement, modification or enhancement or any approval is withdrawn by Citi’s U.S. banking regulators;
the Company’s revenue, including net interest income.
While in scopepotential impact to Citi of the new guidance, the Company does not expect a material changeongoing implementation and interpretation of regulatory changes and requirements in the timing or measurement of revenues related to deposit fees.U.S. and globally, such as on 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 recorded 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 andcompliance
 
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 the guidance will have on other revenue streams within its scope,risks and costs, including the presentation of certain contract expenses,reputational and legal risks as well as changes in disclosures required by remediation and other financial costs, such as penalties and fines; and
the new guidance.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 focus on conduct risk and the severity of the remedies sought and potential collateral consequences to Citi arising from such outcomes.

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











































































This page intentionally left blank.


FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income (Unaudited)—
For the Three Months Ended March 31, 2018 and 2017
82
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three Months Ended March 31, 2018 and 2017
83
Consolidated Balance Sheet—March 31, 2018 (Unaudited) and December 31, 2017
84
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three Months Ended March 31, 2018 and 2017
86
Consolidated Statement of Cash Flows (Unaudited)—
For the Three Months Ended March 31, 2018 and 2017
87

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
Note 1—Basis of Presentation and Accounting Changes
89
Note 2—Discontinued Operations and Significant Disposals
92
Note 3—Business Segments
93
Note 4—Interest Revenue and Expense
94
Note 5—Commissions and Fees; Administration and Other
                 Fiduciary Fees
95
Note 6—Principal Transactions
98
Note 7—Incentive Plans
99
Note 8—Retirement Benefits
99
Note 9—Earnings per Share
103
Note 10—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
104
Note 11—Brokerage Receivables and Brokerage Payables
107
Note 12—Investments
108


Note 13—Loans
120
Note 14—Allowance for Credit Losses
131
Note 15—Goodwill and Intangible Assets
133
Note 16—Debt
135
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
136
Note 18—Securitizations and Variable Interest Entities
139
Note 19—Derivatives Activities
147
Note 20—Fair Value Measurement
158
Note 21—Fair Value Elections
173
Note 22—Guarantees and Commitments
177
Note 23—Contingencies
183
Note 24—Condensed Consolidating Financial Statements
185




CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED)Citigroup Inc. and Subsidiaries
   
 Three Months Ended March 31,
In millions of dollars, except per share amounts20182017
Revenues  
Interest revenue$16,332
$14,521
Interest expense5,160
3,566
Net interest revenue$11,172
$10,955
Commissions and fees$3,030
$3,055
Principal transactions3,289
3,094
Administration and other fiduciary fees905
834
Realized gains on sales of investments, net170
192
Impairment losses on investments  
Gross impairment losses(28)(12)
Less: Impairments recognized in AOCI—
—
Net impairment losses recognized in earnings$(28)$(12)
Other revenue$334
$248
Total non-interest revenues$7,700
$7,411
Total revenues, net of interest expense$18,872
$18,366
Provisions for credit losses and for benefits and claims  
Provision for loan losses$1,803
$1,675
Policyholder benefits and claims26
30
Release for unfunded lending commitments28
(43)
Total provisions for credit losses and for benefits and claims$1,857
$1,662
Operating expenses  
Compensation and benefits$5,807
$5,534
Premises and equipment593
620
Technology/communication1,758
1,663
Advertising and marketing381
373
Other operating2,386
2,533
Total operating expenses$10,925
$10,723
Income from continuing operations before income taxes$6,090
$5,981
Provision for income taxes1,441
1,863
Income from continuing operations$4,649
$4,118
Discontinued operations  
Loss from discontinued operations$(7)$(28)
Benefit for income taxes—
(10)
Loss from discontinued operations, net of taxes$(7)$(18)
Net income before attribution of noncontrolling interests$4,642
$4,100
Noncontrolling interests22
10
Citigroup’s net income$4,620
$4,090
Basic earnings per share(1)
  
Income from continuing operations$1.68
$1.36
Income (loss) from discontinued operations, net of taxes—
(0.01)
Net income$1.68
$1.35
Weighted average common shares outstanding2,561.6
2,765.3


Diluted earnings per share(1)
  
Income from continuing operations$1.68
$1.36
Income (loss) from discontinued operations, net of taxes—
(0.01)
Net income$1.68
$1.35
Adjusted weighted average common shares outstanding2,563.0
2,765.5
(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 INCOMECitigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended March 31,
In millions of dollars20182017
Citigroup’s net income$4,620
$4,090
Add: Citigroup's other comprehensive income   
Net change in unrealized gains and losses on investment securities,
  net of taxes(1)(2)
$(1,058)$220
Net change in debt valuation adjustment (DVA), net of taxes(1)
128
(60)
Net change in cash flow hedges, net of taxes(222)(2)
Benefit plans liability adjustment, net of taxes88
(12)
Net change in foreign currency translation adjustment, net of taxes and hedges1,120
1,318
Net change in excluded component of fair value hedges, net of taxes

(4)—
Citigroup’s total other comprehensive income$52
$1,464
Citigroup’s total comprehensive income$4,672
$5,554
Add: Other comprehensive income attributable to noncontrolling interests$14
$31
Add: Net income attributable to noncontrolling interests22
10
Total comprehensive income$4,708
$5,595
(1)See Note 1 to the Consolidated Financial Statements.
(2)For the three months ended March 31, 2018, amount represents the net change in unrealized gains and losses on available-for-sale (AFS) debt securities. Effective January 1, 2018, the AFS category is eliminated for equity securities under ASU 2016-01.

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



CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
 March 31, 
 2018December 31,
In millions of dollars(Unaudited)2017
Assets 
 
Cash and due from banks (including segregated cash and other deposits)$21,850
$23,775
Deposits with banks180,854
156,741
Federal funds sold and securities borrowed or purchased under agreements to resell (including $161,537 and $132,949 as of March 31, 2018 and December 31, 2017, respectively, at fair value)257,887
232,478
Brokerage receivables46,572
38,384
Trading account assets (including $107,399 and $99,460 pledged to creditors at March 31, 2018 and December 31, 2017, respectively)268,808
252,790
Investments:  
  Available-for-sale debt securities (including $14,312 and $9,493 pledged to creditors as of March 31, 2018 and December 31, 2017, respectively)291,523
290,725
Held-to-maturity debt securities (including $1,063 and $435 pledged to creditors as of March 31, 2018 and December 31, 2017, respectively)52,492
53,320
Equity securities (including $1,569 and $1,395 at fair value as of March 31, 2018 and December 31, 2017, respectively, of which $189 was available for sale as of December 31, 2017)7,956
8,245
Total investments$351,971
$352,290
Loans: 
 
Consumer (including $23 and $25 as of March 31, 2018 and December 31, 2017, respectively, at fair value)325,084
333,656
Corporate (including $4,513 and $4,349 as of March 31, 2018 and December 31, 2017, respectively, at fair value)347,854
333,378
Loans, net of unearned income$672,938
$667,034
Allowance for loan losses(12,354)(12,355)
Total loans, net$660,584
$654,679
Goodwill22,659
22,256
Intangible assets (other than MSRs)4,450
4,588
Mortgage servicing rights (MSRs)587
558
Other assets (including $20,443 and $18,559 as of March 31, 2018 and December 31, 2017, respectively, at fair value)105,882
103,926
Total assets$1,922,104
$1,842,465

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
 March 31, 
 2018December 31,
In millions of dollars(Unaudited)2017
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
Cash and due from banks$34
$52
Trading account assets1,582
1,129
Investments2,492
2,498
Loans, net of unearned income 
 
Consumer50,256
54,656
Corporate19,516
19,835
Loans, net of unearned income$69,772
$74,491
Allowance for loan losses(1,923)(1,930)
Total loans, net$67,849
$72,561
Other assets159
154
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$72,116
$76,394
Statement continues on the next page.


CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
 March 31, 
 2018December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2017
Liabilities 
 
Non-interest-bearing deposits in U.S. offices$125,332
$126,880
Interest-bearing deposits in U.S. offices (including $300 and $303 as of March 31, 2018 and December 31, 2017, respectively, at fair value)327,872
318,613
Non-interest-bearing deposits in offices outside the U.S.90,477
87,440
Interest-bearing deposits in offices outside the U.S. (including $1,386 and $1,162 as of March 31, 2018 and December 31, 2017, respectively, at fair value)457,538
426,889
Total deposits$1,001,219
$959,822
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $45,840 and $40,638 as of March 31, 2018 and December 31, 2017, respectively, at fair value)171,759
156,277
Brokerage payables69,685
61,342
Trading account liabilities143,961
125,170
Short-term borrowings (including $4,467 and $4,627 as of March 31, 2018 and December 31, 2017, respectively, at fair value)36,094
44,452
Long-term debt (including $33,571 and $31,392 as of March 31, 2018 and December 31, 2017, respectively, at fair value)237,938
236,709
Other liabilities (including $15,552 and $13,961 as of March 31, 2018 and December 31, 2017, respectively, at fair value)58,582
57,021
Total liabilities$1,719,238
$1,640,793
Stockholders’ equity 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2018—766,250 and as of December 31, 2017—770,120, at aggregate liquidation value
$19,156
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2018—3,099,557,871 and as of December 31, 2017—3,099,523,273
31
31
Additional paid-in capital107,599
108,008
Retained earnings141,863
138,425
Treasury stock, at cost: March 31, 2018—549,624,378 shares and December 31, 2017—529,614,728 shares
(32,115)(30,309)
Accumulated other comprehensive income (loss) (AOCI)(34,619)(34,668)
Total Citigroup stockholders’ equity$201,915
$200,740
Noncontrolling interest951
932
Total equity$202,866
$201,672
Total liabilities and equity$1,922,104
$1,842,465

The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
 March 31, 
 2018December 31,
In millions of dollars(Unaudited)2017
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
  do not have recourse to the general credit of Citigroup
 
 
Short-term borrowings$10,242
$10,142
Long-term debt30,406
30,492
Other liabilities517
611
Total liabilities of consolidated VIEs for which creditors or beneficial interest
  holders do not have recourse to the general credit of Citigroup
$41,165
$41,245
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.


CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITYCitigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended March 31,
In millions of dollars20182017
Preferred stock at aggregate liquidation value 
 
Balance, beginning of period$19,253
$19,253
Redemption of preferred stock(97)—
Balance, end of period$19,156
$19,253
Common stock and additional paid-in capital 
 
Balance, beginning of period$108,039
$108,073
Employee benefit plans(405)(426)
Preferred stock issuance expense—
—
Other(4)(3)
Balance, end of period$107,630
$107,644
Retained earnings 
 
Balance, beginning of period$138,425
$146,477
Adjustment to opening balance, net of taxes(1)
(84)(660)
Adjusted balance, beginning of period$138,341
$145,817
Citigroup’s net income4,620
4,090
Common dividends(2)
(826)(445)
Preferred dividends(272)(301)
Other(3)
—
(90)
Balance, end of period$141,863
$149,071
Treasury stock, at cost 
 
Balance, beginning of period$(30,309)$(16,302)
Employee benefit plans(4)
469
507
Treasury stock acquired(5)
(2,275)(1,784)
Balance, end of period$(32,115)$(17,579)
Citigroup’s accumulated other comprehensive income (loss) 
 
Balance, beginning of period$(34,668)$(32,381)
Adjustment to opening balance, net of taxes(1)
(3)504
Adjusted balance, beginning of period$(34,671)$(31,877)
Citigroup’s total other comprehensive income (loss)52
1,464
Balance, end of period$(34,619)$(30,413)
Total Citigroup common stockholders’ equity$182,759
$208,723
Total Citigroup stockholders’ equity$201,915
$227,976
Noncontrolling interests 
 
Balance, beginning of period$932
$1,023
Transactions between Citigroup and the noncontrolling-interest shareholders(15)(1)
Net income attributable to noncontrolling-interest shareholders22
10
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
14
31
Other(2)(42)
Net change in noncontrolling interests$19
$(2)
Balance, end of period$951
$1,021
Total equity$202,866
$228,997

(1)See Note 1 to the Consolidated Financial Statements for additional details.
(2)Common dividends declared were $0.32 per share in the first quarter of 2018 and $0.16 per share in the first quarter of 2017.
(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 three months ended March 31, 2018 and 2017, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.

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


CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended March 31,
In millions of dollars20182017
Cash flows from operating activities of continuing operations 
 
Net income before attribution of noncontrolling interests$4,642
$4,100
Net income attributable to noncontrolling interests22
10
Citigroup’s net income$4,620
$4,090
Loss from discontinued operations, net of taxes(7)(18)
Income from continuing operations—excluding noncontrolling interests$4,627
$4,108
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
Net gains on significant disposals(1)
—
(19)
Depreciation and amortization926
896
Provision for loan losses1,803
1,675
Realized gains from sales of investments(170)(192)
Net impairment losses on investments, goodwill and intangible assets28
40
Change in trading account assets(16,054)30
Change in trading account liabilities18,791
4,457
Change in brokerage receivables net of brokerage payables155
(5,498)
Change in loans HFS1,627
1,949
Change in other assets(3,503)(1,926)
Change in other liabilities1,561
(5,117)
Other, net(2,835)(3,455)
Total adjustments$2,329
$(7,160)
Net cash provided by (used in) operating activities of continuing operations$6,956
$(3,052)
Cash flows from investing activities of continuing operations 
 
   Change in federal funds sold and securities borrowed or purchased under agreements to resell$(25,409)$(6,116)
   Change in loans(8,717)(7,953)
   Proceeds from sales and securitizations of loans1,654
3,191
   Purchases of investments(41,030)(41,584)
   Proceeds from sales of investments20,688
29,456
   Proceeds from maturities of investments21,509
24,006
   Proceeds from significant disposals(1)
—
2,732
   Capital expenditures on premises and equipment and capitalized software(969)(786)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
101
133
   Other, net49
46
Net cash provided by (used in) investing activities of continuing operations$(32,124)$3,125
Cash flows from financing activities of continuing operations 
 
   Dividends paid$(1,095)$(744)
   Redemption of preferred stock(97)—
   Treasury stock acquired(2,378)(1,858)
   Stock tendered for payment of withholding taxes(475)(397)
   Change in federal funds purchased and securities loaned or sold under agreements to repurchase15,482
6,409
   Issuance of long-term debt20,769
18,603
   Payments and redemptions of long-term debt(17,882)(18,885)
   Change in deposits41,397
20,584
   Change in short-term borrowings(8,358)(4,574)


CONSOLIDATED STATEMENT OF CASH FLOWS 
(UNAUDITED) (Continued)Three Months Ended March 31,
In millions of dollars20182017
Net cash provided by financing activities of continuing operations$47,363
$19,138
Effect of exchange rate changes on cash and due from banks$(7)$340
Change in cash and due from banks and deposits with banks(2)
$22,188
$19,551
Cash, due from banks and deposits with banks at beginning of period(2)
180,516
160,494
Cash, due from banks and deposits with banks at end of period(2)
$202,704
$180,045
Cash and due from banks$21,850
$22,272
Deposits with banks180,854
157,773
Cash, due from banks and deposits with banks at end of period$202,704
$180,045
Supplemental disclosure of cash flow information for continuing operations 
 
Cash paid during the period for income taxes$738
$913
Cash paid during the period for interest4,586
3,250
Non-cash investing activities 
 
Transfers to loans HFS from loans$900
$2,800
Transfers to OREO and other repossessed assets26
30

(1)    See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
(2) Includes the impact of ASU 2016-18, Restricted Cash. See Note 1 to the Consolidated Financial Statements.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND ACCOUNTING CHANGES

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 does not plan to early adopt the ASU. The Company is evaluating the effectestimates that the standard will have onupon adoption, its Consolidated Financial Statements, regulatory capitalBalance Sheet will have
an approximate $5 billion increase in assets and related disclosures andliabilities. Additionally, the impact is not expectedCompany estimates an approximate $200 million increase in retained earnings due to be material.

Income Tax Impactthe cumulative effect 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 effectiverecognizing previously deferred gains on January 1, 2018 with early adoption permitted. 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. sale/leaseback transactions.

Subsequent Measurement of Goodwill
In January 2017, the FASB issued ASU No. 2017-04, Intangibles—Goodwill and Other (Topic 350): Simplifying the Test for Goodwill Impairment. The ASU simplifies the subsequent measurement of goodwill impairment by eliminating the requirement to calculate the implied fair value of goodwill (i.e., the current Step 2 of the goodwill impairment test) to measure a goodwill impairment charge. Under the ASU, the impairment test is 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 iswill be effective for Citi as of January 1, 2020. Early2020, with early adoption is permitted for interim and annual goodwill impairment testing dates after January 1, 2017.permitted. The impact of the ASU will depend upon the performance of theCiti’s reporting units and the market conditions impacting the fair value of each reporting unit going forward.

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



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

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

Pursuant to Section 219 of the Iran Threat Reduction and Syria Human Rights Act of 2012, which added Section 13(r) to the Securities Exchange Act of 1934, as amended, Citi is required to disclose in its annual or quarterly reports, as applicable, whether it or any of its affiliates knowingly engaged in certain activities, transactions or dealings relating to Iran or with individuals or entities that are subject to sanctions under U.S. law. Disclosure is generally required even where the activities, transactions or dealings were conducted in compliance with applicable law. Citi had no reportable activities pursuant to Section 219 for the first quarter of 2018.







FORWARD-LOOKING STATEMENTS

Certain statements in this Form 10-Q, including but not limited to statements included within the Management’s Discussion and Analysis of Financial Condition and Results of Operations, are “forward-looking statements” within the meaning of the rules and regulations of the SEC. In addition, Citigroup also may make forward-looking statements in its other documents filed or furnished with the SEC, and its management may make forward-looking statements orally to analysts, investors, representatives of the media and others.
Generally, forward-looking statements are not based on historical facts but instead represent Citigroup’s and its management’s beliefs regarding future events. Such statements may be identified by words such as believe, expect, anticipate, intend, estimate, may increase, may fluctuate, target, illustrative, and similar expressions or future or conditional verbs such as will, should, would and could.
Such statements are based on management’s current expectations and are subject to risks, uncertainties and changes in circumstances. Actual results and capital and other financial conditions may differ materially from those included in these statements due to a variety of factors, including without limitation (i) the precautionary statements included within each individual business’s discussion and analysis of its results of operations above and in Citi’s 2017 Annual Report on Form 10-K; (ii) the factors listed and described under “Risk Factors” in Citi’s 2017 Annual Report on Form 10-K; and (iii) the risks and uncertainties summarized below:

the potential impact on Citi’s ability to return capital to common shareholders, consistent with its capital optimization efforts and targets, due to, among other things, Citi’s results of operations, Citi’s ability to effectively manage its level of risk weighted assets and GSIB surcharge, potential changes to the regulatory capital framework, the CCAR process and the results of regulatory stress tests or any changes to the stress testing and CCAR requirements or process, such as the proposed introduction of a firm-specific “stress capital buffer” (SCB), including as a result of any year-to-year variability resulting from the SCB and the impact on Citi’s estimated management buffer;
the ongoing regulatory and other uncertainties and changes faced by financial institutions, including Citi, in the U.S. and globally, including, among others, uncertainties and potential changes to various aspects of the regulatory capital framework, and the potential impact these uncertainties and changes could have on Citi’s businesses, results of operations, financial condition, strategy or organizational structure and compliance risks and costs;
Citi’s ability to utilize its remaining DTAs (including the foreign tax credit component of its DTAs) and thus reduce the negative impact of the DTAs on Citi’s regulatory capital, including as a result of its ability to generate U.S. taxable income and by the provisions of and guidance issued in connection with Tax Reform;
the potential impact to Citi if its interpretation or application of the complex 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 and efficiency initiatives, as part of its operational and financial objectives and targets, including as a result of factors that Citi cannot control;
the potential impact from declining sales and revenues or other difficulties of any retailer or merchant with whom Citi has a co-branding or private label credit card relationship, termination of a particular relationship, or external factors affecting such retailer or merchant, including bankruptcies, liquidations, consolidations and other similar events, and the potential negative impact such an event could have on Citi, including as a result of loss of revenues, higher cost of credit, impairment of purchased credit card relationships and contract-related intangibles or other losses;
the potential impact to Citi’s businesses, credit costs, deposits, revenues or other results of operations and financial condition as a result of macroeconomic and geopolitical challenges and uncertainties and volatility, including the process for the U.K. to withdraw from the European Union, governmental fiscal and monetary actions, or expected actions, such as changes in the federal funds rate and any balance sheet normalization program implemented by the Federal Reserve Board or other central banks, the further pursuit of protectionist trade or other related policies by the U.S. and/or other countries, or geopolitical disputes or other instabilities, including those in Asia, the Middle East or elsewhere;
the various risks faced by Citi as a result of its presence in the emerging markets, including, among others, sovereign volatility, political events, foreign exchange controls, limitations on foreign investment, sociopolitical instability (including from hyper-inflation), fraud, nationalization or loss of licenses, business restrictions, sanctions or asset freezes, potential criminal charges, closure of branches or subsidiaries and confiscation of assets as well as the increased compliance, regulatory and legal risks and costs;
Citi’s ability in its resolution plan submissions to address any deficiencies identified or future guidance provided by the Federal Reserve Board and FDIC;
the potential impact on Citi’s performance, including its competitive position and ability to effectively manage its businesses and continue to execute its strategies, if Citi is unable to hire and retain highly qualified employees for any reason;
Citi’s ability to effectively compete with U.S. and non-U.S. financial services companies and others;
the potential impact of concentrations of risk, such as credit and market risk arising from the size and volume of Citi’s transactions with counterparties in the public sector, including the U.S. government and its agencies, or in the financial services industry, on Citi’s results of operations;


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 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 impact to Citi from a disruption of its operational systems, including as a result of, among other things, human error, fraud or malice, accidental technological failure, electrical or telecommunication outages or failure of computer servers, or other similar damage to Citi’s property or assets, or failures by third parties with whom Citi does business, as well as disruptions in the operations of Citi’s clients, customers or other third parties;
the increasing risk of continually evolving, sophisticated cybersecurity risks faced by financial institutions, including Citi and third parties with whom it does business, and others (such as theft of funds or theft, loss, misuse or disclosure of confidential client, customer, corporate or network information or assets and other attempts by unauthorized parties to disrupt computer and network systems), and the potential impact from such risks, including, among others, reputational damage with clients, customers and others, lost revenues, additional costs (including credit, remediation and other costs), regulatory penalties and inquiries, legal exposure and other financial losses;
the potential impact of incorrect assumptions or estimates in Citi’s financial statements or the impact of ongoing changes to financial accounting and reporting standards or interpretations, such as the FASB’s 2020 accounting standard on credit losses, on how Citi records and reports its financial condition and results of operations;
the potential impact to Citi’s results of operations and/or regulatory capital and capital ratios if Citi’s risk management process, strategies or models, including those related to its ability to manage and aggregate data, are deficient or ineffective, require refinement, modification or enhancement or any approval is withdrawn by Citi’s U.S. banking regulators;
the potential impact to Citi of ongoing implementation and interpretation of 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; and
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 focus on conduct risk and the severity of the remedies sought and potential collateral consequences to Citi arising from such outcomes.

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











































































This page intentionally left blank.


FINANCIAL STATEMENTS AND NOTES TABLE OF CONTENTS
CONSOLIDATED FINANCIAL STATEMENTS
Consolidated Statement of Income (Unaudited)—
For the Three Months Ended March 31, 2018 and 2017
82
Consolidated Statement of Comprehensive Income (Unaudited)—For the Three Months Ended March 31, 2018 and 2017
83
Consolidated Balance Sheet—March 31, 2018 (Unaudited) and December 31, 2017
84
Consolidated Statement of Changes in Stockholders’ Equity (Unaudited)—For the Three Months Ended March 31, 2018 and 2017
86
Consolidated Statement of Cash Flows (Unaudited)—
For the Three Months Ended March 31, 2018 and 2017
87

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
Note 1—Basis of Presentation and Accounting Changes
89
Note 2—Discontinued Operations and Significant Disposals
92
Note 3—Business Segments
93
Note 4—Interest Revenue and Expense
94
Note 5—Commissions and Fees; Administration and Other
                 Fiduciary Fees
95
Note 6—Principal Transactions
98
Note 7—Incentive Plans
99
Note 8—Retirement Benefits
99
Note 9—Earnings per Share
103
Note 10—Federal Funds, Securities Borrowed, Loaned and
Subject to Repurchase Agreements
104
Note 11—Brokerage Receivables and Brokerage Payables
107
Note 12—Investments
108


Note 13—Loans
120
Note 14—Allowance for Credit Losses
131
Note 15—Goodwill and Intangible Assets
133
Note 16—Debt
135
Note 17—Changes in Accumulated Other Comprehensive
Income (Loss) (AOCI)
136
Note 18—Securitizations and Variable Interest Entities
139
Note 19—Derivatives Activities
147
Note 20—Fair Value Measurement
158
Note 21—Fair Value Elections
173
Note 22—Guarantees and Commitments
177
Note 23—Contingencies
183
Note 24—Condensed Consolidating Financial Statements
185




CONSOLIDATED FINANCIAL STATEMENTS
CONSOLIDATED STATEMENT OF INCOME (UNAUDITED)Citigroup Inc. and Subsidiaries
   
 Three Months Ended March 31,
In millions of dollars, except per share amounts20182017
Revenues  
Interest revenue$16,332
$14,521
Interest expense5,160
3,566
Net interest revenue$11,172
$10,955
Commissions and fees$3,030
$3,055
Principal transactions3,289
3,094
Administration and other fiduciary fees905
834
Realized gains on sales of investments, net170
192
Impairment losses on investments  
Gross impairment losses(28)(12)
Less: Impairments recognized in AOCI—
—
Net impairment losses recognized in earnings$(28)$(12)
Other revenue$334
$248
Total non-interest revenues$7,700
$7,411
Total revenues, net of interest expense$18,872
$18,366
Provisions for credit losses and for benefits and claims  
Provision for loan losses$1,803
$1,675
Policyholder benefits and claims26
30
Release for unfunded lending commitments28
(43)
Total provisions for credit losses and for benefits and claims$1,857
$1,662
Operating expenses  
Compensation and benefits$5,807
$5,534
Premises and equipment593
620
Technology/communication1,758
1,663
Advertising and marketing381
373
Other operating2,386
2,533
Total operating expenses$10,925
$10,723
Income from continuing operations before income taxes$6,090
$5,981
Provision for income taxes1,441
1,863
Income from continuing operations$4,649
$4,118
Discontinued operations  
Loss from discontinued operations$(7)$(28)
Benefit for income taxes—
(10)
Loss from discontinued operations, net of taxes$(7)$(18)
Net income before attribution of noncontrolling interests$4,642
$4,100
Noncontrolling interests22
10
Citigroup’s net income$4,620
$4,090
Basic earnings per share(1)
  
Income from continuing operations$1.68
$1.36
Income (loss) from discontinued operations, net of taxes—
(0.01)
Net income$1.68
$1.35
Weighted average common shares outstanding2,561.6
2,765.3


Diluted earnings per share(1)
  
Income from continuing operations$1.68
$1.36
Income (loss) from discontinued operations, net of taxes—
(0.01)
Net income$1.68
$1.35
Adjusted weighted average common shares outstanding2,563.0
2,765.5
(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 INCOMECitigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended March 31,
In millions of dollars20182017
Citigroup’s net income$4,620
$4,090
Add: Citigroup's other comprehensive income   
Net change in unrealized gains and losses on investment securities,
  net of taxes(1)(2)
$(1,058)$220
Net change in debt valuation adjustment (DVA), net of taxes(1)
128
(60)
Net change in cash flow hedges, net of taxes(222)(2)
Benefit plans liability adjustment, net of taxes88
(12)
Net change in foreign currency translation adjustment, net of taxes and hedges1,120
1,318
Net change in excluded component of fair value hedges, net of taxes

(4)—
Citigroup’s total other comprehensive income$52
$1,464
Citigroup’s total comprehensive income$4,672
$5,554
Add: Other comprehensive income attributable to noncontrolling interests$14
$31
Add: Net income attributable to noncontrolling interests22
10
Total comprehensive income$4,708
$5,595
(1)See Note 1 to the Consolidated Financial Statements.
(2)For the three months ended March 31, 2018, amount represents the net change in unrealized gains and losses on available-for-sale (AFS) debt securities. Effective January 1, 2018, the AFS category is eliminated for equity securities under ASU 2016-01.

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



CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
 March 31, 
 2018December 31,
In millions of dollars(Unaudited)2017
Assets 
 
Cash and due from banks (including segregated cash and other deposits)$21,850
$23,775
Deposits with banks180,854
156,741
Federal funds sold and securities borrowed or purchased under agreements to resell (including $161,537 and $132,949 as of March 31, 2018 and December 31, 2017, respectively, at fair value)257,887
232,478
Brokerage receivables46,572
38,384
Trading account assets (including $107,399 and $99,460 pledged to creditors at March 31, 2018 and December 31, 2017, respectively)268,808
252,790
Investments:  
  Available-for-sale debt securities (including $14,312 and $9,493 pledged to creditors as of March 31, 2018 and December 31, 2017, respectively)291,523
290,725
Held-to-maturity debt securities (including $1,063 and $435 pledged to creditors as of March 31, 2018 and December 31, 2017, respectively)52,492
53,320
Equity securities (including $1,569 and $1,395 at fair value as of March 31, 2018 and December 31, 2017, respectively, of which $189 was available for sale as of December 31, 2017)7,956
8,245
Total investments$351,971
$352,290
Loans: 
 
Consumer (including $23 and $25 as of March 31, 2018 and December 31, 2017, respectively, at fair value)325,084
333,656
Corporate (including $4,513 and $4,349 as of March 31, 2018 and December 31, 2017, respectively, at fair value)347,854
333,378
Loans, net of unearned income$672,938
$667,034
Allowance for loan losses(12,354)(12,355)
Total loans, net$660,584
$654,679
Goodwill22,659
22,256
Intangible assets (other than MSRs)4,450
4,588
Mortgage servicing rights (MSRs)587
558
Other assets (including $20,443 and $18,559 as of March 31, 2018 and December 31, 2017, respectively, at fair value)105,882
103,926
Total assets$1,922,104
$1,842,465

The following table presents certain assets of consolidated variable interest entities (VIEs), which are included in the Consolidated Balance Sheet above. The assets in the table below include those assets that can only be used to settle obligations of consolidated VIEs, presented on the following page, and are in excess of those obligations. Additionally, the assets in the table below include third-party assets of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation.
 March 31, 
 2018December 31,
In millions of dollars(Unaudited)2017
Assets of consolidated VIEs to be used to settle obligations of consolidated VIEs 
 
Cash and due from banks$34
$52
Trading account assets1,582
1,129
Investments2,492
2,498
Loans, net of unearned income 
 
Consumer50,256
54,656
Corporate19,516
19,835
Loans, net of unearned income$69,772
$74,491
Allowance for loan losses(1,923)(1,930)
Total loans, net$67,849
$72,561
Other assets159
154
Total assets of consolidated VIEs to be used to settle obligations of consolidated VIEs$72,116
$76,394
Statement continues on the next page.


CONSOLIDATED BALANCE SHEETCitigroup Inc. and Subsidiaries
(Continued)
 March 31, 
 2018December 31,
In millions of dollars, except shares and per share amounts(Unaudited)2017
Liabilities 
 
Non-interest-bearing deposits in U.S. offices$125,332
$126,880
Interest-bearing deposits in U.S. offices (including $300 and $303 as of March 31, 2018 and December 31, 2017, respectively, at fair value)327,872
318,613
Non-interest-bearing deposits in offices outside the U.S.90,477
87,440
Interest-bearing deposits in offices outside the U.S. (including $1,386 and $1,162 as of March 31, 2018 and December 31, 2017, respectively, at fair value)457,538
426,889
Total deposits$1,001,219
$959,822
Federal funds purchased and securities loaned or sold under agreements to repurchase (including $45,840 and $40,638 as of March 31, 2018 and December 31, 2017, respectively, at fair value)171,759
156,277
Brokerage payables69,685
61,342
Trading account liabilities143,961
125,170
Short-term borrowings (including $4,467 and $4,627 as of March 31, 2018 and December 31, 2017, respectively, at fair value)36,094
44,452
Long-term debt (including $33,571 and $31,392 as of March 31, 2018 and December 31, 2017, respectively, at fair value)237,938
236,709
Other liabilities (including $15,552 and $13,961 as of March 31, 2018 and December 31, 2017, respectively, at fair value)58,582
57,021
Total liabilities$1,719,238
$1,640,793
Stockholders’ equity 
 
Preferred stock ($1.00 par value; authorized shares: 30 million), issued shares: as of March 31, 2018—766,250 and as of December 31, 2017—770,120, at aggregate liquidation value
$19,156
$19,253
Common stock ($0.01 par value; authorized shares: 6 billion), issued shares: as of March 31, 2018—3,099,557,871 and as of December 31, 2017—3,099,523,273
31
31
Additional paid-in capital107,599
108,008
Retained earnings141,863
138,425
Treasury stock, at cost: March 31, 2018—549,624,378 shares and December 31, 2017—529,614,728 shares
(32,115)(30,309)
Accumulated other comprehensive income (loss) (AOCI)(34,619)(34,668)
Total Citigroup stockholders’ equity$201,915
$200,740
Noncontrolling interest951
932
Total equity$202,866
$201,672
Total liabilities and equity$1,922,104
$1,842,465

The following table presents certain liabilities of consolidated VIEs, which are included in the Consolidated Balance Sheet above. The liabilities in the table below include third-party liabilities of consolidated VIEs only and exclude intercompany balances that eliminate in consolidation. The liabilities also exclude amounts where creditors or beneficial interest holders have recourse to the general credit of Citigroup.
 March 31, 
 2018December 31,
In millions of dollars(Unaudited)2017
Liabilities of consolidated VIEs for which creditors or beneficial interest holders
  do not have recourse to the general credit of Citigroup
 
 
Short-term borrowings$10,242
$10,142
Long-term debt30,406
30,492
Other liabilities517
611
Total liabilities of consolidated VIEs for which creditors or beneficial interest
  holders do not have recourse to the general credit of Citigroup
$41,165
$41,245
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.


CONSOLIDATED STATEMENT OF CHANGES IN STOCKHOLDERS’ EQUITYCitigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended March 31,
In millions of dollars20182017
Preferred stock at aggregate liquidation value 
 
Balance, beginning of period$19,253
$19,253
Redemption of preferred stock(97)—
Balance, end of period$19,156
$19,253
Common stock and additional paid-in capital 
 
Balance, beginning of period$108,039
$108,073
Employee benefit plans(405)(426)
Preferred stock issuance expense—
—
Other(4)(3)
Balance, end of period$107,630
$107,644
Retained earnings 
 
Balance, beginning of period$138,425
$146,477
Adjustment to opening balance, net of taxes(1)
(84)(660)
Adjusted balance, beginning of period$138,341
$145,817
Citigroup’s net income4,620
4,090
Common dividends(2)
(826)(445)
Preferred dividends(272)(301)
Other(3)
—
(90)
Balance, end of period$141,863
$149,071
Treasury stock, at cost 
 
Balance, beginning of period$(30,309)$(16,302)
Employee benefit plans(4)
469
507
Treasury stock acquired(5)
(2,275)(1,784)
Balance, end of period$(32,115)$(17,579)
Citigroup’s accumulated other comprehensive income (loss) 
 
Balance, beginning of period$(34,668)$(32,381)
Adjustment to opening balance, net of taxes(1)
(3)504
Adjusted balance, beginning of period$(34,671)$(31,877)
Citigroup’s total other comprehensive income (loss)52
1,464
Balance, end of period$(34,619)$(30,413)
Total Citigroup common stockholders’ equity$182,759
$208,723
Total Citigroup stockholders’ equity$201,915
$227,976
Noncontrolling interests 
 
Balance, beginning of period$932
$1,023
Transactions between Citigroup and the noncontrolling-interest shareholders(15)(1)
Net income attributable to noncontrolling-interest shareholders22
10
Other comprehensive income (loss) attributable to noncontrolling-interest shareholders
14
31
Other(2)(42)
Net change in noncontrolling interests$19
$(2)
Balance, end of period$951
$1,021
Total equity$202,866
$228,997

(1)See Note 1 to the Consolidated Financial Statements for additional details.
(2)Common dividends declared were $0.32 per share in the first quarter of 2018 and $0.16 per share in the first quarter of 2017.
(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 three months ended March 31, 2018 and 2017, primarily consists of open market purchases under Citi’s Board of Directors-approved common stock repurchase program.

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


CONSOLIDATED STATEMENT OF CASH FLOWSCitigroup Inc. and Subsidiaries
(UNAUDITED)
 Three Months Ended March 31,
In millions of dollars20182017
Cash flows from operating activities of continuing operations 
 
Net income before attribution of noncontrolling interests$4,642
$4,100
Net income attributable to noncontrolling interests22
10
Citigroup’s net income$4,620
$4,090
Loss from discontinued operations, net of taxes(7)(18)
Income from continuing operations—excluding noncontrolling interests$4,627
$4,108
Adjustments to reconcile net income to net cash provided by operating activities of continuing operations 
 
Net gains on significant disposals(1)
—
(19)
Depreciation and amortization926
896
Provision for loan losses1,803
1,675
Realized gains from sales of investments(170)(192)
Net impairment losses on investments, goodwill and intangible assets28
40
Change in trading account assets(16,054)30
Change in trading account liabilities18,791
4,457
Change in brokerage receivables net of brokerage payables155
(5,498)
Change in loans HFS1,627
1,949
Change in other assets(3,503)(1,926)
Change in other liabilities1,561
(5,117)
Other, net(2,835)(3,455)
Total adjustments$2,329
$(7,160)
Net cash provided by (used in) operating activities of continuing operations$6,956
$(3,052)
Cash flows from investing activities of continuing operations 
 
   Change in federal funds sold and securities borrowed or purchased under agreements to resell$(25,409)$(6,116)
   Change in loans(8,717)(7,953)
   Proceeds from sales and securitizations of loans1,654
3,191
   Purchases of investments(41,030)(41,584)
   Proceeds from sales of investments20,688
29,456
   Proceeds from maturities of investments21,509
24,006
   Proceeds from significant disposals(1)
—
2,732
   Capital expenditures on premises and equipment and capitalized software(969)(786)
   Proceeds from sales of premises and equipment, subsidiaries and affiliates
      and repossessed assets
101
133
   Other, net49
46
Net cash provided by (used in) investing activities of continuing operations$(32,124)$3,125
Cash flows from financing activities of continuing operations 
 
   Dividends paid$(1,095)$(744)
   Redemption of preferred stock(97)—
   Treasury stock acquired(2,378)(1,858)
   Stock tendered for payment of withholding taxes(475)(397)
   Change in federal funds purchased and securities loaned or sold under agreements to repurchase15,482
6,409
   Issuance of long-term debt20,769
18,603
   Payments and redemptions of long-term debt(17,882)(18,885)
   Change in deposits41,397
20,584
   Change in short-term borrowings(8,358)(4,574)


CONSOLIDATED STATEMENT OF CASH FLOWS 
(UNAUDITED) (Continued)Three Months Ended March 31,
In millions of dollars20182017
Net cash provided by financing activities of continuing operations$47,363
$19,138
Effect of exchange rate changes on cash and due from banks$(7)$340
Change in cash and due from banks and deposits with banks(2)
$22,188
$19,551
Cash, due from banks and deposits with banks at beginning of period(2)
180,516
160,494
Cash, due from banks and deposits with banks at end of period(2)
$202,704
$180,045
Cash and due from banks$21,850
$22,272
Deposits with banks180,854
157,773
Cash, due from banks and deposits with banks at end of period$202,704
$180,045
Supplemental disclosure of cash flow information for continuing operations 
 
Cash paid during the period for income taxes$738
$913
Cash paid during the period for interest4,586
3,250
Non-cash investing activities 
 
Transfers to loans HFS from loans$900
$2,800
Transfers to OREO and other repossessed assets26
30

(1)    See Note 2 to the Consolidated Financial Statements for further information on significant disposals.
(2) Includes the impact of ASU 2016-18, Restricted Cash. See Note 1 to the Consolidated Financial Statements.
The Notes to the Consolidated Financial Statements are an integral part of these Consolidated Financial Statements.


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (UNAUDITED)
1. BASIS OF PRESENTATION AND ACCOUNTING CHANGES

Basis of Presentation
The accompanying unaudited Consolidated Financial Statements as of March 31, 2018 and for the three-month periods ended March 31, 2018 and 2017 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, 2017.
Certain financial information that is normally included in annual financial statements prepared in accordance with U.S. generally accepted accounting principles (GAAP), but is not required for interim reporting purposes, has been condensed or omitted.
Management must make estimates and assumptions that affect the Consolidated Financial Statements and the related footnote disclosures. While management uses its best judgment, actual results could differ from those estimates.
As noted above, the Notes to 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

Revenue Recognition
In May 2014, the Financial Accounting Standards Board (FASB) issued ASU 2014-09, Revenue from Contracts with Customers (Revenue Recognition), which outlines a single comprehensive model for entities to use in accounting for revenue arising from contracts with customers. The core principle of the revenue model is that an entity recognizes revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. The ASU defines the promised good or service as the performance obligation under the contract.
While the guidance replaces most existing revenue recognition guidance in GAAP, the ASU is not applicable to financial instruments and, therefore, does not impact a majority of the Company’s revenues, including net interest income, loan fees, gains on sales and mark-to-market accounting.
In accordance with the new revenue recognition standard, Citi has identified the specific performance obligation (promised services) associated with the contract with the customer and has determined when that specific
performance obligation has been satisfied, which may be at a point in time or over time depending on how the performance obligation is defined. The contracts with customers also contain the transaction price, which consists of fixed consideration and/or consideration that may vary (variable consideration), and is defined as the amount of consideration an entity expects to be entitled to when or as the performance obligation is satisfied, excluding amounts collected on behalf of third parties (including transaction taxes). The amounts recognized at the point in time the performance obligation is satisfied may differ from the ultimate transaction price associated with that performance obligation when a portion of it is based on variable consideration. For example some consideration is based on the client’s month-end balance or market values which are unknown at the time the contract is executed. The remaining transaction price amount, if any, will be recognized as the variable consideration becomes determinable. In certain transactions, the performance obligation is considered satisfied at a point in time in the future. In this instance, Citi defers revenue on the balance sheet that will only be recognized upon completion of the performance obligation.
The new revenue recognition standard further clarified the guidance related to reporting revenue gross as principal versus net as an agent. In many cases, Citi outsources a component of its performance obligations to third parties. The Company has determined that it acts as principal in the majority of these transactions and therefore presents the amounts paid to these third parties gross within operating expenses.
The Company has retrospectively adopted this standard as of January 1, 2018 and as a result was required to report amounts paid to third parties where Citi is principal to the contract within Operating expenses. The adoption resulted in an increase in both revenue and expenses of approximately $250 million for the three-month periods ended March 31, 2018 and March 31, 2017, respectively, while increasing approximately $1 billion for the year ended December 31, 2017 with similar amounts for prior periods. Prior to adoption, these expense amounts were reported as contra revenue primarily within Commissions and fees and Administration and other fiduciary fees revenue. Accordingly, prior periods have been reclassified to conform to the new presentation.
See Note 5 to the Consolidated Financial Statements for a description of the Company’s revenue recognition policies for Commissions and fees and Administration and other fiduciary fees.

Income Tax Impact of Intra-Entity Transfers of Assets
In October 2016, the FASB issued ASU No. 2016-16, Income Taxes—Intra-Entity Transfers of Assets Other Than Inventory, which requires an entity to recognize the income tax consequences of an intra-entity transfer of an asset other than inventory when the transfer occurs. The ASU was effective January 1, 2018 and was adopted as of that date. The impact of this standard was an increase of DTAs by


approximately $300 million, a decrease of retained earnings by approximately $80 million and a decrease of prepaid tax assets by approximately $380 million. 
Clarifying the Definition of a Business
In January 2017, the FASB issued ASU No. 2017-01, Business Combinations (Topic 805): Clarifying the Definition of a Business. The definition of a business directly and indirectly affects many areas of accounting (e.g., acquisitions, disposals, goodwill and consolidation). The ASU narrows the definition of a business by introducing a quantitative screen as the first step, such that if substantially all of the fair value of the gross assets acquired is concentrated in a single identifiable asset or a group of similar identifiable assets, 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 iswas effective for public entities, including Citi, as of January 1, 2018. The ASU will be applied prospectively,2018 with early adoption permitted.prospective application. The impact of the ASU will depend upon the acquisition and disposal activities of Citi. If fewer transactions qualify as a business, there could be less initial recognition of goodwill, but also less goodwill allocated to disposals.

PremiumsChanges in Accounting for Pension and Postretirement (Benefit) Expense
In March 2017, the FASB issued ASU No. 2017-07, Compensation—Retirement Benefits (Topic 715): Improving the Presentation of Net Periodic Pension Cost and Net Periodic Postretirement Benefit Cost,which changes the income statement presentation of net benefit expense and requires restating the Company’s financial statements for each of the earlier periods presented in Citi’s annual and interim financial statements. The change in presentation was effective for annual and interim periods starting January 1, 2018. The ASU requires that only the service cost component of net benefit expense be included in Compensation and benefits on the income statement.  The other components of net benefit expense will be required to be presented outside of Compensation and benefits and will be presented in Other operating expense.  Since both of these income statement line items are part of Operating expenses, total Operating expenses will not change, nor will there be any change in Net income. This change in presentation did not have a material effect on Compensation and benefits and Other operating expenses and is applied prospectively. The components of the net benefit expense are currently disclosed in Note 7 to the Consolidated Financial Statements.
 The new standard also changes the components of net benefit expense that are eligible for capitalization when employee costs are capitalized in connection with various activities, such as internally developed software, construction-in-progress, and loan origination costs. Prospectively from January 1, 2018, only the service cost component of net benefit expense may be capitalized.  Existing capitalized balances are not affected. This change in
amounts eligible for capitalization does not have a material effect on the Company’s Consolidated Financial Statements and related disclosures.

Hedging
In August 2017, the FASB issued ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities, which better aligns an entity’s risk management activities and financial reporting for hedging relationships through changes to the designation and measurement guidance for qualifying hedging relationships and the presentation of hedge results. The ASU requires the change in the fair value of the hedging instrument to be presented in the same income statement line as the hedged item and also requires expanded disclosures. Citi adopted this standard on January 1, 2018 and transferred approximately $4 billion of pre-payable mortgage backed securities and municipal bonds held-to-maturity (HTM) securities into available-for-sale (AFS) classification as permitted as a one-time transfer under the standard as these assets were deemed to be eligible to be hedged under the last of layer hedge strategy. The impact to opening retained earnings was immaterial. See Note 19 to the Consolidated Financial Statements for more information.

Recognition and Measurement of Financial Assets and Financial Liabilities
In January 2016, the FASB issued ASU No. 2016-01, Financial Instruments—Overall (Subtopic 825-10): Recognition and Measurement of Financial Assets and Financial Liabilities, which addresses certain aspects of recognition, measurement, presentation and disclosure of financial instruments. In February 2018, the FASB issued ASU No. 2018-03, Technical Corrections and Improvements to Financial Instruments—Overall (Subtopic 825-10), to clarify certain provisions in ASU 2016-01.
The ASUs require entities to present separately in 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 also requires 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 the AFS category for equity investments. However, Federal Reserve Bank and Federal Home Loan Bank stock, as well as certain exchange seats, will continue to be presented at cost. The ASUs also provide an instrument-by-instrument election to measure non-marketable equity investments using a measurement alternative. Under the measurement alternative, the investment is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer, less impairment (if any). Finally, the ASUs require that fair value disclosures for financial instruments not measured at fair value on the balance sheet be presented at their exit prices (e.g., held-for-investment loans).


Citi early adopted the provisions of ASU 2016-01
related to presentation 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 in Accumulated other comprehensive income (loss) (AOCI) effective January 1, 2016. Accordingly, since the first quarter of 2016, these amounts have been reflected as a component of AOCI, whereas these amounts were previously recognized in Citigroup’s revenues and net income. The impact of adopting this amendment resulted in a cumulative catch-up reclassification from retained earnings to AOCI of an accumulated after-tax loss of approximately $15 million at January 1, 2016. Financial statements for periods prior to 2016 were not subject to restatement under the provisions of this ASU. For additional information, see Notes 17, 20 and 21 to the Consolidated Financial Statements.
The other provisions of ASU 2016-01 are effective January 1, 2018. The provisions of ASU 2018-03 are effective July 1, 2018 for interim financial statements, but may be early adopted in any interim period starting January 1, 2018 as long as ASU 2016-01 is also adopted. Citi has adopted both ASU 2016-01 and ASU 2018-03 as of January 1, 2018. Accordingly, as of the first quarter of 2018, the changes to accounting for equity securities and fair value disclosures have been reflected in Citigroup’s financial statements. The impact of adopting the change to AFS equity securities resulted in a cumulative catch-up reclassification from AOCI to retained earnings of an accumulated after-tax gain of approximately $3 million at January 1, 2018. Citi elected the measurement alternative for all non-marketable equity investments that no longer qualify for cost measurement under the ASUs. This provision in the ASUs was adopted prospectively. Financial statements for periods prior to 2018 were not subject to restatement under the provisions of the ASUs. For additional information, see Notes 12, 17 and 20to the Consolidated Financial Statements.

Statement of Cash Flows
In November 2016, the FASB issued ASU No. 2016-18, Restricted Cash,which requires that companies present cash, cash equivalents and amounts generally described as restricted cash or restricted cash equivalents (restricted cash) when reconciling beginning-of-period and end-of-period totals on the Statement of Cash Flows. In connection with the adoption of the ASU, Citigroup also changed its definition of cash and cash equivalents to include all of Cash and due from banks and predominately all of Deposits with banks. The Company has retrospectively adopted this ASU as of January 1, 2018 and as a result Net cash provided by investing activities of continuing operations on the Statement of Cash Flows increased by $20.3 billion for the three months ended March 31, 2017.
Citigroup defines restricted cash (as cash subject to withdrawal restrictions) to include cash deposited with central banks that must be maintained to meet minimum regulatory requirements, and cash set aside for the benefit of customers or for other purposes such as compensating balance arrangements or debt retirement. Restricted cash
includes minimum reserve requirements with the Federal Reserve Bank and certain other central banks and cash segregated to satisfy rules regarding the protection of customer assets as required by Citigroup broker-dealers’ primary regulators, including the Securities and Exchange Commission, the Commodities Futures Trading Commission and the United Kingdom’s Prudential Regulation Authority. Cash and due from banks includes restricted cash of $84 million and $39 million at March 31, 2018 and December 31, 2017, respectively. Deposits with banks includes restricted cash of $29.0 billion and $36.7 billion at March 31, 2018 and December 31, 2017, respectively.
In August 2016, the FASB issued ASU No. 2016-15, Classification of Certain Cash Receipts and Cash Payments,which provides guidance on the classification and presentation of certain cash receipts and payments on the Statement of Cash Flows. The Company has retrospectively adopted this ASU as of January 1, 2018 which resulted in immaterial changes to Citi’s Consolidated Statement of Cash Flows.

Premium Amortization on Purchased Callable Debt Securities
In late March 2017, the FASB issued ASUAccounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20).: Premium Amortization on Purchased Callable Debt Securities The ASU changes, which amends the amortization period of amortization of premiums onfor certain purchased callable debt securities fromheld at a premium. The ASU requires entities to amortize premiums on debt securities by the fullfirst 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 the security to the earliest call date of thea security.  The ASU will not change the accretion of discounts. 
TheFor calendar-year-end entities, the ASU is effective for Citi 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 early adopted the ASU in the second quarter of 2017, with early adoption permitted.  This accounting change willan effective date of January 1, 2017.  Adoption of the ASU primarily affectaffected Citi’s AFS and HTM portfolios of available-for-sale and held-to-maturitycallable state and municipal debt securities. The Company is evaluating the effect that the standard will have on its Consolidated Financial Statements, but based on a preliminary analysis, it is expected to resultASU adoption resulted in a cumulative effect adjustment reducingnet 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 (primarily through a reclassification from AOCI) to reflect the shorter amortization period to the earliest call date for the incremental amortization of purchase premiums onand cumulative hedge adjustments generated under fair value hedges of these callable debt securities. Under the new guidance, interest revenue recorded on callable bonds subjectsecurities, offset by an increase to a premium will decrease before the call date because premiums will be amortized over a shorter time period.

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 resultsAOCI 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$504 million related to the timing and income statement line recognition of ineffectiveness and components excluded fromcumulative fair value hedge relationships and add incremental disclosures regarding hedging activities. 


adjustments reclassified to retained earnings for AFS debt securities.




2. DISCONTINUED OPERATIONS AND SIGNIFICANT DISPOSALS

Summary of Discontinued Operations
The following sales are reported as Discontinued operations within Corporate/Other.

Sale of Egg Banking plc Credit Card Business
Citi sold the Egg Banking plc credit card business in 2011. Residual costs from the disposal resulted in losses from Discontinued operations, net of taxes, of $18$7 million and $2$18 million for the three months ended March 31, 2018 and March 31, 2017, and 2016, respectively. All Discontinued operations results are recorded within Corporate/Other.

Combined Results for Discontinued Operations
The following summarizes financial information for allDiscontinued operations for which Citi continues to have minimal residual costs associated with the sales:
discontinued operations:
 Three months ended 
 March 31,
In millions of dollars20172016
Total revenues, net of interest expense$—
$—
Income (loss) from discontinued operations$(28)$(3)
Provision (benefit) for income taxes(10)(1)
Income (loss) from discontinued operations, net of taxes$(18)$(2)
 
Three Months Ended
March 31,
In millions of dollars20182017
Total revenues, net of interest expense$—
$—
Loss from discontinued operations$(7)$(28)
Benefit for income taxes—
(10)
Loss from discontinued operations, net of taxes$(7)$(18)

Cash flows for the Discontinueddiscontinued operations were not material for the periods presented.

Significant Disposals
The following sales completedThere were no new significant disposal transactions during 2017the three months ended March 31, 2018. For a description of the Company’s significant disposal transactions and 2016 were identified as significant disposals. The major classes of assets and liabilities derecognized fromfinancial impact, see Note 2 to the Consolidated Balance Sheet at closing and the income related to each business until the disposal date are presented below.Financial Statements in Citi’s 2017 Annual Report on Form 10-K.

Novation of the 80% Primerica Coinsurance Agreement
Effective January 1, 2016, Citi completed a novation (an arrangement that extinguishes Citi’s rights and obligations under a contract) of the Primerica 80% coinsurance agreement, which was part of Corporate/Other, to a third-party re-insurer. The novation resulted in revenues of $404 million recorded in Other revenue ($263 million after-tax) during the first quarter of 2016. Furthermore, the novation resulted in derecognition of $1.5 billion of available-for-sale securities and cash, $0.95 billion of deferred acquisition costs and $2.7 billion of insurance liabilities.

 

Exit of U.S. Mortgage Service Operations
As previously disclosed, Citigroup signed agreements during the first quarter of 2017 to effectively exit its 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, 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 recorded during the current period, income before taxes for the disposed operation was immaterial for the three months ended March 31, 2017 and 2016.

Sale of CitiFinancial Canada Consumer Finance Business
On March 31, 2017, Citi sold CitiFinancial Canada (CitiFinancial), which was part of Corporate/Other, including 220 retail branches and approximately 1,400 employees. As part of the sale, Citi derecognized total assets of approximately $1.9 billion, including $1.7 billion consumer loans (net of allowance), and total liabilities of approximately $1.5 billion related to intercompany borrowings, which were settled at closing of the transaction. Separately, during the first quarter of 2017, CitiFinancial settled $0.4 billion of debt issued through loan securitizations. The transaction generated a pretax gain on sale of $350 million recorded in Other revenue ($178 million after-tax).
Income before taxes, excluding the pretax gain on sale, was as follows:

Three months ended 
 March 31,
In millions of dollars20172016
Income before taxes$30
$21











3. BUSINESS SEGMENTS
Citigroup’s activities are conducted through the following business segments: Global Consumer Banking (GCB) and Institutional Clients Group (ICG) ICGbusiness segments.. In addition, Corporate/Other includes activities not assigned to a specific business segment, as well as certain North America and international loan portfolios, discontinued operations and other legacy assets.
The prior-period balances reflect reclassifications to conform the presentation for all periods to the current period’s presentation. Effective January 1, 2017,2018, financial data was reclassified to reflect:

the reportingadoption of ASU No. 2014-09, the remaining businesses and portfolios of assets of Revenue RecognitionCiti Holdings as part of Corporate/Other, which prioroccurred on January 1, 2018 on a retrospective basis. See “Accounting Changes” in Note 1 to the first quarter of 2017, was a separately reported business segment;Consolidated Financial Statements;
the re-attribution of certain treasury-related costs between Corporate/Other, and GCB and ICG;
the re-attribution of regional revenues within ICG;and
certain other immaterial reclassifications.

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

For additional information regarding Citigroup’s business segments, see Note 3 to the Consolidated Financial Statements in Citi’s 20162017 Annual Report on Form 10-K.
The following table presents certain information regarding the Company’s continuing operations by segment:



















Three months ended March 31, Three Months Ended March 31, 
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
Revenues,
net of interest expense(1)
Provision (benefits)
for income taxes
Income (loss) from
continuing operations(2)
Identifiable assets
In millions of dollars, except identifiable assets in billions201720162017201620172016March 31,
2017		December 31, 2016201820172018201720182017March 31,
2018		December 31, 2017
Global Consumer Banking$7,817
$7,714
$584
$634
$1,003
$1,194
$412
$412
$8,433
$7,846
$453
$582
$1,394
$998
$423
$428
Institutional Clients Group9,126
7,895
1,375
764
3,011
1,869
1,314
1,277
9,848
9,319
1,057
1,375
3,329
3,011
1,407
1,336
Corporate/Other1,177
1,946
(96)81
104
445
96
103
591
1,201
(69)(94)(74)109
92
78
Total$18,120
$17,555
$1,863
$1,479
$4,118
$3,508
$1,822
$1,792
$18,872
$18,366
$1,441
$1,863
$4,649
$4,118
$1,922
$1,842
(1)
Includes total revenues, net of interest expense (excluding Corporate/Other), in North America of $8.3$8.4 billion and $7.8$8.5 billion; in EMEA of $2.8$3.2 billion and $2.2$2.9 billion; in Latin America of $2.3$2.6 billion and $2.2$2.3 billion; and in Asia of $3.5$4.1 billion and $3.4$3.5 billion for the three months ended March 31, 20172018 and 2016,2017, respectively. These regional numbers exclude Corporate/Other, which largely operates within the U.S.
(2)
Includes pretax provisions for credit losses and for benefits and claims in the GCB results of $1.8$1.9 billion and $1.5$1.8 billion; in the ICG results of $(205)$(41) million and $390$(205) million; and in the Corporate/Other results of $52$(7) million and $170$52 million for the three months ended March 31, 20172018 and 2016,2017, respectively.




4.  INTEREST REVENUE AND EXPENSE
Interest revenue and Interest expense consisted of the following:
Three months ended 
 March 31,		Three Months Ended March 31,
In millions of dollars2017201620182017
Interest revenue  
Loan interest, including fees$9,947
$9,760
$10,892
$10,045
Deposits with banks295
219
432
295
Federal funds sold and securities borrowed or purchased under agreements to resell661
647
1,039
661
Investments, including dividends1,960
1,855
2,234
1,960
Trading account assets(1)
1,266
1,434
1,371
1,266
Other interest294
252
364
294
Total interest revenue$14,423
$14,167
$16,332
$14,521
Interest expense  
Deposits(2)
$1,415
$1,204
$1,997
$1,415
Federal funds purchased and securities loaned or sold under agreements to repurchase493
502
949
493
Trading account liabilities(1)
147
88
215
147
Short-term borrowings199
100
471
199
Long-term debt1,312
1,046
1,528
1,312
Total interest expense$3,566
$2,940
$5,160
$3,566
Net interest revenue$10,857
$11,227
$11,172
$10,955
Provision for loan losses1,675
1,886
1,803
1,675
Net interest revenue after provision for loan losses$9,182
$9,341
$9,369
$9,280
(1)
Interest expense on Trading account liabilities of ICG is reported as a reduction of interest revenue from Trading account assets.
(2)Includes deposit insurance fees and charges of $305$376 million and $235$305 million for the three months ended March 31, 20172018 and 2016,2017, respectively.





5.  COMMISSIONS AND FEES; ADMINISTRATION
AND OTHER FIDUCIARY FEES

The primary components of Citi’s Commissions and fees revenue are investment banking fees, trading-relatedbrokerage commissions, credit- and bank-card income and deposit-related fees.
Investment banking fees are substantially composed of underwriting and advisory revenues. Such fees are recognized at the point in time when Citigroup’s performance under the terms of a contractual arrangement is completed, which is typically at the closing of a transaction. Reimbursed expenses related to tradethis transactions are recorded as revenue and securities servicesare included within investment banking fees. In certain instances for advisory contracts, Citi will receive amounts in advance of the deal closing. In these instances, the amounts received will be recognized as a liability and not recognized in revenue until the transaction closes. The contract liability amount for the years presented was negligible. Out-of-pocket expenses associated with underwriting activity are deferred and recognized at the time the related revenue is recognized, while out-of-pocket expenses associated with advisory arrangements are expensed as incurred. In general, expenses incurred related to investment banking transactions, whether consummated or not, are recorded in ICG Other operating expenses. The Company has determined that it acts as principal in the majority of these transactions and credit cardtherefore presents expenses gross within Other operating expenses.
Brokerage commissions primarily include commissions and bank card fees. For additional information regarding
certain componentsfees from the following: executing transactions for clients on exchanges and over-the-counter markets; sales of mutual funds, and other annuity products; and assisting clients in clearing transactions, providing brokerage services and other such activities. Brokerage commissions are recognized in Commissions and fees revenue, seeat the point in time the associated service is fulfilled, generally on trade-execution date. Gains or losses, if any, on these transactions are included in Principal transactions (see Note 56 to the Consolidated Financial StatementsStatements). Sales of certain investment products include a portion of variable consideration associated with the underlying product. In these instances, a portion of the revenue associated with the sale of the product is not recognized until the variable consideration becomes fixed. The Company recognized $148 million of revenue related to such variable consideration in Citi’s 2016the first quarter of 2018, compared with $96 million in the first quarter of 2017. These amounts primarily relate to performance obligations satisfied in prior periods.
Credit- and bank-card income is primarily composed of interchange fees, which are earned by card issuers based on purchase sales, and certain card fees, including annual fees. Costs related to customer reward programs and certain payments to partners (primarily based on program sales, profitability and customer acquisitions) are recorded as a reduction of Credit and bank card income. Interchange revenues are recognized as earned on a daily basis when Citi's performance obligation to transmit funds to the payment networks has been satisfied. Annual Reportcard fees, net of origination costs, are deferred and amortized on Form 10-K.a straight-line basis over a 12-month period. Costs related to card reward programs are recognized when the rewards are earned by the cardholders. Payments to partners are recognized when incurred.
Deposit-related fees consist of service charges on deposit accounts and fees earned from performing cash management activities and other deposit account services. Such fees are recognized in the period in which the related service is provided.
Transactional service fees primarily consist of fees charged for processing services such as cash management, global payments, clearing, international funds transfer, and other trade services. Such fees are recognized as/when the associated service is satisfied, which normally occurs at the point in time the service is requested by the customer and provided by Citi.
Insurance distribution revenue consists of commissions earned from third-party insurance companies for marketing and selling insurance policies on behalf of such entities. Such commissions are recognized in Commissions and fees at the point in time the associated service is fulfilled, generally when the insurance policy is sold to the policyholder. Sales of certain insurance products include a portion of variable consideration associated with the underlying product. In these instances, a portion of the revenue associated with the sale of the policy is not recognized until the variable consideration becomes determinable. The Company recognized $103 million of revenue related to such variable consideration in the first quarter of 2018, compared with $120 million in the first quarter of 2017. These amounts primarily relate to performance obligations satisfied in prior periods.
Insurance premiums consist of premium income from insurance policies which Citi has underwritten and sold to policyholders.


The following table presentstables present Commissions and fees revenue:
 Three Months Ended March 31,
 2018
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$822
$—
$—
$822
Brokerage commissions566
248
—
814
Credit- and bank-card income   

     Interchange fees260
1,875
5
2,140
     Card-related loan fees14
155
6
175
     Card rewards and partner payments(124)(1,874)(5)(2,003)
Deposit-related fees(1)
236
183
1
420
Transactional service fees190
21
2
213
Corporate finance(2)
142
1
—
143
Insurance distribution revenue(3)
5
143
5
153
Insurance premiums(3)
—
33
(1)32
Loan servicing38
22
12
72
Other15
32
2
49
Total commissions and fees(4)
$2,164
$839
$27
$3,030

 Three months ended March 31,
In millions of dollars20172016
Investment banking$862
$574
Trading-related572
601
Trade and securities services390
406
Credit cards and bank cards311
271
Corporate finance(1)
169
123
Other consumer(2)
164
158
Checking-related120
116
Loan servicing86
96
Other85
118
Total commissions and fees$2,759
$2,463
 Three Months Ended March 31,
 2017
In millions of dollarsICGGCBCorporate/OtherTotal
Investment banking$904
$—
$—
$904
Brokerage commissions482
193
1
676
Credit- and bank-card income    
     Interchange fees222
1,703
40
1,965
     Card-related loan fees12
167
16
195
     Card rewards and partner payments(103)(1,685)(27)(1,815)
Deposit-related fees(1)
208
185
4
397
Transactional service fees174
27
24
225
Corporate finance(2)
184
1
—
185
Insurance distribution revenue(3)
2
144
25
171
Insurance premiums(3)
—
33
(1)32
Loan servicing35
26
31
92
Other(20)25
23
28
Total commissions and fees(4)
$2,100
$819
$136
$3,055
(1)Includes $32 million and $33 million of overdraft fees in the first quarter of 2018 and the first quarter of 2017, respectively. Overdraft fees are accounted for under ASC 310.
(2)Consists primarily of fees earned from structuring and underwriting loan syndications.syndications or related financing activity. This activity is accounted for under ASC 310.
(2)(3)Primarily consistsPreviously reported as insurance premiums on the Consolidated Statement of Income.
(4)
Commissions and fees includes $(1,545) million and $(1,278) million not accounted for under ASC 606, Revenue from Contracts with Customers, for the first quarters of 2018 and 2017, respectively. Amounts reported in Commissions and fees accounted for under other guidance primarily include card-related loan fees, for investment fund administration and management, third-party collections, commercial demand deposit accountscard reward programs and certain credit cardpartner payments, corporate finance fees, insurance premiums, and loan servicing fees.




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

 Three Months Ended March 31,
 2018
In millions of dollarsICGGCBCorp/OtherTotal
Custody fees$368
$47
$16
$431
Fiduciary fees167
147
7
321
Guarantee fees137
14
2
153
Total administration and other fiduciary fees(1)
$672
$208
$25
$905
 Three Months Ended March 31,
 2017
In millions of dollarsICGGCBCorp/OtherTotal
Custody fees$355
$38
$13
$406
Fiduciary fees141
133
11
285
Guarantee fees128
13
2
143
Total administration and other fiduciary fees(1)
$624
$184
$26
$834
(1)
Administration and other fiduciary fees includes $153 million and $143 million for the first quarters of 2018 and 2017, respectively, that are not accounted for under ASC 606, Revenue from Contracts with Customers. These amounts include guarantee fees.



6. PRINCIPAL TRANSACTIONS
Citi’sPrincipal transactions Principal transactionsrevenue consists of realized and unrealized gains and losses from trading activities. For additional information regarding PrincipalTrading activities include revenues from fixed income, equities, credit and commodities products and foreign exchange 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 seerelated to trading activities, which is an
integral part of trading activities’ profitability. See Note 64 to the Consolidated Financial Statements for information about net interest revenue related to trading activities. Principal transactions include CVA (credit valuation adjustments on derivatives) and FVA (funding valuation adjustments) on over-the-counter derivatives. These adjustments are discussed further in Citi’s 2016 Annual Report on Form 10-K.Note 20 to the Consolidated Financial Statements.
In certain transactions, Citi incurs fees and presents these fees paid to third parties in operating expenses.
The following table presents Principal transactions revenue:
revenue:







 Three Months Ended March 31,
In millions of dollars20182017
Global Consumer Banking(1)
$150
$155
Institutional Clients Group2,884
2,731
Corporate/Other(1)
255
208
Total Citigroup$3,289
$3,094
Interest rate risks(2)
$1,622
$1,746
Foreign exchange risks(3)
745
579
Equity risks(4)
566
212
Commodity and other risks(5)
92
153
Credit products and risks(6)
264
404
Total$3,289
$3,094
 Three months ended March 31,
In millions of dollars20172016
Global Consumer Banking(1)
$149
$143
Institutional Clients Group2,668
1,576
Corporate/Other (1)
205
121
Total Citigroup$3,022
$1,840
Interest rate risks(2)
$1,766
$807
Foreign exchange risks(3)
588
613
Equity risks(4)
188
50
Commodity and other risks(5)
90
144
Credit products and risks(6)
390
226
Total$3,022
$1,840
(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.
(3)Includes revenues from foreign exchange spot, forward, option and swap contracts, as well as foreign currency translation (FX translation) gains and losses.
(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.
(5)Primarily includes revenues from crude oil, refined oil products, natural gas and other commodities trades.
(6)Includes revenues from structured credit products.


7. INCENTIVE PLANS
For additional information on Citi’s incentive plans, see Note 7 to the Consolidated Financial Statements in Citi’s 20162017 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 20162017 Annual Report on Form 10-K.

Net (Benefit) Expense
The following table summarizes the components of net (benefit) expense recognized in the Consolidated Statement of Income for the Company’s pension and postretirement plans for Significant Plans and All Other Plans:
Three months ended March 31,Three Months Ended March 31,
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 dollars20172016
20172016
20172016
2017201620182017201820172018201720182017
Qualified plans 
 
  
 
  
 
  
 
Benefits earned during the period$1
$1
 $36
$38
 $—
$—
 $2
$3
$1
$1
$38
$36
$—
$—
$2
$2
Interest cost on benefit obligation132
141
 71
73
 6
8
 24
24
123
139
75
71
6
6
26
24
Expected return on plan assets(216)(218) (70)(72) (1)(2) (21)(21)(213)(216)(78)(70)(3)(1)(23)(21)
Amortization of unrecognized 
   
 
  
 
  
 
 
  
 
 
 
 
 
Prior service benefit—
—
 (1)—
 —
—
 (2)(3)—
—
(1)(1)—
—
(2)(2)
Net actuarial loss (gain)41
36
 16
19
 (1)—
 8
8
47
44
13
16
—
(1)7
8
Curtailment gains(1)
—
—
 —
(3) —
—
 —
—
Settlement loss(1)
—
—
 —
1
 —
—
 —
—
—
—
4
—
—
—
—
—
Net qualified plans (benefit) expense$(42)$(40)
$52
$56
 $4
$6
 $11
$11
Nonqualified plans expense10
10
 —
—
 —
—
 —
—
Total net (benefit) expense$(32)$(30) $52
$56
 $4
$6
 $11
$11
$(42)$(32)$51
$52
$3
$4
$10
$11


(1) (Gains) losses due to curtailment and settlement relate to repositioning and divestiture activities.
(1)Losses due to 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.
Three months ended March 31, 2017Three Months Ended March 31, 2018
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 
  
  
  
 
 
 
 
Projected benefit obligation at beginning of year$14,000
 $6,522
 $686
 $1,141
$14,040
$7,433
$699
$1,261
Plans measured annually(28) (1,784) —
 (303)(28)(1,987)—
(334)
Projected benefit obligation at beginning of year—Significant Plans$13,972
 $4,738
 $686
 $838
$14,012
$5,446
$699
$927
Benefits earned during the period1
 21
 —
 2
1
22
—
2
Interest cost on benefit obligation139
 60
 6
 20
123
63
6
23
Plan amendments—
 5
 —
 —
Actuarial loss72
 134
 3
 39
Benefits paid, net of participants’ contributions(187) (75) (16) (11)
Actuarial (gain) loss(495)(6)(21)5
Benefits paid, net of participants’ contributions and government subsidy(205)(68)(17)(12)
Foreign exchange impact and other—
 657
 —
 84
—
140
—
71
Projected benefit obligation at period end—Significant Plans$13,997
 $5,540

$679
 $972
$13,436
$5,597
$667
$1,016

Three months ended March 31, 2017Three Months Ended March 31, 2018
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$12,363
 $6,149
 $129
 $1,015
$12,725
$7,128
$262
$1,119
Plans measured annually—
 (1,167) —
 (11)—
(1,305)—
(10)
Plan assets at fair value at beginning of year—Significant Plans$12,363
 $4,982
 $129
 $1,004
$12,725
$5,823
$262
$1,109
Actual return on plan assets333
 179
 4
 36
(157)26
—
(14)
Company contributions, net of reimbursements13
 13
 12
 —
13
11
(4)—
Plan participants’ contributions—
 1
 —
 —
Benefits paid, net of government subsidy(187) (76) (16) (11)
Benefits paid, net of participants’ contributions and government subsidy

(205)(68)(17)(12)
Foreign exchange impact and other—
 786
 —
 99
—
146
—
84
Plan assets at fair value at period end—Significant Plans$12,522
 $5,885
 $129
 $1,128
$12,376
$5,938
$241
$1,167
       
Funded status of the Significant Plans          
Qualified plans(1)
$(778) $345
 $(550) $156
$(365)$341
$(426)$151
Nonqualified plans(697) —
 —
 —
(695)—
—
—
Funded status of the plans at period end—Significant Plans$(1,475) $345
 $(550) $156
$(1,060)$341
$(426)$151
       
Net amount recognized 
  
  
  
Net amount recognized at period end 
 
 
 
Benefit asset$—
 $801
 $—
 $156
$—
$829
$—
$151
Benefit liability(1,475) (456) (550) —
(1,060)(488)(426)—
Net amount recognized on the balance sheet—Significant Plans$(1,475) $345
 $(550) $156
$(1,060)$341
$(426)$151
       
Amounts recognized in AOCI
  
  
  
Amounts recognized in AOCI at period endAmounts recognized in AOCI at period end 
 
 
Prior service benefit$—
 $32
 $—
 $92
$—
$27
$—
$86
Net actuarial gain (loss)(6,795) (921) 104
 (372)
Net actuarial (loss) gain(6,644)(882)89
(364)
Net amount recognized in equity (pretax)—Significant Plans$(6,795) $(889) $104
 $(280)$(6,644)$(855)$89
$(278)
          
Accumulated benefit obligation at period end—Significant Plans$13,991
 $5,272
 $679
 $972
$13,430
$5,329
$667
$1,016
(1)The U.S. qualified pension plan is fully funded under specifiedpursuant to the Employee Retirement Income Security Act of 1974, as amended (ERISA), funding rules as of January 1, 20172018 and no minimum required funding is expected for 2017.2018.



The following table shows the change in AOCI related to the Company’s pension, postretirement and post employment plans:
In millions of dollarsThree months ended March 31, 2017 Year ended December 31, 2016Three Months Ended 
 March 31, 2018
For Year Ended
December 31, 2017
Beginning of period balance, net of tax(1)(2)
$(5,164) $(5,116)$(6,183)$(5,164)
Actuarial assumptions changes and plan experience(248) (854)516
(760)
Net asset gain due to difference between actual and expected returns253
 400
Net asset (loss) gain due to difference between actual and expected returns(451)625
Net amortization56
 232
58
229
Prior service (cost) credit(5) 28
Prior service cost—
(4)
Curtailment/settlement gain(3)
—
 17
4
17
Foreign exchange impact and other(58) 99
(36)(93)
Impact of Tax Reform(4)
—
(1,020)
Change in deferred taxes, net(10) 30
(3)(13)
Change, net of tax$(12) $(48)$88
$(1,019)
End of period balance, net of tax(1)(2)
$(5,176) $(5,164)$(6,095)$(6,183)
(1)See Note 17 to the Consolidated Financial Statements for further discussion of net AOCI balance.
(2)Includes net-of-tax amounts for certain profit sharing plans outside the U.S.
(3)Gains due to curtailment and settlement relate to repositioning and divestiture activities.
(4)In the fourth quarter of 2017, the Company adopted ASU 2018-02, which transferred these amounts from AOCI to Retained earnings. See Note 1 to the 2017 Consolidated Financial Statements.


Plan Assumptions
The discount rates utilized during the period in determining the pension and postretirement net (benefit) expense for the Significant Plans are as follows:
Net benefit (expense) assumed discount rates during the periodThree months ended 
Mar. 31, 2017Dec. 31, 2016Mar. 31, 2016
Net (benefit) expense assumed discount rates during the periodThree Months Ended
Mar. 31, 2018Dec. 31, 2017Mar. 31, 2017
U.S. plans  
Qualified pension4.10%3.55%4.40%3.60%3.75%4.10%
Nonqualified pension4.003.454.353.603.654.00
Postretirement3.903.304.203.503.553.90
Non-U.S. plans  
Pension0.60-11.000.20-11.550.75-13.200.6-10.200.65-10.350.60-11.00
Weighted average5.084.425.374.754.865.08
Postretirement9.658.258.609.558.959.65

The discount rates utilized at period-end in determining the pension and postretirement benefit obligations for the Significant Plans are as follows:
Plan obligations assumed discount rates at period endedMar. 31, 2018Dec. 31, 2017
U.S. plans  
Qualified pension3.95%3.60%
Nonqualified pension3.953.60
Postretirement3.903.50
Non-U.S. plans  
Pension0.75 -9.900.6-10.20
Weighted average4.884.75
Postretirement9.509.55
Plan obligations assumed discount rates at period endedMar. 31, 2017Dec. 31, 2016
U.S. plans  
Qualified pension4.05%4.10%
Nonqualified pension3.954.00
Postretirement3.853.90
Non-U.S. plans  
Pension0.55-10.450.60-11.00
Weighted average4.835.08
Postretirement9.259.65
 
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 March 31, 2017Three Months Ended March 31, 2018
In millions of dollarsOne-percentage-point increaseOne-percentage-point decreaseOne-percentage-point increaseOne-percentage-point decrease
Pension  
U.S. plans$7
$(11)$8
$(12)
Non-U.S. plans(5)7
(3)6
Postretirement  
U.S. plans$—
$—
—
(1)
Non-U.S. plans(2)2
(2)3






Contributions
For the U.S. pension plans, there were no required minimum cash contributions during the first three months of 2017.2018.

The following table summarizes the Company’s actual contributions for the three months ended March 31, 20172018 and 2016,2017, as well as estimated expected Company contributions for the remainder of 20172018 and the actual contributions made infor the second, third and fourth quartersremainder of 2016.

2017.
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 dollars20172016 20172016 20172016 2017201620182017201820172018201720182017
Company contributions(2) for the three months ended March 31
$13
$15
 $34
$32
 $12
$6
 $2
$2
$14
$13
$29
$34
$—
$12
$3
$2
Company contributions made or expected to be made during the remainder of the year43
541
 105
94
 —
—
 6
7
45
92
99
101
—
164
8
7

(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 following table summarizes the Company’s contributions for the defined contribution plans:
Three months ended 
 March 31,		Three Months Ended March 31,
In millions of dollars2017201620182017
U.S. plans$98
$96
$104
$98
Non-U.S. plans69
68
76
69


Post Employment Plans
The following table summarizes the components of net expense recognized in the Consolidated Statement of Income for the Company’s U.S. post employment plans:
 Three months ended 
 March 31,
In millions of dollars20172016
Service-related expense

  
Interest cost on benefit obligation

$—
$1
Amortization of unrecognized  
     Prior service benefit(8)(8)
     Net actuarial loss1
1
Total service-related benefit$(7)$(6)
Non-service-related expense$8
$8
Total net benefit expense$1
$2
 Three Months Ended March 31,
In millions of dollars20182017
Service-related expense

$—
$—
Interest cost on benefit obligation—
—
Amortization of unrecognized



     Prior service benefit(8)(8)
     Net actuarial loss1
1
Total service-related benefit$(7)$(7)
Non-service-related expense$6
$8
Total net (benefit) expense

$(1)$1




 






















9.     EARNINGS PER SHARE
The following table reconciles the income and share data used in the basic and diluted earnings per share (EPS) computations:
Three months ended 
 March 31,		Three Months Ended March 31,
In millions, except per-share amounts2017201620182017
Income from continuing operations before attribution of noncontrolling interests$4,118
$3,508
$4,649
$4,118
Less: Noncontrolling interests from continuing operations10
5
22
10
Net income from continuing operations (for EPS purposes)$4,108
$3,503
$4,627
$4,108
Income (loss) from discontinued operations, net of taxes(18)(2)(7)(18)
Citigroup's net income$4,090
$3,501
$4,620
$4,090
Less: Preferred dividends(1)
301
210
272
301
Net income available to common shareholders$3,789
$3,291
$4,348
$3,789
Less: Dividends and undistributed earnings allocated to employee restricted and deferred shares with
nonforfeitable rights to dividends, applicable to basic EPS		55
40
51
55
Net income allocated to common shareholders for basic EPS$3,734
$3,251
$4,297
$3,734
Net income allocated to common shareholders for diluted EPS3,734
3,251
4,297
3,734
Weighted-average common shares outstanding applicable to basic EPS2,765.3
2,943.0
2,561.6
2,765.3
Effect of dilutive securities(2)
  
Options(3)
0.2
0.1
0.1
0.2
Other employee plans1.3
—
Adjusted weighted-average common shares outstanding applicable to diluted EPS(4)
2,765.5
2,943.1
2,563.0
2,765.5
Basic earnings per share(5)
  
Income from continuing operations$1.36
$1.11
$1.68
$1.36
Discontinued operations(0.01)—
—
(0.01)
Net income$1.35
$1.10
$1.68
$1.35
Diluted earnings per share(5)
  
Income from continuing operations$1.36
$1.11
$1.68
$1.36
Discontinued operations(0.01)—
—
(0.01)
Net income$1.35
$1.10
$1.68
$1.35
(1)During the first quarter of 2017, Citi distributed $301 million in dividends on its outstanding preferred stock. As of March 31, 2017,2018, Citi estimates it will distribute preferred dividends of approximately $912$902 million during the remainder of 2017, in each case2018, assuming such dividends are declared by the Citi Board of Directors. During the first quarter of 2018, Citi redeemed all of its 3.8 million Series AA preferred shares for $96.8 million at par value. Citi redeemed its Series E preferred stock in April 2018.
(2)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 $105.71$104.67 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 months ended March 31, 20172018 and 20162017 because they were anti-dilutive.
(3)During the first quarters of 20172018 and 2016,2017, weighted-average options to purchase 0.90.5 million and 6.20.9 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 $201.01$149.41 and $69.88$201.01 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 20162017 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 dollarsMarch 31,
2017		December 31, 2016March 31,
2018		December 31, 2017
Federal funds sold$—
$—
$—
$—
Securities purchased under agreements to resell134,924
131,473
133,616
130,984
Deposits paid for securities borrowed108,005
105,340
124,271
101,494
Total(1)
$242,929
$236,813
$257,887
$232,478

Federal funds purchased and securities loaned or sold under agreements to repurchase, at their respective carrying values, consisted of the following:
In millions of dollarsMarch 31,
2017		December 31, 2016March 31,
2018		December 31, 2017
Federal funds purchased$133
$178
$325
$326
Securities sold under agreements to repurchase133,129
125,685
157,550
142,646
Deposits received for securities loaned14,968
15,958
13,884
13,305
Total(1)
$148,230
$141,821
$171,759
$156,277
(1)
The above tables do not include securities-for-securities lending transactions of $11.8$15.6 billion and $9.3$14.0 billion at March 31, 20172018 and December 31, 2016,2017, respectively, where the Company acts as lender and receives securities that can be sold or pledged as collateral. In these transactions, the Company recognizes the securities received at fair value within Other assets and the obligation to return those securities as a liability within Brokerage payables.
 

It is the Company’s policy to take possession of the underlying collateral, monitor its market value relative to the amounts due under the agreements and, when necessary, require prompt transfer of additional collateral in order to maintain contractual margin protection. For resale and repurchase agreements, when necessary, the Company posts additional collateral in order to maintain contractual margin protection.
A substantial portion of the resale and repurchase agreements is recorded at fair value, as described in Notes 20 and 21 to the Consolidated Financial Statements. The remaining portion is carried at the amount of cash initially advanced or received, plus accrued interest, as specified in the respective agreements.
A substantial portion of securities borrowing and lending agreements is recorded at the amount of cash advanced or received. The remaining portion is recorded at fair value as the Company elected the fair value option for certain securities borrowed and loaned portfolios, as described in Note 21 to the Consolidated Financial Statements. With respect to securities loaned, the Company receives cash collateral in an amount generally in excess of the market value of the securities loaned. The Company monitors the market value of securities borrowed and securities loaned on a daily basis and obtains or posts additional collateral in order to maintain contractual margin protection.
The following tables present the gross and net resale and repurchase agreements and securities borrowing and lending
agreements and the related offsetting amount permitted under ASC-210-20-45. The tables also include amounts related to financial instruments that are not permitted to be offset under ASC-210-20-45, but would be eligible for offsetting to the extent that an event of default occurred and a legal opinion supporting enforceability of the offsetting rights has been obtained. Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.
As of March 31, 2017As of March 31, 2018
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities purchased under agreements to resell$185,844
$50,920
$134,924
$102,227
$32,697
$220,159
$86,543
$133,616
$101,046
$32,570
Deposits paid for securities borrowed108,005
—
108,005
20,622
87,383
124,271
—
124,271
24,560
99,711
Total$293,849
$50,920
$242,929
$122,849
$120,080
$344,430
$86,543
$257,887
$125,606
$132,281



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$184,049
$50,920
$133,129
$66,956
$66,173
$244,093
$86,543
$157,550
$79,626
$77,924
Deposits received for securities loaned14,968
—
14,968
3,447
11,521
13,884
—
13,884
4,528
9,356
Total$199,017
$50,920
$148,097
$70,403
$77,694
$257,977
$86,543
$171,434
$84,154
$87,280

As of December 31, 2016As of December 31, 2017
In millions of dollarsGross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
assets
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
assets included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities purchased under agreements to resell$176,284
$44,811
$131,473
$102,874
$28,599
$204,460
$73,476
$130,984
$103,022
$27,962
Deposits paid for securities borrowed105,340
—
105,340
16,200
89,140
101,494
—
101,494
22,271
79,223
Total$281,624
$44,811
$236,813
$119,074
$117,739
$305,954
$73,476
$232,478
$125,293
$107,185
In millions of dollarsGross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Gross amounts
of recognized
liabilities
Gross amounts
offset on the
Consolidated
Balance Sheet(1)
Net amounts of
liabilities included on
the Consolidated
Balance Sheet(2)
Amounts
not offset on the
Consolidated Balance
Sheet but eligible for
offsetting upon
counterparty default(3)
Net
amounts(4)
Securities sold under agreements to repurchase$170,496
$44,811
$125,685
$63,517
$62,168
$216,122
$73,476
$142,646
$73,716
$68,930
Deposits received for securities loaned15,958
—
15,958
3,529
12,429
13,305
—
13,305
4,079
9,226
Total$186,454
$44,811
$141,643
$67,046
$74,597
$229,427
$73,476
$155,951
$77,795
$78,156
(1)Includes financial instruments subject to enforceable master netting agreements that are permitted to be offset under ASC 210-20-45.
(2)The total of this column for each period excludes Federalfederal funds sold/purchased. See tables above.
(3)Includes financial instruments subject to enforceable master netting agreements that are not permitted to be offset under ASC 210-20-45, but would be eligible for offsetting to the extent that an event of default has occurred and a legal opinion supporting enforceability of the offsetting right has been obtained.
(4)Remaining exposures continue to be secured by financial collateral, but the Company may not have sought or been able to obtain a legal opinion evidencing enforceability of the offsetting right.

The following tables present the gross amount of liabilities associated with repurchase agreements and securities lending agreements, by remaining contractual maturity:

As of March 31, 2017As of March 31, 2018
In millions of dollarsOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotalOpen and overnightUp to 30 days31–90 daysGreater than 90 daysTotal
Securities sold under agreements to repurchase$82,260
$55,581
$20,438
$25,770
$184,049
$96,155
$77,118
$26,587
$44,233
$244,093
Deposits received for securities loaned9,997
1,274
2,062
1,635
14,968
9,369
397
2,197
1,921
13,884
Total$92,257
$56,855
$22,500
$27,405
$199,017
$105,524
$77,515
$28,784
$46,154
$257,977


As of December 31, 2016As of December 31, 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$79,740
$50,399
$19,396
$20,961
$170,496
$82,073
$68,372
$33,846
$31,831
$216,122
Deposits received for securities loaned10,813
2,169
2,044
932
15,958
9,946
266
1,912
1,181
13,305
Total$90,553
$52,568
$21,440
$21,893
$186,454
$92,019
$68,638
$35,758
$33,012
$229,427


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

As of March 31, 2017As of March 31, 2018
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotalRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$67,821
$78
$67,899
$72,336
$—
$72,336
State and municipal securities794
—
794
1,794
—
1,794
Foreign government securities65,167
1,145
66,312
99,870
226
100,096
Corporate bonds19,098
698
19,796
23,168
691
23,859
Equity securities10,756
12,593
23,349
21,659
12,310
33,969
Mortgage-backed securities10,428
—
10,428
15,930
—
15,930
Asset-backed securities6,016
—
6,016
6,593
—
6,593
Other3,969
454
4,423
2,743
657
3,400
Total$184,049
$14,968
$199,017
$244,093
$13,884
$257,977

As of December 31, 2016As of December 31, 2017
In millions of dollarsRepurchase agreementsSecurities lending agreementsTotalRepurchase agreementsSecurities lending agreementsTotal
U.S. Treasury and federal agency securities$66,263
$—
$66,263
$58,774
$—
$58,774
State and municipal securities334
—
334
1,605
—
1,605
Foreign government securities52,988
1,390
54,378
89,576
105
89,681
Corporate bonds17,164
630
17,794
20,194
657
20,851
Equity securities12,206
13,913
26,119
20,724
11,907
32,631
Mortgage-backed securities11,421
—
11,421
17,791
—
17,791
Asset-backed securities5,428
—
5,428
5,479
—
5,479
Other4,692
25
4,717
1,979
636
2,615
Total$170,496
$15,958
$186,454
$216,122
$13,305
$229,427



11. BROKERAGE RECEIVABLES AND BROKERAGE
PAYABLES

The Company has receivables and payables for financial instruments sold to and purchased from brokers, dealers and customers, which arise in the ordinary course of business.
For additional information on these receivables and payables, see Note 12 to the Consolidated Financial Statements in Citi’s 20162017 Annual Report on Form 10-K.
Brokerage receivables and Brokerage payables consisted of the following:
In millions of dollarsMarch 31,
2017		December 31, 2016March 31,
2018		December 31, 2017
Receivables from customers$12,452
$10,374
$19,186
$19,215
Receivables from brokers, dealers, and clearing organizations24,436
18,513
Receivables from brokers, dealers and clearing organizations27,386
19,169
Total brokerage receivables(1)
$36,888
$28,887
$46,572
$38,384
Payables to customers$37,769
$37,237
$43,122
$38,741
Payables to brokers, dealers, and clearing organizations21,886
19,915
Payables to brokers, dealers and clearing organizations26,563
22,601
Total brokerage payables(1)
$59,655
$57,152
$69,685
$61,342

(1)Includes brokerage receivables and payables recorded by Citi broker-dealer entities that are accounted for in accordance with the AICPA Accounting Guide for Brokers and Dealers in Securities as codified in ASC 940-320.


12.   INVESTMENTS

For additional information regarding Citi’s investment portfolios, including evaluating investments for other-than-temporary impairment (OTTI), see Note 13 to the Consolidated Financial Statements in Citi’s 20162017 Annual Report on Form 10-K.

Overview
Citi adopted ASU 2016-01 and ASU 2018-03 as of January 1, 2018. The ASUs require fair value changes on marketable equity securities to be recognized in earnings. The available-for-sale category is eliminated for equity securities. Also, non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless: (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. See Note 1 to the Consolidated Financial Statements for additional details.

















The following table presentstables present Citi’s investments by category:
 In millions of dollarsMarch 31,
2017		December 31,
2016
 
 Securities available-for-sale (AFS)$290,282
$299,424
 
Debt securities held-to-maturity (HTM)(1)
47,942
45,667
 
Non-marketable equity securities carried at fair value(2)
1,529
1,774
 
Non-marketable equity securities carried at cost(3)
6,080
6,439
 Total investments$345,833
$353,304
 In millions of dollarsMarch 31,
2018
 
 Debt securities available-for-sale (AFS)$291,523
 
Debt securities held-to-maturity (HTM)(1)
52,492
 
Marketable equity securities carried at fair value(2)
277
 
Non-marketable equity securities carried at fair value(2)
1,292
 
Non-marketable equity securities measured using the measurement alternative(3)


401
 
Non-marketable equity securities carried at cost(4)
5,986
 Total investments$351,971

 In millions of dollarsDecember 31,
2017
 
 Securities available-for-sale (AFS)$290,914
 
Debt securities held-to-maturity (HTM)(1)
53,320
 
Non-marketable equity securities carried at fair value(2)
1,206
 
Non-marketable equity securities carried at cost(4)
6,850
 Total investments$352,290
(1)Carried at adjusted amortized cost basis, net of any credit-related impairment.
(2)Unrealized gains and losses for non-marketable equity securities carried at fair value are recognized in earnings.
(3)Primarily consistsImpairment losses and adjustments to the carrying value as a result of shares issued by the Federal Reserve Bank, Federal Home Loan Banks and various clearing houses of which Citigroup is a member.observable price changes are recognized in earnings.
(4) Represents shares issued by the Federal Reserve Bank, Federal Home Loan Banks and various exchanges of which Citigroup is a member.

The following table presents interest and dividend income on investments:
Three months ended March 31,Three Months Ended March 31,
In millions of dollars2017201620182017
Taxable interest$1,760
$1,677
$2,042
$1,764
Interest exempt from U.S. federal income tax146
143
130
142
Dividend income54
35
62
54
Total interest and dividend income$1,960
$1,855
$2,234
$1,960



The following table presents realized gains and losses on the sales of investments, which excludes losses from other-than-temporary impairment (OTTI):OTTI losses:
Three months ended March 31,Three Months Ended March 31,
In millions of dollars2017201620182017
Gross realized investment gains$288
$379
$345
$288
Gross realized investment losses(96)(193)(175)(96)
Net realized gains on sale of investments$192
$186
$170
$192

 


Securities Available-for-Sale
The amortized cost and fair value of AFS securities were as follows:
March 31, 2017December 31, 2016March 31, 2018December 31, 2017
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
Securities AFS      
Mortgage-backed securities(1)
      
U.S. government-sponsored agency guaranteed$35,951
$241
$489
$35,703
$38,663
$248
$506
$38,405
$42,147
$134
$993
$41,288
$42,116
$125
$500
$41,741
Prime2
—
—
2
2
—
—
2
6
3
—
9
11
6
—
17
Alt-A38
9
—
47
43
7
—
50
9
88
—
97
26
90
—
116
Non-U.S. residential3,416
31
22
3,425
3,852
13
7
3,858
2,645
10
2
2,653
2,744
13
6
2,751
Commercial360
1
1
360
357
2
1
358
310
1
3
308
334
—
2
332
Total mortgage-backed securities$39,767
$282
$512
$39,537
$42,917
$270
$514
$42,673
$45,117
$236
$998
$44,355
$45,231
$234
$508
$44,957
U.S. Treasury and federal agency securities       
U.S. Treasury$107,543
$637
$396
$107,784
$113,606
$629
$452
$113,783
$108,335
$74
$1,611
$106,798
$108,344
$77
$971
$107,450
Agency obligations9,910
23
70
9,863
9,952
21
85
9,888
10,689
5
178
10,516
10,813
7
124
10,696
Total U.S. Treasury and federal agency securities$117,453
$660
$466
$117,647
$123,558
$650
$537
$123,671
$119,024
$79
$1,789
$117,314
$119,157
$84
$1,095
$118,146
State and municipal(2)$10,228
$81
$684
$9,625
$10,797
$80
$757
$10,120
$9,980
$126
$269
$9,837
$8,870
$140
$245
$8,765
Foreign government99,974
623
467
100,130
98,112
590
554
98,148
103,833
540
598
103,775
100,615
508
590
100,533
Corporate15,897
91
109
15,879
17,195
105
176
17,124
13,068
43
115
12,996
14,144
51
86
14,109
Asset-backed securities(1)
6,522
9
8
6,523
6,810
6
22
6,794
3,075
53
47
3,081
3,906
14
2
3,918
Other debt securities550
—
—
550
503
—
—
503
165
—
—
165
297
—
—
297
Total debt securities AFS$290,391
$1,746
$2,246
$289,891
$299,892
$1,701
$2,560
$299,033
$294,262
$1,077
$3,816
$291,523
$292,220
$1,031
$2,526
$290,725
Marketable equity securities AFS(3)$368
$28
$5
$391
$377
$20
$6
$391
$—
$—
$—
$—
$186
$4
$1
$189
Total securities AFS$290,759
$1,774
$2,251
$290,282
$300,269
$1,721
$2,566
$299,424
$294,262
$1,077
$3,816
$291,523
$292,406
$1,035
$2,527
$290,914
(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 18 to the Consolidated Financial Statements.










(2)
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.  For additional information, see Note 1 to the Consolidated Financial Statements.
(3)Citi adopted ASU 2016-01 and ASU 2018-03 as of January 1, 2018, resulting in a cumulative effect adjustment from AOCI to retained earnings for net unrealized gains on marketable equity securities AFS. The available for sale category is eliminated for equity securities effective January 1, 2018. See Note 1 to the Consolidated Financial Statements for additional details.


The following shows the fair value of AFS securities that have been in an unrealized loss 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
March 31, 2017   
March 31, 2018   
Debt Securities AFS(1)
   
Mortgage-backed securities   
U.S. government-sponsored agency guaranteed$32,313
$900
$1,873
$93
$34,186
$993
Non-U.S. residential891
2
—
—
891
2
Commercial241
2
41
1
282
3
Total mortgage-backed securities$33,445
$904
$1,914
$94
$35,359
$998
U.S. Treasury and federal agency securities   
U.S. Treasury$81,738
$1,417
$7,526
$194
$89,264
$1,611
Agency obligations7,964
144
1,567
34
9,531
178
Total U.S. Treasury and federal agency securities$89,702
$1,561
$9,093
$228
$98,795
$1,789
State and municipal$2,250
$35
$1,116
$234
$3,366
$269
Foreign government46,459
371
9,972
227
56,431
598
Corporate5,831
101
890
14
6,721
115
Asset-backed securities699
47
20
—
719
47
Other debt securities22
—
—
—
22
—
Total debt securities AFS$178,408
$3,019
$23,005
$797
$201,413
$3,816
December 31, 2017 
 
 
 
 
 
Securities AFS    
 
 
 
 
 
Mortgage-backed securities    
 
 
 
 
 
U.S. government-sponsored agency guaranteed$21,496
$423
$2,043
$66
$23,539
$489
$30,994
$438
$2,206
$62
$33,200
$500
Non-U.S. residential423
1
803
21
1,226
22
753
6
—
—
753
6
Commercial91
1
49
—
140
1
150
1
57
1
207
2
Total mortgage-backed securities$22,010
$425
$2,895
$87
$24,905
$512
$31,897
$445
$2,263
$63
$34,160
$508
U.S. Treasury and federal agency securities    
 
 
 
 
 
U.S. Treasury$38,221
$393
$955
$3
$39,176
$396
$79,050
$856
$7,404
$115
$86,454
$971
Agency obligations6,099
70
145
—
6,244
70
8,857
110
1,163
14
10,020
124
Total U.S. Treasury and federal agency securities$44,320
$463
$1,100
$3
$45,420
$466
$87,907
$966
$8,567
$129
$96,474
$1,095
State and municipal$1,039
$47
$2,883
$637
$3,922
$684
$1,009
$11
$1,155
$234
$2,164
$245
Foreign government33,770
173
11,624
294
45,394
467
53,206
356
9,051
234
62,257
590
Corporate6,278
93
881
16
7,159
109
6,737
74
859
12
7,596
86
Asset-backed securities221
—
1,369
8
1,590
8
449
1
25
1
474
2
Other debt securities70
—
—
—
70
—
—
—
—
—
—
—
Marketable equity securities AFS13
1
66
4
79
5
Marketable equity securities AFS(1)
11
1
—
—
11
1
Total securities AFS$107,721
$1,202
$20,818
$1,049
$128,539
$2,251
$181,216
$1,854
$21,920
$673
$203,136
$2,527
December 31, 2016 
 
 
 
 
 
Securities AFS 
 
 
 
 
 
Mortgage-backed securities 
 
 
 
 
 
U.S. government-sponsored agency guaranteed$23,534
$436
$2,236
$70
$25,770
$506
Prime1
—
—
—
1
—
Non-U.S. residential486
—
1,276
7
1,762
7
Commercial75
1
58
—
133
1
Total mortgage-backed securities$24,096
$437
$3,570
$77
$27,666
$514
U.S. Treasury and federal agency securities 
 
 
 
 
 
U.S. Treasury$44,342
$445
$1,335
$7
$45,677
$452
Agency obligations6,552
83
250
2
6,802
85
Total U.S. Treasury and federal agency securities$50,894
$528
$1,585
$9
$52,479
$537
State and municipal$1,616
$55
$3,116
$702
$4,732
$757
Foreign government38,226
243
8,973
311
47,199
554
Corporate7,011
129
1,877
47
8,888
176
Asset-backed securities411
—
3,213
22
3,624
22
Other debt securities5
—
—
—
5
—
Marketable equity securities AFS19
2
24
4
43
6
Total securities AFS$122,278
$1,394
$22,358
$1,172
$144,636
$2,566

(1)Citi adopted ASU 2016-01 and ASU 2018-03 as of January 1, 2018, resulting in a cumulative effect adjustment from AOCI to retained earnings for net unrealized gains on marketable equity securities AFS. The available for sale category is eliminated for equity securities effective January 1, 2018. See Note 1 to the Consolidated Financial Statements for additional details.



The following table presents the amortized cost and fair value of AFS debt securities by contractual maturity dates:
March 31, 2017December 31, 2016March 31, 2018December 31, 2017
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$127
$127
$132
$132
$92
$91
$45
$45
After 1 but within 5 years633
635
736
738
1,331
1,327
1,306
1,304
After 5 but within 10 years1,888
1,877
2,279
2,265
1,320
1,298
1,376
1,369
After 10 years(2)
37,119
36,898
39,770
39,538
42,374
41,639
42,504
42,239
Total$39,767
$39,537
$42,917
$42,673
$45,117
$44,355
$45,231
$44,957
U.S. Treasury and federal agency securities      
Due within 1 year$4,182
$4,161
$4,945
$4,945
$12,897
$12,906
$4,913
$4,907
After 1 but within 5 years101,314
101,367
101,369
101,323
104,061
102,375
111,236
110,238
After 5 but within 10 years11,920
12,082
17,153
17,314
2,066
2,033
3,008
3,001
After 10 years(2)
37
37
91
89
—
—
—
—
Total$117,453
$117,647
$123,558
$123,671
$119,024
$117,314
$119,157
$118,146
State and municipal      
Due within 1 year$2,057
$2,057
$2,093
$2,092
$1,874
$1,873
$1,792
$1,792
After 1 but within 5 years2,675
2,674
2,668
2,662
2,496
2,494
2,579
2,576
After 5 but within 10 years319
316
335
334
591
607
514
528
After 10 years(2)
5,177
4,578
5,701
5,032
5,019
4,863
3,985
3,869
Total$10,228
$9,625
$10,797
$10,120
$9,980
$9,837
$8,870
$8,765
Foreign government       
Due within 1 year$31,111
$31,140
$32,540
$32,547
$32,899
$32,909
$32,130
$32,100
After 1 but within 5 years53,827
53,747
51,008
50,881
55,910
55,571
53,034
53,165
After 5 but within 10 years12,402
12,478
12,388
12,440
12,454
12,639
12,949
12,680
After 10 years(2)
2,634
2,765
2,176
2,280
2,570
2,656
2,502
2,588
Total$99,974
$100,130
$98,112
$98,148
$103,833
$103,775
$100,615
$100,533
All other(3)
       
Due within 1 year$3,443
$3,243
$2,629
$2,628
$2,821
$2,818
$3,998
$3,991
After 1 but within 5 years10,306
10,526
12,339
12,334
9,147
9,092
9,047
9,027
After 5 but within 10 years6,250
6,242
6,566
6,528
2,905
2,907
3,415
3,431
After 10 years(2)
2,970
2,941
2,974
2,931
1,435
1,425
1,887
1,875
Total$22,969
$22,952
$24,508
$24,421
$16,308
$16,242
$18,347
$18,324
Total debt securities AFS$290,391
$289,891
$299,892
$299,033
$294,262
$291,523
$292,220
$290,725
(1)Includes mortgage-backed securities of U.S. government-sponsored agencies.
(2)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(3)Includes corporate, asset-backed and other debt securities.



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
March 31, 2017    
March 31, 2018March 31, 2018    
Debt securities held-to-maturity          
Mortgage-backed securities(3)
          
U.S. government agency guaranteed$23,998
$27
$24,025
$46
$(204)$23,867
$23,968
$(38)$23,930
$8
$(553)$23,385
Prime7
—
7
10
—
17
Alt-A303
(25)278
78
—
356
—
—
—
—
—
—
Non-U.S. residential1,828
(46)1,782
60
—
1,842
1,492
—
1,492
25
—
1,517
Commercial26
—
26
—
—
26
260
—
260
—
—
260
Total mortgage-backed securities$26,162
$(44)$26,118
$194
$(204)$26,108
$25,720
$(38)$25,682
$33
$(553)$25,162
State and municipal$9,530
$(468)$9,062
$163
$(224)$9,001
$7,686
$(33)$7,653
$185
$(132)7,706
Foreign government1,202
—
1,202
—
(21)1,181
1,354
—
1,354
3
(12)1,345
Asset-backed securities(3)
11,565
(5)11,560
63
(6)11,617
17,803
—
17,803
87
(3)17,887
Total debt securities held-to-maturity$48,459
$(517)$47,942
$420
$(455)$47,907
$52,563
$(71)$52,492
$308
$(700)$52,100
December 31, 2016  
 
 
 
 
December 31, 2017  
 
 
 
 
Debt securities held-to-maturity 
 
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities(3)
 
 
 
 
 
 
 
 
 
 
 
 
U.S. government agency guaranteed$22,462
$33
$22,495
$47
$(186)$22,356
$23,854
$26
$23,880
$40
$(157)$23,763
Prime31
(7)24
10
(1)33
Alt-A314
(27)287
69
(1)355
206
(65)141
57
—
198
Non-U.S. residential1,871
(47)1,824
49
—
1,873
1,887
(46)1,841
65
—
1,906
Commercial14
—
14
—
—
14
237
—
237
—
—
237
Total mortgage-backed securities$24,692
$(48)$24,644
$175
$(188)$24,631
$26,184
$(85)$26,099
$162
$(157)$26,104
State and municipal$9,025
$(442)$8,583
$129
$(238)$8,474
State and municipal (4)
$8,925
$(28)$8,897
$378
$(73)$9,202
Foreign government1,339
—
1,339
—
(26)1,313
740
—
740
—
(18)722
Asset-backed securities(3)
11,107
(6)11,101
41
(5)11,137
17,588
(4)17,584
162
(22)17,724
Total debt securities held-to-maturity(4)
$46,163
$(496)$45,667
$345
$(457)$45,555
Total debt securities held-to-maturity$53,437
$(117)$53,320
$702
$(270)$53,752
(1)
For debt 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 debt securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any other-than-temporary impairment recognized in earnings.
(2)HTM debt 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 debt 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 18 to the Consolidated Financial Statements.
(4)During
In the fourthsecond quarter of 2016, securities with2017, 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 total fair value of approximately $5.8 billion were transferred from AFS to HTM, composed of $5 billion of U.S. government agency mortgage-backed securities and $830 million of municipal securities. The transfer reflects the Company’s intent to hold these securities to maturity or to issuer call, in part, in ordercumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the impact of price volatility on AOCI and certain capital measures under Basel III. While these securities were transferred to HTM at fair value as of the transfer date, no subsequent changes in value may be recorded, other than in connection with the recognition of any subsequent other-than-temporary impairment and theincremental amortization of differences between the carrying values at the transfer datepurchase premiums and the par values of each security as an adjustment of yield over the remaining contractual life of each security. Any net unrealized holding losses within AOCI related to the respective securities at the date of transfer, inclusive of any cumulative fair value hedge adjustments will be amortized overon callable state and municipal debt securities.  For additional information, see Note 1 to the remaining contractual life of each security as an adjustment of yield in a manner consistent with the amortization of any premium or discount.Consolidated Financial Statements.











The table below shows the fair value of debt securities HTM that have been in an unrecognized loss 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
March 31, 2017     
March 31, 2018     
Debt securities held-to-maturity          
Mortgage-backed securities$3
$—
$18,784
$204
$18,787
$204
$6,889
$98
$15,108
$455
$21,997
$553
State and municipal2,005
52
1,199
172
3,204
224
1,528
21
758
111
2,286
132
Foreign government1,181
21
—
—
1,181
21
1,344
12
—
—
1,344
12
Asset-backed securities—
—
1,348
6
1,348
6
36
3
—
—
36
3
Total debt securities held-to-maturity$3,189
$73
$21,331
$382
$24,520
$455
$9,797
$134
$15,866
$566
$25,663
$700
December 31, 2016     
December 31, 2017     
Debt securities held-to-maturity          
Mortgage-backed securities$17
$—
$17,176
$188
$17,193
$188
$6,244
$50
$8,678
$107
$14,922
$157
State and municipal2,200
58
1,210
180
3,410
238
353
5
835
68
1,188
73
Foreign government1,313
26
—
—
1,313
26
723
18
—
—
723
18
Asset-backed securities2
—
2,503
5
2,505
5
71
3
134
19
205
22
Total debt securities held-to-maturity$3,532
$84
$20,889
$373
$24,421
$457
$7,391
$76
$9,647
$194
$17,038
$270
Note: Excluded from the gross unrecognized losses presented in the table above table are $(517)$(71) million and $(496)$(117) million of net unrealized losses recorded in AOCI as of March 31, 20172018 and December 31, 2016,2017, respectively, primarily related to the difference between the amortized cost and carrying value of HTM debt securities that were reclassified from AFS. Substantially all of these net unrecognized losses relate to securities that have been in a loss position for 12 months or longer at March 31, 20172018 and December 31, 2016.2017.


The following table presents the carrying value and fair value of HTM debt securities by contractual maturity dates:
March 31, 2017December 31, 2016March 31, 2018December 31, 2017
In millions of dollarsCarrying valueFair valueCarrying valueFair valueCarrying valueFair valueCarrying valueFair value
Mortgage-backed securities      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years755
758
760
766
131
130
720
720
After 5 but within 10 years53
54
54
55
166
165
148
149
After 10 years(1)
25,310
25,296
23,830
23,810
25,385
24,867
25,231
25,235
Total$26,118
$26,108
$24,644
$24,631
$25,682
$25,162
$26,099
$26,104
State and municipal      
Due within 1 year$358
$358
$406
$406
$234
$234
$407
$425
After 1 but within 5 years147
148
112
110
380
398
259
270
After 5 but within 10 years344
349
363
367
438
442
512
524
After 10 years(1)
8,213
8,146
7,702
7,591
6,601
6,632
7,719
7,983
Total$9,062
$9,001
$8,583
$8,474
$7,653
$7,706
$8,897
$9,202
Foreign government      
Due within 1 year$637
$637
$824
$818
$486
$486
$381
$381
After 1 but within 5 years565
544
515
495
868
859
359
341
After 5 but within 10 years—
—
—
—
—
—
—
—
After 10 years(1)
—
—
—
—
—
—
—
—
Total$1,202
$1,181
$1,339
$1,313
$1,354
$1,345
$740
$722
All other(2)
      
Due within 1 year$—
$—
$—
$—
$—
$—
$—
$—
After 1 but within 5 years—
—
—
—
—
—
—
—
After 5 but within 10 years500
501
513
514
1,989
1,994
1,669
1,680
After 10 years(1)
11,060
11,116
10,588
10,623
15,814
15,893
15,915
16,044
Total$11,560
$11,617
$11,101
$11,137
$17,803
$17,887
$17,584
$17,724
Total debt securities held-to-maturity$47,942
$47,907
$45,667
$45,555
$52,492
$52,100
$53,320
$53,752
(1)Investments with no stated maturities are included as contractual maturities of greater than 10 years. Actual maturities may differ due to call or prepayment rights.
(2)Includes corporate and asset-backed securities.




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. This review applies to all securities that are not measured at fair value with changes in fair value recognized in earnings. Effective January 1, 2018, the AFS category is eliminated for equity securities and, therefore, other-than-temporary impairment (OTTI) review is not required for those securities. See Note 1 to the Consolidated Financial Statements for additional details.
An unrealized loss exists when the current fair value of an individual security is less than its amortized cost basis. Unrealized losses that are determined to be temporary in nature are recorded, net of tax, in AOCI for AFS securities. Losses related to HTM debt securities generally are not recorded, as these investments are carried at adjusted amortized cost basis. However, for HTM debt securities with credit-related impairment, the credit loss is recognized in earnings as OTTI and any difference between the cost basis adjusted for the OTTI and fair value is recognized in AOCI and amortized as an adjustment of yield over the remaining contractual life of the security. For debt securities transferred to HTM from Trading account assets, amortized cost is defined as the fair value of the securities at the date of transfer, plus any accretion income and less any impairment recognized in earnings subsequent to transfer. For debt securities transferred to HTM from AFS, amortized cost is defined as the original purchase cost, adjusted for the cumulative accretion or amortization of any purchase discount or premium, plus or minus any cumulative fair value hedge adjustments, net of accretion or amortization, and less any impairment recognized in earnings.
Regardless of the classification of 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.

AFS Equity Securities and Equity Method Investments
For AFS 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. Effective January 1, 2018, the AFS category is eliminated for equity securities and, therefore, OTTI review is not required for those securities. See Note 1 to the Consolidated Financial Statements for additional details.
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 20 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 March 31, 2018.

Mortgage-Backed Securities
For U.S. mortgage-backed securities (and in particular for Alt-A and other mortgage-backed securities that have significant unrealized losses as a percentage of amortized cost), credit impairment is assessed using a cash flow model that estimates the principal and interest cash flows on the underlying mortgages using the security-specific collateral and transaction structure. The model distributes the estimated cash flows to the various tranches of securities, considering the transaction structure and any subordination and credit enhancements that exist in that structure. The cash flow model incorporates actual cash flows on the mortgage-backed securities through the current period and then estimates the remaining cash flows using a number of assumptions, including default rates, prepayment rates, recovery rates (on foreclosed properties) and loss severity rates (on non-agency mortgage-backed securities).
Management develops specific assumptions using market data, internal estimates and estimates published by rating agencies and other third-party sources. Default rates are projected by considering current underlying mortgage loan
performance, generally assuming the default of (i) 10% of current loans, (ii) 25% of 30–59 day delinquent loans, (iii) 70% of 60–90 day delinquent loans and (iv) 100% of 91+ day delinquent loans. These estimates are extrapolated along a default timing curve to estimate the total lifetime pool default rate. Other assumptions contemplate the actual collateral attributes, including geographic concentrations, rating actions and current market prices.
Cash flow projections are developed using different stress test scenarios. Management evaluates the results of those stress tests (including the severity of any cash shortfall indicated and the likelihood of the stress scenarios actually occurring based on the underlying pool’s characteristics and performance) to assess whether management expects to recover the amortized cost basis of the security. If cash flow projections indicate that the Company does not expect to recover its amortized cost basis, the Company recognizes the estimated credit loss in earnings.

State and Municipal Securities
The process for identifying credit impairments in Citigroup’s AFS and HTM state and municipal bonds is primarily based on a credit analysis that incorporates third-party credit ratings.  Citigroup monitors the bond issuers and any insurers providing default protection in the form of financial guarantee insurance.  The average external credit rating, ignoring any insurance, is Aa3/AA-.  In the event of an external rating downgrade or other indicator of credit impairment (i.e., based on instrument-specific estimates of cash flows or probability of issuer default), the subject bond is specifically reviewed for adverse changes in the amount or timing of expected contractual principal and interest payments.
For state and municipal bonds with unrealized losses that Citigroup plans to sell, or would be more-likely-than-not required to sell, the full impairment is recognized in earnings.

Recognition and Measurement of OTTI
The following tables present total OTTI recognized in earnings:
OTTI on Investments and Other assetsThree months ended 
 March 31, 2017
In millions of dollars
AFS(1)
HTMOther
assets		Total
Impairment losses related to securities that the Company does not intend to sell nor will likely be required to sell:    
Total OTTI losses recognized during the period$—
$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
—
Net impairment losses recognized in earnings for securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
$—
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 exercise11
1
—
12
Total impairment losses recognized in earnings$11
$1
$—
$12
OTTI on InvestmentsThree Months Ended 
 March 31, 2018
In millions of dollars
AFS(1)
HTMTotal
Impairment losses related to debt securities that the Company does not intend to sell nor will likely be required to sell:   
Total OTTI losses recognized during the period$—
$—
$—
Less: portion of impairment loss recognized in AOCI (before taxes)—
—
—
Net impairment losses recognized in earnings for debt securities that the Company does not intend to sell nor will likely be required to sell$—
$—
$—
Impairment losses recognized in earnings for debt securities that the Company intends to sell, would be more-likely-than-not required to sell or will be subject to an issuer call deemed probable of exercise27
—
27
Total OTTI losses recognized in earnings$27
$—
$27
(1)Includes OTTI on non-marketableFor the three months ended March 31, 2018, amounts represent AFS debt securities. Effective January 1, 2018, the AFS category is eliminated for equity securities. See Note 1 to the Consolidated Financial Statements for additional details.






OTTI on Investments and Other assetsThree months ended 
 March 31, 2016
OTTI on InvestmentsThree months ended 
  March 31, 2017
In millions of dollars
AFS(1)(2)
HTM
Other
assets(3)
Total
AFS (1)
HTMTotal
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$1
$—
$—
$1
$—
$—
$—
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$1
$—
$—
$1
$—
$—
$—
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 losses195
7
262
464
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 losses11
1
12
Total impairment losses recognized in earnings$196
$7
$262
$465
$11
$1
$12

(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 three months ended March 31, 2016.
(3)The impairment charge is related to the carrying value of an equity investment.

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 debt securities still held
In millions of dollarsDec. 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		March 31, 2017 balanceDecember 31, 2017 balanceCredit
impairments
recognized in
earnings on
securities not
previously
impaired		Credit
impairments
recognized in
earnings on
securities that
have
been previously
impaired
Changes due to
credit-impaired
securities sold,
transferred or
matured(1)
March 31, 2018 balance
AFS debt securities      
Mortgage-backed securities(2)$—
$—
$—
$—
$—
$38
$—
$—
$(13)$25
State and municipal4
—
—
—
4
4
—
—
(4)—
Foreign government securities—
—
—
—
—
—
—
—
—
—
Corporate5
—
—
(1)4
4
—
—
—
4
All other debt securities22
—
—
—
22
2
—
—
—
2
Total OTTI credit losses recognized for AFS debt securities$31
$—
$—
$(1)$30
$48
$—
$—
$(17)$31
HTM debt securities        
Mortgage-backed securities(1)(3)
$101
$—
$—
$(4)$97
$54
$—
$—
$(54)$—
State and municipal3
—
—
—
3
3
—
—
(3)—
Total OTTI credit losses recognized for HTM debt securities$104
$—
$—
$(4)$100
$57
$—
$—
$(57)$—
(1)
Includes $18 million in cumulative OTTI reclassified from HTM to AFS due to the transfer of the related debt securities from HTM to AFS. Citi adopted ASU 2017-12, Targeted Improvements to Accounting for Hedge Activities, on January 1, 2018 and transferred approximately $4 billion of HTM debt securities into AFS classification as permitted as a one-time transfer under the standard.
(2)Primarily consists of Prime securities.
(3)Primarily consists of Alt-A securities.



Cumulative OTTI credit losses recognized in earnings on securities still heldCumulative OTTI credit losses recognized in earnings on debt securities still held
In millions of dollarsDec. 31, 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		Mar. 31, 2016 balanceDecember 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		March 31, 2017 balance
AFS debt securities      
Mortgage-backed securities$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal12
—
—
(8)4
4
—
—
—
4
Foreign government securities5
—
—
—
5
—
—
—
—
—
Corporate9
1
—
(3)7
5
—
—
(1)4
All other debt securities47
—
—
(4)43
22
—
—
—
22
Total OTTI credit losses recognized for AFS debt securities$73
$1
$—
$(15)$59
$31
$—
$—
$(1)$30
HTM debt securities        
Mortgage-backed securities(1)
$132
$—
$—
$—
$132
$101
$—
$—
$(4)$97
State and municipal4
—
—
—
4
3
—
—
—
3
Total OTTI credit losses recognized for HTM debt securities$136
$—
$—
$—
$136
$104
$—
$—
$(4)$100
(1)Primarily consists of Alt-A securities.

Non-Marketable Equity Securities Not Carried at Fair Value
Effective January 1, 2018, non-marketable equity securities are required to be measured at fair value with changes in fair value recognized in earnings unless: (i) the measurement alternative is elected or (ii) the investment represents Federal Reserve Bank and Federal Home Loan Bank stock or certain exchange seats that continue to be carried at cost. See Note 1 to the Consolidated Financial Statements for additional details.
The election to measure a non-marketable equity security using the measurement alternative is made on an instrument-by-instrument basis. Under the measurement alternative, an equity security is carried at cost plus or minus changes resulting from observable prices in orderly transactions for the identical or a similar investment of the same issuer, less impairment (if any). The carrying value of the equity security is adjusted to fair value on the date of an observed transaction. Fair value may differ from the observed transaction price due to a number of factors, including marketability adjustments and differences in rights and obligations when the observed transaction is not for the identical investment held by Citi.
On a quarterly basis, management qualitatively assesses whether each equity security under the measurement alternative is impaired. Impairment indicators that are considered include, but are not limited to the following:

 A significant deterioration in the earnings performance, credit rating, asset quality, or business prospects of the investee
A significant adverse change in the regulatory, economic, or technological environment of the investee
A significant adverse change in the general market condition of either the geographical area or the industry in which the investee operates
A bona fide offer to purchase, an offer by the investee to sell, or a completed auction process for the same or similar investment for an amount less than the carrying amount of that investment
Factors that raise significant concerns about the investee’s ability to continue as a going concern, such as negative cash flows from operations, working capital deficiencies, or noncompliance with statutory capital requirements or debt covenants

When the qualitative assessment indicates that impairment exists, the investment is written down to fair value, with the full difference between the fair value of the investment and its carrying amount recognized in earnings.


Below is the carrying value of non-marketable equity securities measured using the measurement alternative at March 31, 2018, and amounts recognized in earnings for the three months ended March 31, 2018:
In millions of dollars
Three Months Ended
March 31, 2018
Measurement alternative, balance at
  March 31, 2018
$401
Measurement alternative—impairment losses(1)
1
Measurement alternative—downward changes
  for observable prices(1)
2
Measurement alternative—upward changes
  for observable prices(1)
123

(1)See Note 20 to the Consolidated Financial Statements for additional information on these nonrecurring fair value measurements.

A similar impairment analysis is performed for non-marketable equity securities carried at cost. For the three months ended March 31, 2018, there were no impairment losses recognized in earnings for non-marketable equity securities carried at cost.

Investments in Alternative Investment Funds That Calculate Net Asset Value
The Company holds investments in certain alternative investment funds that calculate net asset value (NAV), or its equivalent, including hedge funds, private equity funds, funds
of funds and real estate funds, as provided by third-party asset managers. Investments in such funds are generally classified as non-marketable equity securities carried at fair value. The fair values of these investments are estimated using the NAV of the Company’s ownership interest in the funds. Some of


























these investments are in “covered funds” for purposes of the Volcker
Rule, which prohibits certain proprietary investment activities and limits the ownership of, and relationships with, covered funds. On April 21, 2017, Citi’s request for extension of the permitted holding period under the Volcker Rule for certain of its investments in illiquid funds was approved, allowing the Company to hold such investments until the earlier of 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 dollarsMarch 31,
2017		December 31, 2016March 31,
2017		December 31, 2016 March 31,
2018		December 31, 2017March 31,
2018		December 31, 2017 
Hedge funds$3
$4
$—
$—
Generally quarterly10–95 days$—
$1
$—
$—
Generally quarterly10–95 days
Private equity funds(1)(2)
359
348
82
82
—413
372
62
62
—
Real estate funds (2)(3)
54
56
21
20
—20
31
19
20
—
Total$416
$408
$103
$102
—$433
$404
$81
$82
—
(1)Private equity funds include funds that invest in infrastructure, emerging markets and venture capital.
(2)With respect to the Company’s investments in private equity funds and real estate funds, distributions from each fund will be received as the underlying assets held by these funds are liquidated. It is estimated that the underlying assets of these funds will be liquidated over a period of several years as market conditions allow. Private equity and real estate funds do not allow redemption of investments by their investors. Investors are permitted to sell or transfer their investments, subject to the approval of the general partner or investment manager of these funds, which generally may not be unreasonably withheld.
(3)Includes several real estate funds that invest primarily in commercial real estate in the U.S., Europe and Asia.


13.   LOANS

Citigroup loans are reported in two categories—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 20162017 Annual Report on Form 10-K.

Consumer Loans
Consumer loans represent loans and leases managed primarily by GCB and Corporate/Other. The following table provides Citi’s consumer loans by loan type:

In millions of dollarsMarch 31, 2017December 31, 2016March 31,
2018		December 31, 2017
In U.S. offices  
Mortgage and real estate(1)
$71,170
$72,957
$63,412
$65,467
Installment, revolving credit, and other3,252
3,395
Installment, revolving credit and other3,306
3,398
Cards125,799
132,654
131,081
139,006
Commercial and industrial7,434
7,159
7,493
7,840
$207,655
$216,165
$205,292
$215,711
In offices outside the U.S.    
Mortgage and real estate(1)
$43,822
$42,803
$44,833
$44,081
Installment, revolving credit, and other26,014
24,887
Installment, revolving credit and other27,651
26,556
Cards24,497
23,783
25,993
26,257
Commercial and industrial17,728
16,568
20,526
20,238
Lease financing83
81
62
76
$112,144
$108,122
$119,065
$117,208
Total consumer loans$319,799
$324,287
$324,357
$332,919
Net unearned income$757
$776
$727
$737
Consumer loans, net of unearned income$320,556
$325,063
$325,084
$333,656

(1)Loans secured primarily by real estate.

TheDuring the three months ended March 31, 2018 and 2017, the Company sold and/or reclassified to held-for-sale, $0.8 billion and $2.3 billion, and $2.7 billionrespectively, of consumer loans during the three months ended March 31, 2017 and 2016, respectively.loans.

 










Consumer Loan Delinquency and Non-Accrual Details at March 31, 20172018
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)
$50,423
$447
$299
$1,368
$52,537
$763
$1,117
$46,607
$364
$257
$1,010
$48,238
$636
$750
Home equity loans(6)(7)
16,694
233
404
—
17,331
848
—
13,476
160
315
—
13,951
691
—
Credit cards123,638
1,362
1,433
—
126,433
—
1,433
128,790
1,460
1,528
—
131,778
—
1,528
Installment and other3,537
46
18
—
3,601
24
1
3,333
38
14
—
3,385
21


Commercial banking loans9,128
18
68
—
9,214
291
12
9,011
14
44
—
9,069
152
13
Total$203,420
$2,106
$2,222
$1,368
$209,116
$1,926
$2,563
$201,217
$2,036
$2,158
$1,010
$206,421
$1,500
$2,291
In offices outside North America      
Residential first mortgages(5)
$36,624
$245
$156
$—
$37,025
$400
$—
$37,447
$250
$147
$—
$37,844
$412
$—
Credit cards23,272
394
331
—
23,997
272
242
24,702
437
373
—
25,512
323
256
Installment and other24,088
295
123
—
24,506
149
—
26,243
311
116
—
26,670
161
—
Commercial banking loans25,726
91
93
—
25,910
208
—
28,504
69
63
—
28,636
179
—
Total$109,710
$1,025
$703
$—
$111,438
$1,029
$242
$116,896
$1,067
$699
$—
$118,662
$1,075
$256
Total GCB and Corporate/Other consumer
$313,130
$3,131
$2,925
$1,368
$320,554
$2,955
$2,805
Total GCB and Corporate/Other—
Consumer
$318,113
$3,103
$2,857
$1,010
$325,083
$2,575
$2,547
Other(8)
2
—
—
—
2
—
—
1
—
—
—
1
—
—
Total Citigroup$313,132
$3,131
$2,925
$1,368
$320,556
$2,955
$2,805
$318,114
$3,103
$2,857
$1,010
$325,084
$2,575
$2,547
(1)Loans less than 30 days past due are presented as current.
(2)Includes $28$23 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 $0.2 billion and 90 days or more past due of $1.2$0.8 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.
(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in theGCB or Corporate/Other consumer credit metrics.


Consumer Loan Delinquency and Non-Accrual Details at December 31, 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)
$50,766
$522
$371
$1,474
$53,133
$848
$1,227
$47,366
$505
$280
$1,225
$49,376
$665
$941
Home equity loans(6)(7)
18,767
249
438
—
19,454
914
—
14,268
207
352
—
14,827
750
—
Credit cards130,327
1,465
1,509
—
133,301
—
1,509
136,588
1,528
1,613
—
139,729
—
1,596
Installment and other4,486
106
38
—
4,630
70
2
3,395
45
16
—
3,456
22
1
Commercial banking loans8,876
23
74
—
8,973
328
14
9,395
51
65
—
9,511
213
15
Total$213,222
$2,365
$2,430
$1,474
$219,491
$2,160
$2,752
$211,012
$2,336
$2,326
$1,225
$216,899
$1,650
$2,553
In offices outside North America      
Residential first mortgages(5)
$35,862
$206
$135
$—
$36,203
$360
$—
$37,062
$209
$148
$—
$37,419
$400
$—
Credit cards22,363
368
324
—
23,055
258
239
24,934
427
366
—
25,727
323
259
Installment and other22,683
264
126
—
23,073
163
—
25,634
275
123
—
26,032
157
—
Commercial banking loans23,054
72
112
—
23,238
217
—
27,449
57
72
—
27,578
160
—
Total$103,962
$910
$697
$—
$105,569
$998
$239
$115,079
$968
$709
$—
$116,756
$1,040
$259
Total GCB and Corporate/Other consumer
$317,184
$3,275
$3,127
$1,474
$325,060
$3,158
$2,991
Total GCB and Corporate/Other—
Consumer
$326,091
$3,304
$3,035
$1,225
$333,655
$2,690
$2,812
Other(8)
3
—
—
—
3
—
—
1
—
—
—
1
—
—
Total Citigroup$317,187
$3,275
$3,127
$1,474
$325,063
$3,158
$2,991
$326,092
$3,304
$3,035
$1,225
$333,656
$2,690
$2,812
(1)Loans less than 30 days past due are presented as current.
(2)Includes $29$25 million of residential first mortgages recorded at fair value.
(3)Excludes loans guaranteed by U.S. government-sponsored entities.
(4)Consists of residential first mortgages that are guaranteed by U.S. government-sponsored entities that are 30–89 days past due of $0.2 billion and 90 days or more past due of $1.3$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.
(8)
Represents loans classified as consumer loans on the Consolidated Balance Sheet that are not included in theGCB or Corporate/Other consumer credit metrics.

Consumer Credit Scores (FICO)
The following tables provide details on the FICO scores for Citi’s U.S. consumer loan portfolio based on end-of-period receivables (commercial banking loans are excluded 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)
March 31, 2017March 31, 2018
In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Less than
620
≥ 620 but less
than 660
≥ 660 but less
than 720
Equal to or
greater
than 720
Residential first mortgages$2,643
$2,323
$43,848
$1,750
$1,746
$6,655
$35,253
Home equity loans1,650
1,330
13,935
1,075
937
3,138
8,409
Credit cards8,631
11,270
103,156
9,169
11,285
37,275
70,598
Installment and other281
274
2,479
146
229
681
1,710
Total$13,205
$15,197
$163,418
$12,140
$14,197
$47,749
$115,970
 

FICO score distribution in U.S. portfolio(1)(2)
December 31, 2016December 31, 2017

In millions of dollars
Less than
620
≥ 620 but less
than 660
Equal to or
greater
than 660
Less than
620
≥ 620 but less
than 660
≥ 660 but less
than 720
Equal to or
greater
than 720
Residential first mortgages$2,744
$2,422
$44,279
$2,100
$1,932
$6,931
$35,334
Home equity loans1,750
1,418
14,743
1,379
1,081
3,446
8,530
Credit cards8,310
11,320
110,522
9,079
11,651
37,916
77,661
Installment and other284
271
2,601
276
250
667
1,818
Total$13,088
$15,431
$172,145
$12,834
$14,914
$48,960
$123,343
(1)Excludes loans guaranteed by U.S. government entities, loans subject to long-term standby commitments (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
The following tables provide details on the LTV ratios for 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)
March 31, 2017March 31, 2018
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$45,335
$3,358
$312
$42,790
$2,536
$214
Home equity loans12,344
3,305
1,183
10,788
1,954
737
Total$57,679
$6,663
$1,495
$53,578
$4,490
$951
LTV distribution in U.S. portfolio(1)(2)
December 31, 2016December 31, 2017
In millions of dollars
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Less than or
equal to 80%
> 80% but less
than or equal to
100%
Greater
than
100%
Residential first mortgages$45,849
$3,467
$324
$43,626
$2,578
$247
Home equity loans12,869
3,653
1,305
11,403
2,147
800
Total$58,718
$7,120
$1,629
$55,029
$4,725
$1,047
(1)Excludes loans guaranteed by U.S. government entities, loans subject to LTSCs with U.S. government-sponsored entities and loans recorded at fair value.
(2)Excludes balances where LTV was not available. Such amounts are not material.



Impaired Consumer Loans

The following tables present information about impaired consumer loans and interest income recognized on impaired consumer loans:
 Three months ended March 31, Three Months Ended 
 March 31,
Balance at March 31, 201720172016Balance at March 31, 201820182017
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)
Recorded
investment(1)(2)
Unpaid
principal balance
Related
specific allowance(3)
Average
carrying value (4)
Interest income
recognized(5)
Interest income
recognized(5)
Mortgage and real estate     
Residential first mortgages$3,632
$3,995
$402
$4,116
$36
$61
$3,020
$3,123
$250
$3,002
$21
$36
Home equity loans1,219
1,720
281
1,289
8
9
673
893
211
1,044
7
8
Credit cards1,824
1,858
588
1,813
38
41
1,846
1,879
626
1,809
30
38
Installment and other
     
Individual installment and other391
411
176
449
8
7
443
473
182
428
6
8
Commercial banking loans507
710
122
549
6
2
Commercial banking287
500
26
374
3
6
Total$7,573
$8,694
$1,569
$8,216
$96
$120
$6,269
$6,868
$1,295
$6,657
$67
$96
(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)$680526 million of residential first mortgages, $388$348 million of home equity loans and $82$9 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, 2016Balance, December 31, 2017
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$3,786
$4,157
$540
$4,632
$2,877
$3,121
$278
$3,155
Home equity loans1,298
1,824
189
1,326
1,151
1,590
216
1,181
Credit cards1,747
1,781
566
1,831
1,787
1,819
614
1,803
Installment and other  
Individual installment and other455
481
215
475
431
460
175
415
Commercial banking loans513
744
98
538
Commercial banking334
541
51
429
Total$7,799
$8,987
$1,608
$8,802
$6,580
$7,531
$1,334
$6,983
(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)$740607 million of residential first mortgages, $406$370 million of home equity loans and $97$10 million of commercial market loans do not have a specific allowance.
(3)
Included in the Allowance for loan losses.
(4)Average carrying value represents the average recorded investment ending balance for the last four quarters and does not include the related specific allowance.





Consumer Troubled Debt Restructurings
At and for the three months ended March 31, 2017At and for the three months ended March 31, 2018
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		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 mortgages966
$130
$3
$—
$1
1%588
$89
$1
$—
$—
—%
Home equity loans679
56
3
—
—
1
456
41
2
—
—
1
Credit cards59,337
231
—
—
—
17
63,203
244
—
—
—
18
Installment and other revolving221
2
—
—
—
5
342
3
—
—
—
5
Commercial markets(6)
26
5
—
—
—
—
Commercial banking(6)
9
1
—
—
—
—
Total(8)
61,229
$424
$6
$—
$1
 
64,598
$378
$3
$—
$—


International      
Residential first mortgages613
27
—
—
—
—%549
$18
$—
$—
$—
—%
Credit cards25,237
85
—
—
2
14
23,394
94
—
—
2
15
Installment and other revolving11,307
60
—
—
4
7
9,325
59
—
—
2
10
Commercial markets(6)
32
13
—
—
—
2
Commercial banking(6)
145
28
—
—
—
2
Total(8)
37,189
$185
$—
$—
$6
 
33,413
$199
$—
$—
$4


At and for the three months ended March 31, 2016At and for the three months ended March 31, 2017
In millions of dollars except number of loans modified
Number of
loans modified
Post-
modification
recorded
investment(1)(7)
Deferred
principal(3)
Contingent
principal
forgiveness(4)
Principal
forgiveness(5)
Average
interest rate
reduction
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 mortgages1,468
$212
$2
$—
$1
1%966
$130
$3
$—
$1
1%
Home equity loans858
30
—
—
—
3
679
56
3
—
—
1
Credit cards49,109
188
—
—
—
17
59,337
231
—
—
—
17
Installment and other revolving1,385
12
—
—
—
14
221
2
—
—
—
5
Commercial markets(6)
23
5
—
—
—
—
Commercial banking(6)
26
5
—
—
—
—
Total(8)
52,843
$447
$2
$—
$1
 
61,229
$424
$6
$—
$1
 
International      
Residential first mortgages419
15
—
—
—
—%613
$27
$—
$—
$—
—%
Credit cards52,207
123
—
—
2
13
25,237
85
—
—
2
14
Installment and other revolving21,644
82
—
—
2
7
11,307
60
—
—
4
7
Commercial markets(6)
28
20
—
—
—
—
Commercial banking(6)
32
13
—
—
—
2
Total(8)
74,298
$240
$—
$—
$4
 
37,189
$185
$—
$—
$6
 

(1)Post-modification balances include past due amounts that are capitalized at the modification date.
(2)
Post-modification balances in North America include $15$11 million of residential first mortgages and $6$4 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2017.2018. These amounts include $9$8 million of residential first mortgages and $6$3 million of home equity loans that were newly classified as TDRs in the three months ended March 31, 2017,2018, based on previously received OCC guidance.
(3)Represents portion of contractual loan principal that is non-interest bearing, but still due from the borrower. Such deferred principal is charged off at the time of permanent modification to the extent that the related loan balance exceeds the underlying collateral value.
(4)Represents portion of contractual loan principal that is non-interest bearing and, depending upon borrower performance, eligible for forgiveness.
(5)Represents portion of contractual loan principal that was forgiven at the time of permanent modification.
(6) Commercial 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 $20$15 million of residential first mortgages and $5$6 million of home equity loans to borrowers who have gone through Chapter 7 bankruptcy in the three months ended March 31, 2016.2017. These amounts include $14$9 million of residential first mortgages and $5$6 million of home equity loans that were newly classified as TDRs in the three months ended March 31, 2016,2017, based on previously received OCC guidance.
(8) The above tables reflect activity for loans outstanding as of the end of the reporting period that were considered TDRs.




The following table presents consumer TDRs that defaulted for which the payment default occurred within one year of a permanent modification. Default is defined as 60 days past due, except for classifiably managed commercial banking loans, where default is defined as 90 days past due.
Three months ended March 31,Three Months Ended March 31,
In millions of dollars2017201620182017
North America  
Residential first mortgages$51
$87
$44
$51
Home equity loans9
9
10
9
Credit cards52
49
59
52
Installment and other revolving—
2
1
—
Commercial banking2
1
8
2
Total$114
$148
$122
$114
International  
Residential first mortgages$2
$3
$2
$2
Credit cards42
37
53
42
Installment and other revolving23
22
24
23
Commercial banking—
3
—
—
Total$67
$65
$79
$67

Corporate Loans
Corporate loans represent loans and leases managed by ICG. The following table presents information by corporate loan type:
In millions of dollarsMarch 31,
2017		December 31,
2016		March 31,
2018		December 31,
2017
In U.S. offices  
Commercial and industrial$49,845
$49,586
$54,005
$51,319
Financial institutions35,734
35,517
40,472
39,128
Mortgage and real estate(1)
40,052
38,691
45,581
44,683
Installment, revolving credit and other32,212
34,501
32,866
33,181
Lease financing1,511
1,518
1,463
1,470
$159,354
$159,813
$174,387
$169,781
In offices outside the U.S.    
Commercial and industrial$87,258
$81,882
$101,368
$93,750
Financial institutions33,763
26,886
35,659
35,273
Mortgage and real estate(1)
5,527
5,363
7,543
7,309
Installment, revolving credit and other16,576
19,965
23,338
22,638
Lease financing253
251
167
190
Governments and official institutions5,970
5,850
6,170
5,200
$149,347
$140,197
$174,245
$164,360
Total corporate loans$308,701
$300,010
$348,632
$334,141
Net unearned income(662)(704)$(778)$(763)
Corporate loans, net of unearned income$308,039
$299,306
$347,854
$333,378
(1)Loans secured primarily by real estate.
 

The Company sold and/or reclassified to held-for-saleHFS $0.1 billion and $0.5 billion of corporate loans during both the three months ended March 31, 2018 and 2017, and 2016.respectively. The Company did not have significant purchases of corporate loans classified as held-for-investment for the three months ended March 31, 20172018 or 2016.2017.




Corporate Loan Delinquency and Non-Accrual Details at March 31, 20172018
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$170
$—
$170
$1,692
$132,583
$134,445
$478
$77
$555
$1,260
$149,912
$151,727
Financial institutions215
18
233
301
67,478
68,012
63
22
85
87
74,840
75,012
Mortgage and real estate211
—
211
181
45,172
45,564
131
14
145
192
52,772
53,109
Leases98
8
106
67
1,591
1,764
22
—
22
43
1,564
1,629
Other427
3
430
98
53,719
54,247
188
7
195
86
61,583
61,864
Loans at fair value









4,007
  4,513
Purchased distressed loans









—
 —
Total$1,121
$29
$1,150
$2,339
$300,543
$308,039
$882
$120
$1,002
$1,668
$340,671
$347,854

Corporate Loan Delinquency and Non-Accrual Details at December 31, 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$143
$52
$195
$1,909
$127,012
$129,116
$249
$13
$262
$1,506
$139,554
$141,322
Financial institutions119
2
121
185
61,254
61,560
93
15
108
92
73,557
73,757
Mortgage and real estate148
137
285
139
43,607
44,031
147
59
206
195
51,563
51,964
Leases27
8
35
56
1,678
1,769
68
8
76
46
1,533
1,655
Other349
12
361
132
58,880
59,373
70
13
83
103
60,145
60,331
Loans at fair value









3,457
  4,349
Purchased distressed loans









—
 —
Total$786
$211
$997
$2,421
$292,431
$299,306
$627
$108
$735
$1,942
$326,352
$333,378
(1)Corporate loans that are 90 days past due are generally classified as non-accrual. Corporate loans are considered past due when principal or interest is contractually due but unpaid.
(2)Non-accrual loans generally include those loans that are ≥ 90 days past due or those loans for which Citi believes, based on actual experience and a forward-looking assessment of the collectability of the loan in full, that the payment of interest or principal is doubtful.
(3)Corporate loans are past due when principal or interest is contractually due but unpaid. Loans less than 30 days past due are presented as current.
(4)Total loans include loans at fair value, which are not included in the various delinquency columns.






Corporate Loans Credit Quality Indicators
Recorded investment in loans(1)
Recorded investment in loans(1)
In millions of dollarsMarch 31,
2017		December 31,
2016		March 31,
2018		December 31,
2017
Investment grade(2)
  
Commercial and industrial$90,753
$85,369
$108,881
$101,313
Financial institutions55,422
49,915
62,082
60,404
Mortgage and real estate19,901
18,718
23,831
23,213
Leases1,169
1,303
1,063
1,090
Other47,307
51,930
57,863
56,306
Total investment grade$214,552
$207,235
$253,720
$242,326
Non-investment grade(2)
  
Accrual  
Commercial and industrial$41,999
$41,838
$41,586
$38,503
Financial institutions12,288
11,459
12,843
13,261
Mortgage and real estate1,865
1,821
3,226
2,881
Leases528
410
523
518
Other6,843
7,312
3,915
3,924
Non-accrual  
Commercial and industrial1,692
1,909
1,260
1,506
Financial institutions301
185
87
92
Mortgage and real estate181
139
192
195
Leases67
56
43
46
Other98
132
86
103
Total non-investment grade$65,862
$65,261
$63,761
$61,029
Private bank loans managed on a delinquency basis(2)
$23,618
$23,353
Non-rated private bank loans managed on a delinquency basis(2)
$25,860
$25,674
Loans at fair value4,007
3,457
4,513
4,349
Corporate loans, net of unearned income$308,039
$299,306
$347,854
$333,378
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Held-for-investment loans are accounted for on an amortized cost basis.
 













Non-Accrual Corporate Loans
The following tables present non-accrual loan information by corporate loan type and interest income recognized on non-accrual corporate loans:
March 31, 2017 March 31, 2018Three Months Ended 
 March 31, 2018
In millions of dollars
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying value(2)
Interest income recognized(3)
Recorded
investment(1)
Unpaid
principal balance
Related specific
allowance
Average
carrying
 value(2)
Interest
 income recognized(3)
Non-accrual corporate loans      
Commercial and industrial$1,692
$2,040
$332
$1,876
$2
$1,260
$1,501
$227
$1,439
$3
Financial institutions301
324
37
217
—
87
102
25
159
—
Mortgage and real estate181
309
9
168
—
192
349
10
186
1
Lease financing67
67
4
60
—
43
43
4
53
—
Other98
205
—
88
—
86
195
5
105
—
Total non-accrual corporate loans$2,339
$2,945
$382
$2,409
$2
$1,668
$2,190
$271
$1,942
$4
December 31, 2016December 31, 2017
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$1,909
$2,259
$362
$1,919
$1,506
$1,775
$368
$1,547
Financial institutions185
192
16
183
92
102
41
212
Mortgage and real estate139
250
10
174
195
324
11
183
Lease financing56
56
4
44
46
46
4
59
Other132
197
—
87
103
212
2
108
Total non-accrual corporate loans$2,421
$2,954
$392
$2,407
$1,942
$2,459
$426
$2,109
March 31, 2017December 31, 2016March 31, 2018December 31, 2017
In millions of dollars
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Recorded
investment(1)
Related specific
allowance
Non-accrual corporate loans with valuation allowances      
Commercial and industrial$1,103
$332
$1,343
$362
$574
$227
$1,017
$368
Financial institutions87
37
45
16
87
25
88
41
Mortgage and real estate35
9
41
10
54
10
51
11
Lease financing53
4
55
4
43
4
46
4
Other1
—
1
—
16
5
13
2
Total non-accrual corporate loans with specific allowance$1,279
$382
$1,485
$392
$774
$271
$1,215
$426
Non-accrual corporate loans without specific allowance      
Commercial and industrial$589
 
$566
 
$686
 
$489
 
Financial institutions214
 
140
 
—
 
4
 
Mortgage and real estate146
 
98
 
138
 
144
 
Lease financing14
 
1
 
—
 
—
 
Other97
 
131
 
70
 
90
 
Total non-accrual corporate loans without specific allowance$1,060
N/A
$936
N/A
$894
N/A
$727
N/A
(1)Recorded investment in a loan includes net deferred loan fees and costs, unamortized premium or discount, less any direct write-downs.
(2)Average carrying value represents the average recorded investment balance and does not include related specific allowance.
(3)Interest income recognized for the three months ended March 31, 20162017 was $13$2 million.


N/A Not applicable


Corporate Troubled Debt Restructurings

At and for the three months ended March 31, 2017:2018:
In millions of dollars
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Carrying
Value
TDRs
involving changes
in the amount
and/or timing of
principal payments(1)
TDRs
involving changes
in the amount
and/or timing of
interest payments(2)
TDRs
involving changes
in the amount
and/or timing of
both principal and
interest payments
Commercial and industrial$55
$—
$—
$55
$2
$—
$—
$2
Financial institutions15
—
—
15
Mortgage and real estate1
—
—
1
1
—
—
1
Total$71
$—
$—
$71
$3
$—
$—
$3
At and for the three months ended March 31, 2016:2017:
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$98
$—
$—
$98
Mortgage and real estate4
—
—
4
Total$102
$—
$—
$102
(1)TDRs involving changes in the amount or timing of principal payments may involve principal forgiveness or deferral of periodic and/or final principal payments. Because forgiveness of principal is rare for corporate loans, modifications typically have little to no impact on the loans’ projected cash flows and thus little to no impact on the allowance established for the loans.  Charge-offs for amounts deemed uncollectable may be recorded at the time of the restructuring or may have already been recorded in prior periods such that no charge-off is required at the time of the modification.
(2)TDRs involving changes in the amount or timing of interest payments may involve a below-market interest rate.

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$55
$—
$—
$55
Financial institutions15
—
—
15
Mortgage and real estate1
—
—
1
Total$71
$—
$—
$71

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 March 31, 2017
TDR loans in payment default during the three months ended
March 31, 2017
TDR balances at
March 31, 2016
TDR loans in payment default during the three months ended
March 31, 2016
TDR balances at March 31, 2018
TDR loans in payment default during the three months ended
March 31, 2018
TDR balances at March 31, 2017TDR loans in payment default during the three months ended March 31, 2017
Commercial and industrial$390
$9
$219
$—
$507
$59
$390
$9
Loans to financial institutions24
3
2
—
40
—
24
3
Mortgage and real estate84
—
139
—
98
—
84
—
Other177
—
303
—
41
—
177
—
Total(1)
$675
$12
$663
$—
$686
$59
$675
$12

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





14. ALLOWANCE FOR CREDIT LOSSES
 
Three months ended March 31,Three Months Ended March 31,
In millions of dollars2017201620182017
Allowance for loan losses at beginning of period$12,060
$12,626
$12,355
$12,060
Gross credit losses(2,144)(2,143)(2,296)(2,144)
Gross recoveries(1)
435
419
429
435
Net credit losses (NCLs)$(1,709)$(1,724)$(1,867)$(1,709)
NCLs$1,709
$1,724
$1,867
$1,709
Net reserve builds (releases)(20)42
102
(20)
Net specific reserve builds (releases)(14)120
Net specific reserve releases(166)(14)
Total provision for loan losses$1,675
$1,886
$1,803
$1,675
Other, net (see table below)4
(76)63
4
Allowance for loan losses at end of period$12,030
$12,712
$12,354
$12,030
Allowance for credit losses on unfunded lending commitments at beginning of period$1,418
$1,402
$1,258
$1,418
Provision (release) for unfunded lending commitments(43)71
28
(43)
Other, net2
—
4
2
Allowance for credit losses on unfunded lending commitments at end of period(2)
$1,377
$1,473
$1,290
$1,377
Total allowance for loans, leases, and unfunded lending commitments$13,407
$14,185
Total allowance for loans, leases and unfunded lending commitments$13,644
$13,407

(1)Recoveries have been reduced by certain collection costs that are incurred only if collection efforts are successful.
(2)
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 March 31,Three Months Ended March 31,
In millions of dollars2017201620182017
Sales or transfers of various consumer loan portfolios to held-for-sale 
Sales or transfers of various consumer loan portfolios to HFS 
Transfer of real estate loan portfolios$(37)$(29)$(53)$(37)
Transfer of other loan portfolios(124)(119)(2)(124)
Sales or transfers of various consumer loan portfolios to held-for-sale$(161)$(148)
Sales or transfers of various consumer loan portfolios to HFS$(55)$(161)
FX translation, consumer164
63
118
164
Other1
9
—
1
Other, net$4
$(76)$63
$4


Allowance for Credit Losses and Investment in Loans
Three Months EndedThree Months Ended
March 31, 2017March 31, 2016March 31, 2018March 31, 2017
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses at beginning of period$2,702
$9,358
$12,060
$2,791
$9,835
$12,626
$2,486
$9,869
$12,355
$2,702
$9,358
$12,060
Charge-offs(103)(2,041)(2,144)(223)(1,920)(2,143)(139)(2,157)(2,296)(103)(2,041)(2,144)
Recoveries66
369
435
13
406
419
43
386
429
66
369
435
Replenishment of net charge-offs37
1,672
1,709
210
1,514
1,724
96
1,771
1,867
37
1,672
1,709
Net reserve builds (releases)(166)146
(20)4
38
42
(19)121
102
(166)146
(20)
Net specific reserve builds (releases)(12)(2)(14)101
19
120
(155)(11)(166)(12)(2)(14)
Other11
(7)4
9
(85)(76)3
60
63
11
(7)4
Ending balance$2,535
$9,495
$12,030
$2,905
$9,807
$12,712
$2,315
$10,039
$12,354
$2,535
$9,495
$12,030






 Three Months Ended
 March 31, 2017December 31, 2016
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
   
Determined in accordance with ASC 450$2,153
$7,921
$10,074
$2,310
$7,744
$10,054
Determined in accordance with ASC 310-10-35382
1,569
1,951
392
1,608
2,000
Determined in accordance with ASC 310-30—
5
5
—
6
6
Total allowance for loan losses$2,535
$9,495
$12,030
$2,702
$9,358
$12,060
Loans, net of unearned income     

Loans collectively evaluated for impairment in accordance with ASC 450$301,561
$312,761
$614,322
$293,218
$317,048
$610,266
Loans individually evaluated for impairment in accordance with ASC 310-10-352,471
7,573
10,044
2,631
7,799
10,430
Loans acquired with deteriorated credit quality in accordance with ASC 310-30—
194
194
—
187
187
Loans held at fair value4,007
28
4,035
3,457
29
3,486
Total loans, net of unearned income$308,039
$320,556
$628,595
$299,306
$325,063
$624,369
 March 31, 2018December 31, 2017
In millions of dollarsCorporateConsumerTotalCorporateConsumerTotal
Allowance for loan losses 
 
 
   
Collectively evaluated in accordance with ASC 450$2,045
$8,740
$10,785
$2,060
$8,531
$10,591
Individually evaluated in accordance with ASC 310-10-35270
1,295
1,565
426
1,334
1,760
Purchased credit-impaired in accordance with ASC 310-30—
4
4
—
4
4
Total allowance for loan losses$2,315
$10,039
$12,354
$2,486
$9,869
$12,355
Loans, net of unearned income      
Collectively evaluated in accordance with ASC 450$341,676
$318,666
$660,342
$327,142
$326,884
$654,026
Individually evaluated in accordance with ASC 310-10-351,665
6,269
7,934
1,887
6,580
8,467
Purchased credit-impaired in accordance with ASC 310-30—
126
126
—
167
167
Held at fair value4,513
23
4,536
4,349
25
4,374
Total loans, net of unearned income$347,854
$325,084
$672,938
$333,378
$333,656
$667,034







15.   GOODWILL AND INTANGIBLE ASSETS
Goodwill impairment testing is performed at the level below each business segment (referred to as a reporting unit). See Note 3 for further information on business segments. For additional information regarding Citi’s goodwill impairment testing process, see Notes 1 and 16 to the Consolidated Financial Statements in Citi’s 20162017 Annual Report on Form 10-K. There were no triggering events identified and no goodwill was impaired during the first quarter of 2018.








Goodwill
The changes in Goodwill were as follows:
In millions of dollars 
Balance, December 31, 2016$21,659
Foreign exchange translation and other634
Impairment of goodwill(28)
Balance at March 31, 2017$22,265

Effective January 1, 2017, the mortgage servicing business in North America GCB was reorganized and is now reported as part of Corporate/Other. Goodwill was allocated to the transferred business based on its relative fair value to the legacy North America GCB reporting unit. An interim test was performed under both the legacy and 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 an operating expense in the first quarter of 2017.
Further, the interim test performed in the fourth quarter of 2016 indicated that the fair value of the Citi Holdings—Consumer Latin America reporting unit only marginally exceeded its carrying value. An updated interim test was performed during the first quarter of 2017, with a minimal change in results. While there was no indication of impairment, the $16 million of goodwill present in Citi Holdings—Consumer Latin America may be particularly sensitive to further deterioration in economic conditions. The fair value as a percentage of allocated book value as of March 31, 2017 was 103%.
There were no other triggering events identified during the first quarter of 2017. The fair values of all other reporting units with goodwill balances exceeded their carrying values and did not indicate a risk of impairment based on the most recent valuations.
The following table shows reporting units with goodwill balances as of March 31, 2017 and the fair value as a percentage of allocated book value as of the latest impairment test:

In millions of dollars  
Reporting unit(1)
Goodwill
Fair value as a % of allocated book value

North America Global Consumer Banking$6,732
148%
Asia Global Consumer Banking 
4,910
157
Latin America Global Consumer Banking1,151
180
ICG—Banking
2,902
194
ICG—Markets and Securities Services
6,554
115
Citi Holdings—Consumer Latin America(2)
16
103
Total as of March 31, 2017$22,265


In millions of dollarsGlobal Consumer BankingInstitutional Clients GroupCorporate/OtherTotal
Balance, December 31, 2017$12,784
$9,456
$16
$22,256
Foreign exchange translation and other$184
$235
$—
$419
Divestiture (1)
—
—
(16)(16)
Balance at March 31, 2018$12,968
$9,691
$—
$22,659

(1)Other Citi Holdings reporting units, including Citi Holdings—REL, are excluded from the table as there is no goodwill
Goodwill allocated to them.
(2)
Allthe sale of Citi HoldingsColombia consumer business, the only remaining business in Citi Holdings—Consumer Latin America reporting units are presented in theunit reported as part of Corporate/OtheOtherr segment, which is classified as HFS beginning in the first quarter of 2017.2018.









Intangible Assets
The components of intangible assets were as follows:
March 31, 2017December 31, 2016March 31, 2018December 31, 2017
In millions of dollars
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Gross
carrying
amount
Accumulated
amortization
Net
carrying
amount
Purchased credit card relationships$5,703
$4,049
$1,654
$8,215
$6,549
$1,666
$5,308
$3,805
$1,503
$5,375
$3,836
$1,539
Credit card contract related intangibles(1)
5,044
2,159
2,885
5,149
2,177
2,972
5,044
2,542
$2,502
5,045
2,456
2,589
Core deposit intangibles776
750
26
801
771
30
449
439
$10
639
628
11
Other customer relationships480
275
205
474
272
202
486
294
$192
459
272
187
Present value of future profits34
29
5
31
27
4
35
31
$4
32
28
4
Indefinite-lived intangible assets227
—
227
210
—
210
231
—
$231
244
—
244
Other170
159
11
504
474
30
100
92
$8
100
86
14
Intangible assets (excluding MSRs)$12,434
$7,421
$5,013
$15,384
$10,270
$5,114
$11,653
$7,203
$4,450
$11,894
$7,306
$4,588
Mortgage servicing rights (MSRs)(2)
567
—
567
1,564
—
1,564
587
—
587
558
—
558
Total intangible assets$13,001
$7,421
$5,580
$16,948
$10,270
$6,678
$12,240
$7,203
$5,037
$12,452
$7,306
$5,146



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,
2016
Acquisitions/
divestitures
AmortizationFX translation and otherMarch 31,
2017		December 31,
2017
Acquisitions/
divestitures
AmortizationFX translation and otherMarch 31,
2018
Purchased credit card relationships$1,666
$20
$(33)$1
$1,654
$1,539
$—
$(35)$(1)$1,503
Credit card contract related intangibles(1)
2,972
9
(98)2
2,885
2,589
—
(86)(1)2,502
Core deposit intangibles30
—
(6)2
26
11
—
(2)1
10
Other customer relationships202
—
(6)9
205
187
—
(6)11
192
Present value of future profits4
—
—
1
5
4
—
—
—
4
Indefinite-lived intangible assets210
—
—
17
227
244
—
—
(13)231
Other30
(14)(4)(1)11
14
—
(6)—
8
Intangible assets (excluding MSRs)$5,114
$15
$(147)$31
$5,013
$4,588
$—
$(135)$(3)$4,450
Mortgage servicing rights (MSRs)(2)
1,564
 567
558
 587
Total intangible assets$6,678
 $5,580
$5,146
 $5,037
(1)Primarily reflects contract-related intangibles associated with the American Airlines, Sears, The Home Depot, Costco, Sears and AT&T credit card program agreements, which represented 96% and 97% of the aggregate net carrying amount at March 31, 20172018 and December 31, 2016, respectively.2017.
(2)For additional information on Citi’s MSRs, including the rollforward for the three months ended March 31, 2017,2018, see Note 18 to the Consolidated Financial Statements.



16.   DEBT
For additional information regarding Citi’s short-term borrowings and long-term debt, see Note 17 to the Consolidated Financial Statements in Citi’s 20162017 Annual Report on Form 10-K.

Short-Term Borrowings
In millions of dollarsMarch 31,
2017		December 31,
2016		March 31,
2018		December 31,
2017
BalanceBalance
Commercial paper$10,088
$9,989
$10,022
$9,940
Other borrowings(1)
16,039
20,712
26,072
34,512
Total$26,127
$30,701
$36,094
$44,452

(1)Includes borrowings from Federal Home Loan Banks and other market participants. At March 31, 20172018 and December 31, 2016,2017, collateralized short-term advances from the Federal Home Loan Banks were $6.3$15.3 billion and $12.0$23.8 billion, respectively.

 

Long-Term Debt
In millions of dollarsMarch 31,
2017		December 31, 2016March 31,
2018		December 31, 2017
Citigroup Inc.(1)
$141,626
$147,333
$153,074
$152,163
Bank(2)
51,085
49,454
64,757
65,856
Broker-dealer(3)
15,819
9,391
Broker-dealer and other(3)
20,107
18,690
Total$208,530
$206,178
$237,938
$236,709

(1)Represents the parent holding company.
(2)Represents Citibank entities as well as other bank entities. At March 31, 20172018 and December 31, 2016,2017, collateralized long-term advances from the Federal Home Loan Banks were $20.3$15.7 billion and $21.6$19.3 billion, respectively.
(3)Represents broker-dealer and other non-bank 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 March 31, 20172018 and December 31, 2016.2017.


The following table summarizes Citi’s outstanding trust preferred securities at March 31, 2017:2018:
    Junior subordinated debentures owned by trust    Junior subordinated debentures owned by trust
Trust
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
Issuance
date
Securities
issued
Liquidation
value(1)
Coupon
rate(2)
Common
shares
issued
to parent
AmountMaturity
Redeemable
by issuer
beginning
In millions of dollars, except share amounts
In millions of dollars, except share amounts








In millions of dollars, except share amounts








Citigroup Capital IIIDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemableDec. 1996194,053
$194
7.625%6,003
$200
Dec. 1, 2036Not redeemable
Citigroup Capital XIIISept. 201089,840,000
2,246
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
125
6.829
50
125
June 28, 2067June 28, 2017June 200799,901
140
3 mo LIBOR + 88.75 bps
50
140
June 28, 2067June 28, 2017
Total obligated  
$2,565
  $2,571
   
$2,580
  $2,586
 

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.


17.   CHANGES IN ACCUMULATED OTHER COMPREHENSIVE INCOME (LOSS) (AOCI)
Changes in each component of Citigroup’s Accumulated other comprehensive income (loss) were as follows:
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit
plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2016$(799)$(352)$(560)$(5,164)$(25,506)$(32,381)
Other comprehensive income before reclassifications334
(55)24
(49)1,465
1,719
Increase (decrease) due to amounts reclassified from AOCI(114)(5)(26)37
(147)(255)
Change, net of taxes 
$220
$(60)$(2)$(12)$1,318
$1,464
Balance at March 31, 2017$(579)$(412)$(562)$(5,176)$(24,188)$(30,917)
Three Months Ended March 31, 2018
In millions of dollarsNet
unrealized
gains (losses)
on investment securities
Debt valuation adjustment (DVA)(1)
Cash flow hedges(2)
Benefit
plans(3)
Foreign
currency
translation
adjustment (CTA), net of hedges(4)
Accumulated
other
comprehensive income (loss)		Net
unrealized
gains (losses)
on investment securities		Debt valuation adjustment (DVA)
Cash flow hedges(1)
Benefit plans(2)
Foreign
currency
translation
adjustment (CTA), net of hedges(3)
Excluded Component of fair value hedges (4)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2015$(907)$—
$(617)$(5,116)$(22,704)$(29,344)
Balance, December 31, 2017$(1,158)$(921)$(698)$(6,183)$(25,708)$—
$(34,668)
Adjustment to opening balance, net of taxes (1)(5)
—
(15)—
—
—
(15)(3)—
—
—
—
—
(3)
Adjusted balance, beginning of period(907)(15)(617)(5,116)(22,704)(29,359)$(1,161)$(921)$(698)$(6,183)$(25,708)$—
$(34,671)
Other comprehensive income before reclassifications2,026
192
291
(500)654
2,663
(949)101
(243)41
1,120
(4)70
Increase (decrease) due to amounts reclassified from AOCI8
1
26
35
—
70
(109)27
21
47
—
—
(14)
Change, net of taxes$2,034
$193
$317
$(465)$654
$2,733
$(1,058)$128
$(222)$88
$1,120
$(4)$52
Balance, March 31, 2016$1,127
$178
$(300)$(5,581)$(22,050)$(26,626)
Balance at March 31, 2018$(2,219)$(793)$(920)$(6,095)$(24,588)$(4)$(34,619)

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)
Excluded Component of fair value hedges (4)
Accumulated
other
comprehensive income (loss)
Balance, December 31, 2016$(799)$(352)$(560)$(5,164)$(25,506)$—
$(32,381)
Adjustment to opening balance, net of taxes (6)
504
—
—
—
—
—
504
Adjusted balance, beginning of period$(295)$(352)$(560)$(5,164)$(25,506)$—
$(31,877)
Other comprehensive income before reclassifications334
(55)24
(49)1,465
—
1,719
Increase (decrease) due to amounts reclassified from AOCI(114)(5)(26)37
(147)—
(255)
Change, net of taxes$220
$(60)$(2)$(12)$1,318
$—
$1,464
Balance, March 31, 2017$(75)$(412)$(562)$(5,176)$(24,188)$—
$(30,413)
(1)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)(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.
(4)(3)Primarily reflects the movements in (by order of impact) the Mexican peso, Korean Won,Peso, Japanese Yen, Euro, and Japanese YenChinese Yuan against the U.S. dollar and changes in related tax effects and hedges for the quarter ended March 31, 2017.2018. Primarily reflects the movements in (by order of impact) the Mexican peso, Korean Won, Japanese Yen euro, and Brazilian realIndian Rupee against the U.S. dollar and changes in related tax effects and hedges for the quarter ended March, 31, 2016.2017.
(4)
Beginning in the first quarter of 2018, changes in the excluded component of fair value hedges are reflected as a component of AOCI, pursuant to the early adoption of ASU No. 2017-12, Targeted Improvements to Accounting for Hedging Activities. See Note 1 to the Consolidated Financial Statements for further information regarding this change.
(5)Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.
(6)
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.



The pretax and after-tax changes in each component of Accumulated other comprehensive income (loss) were as follows:
Three Months Ended March 31, 2018
In millions of dollarsPretaxTax effectAfter-taxPretax
Tax effect(1)
After-tax
Balance, December 31, 2016$(42,035)$9,654
$(32,381)
Change in net unrealized gains (losses) on investment securities346
(126)220
Balance, December 31, 2017(1)
$(41,228)$6,560
$(34,668)
Adjustment to opening balance (2)
(4)1
(3)
Adjusted balance, beginning of period$(41,232)$6,561
$(34,671)
Change in net unrealized gains (losses) on AFS debt securities(1,380)322
(1,058)
Debt valuation adjustment (DVA)(95)35
(60)167
(39)128
Cash flow hedges1
(3)(2)(290)68
(222)
Benefit plans(2)(10)(12)91
(3)88
Foreign currency translation adjustment1,468
(150)1,318
1,130
(10)1,120
Excluded component of fair value hedges(5)1
(4)
Change$1,718
$(254)$1,464
$(287)$339
$52
Balance, March 31, 2017$(40,317)$9,400
$(30,917)
Balance, March 31, 2018$(41,519)$6,900
$(34,619)


Three Months Ended March 31, 2017
In millions of dollarsPretaxTax effectAfter-taxPretaxTax effectAfter-tax
Balance, December 31, 2015$(38,440)$9,096
$(29,344)
Balance, December 31, 2016$(42,035)$9,654
$(32,381)
Adjustment to opening balance (1)(3)
(26)11
(15)803
(299)504
Adjusted balance, beginning of period(38,466)9,107
(29,359)$(41,232)$9,355
$(31,877)
Change in net unrealized gains (losses) on investment securities3,224
(1,190)2,034
346
(126)220
Debt valuation adjustment (DVA)307
(114)193
(95)35
(60)
Cash flow hedges481
(164)317
1
(3)(2)
Benefit plans(727)262
(465)(2)(10)(12)
Foreign currency translation adjustment513
141
654
1,468
(150)1,318
Excluded component of fair value hedges—
—
—
Change$3,798
$(1,065)$2,733
$1,718
$(254)$1,464
Balance, March 31, 2016$(34,668)$8,042
$(26,626)
Balance, March 31, 2017$(39,514)$9,101
$(30,413)
(1)Represents
Includes the ($15) million adjustment relatedimpact of ASU 2018-02, which transferred amounts from AOCI to Retained Earnings. For additional information, see Note 19 to the initialConsolidated Financial Statements in Citi’s 2017 Annual Report on Form 10-K.
(2)Citi adopted ASU 2016-01 and ASU 2018-03 on January 1, 2018. Upon adoption, a cumulative effect adjustment was recorded from AOCI to retained earnings for net unrealized gains on former AFS equity securities. For additional information, see Note 1 to the Consolidated Financial Statements.
(3)In the second quarter of ASU 2016-01.2017, Citi early adopted ASU-2017-08. Upon adoption, a cumulative effect adjustment was recorded to reduce retained earnings, effective January 1, 2017, for the incremental amortization of cumulative fair value hedge adjustments on callable state and municipal debt securities. See Note 1 to the Consolidated Financial Statements.


The Company recognized pretax gain (loss) related to amounts in AOCI reclassified to the Consolidated Statement of Income as follows:
Increase (decrease) in AOCI due to amounts reclassified to Consolidated Statement of IncomeIncrease (decrease) in AOCI due to amounts reclassified to Consolidated Statement of Income
Three months ended March 31,Three Months Ended March 31,
In millions of dollars2017201620182017
Realized (gains) losses on sales of investments$(192)$(186)$(170)$(192)
OTTI gross impairment losses12
203
Gross impairment losses27
12
Subtotal, pretax$(180)$17
$(143)$(180)
Tax effect66
(9)34
66
Net realized (gains) losses on investment securities, after-tax(1)
$(114)$8
Net realized (gains) losses on investments after-tax(1)
$(109)$(114)
Realized DVA (gains) losses on fair value option liabilities$(8)$1
$35
$(8)
Subtotal, pretax$(8)$1
$35
$(8)
Tax effect3
—
(8)3
Net realized debt valuation adjustment, after-tax$(5)$1
$27
$(5)
Interest rate contracts$(44)$16
$31
$(44)
Foreign exchange contracts3
26
(2)3
Subtotal, pretax$(41)$42
$29
$(41)
Tax effect15
(16)(8)15
Amortization of cash flow hedges, after-tax(2)
$(26)$26
$21
$(26)
Amortization of unrecognized   
Prior service cost (benefit)$(10)$(10)$(11)$(10)
Net actuarial loss67
66
69
67
Curtailment/settlement impact(3)
—
(2)4
—
Subtotal, pretax$57
$54
$62
$57
Tax effect(20)(19)(15)(20)
Amortization of benefit plans, after-tax(3)
$37
$35
$47
$37
Foreign currency translation adjustment$(232)$—
$—
$(232)
Tax effect85
—
—
85
Foreign currency translation adjustment$(147)$—
$—
$(147)
Total amounts reclassified out of AOCI, pretax$(404)$114
$(17)$(404)
Total tax effect149
(44)3
149
Total amounts reclassified out of AOCI, after-tax$(255)$70
$(14)$(255)
(1)
The pretax amount is reclassified to Realized gains (losses) on sales of investments, net and Gross impairment losses onin the Consolidated Statement of Income. See Note 12 to the Consolidated Financial Statements for additional details.
(2)See Note 19 to the Consolidated Financial Statements for additional details.
(3)See Note 8 to the Consolidated Financial Statements for additional details.



18. SECURITIZATIONS AND VARIABLE INTEREST ENTITIES
 
For additional information regarding Citi’s use of special purpose entities (SPEs) and variable interest entities (VIEs), see Note 21 to the Consolidated Financial Statements in Citi’s 20162017 Annual Report on Form 10-K.
Citigroup’s involvement with consolidated and unconsolidated VIEs with which the Company holds significant variable interests or has continuing involvement through servicing a majority of the assets in a VIE is presented below:
As of March 31, 2017 As of March 31, 2018
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures(2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$46,993
$46,993
$—
$—
$—
$—
$—
$—
$46,540
$46,540
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
   
U.S. agency-sponsored(5)
117,210
—
117,210
2,766
—
—
74
2,840
111,980
—
111,980
2,690
—
—
87
2,777
Non-agency-sponsored20,164
1,037
19,127
284
35
—
1
320
20,660
1,891
18,769
335
—
—
1
336
Citi-administered asset-backed commercial paper conduits (ABCP)19,120
19,120
—
—
—
—
—
—
18,962
18,962
—
—
—
—
—
—
Collateralized loan obligations (CLOs)18,246
—
18,246
5,071
—
—
64
5,135
16,491
—
16,491
5,362
—
—
9
5,371
Asset-based financing50,939
742
50,197
15,707
583
4,923
—
21,213
63,019
637
62,382
19,190
571
6,904
—
26,665
Municipal securities tender option bond trusts (TOBs)6,927
2,659
4,268
8
—
2,914
—
2,922
7,105
2,165
4,940
18
—
3,344
—
3,362
Municipal investments18,463
15
18,448
2,507
3,639
2,561
—
8,707
19,265
5
19,260
2,769
3,632
2,129
—
8,530
Client intermediation1,504
800
704
462
—
208
—
670
1,414
1,279
135
37
—
—
7
44
Investment funds2,177
767
1,410
32
34
15
1
82
1,874
603
1,271
10
7
13
—
30
Other767
36
731
115
11
66
44
236
693
34
659
28
8
33
49
118
Total$302,510
$72,169
$230,341
$26,952
$4,302
$10,687
$184
$42,125
$308,003
$72,116
$235,887
$30,439
$4,218
$12,423
$153
$47,233
As of December 31, 2016 As of December 31, 2017
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Maximum exposure to loss in significant unconsolidated VIEs(1)
 
Funded exposures(2)
Unfunded exposures  
Funded exposures(2)
Unfunded exposures 
In millions of dollars
Total
involvement
with SPE
assets
Consolidated
VIE / SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Total
involvement
with SPE
assets
Consolidated
VIE/SPE assets
Significant
unconsolidated
VIE assets(3)
Debt
investments
Equity
investments
Funding
commitments
Guarantees
and
derivatives
Total
Credit card securitizations$50,171
$50,171
$—
$—
$—
$—
$—
$—
$50,795
$50,795
$—
$—
$—
$—
$—
$—
Mortgage securitizations(4)
   
U.S. agency-sponsored214,458
—
214,458
3,852
—
—
78
3,930
116,610
—
116,610
2,647
—
—
74
2,721
Non-agency-sponsored15,965
1,092
14,873
312
35
—
1
348
22,251
2,035
20,216
330
—
—
1
331
Citi-administered asset-backed commercial paper conduits (ABCP)19,693
19,693
—
—
—
—
—
—
19,282
19,282
—
—
—
—
—
—
Collateralized loan obligations (CLOs)18,886
—
18,886
5,128
—
—
62
5,190
20,588
—
20,588
5,956
—
—
9
5,965
Asset-based financing53,168
733
52,435
16,553
475
4,915
—
21,943
60,472
633
59,839
19,478
583
5,878
—
25,939
Municipal securities tender option bond trusts (TOBs)7,070
2,843
4,227
40
—
2,842
—
2,882
6,925
2,166
4,759
138
—
3,035
—
3,173
Municipal investments17,679
14
17,665
2,441
3,578
2,580
—
8,599
19,119
7
19,112
2,709
3,640
2,344
—
8,693
Client intermediation515
371
144
49
—
—
3
52
958
824
134
32
—
—
9
41
Investment funds2,788
767
2,021
32
120
27
3
182
1,892
616
1,276
14
7
13
—
34
Other1,429
607
822
116
11
58
43
228
677
36
641
27
9
34
47
117
Total$401,822
$76,291
$325,531
$28,523
$4,219
$10,422
$190
$43,354
$319,569
$76,394
$243,175
$31,331
$4,239
$11,304
$140
$47,014

(1)    The definition of maximum exposure to loss is included in the text that follows this table.
(2)Included on Citigroup’s March 31, 20172018 and December 31, 20162017 Consolidated Balance Sheet.
(3)A significant unconsolidated VIE is an entity wherein which the Company has any variable interest or continuing involvement considered to be significant, regardless of the likelihood of loss.
(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)See Note 2 to the Consolidated Financial Statements for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs.

The previous tables do not include:

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 wherein which the Company holds securities in inventory, as these investments are made on arm’s-length terms;
certain positions in mortgage-backed and asset-backed securities held by the Company, which are classified as Trading account assets or Investments, wherein which the Company has no other involvement with the related securitization entity deemed to be significant (for more information on these positions, see Notes 12 and 20 to the Consolidated Financial Statements);
certain representations and warranties exposures in legacy ICG-sponsored mortgage-backed and asset-backed securitizations wherein which the Company has no variable interest or continuing involvement as servicer. The outstanding balance of mortgage loans securitized during 2005 to 2008 wherein which the Company has no variable interest or continuing involvement as servicer was approximately $10$8 billion and $9 billion at March 31, 20172018 and December 31, 2016;2017, 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 wherein which the Company has significant involvement represent the most current information available to the Company. In most cases, the asset balances represent an amortized cost basis without regard to impairments, unless fair value information is readily available to the Company.
The maximum funded exposure represents the balance sheet carrying amount of the Company’s investment in the VIE. It reflects the initial amount of cash invested in the VIE, adjusted for any accrued interest and cash principal payments received. The carrying amount may also be adjusted for increases or declines in fair value or any impairment in value recognized in earnings. The maximum exposure of unfunded positions represents the remaining undrawn committed amount, including liquidity and credit facilities provided by the Company or the notional amount of a derivative instrument considered to be a variable interest. In certain transactions, the Company has entered into derivative instruments or other arrangements that are not considered variable interests in the VIE (e.g., interest rate swaps, cross-currency swaps or where the Company is the purchaser of credit protection under a credit default swap or total return swap where the Company pays the total return on certain assets to the SPE). Receivables under such arrangements are not included in the maximum exposure amounts.


Funding Commitments for Significant Unconsolidated VIEs—Liquidity Facilities and Loan Commitments
The following table presents the notional amount of liquidity facilities and loan commitments that are classified as funding commitments in the VIE tables above:
March 31, 2017December 31, 2016March 31, 2018December 31, 2017
In millions of dollars
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Liquidity
facilities
Loan/equity
commitments
Asset-based financing$—
$4,923
$5
$4,910
$—
$6,904
$—
$5,878
Municipal securities tender option bond trusts (TOBs)2,914
—
2,842
—
3,344
—
3,035
—
Municipal investments—
2,561
—
2,580
—
2,129
—
2,344
Client Intermediation—
208
—
—
Investment funds—
15
—
27
—
13
—
13
Other—
66
—
58
—
33
—
34
Total funding commitments$2,914
$7,773
$2,847
$7,575
$3,344
$9,079
$3,035
$8,269
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 dollarsMarch 31, 2017December 31, 2016March 31, 2018December 31, 2017
Cash$0.1
$0.1
$—
$—
Trading account assets8.1
8.0
7.7
8.5
Investments4.4
4.4
4.4
4.4
Total loans, net of allowance18.3
18.8
21.9
22.2
Other0.5
1.5
0.5
0.5
Total assets$31.4
$32.8
$34.5
$35.6
Credit Card Securitizations
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
 
(Omni Trust), with the substantial majority through the Master Trust. These trusts are consolidated entities.
The following table reflects amounts related to the Company’s securitized credit card receivables:
In billions of dollarsMarch 31, 2017December 31, 2016March 31, 2018December 31, 2017
Ownership interests in principal amount of trust credit card receivables
Sold to investors via trust-issued securities$23.2
$22.7
$28.8
$28.8
Retained by Citigroup as trust-issued securities7.5
7.4
7.7
7.6
Retained by Citigroup via non-certificated interests16.2
20.6
10.1
14.4
Total$46.9
$50.7
$46.6
$50.8

The following table summarizestables summarize selected cash flow information related to Citigroup’s credit card securitizations:
Three months ended March 31,Three Months Ended March 31,
In billions of dollars2017201620182017
Proceeds from new securitizations$2.5
$—
$2.8
$2.5
Pay down of maturing notes(2.0)(2.2)(2.8)(2.0)

Master Trust Liabilities (at Par Value)
The weighted average maturity of the third-party term notes issued by the Master Trust was 2.52.7 years as of March 31, 20172018 and 2.6 years as of December 31, 2016.2017.


In billions of dollarsMar. 31, 2018Dec. 31, 2017
Term notes issued to third parties$27.8
$27.8
Term notes retained by Citigroup affiliates5.8
5.7
Total Master Trust liabilities$33.6
$33.5


 

MasterOmni Trust Liabilities (at Par Value)
In billions of dollarsMarch 31, 2017Dec. 31, 2016
Term notes issued to third parties$22.2
$21.7
Term notes retained by Citigroup affiliates5.6
5.5
Total Master Trust liabilities$27.8
$27.2

The weighted average maturity of the third-party term notes issued by the Omni Trust was 1.6 years as of March 31, 20172018 and 1.9 years as of December 31, 2016.2017.

Omni Trust Liabilities (at Par Value)
In billions of dollarsMarch 31, 2017Dec. 31, 2016Mar. 31, 2018Dec. 31, 2017
Term notes issued to third parties$1.0
$1.0
$1.0
$1.0
Term notes retained by Citigroup affiliates1.9
1.9
1.9
1.9
Total Omni Trust liabilities$2.9
$2.9
$2.9
$2.9


Mortgage Securitizations
The following table summarizes selected cash flow information related to Citigroup mortgage securitizations:
 20172016
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages
Non-agency-
sponsored
mortgages(1)
Proceeds from new securitizations$7.2
$1.4
$10.6
$4.2
Contractual servicing fees received0.1
—
0.1
—

(1) The proceeds from new securitizations in 2016 include $0.5 billion related to personal loan securitizations.
 20182017
In billions of dollarsU.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages		U.S. agency-
sponsored
mortgages		Non-agency-
sponsored
mortgages
Proceeds from new securitizations$8.0
$3.4
$7.2
$1.4
Contractual servicing fees received—
—
0.1
—

During the first quarter of 2017,2018, gains recognized on the securitization of U.S. agency-sponsored mortgages and non-agency sponsored mortgages were $29$5 million and $20$18 million, respectively.

 
Agency and non-agency securitization gainssecuritizations for the quarter ended March 31, 20162017 were $25$29 million and $9$20 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:
 March 31, 20172018
  
Non-agency-sponsored mortgages(1)
 
U.S. agency- 
sponsored mortgages
Senior 
interests
Subordinated 
interests
Discount rate2.4%3.0% to 19.9%11.4%
—
—
   Weighted average discount rate13.06.4%—
—
Constant prepayment rate3.8%4.2% to 10.5%16.0%
—
—
   Weighted average constant prepayment rate6.28.5%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life6.57.7 to 12.218.0 years
—
—

 March 31, 20162017
  
Non-agency-sponsored mortgages(1)
 U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate2.1%2.4% to 11.5%19.9%
—
—
   Weighted average discount rate8.413.0%—
—
Constant prepayment rate9.1%3.8% to 23.3%10.5%
—
—
   Weighted average constant prepayment rate11.86.2%—
—
Anticipated net credit losses(2)
   NM
—
—
   Weighted average anticipated net credit losses   NM
—
—
Weighted average life3.56.5 to 17.512.2 years
—
—

Note: Citi held no retained interests in non-agency-sponsored mortgages securitized during the first quarter of 2017 and 2016.
(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.
March 31, 2017March 31, 2018
 
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 rate0.7% to 41.8%
0.0% to 4.4%
6.2% to 23.8%
0.8% to 41.3%
6.5%4.0% to 11.2%
Weighted average discount rate9.5%0.5%11.8%6.2%6.5%7.3%
Constant prepayment rate6.2% to 20.7%
8.0% to 13.1%
0.5% to 23.6%
4.3% to 18.4%
8.9%9.1% to 13.1%
Weighted average constant prepayment rate9.8%12.3%9.0%10.3%8.9%10.7%
Anticipated net credit losses(2)
   NM
0.5% to 53.0%
29.7% to 62.7%
   NM
46.9%35.1% to 52.1%
Weighted average anticipated net credit losses   NM
8.7%49.0%   NM
46.9%44.5%
Weighted average life0.0 to 28.6 years
5.3 to 8.6 years
0.9 to 11.9 years
0.1 to 27.5 years
5.4 years
2.1 to 18.3 years

December 31, 2016December 31, 2017
 
Non-agency-sponsored mortgages(1)
 
Non-agency-sponsored mortgages(1)
U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests		U.S. agency-
sponsored mortgages		Senior
interests		Subordinated
interests
Discount rate0.7% to 28.2%
0.0% to 8.1%
5.1% to 26.4%
1.8% to 84.2%
5.8% to 100.0%
2.8% to 35.1%
Weighted average discount rate9.0%2.1%13.1%7.1%5.8%9.0%
Constant prepayment rate6.8% to 22.8%
4.2% to 14.7%
0.5% to 37.5%
6.9% to 27.8%
8.9% to 15.5%
8.6% to 13.1%
Weighted average constant prepayment rate10.2%11.0%10.8%11.6%8.9%10.6%
Anticipated net credit losses(2)
   NM
0.5% to 85.6%
8.0% to 63.7%
   NM
0.4% to 46.9%
35.1% to 52.1%
Weighted average anticipated net credit losses   NM
31.4%48.3%   NM
46.9%44.9%
Weighted average life0.2 to 28.8 years
5.0 to 8.5 years
1.2 to 12.1 years
0.1 to 27.8 years
4.8 to 5.3 years
0.2 to 18.6 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.



March 31, 2017March 31, 2018
 
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$1,211
$30
$168
$1,767
$245
$138
Discount rates  
Adverse change of 10%$(42)$(8)$(8)$(47)$—
$(2)
Adverse change of 20%(80)(16)(15)(91)—
(4)
Constant prepayment rate  
Adverse change of 10%(33)(2)(3)(37)—
(1)
Adverse change of 20%(69)(3)(7)(75)—
(2)
Anticipated net credit losses  
Adverse change of 10%NM
(7)(1)NM
—
—
Adverse change of 20%NM
(14)(2)NM
—
(1)

December 31, 2016December 31, 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$2,258
$26
$161
$1,634
$214
$139
Discount rates  
Adverse change of 10%$(71)$(7)$(8)$(44)$(2)$(3)
Adverse change of 20%(138)(14)(16)(85)(4)(5)
Constant prepayment rate  
Adverse change of 10%(80)(2)(4)(41)(1)(1)
Adverse change of 20%(160)(3)(8)(84)(1)(2)
Anticipated net credit losses  
Adverse change of 10%NM
(7)(1)NM
(3)—
Adverse change of 20%NM
(14)(2)NM
(7)—

(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)
The fair value of Citi’s capitalized MSRs was $567$587 million and $1.6 billion$567 million at March 31, 20172018 and December 31, 2016,2017, respectively. The MSRs correspond to principal loan balances of $71$64 billion and $168$71 billion as of March 31, 20172018 and December 31, 2016,2017, respectively. The following table summarizes the changes in capitalized MSRs:
In millions of dollars2017201620182017
Balance, beginning of year$1,564
$1,781
$558
$1,564
Originations35
33
17
35
Changes in fair value of MSRs due to changes in inputs and assumptions67
(225)46
67
Other changes(1)
(53)(79)(17)(53)
Sale of MSRs(2)
(1,046)14
(17)(1,046)
Balance, as of March 31$567
$1,524
$587
$567

(1)Represents changes due to customer payments and passage of time.
(2)See Note 2 to the Consolidated Financial Statements in Citi’s 2017 Annual Report on Form 10-K for more information on the exit of the U.S. mortgage servicing operations and sale of MSRs. 2016 amount includes sales of credit challenged MSRs for which Citi paid the new servicer.in 2017.

 
The Company receives fees during the course of servicing previously securitized mortgages. The amounts of these fees were as follows:
In millions of dollars2017201620182017
Servicing fees$106
$128
$46
$106
Late fees3
4
1
3
Ancillary fees4
5
3
4
Total MSR fees$113
$137
$50
$113

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 quarters ended March 31, 20172018 and 2016.2017. These securities are backed by either residential or commercial mortgages and are often structured on behalf of clients.
As of March 31, 2017,2018, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $126$74 million (all related to re-securitization transactions executed prior to 2017)2016), which has been recorded in Trading account assets. Of this amount, substantially all was related to subordinated beneficial interests. As of December 31, 2016,2017, the fair value of Citi-retained interests in private-label re-securitization transactions structured by Citi totaled approximately $126$79 million (all related to re-securitization transactions executed prior to 2016). Of this amount, substantially 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 March 31, 20172018 and December 31, 20162017 was approximately $1.0 billion$668 million and $1.3 billion,$887 million, respectively.
The Company also re-securitizes U.S. government-agency guaranteed mortgage-backed (agency) securities. During the quarters ended March 31, 20172018 and 2016,2017, Citi transferred agency securities with a fair value of approximately $7.0 billion and $4.5 billion, and $7.3 billion, respectively, to re-securitization entities.respectively.
As of March 31, 2017,2018, the fair value of Citi-retained interests in agency re-securitization transactions structured by Citi totaled approximately $2.3$2.1 billion (including $599$744 million related to re-securitization transactions executed in 2017)2018) compared to $2.3$2.1 billion as of December 31, 20162017 (including $741$854 million related to re-securitization transactions executed in 2016)2017), which is recorded in Trading account assets. The original fair value of agency re-securitization transactions in which Citi holds a retained interest as of March 31, 20172018 and December 31, 20162017 was approximately $68.6$65.2 billion and $71.8$68.3 billion, respectively.
As of March 31, 20172018 and December 31, 2016,2017, the Company did not consolidate any private-label or agency re-securitization entities.

 
Citi-Administered Asset-Backed Commercial Paper Conduits
At March 31, 20172018 and December 31, 2016,2017, the commercial paper conduits administered by Citi had approximately $19.1$19.0 billion and $19.7$19.3 billion of purchased assets outstanding, respectively, and had incremental funding commitments with clients of approximately $14.2$15.2 billion and $12.8$14.5 billion, respectively.
Substantially all of the funding of the conduits is in the form of short-term commercial paper. At March 31, 20172018 and December 31, 2016,2017, the weighted average remaining lives of the commercial paper issued by the conduits were approximately 5243 and 5551 days, respectively.
The primary credit enhancement provided to the conduit investors is in the form of transaction-specific credit enhancements described above. In addition to the transaction-specific credit enhancements, the conduits, other than the government guaranteed loan conduit, have obtained a letter of credit from the Company, which is equal to at least 8% to 10% of the conduit’s assets with a minimum of $200 million. The letters of credit provided by the Company to the conduits total approximately $1.7 billion and $1.8 billion as of March 31, 20172018 and December 31, 2016, respectively.2017. The net result across multi-seller conduits administered by the Company 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.
At March 31, 20172018 and December 31, 2016,2017, the Company owned $9.3$9.0 billion and $9.7$9.3 billion, respectively, of the commercial paper issued by its administered conduits. The Company's investments were not driven by market illiquidity and the Company is not obligated under any agreement to purchase the commercial paper issued by the conduits.

Collateralized Loan Obligations
The following table summarizes selected cash flow information related to Citigroup CLOs:
Three Months Ended March 31,
In billions of dollarsMar. 31, 2017Mar. 31, 201620182017
Proceeds from new securitizations$0.3
$—
$1.4
$0.3

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:

Mar. 31, 20172018Dec. 31, 20162017
Discount rate   1.1% to 1.7%1.6%1.3%1.1% to 1.7%1.6%
In millions of dollarsMar. 31, 2018Dec. 31, 2017
Carrying value of retained interests$3,713
$3,607
Discount rates  
   Adverse change of 10%$(25)$(24)
   Adverse change of 20%(49)(47)
In millions of dollarsMar. 31, 2017Dec. 31, 2016
Carrying value of retained interests$4,259
$4,261
Discount rates  
   Adverse change of 10%$(28)$(30)
   Adverse change of 20%(55)(62)



Asset-Based Financing
The primary types of Citi’s asset-based financings, total assets of the unconsolidated VIEs with significant involvement, and Citi’s maximum exposure to loss are shown below. For Citi to realize the maximum loss, the VIE (borrower) would have to default with no recovery from the assets held by the VIE.
March 31, 2017March 31, 2018
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$8,194
$2,164
$15,152
$4,815
Corporate loans3,376
2,183
6,862
5,731
Hedge funds and equities417
57
449
58
Airplanes, ships and other assets38,210
16,809
39,919
16,061
Total$50,197
$21,213
$62,382
$26,665
December 31, 2016December 31, 2017
In millions of dollars
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Total 
unconsolidated 
VIE assets
Maximum 
exposure to 
unconsolidated VIEs
Type  
Commercial and other real estate$8,784
$2,368
$15,370
$5,445
Corporate loans4,051
2,684
4,725
3,587
Hedge funds and equities370
54
542
58
Airplanes, ships and other assets39,230
16,837
39,202
16,849
Total$52,435
$21,943
$59,839
$25,939

Municipal Securities Tender Option Bond (TOB) Trusts
At March 31, 20172018 and December 31, 2016, approximately $81 million and $82 million, respectively,2017, none of the municipal bonds owned by non-customer TOB trusts were subject to a credit guarantee provided by the Company.
At March 31, 20172018 and December 31, 2016,2017, liquidity agreements provided with respect to customer TOB trusts totaled $2.9$3.4 billion and $3.2 billion, respectively, of which $2.1$2.0 billion and $2.0 billion, respectively, were offset by reimbursement agreements. For the remaining exposure related to TOB transactions, where the Residualresidual owned by the customer was at least 25% of the bond value at the inception of the transaction, no reimbursement agreement was executed.
The Company also provides other liquidity agreements or letters of credit to customer-sponsored municipal investment funds, which are not variable interest entities, and municipality-related issuers that totaled $7.4$6.2 billion and $6.1 billion as of March 31, 20172018 and December 31, 2016.2017, respectively. These liquidity agreements and letters of credit are offset by reimbursement agreements with various term-out provisions.

Client Intermediation
The proceeds from new securitizations related to the Company’s client intermediation transactions for the quarters ended March 31, 20172018 and 20162017 totaled approximately $0.50.2 billion and $0.60.5 billion, respectively.





19.   DERIVATIVES ACTIVITIES
As of January 1, 2018, Citigroup early adopted ASU 2017-12, Targeted Improvements to Accounting for Hedge Activities. This standard primarily impacts Citi’s accounting for derivatives designated as cash flow hedges and fair value hedges. Refer to the respective sections below for details.
In the ordinary course of business, Citigroup enters into various types of derivative transactions. All derivatives are recorded in Trading account assets/Trading account liabilities on the Consolidated Balance Sheet. For additional information regarding Citi’s use of and accounting for derivatives, see Note 22 to the Consolidated Financial Statements in Citi’s 20162017 Annual Report on Form 10-K.
Information pertaining to Citigroup’s derivative 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, Citi’s derivative exposure arises primarily from market fluctuations (i.e., market risk), counterparty failure (i.e., credit risk) and/or periods of high volatility or financial stress (i.e., liquidity risk), as well as any market valuation adjustments that may be required on the transactions. Moreover, notional amounts do not reflect the netting of offsetting trades. For example, if Citi enters into a receive-fixed interest rate swap with $100 million notional, and offsets this risk with an identical but opposite pay-fixed position with a different counterparty, $200 million in derivative notionals is reported, although these offsetting positions may result in de minimis overall market risk. 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)
Other derivative instruments

Trading derivatives
Management hedges(3)

Trading derivatives
In millions of dollarsMarch 31,
2017		December 31,
2016		March 31,
2017		December 31,
2016		March 31,
2017		December 31,
2016		March 31,
2018		December 31,
2017		March 31,
2018		December 31,
2017
Interest rate contracts        
Swaps$198,753
$151,331
$20,669,239
$19,145,250
$29,447
$47,324
$197,328
$189,779
$21,321,930
$18,754,219
Futures and forwards97
97
8,341,434
6,864,276
10,143
30,834
500
—
8,245,034
6,460,539
Written options—
—
3,645,213
2,921,070
3,288
4,759
—
—
4,578,837
3,516,131
Purchased options—
—
3,501,503
2,768,528
3,900
7,320
—
—
3,710,550
3,234,025
Total interest rate contract notionals$198,850
$151,428
$36,157,389
$31,699,124
$46,778
$90,237
$197,828
$189,779
$37,856,351
$31,964,914
Foreign exchange contracts         
Swaps$36,928
$19,042
$6,548,915
$5,492,145
$21,420
$22,676
$40,063
$37,162
$6,940,579
$5,576,357
Futures, forwards and spot38,220
56,964
4,175,350
3,251,132
2,333
3,419
39,102
33,103
4,465,416
3,097,700
Written options1,172
—
1,299,018
1,194,325
—
—
1,151
3,951
1,460,614
1,127,728
Purchased options2,596
—
1,308,291
1,215,961
—
—
1,405
6,427
1,450,534
1,148,686
Total foreign exchange contract notionals$78,916
$76,006
$13,331,574
$11,153,563
$23,753
$26,095
$81,721
$80,643
$14,317,143
$10,950,471
Equity contracts          
Swaps$—
$—
$204,137
$192,366
$—
$—
$—
$—
$243,567
$215,834
Futures and forwards—
—
42,926
37,557
—
—
—
—
67,910
72,616
Written options—
—
372,759
304,579
—
—
—
—
427,798
389,961
Purchased options—
—
350,655
266,070
—
—
—
—
366,219
328,154
Total equity contract notionals$—
$—
$970,477
$800,572
$—
$—
$—
$—
$1,105,494
$1,006,565
Commodity and other contracts          
Swaps$—
$—
$67,942
$70,774
$—
$—
$—
$—
$92,552
$82,039
Futures and forwards155
182
151,844
142,530
—
—
91
23
176,174
153,248
Written options—
—
74,668
74,627
—
—
—
—
71,136
62,045
Purchased options—
—
70,529
69,629
—
—
—
—
66,092
60,526
Total commodity and other contract notionals$155
$182
$364,983
$357,560
$—
$—
$91
$23
$405,954
$357,858
Credit derivatives(4)(2)
         
Protection sold$—
$—
$876,791
$859,420
$—
$—
$—
$—
$741,700
$735,142
Protection purchased—
—
895,380
883,003
17,226
19,470
—
—
790,134
777,713
Total credit derivatives$—
$—
$1,772,171
$1,742,423
$17,226
$19,470
$—
$—
$1,531,834
$1,512,855
Total derivative notionals$277,921
$227,616
$52,596,594
$45,753,242
$87,757
$135,802
$279,640
$270,445
$55,216,776
$45,792,663

(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 $1,815$2 million and $1,825$63 million at March 31, 20172018 and December 31, 2016,2017, 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 as of March 31, 20172018 and December 31, 2016.2017. Gross positive fair values are offset against gross negative fair values by counterparty, pursuant to enforceable master netting agreements. Under ASC 815-10-45, payables and receivables in respect of cash collateral received from or paid to a given counterparty pursuant to a credit support annex are included in the offsetting amount, if a legal opinion supporting the enforceability of netting and collateral rights has been obtained. GAAP does not permit similar offsetting for security collateral.
In addition, the table for March 31, 2017 reflects afollowing tables reflect rule changechanges adopted by a clearing organizationorganizations that became effective January 3, 2017.  Under this rule change,require or allow entities to elect to treat derivative assets, liabilities and the related variation margin exchanged on certain interest rate and credit derivative contracts is legally characterized and accounted for as settlement of the related derivative fair value,values for legal and notaccounting purposes, as opposed to presenting gross derivative assets and liabilities that are subject to collateral, (wherebywhereby the counterparties would record a related collateral payable or receivable).receivable.  As a result, the table for March 31, 2017 reflects a reduction inof approximately $20$110 billion and $100 billion as of grossMarch 31, 2018 and December 31, 2017, respectively, of derivative assets and gross derivative liabilities due to the accounting treatment of variation margin payments as settlement for derivatives with this clearing organization that previously would have been reported on a gross basis, but are now settled and not subject to the rule change. There is no change to the consolidated balance sheet reporting for the affected items.
collateral. The tables also present amounts that are not permitted to be offset, such as security collateral or cash collateral posted at third-party custodians, but which would be eligible for offsetting to the extent that an event of default occurred and a legal opinion supporting enforceability of the netting and collateral rights has been obtained.


Derivative Mark-to-Market (MTM) Receivables/Payables
In millions of dollars at March 31, 2017
Derivatives classified
in Trading account
assets / liabilities(1)(2)(3)
Derivatives classified
in Other
assets / liabilities(2)(3)
In millions of dollars at March 31, 2018
Derivatives classified
in Trading account
assets / liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$645
$143
$1,308
$34
$1,896
$92
Cleared3,925
2,175
53
62
62
125
Interest rate contracts$4,570
$2,318
$1,361
$96
$1,958
$217
Over-the-counter$1,315
$923
$232
$236
$1,011
$1,199
Foreign exchange contracts$1,315
$923
$232
$236
$1,011
$1,199
Total derivatives instruments designated as ASC 815 hedges$5,885
$3,241
$1,593
$332
$2,969
$1,416
Derivatives instruments not designated as ASC 815 hedges


 
Over-the-counter$222,212
$203,860
$64
$—
$184,682
$163,259
Cleared86,795
94,086
119
164
8,972
11,926
Exchange traded150
85
—
—
217
184
Interest rate contracts$309,157
$298,031
$183
$164
$193,871
$175,369
Over-the-counter$122,726
$126,685
$—
$59
$125,761
$119,004
Cleared1,170
1,042
—
—
3,426
3,343
Exchange traded25
17
—
—
19
8
Foreign exchange contracts$123,921
$127,744
$—
$59
$129,206
$122,355
Over-the-counter$16,494
$20,844
$—
$—
$18,737
$23,424
Cleared19
27
—
—
12
17
Exchange traded8,123
7,819
—
—
10,686
10,674
Equity contracts$24,636
$28,690
$—
$—
$29,435
$34,115
Over-the-counter$10,807
$12,647
$—
$—
$15,189
$18,134
Exchange traded642
665
—
—
642
717
Commodity and other contracts$11,449
$13,312
$—
$—
$15,831
$18,851
Over-the-counter$16,987
$17,770
$46
$87
$12,059
$11,633
Cleared6,335
6,916
26
325
6,968
7,976
Credit derivatives(4)
$23,322
$24,686
$72
$412
$19,027
$19,609
Total derivatives instruments not designated as ASC 815 hedges$492,485
$492,463
$255
$635
$387,370
$370,299
Total derivatives$498,370
$495,704
$1,848
$967
$390,339
$371,715
Cash collateral paid/received(6)(3)
$10,436
$13,961
$5
$15
$8,676
$14,971
Less: Netting agreements(7)(4)
(416,229)(416,229)—
—
(303,169)(303,169)
Less: Netting cash collateral received/paid(8)(5)
(36,198)(40,577)(940)(51)(40,951)(33,800)
Net receivables/payables included on the Consolidated Balance Sheet(9)(6)
$56,379
$52,859
$913
$931
$54,895
$49,717
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(653)$(13)$—
$—
$(924)$(113)
Less: Non-cash collateral received/paid(10,239)(8,635)(506)—
(13,525)(20,260)
Total net receivables/payables(9)(6)
$45,487
$44,211
$407
$931
$40,446
$29,344
(1)The trading derivatives fair values are also presented in Note 20 to the Consolidated Financial Statements.
(2)
Derivative mark-to-market receivables/payables related to management hedges are recorded in either Other assets/Other liabilities or Trading account assets/Trading account liabilities.
(3)Over-the-counter (OTC) derivatives are derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. Cleared derivatives include derivatives executed bilaterally with a counterparty in the OTC market, but then novated to a central clearing house, whereby the central clearing house becomes the counterparty to both of the original counterparties. Exchange traded derivatives include derivatives executed directly on an organized exchange that provides pre-trade price transparency.
(4)(3)The credit derivatives trading assets comprise $6,312 million related to protection purchased and $17,010 million related to protection sold as of March 31, 2017. The credit derivatives trading liabilities comprise $18,467 million related to protection purchased and $6,219 million related to protection sold as of March 31, 2017.
(5)For the trading account assets/liabilities, reflectsReflects the net amount of the $51,013$42,476 million and $50,159$55,922 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $40,577$33,800 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $36,198$40,951 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 $56 million of gross cash collateral paid, of which $51 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 $955 million of gross cash collateral received, of which $940 million is netted against OTC non-trading derivative positions within Other assets.
(7)(4)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $315$163 billion, $93$129 billion and $8$11 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.
(8)(5)Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.


(9)(6)The net receivables/payables include approximately $7$5 billion of derivative asset and $11$7 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.

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)
In millions of dollars at December 31, 2017
Derivatives classified in Trading
account assets / liabilities(1)(2)
Derivatives instruments designated as ASC 815 hedgesAssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Over-the-counter$716
$171
$1,927
$22
$1,969
$134
Cleared3,530
2,154
47
82
110
92
Interest rate contracts$4,246
$2,325
$1,974
$104
$2,079
$226
Over-the-counter$2,494
$393
$747
$645
$1,143
$1,150
Foreign exchange contracts$2,494
$393
$747
$645
$1,143
$1,150
Total derivatives instruments designated as ASC 815 hedges$6,740
$2,718
$2,721
$749
$3,222
$1,376
Derivatives instruments not designated as ASC 815 hedges


 
Over-the-counter$244,072
$221,534
$225
$5
$195,677
$173,937
Cleared120,920
130,855
240
349
7,129
10,381
Exchange traded87
47
—
—
102
95
Interest rate contracts$365,079
$352,436
$465
$354
$202,908
$184,413
Over-the-counter$182,659
$186,867
$—
$60
$119,092
$117,473
Cleared482
470
—
—
1,690
2,028
Exchange traded27
31
—
—
34
121
Foreign exchange contracts$183,168
$187,368
$—
$60
$120,816
$119,622
Over-the-counter$15,625
$19,119
$—
$—
$17,221
$21,201
Cleared1
21
—
—
21
25
Exchange traded8,484
7,376
—
—
9,736
10,147
Equity contracts$24,110
$26,516
$—
$—
$26,978
$31,373
Over-the-counter$13,046
$14,234
$—
$—
$13,499
$16,362
Exchange traded719
798
—
—
604
665
Commodity and other contracts$13,765
$15,032
$—
$—
$14,103
$17,027
Over-the-counter$19,033
$19,563
$159
$78
$12,972
$12,958
Cleared5,582
5,874
47
310
7,562
8,575
Credit derivatives(4)
$24,615
$25,437
$206
$388
$20,534
$21,533
Total derivatives instruments not designated as ASC 815 hedges$610,737
$606,789
$671
$802
$385,339
$373,968
Total derivatives$617,477
$609,507
$3,392
$1,551
$388,561
$375,344
Cash collateral paid/received(6)(3)
$11,188
$15,731
$8
$1
$7,541
$14,308
Less: Netting agreements(7)(4)
(519,000)(519,000)—
—
(306,401)(306,401)
Less: Netting cash collateral received/paid(8)(5)
(45,912)(49,811)(1,345)(53)(38,532)(35,666)
Net receivables/payables included on the Consolidated Balance Sheet(9)(6)
$63,753
$56,427
$2,055
$1,499
$51,169
$47,585
Additional amounts subject to an enforceable master netting agreement, but not offset on the Consolidated Balance Sheet  
Less: Cash collateral received/paid$(819)$(19)$—
$—
$(872)$(121)
Less: Non-cash collateral received/paid(11,767)(5,883)(530)—
(12,739)(6,929)
Total net receivables/payables(9)(6)
$51,167
$50,525
$1,525
$1,499
$37,558
$40,535
(1)
The trading derivatives fair values are presented in Note 20 to the Consolidated Financial Statements.
(2)
Derivative mark-to-market receivables/payables related to management hedges are recorded in eitherpreviously reported within Other assets/Other liabilitieshave been reclassified to or Trading account assets/Trading account liabilities.to conform with the current period presentation.
(3)(2)Over-the-counter (OTC) derivatives 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 $8,871 million related to protection purchased and $15,744 million related to protection sold as of December 31, 2016. The credit derivatives trading liabilities comprise $16,722 million related to protection purchased and $8,715 million related to protection sold as of December 31, 2016.
(5)(3)For the trading account assets/liabilities, reflectsReflects the net amount of the $60,999$43,207 million and $61,643$52,840 million of gross cash collateral paid and received, respectively. Of the gross cash collateral paid, $49,811$35,666 million was used to offset trading derivative liabilities and, of the gross cash collateral received, $45,912$38,532 million was used to offset trading derivative assets.
(6)
For cash collateral paid with respect to non-trading derivative assets, reflects the net amount of $61 million of gross cash collateral paid, of which $53 million is netted against non-trading derivative positions within Other liabilities. For cash collateral received with respect to non-trading derivative liabilities, reflects the net amount of $1,346 million of gross cash collateral received, of which $1,345 million is netted against OTC non-trading derivative positions within Other assets.
(7)(4)Represents the netting of derivative receivable and payable balances with the same counterparty under enforceable netting agreements. Approximately $383$283 billion, $128$14 billion and $8$9 billion of the netting against trading account asset/liability balances is attributable to each of the OTC, cleared and exchange-traded derivatives, respectively.


(8)(5)Represents the netting of cash collateral paid and received by counterparty under enforceable credit support agreements. Substantially all cash collateral received and paid is netted against OTC derivative assets and liabilities, respectively.
(9)(6)The net receivables/payables include approximately $7$6 billion of derivative asset and $9$8 billion of derivative liability fair values not subject to enforceable master netting agreements, respectively.


For the three months ended March 31, 20172018 and 2016,2017, 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 March 31,
In millions of dollars20172016
Interest rate contracts$(45)$15
Foreign exchange3
4
Credit derivatives(263)(213)
Total Citigroup$(305)$(194)
 
Gains (losses) included in
Other revenue

Three Months Ended March 31,
In millions of dollars20182017
Interest rate contracts$(28)$(53)
Foreign exchange527
225
Credit derivatives(46)(279)
Total Citigroup$453
$(107)



Fair Value Hedge

Hedging of Benchmark Interest Rate Risk
Citigroup’s fair value hedges are primarily hedges of fixed-rate long-term debt or assets, such as available-for-sale securities or loans.
For qualifying fair value hedges of interest rate risk, the changes in the fair value of the derivative and the change in the fair value of the hedged item attributable to the hedged risk, either total cash flows or benchmark only cash flows are presented within Interest revenue or Interest expense based on whether the hedged item is an asset or a liability. Prior to the adoption of ASU 2017-12, the fair value of the derivative was presented in Other revenue or Principal transactions and the difference between the changes in the hedged item and the derivative was defined as ineffectiveness.

Hedging of Foreign Exchange Risk
Citigroup hedges the change in fair value attributable to foreign exchange rate movements in available-for-sale securities and long-term debt that are denominated in currencies other than the functional currency of the entity holding the securities or issuing the debt, which may be within or outside the U.S. The hedging instrument may be a forward foreign exchange contract or a cross currency swap contract. Citigroup considers the premium associated with forward contracts (i.e., the differential between the spot and contractual forward rates) as the cost of hedging; this amount is excluded from the assessment of hedge effectiveness and reflected directly in earnings over the life of the hedge. Beginning January 1, 2018, Citi excludes changes in cross-currency basis associated with cross-currency swaps from the assessment of hedge effectiveness and records it in Other-comprehensive-income.
 
Hedging of Commodity Price Risk
Citigroup hedges the change in fair value attributable to spot price movements in physical commodities inventory. The hedging instrument is a futures contract to sell the underlying commodity. In this hedge, the change in the value of the hedged inventory is reflected in earnings, which offsets the change in the fair value of the futures contract that is also reflected in earnings. Although the change in the fair value of the hedging instrument recorded in earnings includes changes in forward rates, Citigroup excludes the differential between the spot and the contractual forward rates under the futures contract from the assessment of hedge effectiveness and amortizes directly into earnings over the life of the hedge.


























The following table summarizes the gains (losses) on the Company’s fair value hedges:
Gains (losses) on fair value hedges(1)
Gains (losses) on fair value hedges(1)
Three Months Ended March 31,
Three months ended March 31,2018
2017(3)
In millions of dollars20172016Other RevenueNet interest revenueOther Revenue
Gain (loss) on the derivatives in designated and qualifying fair value hedges   
Interest rate contracts$(305)$2,115
Foreign exchange contracts(82)(1,361)
Commodity contracts2
349
Interest rate hedges$—
$878
$(305)
Foreign exchange hedges179
—
(82)
Commodity hedges(2)—
2
Total gain (loss) on the derivatives in designated and qualifying fair value hedges$(385)$1,103
$177
$878
$(385)
Gain (loss) on the hedged item in designated and qualifying fair value hedges   
Interest rate hedges$296
$(2,090)$—
$(866)$296
Foreign exchange hedges196
1,307
(249)—
196
Commodity hedges(1)(344)1
—
(1)
Total gain (loss) on the hedged item in designated and qualifying fair value hedges$491
$(1,127)$(248)$(866)$491
Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges 
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges  
Interest rate hedges$(10)$27
$—
$—
$1
Foreign exchange hedges62
(75)
Total hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges$52
$(48)
Net gain (loss) excluded from assessment of the effectiveness of fair value hedges 
Interest rate contracts$1
$(2)
Foreign exchange contracts(2)
52
21
Commodity hedges(2)
1
5
Foreign exchange hedges(2)
23
—
52
Commodity hedges1
—
1
Total net gain (loss) excluded from assessment of the effectiveness of fair value hedges$54
$24
$24
$—
$54
(1)
AmountsBeginning January 1, 2018, gain (loss) amounts for interest rate risk hedges are included in Interest income/expense while the remaining amounts including the amounts for interest rate hedges prior to January 1, 2018 are included in Other revenueor Principal transactions on the Consolidated Statement of Income. The accrued interest income on fair value hedges both prior to and after January 1, 2018 is recorded in Net interest revenue and is excluded from this table.
(2)Amounts relate to the premium associated with forward contracts (differential between spot and contractual forward rates). These amounts are excluded from the assessment of hedge effectiveness and are reflected directly in earnings. After January 1, 2018, amounts include cross-currency basis which is recognized in accumulated other comprehensive income. The amount of cross currency basis that was included in accumulated other comprehensive income was $5 million, none of which was recognized in earnings.
(3)Hedge ineffectiveness recognized in earnings on designated and qualifying fair value hedges for the three months ended March 31, 2017 was $(10) million for interest rate hedges and $62 million for foreign exchange hedges, for a total of $52 million.

Cumulative Basis Adjustment
Upon electing to apply ASC 815 fair value hedge accounting, the carrying value of the hedged item is adjusted to reflect the cumulative impact of changes in the hedged risk. The hedge basis adjustment, whether arising from an active or de-designated hedge relationship, remains with the hedged item until the hedged item is de-recognized from the balance sheet. The table below presents the carrying amount of Citi’s hedged assets and liabilities under qualifying fair value hedges at March 31, 2018, along with the cumulative hedge basis adjustments included within the carrying value of those hedged assets and liabilities.
In millions of dollars
Balance sheet line item in which hedged item is recordedCarrying amount of hedged asset/ liabilityCumulative fair value hedging adjustment included in the carrying amount
ActiveDe-Designated
Long-term debt$139,786
$(24)$1,921
Investments available for sale73,717
259
69


Cash Flow Hedges
The amountCitigroup hedges the variability of hedge ineffectivenessforecasted cash flows associated with floating-rate assets/liabilities and other forecasted transactions. Variable cash flows from those liabilities are synthetically converted to fixed-rate cash flows by entering into receive variable, pay-fixed interest rate swaps and receive-variable, pay-fixed forward-starting interest rate swaps. Variable cash flows associated with certain assets are synthetically 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. Prior to the adoption of ASU 2017-12, Citigroup designated the risk being hedged as the risk of overall variability in the hedged cash flows for certain items.
With the adoption of ASU 2017-12, Citigroup hedges the variability from changes in a contractually specified rate and recognizes the entire change in fair value of the cash flow hedgeshedging instruments in AOCI. Prior to the adoption of ASU 2017-12, to the extent these derivatives were not fully effective, changes in their fair values in excess of changes in the value of the hedged transactions were immediately included in Other revenue. The adoption of ASU 2017-12 no longer requires such amounts to be immediately recognized in income, but instead requires the full change in the value of the hedging instrument to be recognized in AOCI, and then recognized in earnings forin the three months ended March 31, 2017, and 2016 is not significant.same period that the cash flows impact earnings. The pretax change in AOCI from cash flow hedges is presented below:

 Three months ended March 31,
In millions of dollars20172016
Effective portion of cash flow hedges included in AOCI  
Interest rate contracts$41
$415
Foreign exchange contracts—
24
Total effective portion of cash flow hedges included in AOCI$41
$439
Effective portion of cash flow hedges reclassified from AOCI to earnings

Interest rate contracts$44
$(16)
Foreign exchange contracts(3)(26)
Total effective portion of cash flow hedges reclassified from AOCI to earnings(1)
$41
$(42)
 Three Months Ended March 31,
In millions of dollars20182017
Amount of gain (loss) recognized in AOCI on derivative  
Interest rate contracts(1)
$(322)$41
Foreign exchange contracts6 —
Total gain (loss) recognized in AOCI$(316)$41
Amount of gain (loss) reclassified from AOCI to earnings
Other
revenue
Net interest
revenue
 
Interest rate contracts(1)
$—
$(31)$44
Foreign exchange contracts2
—
(3)
Total gain (loss) reclassified from AOCI into earnings$2
$(31)$41
(1)
IncludedAfter January 1, 2018, all amounts reclassified into earnings for interest rate contracts are included in Interest income Interest expense. For all other hedges, including interest rate hedges prior to January 1, 2018, the amounts reclassified to earnings are included primarily in Other revenue and Net interest revenueon the Consolidated Income Statement.
For cash flow hedges, the changes in the fair value of the hedging derivative remain 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 gain (loss) associated with cash flow hedges expected to be reclassified from AOCI within 12 months of March 31, 20172018 is approximately $(217)$142 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 17 to the Consolidated Financial Statements.


Net Investment Hedges
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 $(1,716)$(491) million and $(1,374)$(1,716) million for the three months ended March 31, 2018 and March 31, 2017, and 2016, respectively.








Credit Derivatives
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 March 31, 2017
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
In millions of dollars at March 31, 2018
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty


   
Banks$10,428
$9,483
$383,466
$393,864
$6,782
$6,120
$263,672
$272,815
Broker-dealers3,297
3,587
107,767
116,589
2,155
2,060
72,862
83,585
Non-financial80
187
3,164
1,430
75
75
1,240
2,313
Insurance and other financial institutions9,589
11,841
418,209
364,908
10,015
11,354
452,360
382,987
Total by industry/counterparty$23,394
$25,098
$912,606
$876,791
$19,027
$19,609
$790,134
$741,700
By instrument


   
Credit default swaps and options$23,145
$23,096
$889,829
$868,748
$18,591
$18,787
$766,018
$729,303
Total return swaps and other249
2,002
22,777
8,043
436
822
24,116
12,397
Total by instrument$23,394
$25,098
$912,606
$876,791
$19,027
$19,609
$790,134
$741,700
By rating


   
Investment grade$9,951
$10,142
$691,002
$669,241
$9,496
$9,594
$597,093
$559,526
Non-investment grade13,443
14,956
221,604
207,550
9,531
10,015
193,041
182,174
Total by rating$23,394
$25,098
$912,606
$876,791
$19,027
$19,609
$790,134
$741,700
By maturity


   
Within 1 year$3,008
$4,108
$304,227
$296,731
$2,337
$2,517
$228,396
$212,661
From 1 to 5 years16,894
17,187
532,809
511,054
14,152
14,223
477,627
454,001
After 5 years3,492
3,803
75,570
69,006
2,538
2,869
84,111
75,038
Total by maturity$23,394
$25,098
$912,606
$876,791
$19,027
$19,609
$790,134
$741,700

(1)The fair value amount receivable is composed of $6,384$3,016 million under protection purchased and $17,010$16,011 million under protection sold.
(2)The fair value amount payable is composed of $18,879$16,793 million under protection purchased and $6,219$2,816 million under protection sold.
 Fair valuesNotionals
In millions of dollars at December 31, 2016
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty



Banks$11,895
$10,930
$407,992
$414,720
Broker-dealers3,536
3,952
115,013
119,810
Non-financial82
99
4,014
2,061
Insurance and other financial institutions9,308
10,844
375,454
322,829
Total by industry/counterparty$24,821
$25,825
$902,473
$859,420
By instrument



Credit default swaps and options$24,502
$24,631
$883,719
$852,900
Total return swaps and other319
1,194
18,754
6,520
Total by instrument$24,821
$25,825
$902,473
$859,420
By rating



Investment grade$9,605
$9,995
$675,138
$648,247
Non-investment grade15,216
15,830
227,335
211,173
Total by rating$24,821
$25,825
$902,473
$859,420
By maturity



Within 1 year$4,113
$4,841
$293,059
$287,262
From 1 to 5 years17,735
17,986
551,155
523,371
After 5 years2,973
2,998
58,259
48,787
Total by maturity$24,821
$25,825
$902,473
$859,420



 Fair valuesNotionals
In millions of dollars at December 31, 2017
Receivable(1)
Payable(2)
Protection
purchased		Protection
sold
By industry/counterparty    
Banks$7,471
$6,669
$264,414
$273,711
Broker-dealers2,325
2,285
73,273
83,229
Non-financial70
91
1,288
1,140
Insurance and other financial
   institutions
10,668
12,488
438,738
377,062
Total by industry/counterparty$20,534
$21,533
$777,713
$735,142
By instrument    
Credit default swaps and options$20,251
$20,554
$754,114
$724,228
Total return swaps and other283
979
23,599
10,914
Total by instrument$20,534
$21,533
$777,713
$735,142
By rating    
Investment grade$10,473
$10,616
$588,324
$557,987
Non-investment grade10,061
10,917
189,389
177,155
Total by rating$20,534
$21,533
$777,713
$735,142
By maturity    
Within 1 year$2,477
$2,914
$231,878
$218,097
From 1 to 5 years16,098
16,435
498,606
476,345
After 5 years1,959
2,184
47,229
40,700
Total by maturity$20,534
$21,533
$777,713
$735,142

(1)The fair value amount receivable is composed of $9,077$3,195 million under protection purchased and $15,744 million$17,339 under protection sold.
(2)The fair value amount payable is composed of $17,110$3,147 million under protection purchased and $8,715$18,386 million under protection sold.

Credit-Risk-RelatedCredit Risk-Related Contingent Features in Derivatives
Certain derivative instruments contain provisions that require the Company to either post additional collateral or immediately settle any outstanding liability balances upon the occurrence of a specified event related to the credit risk of the Company. These events, which are defined by the existing derivative contracts, are primarily downgrades in the credit ratings of the Company and its affiliates.
The fair value (excluding CVA) of all derivative instruments with credit-risk-relatedcredit risk-related contingent features that were in a net liability position at both March 31, 20172018 and December 31, 20162017 was $29 billion and $26 billion, respectively.billion. The Company posted $26 billion and $26$28 billion as collateral for this exposure in the normal course of business as of March 31, 20172018 and December 31, 2016,2017, respectively.
A downgrade could trigger additional collateral or cash settlement requirements for the Company and certain affiliates. In the event that Citigroup and Citibank were downgraded a single notch by all three major rating agencies as of March 31, 2017,2018, the Company could be required to post an additional $1.1$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 $0.3$0.2 billion upon the single notch downgrade, resulting in aggregate cash obligations and collateral requirements of approximately $1.4$0.9 billion.


Derivatives Accompanied by Financial Asset Transfers
For transfers of financial assets accounted for as a sale by the Company whereand the Company has retained substantially all of the economic exposure to the transferred asset through a total return swap executed with the same counterparty in contemplation of the initial sale with the same counterparty and(and still outstanding as of March 31, 2017,outstanding) both the asset carrying amounts derecognized and the gross cash proceeds received as of the date of derecognition were $1.5$3.4 billion and $3.0 billion as of March 31, 2018 and December 31, 2017, respectively.
At March 31, 2018, the fair value of these previously derecognized assets was $3.4 billion. The fair value of the total return swaps as of March 31, 2018 was $79 million recorded as gross derivative assets and $52 million recorded as gross derivative liabilities. At MarchDecember 31, 2017, the fair value of these previously derecognized assets was $1.5$3.1 billion and the fair value of the total return swaps was $29$89 million, recorded as gross derivative assets, and $6$15 million recorded as gross derivative liabilities.
The balances for the total return swaps are on a gross basis, before the application of counterparty and cash collateral netting, and are included primarily as equity derivatives in the tabular disclosures in this Note.



20.   FAIR VALUE MEASUREMENT
For additional information regarding fair value measurement at Citi, see Note 24 to the Consolidated Financial Statements in Citi’s 20162017 Annual Report on Form 10-K.

Market Valuation Adjustments
The table below summarizes the credit valuation adjustments (CVA) and funding valuation adjustments (FVA) applied to the fair value of derivative instruments at March 31, 20172018 and December 31, 2016:2017:
Credit and funding valuation adjustments
contra-liability (contra-asset)
Credit and funding valuation adjustments
contra-liability (contra-asset)
In millions of dollarsMarch 31,
2017		December 31,
2016		March 31,
2018		December 31,
2017
Counterparty CVA$(1,316)$(1,488)$(841)$(970)
Asset FVA(444)(536)(438)(447)
Citigroup (own-credit) CVA377
459
364
287
Liability FVA52
62
40
47
Total CVA—derivative instruments(1)
$(1,331)$(1,503)$(875)$(1,083)

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

The table below summarizes pretax gains (losses) related to changes in CVA on derivative instruments, net of hedges, FVA on derivatives and debt valuation adjustments (DVA) on Citi’s own fair value option (FVO) liabilities for the periods indicated:
Credit/funding/debt valuation
adjustments gain (loss)
Credit/funding/debt valuation
adjustments gain (loss)
Three months ended March 31,Three Months Ended March 31,
In millions of dollars2017201620182017
Counterparty CVA$90
$(108)$23
$90
Asset FVA92
(80)9
92
Own-credit CVA(72)135
75
(72)
Liability FVA(10)29
(7)(10)
Total CVA—derivative instruments$100
$(24)$100
$100
DVA related to own FVO liabilities (1)
$(95)$307
$167
$(95)
Total CVA and DVA(2)
$5
$283
$267
$5

(1)See Note 1 and Note 17 to the Consolidated Financial Statements.
(2)FVA is included with CVA for presentation purposes.






Items Measured at Fair Value on a Recurring Basis
The following tables present for each of the fair value hierarchy levels the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 20172018 and December 31, 2016.2017. The Company may hedge positions that have been classified in the Level 3 category with other financial instruments (hedging instruments) that may be
 
classified as Level 3, but also with financial instruments classified as Level 1 or Level 2 of the fair value hierarchy. The effects of these hedges are presented gross in the following tables:


Fair Value Levels
In millions of dollars at March 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at March 31, 2018
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$—
$174,962
$1,187
$176,149
$(38,789)$137,360
$—
$222,936
$16
$222,952
$(61,415)$161,537
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
21,410
271
21,681
—
21,681
—
22,317
206
22,523
—
22,523
Residential—
289
368
657
—
657
—
1,084
143
1,227
—
1,227
Commercial—
1,052
266
1,318
—
1,318
—
1,440
35
1,475
—
1,475
Total trading mortgage-backed securities$—
$22,751
$905
$23,656
$—
$23,656
$—
$24,841
$384
$25,225
$—
$25,225
U.S. Treasury and federal agency securities$18,757
$3,511
$1
$22,269
$—
$22,269
$20,812
$3,898
$—
$24,710
$—
$24,710
State and municipal—
3,086
270
3,356
—
3,356
—
3,671
211
3,882
—
3,882
Foreign government37,588
21,152
126
58,866
—
58,866
46,617
24,918
21
71,556
—
71,556
Corporate240
16,011
296
16,547
—
16,547
274
18,826
252
19,352
—
19,352
Equity securities43,108
5,468
110
48,686
—
48,686
47,797
6,253
237
54,287
—
54,287
Asset-backed securities—
1,536
1,941
3,477
—
3,477
—
1,586
1,597
3,183
—
3,183
Other trading assets(3)
8
9,771
1,888
11,667
—
11,667
2
11,000
716
11,718
—
11,718
Total trading non-derivative assets$99,701
$83,286
$5,537
$188,524
$—
$188,524
$115,502
$94,993
$3,418
$213,913
$—
$213,913
Trading derivatives
  
  
Interest rate contracts$17
$311,584
$2,126
$313,727
  $276
$193,319
$2,234
$195,829
  
Foreign exchange contracts18
124,740
478
125,236
  5
129,691
521
130,217
  
Equity contracts1,815
22,196
625
24,636
  2,212
26,664
559
29,435
  
Commodity contracts250
10,647
552
11,449
  169
15,100
562
15,831
  
Credit derivatives—
21,751
1,571
23,322
  —
18,153
874
19,027
  
Total trading derivatives$2,100
$490,918
$5,352
$498,370
  $2,662
$382,927
$4,750
$390,339
  
Cash collateral paid(4)
 $10,436
   $8,676
  
Netting agreements $(416,229)  $(303,169) 
Netting of cash collateral received (36,198)  (40,951) 
Total trading derivatives$2,100
$490,918
$5,352
$508,806
$(452,427)$56,379
$2,662
$382,927
$4,750
$399,015
$(344,120)$54,895
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$35,648
$55
$35,703
$—
$35,703
$—
$41,265
$23
$41,288
$—
$41,288
Residential—
3,474
—
3,474
—
3,474
—
2,759
—
2,759
—
2,759
Commercial—
360
—
360
—
360
—
303
5
308
—
308
Total investment mortgage-backed securities$—
$39,482
$55
$39,537
$—
$39,537
$—
$44,327
$28
$44,355
$—
$44,355
U.S. Treasury and federal agency securities$106,915
$10,731
$1
$117,647
$—
$117,647
$106,239
$11,075
$—
$117,314
$—
$117,314
State and municipal—
8,392
1,233
9,625
—
9,625
—
9,155
682
9,837
—
9,837
Foreign government56,398
43,497
235
100,130
—
100,130
61,312
42,393
70
103,775
—
103,775
Corporate1,807
13,733
339
15,879
—
15,879
3,756
9,164
76
12,996
—
12,996
Equity securities317
65
9
391
—
391
233
43
1
277
—
277
Asset-backed securities—
5,811
712
6,523
—
6,523
—
2,584
497
3,081
—
3,081
Other debt securities—
550
—
550
—
550
—
165
—
165
—
165
Non-marketable equity securities(5)
—
31
1,082
1,113
—
1,113
—
125
734
859
—
859
Total investments$165,437
$122,292
$3,666
$291,395
$—
$291,395
$171,540
$119,031
$2,088
$292,659
$—
$292,659
Table continues on the next page.


In millions of dollars at March 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at March 31, 2018
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$3,455
$580
$4,035
$—
$4,035
$—
$3,982
$554
$4,536
$—
$4,536
Mortgage servicing rights—
—
567
567
—
567
—
—
587
587
—
587
Non-trading derivatives and other financial assets measured on a recurring basis, gross$11,750
$6,439
$27
$18,216
  
Cash collateral paid(6)
 5
  
Netting of cash collateral received $(940) 
Non-trading derivatives and other financial assets measured on a recurring basis$11,750
$6,439
$27
$18,221
$(940)$17,281
$15,549
$4,881
$13
$20,443
$—
$20,443
Total assets$278,988
$881,352
$16,916
$1,187,697
$(492,156)$695,541
$305,253
$828,750
$11,426
$1,154,105
$(405,535)$748,570
Total as a percentage of gross assets(7)
23.7%74.9%1.4%





Total as a percentage of gross assets(6)
26.6%72.4%1.0%





Liabilities    
Interest-bearing deposits$—
$1,005
$302
$1,307
$—
$1,307
$—
$1,394
$292
$1,686
$—
$1,686
Federal funds purchased and securities loaned or sold under agreements to repurchase—
78,919
809
79,728
(38,789)40,939
—
106,398
857
107,255
(61,415)45,840
Trading account liabilities    
Securities sold, not yet purchased80,154
7,302
1,151
88,607
—
88,607
80,995
10,911
48
91,954
—
91,954
Other trading liabilities—
2,605
—
2,605
—
2,605
—
2,290
—
2,290
—
2,290
Total trading liabilities$80,154
$9,907
$1,151
$91,212
$—
$91,212
$80,995
$13,201
$48
$94,244
$—
$94,244
Trading derivatives    
Interest rate contracts$5
$297,445
$2,899
$300,349
  $218
$173,128
$2,240
$175,586
  
Foreign exchange contracts8
128,229
430
128,667
  4
123,117
433
123,554
  
Equity contracts1,675
24,866
2,149
28,690
  2,126
29,689
2,300
34,115
  
Commodity contracts155
10,531
2,626
13,312
  138
16,242
2,471
18,851
  
Credit derivatives—
21,992
2,694
24,686
  2
17,874
1,733
19,609
  
Total trading derivatives$1,843
$483,063
$10,798
$495,704
  $2,488
$360,050
$9,177
$371,715
  
Cash collateral received(8)
 $13,961
  
Cash collateral received(7)
 $14,971
  
Netting agreements $(416,229)  $(303,169) 
Netting of cash collateral paid (40,577)  (33,800) 
Total trading derivatives$1,843
$483,063
$10,798
$509,665
$(456,806)$52,859
$2,488
$360,050
$9,177
$386,686
$(336,969)$49,717
Short-term borrowings$—
$3,413
$60
$3,473
$—
$3,473
$—
$4,386
$81
$4,467
$—
$4,467
Long-term debt—
17,350
10,176
27,526
—
27,526
—
20,087
13,484
33,571
—
33,571
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$11,750
$963
$4
$12,717
  
Cash collateral received(9)
 15
  
Netting of cash collateral paid $(51) 
Total non-trading derivatives and other financial liabilities measured on a recurring basis$11,750
$963
$4
$12,732
$(51)$12,681
$15,549
$—
$3
$15,552
$—
$15,552
Total liabilities$93,747
$594,620
$23,300
$725,643
$(495,646)$229,997
$99,032
$505,516
$23,942
$643,461
$(398,384)$245,077
Total as a percentage of gross liabilities(7)
13.2%83.6%3.3%  
Total as a percentage of gross liabilities(6)
15.8%80.4%3.8%  

(1)For the three months ended March 31, 2017,2018, the Company transferred assets of approximately $0.9$0.7 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. During the three months ended March 31, 2017,2018, the Company transferred assets of approximately $1.4$4.0 billion from Level 2 to Level 1, primarily related to foreign government bonds, foreign corporate securities, and equity securities traded with sufficient frequency to constitute an active market. DuringFor the three months ended March 31, 2017, the Company transferred2018, there were no material transfers of liabilities of approximately $0.1 billion from Level 1 to Level 2. During the three months ended March 31, 2017,2018, the Company transferred liabilities of approximately $0.1$0.2 billion, from Level 2 to Level 1.
(2)Represents netting of:of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase;repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)Includes positions related to investments in unallocated precious metals, as discussed in Note 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 $51,013$42,476 million gross cash collateral paid, of which $40,577$33,800 million was used to offset trading derivative liabilities.
(5)
Amounts exclude $0.4 billion of 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).
(6)Reflects the net amount of $56 million of gross cash collateral paid, of which $51 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)(7)Reflects the net amount $50,159$55,922 million of gross cash collateral received, of which $36,198$40,951 million was used to offset trading derivative assets.


(9)Reflects the net amount of $955 million of gross cash collateral received, of which $940 million was used to offset non-trading derivative assets.

Fair Value Levels
In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Assets    
Federal funds sold and securities borrowed or purchased under agreements to resell$—
$172,394
$1,496
$173,890
$(40,686)$133,204
$—
$188,571
$16
$188,587
$(55,638)$132,949
Trading non-derivative assets    
Trading mortgage-backed securities    
U.S. government-sponsored agency guaranteed—
22,718
176
22,894
—
22,894
—
22,801
163
22,964
—
22,964
Residential—
291
399
690
—
690
—
649
164
813
—
813
Commercial—
1,000
206
1,206
—
1,206
—
1,309
57
1,366
—
1,366
Total trading mortgage-backed securities$—
$24,009
$781
$24,790
$—
$24,790
$—
$24,759
$384
$25,143
$—
$25,143
U.S. Treasury and federal agency securities$17,756
$3,423
$1
$21,180
$—
$21,180
$17,524
$3,613
$—
$21,137
$—
$21,137
State and municipal—
3,780
296
4,076
—
4,076
—
4,426
274
4,700
—
4,700
Foreign government36,852
12,804
40
49,696
—
49,696
39,347
20,843
16
60,206
—
60,206
Corporate424
14,199
324
14,947
—
14,947
301
15,129
275
15,705
—
15,705
Equity securities45,331
4,985
127
50,443
—
50,443
53,305
6,794
120
60,219
—
60,219
Asset-backed securities—
892
1,868
2,760
—
2,760
—
1,198
1,590
2,788
—
2,788
Other trading assets(3)
2
9,464
2,814
12,280
—
12,280
3
11,105
615
11,723
—
11,723
Total trading non-derivative assets$100,365
$73,556
$6,251
$180,172
$—
$180,172
$110,480
$87,867
$3,274
$201,621
$—
$201,621
Trading derivatives    
Interest rate contracts$105
$366,995
$2,225
$369,325
  $145
$203,134
$1,708
$204,987
  
Foreign exchange contracts53
184,776
833
185,662
  19
121,363
577
121,959
  
Equity contracts2,306
21,209
595
24,110
  2,364
24,170
444
26,978
  
Commodity contracts261
12,999
505
13,765
  282
13,252
569
14,103
  
Credit derivatives—
23,021
1,594
24,615
  —
19,624
910
20,534
  
Total trading derivatives$2,725
$609,000
$5,752
$617,477
  $2,810
$381,543
$4,208
$388,561
  
Cash collateral paid(4)
 $11,188
   $7,541
  
Netting agreements $(519,000)  $(306,401) 
Netting of cash collateral received (45,912)  (38,532) 
Total trading derivatives$2,725
$609,000
$5,752
$628,665
$(564,912)$63,753
$2,810
$381,543
$4,208
$396,102
$(344,933)$51,169
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$—
$38,304
$101
$38,405
$—
$38,405
$—
$41,717
$24
$41,741
$—
$41,741
Residential—
3,860
50
3,910
—
3,910
—
2,884
—
2,884
—
2,884
Commercial—
358
—
358
—
358
—
329
3
332
—
332
Total investment mortgage-backed securities$—
$42,522
$151
$42,673
$—
$42,673
$—
$44,930
$27
$44,957
$—
$44,957
U.S. Treasury and federal agency securities$112,916
$10,753
$2
$123,671
$—
$123,671
$106,964
$11,182
$—
$118,146
$—
$118,146
State and municipal—
8,909
1,211
10,120
—
10,120
—
8,028
737
8,765
—
8,765
Foreign government54,028
43,934
186
98,148
—
98,148
56,456
43,985
92
100,533
—
100,533
Corporate3,215
13,598
311
17,124
—
17,124
1,911
12,127
71
14,109
—
14,109
Equity securities336
46
9
391
—
391
176
11
2
189
—
189
Asset-backed securities—
6,134
660
6,794
—
6,794
—
3,091
827
3,918
—
3,918
Other debt securities—
503
—
503
—
503
—
297
—
297
—
297
Non-marketable equity securities(5)
—
35
1,331
1,366
—
1,366
—
121
681
802
—
802
Total investments$170,495
$126,434
$3,861
$300,790
$—
$300,790
$165,507
$123,772
$2,437
$291,716
$—
$291,716
Table continues on the next page.


In millions of dollars at December 31, 2016
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
In millions of dollars at December 31, 2017
Level 1(1)
Level 2(1)
Level 3Gross
inventory
Netting(2)
Net
balance
Loans$—
$2,918
$568
$3,486
$—
$3,486
$—
$3,824
$550
$4,374
$—
$4,374
Mortgage servicing rights—
—
1,564
1,564
—
1,564
—
—
558
558
—
558
Non-trading derivatives and other financial assets measured on a recurring basis, gross$9,300
$7,732
$34
$17,066
  
Cash collateral paid(6)
 8
  
Netting of cash collateral received $(1,345) 
Non-trading derivatives and other financial assets measured on a recurring basis$9,300
$7,732
$34
$17,074
$(1,345)$15,729
$13,903
$4,640
$16
$18,559
$—
$18,559
Total assets$282,885
$992,034
$19,526
$1,305,641
$(606,943)$698,698
$292,700
$790,217
$11,059
$1,101,517
$(400,571)$700,946
Total as a percentage of gross assets(7)
21.9%76.6%1.5%  
Total as a percentage of gross assets(6)
26.8%72.2%1.0%  
Liabilities    
Interest-bearing deposits$—
$919
$293
$1,212
$—
$1,212
$—
$1,179
$286
$1,465
$—
$1,465
Federal funds purchased and securities loaned or sold under agreements to repurchase—
73,500
849
74,349
(40,686)33,663
—
95,550
726
96,276
(55,638)40,638
Trading account liabilities    
Securities sold, not yet purchased73,782
5,831
1,177
80,790
—
80,790
65,843
10,306
22
76,171
—
76,171
Other trading liabilities—
1,827
1
1,828
—
1,828
—
1,409
5
1,414
—
1,414
Total trading liabilities$73,782
$7,658
$1,178
$82,618
$—
$82,618
$65,843
$11,715
$27
$77,585
$—
$77,585
Trading account derivatives    
Interest rate contracts$107
$351,766
$2,888
$354,761
  $137
$182,372
$2,130
$184,639
  
Foreign exchange contracts13
187,328
420
187,761
  9
120,316
447
120,772
  
Equity contracts2,245
22,119
2,152
26,516
  2,430
26,472
2,471
31,373
  
Commodity contracts196
12,386
2,450
15,032
  115
14,482
2,430
17,027
  
Credit derivatives—
22,842
2,595
25,437
  —
19,824
1,709
21,533
  
Total trading derivatives$2,561
$596,441
$10,505
$609,507
  $2,691
$363,466
$9,187
$375,344
  
Cash collateral received(8)
 $15,731
  
Cash collateral received(7)
 $14,308
  
Netting agreements $(519,000)  $(306,401) 
Netting of cash collateral paid (49,811)  (35,666) 
Total trading derivatives$2,561
$596,441
$10,505
$625,238
$(568,811)$56,427
$2,691
$363,466
$9,187
$389,652
$(342,067)$47,585
Short-term borrowings$—
$2,658
$42
$2,700
$—
$2,700
$—
$4,609
$18
$4,627
$—
$4,627
Long-term debt—
16,510
9,744
26,254
—
26,254
—
18,310
13,082
31,392
—
31,392
Non-trading derivatives and other financial liabilities measured on a recurring basis, gross$9,300
$1,540
$8
$10,848
  
Cash collateral received(9)
 1
  
Netting of cash collateral paid $(53) 
Non-trading derivatives and other financial liabilities measured on a recurring basis$9,300
$1,540
$8
$10,849
$(53)$10,796
$13,903
$50
$8
$13,961
$—
$13,961
Total liabilities$85,643
$699,226
$22,619
$823,220
$(609,550)$213,670
$82,437
$494,879
$23,334
$614,958
$(397,705)$217,253
Total as a percentage of gross liabilities(7)
10.6%86.6%2.8%  
Total as a percentage of gross liabilities(6)
13.7%82.4%3.9%  

(1)In 2016,2017, the Company transferred assets of approximately $2.6$4.8 billion from Level 1 to Level 2, primarily related to foreign government securities and equity securities not traded in active markets. In 2016,2017, the Company transferred assets of approximately $4.0 billion from Level 2 to Level 1, primarily related to foreign government bonds and equity securities traded with sufficient frequency to constitute a liquid market. In 2016,2017, the Company transferred liabilities of approximately $0.4 billion from Level 21 to Level 1.2, respectively. In 2016,2017, the Company transferred liabilities of approximately $0.3 billion from Level 12 to Level 2.1.
(2)Represents netting of:of (i) the amounts due under securities purchased under agreements to resell and the amounts owed under securities sold under agreements to repurchase;repurchase and (ii) derivative exposures covered by a qualifying master netting agreement and cash collateral offsetting.
(3)Includes positions related to investments in unallocated precious metals, as discussed in Note 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 $60,999$43,207 million of gross cash collateral paid, of which $49,811$35,666 million was used to offset trading derivative liabilities.
(5)
Amounts exclude $ $0.4 billion of 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).
(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)(7)Reflects the net amount of $61,643$52,840 million of gross cash collateral received, of which $45,912$38,532 million was used to offset trading derivative assets.
(9)Reflects the net amount of $1,346 million of gross cash collateral received, of which $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 months ended March 31, 20172018 and 2016.2017. The gains and losses presented below include changes in the fair value related to both observable and unobservable inputs.
The Company often hedges positions with offsetting positions that are classified in a different level. For example, the gains and losses for assets and liabilities in the Level 3
 
category presented in the tables below do not reflect the effect of offsetting losses and gains on hedging instruments that may be classified in the Level 1 or Level 2 categories. In addition, the Company hedges items classified in the Level 3 category with instruments also classified in Level 3 of the fair value hierarchy. The hedged items and related hedges are presented gross in the following tables:

Level 3 Fair Value Rollforward
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
 Net realized/unrealized
gains (losses) incl. in		Transfers 
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2017Dec. 31, 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2018
Assets      
Federal funds sold and
securities borrowed or
purchased under
agreements to resell
$1,496
$(56)$—
$—
$(252)$—
$—
$—
$(1)$1,187
$4
$16
$18
$—
$—
$—
$—
$—
$—
$(18)$16
$3
Trading non-derivative assets      
Trading mortgage-
backed securities
      
U.S. government-sponsored agency guaranteed176
5
—
50
(17)161
—
(104)—
271
—
163
1
—
86
(49)116
—
(111)—
206
—
Residential399
15
—
17
(29)50
—
(84)—
368
10
164
22
—
35
(77)46
—
(47)—
143
3
Commercial206
(8)—
17
(13)190
—
(126)—
266
(4)57
1
—
4
(35)15
—
(7)—
35
3
Total trading mortgage-
backed securities
$781
$12
$—
$84
$(59)$401
$—
$(314)$—
$905
$6
$384
$24
$—
$125
$(161)$177
$—
$(165)$—
$384
$6
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$—
$—
$1
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal296
2
—
2
(47)81
—
(64)—
270
2
274
6
—
—
(44)—
—
(25)—
211
(1)
Foreign government40
4
—
78
(13)44
—
(27)—
126
6
16
—
—
2
—
14
—
(11)—
21
—
Corporate324
91
—
27
(52)118
—
(197)(15)296
12
275
43
—
49
(72)34
—
(77)—
252
84
Equity securities127
15
—
2
(12)7
—
(29)—
110
2
120
75
—
1
(15)168
—
(112)—
237
(3)
Asset-backed securities1,868
160
—
20
(16)391
—
(482)—
1,941
81
1,590
58
—
18
(15)316
—
(370)—
1,597
73
Other trading assets2,814
(7)—
210
(531)287
1
(875)(11)1,888
(55)615
135
—
58
(10)112
5
(194)(5)716
6
Total trading non-
derivative assets
$6,251
$277
$—
$423
$(730)$1,329
$1
$(1,988)$(26)$5,537
$54
$3,274
$341
$—
$253
$(317)$821
$5
$(954)$(5)$3,418
$165
Trading derivatives, net(4)
      
Interest rate contracts$(663)$(37)$—
$(38)$19
$6
$—
$(113)$53
$(773)$(23)$(422)$381
$—
$5
$37
$7
$—
$(16)$2
$(6)$(94)
Foreign exchange contracts413
(390)—
55
(20)34
—
(32)(12)48
(341)130
(62)—
(1)8
1
—
—
12
88
(155)
Equity contracts(1,557)(2)—
—
(16)85
—
(24)(10)(1,524)202
(2,027)(136)—
(57)472
13
—
(7)1
(1,741)156
Commodity contracts(1,945)(175)—
46
(2)—
—
—
2
(2,074)(170)(1,861)(33)—
(47)8
20
—
—
4
(1,909)(42)
Credit derivatives(1,001)(92)—
(24)(8)—
—
—
2
(1,123)(108)(799)(62)—
1
(2)2
—
1
—
(859)(203)
Total trading derivatives,
net(4)
$(4,753)$(696)$—
$39
$(27)$125
$—
$(169)$35
$(5,446)$(440)$(4,979)$88
$—
$(99)$523
$43
$—
$(22)$19
$(4,427)$(338)
Table continues on the next page.









 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, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2017Dec. 31 2017Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2018
Investments    
Mortgage-backed securities    
U.S. government-sponsored agency guaranteed$101
$—
$2
$1
$(49)$—
$—
$—
$—
$55
$2
$24
$—
$(1)$—
$—
$—
$—
$—
$—
$23
$2
Residential50
—
2
—
(47)—
—
(5)—
—
—
—
—
—
—
—
—
—
—
—
—
—
Commercial—
—
—
—
—
8
—
(8)—
—
—
3
—
2
—
—
—
—
—
—
5
—
Total investment mortgage-backed securities$151
$—
$4
$1
$(96)$8
$—
$(13)$—
$55
$2
$27
$—
$1
$—
$—
$—
$—
$—
$—
$28
$2
U.S. Treasury and federal agency securities$2
$—
$—
$—
$—
$—
$—
$(1)$—
$1
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
$—
State and municipal1,211
—
12
37
(30)54
—
(51)—
1,233
6
737
—
(16)—
(9)29
—
(59)—
682
(33)
Foreign government186
—
1
2
(18)142
—
(78)—
235
1
92
—
(1)—
(2)57
—
(76)—
70
—
Corporate311
—
2
59
(4)91
—
(120)—
339
2
71
—
(1)3
—
3
—
—
—
76
—
Equity securities9
—
—
—
—
—
—
—
—
9
—
2
—
—
—
—
—
—
(1)—
1
—
Asset-backed securities660
—
9
17
—
26
—
—
—
712
3
827
—
10
2
(342)—
—
—
—
497
7
Other debt securities—
—
—
—
—
11
—
(11)—
—
—
—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities1,331
—
(94)—
—
8
—
(73)(90)1,082
(2)681
—
24
30
—
15
—
—
(16)734
22
Total investments$3,861
$—
$(66)$116
$(148)$340
$—
$(347)$(90)$3,666
$12
$2,437
$—
$17
$35
$(353)$104
$—
$(136)$(16)$2,088
$(2)
Loans$568
$—
$(4)$65
$(16)$12
$—
$(43)$(2)$580
$74
$550
$—
$19
$—
$(1)$4
$—
$(16)$(2)$554
$26
Mortgage servicing rights$1,564
$—
$67
$—
$—
$—
$35
$(1,046)$(53)$567
$83
558
—
46
—
—
—
17
(17)(17)587
46
Other financial assets measured on a recurring basis$34
$—
$(189)$3
$(1)$—
$29
$204
$(53)$27
$(191)16
—
8
—
—
4
12
—
(27)13
18
Liabilities



Interest-bearing deposits$293
$—
$11
$20
$—
$—
$—
$—
$—
$302
$25
$286
$—
$26
$12
$—
$—
$20
$—
$—
$292
$29
Federal funds purchased and securities loaned or sold under agreements to repurchase849
6
—
—
—
—
—
—
(34)809
6
726
14
—
—
—
—
147
—
(2)857
14
Trading account liabilities



Securities sold, not yet purchased1,177
54
—
11
(14)—
—
101
(70)1,151
2
22
(105)—
3
(19)—
—
3
(66)48
(7)
Other trading liabilities1
—
—
—
—
—
—
—
(1)—
—
5
5
—
—
—
—
—
—
—
—
(5)
Short-term borrowings42
(9)—
—
—
—
11
—
(2)60
22
18
7
—
45
—
—
25
—
—
81
(2)
Long-term debt9,744
17
—
200
(409)—
929
—
(271)10,176
116
13,082
(236)—
940
(764)36
3
(44)(5)13,484
254
Other financial liabilities measured on a recurring basis8
—
(2)—
—
(1)1
—
(6)4
(2)8
—
—
—
(5)—
2
—
(2)3
(1)

(1)
Changes in fair value for available-for-sale investmentsdebt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments 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)debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at March 31, 2017.2018.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.





  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2015Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2016
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$1,337
$70
$—
$—
$—
$503
$—
$—
$(1)$1,909
$—
Trading non-derivative assets           
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed744
12
—
335
(220)356
—
(191)3
1,039
1
Residential1,326
49
—
104
(43)211
—
(455)—
1,192
—
Commercial517
9
—
56
(27)245
—
(219)—
581
—
Total trading mortgage-backed securities$2,587
$70
$—
$495
$(290)$812
$—
$(865)$3
$2,812
$1
U.S. Treasury and federal agency securities$1
$—
$—
$2
$—
$—
$—
$—
$—
$3
$—
State and municipal351
7
—
13
(159)103
—
(106)—
209
—
Foreign government197
(1)—
2
(4)41
—
(16)—
219
—
Corporate376
12
—
45
(16)169
—
(109)—
477
2
Equity securities3,684
(44)—
93
(34)79
—
(23)—
3,755
—
Asset-backed securities2,739
128
—
117
(14)492
—
(648)—
2,814
—
Other trading assets2,483
(27)—
778
(613)283
11
(331)(10)2,574
(5)
Total trading non-derivative assets$12,418
$145
$—
$1,545
$(1,130)$1,979
$11
$(2,098)$(7)$12,863
$(2)
Trading derivatives, net(4)
           
Interest rate contracts$(495)$(508)$—
$165
$90
$5
$—
$(3)$(9)$(755)$(9)
Foreign exchange contracts620
(353)—
3
30
17
—
(39)17
295
2
Equity contracts(800)32
—
75
(144)24
—
(59)(4)(876)—
Commodity contracts(1,861)(142)—
(52)10
—
—
—
96
(1,949)(1)
Credit derivatives307
(515)—
(81)29
1
—
—
(62)(321)(1)
Total trading derivatives, net(4)
$(2,229)$(1,486)$—
$110
$15
$47
$—
$(101)$38
$(3,606)$(9)
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$139
$—
$(31)$7
$(39)$39
$—
$(3)$(1)$111
$—
Residential4
—
1
—
—
—
—
(5)—
—
—
Commercial2
—
—
3
(2)—
—
—
—
3
—
Total investment mortgage-backed securities$145
$—
$(30)$10
$(41)$39
$—
$(8)$(1)$114
$—
U.S. Treasury and federal agency securities$4
$—
$—
$—
$—
$—
$—
$(1)$—
$3
$—
State and municipal2,192
—
35
261
(409)151
—
(132)—
2,098
—
Foreign government260
—
2
33
—
62
—
(182)—
175
—
Corporate603
—
14
5
(37)1
—
(88)—
498
—
Equity securities124
—
—
2
—
—
—
—
—
126
—
Asset-backed securities596
—
(26)—
(1)132
—
—
—
701
—
Other debt securities—
—
—
—
—
—
—
—
—
—
—
Non-marketable equity securities1,135
—
(2)38
—
12
—
—
(18)1,165
—
Total investments$5,059
$—
$(7)$349
$(488)$397
$—
$(411)$(19)$4,880
$—
Table continues on the next page.
  Net realized/unrealized
gains (losses) incl. in		Transfers     
Unrealized
gains
(losses)
still held(3)
In millions of dollarsDec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2017
Assets           
Federal funds sold and securities borrowed or purchased under agreements to resell$1,496
$(56)$—
$—
$(252)$—
$—
$—
$(1)$1,187
$4
Trading non-derivative assets                     
Trading mortgage-backed securities           
U.S. government-sponsored agency guaranteed176
5
—
50
(17)161
—
(104)—
271
—
Residential399
15
—
17
(29)50
—
(84)—
368
10
Commercial206
(8)—
17
(13)190
—
(126)—
266
(4)
Total trading mortgage-backed securities$781
$12
$—
$84
$(59)$401
$—
$(314)$—
$905
$6
U.S. Treasury and federal agency securities$1
$—
$—
$—
$—
$—
$—
$—
$—
$1
$—
State and municipal296
2
—
2
(47)81
—
(64)—
270
2
Foreign government40
4
—
78
(13)44
—
(27)—
126
6
Corporate324
91
—
27
(52)118
—
(197)(15)296
12
Equity securities127
15
—
2
(12)7
—
(29)—
110
2
Asset-backed securities1,868
160
—
20
(16)391
—
(482)—
1,941
81
Other trading assets2,814
(7)—
210
(531)287
1
(875)(11)1,888
(55)
Total trading non-derivative assets$6,251
$277
$—
$423
$(730)$1,329
$1
$(1,988)$(26)$5,537
$54
Trading derivatives, net(4)
           
Interest rate contracts$(663)$(37)$—
$(38)$19
$6
$—
$(113)$53
$(773)$(23)
Foreign exchange contracts413
(390)—
55
(20)34
—
(32)(12)48
(341)
Equity contracts(1,557)(2)—
—
(16)85
—
(24)(10)(1,524)202
Commodity contracts(1,945)(175)—
46
(2)—
—
—
2
(2,074)(170)
Credit derivatives(1,001)(92)—
(24)(8)—
—
—
2
(1,123)(108)
Total trading derivatives, net(4)
$(4,753)$(696)$—
$39
$(27)$125
$—
$(169)$35
$(5,446)$(440)
Investments           
Mortgage-backed securities           
U.S. government-sponsored agency guaranteed$101
$—
$2
$1
$(49)$—
$—
$—
$—
$55
$2
Residential50
—
2
—
(47)—
—
(5)—
—
—
Commercial—
—
—
—
—
8
—
(8)—
—
—
Total investment mortgage-backed securities$151
$—
$4
$1
$(96)$8
$—
$(13)$—
$55
$2
U.S. Treasury and federal agency securities$2
$—
$—
$—
$—
$—
$—
$(1)$—
$1
$—
State and municipal1,211
—
12
37
(30)54
—
(51)—
1,233
6
Foreign government186
—
1
2
(18)142
—
(78)—
235
1
Corporate311
—
2
59
(4)91
—
(120)—
339
2
Equity securities9
—
—
—
—
—
—
—
—
9
—
Asset-backed securities660
—
9
17
—
26
—
—
—
712
3
Other debt securities—
—
—
—
—
11
—
(11)—
—
—
Non-marketable equity securities1,331
—
(94)—
—
8
—
(73)(90)1,082
(2)
Total investments$3,861
$—
$(66)$116
$(148)$340
$—
$(347)$(90)$3,666
$12


 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		PurchasesIssuancesSalesSettlementsMar. 31, 2016Dec. 31, 2016Principal
transactions
Other(1)(2)
into
Level 3		out of
Level 3		PurchasesIssuancesSalesSettlementsMar. 31, 2017
Loans$2,166
$—
$(77)$89
$(538)$359
$161
$(378)$(59)$1,723
$7
$568
$—
$(4)$65
$(16)$12
$—
$(43)$(2)$580
$74
Mortgage servicing rights1,781
—
(225)—
—
—
33
14
(79)1,524
57
1,564
—
67
—
—
—
35
(1,046)(53)567
83
Other financial assets measured on a recurring basis180
—
17
3
(3)—
63
(120)(83)57
(317)34
—
(189)3
(1)—
29
204
(53)27
(191)
Liabilities      
Interest-bearing deposits$434
$—
$(4)$4
$(209)$—
$4
$—
$(46)$191
$—
$293
$—
$11
$20
$—
$—
$—
$—
$—
$302
$25
Federal funds purchased and securities loaned or sold under agreements to repurchase1,247
(25)—
—
—
—
—
16
(50)1,238
—
849
6
—
—
—
—
—
—
(34)809
6
Trading account liabilities      
Securities sold, not yet purchased199
25
—
59
(25)—
—
36
(126)118
(2)1,177
54
—
11
(14)—
—
101
(70)1,151
2
Other trading liabilities—
—
—
—
—
—
—
—
—
—
—
1
—
—
—
—
—
—
—
(1)—
—
Short-term borrowings9
(3)—
5
(4)—
34
—
(1)46
(4)42
(9)—
—
—
—
11
—
(2)60
22
Long-term debt6,951
46
—
509
(1,087)—
1,440
—
(89)7,678
—
9,744
17
—
200
(409)—
929
—
(271)10,176
116
Other financial liabilities measured on a recurring basis14
—
(8)—
(4)(4)1
—
(1)14
(5)8
—
(2)—
—
(1)1
—
(6)4
(2)
(1)
Changes in fair value offor available-for-sale investmentsdebt securities are recorded in AOCI, unless related to other-than-temporary impairment, while gains and losses from sales are recorded in Realized gains (losses) from sales of investments 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)debt securities), attributable to the change in fair value relating to assets and liabilities classified as Level 3 that are still held at MarchDecember 31, 2016.2017.
(4)Total Level 3 trading derivative assets and liabilities have been netted in these tables for presentation purposes only.

Level 3 Fair Value Rollforward
ThereThe following were the significant Level 3 transfers for the period December 31, 2017 to March 31, 2018:

Transfers of Long-term debt of $0.9 billion from Level 2 to Level 3, and of $0.8 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 were no significant Level 3 transfers for the period from December 31, 2016 to March 31, 2017.

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

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






Valuation Techniques and Inputs for Level 3 Fair Value Measurements
The following tables present the valuation techniques covering the majority of Level 3 inventory and the most significant unobservable inputs used in Level 3 fair value measurements. Differences between this table and amounts presented in the Level 3 Fair Value Rollforward table represent individually immaterial items that have been measured using a variety of valuation techniques other than those listed.
 








As of March 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of March 31, 2018
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$1,187
Model-basedIR normal volatility13.87 %71.61%57.55 %$16
Model-basedInterest rate1.74 %2.41%2.40 %
Mortgage-backed securities$220
Yield analysisYield2.18 %8.14%3.89 %
  Interest rate(0.56)%2.25%(0.39)%147
Price-basedPrice$6.00
$102.26
$74.57
Mortgage-backed securities$890
Price-basedPrice$5.78
$113.12
$70.94
State and municipal, foreign government, corporate and other debt securities$3,136
Price-basedPrice$15.00
$108.88
$92.19
$943
Model-basedPrice$3.47
$110.39
$88.85
883
Price-basedCredit spread35bps
500bps
252bps
655
Cash flowCredit spread35 bps
600 bps
236 bps
  Yield2.00 %14.88%6.54 %
Equity securities(5)
$73
Model-basedPrice$—
$158.24
$7.28
$206
Price-basedPrice$0.01
$18,320.07
$654.81
30
Price-basedWAL2.50 years
2.50 years
2.50 years
30
Model-based 


Asset-backed securities$2,617
Price-basedPrice$3.35
$101.38
$72.53
$1,983
Price-basedPrice$2.33
$100.76
$69.28
Non-marketable equity$527
Price-basedDiscount to price— %100.00%12.77 %
Non-marketable equities$431
Comparables analysisEBITDA multiples7.00x10.90x8.56x
513
Comparables analysisEBITDA multiples6.50x10.60x8.60x265
Price-basedDiscount to price— %100.00%13.24 %
  Price-to-book ratio0.70 %1.03%0.92 %  Price to book ratio5.00x100.00x68.86x
Derivatives—gross(6)
      
Interest rate contracts (gross)$4,917
Model-basedIR normal volatility13.87 %86.04%53.37 %$4,440
Model-basedMean reversion1.00 %20.00%10.50 %
  Inflation volatility0.25 %2.70%0.82 %
  Mean reversion1.00 %20.00%10.50 %  IR Normal Volatility0.12 %78.91%50.71 %
Foreign exchange contracts (gross)$761
Model-basedForeign exchange (FX) volatility3.04 %22.77%10.03 %$877
Model-basedFX volatility6.41 %20.25%12.75 %
149
Cash flowYield5.62 %14.50%8.49 %

 IR basis(0.74)%2.01%(0.01)%
  IR-FX correlation(27.35)%60.00%47.42 %  Credit spread23bps
7,823bps
166bps
  IR-IR correlation40.00 %47.54%40.22 %  IR-IR correlation40.00 %40.00%40.00 %
  Credit spread22 bps
523 bps
217 bps
  IR-FX correlation40.00 %60.00%50.00 %
Equity contracts (gross)(7)
$2,700
Model-basedEquity volatility3.00 %55.49%24.77 %
Equity contracts (gross)$2,835
Model-basedEquity volatility1.16 %70.22%25.72 %
  Forward price43.06 %144.61%93.92 %  Forward price63.73 %153.71%101.21 %
  Equity-Equity correlation(89.91)%97.69%14.44 %
  Equity-FX correlation(70.20)%29.90%(24.88)%
Commodity contracts (gross)$3,170
Model-basedForward price38.85 %299.37%102.39 %
Commodity and other contracts (gross)$2,940
Model-basedForward price35.75 %478.26%114.73 %
  Commodity volatility10.45 %45.13%26.24 %  Commodity volatility9.14 %41.03%22.87 %
  Commodity correlation(44.00)%91.00%56.00 %  Commodity correlation(51.36)%91.85%19.83 %
Credit derivatives (gross)$2,976
Model-basedRecovery rate6.50 %65.00%35.21 %$1,833
Model-basedCredit correlation25.00 %85.00%43.30 %
1,287
Price-basedCredit correlation5.00 %95.00%32.70 %774
Price-basedUpfront points3.84 %97.33%59.81 %
  Upfront points10.20 %99.00%54.28 %  Credit spread6bps
1,200bps
115bps
  Price$—
$123.67
$75.18
  Price$7.54
$100.00
$64.58
  Credit spread4 bps
2,109 bps
210 bps


As of March 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$30
Model-basedRedemption rate12.52 %99.50%72.08 %
As of March 31, 2018
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)
$19
Model-basedRecovery rate25.00 %46.00%38.21 %
  Recovery rate40.00 %40.00%40.00 %  Credit spread21bps
129bps
77bps
  Credit spread33 bps
659 bps
202 bps
  Redemption rate5.14 %99.50%72.69 %
Loans$235
Model-basedCredit spread45 bps
500 bps
76 bps
214
Yield AnalysisYield2.90 %20.00%11.98 %  Upfront points54.00 %54.00%54.00 %
Loans and leases$520
Model-basedCredit spread17bps
500bps
92bps
120
Price-based 







 Yield2.70 %4.06%3.71 %
Mortgage servicing rights$475
Cash flowYield4.20 %21.22%12.38 %$500
Cash flowYield4.26 %12.60%8.36 %
92
Model-basedWAL3.53 years
7.72 years
6.23 years
87
Model-basedWAL4.08 years
7.63 years
6.53 years
Liabilities      
Interest-bearing deposits$282
Model-basedMean reversion1.00 %20.00%10.50 %$292
Model-basedMean reversion— %20.00%7.85 %
  Forward price99.50 %99.95%99.62 %  





Federal funds purchased and securities loaned or sold under agreements to repurchase$809
Model-basedInterest rate0.73 %2.25%2.07 %
Federal funds purchased and securities loaned or sold under agreement to repurchase$857
Model-basedInterest rate1.74 %2.41%2.40 %
Trading account liabilities      
Securities sold, not yet purchased$1,013
Model-basedIR normal volatility13.87 %71.61%57.55 %$31
Model-basedEquity volatility3.00 %70.22%31.84 %
$138
Price-basedPrice$1.29
$121.00
$98.22
18
Price-basedEquity-equity correlation(99.00)%100.00%59.65 %
Short-term borrowings and long-term debt$10,303
Model-basedMean Reversion1.00 %20.00%10.50 %
  Forward price68.46 %235.35%100.73 %  Equity-FX correlation(80.37)%56.00%(29.86)%
  Equity volatility3.00 %50.00%20.71 %  Forward Price63.73 %153.71%100.14 %
  IR normal volatility0.16 %86.04%57.73 %

 Price$—
$100.00
$24.84
Short-term borrowings and long-term debt$13,559
Model-basedEquity volatility3.00 %70.22%18.48 %


 Forward price63.73 %167.94%103.12 %
As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Assets        
Federal funds sold and securities borrowed or purchased under agreements to resell$1,496
Model-basedIR log-normal volatility12.86 %75.50 %61.73 %$16
Model-basedInterest rate1.43 %2.16%2.09%
  Interest rate(0.51)%5.76 %2.80 %
Mortgage-backed securities$509
Price-basedPrice$5.50
$113.48
$61.74
$214
Price-basedPrice$2.96
$101.00
$56.52
368
Yield analysisYield1.90 %14.54 %4.34 %184
Yield analysisYield2.52 %14.06%5.97%
State and municipal, foreign government, corporate and other debt securities$3,308
Price-basedPrice$15.00
$103.60
$89.93
$949
Model-basedPrice$—
$184.04
$91.74
914
Price-basedCredit spread35bps
500bps
249bps
1,513
Cash flowCredit spread35 bps
600 bps
230 bps
  Yield2.36 %14.25%6.03%
Equity securities(5)
$69
Model-basedPrice$0.48
$104.00
$22.19
$65
Price-basedPrice$—
$25,450.00
$2,526.62
58
Price-based 





55
Model-basedWAL2.50 years
2.50 years
2.50 years
Asset-backed securities$2,454
Price-basedPrice$4.00
$100.00
$71.51
$2,287
Price-basedPrice$4.25
$100.60
$74.57
Non-marketable equity$726
Price-basedDiscount to price— %90.00 %13.36 %$423
Comparables analysisEBITDA multiples6.90x12.80x8.66x
565
Comparables analysisEBITDA multiples6.80x10.10x8.62x223
Price-basedDiscount to price— %100.00%11.83%
  Price-to-book ratio0.32 %1.03 %0.87 %  Price-to-book ratio0.05x1.00x0.32x
  Price$—
$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 flowInterest rate(0.85)%(0.49)%(0.84)%
  Credit spread4 bps
657 bps
266 bps


As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)(3)
High(2)(3)
Weighted
average(4)
Interest rate contracts (gross)$3,818
Model-basedIR normal volatility9.40 %77.40%58.86%
  IR-IR correlation40.00 %50.00 %41.27 %  Mean reversion1.00 %20.00%10.50%
  IR-FX correlation16.41 %60.00 %49.52 %
Equity contracts (gross)(7)
$2,701
Model-basedEquity volatility3.00 %97.78 %29.52 %
Foreign exchange contracts (gross)$940
Model-basedForeign exchange (FX) volatility4.58 %15.02%8.16%
  Forward price69.05 %144.61 %94.28 %

 Interest rate(0.55)%0.28%0.04%
  Equity-FX correlation(60.70)%28.20 %(26.28)%  IR-IR correlation(51.00)%40.00%36.56%
  Equity-IR correlation(35.00)%41.00 %(15.65)%  IR-FX correlation(7.34)%60.00%49.04%
  Yield volatility3.55 %14.77 %9.29 %  Credit spread11bps
717bps
173bps
Equity contracts (gross)(7)
$2,897
Model-basedEquity volatility3.00 %68.93%24.66%
  Equity-equity correlation(87.70)%96.50 %67.45 %  Forward price69.74 %154.19%92.80%
Commodity contracts (gross)$2,955
Model-basedForward price35.74 %235.35 %119.99 %$2,937
Model-basedForward price3.66 %290.59%114.16%
  Commodity volatility2.00 %32.19 %17.07 %  Commodity volatility8.60 %66.73%25.04%
  Commodity correlation(41.61)%90.42 %52.85 %  Commodity correlation(37.64)%91.71%15.21%
Credit derivatives (gross)$2,786
Model-basedRecovery rate20.00 %75.00 %39.75 %$1,797
Model-basedCredit correlation25.00 %90.00%44.64%
1,403
Price-basedCredit correlation5.00 %90.00 %34.27 %823
Price-basedUpfront points6.03 %97.26%62.88%
  Upfront points6.00 %99.90 %72.89 %  Credit spread3 bps
1,636bps
173bps
  Price$1.00
$167.00
$77.35
  Price$1.00
$100.24
$57.63
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$24
Model-basedRecovery rate25.00 %40.00%31.56%
  Credit spread3 bps
1,515 bps
256 bps
  Redemption rate10.72 %99.50%74.24%
Nontrading derivatives and other financial assets and liabilities measured on a recurring basis (gross)(6)
$42
Model-basedRecovery rate40.00 %40.00 %40.00 %
  Redemption rate3.92 %99.58 %74.69 %  Credit spread38bps
275bps
127bps
  Upfront points16.00 %20.50 %18.78 %  Upfront points61.00 %61.00%61.00%
Loans$258
Price-basedPrice$31.55
$105.74
$56.46
$391
Model-basedEquity Volatility3.00 %68.93%22.52%
221
Yield analysisYield2.75 %20.00 %11.09 %148
Price-basedCredit spread134bps
500bps
173bps
79
Model-based  
 Yield3.09 %4.40%3.13%
Mortgage servicing rights$1,473
Cash flowYield4.20 %20.56 %9.32 %$471
Cash flowYield8.00 %16.38%11.47%
  WAL3.53 years
7.24 years
5.83 years
87
Model-basedWAL3.83 years
6.89 years
5.93 years
Liabilities      
Interest-bearing deposits$293
Model-basedMean reversion1.00 %20.00 %10.50 %$286
Model-basedMean reversion1.00 %20.00%10.50%
  Forward price98.79 %104.07 %100.19 %  Forward price99.56 %99.95%99.72%
Federal funds purchased and securities loaned or sold under agreements to repurchase$849
Model-basedInterest rate0.62 %2.19 %1.99 %$726
Model-basedInterest rate1.43 %2.16%2.09%
Trading account liabilities      
Securities sold, not yet purchased$1,056
Model-basedIR normal volatility12.86 %75.50 %61.73 %$21
Price-basedPrice$1.00
$287.64
$88.19
Short-term borrowings and long-term debt$9,774
Model-basedMean reversion1.00 %20.00 %10.50 %
  Commodity correlation(41.61)%90.42 %52.85 %
  Commodity volatility2.00 %32.19 %17.07 %
  Forward price69.05 %235.35 %103.28 %
Short-term borrowings and long-
term debt
$13,100
Model-basedForward price69.74 %161.11%100.70%
(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.




Items Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a nonrecurring basis and therefore are not included in the tables above. These include assets measured at cost that have been written down to fair value during the periods as a result of an impairment. These also include non-marketable equity investments that have been measured using the measurement alternative and are either (i) written down to fair value during the periods as a result of an impairment or (ii) adjusted upward or downward to fair value as a result of a transaction observed during the periods for the identical or similar investment of the same issuer. In addition, these assets include loans held-for-sale and other real estate owned that are measured at the lower of cost or market.market value.
The following table presents the carrying amounts of all assets that were still held for which a nonrecurring fair value measurement was recorded:
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
March 31, 2017 
Loans held-for-sale$3,790
$2,002
$1,788
March 31, 2018 
Loans HFS(1)
$3,481
$1,430
$2,051
Other real estate owned70
13
57
70
41
29
Loans(1)(2)
1,195
630
565
545
179
366
Non-marketable equity investments measured using the measurement alternative$188
$133
$55
Total assets at fair value on a nonrecurring basis$5,055
$2,645
$2,410
$4,284
$1,783
$2,501
In millions of dollarsFair valueLevel 2Level 3Fair valueLevel 2Level 3
December 31, 2016 
Loans held-for-sale$5,802
$3,389
$2,413
December 31, 2017 
Loans HFS(1)
$5,675
$2,066
$3,609
Other real estate owned75
15
60
54
10
44
Loans(1)(2)
1,376
586
790
630
216
414
Total assets at fair value on a nonrecurring basis$7,253
$3,990
$3,263
$6,359
$2,292
$4,067
(1)
(1)Net of fair value amounts on the unfunded portion of loans HFS recognized as Other liabilities on the Consolidated Balance Sheet.
(2)Represents impaired loans held for investment whose carrying amount is based on the fair value of the underlying collateral less costs to sell, primarily real estate.




Valuation Techniques and Inputs for Level 3 Nonrecurring Fair Value Measurements
The following tables presenttable presents the valuation techniques covering the majority of Level 3 nonrecurring fair value measurements and the most significant unobservable inputs used in those measurements:
As of March 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$1,788
Price-basedPrice$77.93
$100.00
$98.03
Other real estate owned$57
Price-based
Discount to price(4)
0.34%0.34%0.34%
   Appraised value$27,054.05
$4,514,806.00
$2,032,098.00
   Price$62.43
$85.81
$65.53
Loans(5)
$345
Price-basedPrice$3.20
$100.00
$23.67
 128
Recovery analysis
Discount to price(4)
18.67%28.39%23.57%
 

 Recovery rate92.68%92.68%92.68%

As of December 31, 2016
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
As of March 31, 2018
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$2,413
Price-basedPrice$—
$100.00
$93.08
$2,015
Price-basedPrice$0.88
$100.00
$95.86
Other real estate owned$59
Price-based
Discount to price(4)
0.34%13.00%3.10%$26
Price-based
Appraised value(4)
$20,290
$8,423,945
$4,273,507


 Price$64.65
$74.39
$66.21
  Price$—
$53.47
$50.08
Loans(5)
$431
Cash flowPrice$3.25
$105.00
$59.61
$125
Recovery analysisRecovery rate9.00%91.53%31.51%
197
Recovery analysisForward price$2.90
$210.00
$156.78
106
Cash flowPrice$2.80
$100.00
$81.82
135
Price-based
Discount to price(4)
0.25%13.00%8.34%102
Price-basedAppraised value$35,490,000
$465,594,643
$74,229,249


 Appraised value$25.80
$26,400,000
$6,462,735
Non-marketable equity
investments measured
using the measurement
alternative
$55
Price-basedDiscount to price25%25%25%
As of December 31, 2017
Fair value(1)
 (in millions)
MethodologyInput
Low(2)
High
Weighted
average(3)
Loans held-for-sale$3,186
Price-basedPrice$77.93
$100.00
$99.26
Other real estate owned$42
Price-based
Appraised Value(4)
$20,278
$8,091,760
$4,016,665
   
Discount to price(6)
34.00%34.00%34.00%
 

 Price$30.00
$50.36
$49.09
Loans(5)
$133
Price-basedPrice$2.80
$100.00
$62.46
 129
Cash flowRecovery rate50.00%100.00%63.59%
 127
Recovery analysisAppraised value$—
$45,500,000
$38,785,667

(1)The fair value amounts presented in this table represent the primary valuation technique or techniques for each class of assets or liabilities.
(2)Some inputs are shown as zero due to rounding.
(3)Weighted averages are calculated based on the fair values of the instruments.
(4)Includes estimated costs to sell.Appraised values are disclosed in whole dollars.
(5)Represents impaired loans held for investment whose carrying amounts are based on the fair value of the underlying collateral.collateral, primarily real estate secured loans.
(6)Includes estimated costs to sell.


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 March 31,Three Months Ended March 31,
In millions of dollars20172018
Loans held-for-sale$(22)
Loans HFS$(35)
Other real estate owned(2)(3)
Loans(1)
(28)(32)
Other Assets(2)
$—
Non-marketable equity investments measured using the measurement alternative

120
Total nonrecurring fair value gains (losses)$(52)$50
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real estate.


 
Three months ended March 31,Three Months Ended March 31,
In millions of dollars20162017
Loans held-for-sale$3
Loans HFS$(22)
Other real estate owned(2)(2)
Loans(1)
(63)(28)
Other Assets (2)
$(262)
Total nonrecurring fair value gains (losses)$(324)$(52)
(1)Represents loans held for investment whose carrying amount is based on the fair value of the underlying collateral, primarily real 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 presents the carrying value and fair value of Citigroup’s financial instruments that are not carried at fair value. The table below therefore excludes items measured at fair value on a recurring basis presented in the tables above.

March 31, 2017Estimated fair valueMarch 31, 2018Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$54.0
$53.9
$0.9
$50.5
$2.5
$58.5
$58.1
$1.1
$54.8
$2.2
Federal funds sold and securities borrowed or purchased under agreements to resell105.6
105.6
—
100.6
5.0
96.4
96.4
—
91.4
5.0
Loans(1)(2)
610.7
604.0
—
7.3
596.7
654.4
653.4
—
4.3
649.1
Other financial assets(2)(3)
242.3
242.8
7.0
173.2
62.6
274.2
274.6
188.3
14.4
71.9
Liabilities  
Deposits$948.7
$947.1
$—
$800.5
$146.6
$999.5
$997.7
$—
$850.2
$147.5
Federal funds purchased and securities loaned or sold under agreements to repurchase107.3
107.3
—
107.2
0.1
125.9
125.9
—
125.8
0.1
Long-term debt(4)
181.0
187.5
—
158.7
28.8
204.4
209.7
—
189.5
20.2
Other financial liabilities(5)
110.2
110.2
—
14.9
95.3
116.5
116.5
—
15.3
101.2

December 31, 2016Estimated fair valueDecember 31, 2017Estimated fair value
Carrying
value
Estimated
fair value
 
Carrying
value
Estimated
fair value
 
In billions of dollarsLevel 1Level 2Level 3Level 1Level 2Level 3
Assets  
Investments$52.1
$52.0
$0.8
$48.6
$2.6
$60.2
$60.6
$0.5
$57.5
$2.6
Federal funds sold and securities borrowed or purchased under agreements to resell103.6
103.6
—
98.5
5.1
99.5
99.5
—
94.4
5.1
Loans(1)(2)
607.0
604.5
—
7.0
597.5
648.6
644.9
—
6.0
638.9
Other financial assets(2)(3)
215.2
215.9
8.2
153.6
54.1
242.6
243.0
166.4
14.1
62.5
Liabilities  
Deposits$928.2
$927.6
$—
$789.7
$137.9
$958.4
$955.6
$—
$816.1
$139.5
Federal funds purchased and securities loaned or sold under agreements to repurchase108.2
108.2
—
107.8
0.4
115.6
115.6
—
115.6
—
Long-term debt(4)
179.9
185.5
—
156.5
29.0
205.3
214.0
—
187.2
26.8
Other financial liabilities(5)
115.3
115.3
—
16.2
99.1
115.9
115.9
—
15.5
100.4
(1)
The carrying value of loans is net of the Allowance for loan losses of $12.0$12.4 billion for March 31, 20172018 and $12.1$12.4 billion for December 31, 2016.2017. In addition, the carrying values exclude $1.8$1.7 billionand$1.9 $1.7 billion of lease finance receivables at March 31, 20172018 and December 31, 2016,2017, respectively.
(2)Includes items measured at fair value on a nonrecurring basis.
(3)
Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance 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.

The estimated fair values of the Company’s corporate unfunded lending commitments at March 31, 20172018 and December 31, 20162017 were liabilities of $2.9$4.3 billion and $5.2$3.2 billion, respectively, substantially all of which are classified as Level 3. The Company does not estimate the fair values of consumer unfunded lending commitments, which are generally cancellable by providing notice to the borrower.



21.   FAIR VALUE ELECTIONS
The Company may elect to report most financial instruments and certain other items at fair value on an instrument-by-instrument basis with changes in fair value reported in earnings, other than DVA (see below). The election is made upon the initial recognition of an eligible financial asset, financial liability or firm commitment or when certain specified reconsideration events occur. The fair value election
may not 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 20 to the Consolidated Financial Statements
The Company has elected fair value accounting for its mortgage servicing rights. See Note 18 to the Consolidated Financial Statements for further discussions regarding the accounting and reporting of MSRs.

The following table presents the changes in fair value of those items for which the fair value option has been elected:
Changes in fair value gains (losses) for theChanges in fair value—gains (losses)
three months ended March 31,Three Months Ended March 31,
In millions of dollars2017201620182017
Assets  
Federal funds sold and securities borrowed or purchased under agreements to resell -
selected portfolios
$(33)$28
Federal funds sold and securities borrowed or purchased under agreements to resell$(16)$(33)
Trading account assets430
258
(16)430
Investments—
1
—
—
Loans    
Certain corporate loans(1)
24
24
(123)24
Certain consumer loans(1)
—
(1)—
—
Total loans$24
$23
$(123)$24
Other assets    
MSRs$67
$(225)$46
$67
Certain mortgage loans held for sale(2)
37
80
Other assets—
370
Certain mortgage loans held-for-sale(1)
2
37
Total other assets$104
$225
$48
$104
Total assets$525
$535
$(107)$525
Liabilities    
Interest-bearing deposits$(14)$(50)$28
$(14)
Federal funds purchased and securities loaned or sold under agreements to repurchase -
selected portfolios
613
(6)
Federal funds purchased and securities loaned or sold under agreements to repurchase(111)613
Trading account liabilities26
94
(6)26
Short-term borrowings19
80
177
19
Long-term debt(332)(423)618
(332)
Total liabilities$312
$(305)$706
$312
(1)
Includes mortgage loans held by mortgage loan securitization VIEs consolidated upon the adoption of ASC 810, Consolidation (SFAS 167), on January 1, 2010.
(2)Includes gains (losses) associated with interest rate lock-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 using 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) was a loss of $95 million and a gain of $307 million for the three months ended March 31, 2017 and 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.
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) was a gain of $167 million and a loss of $95 million for the three months ended March 31, 2018 and 2017, respectively. Changes in fair value resulting from changes in instrument-specific credit risk were estimated by incorporating the Company’s current credit spreads observable in the bond market into the relevant valuation technique used to value each liability as described above.

The Fair Value Option for Financial Assets and Financial Liabilities

Selected Portfolios of Securities Purchased Under Agreements to Resell, Securities Borrowed, Securities Sold Under Agreements to Repurchase, Securities Loaned and Certain Non-Collateralized Short-Term Borrowings
The Company elected the fair value option for certain portfolios of fixed-incomefixed income securities purchased under agreements to resell and fixed-incomefixed income securities sold under agreements to repurchase, securities borrowed, securities loaned and certain non-collateralized short-term borrowings held primarily by broker-dealer entities in the United States, United Kingdom and Japan. In each case, the election was made because the related interest-rateinterest rate risk is managed on a portfolio basis, primarily with offsetting derivative instruments that are accounted for at fair value through earnings.
 
Changes in fair value for transactions in these portfolios are recorded in Principal transactions. The related interest revenue and interest expense are measured based on the contractual rates specified in the transactions and are reported as interest Interest revenue and Interest expense in the Consolidated Statement of Income.

Certain Loans and Other Credit Products
Citigroup has also elected the fair value option for certain other originated and purchased loans, including certain unfunded loan products, such as guarantees and letters of credit, executed by Citigroup’s lending and trading businesses. None of these credit products are highly leveraged financing commitments. Significant groups of transactions include loans and unfunded loan products that are expected to be either sold or securitized in the near term, or transactions where the economic risks are hedged with derivative instruments, such as purchased credit default swaps or total return swaps where the Company pays the total return on the underlying loans to a third party. Citigroup has elected the fair value option to mitigate accounting mismatches in cases where hedge accounting is complex and to achieve operational simplifications. Fair value was not elected for most lending transactions across the Company.
The following table provides information about certain credit products carried at fair value:
March 31, 2017December 31, 2016March 31, 2018December 31, 2017
In millions of dollarsTrading assetsLoansTrading assetsLoansTrading assetsLoansTrading assetsLoans
Carrying amount reported on the Consolidated Balance Sheet$9,126
$4,035
$9,824
$3,486
$9,194
$4,536
$8,851
$4,374
Aggregate unpaid principal balance in excess of fair value532
—
758
18
Aggregate unpaid principal balance in excess of (less than) fair value475
870
623
682
Balance of non-accrual loans or loans more than 90 days past due—
2
—
1
—
1
—
1
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
1
—
1
—
—
—
1


In addition to the amounts reported above, $1,263$408 million and $1,828$508 million of unfunded commitments related to certain credit products selected for fair value accounting were
outstanding as of March 31, 20172018 and December 31, 2016,2017, respectively.


Changes in the fair value of funded and unfunded credit products are classified in Principal transactions in the Company’sCiti’s Consolidated Statement of Income. Related interest revenue is measured based on the contractual interest rates and reported as Interest revenue on Trading account assets or loan interest depending on the balance sheet classifications of the credit products. The changes in fair value for the three months ended March 31, 20172018 and 20162017 due to instrument-specific credit risk totaled to gaingains of $26$19 million and $13$26 million, respectively.

Certain Investments in Unallocated Precious Metals
Citigroup invests in unallocated precious metals accounts (gold, silver, platinum and palladium) as part of its commodity and foreign currency trading activities or to economically hedge certain exposures from issuing structured liabilities. Under ASC 815, the investment is bifurcated into a debt host contract and a commodity forward derivative instrument. Citigroup elects the fair value option for the debt host contract, and reports the debt host contract within Trading account assets on the Company’s Consolidated Balance Sheet. The total carrying amount of debt host contracts across unallocated precious metals accounts was approximately $0.4$0.7 billion and $0.6$0.9 billion at March 31, 20172018 and December 31, 2016,2017, respectively. The amounts are expected to fluctuate based on trading activity in future periods.
As part of its commodity and foreign currency trading activities, Citi trades unallocated precious metals investments and executes forward purchase and forward sale derivative contracts with trading counterparties. When Citi sells an unallocated precious metals investment, Citi’s receivable from its depository bank is repaid and Citi derecognizes its investment in the unallocated precious metal. The forward purchase or sale contract with the trading counterparty indexed to unallocated precious metals is accounted for as a derivative, at fair value through earnings. As of March 31, 2017,2018, there were approximately $18.4$12.0 billion and $15.4$10.1 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 electselected the fair value option for certain non-marketable equity securities, whose risk is managed with derivative instruments that are accounted for at fair value through earnings. These securities are classified as Trading account assets on Citigroup’s Consolidated Balance Sheet. Changes in the fair value of these securities and the related derivative instruments are recorded in Principal transactions. Effective January 1, 2018, under ASU 2016-01 and ASU 2018-03, a fair value option election is no longer required to measure these non-marketable equity securities at fair value through earnings. See Note 1 to the Consolidated Financial Statements for additional details.

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 dollarsMarch 31,
2017		December 31, 2016March 31,
2018		December 31, 2017
Carrying amount reported on the Consolidated Balance Sheet$683
$915
$333
$426
Aggregate fair value in excess of unpaid principal balance21
8
Aggregate fair value in excess of (less than) unpaid principal balance7
14
Balance of non-accrual loans or loans more than 90 days past due—
—
—
—
Aggregate unpaid principal balance in excess of fair value for non-accrual loans or loans more than 90 days past due—
—
—
—


The changes in the fair values of these mortgage loans are reported in Other revenue in the Company’s Consolidated Statement of Income. There was no net change in fair value during the three months ended March 31, 20172018 and 20162017 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 dollarsMarch 31, 2017December 31, 2016March 31, 2018December 31, 2017
Interest rate linked$11.3
$10.6
$15.9
$13.9
Foreign exchange linked0.2
0.2
0.3
0.3
Equity linked12.0
12.3
12.8
13.0
Commodity linked0.8
0.3
0.4
0.2
Credit linked1.6
0.9
1.9
1.9
Total$25.9
$24.3
$31.3
$29.3
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 dollarsMarch 31, 2017December 31, 2016March 31, 2018December 31, 2017
Carrying amount reported on the Consolidated Balance Sheet$27,526
$26,254
$33,571
$31,392
Aggregate unpaid principal balance in excess of (less than) fair value(55)(128)(93)(579)
The following table provides information about short-term borrowings carried at fair value:
In millions of dollarsMarch 31, 2017December 31, 2016March 31, 2018December 31, 2017
Carrying amount reported on the Consolidated Balance Sheet$3,473
$2,700
$4,467
$4,627
Aggregate unpaid principal balance in excess of (less than) fair value(9)(61)
Aggregate unpaid principal balance in excess of fair value463
74


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 20162017 Annual Report on Form 10-K.
The following tables present information about Citi’s guarantees at March 31, 20172018 and December 31, 2016:2017:

Maximum potential amount of future payments Maximum potential amount of future payments 
In billions of dollars at March 31, 2017 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 March 31, 2018 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$28.1
$66.0
$94.1
$205
$30.4
$63.0
$93.4
$131
Performance guarantees7.6
3.7
11.3
20
7.5
4.1
11.6
31
Derivative instruments considered to be guarantees10.7
78.1
88.8
690
17.0
85.6
102.6
432
Loans sold with recourse—
0.2
0.2
11
—
0.2
0.2
8
Securities lending indemnifications(1)
97.1
—
97.1
—
126.9
—
126.9
—
Credit card merchant processing(1)(2)
77.6
—
77.6
—
82.5
—
82.5
—
Credit card arrangements with partners0.2
1.3
1.5
206
0.2
1.1
1.3
162
Custody indemnifications and other1.5
47.5
49.0
58
—
38.5
38.5
82
Total$222.8
$196.8
$419.6
$1,190
$264.5
$192.5
$457.0
$846
Maximum potential amount of future payments Maximum potential amount of future payments 
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)
In billions of dollars at December 31, 2017 except carrying value in millions
Expire within
1 year
Expire after
1 year
Total amount
outstanding
Carrying value
 (in millions of dollars)
Financial standby letters of credit$26.0
$67.1
$93.1
$141
$27.9
$65.9
$93.8
$93
Performance guarantees7.5
3.6
11.1
19
7.2
4.1
11.3
20
Derivative instruments considered to be guarantees7.2
80.0
87.2
747
11.0
84.9
95.9
423
Loans sold with recourse—
0.2
0.2
12
—
0.2
0.2
9
Securities lending indemnifications(1)
80.3
—
80.3
—
103.7
—
103.7
—
Credit card merchant processing(1)(2)
86.4
—
86.4
—
85.5
—
85.5
—
Credit card arrangements with partners—
1.5
1.5
206
0.3
1.1
1.4
205
Custody indemnifications and other—
45.4
45.4
58
—
36.0
36.0
59
Total$207.4
$197.8
$405.2
$1,183
$235.6
$192.2
$427.8
$809
(1)The carrying values of securities lending indemnifications and credit card merchant processing were not material for either period presented, as the probability of potential liabilities arising from these guarantees is minimal.
(2)At March 31, 20172018 and December 31, 2016,2017, this maximum potential exposure was estimated to be $78$83 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.










 














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 $104 million and
$107$66 million at March 31, 20172018 and December 31, 2016,
respectively,2017, and these amounts are included in Other
liabilities on the Consolidated Balance Sheet.

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.

Other guarantees and indemnifications

Credit Card Protection Programs
Citi, through its credit card businesses, provides various
cardholder protection programs on several of its card
products, including programs that provide insurance
coverage for rental cars, coverage for certain losses
associated with purchased products, price protection for
certain purchases and protection for lost luggage. These
guarantees are not included in the table, since the total
outstanding amount of the guarantees and Citi’s maximum
exposure to loss cannot be quantified. The protection is
limited to certain types of purchases and losses, and it is not
possible to quantify the purchases that would qualify for
these benefits at any given time. Citi assesses the probability
and amount of its potential liability related to these programs
based on the extent and nature of its historical loss
experience. At March 31, 20172018 and December 31, 2016,2017, the actual and estimated losses incurred and the carrying value of Citi’s obligations related to these programs were
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 March 31, 20172018 or
December 31, 20162017 for potential obligations that could arise
from Citi’s involvement with VTN associations.

Long-Term Care Insurance Indemnification
In connection with2000, Travelers Life & Annuity (Travelers), then a subsidiary of Citi, entered into a reinsurance agreement to transfer the 2005 salerisks and rewards of certain insurance and annuity subsidiaries to MetLife Inc. (MetLife), the Company provided an indemnification for policyholder claims and other liabilities relating to a book ofits long-term care (LTC) business (for the entire termto GE Life (now Genworth Financial Inc., or Genworth), then a subsidiary of the LTC policies) that is fully reinsuredGeneral Electric Company (GE). As part of this transaction, the reinsurance obligations were provided by two regulated insurance subsidiaries of GE Life, which funded two collateral trusts with securities. Presently, as discussed below, the trusts are referred to as the Genworth Financial Inc. (Genworth). In turn,Trusts.
As part of GE’s spin-off of Genworth has offsettingin 2004, GE retained the risks and rewards associated with the 2000 Travelers reinsurance agreements with MetLife and theagreement by providing a reinsurance contract to Genworth through its Union Fidelity Life Insurance Company (UFLIC), subsidiary that covers the Travelers LTC policies. In addition, GE provided a subsidiarycapital maintenance agreement in favor of the General Electric Company. Genworth has funded two trusts with securities whose fair value (approximately $7.1 billion at March 31, 2017, compared to $7.0 billion at December 31, 2016)UFLIC which is designed to cover Genworth’s statutory liabilitiesassure that UFLIC will have the funds to pay its reinsurance obligations. As a result of these reinsurance agreements and the spin-off of Genworth, Genworth has reinsurance protection from UFLIC (supported by GE) and has reinsurance obligations in connection with the Travelers LTC policies.  As noted below, the Genworth reinsurance obligations now benefit Brighthouse Financial, Inc. (Brighthouse). While neither Brighthouse nor Citi are direct beneficiaries of the capital maintenance agreement between GE and UFLIC, Brighthouse and Citi benefit indirectly from the existence of the capital maintenance agreement, which helps assure that UFLIC will continue to have funds necessary to pay its reinsurance obligations to Genworth.
In connection with Citi’s 2005 sale of Travelers to MetLife Inc. (MetLife), Citi provided an indemnification to MetLife for losses (including policyholder claims) relating to the LTC business for the LTC policies. The trusts serve as collateral for Genworth's reinsurance obligations related toentire term of the MetLifeTravelers LTC policies, which, as noted above, are reinsured by subsidiaries of Genworth. In 2017, MetLife spun off its retail insurance business to Brighthouse.  As a result, the Travelers LTC policies now reside with Brighthouse.  The original reinsurance agreement between Travelers (now Brighthouse) and MetLife Insurance Company USAGenworth remains in place and Brighthouse is the sole beneficiary of the trusts.Genworth Trusts. The fair value of the Genworth Trusts is approximately $7.4 billion as of March 31, 2018, compared to $7.5 billion at December 31, 2017. The Genworth Trusts are designed to provide collateral to Brighthouse in an amount equal to the statutory liabilities of Brighthouse in respect of the Travelers LTC policies. The assets in these truststhe Genworth Trusts are evaluated and adjusted


periodically to ensure that the fair value of the assets continues to cover theprovide collateral in an amount equal to these estimated statutory liabilities, related toas the LTC policies, as those statutory liabilities change over time.
If both (i) Genworth fails to perform under the original
Travelers/GE Life reinsurance agreement for any reason,
including insolvency or the failure of UFLIC to perform in a timely manner, and (ii) the assets inof the two trusts Genworth Trusts
are insufficient or unavailable, to MetLife, then Citi, through its LTC
reinsurance indemnification, must reimburse MetLifeBrighthouse 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 MetLifeBrighthouse pursuant to its indemnification obligation, and the likelihood of such events occurring is currently not probable, there is no liability reflected inon the Consolidated Balance Sheet as of March 31, 20172018 and December 31, 20162017 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 counterpartiesparties (CCP) for clients that need to clear exchange-traded and over-the-counter (OTC) derivatives contracts with CCPs. Based on all relevant facts and circumstances, Citi has concluded that it acts as an agent for accounting purposes in its role as clearing member for these client transactions. As such, Citi does not reflect the underlying exchange-traded or OTC derivatives contracts in its Consolidated Financial Statements. See Note 19 for a discussion of Citi’s derivatives activities that are reflected in its Consolidated Financial Statements.
As a clearing member, Citi collects and remits cash and securities collateral (margin) between its clients and the
respective CCP. In certain circumstances, Citi collects a higher amount of cash (or securities) from its clients than it needs to remit to the CCPs. This excess cash is then held at depository institutions such as banks or carry brokers.
There are two types of margin: initial margin and variation margin.variation. Where Citi obtains benefits from or controls cash initial margin (e.g., retains an interest
spread), cash initial margin collected from clients and
remitted to the CCP or depository institutions is reflected within Brokerage payables (payables to customers) and Brokerage receivables (receivables from brokers, dealers and clearing organizations) or Cash and due from banks, respectively.
However, for exchange-tradedexchange traded and OTC-cleared derivatives contracts where Citi does not obtain benefits from or control the client cash balances, the client cash initial margin collected from clients and remitted to the CCP or depository institutions is not reflected on Citi’s Consolidated Balance Sheet. These conditions are met when Citi has contractually agreed with the client that (i) Citi will pass through to the client all interest paid by the CCP or depository institutions on the cash initial margin;margin, (ii) Citi will not utilize its right as a clearing member to transform cash margin into other assets;assets, (iii) Citi does not guarantee and is not liable to the client for the performance of the CCP or the depository institution and (iv) the client cash balances are legally isolated from Citi’s bankruptcy estate. The total amount of cash initial margin collected and remitted in this manner was approximately $10.6$11.6 billion and $9.4$10.7 billion as of March 31, 20172018 and December 31, 2016,2017, respectively.
Variation margin due from clients to the respective CCP, or from the CCP to clients, reflects changes in the value of the client’s derivative contracts for each trading day. As a clearing member, Citi is exposed to the risk of nonperformance 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 both March 31, 20172018 and December 31, 2016,2017, the total carrying amounts of the liabilities related to the guarantees and indemnifications included in the tables above amounted
to approximately $1.2$0.8 billion and $0.8 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 $55$52 billion and $45$46 billion at March 31, 20172018 and December 31, 2016,2017, respectively. Securities and other marketable assets held as collateral amounted to $45$88 billion and $38$70 billion at March 31, 20172018 and December 31, 2016,2017, respectively. The majority of collateral is held to reimburse losses realized under securities lending indemnifications. Additionally, letters of credit in favor of Citi held as collateral amounted to $6.0$3.9 billion and $5.4$3.7 billion at both March 31, 20172018 and December 31, 2016, respectively.2017. Other property may also be available to Citi to cover losses under certain guarantees and indemnifications; however, the value of such property has not been determined.

Performance risk
Presented in the tables below are the maximum potential amounts of future payments that are classified based upon internal and external credit ratings. The determination of the maximum potential future payments is based on the notional amount of the guarantees without consideration of possible recoveries under recourse provisions or from collateral held or pledged. As such, Citi believes such amounts bear no relationship to the anticipated losses, if any, on these guarantees.





Maximum potential amount of future paymentsMaximum potential amount of future payments
In billions of dollars at March 31, 2017
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at March 31, 2018
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$65.9
$14.8
$13.4
$94.1
$68.1
$10.3
$15.0
$93.4
Performance guarantees7.2
2.6
1.5
11.3
8.2
2.3
1.1
11.6
Derivative instruments deemed to be guarantees—
—
88.8
88.8
—
—
102.6
102.6
Loans sold with recourse—
—
0.2
0.2
—
—
0.2
0.2
Securities lending indemnifications—
—
97.1
97.1
—
—
126.9
126.9
Credit card merchant processing—
—
77.6
77.6
—
—
82.5
82.5
Credit card arrangements with partners—
—
1.5
1.5
—
—
1.3
1.3
Custody indemnifications and other47.3
0.1
1.6
49.0
25.8
12.7
—
38.5
Total$120.4
$17.5
$281.7
$419.6
$102.1
$25.3
$329.6
$457.0

Maximum potential amount of future paymentsMaximum potential amount of future payments
In billions of dollars at December 31, 2016
Investment
grade
Non-investment
grade
Not
rated
Total
In billions of dollars at December 31, 2017
Investment
grade
Non-investment
grade
Not
rated
Total
Financial standby letters of credit$66.8
$13.4
$12.9
$93.1
$68.1
$10.9
$14.8
$93.8
Performance guarantees6.3
4.0
0.8
11.1
7.9
2.4
1.0
11.3
Derivative instruments deemed to be guarantees—
—
87.2
87.2
—
—
95.9
95.9
Loans sold with recourse—
—
0.2
0.2
—
—
0.2
0.2
Securities lending indemnifications—
—
80.3
80.3
—
—
103.7
103.7
Credit card merchant processing—
—
86.4
86.4
—
—
85.5
85.5
Credit card arrangements with partners—
—
1.5
1.5
—
—
1.4
1.4
Custody indemnifications and other45.3
0.1
—
45.4
23.7
12.3
—
36.0
Total$118.4
$17.5
$269.3
$405.2
$99.7
$25.6
$302.5
$427.8




Credit Commitments and Lines of Credit
The table below summarizes Citigroup’s credit commitments:
In millions of dollarsU.S.
Outside of 
U.S.
March 31,
2017
December 31,
2016
U.S.
Outside of 
U.S.
March 31,
2018
December 31,
2017
Commercial and similar letters of credit$795
$4,790
$5,585
$5,736
$821
$4,675
$5,496
$5,000
One- to four-family residential mortgages1,283
1,698
2,981
2,838
1,385
1,610
2,995
2,674
Revolving open-end loans secured by one- to four-family residential properties11,900
1,542
13,442
13,405
10,703
1,510
12,213
12,323
Commercial real estate, construction and land development9,562
1,318
10,880
10,781
8,955
2,146
11,101
11,151
Credit card lines576,402
97,286
673,688
664,335
583,477
102,158
685,635
678,300
Commercial and other consumer loan commitments174,429
96,164
270,593
259,934
188,945
111,770
300,715
272,655
Other commitments and contingencies3,723
9,290
13,013
11,267
2,145
716
2,861
3,071
Total$778,094
$212,088
$990,182
$968,296
$796,431
$224,585
$1,021,016
$985,174

The majority of unused commitments are contingent upon customers maintaining specific credit standards.
Commercial commitments generally have floating interest rates and fixed expiration dates and may require payment of fees. Such fees (net of certain direct costs) are deferred and, upon exercise of the commitment, amortized over the life of
the loan or, if exercise is deemed remote, amortized over the commitment period.

Other commitments and contingencies
Other commitments and contingencies include all other transactions related to commitments and contingencies not reported on the lines above.

Unsettled reverse repurchase and securities lending agreements and unsettled repurchase and securities borrowing agreements
In addition, in the normal course of business, Citigroup enters into reverse repurchase and securities borrowing agreements, as well as repurchase and securities lending agreements, which settle at a future date. At March 31, 2018, and December 31, 2017, Citigroup had $78.7 billion and $35.0 billion of unsettled reverse repurchase and securities borrowing agreements, respectively, and $33.7 billion and $19.1 billion of unsettled repurchase and securities lending agreements, respectively. For a further discussion of securities purchased under agreements to resell and securities borrowed, and securities sold under agreements to repurchase and securities loaned, including the Company’s policy for offsetting repurchase and reverse repurchase agreements, see Note 10 to the Consolidated Financial Statements.









23.   CONTINGENCIES

The following information supplements and amends, as applicable, the disclosures in Note 27 to the Consolidated Financial Statements of Citigroup’s 20162017 Annual Report on Form 10-K. For purposes of this Note, Citigroup, its affiliates and subsidiaries and current and former officers, directors and employees, are sometimes collectively referred to as Citigroup and Related Parties.
In accordance with ASC 450, Citigroup establishes accruals for contingencies, including 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 March 31, 2017, Citigroup estimates that2018, Citigroup’s estimate of the reasonably possible unaccrued loss for these matters ranges up towas materially unchanged from the estimate of approximately $2.0$1.0 billion in the aggregate.aggregate as of December 31, 2017.
As available information changes, the matters for which Citigroup is able to estimate will change, and the estimates themselves will change. In addition, while many estimates presented in financial statements and other financial disclosures involve significant judgment and may be subject to significant uncertainty, estimates of the range of reasonably possible loss arising from litigation and regulatory proceedings are subject to particular uncertainties. For example, at the time of making an estimate, 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 27 to the Consolidated Financial Statements of Citigroup’s 20162017 Annual Report on Form 10-K.

Credit Crisis-Related Litigation and Other Matters
Mortgage-Related Litigation and Other Matters
Mortgage Backed Security Repurchase ClaimsMortgage-Backed Securities Trustee Actions: :On March 29, 2017,22, 2018, the parties filed a stipulationUnited States District Court for the Southern District of discontinuance with prejudice in U.S. BANK NATIONAL ASSOCIATION, SOLELY IN ITS CAPACITY AS TRUSTEE FOR CITIGROUP MORTGAGE LOAN TRUST 2007-AHL2 v. CITIGROUP GLOBAL MARKETS REALTY CORP.  Additional information concerning this action is publicly available in court filings under the docket number 653816/2013 (N.Y. Sup. Ct.) (Kornreich, J.).
Mortgage Backed Securities Trustee Actions:
On April 7, 2017, Citibank submitted aNew York granted Citibank’s motion for summary judgment as to all claimsand denied plaintiffs’ motion for class certification in 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 14-cv-9373 (S.D.N.Y.) (Furman, J.).

Foreign Exchange Matters
Antitrust and Other Litigation: On March 24, 2017, in NYPL v. JPMORGAN CHASE & CO., ET AL., the court granted the13, 2018, Citibank filed a motion to dismiss the amended complaint filed by Citigroup and Related Parties along with other defendant banks. Plaintiffs may move for leave to file an amended complaint by May 5, 2017.the Federal Deposit Insurance Corporation in FEDERAL DEPOSIT INSURANCE CORPORATION AS RECEIVER FOR GUARANTY BANK v. CITIBANK N.A. Additional information concerning this action is publicly available in court filings under the docket numbers 15 Civ. 2290 (N.D. Cal.) (Chhabria, J.) and 15 Civ. 9300number 15-cv-6574 (S.D.N.Y.) (Schofield,(Carter, J.).

Tribune Company Bankruptcy
On January 9, 2017, in ALLEN V. BANK OF AMERICA CORPORATION, ET AL.,April 3, 2018, the plaintiffs appealedUnited States Supreme Court issued an order deferring consideration of the noteholders’ petition for a writ of certiorari appealing the dismissal of their claims.claims from KIRSCHNER v. FITZSIMONS, ET AL. Additional information concerning this actionthese actions is publicly available in court filings under the docket numbers 15 Civ. 428508-13141 (Bankr. D. Del.) (Carey, J.), 11 MD 02296 (S.D.N.Y.) (Schofield,(Sullivan, J.); 16-3327, 12 MC 2296 (S.D.N.Y.) (Sullivan, J.), 13-3992, 13-3875, 13-4196 (2d Cir.); and 16-3571 (2d Cir.16-317 (U.S.).

Depositary Receipts Conversion Litigation
On February 27, 2017, in NEGRETE v. CITIBANK, N.A.,March 23, 2018, the court granted Citibank’s motion to dismiss in part without leave to amend, and denied in part plaintiffs’ motion for partial summary judgment. On March 13, 2017, Citibank filed an answer to plaintiffs’ amended complaint. On March 21, 2017,class certification, certifying only a class of holders of Citi-sponsored American depositary receipts that plaintiffs moved for entry of final judgment as to the dismissed claims and requested that litigation of the remaining claim be stayed pending an appeal.own.  Additional information concerning this action is publicly available in court filings under the docket number 15 Civ. 72509185 (S.D.N.Y.) (Sweet, J.)(McMahon, C).
On January 23, 2017, in BAKER ET AL. v. BANK OF AMERICA CORPORATION ET AL., Citigroup and Related Parties, along with other defendant banks, moved to dismiss


the complaint. On March 24, 2017, in lieu of responding to the motion, plaintiffs filed an amended complaint. Additional information concerning this action is publicly available in court filings under the docket number 16 Civ. 7512 (S.D.N.Y) (Schofield, J.).

Interest Rate SwapsForeign Exchange Matters
Antitrust and Other Litigation:Litigation: On January 20, 2017,March 12, 2018, the court in NYPL v. JPMORGAN CHASE & CO., ET AL. granted the motion of defendants including Citigroup, Citibank, CGMI and CGML, filed a joint motion to dismiss all claims based on conduct after 2013, but denied the motion in IN RE INTEREST RATE SWAPS ANTITRUST LITIGATION. Additional information concerning action is publicly available in court filings under the docket number 16 MD 2704 (S.D.N.Y.) (Engelmayer, J.).

Interchange Fee Litigation
other respects. On March 27, 2017,7, 2018, the United States Supreme Court entered an order denying class plaintiffs’ petition for writplaintiffs asked the court to expand the case to include additional types of certiorari.transactions, which the defendants opposed. Additional information concerning this action is publicly available in court filings under the docket numbers MDL 05-1720 (E.D.N.Y.15


Civ. 2290 (N.D. Cal.) (Brodie,(Chhabria, J.); 12-4671 (2d Cir.); and 16-710 (U.S. Sup. Ct.15 Civ. 9300 (S.D.N.Y.) (Schofield, J.).
On March 15, 2018, the court in CONTANT, ET AL. v. BANK OF AMERICA CORPORATION, ET AL. granted the motion of defendants to dismiss the complaint for failure to state a claim. On April 5, 2018, plaintiffs filed a motion for leave to file a second consolidated class action complaint. Additional information concerning these actions is publicly available in court filings under the docket numbers 16 Civ. 7512 (S.D.N.Y.) (Schofield, J.), 17 Civ. 4392 (S.D.N.Y.) (Schofield, J.), and 17 Civ. 3139 (S.D.N.Y.) (Schofield, J.).

Interbank Offered Rates-Related Litigation and Other
Matters
Antitrust and Other Litigation: In IN RE LIBOR-BASED FINANCIAL INSTRUMENTS ANTITRUST LITIGATION, on February 28, 2018, the court denied certification of two classes (investors who transacted in Eurodollar futures or options on exchanges and lending institutions with interests in loans tied to USD LIBOR) and certified the largest plaintiffs’ class (investors who purchased over-the-counter (OTC) derivatives from USD LIBOR panel banks) with respect to the antitrust claims against certain remaining defendants. On March 24, 2018, the parties filed petitions in the United States Court of Appeals for the Second Circuit seeking review of the court’s class-certification rulings.
On February 21, 2017,23, 2018, the Second Circuit vacated the portion of the judgment entered by the district court on April 11, 2016, that dismissed non-antitrust claims of various Schwab entities on personal jurisdiction grounds, and remanded the case to the district court. Additional information concerning these actions and related actions and appeals is publicly available in SULLIVAN v. BARCLAYS PLC, ET AL.,court filings under the docket numbers 11 MD 2262 (S.D.N.Y.) (Buchwald, J.) and 16-1189 (2d Cir.).

Parmalat Litigation
On March 2, 2018, Parmalat filed an appeal to the Milan Court of Appeal against the January 25, 2018 decision of the Milan civil court ruled on defendants’ motion to dismiss, dismissing all claimsParmalat’s claim for €1.8 billion against Citigroup and Citibank, with the exception of one claim under the Sherman Act and two common law claims.  Related Parties.

Shareholder Derivative Litigation
On March 7, 2017, defendants, including Citigroup12, 2018, the Delaware Chancery Court denied plaintiffs’ motion to reopen the judgment and Citibank, filed a motion seeking clarification concerningfor leave to amend the scope of the February 21, 2017 ruling, and, on April 18, 2017, the court granted defendants’ motion.complaint in OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM, ET AL. v. CORBAT, ET AL.  Additional information concerning this action is publicly available in court filings under the docket number 13 Civ. 2811 (S.D.N.Y.numbers C.A. No. 12151-VCG (Del. Ch.) (Castel, J.(Glasscock, Ch.) and No. 32, 2018 (Del.).

Oceanografia Fraud and RelatedSovereign Securities Matters
Antitrust and Other LitigationLitigation: : In IN RE TREASURY
SECURITIES AUCTION ANTITRUST LITIGATION, Citigroup Global Markets Inc. (CGMI) and the other defendants filed motions to dismiss the amended consolidated complaint on February 23, 2018. Additional information relating to this action is publicly available in court filings
under the docket number 15 MD 2673 (S.D.N.Y.) (Gardephe, J.).
On February 27, 2017,March 30, 2018, a complaintnew putative class action captioned OKLAHOMA FIREFIGHTERS PENSION & RETIREMENT SYSTEM AND ELECTRICAL WORKERS PENSION FUND LOCAL 103 v. BANCO SANTANDER S.A., ET AL. was filed against numerous defendants, including Citigroup, CGMI, Citigroup Financial Products Inc., Citigroup Global Markets Holdings Inc., and Citibanamex in the United States District Court for the Southern District of New York by Oceanografia SA de CV (OSA) and its controlling shareholder, Amado Yáñez Osuna.York. The complaint alleges that plaintiffs were injured when Citigroup made certain public statements about receivable financings and other financing arrangements relateda conspiracy to OSA . The complaint asserts claims for malicious prosecution and tortious interference with existing and prospective business relationships.  Additional information concerning this action is publicly available in court filings under the docket number 1:17-cv-01434 (S.D.N.Y.) (Sullivan, J.).

Sovereign Securities Matters
Antitrust and Other Litigation: On April 11, 2017, plaintiffs filed a consolidated amended complaint against various financial institutions and traders, including Citigroup and Related Parties,fix prices in the consolidated proceeding before the United States District Court for the Southern District of New York, In Re SSA Bonds Antitrust Litigation.  Based on allegations that defendants engaged in collusion in the supranational, sub-sovereign, and agency (SSA)Mexican sovereign bond market plaintiffs assert claims under thefrom 2006 to 2017, and asserts antitrust laws and for unjust enrichment andclaims against the Citi defendants, as well as a number of other banks. Plaintiffs seek damages, including treble damages, where authorized by statute,restitution, and restitution.injunctive relief. Additional information relating to this action is publicly available in court filings under the docket number 1618 Civ. 037112830 (S.D.N.Y.) (Ramos,(Oetken, J.).

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





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 months ended March 31, 20172018 and 2016,2017, Condensed Consolidating Balance Sheet as of March 31, 20172018 and December 31, 20162017 and Condensed Consolidating Statement of Cash Flows for the three months ended March 31, 20172018 and 20162017 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 March 31, 2017Three Months Ended March 31, 2018
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$3,750
 $—
 $—
 $(3,750) $—
$5,585
 $—
 $—
 $(5,585) $—
Interest revenue1
 1,027
 13,395
 —
 14,423
52
 1,655
 14,625
 —
 16,332
Interest revenue—intercompany793
 157
 (950) —
 —
1,130
 383
 (1,513) —
 —
Interest expense1,218
 396
 1,952
 —
 3,566
910
 1,013
 3,237
 —
 5,160
Interest expense—intercompany90
 426
 (516) —
 —
587
 772
 (1,359) —
 —
Net interest revenue$(514) $362
 $11,009
 $—
 $10,857
$(315) $253
 $11,234
 $—
 $11,172
Commissions and fees$—
 $1,255
 $1,504
 $—
 $2,759
$—
 $1,252
 $1,778
 $—
 $3,030
Commissions and fees—intercompany—
 2
 (2) —
 —
—
 —
 —
 —
 —
Principal transactions(163) 1,606
 1,579
 —
 3,022
1,031
 921
 1,337
 —
 3,289
Principal transactions—intercompany204
 (682) 478
 —
 —
(386) 192
 194
 —
 —
Other income(39) 74
 1,447
 —
 1,482
(928) 153
 2,156
 —
 1,381
Other income—intercompany(123) 34
 89
 —
 —
55
 50
 (105) —
 —
Total non-interest revenues$(121) $2,289
 $5,095
 $—
 $7,263
$(228) $2,568
 $5,360
 $—
 $7,700
Total revenues, net of interest expense$3,115
 $2,651
 $16,104
 $(3,750) $18,120
$5,042
 $2,821
 $16,594
 $(5,585) $18,872
Provisions for credit losses and for benefits and claims$—
 $—
 $1,662
 $—
 $1,662
$—
 $—
 $1,857
 $—
 $1,857
Operating expenses
 
 
 
 
         
Compensation and benefits$(14) $1,262
 $4,286
 $—
 $5,534
$134
 $1,265
 $4,408
 $—
 $5,807
Compensation and benefits—intercompany31
 —
 (31) —
 —
34
 —
 (34) —
 —
Other operating28
 406
 4,509
 —
 4,943
44
 548
 4,526
 —
 5,118
Other operating—intercompany(59) 468
 (409) —
 —
12
 578
 (590) —
 —
Total operating expenses$(14) $2,136
 $8,355
 $—
 $10,477
$224
 $2,391
 $8,310
 $—
 $10,925
Equity in undistributed income of subsidiaries587
 —
 —
 (587) —
$(445) $—
 $—
 $445
 $—
Income (loss) from continuing operations before income taxes$3,716
 $515
 $6,087
 $(4,337) $5,981
$4,373
 $430
 $6,427
 $(5,140) $6,090
Provision (benefit) for income taxes(374) 215
 2,022
 —
 1,863
(247) 65
 1,623
 —
 1,441
Income (loss) from continuing operations$4,090
 $300
 $4,065
 $(4,337) $4,118
$4,620
 $365
 $4,804
 $(5,140) $4,649
Loss from discontinued operations, net of taxes—
 —
 (18) —
 (18)—
 —
 (7) —
 (7)
Net income (loss) before attribution of noncontrolling interests$4,090
 $300
 $4,047
 $(4,337) $4,100
Net income before attribution of noncontrolling interests$4,620
 $365
 $4,797
 $(5,140) $4,642
Noncontrolling interests—
 —
 10
 —
 10
—
 —
 22
 —
 22
Net income (loss)$4,090
 $300
 $4,037
 $(4,337) $4,090
$4,620
 $365
 $4,775
 $(5,140) $4,620
Comprehensive income

 

 

 

 

         
Add: Other comprehensive income (loss)1,464
 (20) (3,721) 3,741
 1,464
$52
 $82
 $(3,156) $3,074
 $52
Total Citigroup comprehensive income (loss)$5,554
 $280
 $316
 $(596) $5,554
$4,672

$447

$1,619

$(2,066)
$4,672
Add: Other comprehensive income attributable to noncontrolling interests—
—
—
—
31
 —
 31
$—
 $—
 $14
 $—
 $14
Add: Net income attributable to noncontrolling interests—
—
—
—
10
 —
 10
—
 —
 22
 —
 22
Total comprehensive income (loss)$5,554
 $280
 $357
 $(596) $5,595
$4,672

$447

$1,655

$(2,066)
$4,708



Condensed Consolidating Statements of Income and Comprehensive Income
Three months ended March 31, 2016Three Months Ended March 31, 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$2,800
 $—
 $—
 $(2,800) $—
$3,750
 $—
 $—
 $(3,750) $—
Interest revenue2
 1,146
 13,019
 —
 14,167
1
 1,027
 13,493
 —
 14,521
Interest revenue—intercompany872
 136
 (1,008) —
 —
793
 157
 (950) —
 —
Interest expense1,070
 364
 1,506
 —
 2,940
1,218
 393
 1,955
 —
 3,566
Interest expense—intercompany41
 429
 (470) —
 —
90
 428
 (518) —
 —
Net interest revenue$(237) $489
 $10,975
 $—
 $11,227
$(514) $363
 $11,106
 $—
 $10,955
Commissions and fees$—
 $960
 $1,503
 $—
 $2,463
$—
 $1,323
 $1,732
 $—
 $3,055
Commissions and fees—intercompany(2) (6) 8
 —
 —
—
 2
 (2) —
 —
Principal transactions(209) (137) 2,186
 —
 1,840
(163) 1,658
 1,599
 —
 3,094
Principal transactions—intercompany258
 748
 (1,006) —
 —
204
 (695) 491
 —
 —
Other income(3,094) 76
 5,043
 —
 2,025
(39) 65
 1,236
 —
 1,262
Other income—intercompany3,260
 (140) (3,120) —
 —
(123) 110
 13
 —
 —
Total non-interest revenues$213
 $1,501
 $4,614
 $—
 $6,328
$(121) $2,463
 $5,069
$—
$—
 $7,411
Total revenues, net of interest expense$2,776
 $1,990
 $15,589
 $(2,800) $17,555
$3,115
 $2,826
 $16,175
 $(3,750) $18,366
Provisions for credit losses and for benefits and claims$—
 $—
 $2,045
 $—
 $2,045
$—
 $—
 $1,662
 $—
 $1,662
Operating expenses
 
 
 
 
       
Compensation and benefits$8
 $1,289
 $4,259
 $—
 $5,556
$(14) $1,262
 $4,286
 $—
 $5,534
Compensation and benefits—intercompany3
 —
 (3) —
 —
31
 —
 (31) —
 —
Other operating267
 386
 4,314
 —
 4,967
28
 509
 4,652
 —
 5,189
Other operating—intercompany1
 307
 (308) —
 —
(59) 540
 (481) —
 —
Total operating expenses$279
 $1,982
 $8,262
 $—
 $10,523
$(14) $2,311
 $8,426
 $—
 $10,723
Equity in undistributed income of subsidiaries944
 —
 —
 (944) —
$587
 $—
 $—
 $(587) $—
Income (loss) from continuing operations before income taxes$3,441
 $8
 $5,282
 $(3,744) $4,987
$3,716
 $515
 $6,087
 $(4,337) $5,981
Provision (benefit) for income taxes(60) 37
 1,502
 —
 1,479
(374) 215
 2,022
 —
 1,863
Income (loss) from continuing operations$3,501
 $(29) $3,780
 $(3,744) $3,508
$4,090
 $300
 $4,065
 $(4,337) $4,118
Income from discontinued operations, net of taxes—
 —
 (2) —
 (2)
Loss from discontinued operations, net of taxes—
 —
 (18) —
 (18)
Net income (loss) before attribution of noncontrolling interests$3,501
 $(29) $3,778
 $(3,744) $3,506
$4,090
 $300
 $4,047
 $(4,337) $4,100
Noncontrolling interests—
 2
 3
 —
 5
—
 —
 10
 —
 10
Net income (loss)$3,501
 $(31) $3,775
 $(3,744) $3,501
$4,090
 $300
 $4,037
 $(4,337) $4,090
Comprehensive income

 

 

 

 

         
Add: Other comprehensive income (loss)$2,733
 $47
 $(534) $487
 $2,733
$1,464
 $(20) $(3,721) $3,741
 $1,464
Total Citigroup comprehensive income (loss)$6,234
 $16
 $3,241
 $(3,257) $6,234
$5,554

$280


$316


$(596)
$5,554
Add: Other comprehensive income attributable to noncontrolling interests—
 —
 27
 —
 27
$—
 $—
—
$31
 $—
 $31
Add: Net income attributable to noncontrolling interests—
 2
 3
 —
 5
—
 —
—
10
 —
 10
Total comprehensive income (loss)$6,234
 $18
 $3,271
 $(3,257) $6,266
$5,554

$280


$357


$(596) $5,595





Condensed Consolidating Balance Sheet
March 31, 2017March 31, 2018
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$—
 $480
 $21,792
 $—
 $22,272
$2
 $423
 $21,425
 $—
 $21,850
Cash and due from banks—intercompany352
 3,167
 (3,519) —
 —
14
 5,225
 (5,239) —
 —
Deposits with banks—
 3,005
 177,849
 —
 180,854
Deposits with banks - intercompany3,000
 5,492
 (8,492) —
 —
Federal funds sold and resale agreements—
 196,387
 46,542
 —
 242,929
—
 206,659
 51,228
 —
 257,887
Federal funds sold and resale agreements—intercompany—
 14,742
 (14,742) —
 —
—
 14,284
 (14,284) —
 —
Trading account assets1
 128,414
 116,488
 —
 244,903
298
 150,249
 118,261
 —
 268,808
Trading account assets—intercompany991
 3,173
 (4,164) —
 —
483
 2,079
 (2,562) —
 —
Investments43
 217
 345,573
 —
 345,833
7,755
 249
 343,967
 —
 351,971
Loans, net of unearned income—
 1,269
 627,326
 —
 628,595
—
 875
 672,063
 —
 672,938
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,030) —
 (12,030)—
 —
 (12,354) —
 (12,354)
Total loans, net$—
 $1,269
 $615,296
 $—
 $616,565
$—
 $875
 $659,709
 $—
 $660,584
Advances to subsidiaries$143,808
 $—
 $(143,808) $—
 $—
$141,977
 $—
 $(141,977) $—
 $—
Investments in subsidiaries228,432
 —
 —
 (228,432) —
209,808
 —
 —
 (209,808) —
Other assets (1)
23,924
 51,968
 273,241
 —
 349,133
10,784
 66,723
 102,643
 —
 180,150
Other assets—intercompany8,229
 58,770
 (66,999) —
 —
3,667
 47,051
 (50,718) —
 —
Total assets$405,780
 $458,587
 $1,185,700
 $(228,432) $1,821,635
$377,788
 $502,314
 $1,251,810
 $(209,808) $1,922,104
Liabilities and equity

 
 
 
 


 
 
 
 
Deposits$—
 $—
 $949,990
 $—
 $949,990
$—
 $—
 $1,001,219
 $—
 $1,001,219
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 128,196
 20,034
 —
 148,230
—
 144,400
 27,359
 —
 171,759
Federal funds purchased and securities loaned or sold—intercompany—
 20,807
 (20,807) —
 —
—
 20,444
 (20,444) —
 —
Trading account liabilities7
 94,791
 49,272
 —
 144,070
2
 98,287
 45,672
 —
 143,961
Trading account liabilities—intercompany819
 2,834
 (3,653) —
 —
241
 1,904
 (2,145) —
 —
Short-term borrowings—
 1,961
 24,166
 —
 26,127
235
 3,159
 32,700
 —
 36,094
Short-term borrowings—intercompany—
 65,562
 (65,562) —
 —
—
 41,097
 (41,097) —
 —
Long-term debt141,626
 15,017
 51,887
 —
 208,530
153,074
 19,907
 64,957
 —
 237,938
Long-term debt—intercompany—
 28,781
 (28,781) —
 —
—
 60,351
 (60,351) —
 —
Advances from subsidiaries26,357
 —
 (26,357) —
 —
19,151
 —
 (19,151) —
 —
Other liabilities3,346
 66,324
 45,865
 —
 115,535
2,832
 69,516
 55,919
 —
 128,267
Other liabilities—intercompany5,493
 1,263
 (6,756) —
 —
338
 10,336
 (10,674) —
 —
Stockholders’ equity228,132
 33,051
 196,402
 (228,432) 229,153
201,915
 32,913
 177,846
 (209,808) 202,866
Total liabilities and equity$405,780
 $458,587
 $1,185,700
 $(228,432) $1,821,635
$377,788
 $502,314
 $1,251,810
 $(209,808) $1,922,104

(1)
Other assets for Citigroup parent company at March 31, 20172018 included $18.2$24.8 billion of placements to Citibank and its branches, of which $8.3$20.3 billion had a remaining term of less than 30 days.





Condensed Consolidating Balance Sheet
December 31, 2016December 31, 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$—
 $870
 $22,173
 $—
 $23,043
$—
 $378
 $23,397
 $—
 $23,775
Cash and due from banks—intercompany142
 3,820
 (3,962) —
 —
13
 3,750
 (3,763) —
 —
Deposits with banks—
 3,348
 153,393
 —
 156,741
Deposits with banks - intercompany11,000
 5,219
 (16,219) —
 —
Federal funds sold and resale agreements—
 196,236
 40,577
 —
 236,813
—
 182,685
 49,793
 —
 232,478
Federal funds sold and resale agreements—intercompany—
 12,270
 (12,270) —
 —
—
 16,091
 (16,091) —
 —
Trading account assets6
 121,484
 122,435
 —
 243,925
—
 139,462
 113,328
 —
 252,790
Trading account assets—intercompany1,173
 907
 (2,080) —
 —
38
 2,711
 (2,749) —
 —
Investments173
 335
 352,796
 —
 353,304
27
 181
 352,082
 —
 352,290
Loans, net of unearned income—
 575
 623,794
 —
 624,369
—
 900
 666,134
 —
 667,034
Loans, net of unearned income—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Allowance for loan losses—
 —
 (12,060) —
 (12,060)—
 —
 (12,355) —
 (12,355)
Total loans, net$—
 $575
 $611,734
 $—
 $612,309
$—
 $900
 $653,779
 $—
 $654,679
Advances to subsidiaries$143,154
 $—
 $(143,154) $—
 $—
$139,722
 $—
 $(139,722) $—
 $—
Investments in subsidiaries226,279
 —
 —
 (226,279) —
210,537
 —
 —
 (210,537) —
Other assets(1)
23,734
 46,095
 252,854
 —
 322,683
10,844
 58,299
 100,569
 —
 169,712
Other assets—intercompany27,845
 38,207
 (66,052) —
 —
3,428
 43,613
 (47,041) —
 —
Total assets$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077
$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465
Liabilities and equity
 
 
 
 


 
 
 
 

Deposits$—
 $—
 $929,406
 $—
 $929,406
$—
 $—
 $959,822
 $—
 $959,822
Deposits—intercompany—
 —
 —
 —
 —
—
 —
 —
 —
 —
Federal funds purchased and securities loaned or sold—
 122,320
 19,501
 —
 141,821
—
 134,888
 21,389
 —
 156,277
Federal funds purchased and securities loaned or sold—intercompany—
 25,417
 (25,417) —
 —
—
 18,597
 (18,597) —
 —
Trading account liabilities—
 87,714
 51,331
 —
 139,045
—
 80,801
 44,369
 —
 125,170
Trading account liabilities—intercompany1,006
 868
 (1,874) —
 —
15
 2,182
 (2,197) —
 —
Short-term borrowings—
 1,356
 29,345
 —
 30,701
251
 3,568
 40,633
 —
 44,452
Short-term borrowings—intercompany—
 35,596
 (35,596) —
 —
—
 32,871
 (32,871) —
 —
Long-term debt147,333
 8,128
 50,717
 —
 206,178
152,163
 18,048
 66,498
 —
 236,709
Long-term debt—intercompany—
 41,287
 (41,287) —
 —
—
 60,765
 (60,765) —
 —
Advances from subsidiaries41,258
 —
 (41,258) —
 —
19,136
 —
 (19,136) —
 —
Other liabilities3,466
 57,430
 57,887
 —
 118,783
2,673
 62,113
 53,577
 —
 118,363
Other liabilities—intercompany4,323
 7,894
 (12,217) —
 —
631
 9,753
 (10,384) —
 —
Stockholders’ equity225,120
 32,789
 194,513
 (226,279) 226,143
200,740
 33,051
 178,418
 (210,537) 201,672
Total liabilities and equity$422,506
 $420,799
 $1,175,051
 $(226,279) $1,792,077
$375,609
 $456,637
 $1,220,756
 $(210,537) $1,842,465

(1)
Other assets for Citigroup parent company at December 31, 20162017 included $20.7$29.7 billion of placements to Citibank and its branches, of which $6.8$18.9 billion had a remaining term of less than 30 days.




Condensed Consolidating Statement of Cash Flows
Three months ended March 31, 2017Three Months Ended March 31, 2018
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$24,958
 $(3,405) $(24,559) $—
 $(3,006)$5,268
 $7,046
 $(5,358) $—
 $6,956
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $—
 $(41,584) $—
 $(41,584)$(7,955) $—
 $(33,075) $—
 $(41,030)
Proceeds from sales of investments116
 —
 29,340
 —
 29,456
—
 —
 20,688
 —
 20,688
Proceeds from maturities of investments—
 —
 24,006
 —
 24,006
—
 —
 21,509
 —
 21,509
Change in deposits with banks—
 6,514
 (26,836) —
 (20,322)
Change in loans—
 —
 (7,953) —
 (7,953)—
 —
 (8,717) —
 (8,717)
Proceeds from sales and securitizations of loans—
 —
 3,191
 —
 3,191
—
 —
 1,654
 —
 1,654
Proceeds from significant disposals—
 —
 2,732
 —
 2,732
Change in federal funds sold and resales—
 (2,623) (3,493) —
 (6,116)—
 (22,167) (3,242) —
 (25,409)
Changes in investments and advances—intercompany(569) (5,007) 5,576
 —
 —
(1,463) (3,603) 5,066
 —
 —
Other investing activities—
 —
 (653) —
 (653)(729) (9) (81) —
 (819)
Net cash used in investing activities of continuing operations$(453) $(1,116) $(15,674) $—
 $(17,243)
Net cash provided by (used in) investing activities of continuing operations$(10,147) $(25,779) $3,802
 $—
 $(32,124)
Cash flows from financing activities of continuing operations                  
Dividends paid$(744) $—
 $—
 $—
 $(744)$(1,095) $—
 $—
 $—
 $(1,095)
Redemption of preferred stock(97) —
 —
 —
 (97)
Treasury stock acquired(1,858) —
 —
 —
 (1,858)(2,378) —
 —
 —
 (2,378)
Proceeds (repayments) from issuance of long-term debt, net(6,395) 5,175
 938
 —
 (282)
Proceeds from issuance of long-term debt, net699
 2,004
 184
 —
 2,887
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (12,506) 12,506
 —
 —
—
 (412) 412
 —
 —
Change in deposits—
 —
 20,584
 —
 20,584
—
 —
 41,397
 —
 41,397
Change in federal funds purchased and repos—
 1,266
 5,143
 —
 6,409
—
 11,359
 4,123
 —
 15,482
Change in short-term borrowings—
 605
 (5,179) —
 (4,574)—
 (409) (7,949) —
 (8,358)
Net change in short-term borrowings and other advances—intercompany(14,901) 8,938
 5,963
 —
 —
14
 8,226
 (8,240) —
 —
Capital contributions from (to) parent—
 (585) 585
 —
 —
Other financing activities(397) —
 —
 —
 (397)(261) —
 (214) —
 (475)
Net cash provided by (used in) financing activities of continuing operations$(24,295) $3,478
 $39,955
 $—
 $19,138
$(3,118) $20,183
 $30,298
 $—
 $47,363
Effect of exchange rate changes on cash and due from banks$—
 $—
 $340
 $—
 $340
$—
 $—
 $(7) $—
 $(7)
Change in cash and due from banks$210
 $(1,043) $62
 $—
 $(771)
Cash and due from banks at beginning of period142
 4,690
 18,211
 —
 23,043
Cash and due from banks at end of period$352
 $3,647
 $18,273
 $—
 $22,272
Change in cash, due from banks and deposits with banks

$(7,997) $1,450
 $28,735
 $—
 $22,188
Cash, due from banks and deposits with banks at beginning of period11,013
 12,695
 156,808
 —
 180,516
Cash, due from banks and deposits with banks at end of period$3,016
 $14,145
 $185,543
 $—
 $202,704
Cash and due from banks$16
 $5,648
 $16,186
 $—
 $21,850
Deposits with banks3,000
 8,497
 169,357
 —
 180,854
Cash, due from banks and deposits with banks at end of period$3,016
 $14,145
 $185,543
 $—
 $202,704
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 

         
Cash paid (refund) during the year for income taxes$(139) $64
 $988
 $—
 $913
Cash paid (received) during the year for income taxes$(266) $29
 $975
 $—
 $738
Cash paid during the year for interest1,153
 822
 1,275
 —
 3,250
883
 1,627
 2,076
 —
 4,586
Non-cash investing activities

 

 

 

 

         
Transfers to loans HFS from loans—
 —
 2,800
 —
 2,800
$—
 $—
 $900
 $—
 $900
Transfers to OREO and other repossessed assets—
 —
 30
 —
 30
—
 —
 26
 —
 26


Condensed Consolidating Statement of Cash Flows
Three months ended March 31, 2016Three Months Ended March 31, 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 (used in) operating activities of continuing operations$5,194
 $(2,833) $(2,899) $—
 $(538)$(652) $(3,404) $1,004
 $—
 $(3,052)
Cash flows from investing activities of continuing operations                  
Purchases of investments$—
 $—
 $(59,715) $—
 $(59,715)$—
 $—
 $(41,584) $—
 $(41,584)
Proceeds from sales of investments—
 —
 39,268
 —
 39,268
116
 —
 29,340
 —
 29,456
Proceeds from maturities of investments26
 —
 16,518
 —
 16,544
—
 —
 24,006
 —
 24,006
Change in deposits with banks—
 (7,380) (16,472) —
 (23,852)
Change in loans—
 —
 (5,057) —
 (5,057)—
 —
 (7,953) —
 (7,953)
Proceeds from sales and securitizations of loans—
 —
 1,247
 —
 1,247
—
 —
 3,191
 —
 3,191
Proceeds from significant disposals—
 —
 265
 —
 265
—
 —
 2,732
 —
 2,732
Change in federal funds sold and resales—
 (1,127) (4,291) —
 (5,418)—
 (2,623) (3,493) —
 (6,116)
Changes in investments and advances—intercompany(12,271) (6,052) 18,323
 —
 —
(569) (5,007) 5,576
 —
 —
Other investing activities—
 —
 (472) —
 (472)—
 —
 (607) —
 (607)
Net cash used in investing activities of continuing operations$(12,245) $(14,559) $(10,386) $—
 $(37,190)
Net cash provided by (used in) investing activities of continuing operations$(453) $(7,630) $11,208
 $—
 $3,125
Cash flows from financing activities of continuing operations                  
Dividends paid$(359) $—
 $—
 $—
 $(359)$(744) $—
 $—
 $—
 $(744)
Issuance of preferred stock1,004
 —
 —
 —
 1,004
Treasury stock acquired(1,312) —
 —
 —
 (1,312)(1,858) —
 —
 —
 (1,858)
Proceeds (repayments) from issuance of long-term debt, net2,448
 1,527
 (1,352) —
 2,623
(1,454) 5,175
 (4,003) —
 (282)
Proceeds (repayments) from issuance of long-term debt—intercompany, net—
 (2,692) 2,692
 —
 —
—
 (12,506) 12,506
 —
 —
Change in deposits—
 —
 26,704
 —
 26,704
—
 —
 20,584
 —
 20,584
Change in federal funds purchased and repos—
 12,077
 (1,365) —
 10,712
—
 1,266
 5,143
 —
 6,409
Change in short-term borrowings(109) 342
 (419) —
 (186)—
 605
 (5,179) —
 (4,574)
Net change in short-term borrowings and other advances—intercompany5,926
 3,711
 (9,637) —
 —
(14,901) 8,938
 5,963
 —
 —
Capital contributions from parent—
 2,500
 (2,500) —
 —
Other financing activities(308) —
 —
 —
 (308)(397) —
 —
 —
 (397)
Net cash provided by financing activities of continuing operations$7,290
 $17,465
 $14,123
 $—
 $38,878
Net cash provided by (used in) financing activities of continuing operations$(19,354) $3,478
 $35,014
 $—
 $19,138
Effect of exchange rate changes on cash and due from banks$—
 $—
 $190
 $—
 $190
$—
 $—
 $340
 $—
 $340
Change in cash and due from banks$239
 $73
 $1,028
 $—
 $1,340
$(20,459) $(7,556) $47,566
 $—
 $19,551
Cash and due from banks at beginning of period124
 1,995
 18,781
 —
 20,900
20,811
 25,118
 114,565
 —
 160,494
Cash and due from banks at end of period$363
 $2,068
 $19,809
 $—
 $22,240
$352
 $17,562
 $162,131
 $—
 $180,045
Cash and due from banks$352
 $3,647
 $18,273
 $—
 $22,272
Deposits with banks—
 13,915
 143,858
 —
 157,773
Cash, due from banks and deposits with banks at end of period$352
 $17,562
 $162,131
 $—
 $180,045
Supplemental disclosure of cash flow information for continuing operations

 

 

 

 

         
Cash paid (refund) during the year for income taxes$(231) $20
 $899
 $—
 $688
$(139) $64
 $988
 $—
 $913
Cash paid during the year for interest1,036
 637
 1,021
 —
 2,694
1,153
 822
 1,275
 —
 3,250
Non-cash investing activities

 

 

 

 

         
Decrease in goodwill associated with significant disposals reclassified to HFS—
 —
 (30) —
 (30)
Transfers to loans HFS from loans—
 —
 3,200
 —
 3,200
$—
 $—
 $2,800
 $—
 $2,800
Transfers to OREO and other repossessed assets—
 —
 56
 —
 56
—
 —
 30
 —
 30


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.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
January 2017  
January 2018  
Open market repurchases(1)
10.4
$57.68
$2,969
7.9
$76.87
$4,018
Employee transactions(2)
—
—
N/A
—
—
N/A
February 2017  
February 2018  
Open market repurchases(1)
9.2
58.54
2,431
13.2
75.63
3,022
Employee transactions(2)
—
—
N/A
0.4
76.71
N/A
March 2017  
March 2018  
Open market repurchases(1)
10.7
60.15
1,785
9.2
72.72
2,350
Employee transactions(2)
—
—
N/A
—
—
N/A
Total for 1Q17 and remaining program balance as of March 31, 201730.3
$58.82
$1,785
Total for 1Q18 and remaining program balance as of March 31, 201830.7
$75.09
$2,350
(1)Represents repurchases under the $10.4$15.6 billion 20162017 common stock repurchase program (2016(2017 Repurchase Program) that was approved by Citigroup’s Board of Directors and announced on June 29, 2016.28, 2017. The 2016 Repurchase Program includes 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 20162017 Repurchase Program was part of the planned capital actions included by Citi in its 20162017 Comprehensive Capital Analysis and Review (CCAR). Shares repurchased under the 20162017 Repurchase Program were 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—Standards” and “Regulatory Capital Planning and Stress Testing”Standards Developments” above and “Risk Factors—Strategic Risks” and “Stress Testing Component of Capital Planning” in Citi’s 20162017 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.
For information on the ability of Citigroup’s subsidiary depository institutions to pay dividends, see Note 18 to the
Consolidated Financial Statements in Citi’s 20162017 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 May, 2017.2018.



CITIGROUP INC.
(Registrant)





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



By    /s/ Jeffrey R. WalshRaja J. Akram
Jeffrey R. WalshRaja J. Akram
Controller and Chief Accounting Officer
(Principal Accounting Officer)




EXHIBIT INDEX
 
Exhibit  
Number Description of Exhibit
3.01+
 
Restated Certificate of Incorporation of the Company,Citigroup Inc., as amended, as in effect on the date hereof, 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).

10.01+*

Form of Citigroup Inc. Performance Share Unit Award Agreement (for awards granted on February 16, 2017 and in future years).

10.02+*
The Amended and Restated 2011 Citigroup Executive Performance Plan (as amended and restated as of January 1, 2016, and as further amended on February 16, 2017).hereof.
   
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 Quarterly Report on Form 10-Q of the Company for the quarter ended March 31, 2017,2018, filed on May 1, 2017,2018, formatted in XBRL: (i) the Consolidated Statement of Income, (ii) the Consolidated Balance Sheet, (iii) the Consolidated Statement of Changes in Equity, (iv) the Consolidated Statement of Cash Flows and (v) the Notes to Consolidated Financial Statements.
 
The total amount of securities authorized pursuant to any instrument defining rights of holders of long-term debt of the Company does not exceed 10% of the total assets of the Company and its consolidated subsidiaries. The Company will furnish copies of any such instrument to the SEC upon request.
 
* Denotes a management contract or compensatory plan or arrangement. 
+ Filed herewith.    




190194